0000831001c:DebtToValueRatioLTVGreaterThan100PercentMemberus-gaap:HomeEquityMemberus-gaap:ConsumerPortfolioSegmentMember2021-06-300000831001us-gaap:StockOptionMemberus-gaap:LongMemberus-gaap:NotDesignatedAsHedgingInstrumentTradingMember2021-06-300000831001us-gaap:InterestBearingDepositsMember2020-01-012020-06-30
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF(Mark One)
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| ☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended SeptemberJune 30, 20172021
OR
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| ☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the transition period from to
Commission file number 1-9924
Citigroup Inc.
(Exact name of registrant as specified in its charter)
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Delaware | | 52-1568099 |
| (State or other jurisdiction of incorporation or organization) | | 52-1568099
(I.R.S. Employer Identification No.) |
388 Greenwich Street, | New York | NY | | 10013 |
| (Address of principal executive offices) | | 10013
(Zip code) |
(212) 559-1000
(Registrant's telephone number, including area code)
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(212) 559-1000
(Registrant's telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934 formatted in Inline XBRL: See Exhibit 99.01
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes 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. |
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Large accelerated filerx | ☒ | Accelerated filero | ☐ | Non-accelerated filero (Do not check if a smaller reporting company)
| ☐ | Smaller reporting companyo | ☐ |
| | | | | | Emerging growth companyo | ☐ |
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 SeptemberJune 30, 2017: 2,644,001,9992021: 2,026,785,183
Available on the web at www.citigroup.com
CITIGROUP’S THIRD QUARTER 2017—FORM 10-Q
CITIGROUP’S SECOND QUARTER 2021—FORM 10-Q
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| OVERVIEW | |
MANAGEMENT'SMANAGEMENT’S DISCUSSION AND
ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS
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| Executive Summary | |
| Summary of Selected Financial Data | |
SEGMENT AND BUSINESS—INCOME (LOSS)
AND REVENUES
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| SEGMENT BALANCE SHEET | |
| Global Consumer Banking (GCB) | |
| North America GCB | |
| Latin America GCB | |
| Asia GCB | |
| Institutional Clients Group | |
| Corporate/Other | |
OFF-BALANCE SHEET
ARRANGEMENTS
CAPITAL RESOURCES | |
CAPITAL RESOURCES | |
MANAGING GLOBAL RISK TABLE OF
CONTENTS
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| MANAGING GLOBAL RISK | |
INCOME TAXESSIGNIFICANT ACCOUNTING POLICIES AND
SIGNIFICANT ESTIMATES | |
DISCLOSURE CONTROLS AND
PROCEDURES
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DISCLOSURE PURSUANT TO SECTION 219 OF
THE IRAN THREAT REDUCTION AND SYRIA
HUMAN RIGHTS ACT | |
FORWARD-LOOKING STATEMENTSSUPERVISION AND REGULATION | |
| FORWARD-LOOKING STATEMENTS | |
| FINANCIAL STATEMENTS AND NOTES
TABLE OF CONTENTS
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| CONSOLIDATED FINANCIAL STATEMENTS | |
NOTES TO CONSOLIDATED FINANCIAL
STATEMENTS (UNAUDITED)
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UNREGISTERED SALES OF EQUITY SECURITIES, PURCHASES
REPURCHASES OF EQUITY SECURITIES AND
DIVIDENDS | |
OVERVIEW
This Quarterly Report on Form 10-Q should be read in conjunction with Citigroup’s Annual Report on Form 10-K for the year ended December 31, 2016, including the historical audited consolidated financial statements of Citigroup reflecting certain reclassifications set forth in Citigroup’s Current Report on Form 8-K filed with the SEC on June 16, 2017 (20162020 (2020 Annual Report on Form 10-K), and Citigroup’s Quarterly ReportsReport on Form 10-Q for the quartersquarter ended March 31, 20172021 (First Quarter of 2017 Form 10-Q) and June 30, 2017 (Second Quarter of 20172021 Form 10-Q).
Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s annual reports on Form 10-K, quarterly reports on Form 10-Q and proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC), are available and accessible free of charge throughon Citi’s website by clicking on the “Investors” pagetab and selecting “All SEC Filings.“SEC Filings,” then “Citigroup Inc.” The SEC’s website also contains current reports on Form 8-K and other information regarding Citi at www.sec.gov.
Certain reclassifications including a realignment of certain businesses,and updates 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 footnote 1 to “Summary of Selected Financial
Data” and “Segment and Business—Income (Loss) and
Revenues” below and Notes 1 and 3 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.Statements.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Please see “Risk Factors” in Citi’s 2020 Annual Report on Form 10-K for a discussion of material risks and uncertainties that could impact Citigroup’s businesses, results of operations and financial condition.
Citigroup is managed pursuant to two business segments: Global Consumer Banking and Institutional Clients Group, with the following segments:remaining operations in Corporate/Other.
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| Citigroup Segments |
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Global
Consumer Banking
(GCB) | | | Institutional
Clients Group
(ICG) |
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•North America •Latin America(1) •Asia(2) Consisting of: •Retail banking and wealth management, including –Residential real estate –Small business banking •Citi-branded cards in all regions •Citi retail services in North America | | | •Banking –Investment banking –Treasury and trade solutions –Corporate lending –Private bank •Markets and securities services –Fixed income markets –Equity markets –Securities services |
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| Corporate/Other |
•Corporate Treasury •Operations and technology •Global staff functions and other corporate expenses •Legacy non-core assets: –Consumer loans –Certain portfolios of securities, loans and other assets •Discontinued operations |
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment and Corporate/Otherresults above.
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(1) | Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.Citigroup Regions(3)
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(2) | | | | | | | | | | | |
North
America | | North America includes the U.S., Canada Europe,
Middle East and Puerto Rico, Africa (EMEA) | | | Latin
America includes Mexico and | | Asia includes Japan. |
(1) Latin America GCB consists of Citi’s consumer banking business in Mexico.
(2) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
(3) North America includes the U.S., Canada and Puerto Rico, Latin America includes Mexico and Asia includes Japan.
As previously disclosed, Citi will focus its consumer banking franchise in Asia and EMEA on four wealth centers—Singapore, Hong Kong, the United Arab Emirates (UAE) and London—and is pursuing exits of its consumer franchises in 13 markets across the two regions. ICG will continue to serve clients, including its commercial banking clients, in all of these markets. For additional information, see “Executive Summary” and “Asia GCB” in Citi’s First Quarter of 2021 Form 10-Q. For information regarding risks related to Citi’s exits in the 13 markets, see “Forward-Looking Statements” below.
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
EXECUTIVE SUMMARY
ThirdSecond Quarter of 2017—Balanced Growth2021—Results Demonstrated Progress Across Citi’sthe Franchise
As described further throughout this Executive Summary, Citi reported balanced operating results induring the thirdsecond quarter of 2017, reflecting continued momentum across businesses and geographies, notably many of those where Citi has been making investments. During the quarter, Citi had revenue and loan growth in both Global Consumer Banking (GCB) and the Institutional Clients Group (ICG) compared to2021:
• Citi’s earnings increased significantly versus the prior-year quarter, while continuing to wind-down legacy assetsperiod, largely reflecting an allowance for credit loss (ACL) release of $2.4 billion as a result of an improvement in Corporate/Other. Results during the quarter also included a $580 million pretax ($355 million after-tax) gain on the sale of a fixed income analytics business, which was included in ICG’s results.
North AmericaGCB generated positive operating leverage driven by revenue growth in retail banking and Citi retail servicesportfolio quality as well as strong expense discipline. North America GCB’s results also included higher costthe continued improvement in Citi’s macroeconomic outlook (see “Cost of credit, largely reflecting volume growth, seasoning and additional cards-related loan loss reserve builds. International GCB generated positive operating leverage driven by year-over-year revenue growth in both Latin America and Asia GCB, excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation)Credit” below).ICG had a strong quarter with revenue growth across all Banking businesses,
• Citi’s revenues declined, as well ascontinued strength in equity markets, the private bank and securities services partially offset by a decline in fixed income markets revenues. These increases in revenues were partially offset by lower revenues in Corporate/Other,mostlyreflecting the continued wind-down of legacy non-core assets.
Citi’s regulatory capital declined slightly during the quarter, as earnings growthInstitutional Clients Group (ICG) was more than offset by normalization in market activity in fixed income markets within ICG and lower average card loans in Global Consumer Banking (GCB), as well as the returnimpact of approximately $6.4lower interest rates.
• Citi continued to invest in its transformation, including infrastructure supporting its risk and control environment, as well as other strategic investments.
• Citi had deposit growth across GCB and ICG, reflecting consistent client engagement, with both corporate and consumer clients continuing to hold higher levels of liquidity, while loans declined reflecting higher repayment rates across both GCB and ICG.
• Citi returned $4.1 billion of capital to its common shareholders in the form of $1.1 billion in dividends and $3.0 billion in common stockshare repurchases, and dividends. Citi repurchasedtotaling approximately 8140 million common shares, inwhile maintaining robust regulatory capital ratios. Year-to-date, Citi returned nearly $7 billion of capital to its common shareholders, the maximum amount permitted under Federal Reserve Board rules.
•During the quarter, the Federal Reserve Board communicated that Citi’s Stress Capital Buffer (SCB) requirement would be 3.0% for the four-quarter window of fourth quarter of 2021 to third quarter of 2017, as outstanding common shares declined 3% from the prior quarter2022 (the 2021 CCAR cycle). For information on Citi’s SCB, see “Capital Resources—Stress Capital Buffer” below.
For a discussion of trends, uncertainties and 7% from the prior-year period. Despite this capital return, each of Citigroup’s key regulatory capital metrics remained strong as of the end of the third quarter of 2017 (see “Capital” below). Citi utilized approximately $300 million of deferred tax assets (DTAs) during the quarter and $1.2 billion of its DTAs during the first nine months of 2017.
While the macroeconomic environment remains largely positive, there continues to be various economic, political and other risks and uncertainties that will or could impact Citi’s businesses, results of operations and future results. For a more detailed discussionfinancial condition during the remainder of these risks and uncertainties,2021, see this Executive Summary, each respective business’s results of operations and “Forward-Looking Statements” below, as well as each respective business’s results of operations and the“COVID-19 Pandemic Overview,” “Risk Factors” and “Managing Global Risk” and “Risk Factors” sections in Citi’s 20162020 Annual Report on Form 10-K.
ThirdSecond Quarter of 20172021 Results Summary Results
Citigroup
Citigroup reported net income of $4.1$6.2 billion, or $1.42$2.85 per share, compared to $3.8net income of $1.1 billion, or $1.24$0.38 per share, in the prior-year period. The 8% increase in net income included the gain on sale, which contributed $0.13 to earnings per share. Excluding the gain, net income declined 2%, reflecting higherwas driven by lower cost of credit, while earningspartially offset by lower revenues and higher expenses. Citigroup’s effective tax rate was 16% in the current quarter compared to 5% in the second quarter of 2020. The current quarter tax rate reflects certain tax benefit items related to non-U.S. operations. For additional information on Citi’s tax rate, see “Income Taxes” below. Earnings per share also increased 4%, largely due tosignificantly, reflecting the increase in net income, as well as a 7% reductionslight decline in average diluted shares outstanding. (Citi’s results of operations excluding the gain on sale are non-GAAP financial measures.)
Citigroup revenues of $18.2$17.5 billion in the thirdsecond quarter of 2017 increased 2%, driven by2021 decreased 12% from the gain on sale as well as 3% aggregate growthprior-year period, primarily reflecting lower revenues in ICGboth GCB and GCB, partially offset by a 55% decrease in Corporate/Other due primarily to the continued wind-down of legacy non-core assets.ICG.
Citigroup’s end-of-period loans decreased 1% to $677 billion. Excluding the impact of foreign currency translation
into U.S. dollars for reporting purposes (FX translation), Citigroup’s end-of-period loans decreased 3%, reflecting a higher level of repayments in both GCB and ICG. Citigroup’s end-of-period deposits increased 2%6% to $653 billion versus the prior-year period.$1.3 trillion. Excluding the impact of FX translation, Citigroup’s end-of-period loans also grew 2%deposits increased 4%, as 5%primarily driven by growth in ICGboth GCB and 3% growthICG, reflecting consistent client engagement and elevated levels of liquidity in GCB was partially offset by the continued wind-down of legacy assets in Corporate/Other.financial system. (Citi’s results of operations and financial condition excluding the impact of FX translation are non-GAAP financial measures.) Citigroup’s end-of-period deposits
Expenses
Citigroup operating expenses of $11.2 billion increased 3% to $964 billion versus7% from the prior-year period. Excluding the impact of FX translation, Citigroup’s deposits were up 2%expenses increased 4%, driven byreflecting a 3% increasenormalization relative to a low comparison inICG deposits and a 1% increase in GCB deposits, slightly offset by a decline in Corporate/Other deposits.
Expenses
Citigroup’s operating expenses decreased 2% to $10.2 billion versus the prior-year period related to the pandemic, along with continued investments in Citi’s transformation, as the impact of higher volume-related expenses and ongoingwell as other strategic investments, were more thanpartially offset by efficiency savingssavings.
As previously announced, Citi continues to expect to incur higher expenses in 2021 compared to 2020, as it accelerates certain strategic investments and the wind-down of legacy assets. Year-over-year, ICG operating expenses were up 5%, while GCB operating expenses were largely unchanged and Corporate/Other operating expenses declined 36%.continues to invest in its transformation as noted above.
Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims was a benefit of $2.0$1.1 billion, increased 15% from the prior-year period. The increase was driven by an increase in net credit losses of $252 million, primarily in North America GCB, and a net loan loss reserve build of $194 million, compared to a net buildcost of $176 million$8.2 billion in the prior-year period. Theperiod, driven by net loan lossACL reserve buildreleases of $2.4 billion across ICG, GCB and Corporate/Other. Citi’s net ACL release primarily reflected improvements in the current quarter included roughly $100 million of loan loss reserves related to the potential impact of hurricane and earthquake events, recorded in North America GCB and Latin America GCB,portfolio quality, as well as the legacy portfoliocontinued improvement in Corporate/Other.Citi’s macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates—Citi’s Allowance for Credit Losses (ACL)” below.
Net credit losses of $1.8$1.3 billion increased 17% versusdecreased 39% from the prior-year period. Consumer net credit losses of $1.7$1.2 billion
increased 17% decreased 33%, primarily driven by the Costco portfolio acquisition, episodic charge-offsreflecting lower loan volumes and improved delinquencies in the North America GCB commercial portfolio, which were offset by related loan loss reserve releases, and overall volume growth and seasoning in cards. The increase in consumer net credit losses was partially offset by the continued wind-down of legacy assets in Corporate/Other. cards portfolios. Corporate net credit losses increased 2%decreased to $89 million from $324 million in the prior-year period, to $43 million.driven by improvements in overall portfolio credit quality.
For additional information on Citi’s consumer and corporate credit costs, see each respective business’s results of operations and allowance for loan losses, see “Credit Risk” below.
Capital
Citigroup’s Common Equity Tier 1 (CET1) Capital and Tier 1 Capital ratios, on a fully implemented basis, were 13.0% and 14.6%ratio was 11.8% as of SeptemberJune 30, 2017 (based2021, based on the Basel III Standardized ApproachApproaches for determining risk-weighted assets), respectively,assets, compared to 12.6% and 14.2%11.5% as of SeptemberJune 30, 2016 (based2020, based on the Basel III Advanced Approaches framework for determining risk-weighted assets). assets. The increase in the ratio reflected net income, partially offset by the return of capital to common shareholders and an increase in risk-weighted assets.
Citigroup’s Supplementary Leverage ratio as of SeptemberJune 30, 2017, on a fully implemented basis,2021 was 7.1%5.8%, compared to 7.4%6.6% as of SeptemberJune 30, 2016.2020. The decrease was primarily driven by the expiration of a temporary relief granted by the Federal Reserve Board. For additional information on Citi’s capital ratios, and related components, including the impact of Citi’s DTAs on its capital ratios, see “Capital Resources” below.
Global Consumer Banking
GCB net income decreased 6%of $1.8 billion compared to $1.2 billion, as higher revenues were more than offset by highera net loss of $703 million in the prior-year period, reflecting lower cost of credit, whilepartially offset by lower revenues and higher expenses. GCB operating expenses were unchanged. Operating expenses were $4.4 billion, down 1% excluding the impact of FX translation, as higher volume-related expenses and continued investments were more than offset by ongoing efficiency savings.
GCB revenues of $8.4$4.6 billion increased 3% versus10% from the prior-year period. Excluding the impact of FX translation, expenses increased 7%, reflecting continued investments in Citi’s transformation, as well as other strategic investments, an acceleration in marketing and higher volume-related costs, partially offset by efficiency savings.
GCB revenues increased 2%of $6.8 billion decreased 7%. Excluding the impact of FX translation, revenues decreased 10%, drivenas continued strong deposit growth and momentum in investment management were more than offset by growthlower average card loans and lower deposit spreads across all three regions.
North America GCBrevenues increased 1% to $5.2of $4.2 billion as higherdecreased 11%, with lower revenues inacross Citi-branded cards, Citi retail services and retail banking were partially offset by lower revenues in Citi-branded cards.banking. Citi-branded cards revenues of $2.2$2.0 billion decreased 1% versus the prior-year period, as the benefit of growth in full rate revolving balances in the core portfolios was outpaced by the continued run-off of non-core portfolios as well as the higher cost to fund growth in transactor and promotional balances, given higher interest rates.12%, reflecting lower average loans. Citi retail services revenues of $1.7$1.2 billion increased 2% versus the prior-year period, reflecting continued loan growth.decreased 14%, primarily driven by lower average loans. Retail banking revenues of $1.4$1.0 billion increased 1% fromdecreased 7%, as the prior-year period. Excluding mortgage revenues, retail banking revenues were up 12% from the prior-year period, drivenbenefit of stronger deposit volumes was more than offset by continued growth in loans and assets under management,lower deposit spreads, as well as a benefit from higher interest rates.lower mortgage revenues.
Year-over-year, North America GCB average deposits of $184$204 billion were unchanged versus the prior-year period, average retail loans of $56 billion grew 1% andincreased 18%, assets under management of $59$85 billion grew 10%increased 23% and average retail banking loans of $50 billion decreased 4%. Average brandedCiti-branded card loans of $85$79 billion increased 8%decreased 4%, while brandedaverage Citi retail services loans of $42 billion decreased 8%, both reflecting higher payment rates. Citi-branded card purchase sales of $80$104 billion increased 10% versus the prior-year period. Average retail services loans of $46 billion were up 5%, while
40% and Citi retail services purchase sales of $20$24 billion were up 2%.also increased 40%, reflecting a continued recovery in
sales activity from the low levels in the prior-year period related to the pandemic. For additional information on the results of operations of North America GCB for the thirdsecond quarter of 2017,2021, see “Global Consumer Banking—Banking—North America GCB” below.
International GCB revenues (consisting of Latin America GCB and Asia GCB(which (which includes the results of operations in certainEMEAcountries)) of $2.6 billion increased 8% to $3.2 billion1% versus the prior-year period. Excluding the impact of FX translation, international GCBrevenues increased 5% versusdeclined 6%, largely reflecting the prior-year period. continued impact of the pandemic. On this basis, Latin America GCBrevenues increased 4% versus the prior-year period,declined 11%, driven by lower loan volumes and lower deposit spreads, partially offset by growth in loans and deposit volumes. assets under management. Asia GCBrevenues increased 5% versus the prior-year period, driven by improvement in wealth management and cardsdecreased 3%, as strong investment revenues partiallywere more than offset by lower retail lending revenues.deposit spreads. For additional information on the results of operations of Latin America GCBand Asia GCB for the thirdsecond quarter of 2017,2021, including the impact of FX translation,see “Global Consumer Banking—Banking—Latin America GCB” and “Global Consumer Banking—Banking—Asia GCB” below.
Year-over-year, international GCB average deposits of $124 billion increased 4%, average retail loans of $89 billion were roughly flat, assets under management of $100 billion increased 10%, average card loans of $24 billion increased 6% and card purchase sales of $25 billion increased 7%, all excluding the impact of FX translation.translation, international GCB average deposits of $149 billion increased 8%, average retail banking loans of $76 billion increased 1% and assets under management of $147 billion increased 15%. On this basis, international GCB average card loans of $21 billion decreased 8%, reflecting higher payments rates, while card purchase sales of $24 billion increased 26%, reflecting a
continued recovery in sales activity from the low levels in the
prior-year period related to the pandemic.
Institutional Clients Group
ICGnet income of $3.0$3.8 billion increased 15%,significantly, driven by higher revenues, including the $580 million ($355 million after-tax) gain on the sale of a fixed income analytics business, and a higher benefit fromlower cost of credit, partially offset by lower revenues and higher operating expenses. ICG operating expenses increased 5%4% to $4.9 billion, as$6.3 billion. Excluding the impact of FX translation, expenses increased 2%, primarily driven by continued investments and volume-related expenses werein Citi’s transformation, along with other strategic investments, partially offset by lower incentive compensation and efficiency savings.
ICG revenues were $9.2of $10.4 billion decreased 14%, primarily reflecting a 30% decline in the third quarter of 2017, up 9% from the prior-year period, driven by a 16% increase in Banking revenues and a 3% increase in Markets and securities services revenues, including the gain on sale.partially offset by a 6% increase in Banking revenues. The increase in Banking revenues included the impact of $48$37 million of losses on loan hedges withinrelated to corporate lending, compared to aggregate losses of $218$431 million related to corporate lending ($414 million) and the private bank ($17 million) in the prior-year period.
Banking revenues of $4.7 billion (excludingExcluding the impact of lossesgains (losses) on loan hedges, within corporate lending) increased 11% compared to the prior-year period, driven by significant growthBanking revenues of $5.6 billion decreased 1%, as higher revenues in investment banking and the private bank as well as continued solid performanceand investment banking were more than offset by lower revenues in corporate lending and treasury and trade solutions and corporate lending.solutions. Investment banking revenues of $1.2$1.8 billion increased 14% versus the prior-year period,1%, primarily reflecting continued wallet share gains across all products. Equityrevenue growth in advisory and equity underwriting, largely offset by lower revenues in debt underwriting. Advisory revenues increased 77% to $405 million, equity underwriting revenues increased 99%11% to $290$544 million and debt underwriting revenues increaseddecreased 21% to $823 million.
Treasury and trade solutions revenues of $2.3 billion declined 1% to $704 million while advisory, or 2% excluding the impact of FX translation, as
higher fee revenues, decreased 1% to $237 million, all versusreflecting strong client engagement, and growth in trade were more than offset by the prior-year period.
impact of lower interest rates. Private bank revenues increased 15% versus the prior-year period6% to $785 million, driven by growth in clients, loans, investment activity and deposits, as well as improved spreads. Corporate lending revenues increased $233 million to $454 million.$1.0
billion. Excluding the impact of losses on loan hedges, private bank revenues increased 4%, driven by higher fees and
lending volumes, partially offset by the impact of lower
interest rates. Corporate lending revenues of $511 million increased from $232 million. Excluding the impact of gains (losses) on loan hedges, corporate lending revenues increased 14%of $548 million decreased 15%, primarily due to $502 million
versus the prior-year period, reflecting lower hedging costs and improved loan sale activity. Treasury and trade solutions revenues increased 8% to $2.1 billion versus the prior-year period, reflecting continued volume growth and improved deposit spreads.
Markets and securities services revenues increased 3% to $4.6of $4.8 billion versus the prior-year period, as a decline in fixed income marketsrevenues was more than offset by higher revenues in equity markets, securities services as well as the gain on sale.decreased 30%. Fixed income markets revenues of $3.2 billion decreased 16% to $2.9 billion43% versus thea strong prior-year period primarily reflecting lower G10in both rates and currencies revenues, given low volatility in the current quarter and the comparison to higher Brexit-related activity a year ago, as well as lower activity in spread products. Equity markets revenues of $1.1 billion increased 16% to $757 million versus the prior-year period, reflecting client-led growth across cash equities,37%, driven by strong performance in derivatives and prime finance.finance, reflecting solid client activity and favorable market conditions. Securities services revenues of $672 million increased 12% to $599 million versus9%. Excluding the prior-year period,impact of FX translation, securities services revenues increased 5%, primarily reflecting growth in fee revenues, driven by growth in clientassets under custody and settlement volumes, across the custody business, along with higher interest revenue.partially offset by lower deposit spreads. For additional information on the results of operations of ICG for the thirdsecond quarter of 2017,2021, see “Institutional Clients Group” below.
Corporate/Other
Corporate/Other net lossincome was $87$542 million in the thirdsecond quarter of 2017,2021, compared to a net loss of $48$58 million in the prior-year period, reflecting lower revenues, partially offsetprimarily driven by lower operating expenses and lower cost of credit.certain income tax benefit items related to non-U.S. operations in the current period (approximately $450 million), as well as a net ACL release on Citi’s residual legacy portfolio versus a build in the prior-year period. Operating expenses of $822$378 million declined 36% from the prior-year period, reflecting the wind-down of legacy assets and lower legal expenses.
Corporate/Other revenues were $509 million, down 55% from the prior-year period, reflecting the wind-down of legacy assets, divestitures andincreased 14%, primarily driven by the impact of hedging activities.foreign exchange translation.
Corporate/Other end-of-period assets decreased 4% to $100 billion revenues of $267 million declined from $290 million in the prior-year period, as Citi continued to wind-down legacy assets.positive marks on investments were more than offset by the absence of AFS gains. For additional information on the results of operations of Corporate/Otherfor the thirdsecond quarter of 2017,2021, see “Corporate/Other” below.
COVID-19 PANDEMIC
Due to the continued virus contagion and challenges in vaccine distribution, the COVID-19 pandemic has continued to have adverse, albeit relatively lessening, impacts on macroeconomic conditions in the U.S. and around the world. Despite these impacts, Citi has maintained strong capital and liquidity positions with consistently strong business operations. For information on Citi’s support of its colleagues, customers and communities and its management of pandemic risks, see “COVID-19 Pandemic Overview” in Citigroup’s 2020 Annual Report on Form 10-K.
RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1DATA
Citigroup Inc. and Consolidated Subsidiaries
| | | | | | | | | | | | | | | | Second Quarter | | Six Months | |
| | Third Quarter | | Nine Months | | |
| In millions of dollars, except per-share amounts and ratios | 2017 | 2016 | % Change | 2017 | 2016 | % Change | |
| In millions of dollars, except per share amounts | | In millions of dollars, except per share amounts | 2021 | 2020(1) | % Change | 2021 | 2020 | % Change |
| Net interest revenue | $ | 11,442 |
| $ | 11,479 |
| — | % | $ | 33,464 |
| $ | 33,942 |
| (1 | )% | Net interest revenue | $ | 10,199 | | $ | 11,080 | | (8) | % | $ | 20,365 | | $ | 22,572 | | (10) | % |
| Non-interest revenue | 6,731 |
| 6,281 |
| 7 |
| 20,730 |
| 18,921 |
| 10 |
| Non-interest revenue | 7,275 | | 8,686 | | (16) | | 16,436 | | 17,925 | | (8) | |
| Revenues, net of interest expense | $ | 18,173 |
| $ | 17,760 |
| 2 | % | $ | 54,194 |
| $ | 52,863 |
| 3 | % | Revenues, net of interest expense | $ | 17,474 | | $ | 19,766 | | (12) | % | $ | 36,801 | | $ | 40,497 | | (9) | % |
| Operating expenses | 10,171 |
| 10,404 |
| (2 | ) | 31,154 |
| 31,296 |
| — |
| Operating expenses | 11,192 | | 10,460 | | 7 | | 22,265 | | 21,103 | | 6 | |
| Provisions for credit losses and for benefits and claims | 1,999 |
| 1,736 |
| 15 |
| 5,378 |
| 5,190 |
| 4 |
| Provisions for credit losses and for benefits and claims | (1,066) | | 8,197 | | NM | (3,121) | | 15,157 | | NM |
| Income from continuing operations before income taxes | $ | 6,003 |
| $ | 5,620 |
| 7 | % | $ | 17,662 |
| $ | 16,377 |
| 8 | % | Income from continuing operations before income taxes | $ | 7,348 | | $ | 1,109 | | NM | $ | 17,657 | | $ | 4,237 | | NM |
| Income taxes | 1,866 |
| 1,733 |
| 8 |
| 5,524 |
| 4,935 |
| 12 |
| Income taxes | 1,155 | | 52 | | NM | 3,487 | | 632 | | NM |
| Income from continuing operations | $ | 4,137 |
| $ | 3,887 |
| 6 | % | $ | 12,138 |
| $ | 11,442 |
| 6 | % | Income from continuing operations | $ | 6,193 | | $ | 1,057 | | NM | $ | 14,170 | | $ | 3,605 | | NM |
Income (loss) from discontinued operations, net of taxes(1) | (5 | ) | (30 | ) | 83 |
| (2 | ) | (55 | ) | 96 |
| |
| Income (loss) from discontinued operations, net of taxes | | Income (loss) from discontinued operations, net of taxes | 10 | | (1) | | NM | 8 | | (19) | | NM |
Net income before attribution of noncontrolling interests | $ | 4,132 |
| $ | 3,857 |
| 7 | % | $ | 12,136 |
| $ | 11,387 |
| 7 | % | Net income before attribution of noncontrolling interests | $ | 6,203 | | $ | 1,056 | | NM | $ | 14,178 | | $ | 3,586 | | NM |
| Net income attributable to noncontrolling interests | (1 | ) | 17 |
| NM |
| 41 |
| 48 |
| (15 | ) | Net income attributable to noncontrolling interests | 10 | | — | | — | % | 43 | | (6) | | NM |
| Citigroup’s net income | $ | 4,133 |
| $ | 3,840 |
| 8 | % | $ | 12,095 |
| $ | 11,339 |
| 7 | % | Citigroup’s net income | $ | 6,193 | | $ | 1,056 | | NM | $ | 14,135 | | $ | 3,592 | | NM |
| Less: | |
|
| | | |
| Preferred dividends—Basic | $ | 272 |
| $ | 225 |
| 21 | % | $ | 893 |
| $ | 757 |
| 18 | % | |
| Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS | 53 |
| 53 |
| — |
| 156 |
| 145 |
| 8 |
| |
Income allocated to unrestricted common shareholders for basic and diluted EPS | $ | 3,808 |
| $ | 3,562 |
| 7 | % | $ | 11,046 |
| $ | 10,437 |
| 6 | % | |
| Earnings per share | |
|
| | |
| | Earnings per share | | | | |
| Basic | |
|
| | |
| | Basic | | | | |
| Income from continuing operations | 1.42 |
| 1.25 |
| 14 |
| 4.05 |
| 3.60 |
| 13 |
| Income from continuing operations | $ | 2.86 | | $ | 0.38 | | NM | $ | 6.51 | | $ | 1.45 | | NM |
| Net income | 1.42 |
| 1.24 |
| 15 |
| 4.05 |
| 3.58 |
| 13 |
| Net income | 2.87 | | 0.38 | | NM | 6.52 | | 1.44 | | NM |
| Diluted | |
|
| | | Diluted | | | |
| Income from continuing operations | $ | 1.42 |
| $ | 1.25 |
| 14 | % | $ | 4.05 |
| $ | 3.60 |
| 13 | % | Income from continuing operations | $ | 2.84 | | $ | 0.38 | | NM | $ | 6.47 | | $ | 1.45 | | NM |
| Net income | 1.42 |
| 1.24 |
| 15 |
| 4.05 |
| 3.58 |
| 13 |
| Net income | 2.85 | | 0.38 | | NM | 6.47 | | 1.44 | | NM |
| Dividends declared per common share | 0.32 |
| 0.16 |
| 100 |
| 0.64 |
| 0.26 |
| NM |
| Dividends declared per common share | 0.51 | | 0.51 | | — | % | 1.02 | | 1.02 | | — | % |
| Common dividends | | Common dividends | $ | 1,062 | | $ | 1,071 | | (1) | % | $ | 2,136 | | $ | 2,152 | | (1) | % |
Preferred dividends(2) | | Preferred dividends(2) | 253 | | 253 | | — | | 545 | | 544 | | — | |
| Common share repurchases | | Common share repurchases | 3,000 | | — | | — | | 4,600 | | 2,925 | | 57 | |
StatementTable continues on the next page, including notes to the table.footnotes.
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2DATA
|
| | | | | | | | | | | | | |
| Citigroup Inc. and Consolidated Subsidiaries |
| | Third Quarter | | Nine Months | |
In millions of dollars, except per-share amounts, ratios and direct staff | 2017 | 2016 | % Change | 2017 | 2016 | % Change |
| At September 30: | | | | | | |
| Total assets | $ | 1,889,133 |
| $ | 1,818,117 |
| 4 | % | | | |
| Total deposits | 964,038 |
| 940,252 |
| 3 |
| | | |
| Long-term debt | 232,673 |
| 209,051 |
| 11 |
| | | |
| Citigroup common stockholders’ equity | 208,381 |
| 212,322 |
| (2 | ) | | | |
| Total Citigroup stockholders’ equity | 227,634 |
| 231,575 |
| (2 | ) | | | |
Direct staff (in thousands) | 213 |
| 220 |
| (3 | ) | | | |
| Performance metrics | | |
|
| | | |
| Return on average assets | 0.87 | % | 0.83 | % |
|
| 0.87 | % | 0.84 | % | |
Return on average common stockholders’ equity(2) | 7.3 |
| 6.8 |
|
|
| 7.2 |
| 6.7 |
| |
Return on average total stockholders’ equity(2) | 7.2 |
| 6.6 |
|
|
| 7.1 |
| 6.6 |
| |
| Efficiency ratio (Total operating expenses/Total revenues) | 56 |
| 59 |
|
|
| 57 |
| 59 |
| |
| Basel III ratios—full implementation | | | | | | |
Common Equity Tier 1 Capital(3) | 12.98 | % | 12.63 | % | | | | |
Tier 1 Capital(3) | 14.61 |
| 14.23 |
| | | | |
Total Capital(3) | 16.95 |
| 16.34 |
| | | | |
Supplementary Leverage ratio(4) | 7.11 |
| 7.40 |
| | | | |
| Citigroup common stockholders’ equity to assets | 11.03 | % | 11.68 | % | |
|
| | |
| Total Citigroup stockholders’ equity to assets | 12.05 |
| 12.74 |
| |
|
| | |
Dividend payout ratio(5) | 22.5 |
| 12.9 |
| | 15.8 | % | 7.3 | % | |
Total payout ratio(6) | 165 |
| 83 |
| | 96 |
| 56 |
| |
| Book value per common share | $ | 78.81 |
| $ | 74.51 |
| 6 | % |
|
| | |
Tangible book value (TBV) per share(7) | 68.55 |
| 64.71 |
| 6 |
| | | |
| Ratio of earnings to fixed charges and preferred stock dividends | 2.27x |
| 2.61x |
| | 2.34x |
| 2.60x |
| |
| |
(1) | See Note 2 to the Consolidated Financial Statements for additional information on Citi’s discontinued operations. |
| |
(2) | The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity. |
| |
(3) | Citi’s reportable Common Equity Tier 1 (CET1) Capital and Tier 1 Capital ratios were the lower derived under the U.S. Basel III Standardized Approach at September 30, 2017, and U.S. Basel III Advanced Approaches at September 30, 2016. Citi’s reportable Total Capital ratios were derived under the U.S. Basel III Advanced Approaches for both periods presented. This reflects the U.S. Basel III requirement to report the lower of risk-based capital ratios under both the Standardized Approach and Advanced Approaches in accordance with the Collins Amendment of the Dodd-Frank Act. |
| |
(4) | Citi’s Supplementary Leverage ratio reflects full implementation of the U.S. Basel III rules. |
| |
(5) | Dividends declared per common share as a percentage of net income per diluted share. |
| |
(6) | Total common dividends declared plus common stock repurchases as a percentage of net income available to common shareholders. See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 9 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details. |
| |
(7) | For information on TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity” below. |
| | | | | | | | | | | | | | | | | | | | |
In millions of dollars, except per share amounts, ratios and
direct staff | Second Quarter | | Six Months | |
| 2021 | 2020(1) | % Change | 2021 | 2020 | % Change |
| At June 30: | | | | | | |
| Total assets | $ | 2,327,868 | | $ | 2,232,799 | | 4 | % | | | |
| Total deposits | 1,310,281 | | 1,233,660 | | 6 | | | | |
| Long-term debt | 264,575 | | 279,775 | | (5) | | | | |
| Citigroup common stockholders’ equity | 184,164 | | 173,726 | | 6 | | | | |
| Total Citigroup stockholders’ equity | 202,159 | | 191,706 | | 5 | | | | |
| Average assets | 2,341,810 | | 2,266,869 | | 3 | | $ | 2,329,302 | | $ | 2,173,462 | | 7 | % |
Direct staff (in thousands) | 214 | | 204 | | 5 | % | | | |
| Performance metrics | | | | | | |
| Return on average assets | 1.06 | % | 0.19 | % | | 1.22 | % | 0.33 | % | |
Return on average common stockholders’ equity(3) | 13.0 | | 1.8 | | | 15.1 | | 3.5 | | |
Return on average total stockholders’ equity(3) | 12.3 | | 2.2 | | | 14.2 | | 3.7 | | |
Return on tangible common equity (RoTCE)(4) | 15.2 | | 2.2 | | | 17.6 | | 4.1 | | |
| Efficiency ratio (total operating expenses/total revenues, net) | 64.0 | | 52.9 | | | 60.5 | | 52.1 | | |
| Basel III ratios | | | | | | |
Common Equity Tier 1 Capital(5) | 11.83 | % | 11.50 | % | | | | |
Tier 1 Capital(5) | 13.35 | | 12.98 | | | | | |
Total Capital(5) | 15.63 | | 15.45 | | | | | |
| Supplementary Leverage ratio | 5.84 | | 6.64 | | | | | |
| Citigroup common stockholders’ equity to assets | 7.91 | % | 7.78 | % | | | | |
| Total Citigroup stockholders’ equity to assets | 8.68 | | 8.59 | | | | | |
Dividend payout ratio(6) | 18 | | 133 | | | 16 | % | 71 | % | |
Total payout ratio(7) | 68 | | 133 | | | 50 | | 167 | | |
| Book value per common share | $ | 90.86 | | $ | 83.45 | | 9 | % | | | |
Tangible book value (TBV) per share(4) | 77.87 | | 71.20 | | 9 | | | | |
(1) In the fourth quarter of 2020, Citi revised the 2020 second quarter accounting conclusion for its variable post-charge-off third-party collection costs from a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to January 1, 2020 opening retained earnings, rather than 2020 net income. As a result, Citi’s full-year and quarterly results for 2020 were revised to reflect this change as if it were effective as of January 1, 2020, as follows: an increase to beginning retained earnings on January 1, 2020 of $330 million and a decrease of $443 million in the allowance for credit losses on loans, as well as a $113 million decrease in other assets related to income taxes; a decrease of $18 million to provisions for credit losses on loans in the first quarter and increases of $339 million and $122 million to provisions for credit losses on loans in the second and third quarters, respectively; and increases in operating expenses of $49 million and $45 million with a corresponding decrease in net credit losses, in the first and second quarters, respectively. See Note 1 to the Consolidated Financial Statements for additional information.
(2) Certain series of preferred stock have semiannual payment dates. See Note 9 to the Consolidated Financial Statements.
(3) The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
(4) RoTCE and TBV are non-GAAP financial measures. For information on RoTCE and TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Return on Equity” below.
(5) Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach framework as of June 30, 2021, and under the Basel III Advanced Approaches framework as of June 30, 2020, whereas Citi’s reportable Total Capital ratio was derived under the Basel III Advanced Approaches framework for both periods presented.
(6) Dividend payout ratio is calculated as dividends declared per common share as a percentage of net income per diluted share.
(7) Total payout ratio is calculated as total common dividends declared plus common share repurchases as a percentage of net income available to common shareholders (Net income less preferred dividends). See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 9 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details.
NM Not meaningful
SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
| | | | | | | | | | | | | | | | | | | | |
| Second Quarter | | Six Months | |
| In millions of dollars | 2021 | 2020 | % Change | 2021 | 2020 | % Change |
Income (loss) from continuing operations(1) | | | | | | |
| Global Consumer Banking | | | | | | |
| North America | $ | 1,309 | | $ | (734) | | NM | $ | 3,166 | | $ | (1,675) | | NM |
| Latin America | 352 | | 2 | | NM | 404 | | (33) | | NM |
Asia(1) | 171 | | 27 | | NM | 433 | | 219 | | 98 | % |
| Total | $ | 1,832 | | $ | (705) | | NM | $ | 4,003 | | $ | (1,489) | | NM |
| Institutional Clients Group | | | | | | |
| North America | $ | 1,253 | | $ | 623 | | NM | $ | 4,032 | | $ | 1,486 | | NM |
| EMEA | 1,156 | | 483 | | NM | 2,622 | | 1,509 | | 74 | % |
| Latin America | 597 | | (198) | | NM | 1,242 | | 325 | | NM |
| Asia | 823 | | 914 | | (10) | % | 1,871 | | 2,076 | | (10) | |
| Total | $ | 3,829 | | $ | 1,822 | | NM | $ | 9,767 | | $ | 5,396 | | 81 | % |
| Corporate/Other | 532 | | (60) | | NM | 400 | | (302) | | NM |
| Income from continuing operations | $ | 6,193 | | $ | 1,057 | | NM | $ | 14,170 | | $ | 3,605 | | NM |
| Discontinued operations | $ | 10 | | $ | (1) | | NM | $ | 8 | | $ | (19) | | NM |
| Less: Net income attributable to noncontrolling interests | 10 | | — | | — | % | 43 | | (6) | | NM |
| Citigroup’s net income | $ | 6,193 | | $ | 1,056 | | NM | $ | 14,135 | | $ | 3,592 | | NM |
|
| | | | | | | | | | | | | | | | |
| | Third Quarter | | Nine Months | |
| In millions of dollars | 2017 | 2016 | % Change | 2017 | 2016 | % Change |
| Income from continuing operations | | | | | | |
| Global Consumer Banking | | | | | | |
| North America | $ | 655 |
| $ | 780 |
| (16 | )% | $ | 1,952 |
| $ | 2,428 |
| (20 | )% |
| Latin America | 164 |
| 160 |
| 3 |
| 430 |
| 479 |
| (10 | ) |
Asia(1) | 355 |
| 310 |
| 15 |
| 924 |
| 822 |
| 12 |
|
| Total | $ | 1,174 |
| $ | 1,250 |
| (6 | )% | $ | 3,306 |
| $ | 3,729 |
| (11 | )% |
| Institutional Clients Group |
|
| |
|
|
|
| |
|
|
| North America | $ | 1,322 |
| $ | 1,067 |
| 24 | % | $ | 3,534 |
| $ | 2,618 |
| 35 | % |
| EMEA | 746 |
| 649 |
| 15 |
| 2,380 |
| 1,718 |
| 39 |
|
| Latin America | 380 |
| 389 |
| (2 | ) | 1,188 |
| 1,111 |
| 7 |
|
| Asia | 614 |
| 555 |
| 11 |
| 1,751 |
| 1,697 |
| 3 |
|
| Total | $ | 3,062 |
| $ | 2,660 |
| 15 | % | $ | 8,853 |
| $ | 7,144 |
| 24 | % |
| Corporate/Other | (99 | ) | (23 | ) | NM |
| (21 | ) | 569 |
| NM |
|
| Income from continuing operations | $ | 4,137 |
| $ | 3,887 |
| 6 | % | $ | 12,138 |
| $ | 11,442 |
| 6 | % |
| Discontinued operations | $ | (5 | ) | $ | (30 | ) | 83 | % | $ | (2 | ) | $ | (55 | ) | 96 | % |
| Net income attributable to noncontrolling interests | (1 | ) | 17 |
| NM |
| 41 |
| 48 |
| (15 | ) |
| Citigroup’s net income | $ | 4,133 |
| $ | 3,840 |
| 8 | % | $ | 12,095 |
| $ | 11,339 |
| 7 | % |
(1) During the first quarter of 2021, Citi changed its classification of certain recurring expenses related to investments in infrastructure and risk controls, allocating them from Corporate/Other to GCB and ICG. This allocation change had no impact on Citi's earnings before income taxes (EBIT) or Net income for any period. Prior-period amounts have been reclassified to conform to the current period’s presentation. See Note 3 to the Consolidated Financial Statements.
| |
(1) | Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.(2) Asia GCB includes the results of operations of GCB activities in certain EMEA countries. |
NM Not meaningful
CITIGROUP REVENUES
| | | | | | | | | | | | | | | | | | | | |
| Second Quarter | | Six Months | |
| In millions of dollars | 2021 | 2020 | % Change | 2021 | 2020 | % Change |
| Global Consumer Banking | | | | | | |
| North America | $ | 4,201 | | $ | 4,742 | | (11) | % | $ | 8,629 | | $ | 9,966 | | (13) | % |
| Latin America | 1,053 | | 1,050 | | — | | 2,061 | | 2,249 | | (8) | |
Asia(1) | 1,566 | | 1,547 | | 1 | | 3,167 | | 3,298 | | (4) | |
| Total | $ | 6,820 | | $ | 7,339 | | (7) | % | $ | 13,857 | | $ | 15,513 | | (11) | % |
| Institutional Clients Group | | | | | | |
| North America | $ | 3,718 | | $ | 4,987 | | (25) | % | $ | 8,616 | | $ | 9,934 | | (13) | % |
| EMEA | 3,253 | | 3,392 | | (4) | | 6,966 | | 6,862 | | 2 | |
| Latin America | 1,174 | | 1,207 | | (3) | | 2,310 | | 2,625 | | (12) | |
| Asia | 2,242 | | 2,551 | | (12) | | 4,715 | | 5,200 | | (9) | |
| Total | $ | 10,387 | | $ | 12,137 | | (14) | % | $ | 22,607 | | $ | 24,621 | | (8) | % |
| Corporate/Other | 267 | | 290 | | (8) | | 337 | | 363 | | (7) | |
| Total Citigroup net revenues | $ | 17,474 | | $ | 19,766 | | (12) | % | $ | 36,801 | | $ | 40,497 | | (9) | % |
(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries.
|
| | | | | | | | | | | | | | | | |
| | Third Quarter | | Nine Months | |
| In millions of dollars | 2017 | 2016 | % Change | 2017 | 2016 | % Change |
| Global Consumer Banking | | | | | | |
| North America | $ | 5,194 |
| $ | 5,161 |
| 1 | % | $ | 15,082 |
| $ | 14,700 |
| 3 | % |
| Latin America | 1,370 |
| 1,245 |
| 10 |
| 3,811 |
| 3,710 |
| 3 |
|
Asia(1) | 1,869 |
| 1,758 |
| 6 |
| 5,392 |
| 5,142 |
| 5 |
|
| Total | $ | 8,433 |
| $ | 8,164 |
| 3 | % | $ | 24,285 |
| $ | 23,552 |
| 3 | % |
| Institutional Clients Group |
|
| |
|
| | |
|
|
| North America | $ | 3,638 |
| $ | 3,191 |
| 14 | % | $ | 10,661 |
| $ | 9,564 |
| 11 | % |
| EMEA | 2,655 |
| 2,506 |
| 6 |
| 8,299 |
| 7,250 |
| 14 |
|
| Latin America | 1,059 |
| 999 |
| 6 |
| 3,228 |
| 2,983 |
| 8 |
|
| Asia | 1,879 |
| 1,763 |
| 7 |
| 5,382 |
| 5,246 |
| 3 |
|
| Total | $ | 9,231 |
| $ | 8,459 |
| 9 | % | $ | 27,570 |
| $ | 25,043 |
| 10 | % |
| Corporate/Other | 509 |
| 1,137 |
| (55 | ) | 2,339 |
| 4,268 |
| (45 | ) |
| Total Citigroup net revenues | $ | 18,173 |
| $ | 17,760 |
| 2 | % | $ | 54,194 |
| $ | 52,863 |
| 3 | % |
| |
(1) | Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
|
SEGMENT BALANCE SHEET(1)—JUNE 30, 2021
| | | | | | | | | | | | | | | | | |
| In millions of dollars | Global
Consumer
Banking | Institutional
Clients
Group | Corporate/Other and consolidating eliminations(2) | Citigroup parent company- issued long-term debt and stockholders’ equity(3) | Total
Citigroup
consolidated |
| Assets | | | | | |
| Cash and deposits with banks, net of allowance | $ | 7,379 | | $ | 94,813 | | $ | 197,046 | | $ | — | | $ | 299,238 | |
| Securities borrowed and purchased under agreements to resell, net of allowance | 276 | | 308,542 | | 229 | | — | | 309,047 | |
| Trading account assets | 1,428 | | 355,592 | | 13,930 | | — | | 370,950 | |
| Investments, net of allowance | 1,283 | | 131,600 | | 354,180 | | — | | 487,063 | |
Loans, net of unearned income and allowance
for credit losses on loans | 254,919 | | 397,796 | | 4,881 | | — | | 657,596 | |
| Other assets, net of allowance | 40,600 | | 121,506 | | 41,868 | | — | | 203,974 | |
Net inter-segment liquid assets(4) | 126,234 | | 384,869 | | (511,103) | | — | | — | |
| Total assets | $ | 432,119 | | $ | 1,794,718 | | $ | 101,031 | | $ | — | | $ | 2,327,868 | |
| Liabilities and equity | | | | | |
| Total deposits | $ | 355,832 | | $ | 946,564 | | $ | 7,885 | | $ | — | | $ | 1,310,281 | |
Securities loaned and sold under agreements
to repurchase | 2,259 | | 219,556 | | 2 | | — | | 221,817 | |
| Trading account liabilities | 875 | | 173,180 | | 651 | | — | | 174,706 | |
| Short-term borrowings | — | | 29,371 | | 2,091 | | — | | 31,462 | |
Long-term debt(3) | 1,101 | | 83,362 | | 5,746 | | 174,366 | | 264,575 | |
| Other liabilities, net of allowance | 20,891 | | 84,214 | | 17,012 | | — | | 122,117 | |
Net inter-segment funding (lending)(3) | 51,161 | | 258,471 | | 66,893 | | (376,525) | | — | |
| Total liabilities | $ | 432,119 | | $ | 1,794,718 | | $ | 100,280 | | $ | (202,159) | | $ | 2,124,958 | |
Total stockholders’ equity(5) | — | | — | | 751 | | 202,159 | | 202,910 | |
| Total liabilities and equity | $ | 432,119 | | $ | 1,794,718 | | $ | 101,031 | | $ | — | | $ | 2,327,868 | |
(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reportable segment and Corporate/Other. The respective information depicts the assets and liabilities managed by each segment and Corporate/Other 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 are reflected on the Citigroup parent company balance sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)Represents the attribution of Citigroup’s liquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage ratio (LCR) assumptions.
(5)Corporate/Other equity represents noncontrolling interests.
|
| | | | | | | | | | | | | | | |
| In millions of dollars | Global Consumer Banking | Institutional Clients Group | Corporate/Other and consolidating eliminations(2) | Citigroup Parent company- issued long-term debt and stockholders’ equity(3) | Total Citigroup consolidated |
| Assets | | | | | |
| Cash and deposits with banks | $ | 9,963 |
| $ | 64,994 |
| $ | 111,152 |
| $ | — |
| $ | 186,109 |
|
Federal funds sold and securities borrowed or purchased under agreements to resell | 327 |
| 251,787 |
| 494 |
| — |
| 252,608 |
|
| Trading account assets | 6,366 |
| 250,104 |
| 2,437 |
| — |
| 258,907 |
|
| Investments | 10,143 |
| 110,627 |
| 233,904 |
| — |
| 354,674 |
|
Loans, net of unearned income and allowance for loan losses
| 291,785 |
| 325,055 |
| 23,977 |
| — |
| 640,817 |
|
| Other assets | 38,306 |
| 101,387 |
| 56,325 |
| — |
| 196,018 |
|
Liquidity assets(4) | 62,265 |
| 266,523 |
| (328,788 | ) | — |
| — |
|
| Total assets | $ | 419,155 |
| $ | 1,370,477 |
| $ | 99,501 |
| $ | — |
| $ | 1,889,133 |
|
| Liabilities and equity | | | | | |
| Total deposits | $ | 310,048 |
| $ | 639,554 |
| $ | 14,436 |
| $ | — |
| $ | 964,038 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase | 4,199 |
| 157,076 |
| 7 |
| — |
| 161,282 |
|
| Trading account liabilities | 9 |
| 138,253 |
| 558 |
| — |
| 138,820 |
|
| Short-term borrowings | 798 |
| 20,806 |
| 16,545 |
| — |
| 38,149 |
|
Long-term debt(3) | 1,109 |
| 35,498 |
| 44,152 |
| 151,914 |
| 232,673 |
|
| Other liabilities | 19,377 |
| 86,477 |
| 19,695 |
| — |
| 125,549 |
|
Net inter-segment funding (lending)(3) | 83,615 |
| 292,813 |
| 3,120 |
| (379,548 | ) | — |
|
| Total liabilities | $ | 419,155 |
| $ | 1,370,477 |
| $ | 98,513 |
| $ | (227,634 | ) | $ | 1,660,511 |
|
Total equity(5) | — |
| — |
| 988 |
| 227,634 |
| 228,622 |
|
| Total liabilities and equity | $ | 419,155 |
| $ | 1,370,477 |
| $ | 99,501 |
| $ | — |
| $ | 1,889,133 |
|
| |
(1) | The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of September 30, 2017. The respective segment information depicts the assets and liabilities managed by each segment as of such date. |
| |
(2) | Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within Corporate/Other.
|
| |
(3) | The total stockholders’ equity and the majority of long-term debt of Citigroup reside in the Citigroup parent company Balance Sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above. |
| |
(4) | Represents the attribution of Citigroup’s liquidity assets (primarily consisting of cash and available-for-sale securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions. |
| |
(5) | Corporate/Other equity represents noncontrolling interests.
|
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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, in the U.S., Citi retail services (for additional information on these businesses, see “Citigroup Segments” above). services. GCB is focused on its priority markets in the U.S., Mexico and Asia with 2,474Asia. As of June 30, 2021, GCB had 2,209 branches in 19 countries and jurisdictions as of September 30, 2017. At September 30, 2017, GCB had approximately $419with $432 billion in assets and $310$356 billion in retail banking deposits.
GCB’s overall strategy is to leverage Citi’sits global footprint and be the preeminent bank for the emerging affluentdigital capabilities to develop multiproduct relationships with customers—both in and affluent consumersout of Citi’s branch footprint. To achieve this, GCB strives to optimize its clients’ experiences across lending, payments and wealth management through continued digitization, new partnerships and innovation. For information on Citi’s previously announced strategic actions, including pursuing exits of its consumer franchises in large urban centers. In credit cards13 markets across Asia and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies.EMEA, see “Asia GCB” below.
| | | | | | | | | | | | | | | | Second Quarter | | Six Months | |
| | Third Quarter | | Nine Months | | |
| In millions of dollars except as otherwise noted | 2017 | 2016 | % Change | 2017 | 2016 | % Change | |
| In millions of dollars, except as otherwise noted | | In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | 2021 | 2020 | % Change |
| Net interest revenue | $ | 7,010 |
| $ | 6,709 |
| 4 | % | $ | 20,231 |
| $ | 19,369 |
| 4 | % | Net interest revenue | $ | 5,847 | | $ | 6,534 | | (11) | % | $ | 11,800 | | $ | 13,606 | | (13) | % |
| Non-interest revenue | 1,423 |
| 1,455 |
| (2 | )% | 4,054 |
| 4,183 |
| (3 | )% | Non-interest revenue | 973 | | 805 | | 21 | | 2,057 | | 1,907 | | 8 | |
| Total revenues, net of interest expense | $ | 8,433 |
| $ | 8,164 |
| 3 | % | $ | 24,285 |
| $ | 23,552 |
| 3 | % | Total revenues, net of interest expense | $ | 6,820 | | $ | 7,339 | | (7) | % | $ | 13,857 | | $ | 15,513 | | (11) | % |
| Total operating expenses | $ | 4,410 |
| $ | 4,429 |
| — | % | $ | 13,322 |
| $ | 13,127 |
| 1 | % | Total operating expenses | $ | 4,550 | | $ | 4,122 | | 10 | % | $ | 8,950 | | $ | 8,597 | | 4 | % |
| Net credit losses | $ | 1,704 |
| $ | 1,349 |
| 26 | % | $ | 4,922 |
| $ | 4,094 |
| 20 | % | |
| Credit reserve build (release) | 486 |
| 436 |
| 11 | % | 788 |
| 544 |
| 45 | % | |
| Provision (release) for unfunded lending commitments | (5 | ) | (3 | ) | (67 | )% | — |
| 6 |
| (100 | )% | |
| Provision for benefits and claims | 28 |
| 26 |
| 8 | % | 80 |
| 74 |
| 8 | % | |
| Provisions for credit losses and for benefits and claims (LLR & PBC) | $ | 2,213 |
| $ | 1,808 |
| 22 | % | $ | 5,790 |
| $ | 4,718 |
| 23 | % | |
| Income from continuing operations before taxes | $ | 1,810 |
| $ | 1,927 |
| (6 | )% | $ | 5,173 |
| $ | 5,707 |
| (9 | )% | |
| Income taxes | 636 |
| 677 |
| (6 | ) | 1,867 |
| 1,978 |
| (6 | ) | |
| Income from continuing operations | $ | 1,174 |
| $ | 1,250 |
| (6 | )% | $ | 3,306 |
| $ | 3,729 |
| (11 | )% | |
| Net credit losses on loans | | Net credit losses on loans | $ | 1,253 | | $ | 1,842 | | (32) | % | $ | 2,833 | | $ | 3,776 | | (25) | % |
| Credit reserve build (release) for loans | | Credit reserve build (release) for loans | (1,398) | | 2,299 | | NM | (3,204) | | 5,110 | | NM |
| Provision (release) for credit losses on unfunded lending commitments | | Provision (release) for credit losses on unfunded lending commitments | 1 | | — | | — | | 1 | | (1) | | NM |
| Provisions for benefits and claims, HTM debt securities and other assets | | Provisions for benefits and claims, HTM debt securities and other assets | 9 | | 38 | | (76) | | 44 | | 58 | | (24) | |
| Provisions (releases) for credit losses and for benefits and claims (PBC) | | Provisions (releases) for credit losses and for benefits and claims (PBC) | $ | (135) | | $ | 4,179 | | NM | $ | (326) | | $ | 8,943 | | NM |
| Income (loss) from continuing operations before taxes | | Income (loss) from continuing operations before taxes | $ | 2,405 | | $ | (962) | | NM | $ | 5,233 | | $ | (2,027) | | NM |
| Income taxes (benefits) | | Income taxes (benefits) | 573 | | (257) | | NM | 1,230 | | (538) | | NM |
| Income (loss) from continuing operations | | Income (loss) from continuing operations | $ | 1,832 | | $ | (705) | | NM | $ | 4,003 | | $ | (1,489) | | NM |
| Noncontrolling interests | 2 |
| 3 |
| (33 | )% | 7 |
| 6 |
| 17 |
| Noncontrolling interests | (2) | | (2) | | — | % | (5) | | (3) | | (67) | % |
| Net income | $ | 1,172 |
| $ | 1,247 |
| (6 | )% | $ | 3,299 |
| $ | 3,723 |
| (11 | )% | |
Balance Sheet data (in billions of dollars) |
|
| |
|
| |
|
| |
| Total EOP assets | $ | 419 |
| $ | 411 |
| 2 | % | |
|
| |
| Average assets | 421 |
| 409 |
| 3 |
| $ | 415 |
| $ | 391 |
| 6 | % | |
| Net income (loss) | | Net income (loss) | $ | 1,834 | | $ | (703) | | NM | $ | 4,008 | | $ | (1,486) | | NM |
| Balance Sheet data and ratios | | Balance Sheet data and ratios | | | |
EOP assets (in billions of dollars) | | EOP assets (in billions of dollars) | $ | 432 | | $ | 423 | | 2 | % | | |
Average assets (in billions of dollars) | | Average assets (in billions of dollars) | 437 | | 418 | | 5 | | $ | 438 | | $ | 412 | | 6 | % |
| Return on average assets | 1.10 | % | 1.21 | % |
|
| 1.06 | % | 1.27 | % |
|
| Return on average assets | 1.68 | % | (0.68) | % | | 1.85 | % | (0.73) | % | |
| Efficiency ratio | 52 | % | 54 | % |
|
| 55 | % | 56 | % |
|
| Efficiency ratio | 67 | | 56 | | | 65 | | 55 | | |
| Average deposits | $ | 308 |
| $ | 301 |
| 2 | % | $ | 306 |
| $ | 298 |
| 3 | % | |
Average retail banking deposits (in billions of dollars) | | Average retail banking deposits (in billions of dollars) | $ | 353 | | $ | 302 | | 17 | | $ | 349 | | $ | 296 | | 18 | |
| Net credit losses as a percentage of average loans | 2.26 | % | 1.87 | % |
|
| 2.24 | % | 1.97 | % |
|
| Net credit losses as a percentage of average loans | 1.87 | % | 2.73 | % | | 2.70 | % | 2.11 | % | |
| Revenue by business |
|
| |
|
| |
|
| Revenue by business | | | |
| Retail banking | $ | 3,493 |
| $ | 3,330 |
| 5 | % | $ | 9,947 |
| $ | 9,759 |
| 2 | % | Retail banking | $ | 2,802 | | $ | 2,836 | | (1) | % | $ | 5,646 | | $ | 5,882 | | (4) | % |
Cards(1) | 4,940 |
| 4,834 |
| 2 |
| 14,338 |
| 13,793 |
| 4 |
| Cards(1) | 4,018 | | 4,503 | | (11) | | 8,211 | | 9,631 | | (15) | |
| Total | $ | 8,433 |
| $ | 8,164 |
| 3 | % | $ | 24,285 |
| $ | 23,552 |
| 3 | % | Total | $ | 6,820 | | $ | 7,339 | | (7) | % | $ | 13,857 | | $ | 15,513 | | (11) | % |
| Income from continuing operations by business |
|
| |
|
| |
|
| |
| Income (loss) from continuing operations by business | | Income (loss) from continuing operations by business | | | |
| Retail banking | $ | 550 |
| $ | 461 |
| 19 | % | $ | 1,309 |
| $ | 1,231 |
| 6 | % | Retail banking | $ | 272 | | $ | 30 | | NM | $ | 531 | | $ | 120 | | NM |
Cards(1) | 624 |
| 789 |
| (21 | ) | 1,997 |
| 2,498 |
| (20 | ) | Cards(1) | 1,560 | | (735) | | NM | 3,472 | | (1,609) | | NM |
| Total | $ | 1,174 |
| $ | 1,250 |
| (6 | )% | $ | 3,306 |
| $ | 3,729 |
| (11 | )% | Total | $ | 1,832 | | $ | (705) | | NM | $ | 4,003 | | $ | (1,489) | | NM |
Table continues on the next page.
page, including footnotes.
|
| | | | | | | | | | | | | | | | |
| Foreign currency (FX) translation impact | | |
|
| | | |
| Total revenue—as reported | $ | 8,433 |
| $ | 8,164 |
| 3 | % | $ | 24,285 |
| $ | 23,552 |
| 3 | % |
Impact of FX translation(2) | — |
| 89 |
|
|
| — |
| (39 | ) |
|
|
Total revenues—ex-FX(3) | $ | 8,433 |
| $ | 8,253 |
| 2 | % | $ | 24,285 |
| $ | 23,513 |
| 3 | % |
| Total operating expenses—as reported | $ | 4,410 |
| $ | 4,429 |
| — | % | $ | 13,322 |
| $ | 13,127 |
| 1 | % |
Impact of FX translation(2) | — |
| 43 |
|
|
| — |
| (10 | ) |
|
|
Total operating expenses—ex-FX(3) | $ | 4,410 |
| $ | 4,472 |
| (1 | )% | $ | 13,322 |
| $ | 13,117 |
| 2 | % |
| Total provisions for LLR & PBC—as reported | $ | 2,213 |
| $ | 1,808 |
| 22 | % | $ | 5,790 |
| $ | 4,718 |
| 23 | % |
Impact of FX translation(2) | — |
| 20 |
|
|
| — |
| (20 | ) |
|
|
Total provisions for LLR & PBC—ex-FX(3) | $ | 2,213 |
| $ | 1,828 |
| 21 | % | $ | 5,790 |
| $ | 4,698 |
| 23 | % |
| Net income—as reported | $ | 1,172 |
| $ | 1,247 |
| (6 | )% | $ | 3,299 |
| $ | 3,723 |
| (11 | )% |
Impact of FX translation(2) | — |
| 17 |
|
|
| — |
| (10 | ) |
|
|
Net income—ex-FX(3) | $ | 1,172 |
| $ | 1,264 |
| (7 | )% | $ | 3,299 |
| $ | 3,713 |
| (11 | )% |
| |
(1) | Includes both Citi-branded cards and Citi retail services. |
| |
(2) | Reflects the impact of FX translation into U.S. dollars at the third quarter of 2017 and year-to-date 2017 average exchange rates for all periods presented. |
| |
(3) | Presentation of this metric excluding FX translation is a non-GAAP financial measure. |
| | | | | | | | | | | | | | | | | | | | |
| Foreign currency (FX) translation impact | | | | | | |
| Total revenue—as reported | $ | 6,820 | | $ | 7,339 | | (7) | % | $ | 13,857 | | $ | 15,513 | | (11) | % |
Impact of FX translation(2) | — | | 200 | | | — | | 271 | | |
Total revenues—ex-FX(3) | $ | 6,820 | | $ | 7,539 | | (10) | % | $ | 13,857 | | $ | 15,784 | | (12) | % |
| Total operating expenses—as reported | $ | 4,550 | | $ | 4,122 | | 10 | % | $ | 8,950 | | $ | 8,597 | | 4 | % |
Impact of FX translation(2) | — | | 121 | | | — | | 168 | | |
Total operating expenses—ex-FX(3) | $ | 4,550 | | $ | 4,243 | | 7 | % | $ | 8,950 | | $ | 8,765 | | 2 | % |
| Total provisions for credit losses and PBC—as reported | $ | (135) | | $ | 4,179 | | NM | $ | (326) | | $ | 8,943 | | NM |
Impact of FX translation(2) | — | | 84 | | | — | | 108 | | |
Total provisions for credit losses and PBC—ex-FX(3) | $ | (135) | | $ | 4,263 | | NM | $ | (326) | | $ | 9,051 | | NM |
| Net income—as reported | $ | 1,834 | | $ | (703) | | NM | $ | 4,008 | | $ | (1,486) | | NM |
Impact of FX translation(2) | — | | (6) | | | — | | (6) | | |
Net income—ex-FX(3) | $ | 1,834 | | $ | (709) | | NM | $ | 4,008 | | $ | (1,492) | | NM |
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the second quarter of 2021 and year-to-date 2021 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,small business customers in the U.S. North America GCB’s U.S. cards product portfolio includes its proprietary portfolio (including the Citi Double(Double Cash, Thank YouThankYou® and Value cards)cards and the newly launched Citi Custom Cash℠ card) 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 previously announced, the Hilton Honors co-brand credit card partnership with Citi was scheduled to terminate as of year-end 2017. On October 23, 2017, Citi signed an agreement to sell the Hilton credit card portfolio ($1.2 billion in outstanding loan balances in Citi-branded cards) to American Express. In connection with the sale agreement, the existing partnership was extended through the closing date. The sale is expected to close in the first quarter of 2018 with a pretax gain of approximately $150 million, which approximates one year of revenues from the portfolio.
As of SeptemberAt June 30, 2017, 2021, North America GCB’s 695had 659 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 SeptemberJune 30, 2017, 2021, North America GCB had approximately 9.4 million retail banking customer accounts, $55.7$49.7 billion in retail banking loans and $185.1$205.5 billion in retail banking deposits. In addition, North America GCB had approximately 120 million Citi-branded and Citi retail services credit card accounts with $132.2$124.8 billion in outstanding card loan balances.
| | | | Third Quarter | | Nine Months | | | Second Quarter | | Six Months | |
| In millions of dollars, except as otherwise noted | 2017 | 2016 | % Change | 2017 | 2016 | % Change | In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | 2021 | 2020 | % Change |
| Net interest revenue | $ | 4,825 |
| $ | 4,696 |
| 3 | % | $ | 14,075 |
| $ | 13,425 |
| 5 | % | Net interest revenue | $ | 4,143 | | $ | 4,707 | | (12) | % | $ | 8,450 | | $ | 9,743 | | (13) | % |
| Non-interest revenue | 369 |
| 465 |
| (21 | ) | 1,007 |
| 1,275 |
| (21 | ) | Non-interest revenue | 58 | | 35 | | 66 | | 179 | | 223 | | (20) | |
| Total revenues, net of interest expense | $ | 5,194 |
| $ | 5,161 |
| 1 | % | $ | 15,082 |
| $ | 14,700 |
| 3 | % | Total revenues, net of interest expense | $ | 4,201 | | $ | 4,742 | | (11) | % | $ | 8,629 | | $ | 9,966 | | (13) | % |
| Total operating expenses | $ | 2,460 |
| $ | 2,595 |
| (5 | )% | $ | 7,613 |
| $ | 7,521 |
| 1 | % | Total operating expenses | $ | 2,600 | | $ | 2,418 | | 8 | % | $ | 5,079 | | $ | 5,023 | | 1 | % |
| Net credit losses | $ | 1,239 |
| $ | 927 |
| 34 | % | $ | 3,610 |
| $ | 2,814 |
| 28 | % | |
| Credit reserve build (release) | 463 |
| 408 |
| 13 | % | 716 |
| 536 |
| 34 |
| |
| Provision for unfunded lending commitments | (3 | ) | — |
| NM |
| 6 |
| 7 |
| (14 | ) | |
| Provisions for benefits and claims | 9 |
| 8 |
| 13 | % | 23 |
| 25 |
| (8 | ) | |
| Provisions for credit losses and for benefits and claims | $ | 1,708 |
| $ | 1,343 |
| 27 | % | $ | 4,355 |
| $ | 3,382 |
| 29 | % | |
| Income from continuing operations before taxes | $ | 1,026 |
| $ | 1,223 |
| (16 | )% | $ | 3,114 |
| $ | 3,797 |
| (18 | )% | |
| Income taxes | 371 |
| 443 |
| (16 | ) | 1,162 |
| 1,369 |
| (15 | ) | |
| Income from continuing operations | $ | 655 |
| $ | 780 |
| (16 | )% | $ | 1,952 |
| $ | 2,428 |
| (20 | )% | |
| Net credit losses on loans | | Net credit losses on loans | $ | 817 | | $ | 1,448 | | (44) | % | $ | 1,767 | | $ | 2,938 | | (40) | % |
| Credit reserve build (release) for loans | | Credit reserve build (release) for loans | (915) | | 1,839 | | NM | (2,332) | | 4,210 | | NM |
| Provision (release) for credit losses on unfunded lending commitments | | Provision (release) for credit losses on unfunded lending commitments | 1 | | — | | — | | 1 | | (1) | | NM |
| Provisions for benefits and claims, HTM debt securities and other assets | | Provisions for benefits and claims, HTM debt securities and other assets | 6 | | 19 | | (68) | | 8 | | 24 | | (67) | |
| Provisions (releases) for credit losses and for benefits and claims | | Provisions (releases) for credit losses and for benefits and claims | $ | (91) | | $ | 3,306 | | NM | $ | (556) | | $ | 7,171 | | NM |
| Income (loss) from continuing operations before taxes | | Income (loss) from continuing operations before taxes | $ | 1,692 | | $ | (982) | | NM | $ | 4,106 | | $ | (2,228) | | NM |
| Income taxes (benefits) | | Income taxes (benefits) | 383 | | (248) | | NM | 940 | | (553) | | NM |
| Income (loss) from continuing operations | | Income (loss) from continuing operations | $ | 1,309 | | $ | (734) | | NM | $ | 3,166 | | $ | (1,675) | | NM |
| Noncontrolling interests | — |
| — |
| NM |
| — |
| (1 | ) | 100 | % | Noncontrolling interests | — | | — | | — | % | — | | — | | — | % |
| Net income | $ | 655 |
| $ | 780 |
| (16 | )% | $ | 1,952 |
| $ | 2,429 |
| (20 | )% | |
Balance Sheet data (in billions of dollars) |
|
| |
|
| | |
|
|
| |
| Average assets | $ | 249 |
| $ | 239 |
| 4 | % | $ | 246 |
| $ | 223 |
| 10 | % | |
| Net income (loss) | | Net income (loss) | $ | 1,309 | | $ | (734) | | NM | $ | 3,166 | | $ | (1,675) | | NM |
| Balance Sheet data and ratios | | Balance Sheet data and ratios | | | | |
Average assets (in billions of dollars) | | Average assets (in billions of dollars) | $ | 262 | | $ | 264 | | (1) | % | $ | 264 | | $ | 255 | | 4 | % |
| Return on average assets | 1.04 | % | 1.30 | % |
|
| 1.06 | % | 1.45 | % |
|
| Return on average assets | 2.00 | % | (1.12) | % | | 2.42 | % | (1.32) | % | |
| Efficiency ratio | 47 | % | 50 | % |
|
| 50 | % | 51 | % |
|
| Efficiency ratio | 62 | | 51 | | | 59 | | 50 | | |
| Average deposits | $ | 184.1 |
| $ | 183.9 |
| — |
| $ | 184.9 |
| $ | 182.2 |
| 1 | % | |
Average retail banking deposits (in billions of dollars) | | Average retail banking deposits (in billions of dollars) | $ | 204 | | $ | 173 | | 18 | | $ | 201 | | $ | 167 | | 20 | |
| Net credit losses as a percentage of average loans | 2.63 | % | 2.07 | % |
|
| 2.62 | % | 2.24 | % |
|
| Net credit losses as a percentage of average loans | 1.91 | % | 3.22 | % | | 2.06 | % | 3.15 | % | |
| Revenue by business |
|
| |
|
| | |
|
|
| Revenue by business | | | | |
| Retail banking | $ | 1,363 |
| $ | 1,356 |
| 1 | % | $ | 3,910 |
| $ | 3,959 |
| (1 | )% | Retail banking | $ | 1,039 | | $ | 1,122 | | (7) | % | $ | 2,080 | | $ | 2,252 | | (8) | % |
| Citi-branded cards | 2,178 |
| 2,191 |
| (1 | ) | 6,353 |
| 5,937 |
| 7 |
| Citi-branded cards | 1,959 | | 2,218 | | (12) | | 4,050 | | 4,565 | | (11) | |
| Citi retail services | 1,653 |
| 1,614 |
| 2 |
| 4,819 |
| 4,804 |
| — |
| Citi retail services | 1,203 | | 1,402 | | (14) | | 2,499 | | 3,149 | | (21) | |
| Total | $ | 5,194 |
| $ | 5,161 |
| 1 | % | $ | 15,082 |
| $ | 14,700 |
| 3 | % | Total | $ | 4,201 | | $ | 4,742 | | (11) | % | $ | 8,629 | | $ | 9,966 | | (13) | % |
| Income from continuing operations by business |
|
| |
|
| | |
|
|
| |
| Income (loss) from continuing operations by business | | Income (loss) from continuing operations by business | | | | |
| Retail banking | $ | 179 |
| $ | 187 |
| (4 | )% | $ | 402 |
| $ | 448 |
| (10 | )% | Retail banking | $ | (49) | | $ | (91) | | 46 | % | $ | (46) | | $ | (185) | | 75 | % |
| Citi-branded cards | 345 |
| 322 |
| 7 |
| 898 |
| 995 |
| (10 | ) | Citi-branded cards | 924 | | (524) | | NM | 2,043 | | (1,049) | | NM |
| Citi retail services | 131 |
| 271 |
| (52 | ) | 652 |
| 985 |
| (34 | ) | Citi retail services | 434 | | (119) | | NM | 1,169 | | (441) | | NM |
| Total | $ | 655 |
| $ | 780 |
| (16 | )% | $ | 1,952 |
| $ | 2,428 |
| (20 | )% | Total | $ | 1,309 | | $ | (734) | | NM | $ | 3,166 | | $ | (1,675) | | NM |
NM Not meaningful
2Q21 vs. 3Q162Q20
Net income decreased 16% due was $1.3 billion, compared to highera net loss of $734 million in the prior-year period, reflecting significantly lower cost of credit, partially offset by lower expensesrevenues and higher revenues.expenses.
Revenues increased 1% decreased 11%, reflecting higherlower revenues in Citi-branded cards, Citi retail services and retail banking, partially offset by lower revenues in Citi-branded cards.banking.
Retail banking revenues increased 1%. Excluding mortgage revenues (decline of 39%), retail banking revenues were up 12%, driven by continued growth in average loans (1%), and asset under management (10%), as well as a benefit from higher interest rates. The decline in mortgage revenues was driven by lower origination activity and higher cost of funds, reflecting the higher interest rate environment, as well as the impact of the previously announced sale of a portion of Citi’s mortgage servicing rights.
In Citi-branded cards, revenues decreased 1%7%, as the benefit of stronger deposit volumes and growth in full-rate revolving balances in the core portfolios was outpaced by the continued run-offassets under management (increase of non-core portfolios23%, reflecting favorable market conditions, as well as strong client engagement) was more than offset by lower deposit spreads, reflecting lower interest rates, as well as lower mortgage revenues. Average deposits increased 18%, driven by government stimulus payments, as well as continued strategic efforts to drive organic growth.
Cards revenues decreased 13%. Citi-branded cards revenues decreased 12%, primarily reflecting lower average loans (down 4%), driven by higher payment rates, reflecting increased customer liquidity from government stimulus and relief programs. Purchase sales increased 40%, reflecting a continued recovery in sales activity from the higher cost to fund growth in transactor and promotional balances, givenprior-year period low levels driven by the higher interest rates. Average loans grew 8% and purchase sales grew 10%.pandemic.
Citi retail services revenues increased 2%decreased 14%, primarily driven by lower average loans (down 8%), reflecting higher payment rates from the increased customer liquidity. Purchase sales increased 40%, reflecting a continued loan growth, partially offset by the continued impact of the previously disclosed renewal and extension of certain partnerships within the portfolio. Average loans grew 5% and purchaserecovery in sales grew 2%.
Expenses decreased 5%, as higher volume-related expenses and continued investments were more than offset by efficiency savings.
Provisions increased 27%activity from the prior-year period low levels driven by higherthe pandemic.
Expenses increased 8%, primarily driven by continued investments in Citi’s transformation, as well as other strategic investments and an acceleration in marketing, partially offset by efficiency savings.
Provisions reflected a benefit of $91 million, compared to costs of $3.3 billion in the prior-year period, primarily driven by a net ACL release in the current quarter compared to a net ACL build in the prior-year period, as well as lower net credit losses. Net credit losses decreased 44%, consisting of lower net credit losses and a higher net loan loss reserve build.
Net credit losses increased 34%, largely driven by higher losses in both Citi-branded cards including the impact of acquiring the Costco portfolio,(down 40% to $467 million) and Citi retail services. In Citi-branded cards, net credit losses increased 36%services (down 49% to $611 million,$326 million), primarily driven by lower loan volumes and improved delinquencies, as a result of higher payment rates due to the Costco portfolio acquisition, organic volume growthhigher levels of liquidity from government stimulus and seasoning. In Citi retail services, net credit losses increased 26% to $540 million, primarily due to volume growth and seasoning. The higher net credit losses also reflected episodic charge-offs in the commercial portfolio in retail banking, which were offset by related reserve releases.other relief programs.
The net loan loss reserve build in the third quarter of 2017ACL release was $460 million (compared$0.9 billion, compared to a build of $408 million$1.8 billion in the prior-year period), driven by a build of approximately $500 million related to the cards businesses, partially offset by a reserve releaseperiod, reflecting improvement in the commercial portfolio. The loan loss reserve build included approximately $300 million related to the increase in net flow rates in the later delinquency buckets leading to higher inherent credit loss expectations primarily in Citi retail services, as well as a slight increase in delinquencies for the Citi-branded card portfolio. It also includes approximately $150 million driven by volume growthportfolio quality and seasoning, as well as approximately $50 million for the estimated hurricane-related impacts.
Citi’s improved macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
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.
For additional information about trends, uncertainties and risks related to North America GCB’s future results, see “Forward-Looking Statements” below and “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
20172Q21 YTD vs. 20162Q20 YTD
Year-to-date, North America GCB has experienced similar trends to those described above. Net income decreased 20% due was $3.2 billion, compared to highera net loss of $1.7 billion in the prior-year period, as significantly lower cost of credit more than offset lower revenues and higher expenses, partially offset by higher revenues.expenses.
Revenues increased 3% decreased 13%, reflecting higher revenues in cards, partially offset by lower revenues in retail banking.banking, Citi-branded cards and Citi retail services. Retail banking revenues decreased 1%8%, primarily driven by lower mortgage revenues, partially offset by the othersame factors described above. Cards revenues increased 4%decreased 15%. In Citi-branded cards, revenues increased 7%decreased 11%, driven by the impact of the Costco portfolio acquisition, partially offset by the othersame factors described above. Citi retail services revenues were largely unchanged, asdecreased 21%, driven by the continued impact of the renewal and extension of certain partnerships,same factors described above, as well as higher contractual partner payments reflecting higher income sharing as a result of lower forecasted losses. For additional information on partner payments, see Note 5 to the absence of gains on sales of two cards portfolios in the first quarter of 2016, were offset by the continued loan growth (average loans up 4%).Consolidated Financial Statements.
Expenses increased 1%, primarily driven by the additionsame factors described above.
Provisions reflected a benefit of $556 million, compared to costs of $7.2 billion in the Costco portfolio, volume-related expenses and continued investments, partially offset by efficiency savings.
Provisions increased 29%,prior-year period, driven by the same factors described above. Net credit losses increased 28% anddecreased 40%, driven by the net loan loss reservesame factors described above. The ACL release was $2.3 billion, compared to a build of $722 million increased $179 million.$4.2 billion in the prior-year period, driven by the same factors described above.
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 businessessmall business customers in Mexico through Citibanamex, one of Mexico’s largest banks.
At SeptemberJune 30, 2017, 2021, Latin America GCB had 1,4971,327 retail branches in Mexico, with approximately 27.6 million retail banking customer accounts, $21.0$9.1 billion in retail banking loans and $28.3$24.2 billion in deposits. In addition, the business had approximately 5.7 million Citi-branded card accounts with $5.6$4.4 billion in outstanding card loan balances.
| | | | | | | | | | | | | | | | | | | | |
| Second Quarter | | Six Months | % Change |
| In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | 2021 | 2020 |
| Net interest revenue | $ | 703 | | $ | 755 | | (7) | % | $ | 1,361 | | $ | 1,642 | | (17) | % |
| Non-interest revenue | 350 | | 295 | | 19 | | 700 | | 607 | | 15 | |
| Total revenues, net of interest expense | $ | 1,053 | | $ | 1,050 | | — | % | $ | 2,061 | | $ | 2,249 | | (8) | % |
| Total operating expenses | $ | 725 | | $ | 619 | | 17 | % | $ | 1,427 | | $ | 1,334 | | 7 | % |
| Net credit losses on loans | $ | 250 | | $ | 205 | | 22 | % | $ | 615 | | $ | 476 | | 29 | % |
| Credit reserve build (release) for loans | (423) | | 209 | | NM | (586) | | 465 | | NM |
| Provision for credit losses on unfunded lending commitments | — | | — | | — | | — | | — | | — | |
| Provisions for benefits and claims, HTM debt securities and other assets | 6 | | 16 | | (63) | | 35 | | 31 | | 13 | |
| Provisions for credit losses and for benefits and claims (PBC) | $ | (167) | | $ | 430 | | NM | $ | 64 | | $ | 972 | | (93) | % |
| Income (loss) from continuing operations before taxes | $ | 495 | | $ | 1 | | NM | $ | 570 | | $ | (57) | | NM |
| Income taxes (benefits) | 143 | | (1) | | NM | 166 | | (24) | | NM |
| Income (loss) from continuing operations | $ | 352 | | $ | 2 | | NM | $ | 404 | | $ | (33) | | NM |
| Noncontrolling interests | — | | — | | — | % | — | | — | | — | % |
| Net income (loss) | $ | 352 | | $ | 2 | | NM | $ | 404 | | $ | (33) | | NM |
| Balance Sheet data and ratios | | | | | | |
Average assets (in billions of dollars) | $ | 34 | | $ | 30 | | 13 | % | $ | 34 | | $ | 33 | | 3 | % |
| Return on average assets | 4.15 | % | 0.03 | % | | 2.40 | % | (0.20) | % | |
| Efficiency ratio | 69 | | 59 | | | 69 | | 59 | | |
Average deposits (in billions of dollars) | $ | 24 | | $ | 21 | | 14 | | $ | 24 | | $ | 22 | | 9 | |
| Net credit losses as a percentage of average loans | 7.43 | % | 6.15 | % | | 9.05 | % | 6.34 | % | |
| Revenue by business | | | | | | |
| Retail banking | $ | 757 | | $ | 705 | | 7 | % | $ | 1,480 | | $ | 1,488 | | (1) | % |
| Citi-branded cards | 296 | | 345 | | (14) | | 581 | | 761 | | (24) | |
| Total | $ | 1,053 | | $ | 1,050 | | — | % | $ | 2,061 | | $ | 2,249 | | (8) | % |
| Income (loss) from continuing operations by business | | | | | | |
| Retail banking | $ | 180 | | $ | (14) | | NM | $ | 220 | | $ | (39) | | NM |
| Citi-branded cards | 172 | | 16 | | NM | 184 | | 6 | | NM |
| Total | $ | 352 | | $ | 2 | | NM | $ | 404 | | $ | (33) | | NM |
| FX translation impact | | | | | | |
| Total revenues—as reported | $ | 1,053 | | $ | 1,050 | | — | % | $ | 2,061 | | $ | 2,249 | | (8) | % |
Impact of FX translation(1) | — | | 134 | | | — | | 139 | | |
Total revenues—ex-FX(2) | $ | 1,053 | | $ | 1,184 | | (11) | % | $ | 2,061 | | $ | 2,388 | | (14) | % |
| Total operating expenses—as reported | $ | 725 | | $ | 619 | | 17 | % | $ | 1,427 | | $ | 1,334 | | 7 | % |
Impact of FX translation(1) | — | | 74 | | | — | | 79 | | |
Total operating expenses—ex-FX(2) | $ | 725 | | $ | 693 | | 5 | % | $ | 1,427 | | $ | 1,413 | | 1 | % |
| Provisions for credit losses and PBC—as reported | $ | (167) | | $ | 430 | | NM | $ | 64 | | $ | 972 | | (93) | % |
Impact of FX translation(1) | — | | 65 | | | — | | 71 | | |
Provisions for credit losses and PBC—ex-FX(2) | $ | (167) | | $ | 495 | | NM | $ | 64 | | $ | 1,043 | | (94) | % |
| Net income (loss)—as reported | $ | 352 | | $ | 2 | | NM | $ | 404 | | $ | (33) | | NM |
Impact of FX translation(1) | — | | (5) | | | — | | (9) | | |
Net income (loss)—ex-FX(2) | $ | 352 | | $ | (3) | | NM | $ | 404 | | $ | (42) | | NM |
(1)Reflects the impact of FX translation into U.S. dollars at the second quarter of 2021 and year-to-date 2021 average exchange rates for all periods presented.
|
| | | | | | | | | | | | | | | | |
| | Third Quarter | | Nine Months | % Change |
| In millions of dollars, except as otherwise noted | 2017 | 2016 | % Change | 2017 | 2016 |
| Net interest revenue | $ | 985 |
| $ | 877 |
| 12 | % | $ | 2,702 |
| $ | 2,591 |
| 4 | % |
| Non-interest revenue | 385 |
| 368 |
| 5 | % | 1,109 |
| 1,119 |
| (1 | )% |
| Total revenues, net of interest expense | $ | 1,370 |
| $ | 1,245 |
| 10 | % | $ | 3,811 |
| $ | 3,710 |
| 3 | % |
| Total operating expenses | $ | 768 |
| $ | 707 |
| 9 | % | $ | 2,162 |
| $ | 2,150 |
| 1 | % |
| Net credit losses | $ | 295 |
| $ | 254 |
| 16 | % | $ | 825 |
| $ | 792 |
| 4 | % |
| Credit reserve build (release) | 44 |
| 32 |
| 38 | % | 106 |
| 47 |
| NM |
|
| Provision (release) for unfunded lending commitments | (1 | ) | — |
| NM |
| (2 | ) | 2 |
| NM |
|
| Provision for benefits and claims | 19 |
| 18 |
| 6 | % | 57 |
| 49 |
| 16 | % |
| Provisions for credit losses and for benefits and claims (LLR & PBC) | $ | 357 |
| $ | 304 |
| 17 | % | $ | 986 |
| $ | 890 |
| 11 | % |
| Income from continuing operations before taxes | $ | 245 |
| $ | 234 |
| 5 | % | $ | 663 |
| $ | 670 |
| (1 | )% |
| Income taxes | 81 |
| 74 |
| 9 |
| 233 |
| 191 |
| 22 |
|
| Income from continuing operations | $ | 164 |
| $ | 160 |
| 3 | % | $ | 430 |
| $ | 479 |
| (10 | )% |
| Noncontrolling interests | 1 |
| 2 |
| (50 | ) | 4 |
| 4 |
| — |
|
| Net income | $ | 163 |
| $ | 158 |
| 3 | % | $ | 426 |
| $ | 475 |
| (10 | )% |
Balance Sheet data (in billions of dollars) |
|
| |
|
| | |
|
|
|
| Average assets | $ | 47 |
| $ | 49 |
| (4 | )% | $ | 45 |
| $ | 50 |
| (10 | )% |
| Return on average assets | 1.38 | % | 1.28 | % |
|
| 1.27 | % | 1.27 | % |
|
|
| Efficiency ratio | 56 | % | 57 | % |
|
| 57 | % | 58 | % |
|
|
| Average deposits | $ | 28.8 |
| $ | 25.7 |
| 12 | % | $ | 27.3 |
| $ | 25.9 |
| 5 | % |
| Net credit losses as a percentage of average loans | 4.37 | % | 4.18 | % |
|
| 4.39 | % | 4.35 | % |
|
|
| Revenue by business |
|
| |
|
| | |
|
|
| Retail banking | $ | 976 |
| $ | 881 |
| 11 | % | $ | 2,735 |
| $ | 2,590 |
| 6 | % |
| Citi-branded cards | 394 |
| 364 |
| 8 |
| 1,076 |
| 1,120 |
| (4 | ) |
| Total | $ | 1,370 |
| $ | 1,245 |
| 10 | % | $ | 3,811 |
| $ | 3,710 |
| 3 | % |
| Income from continuing operations by business |
|
| |
|
| | |
|
|
|
| Retail banking | $ | 125 |
| $ | 84 |
| 49 | % | $ | 298 |
| $ | 270 |
| 10 | % |
| Citi-branded cards | 39 |
| 76 |
| (49 | ) | 132 |
| 209 |
| (37 | ) |
| Total | $ | 164 |
| $ | 160 |
| 3 | % | $ | 430 |
| $ | 479 |
| (10 | )% |
|
| | | | | | | | | | | | | | | | |
| FX translation impact |
|
| |
|
| | |
|
|
|
| Total revenues—as reported | $ | 1,370 |
| $ | 1,245 |
| 10 | % | $ | 3,811 |
| $ | 3,710 |
| 3 | % |
Impact of FX translation(1) | — |
| 71 |
|
|
| — |
| (92 | ) |
|
|
Total revenues—ex-FX(2) | $ | 1,370 |
| $ | 1,316 |
| 4 | % | $ | 3,811 |
| $ | 3,618 |
| 5 | % |
| Total operating expenses—as reported | $ | 768 |
| $ | 707 |
| 9 | % | $ | 2,162 |
| $ | 2,150 |
| 1 | % |
Impact of FX translation(1) | — |
| 33 |
|
|
| — |
| (43 | ) |
|
|
Total operating expenses—ex-FX(2) | $ | 768 |
| $ | 740 |
| 4 | % | $ | 2,162 |
| $ | 2,107 |
| 3 | % |
| Provisions for LLR & PBC—as reported | $ | 357 |
| $ | 304 |
| 17 | % | $ | 986 |
| $ | 890 |
| 11 | % |
Impact of FX translation(1) | — |
| 18 |
|
|
| — |
| (23 | ) |
|
|
Provisions for LLR & PBC—ex-FX(2) | $ | 357 |
| $ | 322 |
| 11 | % | $ | 986 |
| $ | 867 |
| 14 | % |
| Net income—as reported | $ | 163 |
| $ | 158 |
| 3 | % | $ | 426 |
| $ | 475 |
| (10 | )% |
Impact of FX translation(1) | — |
| 13 |
|
|
| — |
| (20 | ) |
|
|
Net income—ex-FX(2) | $ | 163 |
| $ | 171 |
| (5 | )% | $ | 426 |
| $ | 455 |
| (6 | )% |
| |
(1) | Reflects the impact of FX translation into U.S. dollars at the third quarter of 2017 and year-to-date 2017 average exchange rates for all periods presented. |
| |
(2) | Presentation of this metric excluding FX translation is a non-GAAP financial measure. |
NM Not meaningful
The discussion of the results of operations for Latin America GCB below excludes the impact of FX translation for all periods presented. Presentations of the results of operations, excluding the impact of FX translation, are non-GAAP financial measures. For a reconciliation of certain of these metrics to the reported results, see the table above.
3Q172Q21 vs. 3Q162Q20
Net income was $352 million, compared to a net loss of $3 million in the prior-year period, reflecting significantly lower cost of credit, partially offset by lower revenues and higher expenses.
Revenues decreased 11%, reflecting lower cards and retail banking revenues, largely due to the impact of the pandemic.
Retail banking revenues decreased 5%, primarily driven by higher credit costslower loan volumes and expenses,deposit spreads, partially offset by higher revenues.growth in assets under management. Average loans decreased 14%, reflecting the impact of the pandemic on customer activity. Assets under management increased 8%, reflecting favorable market conditions, as well as strong client engagement.
Revenues increased 4%Cards revenues decreased 24%, primarily driven by higher revenues in
retail banking and cards.
Retail banking revenues increased 5%lower average loans (down 13%), reflecting higher payment rates, as well as the continued growthimpact of the pandemic on customer activity. Purchase sales increased 39%, reflecting a continued recovery in volumes, including an increasesales activity from the low levels in average loans (6%), largelythe prior-year period driven by the commercial and small business portfoliospandemic.
Expenses increased 5%, primarily driven by continued investments in Citi’s transformation, as well as mortgages, an increase in average deposits (7%) and improved deposit spreads, driven by higher interest rates. While deposits continued to increase during the quarter, Latin America GCB was impacted by lower industry-wide deposit growth due to a slowing of growth in the monetary supply. Cards revenues increased 2%, reflecting continued improvement in full rate revolving loan trends, partially offset by continued higher cost to fund non-revolving loans. Purchase sales grew 5% and average card loans also grew 5%.
Expenses increased 4%, as ongoing investment spending and business growth wereother strategic investments, partially offset by efficiency savings.
Provisions increased 11%, reflected a benefit of $167 million, compared to costs of $495 million in the prior-year period, primarily driven by highera net ACL release in the current period compared to a net ACL build in the prior-year period. Net credit losses (9%)increased 6%, driven by the expiration of consumer relief programs and the continued adverse impacts of the pandemic in Mexico.
The net ACL release was $423 million, compared to a higher netbuild of $239 million in the prior-year period. The release reflected an improvement in portfolio quality, as well as the impact of Citi’s improved macroeconomic outlook and lower loan loss reserve build ($10 million), largely reflecting volume growth, seasonality and a Mexico earthquake-related loan loss reserve build (approximately $25 million).
volumes. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on LatinAmerica GCB’s retail banking, including commercial banking and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to Latin America GCB’s future results, see “Forward-Looking Statements” below and “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
2017
2Q21 YTD vs. 20162Q20 YTD
Year-to-date, Latin America GCB has experienced similar trends to those described above. Net income was $404 million, compared to a net loss of $42 million in the prior-year period, as significantly lower cost of credit more than offset lower revenues and higher expenses.
Revenues decreased 14%, reflecting lower revenues in both retail banking and cards. Retail banking revenues decreased 6%, driven by the same factors described above.
Revenues increased 5%, primarily due to higher Cards revenues in retail banking, partially offset by lower revenues in cards. Retail banking revenues increased 8%decreased 28%, driven by the same factors described above as well as the impact of business divestitures. Cards revenues decreasedabove.
Expenses increased 1%, driven by the continued higher cost to fund non-revolving loans, partially offset by the continued improvement in full rate revolving loans.
Expenses increased 3%, as ongoing investment spending was partially offset by efficiency savings.
Provisions increased 14%, largely driven by the same factors described above.
Provisions decreased 94%, driven by a net ACL release compared to a net ACL build in the prior-year period, primarily driven by the same factors described above. The ACL release was $586 million, compared to a build of $498 million in the prior-year period, driven by the same factors described above.
ASIA GCB
Asia GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small- to mid-size businesses, as applicable. During the third quarter of 2017, Citi’s most significant revenues in the region were from Singapore, Hong Kong, Korea, Australia, India, Taiwan, Indonesia, Thailand, Philippines and Malaysia. Included within Asia GCB, traditional retail banking and Citi-branded card products to retail and small business customers. During the second quarter of 2021, Asia GCB’s most significant revenueswere from Hong Kong, Singapore, South Korea, Taiwan, Australia, India, Thailand, the Philippines, China and Malaysia. Included within Asia GCBare alsotraditional retail banking and Citi-branded card products provided to retail customers in certain EMEA countries, primarily inthe UAE, Poland Russia and the United Arab Emirates.Russia.
At SeptemberJune 30, 2017,2021, on a combined basis, the businesses had 282223 retail branches, approximately 16.2 million retail banking customer accounts, $67.5$66.5 billion in retail banking loans and $96.6$126.1 billion in deposits. In addition, the businesses had approximately 16.6 million Citi-branded card accounts with $18.8$16.4 billion in outstanding card loan balances.
As previously disclosed, Citi is pursuing exits of its consumer franchises in 13 markets across Asia and EMEA and will focus its consumer banking franchise in the two regions on four wealth centers: Singapore, Hong Kong, the UAE and London. For additional information, see “Executive Summary” and “Asia GCB” in Citi’s First Quarter of 2021 Form 10-Q. For information regarding risks related to Citi’s exits in the 13 markets, see “Forward-Looking Statements” below.
| | | | | | | | | | | | | | | | | | | | |
| Second Quarter | | Six Months | % Change |
In millions of dollars, except as otherwise noted(1) | 2021 | 2020 | % Change | 2021 | 2020 |
| Net interest revenue | $ | 1,001 | | $ | 1,072 | | (7) | % | $ | 1,989 | | $ | 2,221 | | (10) | % |
| Non-interest revenue | 565 | | 475 | | 19 | | 1,178 | | 1,077 | | 9 | |
| Total revenues, net of interest expense | $ | 1,566 | | $ | 1,547 | | 1 | % | $ | 3,167 | | $ | 3,298 | | (4) | % |
| Total operating expenses | $ | 1,225 | | $ | 1,085 | | 13 | % | $ | 2,444 | | $ | 2,240 | | 9 | % |
| Net credit losses on loans | $ | 186 | | $ | 189 | | (2) | % | $ | 451 | | $ | 362 | | 25 | % |
| Credit reserve build (release) for loans | (60) | | 251 | | NM | (286) | | 435 | | NM |
| Provisions for HTM debt securities and other assets | (3) | | 3 | | NM | 1 | | 3 | | (67) | |
| Provisions for credit losses | $ | 123 | | $ | 443 | | (72) | % | $ | 166 | | $ | 800 | | (79) | % |
| Income from continuing operations before taxes | $ | 218 | | $ | 19 | | NM | $ | 557 | | $ | 258 | | NM |
| Income taxes | 47 | | (8) | | NM | 124 | | 39 | | NM |
| Income from continuing operations | $ | 171 | | $ | 27 | | NM | $ | 433 | | $ | 219 | | 98 | % |
| Noncontrolling interests | (2) | | (2) | | — | % | (5) | | (3) | | (67) | |
| Net income | $ | 173 | | $ | 29 | | NM | $ | 438 | | $ | 222 | | 97 | % |
| Balance Sheet data and ratios | | | | | | |
Average assets (in billions of dollars) | $ | 141 | | $ | 124 | | 14 | % | $ | 141 | | $ | 125 | | 13 | % |
| Return on average assets | 0.49 | % | 0.09 | % | | 0.63 | % | 0.36 | % | |
| Efficiency ratio | 78 | | 70 | | | 77 | | 68 | | |
Average deposits (in billions of dollars) | $ | 125 | | $ | 109 | | 15 | | $ | 124 | | $ | 107 | | 16 | |
| Net credit losses as a percentage of average loans | 0.90 | % | 0.99 | % | | 1.09 | % | 0.93 | % | |
| Revenue by business | | | | | | |
| Retail banking | $ | 1,006 | | $ | 1,009 | | — | % | $ | 2,086 | | $ | 2,142 | | (3) | % |
| Citi-branded cards | 560 | | 538 | | 4 | | 1,081 | | 1,156 | | (6) | |
| Total | $ | 1,566 | | $ | 1,547 | | 1 | % | $ | 3,167 | | $ | 3,298 | | (4) | % |
| Income (loss) from continuing operations by business | | | | | | |
| Retail banking | $ | 141 | | $ | 135 | | 4 | % | $ | 357 | | $ | 344 | | 4 | % |
| Citi-branded cards | 30 | | (108) | | NM | 76 | | (125) | | NM |
| Total | $ | 171 | | $ | 27 | | NM | $ | 433 | | $ | 219 | | 98 | % |
|
| | | | | | | | | | | | | | | | |
| | Third Quarter | | Nine Months | % Change |
In millions of dollars, except as otherwise noted (1) | 2017 | 2016 | % Change | 2017 | 2016 |
| Net interest revenue | $ | 1,200 |
| $ | 1,136 |
| 6 | % | $ | 3,454 |
| $ | 3,353 |
| 3 | % |
| Non-interest revenue | 669 |
| 622 |
| 8 |
| 1,938 |
| 1,789 |
| 8 |
|
| Total revenues, net of interest expense | $ | 1,869 |
| $ | 1,758 |
| 6 | % | $ | 5,392 |
| $ | 5,142 |
| 5 | % |
| Total operating expenses | $ | 1,182 |
| $ | 1,127 |
| 5 | % | $ | 3,547 |
| $ | 3,456 |
| 3 | % |
| Net credit losses | $ | 170 |
| $ | 168 |
| 1 | % | $ | 487 |
| $ | 488 |
| — | % |
| Credit reserve build (release) | (21 | ) | (4 | ) | NM |
| (34 | ) | (39 | ) | 13 |
|
| Provision (release) for unfunded lending commitments | (1 | ) | (3 | ) | 67 |
| (4 | ) | (3 | ) | (33 | ) |
| Provisions for credit losses | $ | 148 |
| $ | 161 |
| (8 | )% | $ | 449 |
| $ | 446 |
| 1 | % |
| Income from continuing operations before taxes | $ | 539 |
| $ | 470 |
| 15 | % | $ | 1,396 |
| $ | 1,240 |
| 13 | % |
| Income taxes | 184 |
| 160 |
| 15 |
| 472 |
| 418 |
| 13 |
|
| Income from continuing operations | $ | 355 |
| $ | 310 |
| 15 | % | $ | 924 |
| $ | 822 |
| 12 | % |
| Noncontrolling interests | 1 |
| 1 |
| — |
| 3 |
| 3 |
| — |
|
| Net income | $ | 354 |
| $ | 309 |
| 15 | % | $ | 921 |
| $ | 819 |
| 12 | % |
Balance Sheet data (in billions of dollars) |
|
|
|
|
|
| | |
|
|
|
| Average assets | $ | 125 |
| $ | 121 |
| 3 | % | $ | 124 |
| $ | 119 |
| 4 | % |
| Return on average assets | 1.12 | % | 1.02 | % |
|
| 0.99 | % | 0.92 | % |
|
|
| Efficiency ratio | 63 | % | 64 | % | | 66 | % | 67 | % |
|
|
| Average deposits | $ | 95.2 |
| $ | 91.6 |
| 4 |
| $ | 94.1 |
| $ | 89.4 |
| 5 |
|
| Net credit losses as a percentage of average loans | 0.78 | % | 0.78 | % |
|
| 0.77 | % | 0.77 | % |
|
|
| Revenue by business | | | | | |
|
|
| Retail banking | $ | 1,154 |
| $ | 1,093 |
| 6 | % | $ | 3,302 |
| $ | 3,210 |
| 3 | % |
| Citi-branded cards | 715 |
| 665 |
| 8 |
| 2,090 |
| 1,932 |
| 8 |
|
| Total | $ | 1,869 |
| $ | 1,758 |
| 6 | % | $ | 5,392 |
| $ | 5,142 |
| 5 | % |
| Income from continuing operations by business |
|
|
|
|
|
| | |
|
|
| Retail banking | $ | 246 |
| $ | 190 |
| 29 | % | $ | 609 |
| $ | 513 |
| 19 | % |
| Citi-branded cards | 109 |
| 120 |
| (9 | ) | 315 |
| 309 |
| 2 |
|
| Total | $ | 355 |
| $ | 310 |
| 15 | % | $ | 924 |
| $ | 822 |
| 12 | % |
| | | | | | | | | | | | | | | | | | | | |
| FX translation impact | | | | | | |
| Total revenues—as reported | $ | 1,566 | | $ | 1,547 | | 1 | % | $ | 3,167 | | $ | 3,298 | | (4) | % |
Impact of FX translation(2) | — | | 66 | | | — | | 132 | | |
Total revenues—ex-FX(3) | $ | 1,566 | | $ | 1,613 | | (3) | % | $ | 3,167 | | $ | 3,430 | | (8) | % |
| Total operating expenses—as reported | $ | 1,225 | | $ | 1,085 | | 13 | % | $ | 2,444 | | $ | 2,240 | | 9 | % |
Impact of FX translation(2) | — | | 47 | | | — | | 89 | | |
Total operating expenses—ex-FX(3) | $ | 1,225 | | $ | 1,132 | | 8 | % | $ | 2,444 | | $ | 2,329 | | 5 | % |
| Provisions for credit losses—as reported | $ | 123 | | $ | 443 | | (72) | % | $ | 166 | | $ | 800 | | (79) | % |
Impact of FX translation(2) | — | | 19 | | | — | | 37 | | |
Provisions for credit losses—ex-FX(3) | $ | 123 | | $ | 462 | | (73) | % | $ | 166 | | $ | 837 | | (80) | % |
| Net income—as reported | $ | 173 | | $ | 29 | | NM | $ | 438 | | $ | 222 | | 97 | % |
Impact of FX translation(2) | — | | (1) | | | — | | 3 | | |
Net income—ex-FX(3) | $ | 173 | | $ | 28 | | NM | $ | 438 | | $ | 225 | | 95 | % |
(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 second quarter of 2021 and year-to-date 2021 average exchange rates for all periods presented. |
| | | | | | | | | | | | | | | | |
| FX translation impact |
|
|
| | |
|
|
| Total revenues—as reported | $ | 1,869 |
| $ | 1,758 |
| 6 | % | $ | 5,392 |
| $ | 5,142 |
| 5 | % |
Impact of FX translation(2) | — |
| 18 |
|
|
| — |
| 53 |
|
|
|
Total revenues—ex-FX(3) | $ | 1,869 |
| $ | 1,776 |
| 5 | % | $ | 5,392 |
| $ | 5,195 |
| 4 | % |
| Total operating expenses—as reported | $ | 1,182 |
| $ | 1,127 |
| 5 | % | $ | 3,547 |
| $ | 3,456 |
| 3 | % |
Impact of FX translation(2) | — |
| 10 |
|
|
| — |
| 33 |
|
|
|
Total operating expenses—ex-FX(3) | $ | 1,182 |
| $ | 1,137 |
| 4 | % | $ | 3,547 |
| $ | 3,489 |
| 2 | % |
| Provisions for loan losses—as reported | $ | 148 |
| $ | 161 |
| (8 | )% | $ | 449 |
| $ | 446 |
| 1 | % |
Impact of FX translation(2) | — |
| 2 |
|
|
| — |
| 3 |
|
|
|
Provisions for loan losses—ex-FX(3) | $ | 148 |
| $ | 163 |
| (9 | )% | $ | 449 |
| $ | 449 |
| — | % |
| Net income—as reported | $ | 354 |
| $ | 309 |
| 15 | % | $ | 921 |
| $ | 819 |
| 12 | % |
Impact of FX translation(2) | — |
| 4 |
|
|
| — |
| 10 |
|
|
|
Net income—ex-FX(3) | $ | 354 |
| $ | 313 |
| 13 | % | $ | 921 |
| $ | 829 |
| 11 | % |
| |
(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 third quarter of 2017 and year-to-date 2017 average exchange rates for all periods presented. |
| |
(3) | Presentation of this metric excluding FX translation is a non-GAAP financial measure. |
NM Not meaningful
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.
2Q21 vs. 2Q20
3Q17 vs. 3Q16
Net income increased 13%, was $173 million, compared to $28 million in the prior-year period, reflecting higher revenues andsignificantly lower cost of credit, partially offset by higher expenses.expenses and lower revenues.
Revenues increased 5% decreased 3%, driven by improvement in wealth management and cards revenues, partially offset by continuedprimarily reflecting lower retail lending revenues.banking revenues, largely due to the continued impact of the pandemic, including lower interest rates.
Retail banking revenues increaseddecreased 4%, primarilyas solid growth in both investment revenues and deposits was more than offset by lower deposit spreads due to the continued improvement in wealth management revenues, partially offset by the repositioning of the retail loan portfolio. Wealth management revenues increased due to improvement in investor sentiment, stronger equity marketslower interest rates and increases in assetslower FX and insurance revenues. Assets under management (14%)increased 21% and investment sales (36%).increased 15%, reflecting the impact of market conditions, as well as strong client engagement. Average deposits increased 3%9% and average loans increased 4%. These increases were partially offsetThe decline in retail banking revenues was also impacted by the lowera 5% decrease in retail lending revenues, (down 4%), reflecting continueda decline in personal loans and mortgages driven by spread compression.
Cards revenues were largely unchanged, as lower average loans (1%) due to the continued optimization of this portfolio away from lower-yielding mortgage loans to focus on growing higher-return personal loans.
Cards(down 6%, largely reflecting higher payment rates) were offset by higher spending-related revenues increased 6%(purchase sales up 23%), reflecting 6% growtha continued recovery in average loans and 7% growth in purchase sales both of which benefitedactivity from the previously disclosed portfolio acquisition in Australiapandemic-driven low levels in the first quarter of 2017.prior-year period.
Expenses increased 4%8%, resulting from volume growth and ongoing investment spending,primarily driven by continued investments in Citi’s transformation, as well as other strategic investments, partially offset by efficiency savings.
Provisions decreased 9%73%, primarily driven by an increase ina net loan loss reserve releases. Overall credit quality continuedACL release compared to remain stablea net ACL build in the region.prior-year period, as well as lower net credit losses. Net credit losses decreased 6%, primarily reflecting lower cards loan volumes and improved delinquencies.
The net ACL release was $60 million, compared to a build of $262 million in the prior-year period. The release reflected an improvement in portfolio quality as well as the impact of Citi’s improved macroeconomic outlook. For
additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on AsiaGCB’s retail banking including commercial banking,portfolios and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to Asia GCB’s future results, see “Forward-Looking Statements” below and “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
20172Q21 YTD vs. 20162Q20 YTD
Year-to-date, Asia GCB has experienced similar trends to
those described above. Net income increased 11% due to higher revenues, partially offset by higher expenses.
Revenues increased 4%95%, primarily due to an increase in cards revenues and wealth management revenues,as significantly lower cost of credit was partially offset by lower revenues and higher expenses.
Revenues decreased 8%, reflecting lower revenues in both retail lending revenues.banking and cards. Retail banking revenues increased 2%decreased 6%, primarily driven by the same factors described above. Retail lending revenues decreased 4%, reflecting lower personal loans revenue due to spread compression. Cards revenues decreased 11%, driven by the same factors described above. Cards revenues
Expenses increased 7%, driven by the same factors described above as well as a previously disclosed modest gain in the second quarter of 2017 related to the sale of merchant acquiring businesses in certain countries.
Expenses increased 2%5%, driven by the same factors described above.
Provisions were largely unchanged, as lower decreased 80%, driven by a net credit losses were offset by lower net credit reserve releases, primarily dueACL release compared to a net loan loss reserveACL build in the prior-year period. Net credit losses increased 18%, primarily reflecting the expiration of consumer relief programs and the adverse pandemic-related macroeconomic impacts in the region during the first quarterquarter. The ACL release was $286 million, compared to a build of 2017 related to$455 million in the card portfolio acquisition in Australia.
prior-year period, driven by the same factors described above.
INSTITUTIONAL CLIENTS GROUP
Institutional Clients Group (ICG) includes Banking and Markets and securities services (for additional information on these businesses, see “Citigroup Segments” above). ICG provides corporate, institutional, public sector and high-net-worth clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services. ICG transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products.
ICG revenue is generated primarily from fees and spreads associated with these activities. ICG earns fee income for assisting clients in clearing transactions, providing brokerage and investment banking services and other such activities. Revenue generated from these activities is recorded in Commissions and fees and Investment banking. Revenue is also generated from transaction processing and assets under custody and administration. Revenue generated from these activities is primarily recorded in Administration and other fiduciary fees. In addition, as a market maker, ICG facilitates transactions, including holding product inventory to meet client demand, and earns the differential between the price at which it buys and sells the products. These price differentials and the unrealized gains and losses on the inventory are recorded in Principal transactions(for additional For more information on Principal transactions revenue,ICG’s business activities, see Note 6 to the Consolidated Financial Statements). Other primarily includes mark-to-market gains and losses“Institutional Clients Group” in Citi’s 2020 Annual Report on certain credit derivatives, gains and losses on available-for-sale (AFS) securities and other non-recurring gains and losses. Interest income earned on assets held less interest paid to customers on deposits and long- and short-term debt is recorded as Net interest revenue.Form 10-K.
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’s management of the Markets businesses involves daily monitoring and evaluating of the above factors at the trading desk as well as the country level. ICG does not separately track the impact on total Markets revenues of the volume of transactions, bid/offer spreads, fair value changes of product inventory positions and economic hedges because, as noted above, these components are interrelated and are not deemed useful or necessary individually to manage the Markets businesses at an aggregatelevel.
In the Markets businesses, client revenues are those revenues directly attributable to client transactions at the time of inception, including commissions, interest or fees earned. Client revenues do not include the results of client facilitation activities (for example, holding product inventory in anticipation of client demand) or the results of certain economic hedging activities.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 9896 countries and jurisdictions. At SeptemberJune 30, 2017, 2021, ICG had approximately $1.4$1.8 trillion ofin assets and $640$947 billion ofin deposits, while two of its businesses—securities services and issuer services—managed approximately $17.1$25.9 trillion ofin assets under custody compared to $15.4$24.0 trillion at the end of the prior-year period.December 31, 2020 and $24.4 trillion at March 31, 2021.
| | | | | | | | | | | | | | | | | | | | |
| Second Quarter | | Six Months | % Change |
| In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | 2021 | 2020 |
| Commissions and fees | $ | 1,186 | | $ | 1,027 | | 15 | % | $ | 2,438 | | $ | 2,249 | | 8 | % |
| Administration and other fiduciary fees | 865 | | 684 | | 26 | | 1,679 | | 1,375 | | 22 | |
| Investment banking | 1,575 | | 1,526 | | 3 | | 3,375 | | 2,757 | | 22 | |
| Principal transactions | 2,213 | | 3,909 | | (43) | | 6,055 | | 9,268 | | (35) | |
| Other | 324 | | 419 | | (23) | | 684 | | 305 | | NM |
| Total non-interest revenue | $ | 6,163 | | $ | 7,565 | | (19) | % | $ | 14,231 | | $ | 15,954 | | (11) | % |
| Net interest revenue (including dividends) | 4,224 | | 4,572 | | (8) | | 8,376 | | 8,667 | | (3) | |
| Total revenues, net of interest expense | $ | 10,387 | | $ | 12,137 | | (14) | % | $ | 22,607 | | $ | 24,621 | | (8) | % |
| Total operating expenses | $ | 6,264 | | $ | 6,006 | | 4 | % | $ | 12,572 | | $ | 11,883 | | 6 | % |
| Net credit losses on loans | $ | 89 | | $ | 324 | | (73) | % | $ | 275 | | $ | 451 | | (39) | % |
| Credit reserve build (release) for loans | (949) | | 3,370 | | NM | (2,261) | | 4,686 | | NM |
| Provision (release) for credit losses on unfunded lending commitments | 46 | | 107 | | (57) | | (575) | | 660 | | NM |
| Provisions (releases) for credit losses on HTM debt securities and other assets | 4 | | 53 | | (92) | | (1) | | 61 | | NM |
| Provisions (releases) for credit losses | $ | (810) | | $ | 3,854 | | NM | $ | (2,562) | | $ | 5,858 | | NM |
| Income from continuing operations before taxes | $ | 4,933 | | $ | 2,277 | | NM | $ | 12,597 | | $ | 6,880 | | 83 | % |
| Income taxes | 1,104 | | 455 | | NM | 2,830 | | 1,484 | | 91 | |
| Income from continuing operations | $ | 3,829 | | $ | 1,822 | | NM | $ | 9,767 | | $ | 5,396 | | 81 | % |
| Noncontrolling interests | 12 | | 5 | | NM | 49 | | 4 | | NM |
| Net income | $ | 3,817 | | $ | 1,817 | | NM | $ | 9,718 | | $ | 5,392 | | 80 | % |
Balance Sheet data and ratios (in billions of dollars) | | | | | | |
EOP assets (in billions of dollars) | $ | 1,795 | | $ | 1,716 | | 5 | % | | | |
Average assets (in billions of dollars) | 1,806 | | 1,756 | | 3 | | $ | 1,797 | | $ | 1,668 | | 8 | % |
| Return on average assets | 0.85 | % | 0.42 | % | | 1.09 | % | 0.65 | % | |
| Efficiency ratio | 60 | | 49 | | | 56 | | 48 | | |
| Revenues by region | | | | | | |
| North America | $ | 3,718 | | $ | 4,987 | | (25) | % | $ | 8,616 | | $ | 9,934 | | (13) | % |
| EMEA | 3,253 | | 3,392 | | (4) | | 6,966 | | 6,862 | | 2 | |
| Latin America | 1,174 | | 1,207 | | (3) | | 2,310 | | 2,625 | | (12) | |
| Asia | 2,242 | | 2,551 | | (12) | | 4,715 | | 5,200 | | (9) | |
| Total | $ | 10,387 | | $ | 12,137 | | (14) | % | $ | 22,607 | | $ | 24,621 | | (8) | % |
| Income from continuing operations by region | | | | | | |
| North America | $ | 1,253 | | $ | 623 | | NM | $ | 4,032 | | $ | 1,486 | | NM |
| EMEA | 1,156 | | 483 | | NM | 2,622 | | 1,509 | | 74 | % |
| Latin America | 597 | | (198) | | NM | 1,242 | | 325 | | NM |
| Asia | 823 | | 914 | | (10) | % | 1,871 | | 2,076 | | (10) | |
|
| | | | | | | | | | | | | | | | |
| | Third Quarter | | Nine Months | % Change |
| In millions of dollars, except as otherwise noted | 2017 | 2016 | % Change | 2017 | 2016 |
| Commissions and fees | $ | 1,036 |
| $ | 929 |
| 12 | % | $ | 3,041 |
| $ | 2,889 |
| 5 | % |
| Administration and other fiduciary fees | 710 |
| 610 |
| 16 |
| 2,073 |
| 1,845 |
| 12 |
|
| Investment banking | 1,099 |
| 917 |
| 20 |
| 3,323 |
| 2,686 |
| 24 |
|
| Principal transactions | 1,757 |
| 2,064 |
| (15 | ) | 6,504 |
| 5,552 |
| 17 |
|
Other(1) | 704 |
| (125 | ) | NM |
| 939 |
| (86 | ) | NM |
|
| Total non-interest revenue | $ | 5,306 |
| $ | 4,395 |
| 21 | % | $ | 15,880 |
| $ | 12,886 |
| 23 | % |
| Net interest revenue (including dividends) | 3,925 |
| 4,064 |
| (3 | ) | 11,690 |
| 12,157 |
| (4 | ) |
| Total revenues, net of interest expense | $ | 9,231 |
| $ | 8,459 |
| 9 | % | $ | 27,570 |
| $ | 25,043 |
| 10 | % |
| Total operating expenses | $ | 4,939 |
| $ | 4,687 |
| 5 | % | $ | 14,903 |
| $ | 14,322 |
| 4 | % |
| Net credit losses | $ | 44 |
| $ | 45 |
| (2 | )% | $ | 140 |
| $ | 397 |
| (65 | )% |
| Credit reserve build (release) | (38 | ) | (93 | ) | 59 |
| (229 | ) | (11 | ) | NM |
|
| Provision (release) for unfunded lending commitments | (170 | ) | (42 | ) | NM |
| (193 | ) | (4 | ) | NM |
|
| Provisions for credit losses | $ | (164 | ) | $ | (90 | ) | (82 | )% | $ | (282 | ) | $ | 382 |
| NM |
|
| Income from continuing operations before taxes | $ | 4,456 |
| $ | 3,862 |
| 15 | % | $ | 12,949 |
| $ | 10,339 |
| 25 | % |
| Income taxes | 1,394 |
| 1,202 |
| 16 |
| 4,096 |
| 3,195 |
| 28 |
|
| Income from continuing operations | $ | 3,062 |
| $ | 2,660 |
| 15 | % | $ | 8,853 |
| $ | 7,144 |
| 24 | % |
| Noncontrolling interests | 14 |
| 19 |
| (26 | ) | 47 |
| 46 |
| 2 |
|
| Net income | $ | 3,048 |
| $ | 2,641 |
| 15 | % | $ | 8,806 |
| $ | 7,098 |
| 24 | % |
EOP assets (in billions of dollars) | $ | 1,370 |
| $ | 1,303 |
| 5 | % | | | |
Average assets (in billions of dollars) | 1,369 |
| 1,310 |
| 5 |
| $ | 1,349 |
| $ | 1,294 |
| 4 | % |
| Return on average assets | 0.88 | % | 0.80 | % |
|
| 0.87 | % | 0.73 | % |
|
|
| Efficiency ratio | 54 |
| 55 |
|
|
| 54 |
| 57 |
|
|
|
| Revenues by region | | |
|
| | |
|
|
| North America | $ | 3,638 |
| $ | 3,191 |
| 14 | % | $ | 10,661 |
| $ | 9,564 |
| 11 | % |
| EMEA | 2,655 |
| 2,506 |
| 6 |
| 8,299 |
| 7,250 |
| 14 |
|
| Latin America | 1,059 |
| 999 |
| 6 |
| 3,228 |
| 2,983 |
| 8 |
|
| Asia | 1,879 |
| 1,763 |
| 7 |
| 5,382 |
| 5,246 |
| 3 |
|
| Total | $ | 9,231 |
| $ | 8,459 |
| 9 | % | $ | 27,570 |
| $ | 25,043 |
| 10 | % |
| Income from continuing operations by region | | |
|
| | |
|
|
|
| North America | $ | 1,322 |
| $ | 1,067 |
| 24 | % | $ | 3,534 |
| $ | 2,618 |
| 35 | % |
| EMEA | 746 |
| 649 |
| 15 |
| 2,380 |
| 1,718 |
| 39 |
|
| Latin America | 380 |
| 389 |
| (2 | ) | 1,188 |
| 1,111 |
| 7 |
|
| Asia | 614 |
| 555 |
| 11 |
| 1,751 |
| 1,697 |
| 3 |
|
| Total | $ | 3,062 |
| $ | 2,660 |
| 15 | % | $ | 8,853 |
| $ | 7,144 |
| 24 | % |
Average loans by region (in billions of dollars) | | |
|
| | |
|
|
|
| North America | $ | 152 |
| $ | 145 |
| 5 | % | $ | 149 |
| $ | 142 |
| 5 | % |
| EMEA | 71 |
| 68 |
| 4 |
| 68 |
| 66 |
| 3 |
|
| Latin America | 34 |
| 36 |
| (6 | ) | 34 |
| 36 |
| (6 | ) |
| Asia | 64 |
| 58 |
| 10 |
| 61 |
| 58 |
| 5 |
|
| Total | $ | 321 |
| $ | 307 |
| 5 | % | $ | 312 |
| $ | 302 |
| 3 | % |
EOP deposits by business (in billions of dollars) | | | | | |
|
|
| Treasury and trade solutions | $ | 428 |
| $ | 417 |
| 3 | % | | |
|
|
All other ICG businesses | 212 |
| 202 |
| 5 |
|
|
|
|
|
|
|
| Total | $ | 640 |
| $ | 619 |
| 3 | % |
|
|
|
|
|
|
| | | | | | | | | | | | | | | | | | | | |
| Total | $ | 3,829 | | $ | 1,822 | | NM | $ | 9,767 | | $ | 5,396 | | 81 | % |
Average loans by region (in billions of dollars) | | | | | | |
| North America | $ | 201 | | $ | 215 | | (7) | % | $ | 198 | | $ | 205 | | (3) | % |
| EMEA | 90 | | 91 | | (1) | | 90 | | 90 | | — | |
| Latin America | 32 | | 43 | | (26) | | 32 | | 41 | | (22) | |
| Asia | 73 | | 73 | | — | | 72 | | 73 | | (1) | |
| Total | $ | 396 | | $ | 422 | | (6) | % | $ | 392 | | $ | 409 | | (4) | % |
EOP deposits by business (in billions of dollars) | | | | | | |
| Treasury and trade solutions | $ | 644 | | $ | 658 | | (2) | % | | | |
All other ICG businesses | 303 | | 250 | | 21 | | | | |
| Total | $ | 947 | | $ | 908 | | 4 | % | | | |
| |
(1) | Third quarter of 2017 includes the $580 million gain on the sale of a fixed income analytics business. First quarter of 2016 includes a charge of approximately $180 million, primarily reflecting the write-down of Citi’s net investment in Venezuela as a result of changes in the exchange rate during the quarter. |
NM Not meaningful
ICG Revenue Details
ICG Revenue Details—Excluding Gains (Losses) on Loan Hedges | | | | | | | | | | | | | | | | | | | | |
| Second Quarter | | Six Months | % Change |
| In millions of dollars | 2021 | 2020 | % Change | 2021 | 2020 |
Investment banking revenue details | | | | | | |
| Advisory | $ | 405 | | $ | 229 | | 77 | % | $ | 686 | | $ | 615 | | 12 | % |
| Equity underwriting | 544 | | 491 | | 11 | | 1,420 | | 671 | | NM |
| Debt underwriting | 823 | | 1,039 | | (21) | | 1,639 | | 1,827 | | (10) | |
| Total investment banking | $ | 1,772 | | $ | 1,759 | | 1 | % | $ | 3,745 | | $ | 3,113 | | 20 | % |
| Treasury and trade solutions | 2,290 | | 2,307 | | (1) | | 4,455 | | 4,730 | | (6) | |
Corporate lending—excluding gains (losses) on loan hedges(1) | 548 | | 646 | | (15) | | 1,031 | | 1,094 | | (6) | |
Private bank—excluding gains on loan hedges(1) | 993 | | 956 | | 4 | | 2,020 | | 1,905 | | 6 | |
Total Banking revenues (ex-gains (losses) on loan hedges) | $ | 5,603 | | $ | 5,668 | | (1) | % | $ | 11,251 | | $ | 10,842 | | 4 | % |
Gains (losses) on loan hedges(1) | $ | (37) | | $ | (431) | | 91 | % | $ | (118) | | $ | 385 | | NM |
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense | $ | 5,566 | | $ | 5,237 | | 6 | % | $ | 11,133 | | $ | 11,227 | | (1) | % |
| Fixed income markets | $ | 3,211 | | $ | 5,595 | | (43) | % | $ | 7,761 | | $ | 10,381 | | (25) | % |
| Equity markets | 1,058 | | 770 | | 37 | | 2,534 | | 1,939 | | 31 | |
| Securities services | 672 | | 619 | | 9 | | 1,325 | | 1,264 | | 5 | |
| Other | (120) | | (84) | | (43) | | (146) | | (190) | | 23 | |
Total Markets and securities services revenues, net of interest expense | $ | 4,821 | | $ | 6,900 | | (30) | % | $ | 11,474 | | $ | 13,394 | | (14) | % |
| Total revenues, net of interest expense | $ | 10,387 | | $ | 12,137 | | (14) | % | $ | 22,607 | | $ | 24,621 | | (8) | % |
| Commissions and fees | $ | 182 | | $ | 154 | | 18 | % | $ | 382 | | $ | 343 | | 11 | % |
Principal transactions(2) | 1,922 | | 4,009 | | (52) | | 4,852 | | 7,558 | | (36) | |
| Other | 156 | | 234 | | (33) | | 512 | | 171 | | NM |
| Total non-interest revenue | $ | 2,260 | | $ | 4,397 | | (49) | % | $ | 5,746 | | $ | 8,072 | | (29) | % |
| Net interest revenue | 951 | | 1,198 | | (21) | | 2,015 | | 2,309 | | (13) | |
Total fixed income markets(3) | $ | 3,211 | | $ | 5,595 | | (43) | % | $ | 7,761 | | $ | 10,381 | | (25) | % |
| Rates and currencies | $ | 1,993 | | $ | 3,582 | | (44) | % | $ | 5,032 | | $ | 7,616 | | (34) | % |
| Spread products/other fixed income | 1,218 | | 2,013 | | (39) | | 2,729 | | 2,765 | | (1) | |
| Total fixed income markets | $ | 3,211 | | $ | 5,595 | | (43) | % | $ | 7,761 | | $ | 10,381 | | (25) | % |
| Commissions and fees | $ | 298 | | $ | 305 | | (2) | % | $ | 690 | | $ | 667 | | 3 | % |
Principal transactions(2) | 222 | | 193 | | 15 | | 1,057 | | 967 | | 9 | |
| Other | 87 | | 2 | | NM | 119 | | 10 | | NM |
| Total non-interest revenue | $ | 607 | | $ | 500 | | 21 | % | $ | 1,866 | | $ | 1,644 | | 14 | % |
| Net interest revenue | 451 | | 270 | | 67 | | 668 | | 295 | | NM |
Total equity markets(3) | $ | 1,058 | | $ | 770 | | 37 | % | $ | 2,534 | | $ | 1,939 | | 31 | % |
|
| | | | | | | | | | | | | | | | |
| | Third Quarter | | Nine Months | % Change |
| In millions of dollars | 2017 | 2016 | % Change | 2017 | 2016 |
Investment banking revenue details | | | | | | |
| Advisory | $ | 237 |
| $ | 239 |
| (1 | )% | $ | 797 |
| $ | 704 |
| 13 | % |
| Equity underwriting | 290 |
| 146 |
| 99 |
| 820 |
| 438 |
| 87 |
|
| Debt underwriting | 704 |
| 698 |
| 1 |
| 2,314 |
| 2,029 |
| 14 |
|
| Total investment banking | $ | 1,231 |
| $ | 1,083 |
| 14 | % | $ | 3,931 |
| $ | 3,171 |
| 24 | % |
| Treasury and trade solutions | 2,144 |
| 1,986 |
| 8 |
| 6,284 |
| 5,888 |
| 7 |
|
Corporate lending—excluding gains/(losses) on loan hedges(1) | 502 |
| 439 |
| 14 |
| 1,413 |
| 1,270 |
| 11 |
|
| Private bank | 785 |
| 680 |
| 15 |
| 2,317 |
| 2,038 |
| 14 |
|
| Total banking revenues (ex-gains/(losses) on loan hedges) | $ | 4,662 |
| $ | 4,188 |
| 11 | % | $ | 13,945 |
| $ | 12,367 |
| 13 | % |
Corporate lending—gains/(losses) on loan hedges(1) | $ | (48 | ) | $ | (218 | ) | 78 | % | $ | (154 | ) | $ | (487 | ) | 68 | % |
| Total banking revenues (including gains/(losses) on loan hedges) | $ | 4,614 |
| $ | 3,970 |
| 16 | % | $ | 13,791 |
| $ | 11,880 |
| 16 | % |
| Fixed income markets | $ | 2,877 |
| $ | 3,413 |
| (16 | )% | $ | 9,714 |
| $ | 9,896 |
| (2 | )% |
| Equity markets | 757 |
| 654 |
| 16 |
| 2,217 |
| 2,127 |
| 4 |
|
| Securities services | 599 |
| 533 |
| 12 |
| 1,726 |
| 1,623 |
| 6 |
|
Other(2) | 384 |
| (111 | ) | NM |
| 122 |
| (483 | ) | NM |
|
| Total markets and securities services revenues | $ | 4,617 |
| $ | 4,489 |
| 3 | % | $ | 13,779 |
| $ | 13,163 |
| 5 | % |
| Total revenues, net of interest expense | $ | 9,231 |
| $ | 8,459 |
| 9 | % | $ | 27,570 |
| $ | 25,043 |
| 10 | % |
| Commissions and fees | $ | 167 |
| $ | 115 |
| 45 | % | $ | 461 |
| $ | 352 |
| 31 | % |
Principal transactions(3) | 1,546 |
| 1,825 |
| (15 | ) | 5,754 |
| 4,934 |
| 17 |
|
| Other | 129 |
| 171 |
| (25 | ) | 459 |
| 600 |
| (24 | ) |
| Total non-interest revenue | $ | 1,842 |
| $ | 2,111 |
| (13 | )% | $ | 6,674 |
| $ | 5,886 |
| 13 | % |
| Net interest revenue | 1,035 |
| 1,302 |
| (21 | ) | 3,040 |
| 4,010 |
| (24 | ) |
| Total fixed income markets | $ | 2,877 |
| $ | 3,413 |
| (16 | )% | $ | 9,714 |
| $ | 9,896 |
| (2 | )% |
| Rates and currencies | $ | 2,161 |
| $ | 2,362 |
| (9 | )% | $ | 6,891 |
| $ | 7,059 |
| (2 | )% |
| Spread products / other fixed income | 716 |
| 1,051 |
| (32 | ) | 2,823 |
| 2,837 |
| — |
|
| Total fixed income markets | $ | 2,877 |
| $ | 3,413 |
| (16 | )% | $ | 9,714 |
| $ | 9,896 |
| (2 | )% |
| Commissions and fees | $ | 301 |
| $ | 302 |
| — | % | $ | 930 |
| $ | 978 |
| (5 | )% |
Principal transactions(3) | 190 |
| 45 |
| NM |
| 331 |
| 48 |
| NM |
|
| Other | (5 | ) | 4 |
| NM |
| (4 | ) | 133 |
| NM |
|
| Total non-interest revenue | $ | 486 |
| $ | 351 |
| 38 | % | $ | 1,257 |
| $ | 1,159 |
| 8 | % |
| Net interest revenue | 271 |
| 303 |
| (11 | ) | 960 |
| 968 |
| (1 | ) |
| Total equity markets | $ | 757 |
| $ | 654 |
| 16 | % | $ | 2,217 |
| $ | 2,127 |
| 4 | % |
| |
(1) | Credit derivatives are used to economically hedge a portion of the corporate loan portfolio that includes both accrual loans and loans at fair value. Gains/(losses) on loan hedges includes the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection. Citigroup’s results of operations excluding the impact of gains/(losses) on loan hedges are non-GAAP financial measures. |
| |
| (2) | Third quarter of 2017 includes the $580 million gain on the sale of a fixed income analytics business. First quarter of 2016 includes the 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. |
(3) Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
(3) Citi assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate Net interest revenue may be risk managed by derivatives that are recorded in Principal transactions revenue. For a description of the composition of these revenue line items, see Notes 4, 5 and 6 to the Consolidated Financial Statements.
NM Not meaningful
The discussion of the results of operations for ICG below excludes (where noted) the impact of gains (losses) on hedges of accrual loans, which are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above.
3Q17 vs. 3Q16
Net income of $3.8 billion increased 15%,significantly versus the prior-year period, primarily driven by higher revenues, including the $580 million gain on the sale of a fixed income analytics business, and a higher benefit fromlower cost of credit, partially offset by lower revenues and higher operating expenses.
Revenues increased 9% declined 14%, reflecting lower Markets and securities services revenues (decrease of 30%), partially offset by higher Banking revenues (increase of 6% including the impact of gains (losses) on loan hedges). Excluding the impact of gains (losses) on loan hedges, Banking revenues were down 1%, driven by lower revenues in corporate lending and treasury and trade solutions, partially offset by higher revenues in the private bank and investment banking. Markets and securities services revenues were down 30%, primarily reflecting a normalization in fixed income revenues, partially offset by growth in equity markets and securities services.
Within Banking (increase of 16%; increase of 11% excluding losses on loan hedges) and:
•Investment banking revenues increased 1%, as higher revenues in Marketsboth advisory and securities services (increase of 3%)equity underwriting were largely offset by lower debt underwriting revenues. Advisory revenues increased 77%, includingreflecting strength in North America and EMEA,with overall growth in the gain on sale (decrease of 10% excluding the gain on sale). Bankingmarket wallet as well as wallet share gains. Equity underwriting revenues wereincreased 11%, primarily driven by continued strong momentum andsolid performance across all businesses. Citi expectsin EMEA, partially offset by North America, largely reflecting growth in the market wallet. Debt underwriting revenues in ICG will likely continue to reflect the overall market environment, includingdecreased 21%, primarily reflecting a normal seasonal decline in the markets businesses in the fourth quarter of 2017.
Within Banking:
Investment banking revenues increased 14%North America, largely driven by continued wallet share gains across products, partially offset by a decline in overall market wallet from the prior-year period. Advisory revenues declined 1%, largely reflecting the decline in overall market wallet. Equity underwriting revenues increased 99%, reflecting significant wallet share, gains and particular strengthas activity was primarily concentrated in North America and EMEA. Debtnon-investment-grade underwriting, revenues increased 1%, reflecting the wallet share gains, partially offset by the declinewhile Citi skews toward investment-grade underwriting, as well as a strong prior-year comparison, particularly in overall market wallet.
investment-grade underwriting.•Treasury and trade solutions revenues increased 8%decreased 1%. Excluding the impact of FX translation, revenues declined 2%, reflecting a decline in the cash business, partially offset by an increase in trade. Cash revenues decreased, as strong growth in fee revenues reflecting solid client
engagement and growth in transaction volumes, including
the early signs of recovery in commercial cards from the low levels in the prior-year period due to the pandemic, was more than offset by the impact of lower interest rates. In trade, revenues increased 7%across North America, EMEA and Asia, primarily reflecting strength in EMEA and Asia. The increase in revenues reflects continued growth inimproved loan spreads. End-of-period trade loans and deposits along with improvements in deposit spreads, as well as fee growth driven by higher payment, clearing and commercial card volumes and episodic fees in trade.End-of-period deposit balances increased 3% (2%grew 6% (4% excluding the
impact of FX translation). Average trade loans increased 4%, driven by strong loan growth in Asiareflecting increasing client demand and EMEA.
improving macroeconomic conditions.•Corporate lendingrevenues increased $233were $511 million to $454 million.versus $232 million in the prior-year period, including the impact of losses on loan hedges. Excluding the impact of losses on loan hedges, revenues increased 14%. The increase in revenues was driven by lower hedging costs and improved loan sale activity. Average loans declined 1%.
Private bank revenues increaseddecreased 15%, reflecting strength across all products, largely driven by North America and Asia. The increase in revenues was due to growth in clients, higher loan and deposit volumes, higher deposit spreads, higher managed investments revenues and increased capital markets activity.
Within Markets and securities services:
Fixed income markets revenues decreased 16%, driven by North America and EMEA, primarily due to lower client activity in the current quarter and the strong trading environment in the prior-year period. The decline in revenues was driven by lower net interest revenue (down 21%), largely due to a change in the mix of trading positions in support of client activity and lower principal transactions revenues (down 15%) reflecting the lower client activity and the prior-year strength in the trading environment. Rates and currencies revenues decreased 9%, driven by lower G10 rates and currencies revenues due to the low volatility in the current quarter and the comparison to higher revenues in the prior-year period following the vote in the U.K. in favor of its withdrawal from the European Union. Local markets rates and currencies revenues increased modestly, reflecting continued corporate client engagement across the global network. Spread products and other fixed income revenues decreased 32%, primarily driven by the prior-year strengthlower loan volumes, reflecting continued weakness in the trading environment in securitized markets in North America,demand given stronger client liquidity positions as well as lower credit products and municipals revenues.
higher repayment rates.Equity markets•Private bank revenues increased 16%, driven mainly by client-led growth, reflecting strength across regions. The increase in revenues was primarily due to higher equity derivatives revenues due to higher client activity and a more favorable trading environment compared to the prior-year period. The increase was also driven by continued momentum in cash equities and higher balances in prime finance. Principal transactions revenues increased, reflecting the client-led growth.
Securities services revenues increased 12%, reflecting particular strength in Asia and EMEA. The increase in revenues was driven by growth in fee revenues due to continued growth in assets under custody and increased client volumes, as well as growth in net interest revenue driven by higher interest rates.
Expenses increased 5% as investments, volume-related expenses and higher legal and related expenses were partially offset by efficiency savings.
Provisions decreased 82%, driven by a net loan loss reserve release of $208 million (compared to a $135 million release in the prior-year period, largely related to energy and energy-related exposures). The primary driver of the current quarter’s release was an improvement in the provision for unfunded lending commitments in the corporate loan portfolio.
2017 YTD vs. 2016 YTD
Net income increased 24%, primarily driven by higher revenues and lower credit costs, partially offset by higher expenses.
Revenues increased 10%, reflecting higher revenues in Banking (increase of 16%; increase of 13% excluding the impact of losses on loan hedges) and higher revenues in Markets and securities services (increase of 5%), including the gain on sale (unchanged excluding the gain on sale).
Within Banking:
Investment banking revenues increased 24%, largely reflecting gains in wallet share across products as well as an improvement from the industry-wide slowdown in activity levels during the first half of 2016, particularly in equity underwriting. Advisory revenues increased 13%, reflecting the wallet share gains. Equity underwriting revenues increased 87%, driven by significant wallet share gains as well as the increase in overall market activity. Debt underwriting revenues increased 14%, primarily driven by the wallet share gains.
Treasury and trade solutions revenues increased 7%, primarily driven by continued growth in deposit and loan volumes, higher spreads and strong fee growth across most cash products, as well as a modest improvement in trade revenues.
Corporate lending revenues increased 61%6%. Excluding the impact of losses on loan hedges, revenues increased 11%4%, primarily reflecting strength in North America and EMEA. The increase in revenues was driven by higher fees, including higher managed investments revenue and higher lending volumes and spreads, reflecting solid client engagement, partially offset by lower hedging costs in the current period, improved loan sale activitydeposit spreads and the prior-period adjustment to the residual value of a lease financing.
lower capital markets revenues.
Private bankWithin Markets and securities services:
•Fixed income markets revenues increased 14%decreased 43%, reflecting strengthwith declines across all regions, primarily driven by increased loanreflecting a comparison to a strong prior-year period in rates and deposit growth, higher deposit spreadsspread products and higher
managed investments revenues.
Within Markets and securities services:
Fixed income marketsa normalization in market activity. Non-interest revenues decreased, 2%, due to lowerreflecting a normalization in activity and volatility across rates and currencies and spreads products. Net interest revenues also decreased, largely reflecting a change in North America,Latin America, and Asia, partially offset by growth in EMEA. the mix of trading positions.
Rates and currencies revenues decreased 2% due to lower G10 rates44%, driven by the normalization in market activity and currencies revenues reflecting low volatility this year and thea comparison to Brexit-led activity ina strong prior-year period that included elevated levels of volatility related to the prior-year period. pandemic.
Spread products and other fixed income revenues remained unchanged. Net interest revenue was lower (down 24%)decreased 39%, largely duedriven by a comparison to a changestrong prior-year period in flow trading and commodities, reflecting the mix of trading positionsnormalization in support of client activity, partially offset by higher principal transactions revenues (up 17%).
including lower volatility.•Equity marketsmarkets revenues increased 4%37%, as continued growthreflecting strength in client balancesequity derivatives and higher client activity, particularly in EMEA and Asia, were partially offset by the absence of episodic activity in North America in the prior-year period. Equity derivatives revenues increased, driven by stronger trading performance compared to the prior-year period as well as higher investor client activity,prime finance, partially offset by a modest decline in primecash equities. Equity derivatives revenues increased, reflecting a favorable year-over-year comparison as well as an increase in client activity in structured products, particularly in North America and EMEA. Prime finance revenues dueincreased, primarily driven by favorable market conditions, increased dividend activity compared to spread mix. Cash equities the prior-year period and growth in client balances. Non-interest
revenues were modestly higher,increased, primarily driven by higher principal transactions, largely due to the higher client activity in Asia, partially offset by lower activity in North America.
activity.•Securities servicesrevenues increased 6%9%. Excluding the impact of prior year divestitures,FX translation, revenues increased 11%5%, largelyas an increase in fee revenues, driven by growth in assets under custody and settlement volumes, was partially offset by a decline in deposit spreads due to higher revenuesthe continued low interest rate environment.
Expenses were up 4%. Excluding the impact of FX translation, expenses increased 2%, primarily driven by continued investments in North America,Latin AmericaCiti’s transformation, along with strategic investments, partially offset by lower incentive compensation and EMEAefficiency savings.
Provisions reflected a benefit of $810 million compared to costs of $3.9 billion in the prior-year period, driven by an ACL release and lower net credit losses. Net credit losses declined to $89 million from $324 million in the prior-year period, driven by improvements in overall portfolio quality.
The ACL release for the quarter was $0.9 billion, compared to a build of $3.5 billion in the prior-year period. The release was primarily driven by an improvement in portfolio quality as well as Citi’s improved macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on trends in ICG’s deposits and loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.
For additional information on ICG’scorporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information about trends, uncertainties and risks related to ICG’s future results, see “Forward-Looking Statements” below and “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
2Q21 YTD vs. 2Q20 YTD
Year-to-date, ICG experienced similar trends to those described above. Net income increased 80%, driven by the same factors described above.
ExpensesRevenues declined 8%, driven by a 14% decrease in Markets and securities services revenues as well as a 1% decrease in Banking revenues (including the impact of gains (losses) on loan hedges). Excluding the impact of gains (losses) on loan hedges, Banking revenues increased 4% from, as growth in investment banking and the private bank was partially offset by a decrease in treasury and trade solutions and corporate lending. Markets and securities services revenues decreased 14%, primarily driven by a normalization in fixed income markets revenues due to a strong prior-year period, partially offset by growth in equity markets and securities services.
Within Banking:
•Investment banking revenues increased 20%. Advisory revenues increased 12%, driven by growth in the market wallet. Equity underwriting revenues increased significantly, primarily driven by strength in the market wallet as well as wallet share gains. Debt underwriting revenues decreased 10%, driven by the same factors described above,above.
•Treasury and trade solutions revenues decreased 6% including and excluding the impact of FX translation, driven by the same factors described above.
•Corporate lending revenues decreased 36%, including the impact of gains (losses) on loan hedges. Excluding the impact of gains (losses) on loan hedges, revenues decreased 6%, primarily driven by the same factors described above. The decrease in revenues was partially offset by lower repositioning costs.marks on the portfolio, given lower market volatility than in the first half of 2020 due to the pandemic.
Provisions•Private bank revenues increased 3%. Excluding the impact of gains (losses) on loan hedges, revenues increased 6%, driven by the same factors described above.
Within Markets and securities services:
•Fixed income markets revenues decreased $664 million, primarily25%, reflecting a declinestrong prior-year comparison particularly in net credit losses from $397 million in the prior-year period to $140 millionrates and a net loan loss reserve release of $422 million ($15 million release in the period-year period). This lower cost of credit wascurrencies, while spread products and other revenues declined slightly.
•Equity markets revenues increased 31%, primarily driven largely by improvement in the energy sector,equity derivatives and prime finance, as well as modestly higher cash equity revenues.
•Securities services revenues increased 5%. Excluding the release relatedimpact of FX translation, revenues increased 2%, driven by the same factors described above.
Expenses increased 6%, driven by the same factors described above.
Provisions reflected a net benefit of $2.6 billion, compared to costs of $5.9 billion, driven by the improvement in the provision for unfunded lending commitments.
same factors described above.
CORPORATE/OTHER
Corporate/Other includes certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as Corporate Treasury, certain North America and international legacy consumer loan portfolios, other legacy assets and discontinued operations (for additional information on Corporate/Other, see “Citigroup Segments” above). At SeptemberJune 30, 2017, 2021, Corporate/Other had $100$101 billion in assets, a decrease of 4% year-over-year and 3% from December 31, 2016.assets.
| | | | | | | | | | | | | | | | | | | | |
| Second Quarter | | Six Months | % Change |
| In millions of dollars | 2021 | 2020 | % Change | 2021 | 2020 |
| Net interest revenue | $ | 128 | | $ | (26) | | NM | $ | 189 | | $ | 299 | | (37) | % |
| Non-interest revenue | 139 | | 316 | | (56) | % | 148 | | 64 | | NM |
| Total revenues, net of interest expense | $ | 267 | | $ | 290 | | (8) | % | $ | 337 | | $ | 363 | | (7) | % |
| Total operating expenses | $ | 378 | | $ | 332 | | 14 | % | $ | 743 | | $ | 623 | | 19 | % |
| Net credit losses (recoveries) on loans | $ | (22) | | $ | (5) | | NM | $ | (40) | | $ | (7) | | NM |
| Credit reserve build (release) for loans | (99) | | 160 | | NM | (208) | | 351 | | NM |
| Provision (release) for credit losses on unfunded lending commitments | (3) | | 6 | | NM | (8) | | 11 | | NM |
| Provisions (releases) for benefits and claims, HTM debt securities and other assets | 3 | | 3 | | NM | 23 | | 1 | | 100 | % |
| Provisions (release) for credit losses and for benefits and claims | $ | (121) | | $ | 164 | | NM | $ | (233) | | $ | 356 | | NM |
| Income (loss) from continuing operations before taxes | $ | 10 | | $ | (206) | | NM | $ | (173) | | $ | (616) | | 72 | % |
| Income taxes (benefits) | (522) | | (146) | | NM | (573) | | (314) | | (82) | |
| Income (loss) from continuing operations | $ | 532 | | $ | (60) | | NM | $ | 400 | | $ | (302) | | NM |
| Income (loss) from discontinued operations, net of taxes | 10 | | (1) | | NM | 8 | | (19) | | NM |
| Net income (loss) before attribution of noncontrolling interests | $ | 542 | | $ | (61) | | NM | $ | 408 | | $ | (321) | | NM |
| Noncontrolling interests | — | | (3) | | 100 | % | (1) | | (7) | | 86 | % |
| Net income (loss) | $ | 542 | | $ | (58) | | NM | $ | 409 | | $ | (314) | | NM |
|
| | | | | | | | | | | | | | | | |
| | Third Quarter | | Nine Months | % Change |
| In millions of dollars | 2017 | 2016 | % Change | 2017 | 2016 |
| Net interest revenue | $ | 507 |
| $ | 706 |
| (28 | )% | $ | 1,543 |
| $ | 2,416 |
| (36 | )% |
| Non-interest revenue | 2 |
| 431 |
| (100 | ) | 796 |
| 1,852 |
| (57 | ) |
| Total revenues, net of interest expense | $ | 509 |
| $ | 1,137 |
| (55 | )% | $ | 2,339 |
| $ | 4,268 |
| (45 | )% |
| Total operating expenses | $ | 822 |
| $ | 1,288 |
| (36 | )% | $ | 2,929 |
| $ | 3,847 |
| (24 | )% |
| Net credit losses | $ | 29 |
| $ | 131 |
| (78 | )% | $ | 134 |
| $ | 374 |
| (64 | )% |
| Credit reserve build (release) | (79 | ) | (122 | ) | 35 |
| (268 | ) | (376 | ) | 29 |
|
| Provision (release) for unfunded lending commitments | — |
| — |
| — |
| 3 |
| (6 | ) | NM |
|
| Provision for benefits and claims | — |
| 9 |
| (100 | ) | 1 |
| 98 |
| (99 | ) |
| Provisions for credit losses and for benefits and claims | $ | (50 | ) | $ | 18 |
| NM |
| $ | (130 | ) | $ | 90 |
| NM |
|
| Income (loss) from continuing operations before taxes | $ | (263 | ) | $ | (169 | ) | (56 | )% | $ | (460 | ) | $ | 331 |
| NM |
|
| Income taxes (benefits) | (164 | ) | (146 | ) | (12 | )% | (439 | ) | (238 | ) | (84 | )% |
| Income (loss) from continuing operations | $ | (99 | ) | $ | (23 | ) | NM |
| $ | (21 | ) | $ | 569 |
| NM |
|
| Income (loss) from discontinued operations, net of taxes | (5 | ) | (30 | ) | 83 | % | (2 | ) | (55 | ) | 96 | % |
| Net income (loss) before attribution of noncontrolling interests | $ | (104 | ) | $ | (53 | ) | (96 | )% | $ | (23 | ) | $ | 514 |
| NM |
|
| Noncontrolling interests | (17 | ) | (5 | ) | NM |
| (13 | ) | (4 | ) | NM |
|
| Net income (loss) | $ | (87 | ) | $ | (48 | ) | (81 | )% | $ | (10 | ) | $ | 518 |
| NM |
|
NM Not meaningful
3Q172Q21 vs. 3Q162Q20
The net lossNet income was $87$542 million, compared to a net loss of $48$58 million in the prior-year period, dueprimarily driven by certain income tax benefit items related to non-U.S. operations in the current quarter (see “Income Taxes” below), as well as significantly lower revenues,cost of credit, partially offset by lower expensesrevenues and lower costhigher expenses.
Revenues decreased 8%, as positive marks on investments were more than offset by the absence of credit.AFS gains.
Revenues decreased 55%, driven by continued legacy asset run-off, divestitures and lower revenue from treasury hedging activities.
Expenses decreased 36% increased 14%, primarily driven by the wind-downimpact of legacy assets and lower legal expenses.FX translation.
Provisions decreased $68 million to reflected a net benefit of $50 million, primarily due to lower net credit losses, partially offset by a lower net loan loss reserve release. Net credit losses declined 78% to $29 million, primarily reflecting the impact of ongoing divestiture activity. The net reserve release declined 35%, mostly reflecting the continued wind-down of the North America mortgage portfolio, partially offset by a hurricane-related loan loss reserve build (of approximately $20 million).
2017 YTD vs. 2016 YTD
Year-to-date, Corporate/Other has experienced similar trends to those described above. The net loss was $10$121 million, compared to net incomecosts of $518$164 million in the prior-year period, primarily driven by a net ACL release on legacy assets in the current quarter.
The net ACL release was $102 million, compared to a build of $166 million in the prior-year period, primarily reflecting lower revenues, partially offset by lower expensesCiti’s improved macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and lower costSignificant Estimates” below.
For additional information about trends, uncertainties and risks related to Corporate Other’s future results, see “Forward-Looking Statements” below and “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
2Q21 YTD vs. 2Q20 YTD
Net income was$409 million, compared to a net loss of credit.$314 million in the prior-year period, largely reflecting the same factors described above.
Revenuesdecreased 45%7%, primarily reflecting the same factors described above.
Expenses increased 19%, driven by the same factors described above, as well as the absencean increase in brand marketing and transformation spend.
Provisions reflected a benefit of gains related$233 million, compared to debt buybacks in 2016. Revenues included approximately $750costs of $356 million in gains on asset sales in the first quarter of 2017, which more than offset a roughly $300 million charge related to the exit of Citi’s U.S. mortgage servicing operations in the quarter.
Expenses decreased 24%, driven by the same factors described above, partially offset by approximately $100 million in episodic expenses primarily related to the exit of the U.S. mortgage servicing operations.
Provisions decreased $220 million,prior-year period, driven by the same factors described above. Net credit losses declined 64%The ACL release was $216 million, compared to $134a build of $362 million reflecting the impact of ongoing divestiture activity as well as continued wind-down in the legacy North America mortgage portfolio. The provision for benefits and claims declined $97 million, reflecting continued legacy divestitures. The net reserve release declined 31%,prior-year period, driven by the same factors described above.
OFF-BALANCE SHEET ARRANGEMENTS22
The table below shows the location of a discussion of Citi’s various off-balance sheet arrangements in this Form 10-Q. CAPITAL RESOURCES
For additional information onabout capital resources, including Citi’s off-balance sheet arrangements,capital management, regulatory capital buffers, the stress testing component of capital planning and current regulatory capital standards and developments, see “Off-Balance Sheet Arrangements”“Capital Resources” and Notes 1, 21 and 26 to the Consolidated Financial Statements“Risk Factors” in Citigroup’s 2016Citi’s 2020 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 VIEs | See Note 18 to the Consolidated Financial Statements. |
Letters of credit, and lending and other commitments | See Note 22 to the Consolidated Financial Statements. |
Guarantees | See 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 thirdsecond quarter of 2017,2021, Citi returned a total of approximately $6.4$4.1 billion of capital to common shareholders in the form of share repurchases (approximately 8140 million common shares) and dividends.
Capital Management
Citi’s capital management framework is designed to ensure that Citigroup and its principal subsidiaries maintain sufficient capital consistent with each entity’s respective risk profile, management targets and all applicable regulatory standards and guidelines. For additional information, regarding see “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends” below. Year-to-date, Citi returned nearly $7 billion of capital to its common shareholders, the maximum amount permitted under Federal Reserve Board rules.
Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 11.8% as of June 30, 2021 under the Basel III Standardized Approach, and 11.8% as of March 31, 2021 and 11.7% as of December 31, 2020, both under the Basel III Advanced Approaches framework.
Citi’s reportable Common Equity Tier 1 Capital ratio remained unchanged from March 31, 2021, as net income of $6.2 billion was offset by the return of $4.1 billion of capital management, see “Capital Resources—to common shareholders in the current quarter, an increase in risk-weighted assets and a reduction in the benefit of the modified CECL transition provision as a result of the ACL releases during the quarter.
Citi’s Common Equity Tier 1 Capital Management”ratio increased from year-end 2020, primarily driven by the year-to-date net income of $14.1 billion, partially offset by the return of $6.7 billion of capital to common shareholders, adverse net movements in Citigroup’s 2016 Annual Report on Form 10-K.Accumulated other comprehensive income (AOCI), an increase in risk-weighted assets and a reduction in the benefit of the modified CECL transition provision as a result of the ACL releases during the year.
Stress Capital Planning and Stress TestingBuffer
Citi is subject to an annual assessment byIn June 2021, the Federal Reserve Board ascommunicated that Citi’s Stress Capital Buffer (SCB) requirement will increase from the current requirement of 2.5% to whether Citigroup has effective capital planning processes as well as sufficient regulatory capital3.0% for the four-quarter window of October 1, 2021 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’s capital planning and stress testing, including potential changes in Citi’s regulatory capital requirements and future CCAR processes, see “Forward-Looking Statements” below and “Capital Resources—Current Regulatory Capital Standards—Capital Planning and Stress Testing” and “Risk Factors—Strategic Risks” in Citigroup’s 2016 Annual Report on Form 10-K.
Current Regulatory Capital Standards
Citi is subject to regulatory capital standards issuedSeptember 30, 2022. Incorporating this interim SCB (which will be finalized by the Federal Reserve Board which constituteend of August 2021), and 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 2016 Annual Report on Form 10-K.
GSIB Surcharge
The Federal Reserve Board also adopted a rule that imposes a risk-based capital surcharge upon U.S. bank holding companies that are identified as global systemically important bank holding companies (GSIBs), including Citi. GSIB surcharges under the rule initially range from 1% to 4.5% of total risk-weighted assets. Citi’s initialcurrent GSIB surcharge effective January 1, 2016 was 3.5%. However, ongoing effortsof 3.0%, results in addressing quantitative measures of systemic importance have resulted in a reduction of Citi’s GSIB surcharge to 3%,an 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 2016 Annual Report on Form 10-K.
Transition Provisions
The U.S. Basel III rules contain several differing, largely multi-year transition provisions (i.e., “phase-ins” and “phase-outs”). Citi considers all of these transition provisions as being fully implemented on January 1, 2019 (full implementation). For additional information regarding the transition provisions under the U.S. Basel III rules, including with respect to the GSIB surcharge, see “Capital Resources—Current Regulatory Capital Standards—Transition Provisions” in Citigroup’s 2016 Annual Report on Form 10-K.
Citigroup’s Capital Resources Under Current Regulatory Standards
Citi is required to maintain stated minimum Common Equity Tier 1 Capital Tierrequirement of 10.5% under the Standardized Approach, effective October 1, Capital and Total Capital ratios of 4.5%, 6% and 8%, respectively.
2021. Citi’s effective minimum Common Equity Tier 1 Capital Tierrequirement under the Advanced Approaches (using the fixed 2.5% Capital Conservation Buffer) will remain unchanged at 10.0%.
The SCB applies to Citigroup only. The regulatory capital framework applicable to Citibank, including the Capital Conservation Buffer, is unchanged by Citigroup’s SCB. For additional information regarding the SCB, see “Capital Resources—Regulatory Capital Buffers—Stress Capital Buffer” in Citi’s 2020 Annual Report on Form 10-K. For additional information regarding CCAR and DFAST, see “Capital Resources—Stress Testing Component of Capital Planning” in Citi’s 2020 Annual Report on Form 10-K.
Expiration of Federal Reserve Board Limitations on Capital Distributions
In June 2021, the Federal Reserve Board announced that the temporary limitations placed on capital distributions in 2020 would be lifted. Commencing July 1, 2021, Citi’s common stock dividends and share repurchases are no longer subject to limitations based on the average of Citi’s net income for the four preceding calendar quarters.
All large banks, including Citi, remain subject to limitations on capital distributions in the event of a breach of any regulatory capital buffers, including the Stress Capital Buffer, with the degree of such restrictions based on the extent to which the buffers are breached. For additional information, see “Capital Resources—Regulatory Capital Buffers” and Total“Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
Citigroup’s Capital ratios during 2017, inclusive ofResources
The following tables set forth Citi’s capital components and ratios:
| | | | | | | | | | | | | | | | | | | | | | | |
| | Advanced Approaches | Standardized Approach |
| In millions of dollars, except ratios | Effective Minimum Requirement(1) | June 30,
2021 | March 31,
2021 | December 31,
2020 | June 30,
2021 | March 31,
2021 | December 31,
2020 |
Common Equity Tier 1 Capital(2) | | $ | 150,378 | | $ | 148,944 | | $ | 147,274 | | $ | 150,378 | | $ | 148,944 | | $ | 147,274 | |
| Tier 1 Capital | | 169,636 | | 170,484 | | 167,053 | | 169,636 | | 170,484 | | 167,053 | |
Total Capital (Tier 1 Capital + Tier 2 Capital)(2) | | 195,972 | | 197,700 | | 195,959 | | 205,531 | | 206,971 | | 204,849 | |
| Total Risk-Weighted Assets | | 1,253,785 | | 1,263,926 | | 1,255,284 | | 1,271,046 | | 1,260,080 | | 1,221,576 | |
Credit Risk(2) | | $ | 860,231 | | $ | 845,718 | | $ | 844,374 | | $ | 1,175,263 | | $ | 1,143,975 | | $ | 1,109,435 | |
| Market Risk | | 91,594 | | 112,592 | | 107,812 | | 95,783 | | 116,105 | | 112,141 | |
| Operational Risk | | 301,960 | | 305,616 | | 303,098 | | — | | — | | — | |
Common Equity Tier 1 Capital ratio(3) | 10.0 | % | 11.99 | % | 11.78 | % | 11.73 | % | 11.83 | % | 11.82 | % | 12.06 | % |
Tier 1 Capital ratio(3) | 11.5 | | 13.53 | | 13.49 | | 13.31 | | 13.35 | | 13.53 | | 13.68 | |
Total Capital ratio(3) | 13.5 | | 15.63 | | 15.64 | | 15.61 | | 16.17 | | 16.43 | | 16.77 | |
| | | | | | | | | | | | | | |
| In millions of dollars, except ratios | Effective Minimum Requirement | June 30, 2021 | March 31, 2021 | December 31, 2020 |
Quarterly Adjusted Average Total Assets(2)(4) | | $ | 2,307,323 | | $ | 2,282,935 | | $ | 2,265,615 | |
Total Leverage Exposure(2)(5) | | 2,903,655 | | 2,450,412 | | 2,386,881 | |
| Tier 1 Leverage ratio | 4.0 | % | 7.35 | % | 7.47 | % | 7.37 | % |
| Supplementary Leverage ratio | 5.0 | | 5.84 | | 6.96 | | 7.00 | |
(1)Citi’s effective minimum risk-based capital requirements include the 50% phase-in of both2.5% Stress Capital Buffer and 3.0% GSIB surcharge under the Standardized Approach, and the 2.5% Capital Conservation Buffer and the 3%3.0% GSIB surcharge under the Advanced Approaches (all of which is tomust be composed of Common Equity Tier 1 Capital), are 7.25%, 8.75% and 10.75%, respectively. Citi’s. The effective minimum requirements are applicable through September 30, 2021. See “Stress Capital Buffer” above for additional information.
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. In addition, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.
(3)Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach as of June 30, 2021, and Total Capital ratios during 2016, inclusiveunder the Basel III Advanced Approaches framework as of the 25% phase-in of both the 2.5% Capital Conservation BufferMarch 31, 2021 and the 3.5% GSIB surcharge (all of which is to be composed of Common Equity Tier 1 Capital), were 6%, 7.5% and 9.5%, respectively.
Furthermore, to be “well capitalized” under current federal bank regulatory agency definitions, a bank holding
company must have a Tier 1 Capital ratio of at least 6%, aDecember 31, 2020, whereas Citi’s reportable Total Capital ratio of at least 10%, and not be subject to a Federal Reserve Board directive to maintain higher capital levels.was derived under the Basel III Advanced Approaches framework for all periods presented.
The following tables set forth the capital tiers, total risk-weighted assets and underlying risk components, risk-based capital ratios,(4)Tier 1 Leverage ratio denominator. Represents quarterly adjusted average total assets less amounts deducted from Tier 1 Capital.
(5)Supplementary Leverage ratio denominator. Commencing with the second quarter of 2020 and continuing through the first quarter of 2021, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citideposits at Federal Reserve Banks. The Supplementary Leverage ratio as of September 30, 2017 and December 31, 2016.
Citigroup Capital Components and Ratios Under the second quarter of 2021 declined approximately 100 basis points as a result of the expiration of the temporary relief. For additional information, see “Capital Resources—Current Regulatory Standards (Basel III Transition Arrangements)Capital Standards—Temporary Supplementary Leverage Ratio Relief” in Citi’s 2020 Annual Report on Form 10-K.
|
| | | | | | | | | | | | |
| | September 30, 2017 | December 31, 2016 |
| In millions of dollars, except ratios | Advanced Approaches | Standardized Approach | Advanced Approaches | Standardized Approach |
| Common Equity Tier 1 Capital | $ | 162,008 |
| $ | 162,008 |
| $ | 167,378 |
| $ | 167,378 |
|
| Tier 1 Capital | 177,304 |
| 177,304 |
| 178,387 |
| 178,387 |
|
| Total Capital (Tier 1 Capital + Tier 2 Capital) | 202,643 |
| 214,787 |
| 202,146 |
| 214,938 |
|
| Total Risk-Weighted Assets | 1,143,448 |
| 1,158,679 |
| 1,166,764 |
| 1,126,314 |
|
Credit Risk(1) | $ | 756,529 |
| $ | 1,093,468 |
| $ | 773,483 |
| $ | 1,061,786 |
|
| Market Risk | 64,368 |
| 65,211 |
| 64,006 |
| 64,528 |
|
| Operational Risk | 322,551 |
| — |
| 329,275 |
| — |
|
Common Equity Tier 1 Capital ratio(2) | 14.17 | % | 13.98 | % | 14.35 | % | 14.86 | % |
Tier 1 Capital ratio(2) | 15.51 |
| 15.30 |
| 15.29 |
| 15.84 |
|
Total Capital ratio(2) | 17.72 |
| 18.54 |
| 17.33 |
| 19.08 |
|
|
| | | | | | | | |
| In millions of dollars, except ratios | September 30, 2017 | December 31, 2016 |
Quarterly Adjusted Average Total Assets(3) | | $ | 1,838,307 |
| | $ | 1,768,415 |
|
Total Leverage Exposure(4) | | 2,433,814 |
| | 2,351,883 |
|
| Tier 1 Leverage ratio | | 9.64 | % | | 10.09 | % |
| Supplementary Leverage ratio | | 7.29 |
| | 7.58 |
|
| |
(1) | Under the U.S. Basel III rules, credit risk-weighted assets during the transition period reflect the effects of transition arrangements related to regulatory capital adjustments and deductions and, as a result, will differ from credit risk-weighted assets derived under full implementation of the rules. |
| |
(2) | As of September 30, 2017, Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework. As of December 31, 2016, Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework. |
| |
(3) | Tier 1 Leverage ratio denominator. |
| |
(4) | Supplementary Leverage ratio denominator. |
As indicated in the table above, Citigroup’s risk-based capital ratios at SeptemberJune 30, 20172021 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 SeptemberJune 30, 2017.2021.
Components of Citigroup Capital Under Current Regulatory Standards (Basel III Transition Arrangements) |
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31, 2016 |
| Common Equity Tier 1 Capital | | |
Citigroup common stockholders’ equity(1) | $ | 208,565 |
| $ | 206,051 |
|
| Add: Qualifying noncontrolling interests | 209 |
| 259 |
|
| Regulatory Capital Adjustments and Deductions: | | |
Less: Net unrealized losses on securities available-for-sale (AFS), net of tax(2)(3) | (34 | ) | (320 | ) |
Less: Defined benefit plans liability adjustment, net of tax(3) | (1,068 | ) | (2,066 | ) |
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(4) | (437 | ) | (560 | ) |
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax(3)(5) | (333 | ) | (37 | ) |
| Less: Intangible assets: | | |
Goodwill, net of related deferred tax liabilities (DTLs)(6) | 21,532 |
| 20,858 |
|
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related DTLs(3) | 3,528 |
| 2,926 |
|
Less: Defined benefit pension plan net assets(3) | 576 |
| 514 |
|
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general business credit carry-forwards(3)(7) | 16,054 |
| 12,802 |
|
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments, and MSRs(3)(7)(8) | 6,948 |
| 4,815 |
|
| Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches) | $ | 162,008 |
| $ | 167,378 |
|
| Additional Tier 1 Capital | | |
Qualifying noncumulative perpetual preferred stock(1) | $ | 19,069 |
| $ | 19,069 |
|
Qualifying trust preferred securities(9) | 1,374 |
| 1,371 |
|
| Qualifying noncontrolling interests | 118 |
| 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) | (83 | ) | (24 | ) |
Less: Defined benefit pension plan net assets(3) | 144 |
| 343 |
|
Less: DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards(3)(7) | 4,014 |
| 8,535 |
|
Less: Permitted ownership interests in covered funds(10) | 1,128 |
| 533 |
|
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11) | 62 |
| 61 |
|
| Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches) | $ | 15,296 |
| $ | 11,009 |
|
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital) (Standardized Approach and Advanced Approaches) | $ | 177,304 |
| $ | 178,387 |
|
| Tier 2 Capital | | |
| Qualifying subordinated debt | $ | 23,578 |
| $ | 22,818 |
|
Qualifying trust preferred securities(12) | 329 |
| 317 |
|
| Qualifying noncontrolling interests | 39 |
| 22 |
|
Eligible allowance for credit losses(13) | 13,598 |
| 13,452 |
|
| Regulatory Capital Adjustment and Deduction: | | |
| Add: Unrealized gains on AFS equity exposures includable in Tier 2 Capital | 1 |
| 3 |
|
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11) | 62 |
| 61 |
|
| Total Tier 2 Capital (Standardized Approach) | $ | 37,483 |
| $ | 36,551 |
|
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach) | $ | 214,787 |
| $ | 214,938 |
|
Adjustment for excess of eligible credit reserves over expected credit losses(13) | $ | (12,144 | ) | $ | (12,792 | ) |
Total Tier 2 Capital (Advanced Approaches)
| $ | 25,339 |
| $ | 23,759 |
|
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches) | $ | 202,643 |
| $ | 202,146 |
|
Footnotes are presented on the following page.
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(1) | Issuance costs of $184 million related to noncumulative perpetual preferred stock outstanding at September 30, 2017 and December 31, 2016 are excluded from common stockholders’ equity and netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. generally accepted accounting principles (GAAP). |
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(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. |
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(3) | The transition arrangements for significant regulatory capital adjustments and deductions impacting Common Equity Tier 1 Capital and Additional Tier 1 Capital are set forth in the chart entitled “Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions,” as presented in Citigroup’s 2016 Annual Report on Form 10-K. |
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(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.
|
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(5) | The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected, and own-credit valuation adjustments on derivatives, are excluded from Common Equity Tier 1 Capital and Additional Tier 1 Capital, in accordance with the U.S. Basel III rules. |
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(6) | Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions. |
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(7) | Of Citi’s approximately $45.5 billion of net DTAs at September 30, 2017, approximately $19.9 billion were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $25.6 billion were excluded. Excluded from Citi’s regulatory capital at September 30, 2017 was in total approximately $27.0 billion of net DTAs arising from both net operating loss, foreign tax credit and general business credit carry-forwards as well as temporary differences, of which approximately $23.0 billion were deducted from Common Equity Tier 1 Capital and approximately $4.0 billion were deducted from Additional Tier 1 Capital, which was 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 solely from Common Equity Tier 1 Capital under these rules, if in excess of 10%/15% limitations. |
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(8) | Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At September 30, 2017 and December 31, 2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. Accordingly, approximately $6.9 billion of DTAs arising from temporary differences were excluded from Citi’s Common Equity Tier 1 Capital at September 30, 2017. Changes to the U.S. corporate tax regime that impact the value of Citi’s DTAs arising from temporary differences, which exceed the then current amount deducted from Citi’s Common Equity Tier 1 Capital, would further reduce Citi’s regulatory capital to the extent of such excess after tax. For additional information regarding potential U.S. corporate tax reform, see “Risk Factors—Strategic Risks” in Citigroup’s 2016 Annual Report on Form 10-K. |
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(9) | Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules. |
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(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. |
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(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. |
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(12) | Effective January 1, 2016, non-grandfathered trust preferred securities are not eligible for inclusion in Tier 1 Capital, but are eligible for inclusion in Tier 2 Capital subject to full phase-out by January 1, 2022. Non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital in an amount up to 50% and 60% during 2017 and 2016, respectively, of the aggregate outstanding principal amounts of such issuances as of January 1, 2014, in accordance with the transition arrangements for non-qualifying capital instruments under the U.S. Basel III rules. |
| |
(13) | Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $1.5 billion and $0.7 billion at September 30, 2017 and December 31, 2016, respectively. |
Citigroup Capital Rollforward Under Current Regulatory Standards (Basel III Transition Arrangements) |
| | | | | | |
| In millions of dollars | Three Months Ended
September 30, 2017 | Nine Months Ended
September 30, 2017 |
| Common Equity Tier 1 Capital, beginning of period | $ | 163,786 |
| $ | 167,378 |
|
| Net income | 4,133 |
| 12,095 |
|
| Common and preferred stock dividends declared | (1,137 | ) | (2,648 | ) |
| Net increase in treasury stock | (5,487 | ) | (9,186 | ) |
| Net change in common stock and additional paid-in capital | 98 |
| (147 | ) |
| Net decrease in foreign currency translation adjustment net of hedges, net of tax | 218 |
| 2,179 |
|
| Net change in unrealized losses on securities AFS, net of tax | (52 | ) | 345 |
|
| Net increase in defined benefit plans liability adjustment, net of tax | (23 | ) | (1,174 | ) |
Net change in adjustment related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax | (23 | ) | 29 |
|
| Net change in goodwill, net of related DTLs | 57 |
| (674 | ) |
| Net change in identifiable intangible assets other than MSRs, net of related DTLs | 142 |
| (602 | ) |
| Net change in defined benefit pension plan net assets | 61 |
| (62 | ) |
Net change in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards | 612 |
| (3,252 | ) |
Net increase in excess over 10%/15% limitations for other DTAs, certain common stock investments and MSRs | (374 | ) | (2,133 | ) |
| Other | (3 | ) | (140 | ) |
| Net decrease in Common Equity Tier 1 Capital | $ | (1,778 | ) | $ | (5,370 | ) |
Common Equity Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 162,008 |
| $ | 162,008 |
|
| Additional Tier 1 Capital, beginning of period | $ | 15,758 |
| $ | 11,009 |
|
| Net increase in qualifying trust preferred securities | — |
| 3 |
|
Net change in adjustment related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax | 25 |
| 59 |
|
| Net decrease in defined benefit pension plan net assets | 15 |
| 199 |
|
Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards | 152 |
| 4,521 |
|
| Net increase in permitted ownership interests in covered funds | (633 | ) | (595 | ) |
| Other | (21 | ) | 100 |
|
| Net change in Additional Tier 1 Capital | $ | (462 | ) | $ | 4,287 |
|
Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 177,304 |
| $ | 177,304 |
|
| Tier 2 Capital, beginning of period (Standardized Approach) | $ | 37,383 |
| $ | 36,551 |
|
| Net change in qualifying subordinated debt | (64 | ) | 760 |
|
| Net increase in qualifying trust preferred securities | 5 |
| 12 |
|
| Net increase in eligible allowance for credit losses | 165 |
| 146 |
|
| Other | (6 | ) | 14 |
|
| Net increase in Tier 2 Capital (Standardized Approach) | $ | 100 |
| $ | 932 |
|
| Tier 2 Capital, end of period (Standardized Approach) | $ | 37,483 |
| $ | 37,483 |
|
| Total Capital, end of period (Standardized Approach) | $ | 214,787 |
| $ | 214,787 |
|
| | | |
| Tier 2 Capital, beginning of period (Advanced Approaches) | $ | 25,246 |
| $ | 23,759 |
|
| Net change in qualifying subordinated debt | (64 | ) | 760 |
|
| Net increase in qualifying trust preferred securities | 5 |
| 12 |
|
| Net increase in excess of eligible credit reserves over expected credit losses | 158 |
| 794 |
|
| Other | (6 | ) | 14 |
|
| Net increase in Tier 2 Capital (Advanced Approaches) | $ | 93 |
| $ | 1,580 |
|
| Tier 2 Capital, end of period (Advanced Approaches) | $ | 25,339 |
| $ | 25,339 |
|
| Total Capital, end of period (Advanced Approaches) | $ | 202,643 |
| $ | 202,643 |
|
Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Standardized Approach with Transition Arrangements)
|
| | | | | | |
| In millions of dollars | Three Months Ended
September 30, 2017 | Nine Months Ended
September 30, 2017 |
| Total Risk-Weighted Assets, beginning of period | $ | 1,163,894 |
| $ | 1,126,314 |
|
| Changes in Credit Risk-Weighted Assets | | |
Net increase in general credit risk exposures(1) | 1,511 |
| 15,154 |
|
Net increase in repo-style transactions(2) | 8,430 |
| 15,417 |
|
Net decrease in securitization exposures(3) | (4,129 | ) | (6,183 | ) |
| Net increase in equity exposures | 809 |
| 1,556 |
|
Net increase in over-the-counter (OTC) derivatives(4) | 2,827 |
| 1,746 |
|
Net change in other exposures(5) | (1,508 | ) | 1,401 |
|
Net change in off-balance sheet exposures(6) | (731 | ) | 2,591 |
|
| Net increase in Credit Risk-Weighted Assets | $ | 7,209 |
| $ | 31,682 |
|
| Changes in Market Risk-Weighted Assets | | |
Net change in risk levels(7) | $ | (1,727 | ) | $ | 14,163 |
|
Net decrease due to model and methodology updates(8) | (10,697 | ) | (13,480 | ) |
| Net change in Market Risk-Weighted Assets | $ | (12,424 | ) | $ | 683 |
|
| Total Risk-Weighted Assets, end of period | $ | 1,158,679 |
| $ | 1,158,679 |
|
| |
(1) | General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased during the three and nine months ended September 30, 2017 primarily due to corporate loan growth. |
| |
(2) | Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions. |
| |
(3) | Securitization exposures decreased during the three and nine months ended September 30, 2017 principally as a result of certain securitization exposures becoming subject to deduction from Tier 1 Capital under the Volcker Rule of the Dodd-Frank Act. |
| |
(4) | OTC derivatives increased during the three and nine months ended September 30, 2017 primarily due to increased trade volume. |
| |
(5) | Other exposures include cleared transactions, unsettled transactions, and other assets. Other exposures decreased during the three months ended September 30, 2017, as growth in cleared transactions was more than offset by the impact of supervisory guidance on the regulatory capital treatment of certain centrally cleared derivatives. Other exposures increased during the nine months ended September 30, 2017 primarily due to growth in cleared transactions. |
| |
(6) | Off-balance sheet exposures increased during the nine months ended September 30, 2017, as the growth in corporate exposures and reduced hedging benefits during the first quarter of 2017 more than offset the decline in off-balance sheet exposures during the second and third quarter of 2017. |
| |
(7) | Risk levels decreased during the three months ended September 30, 2017 primarily due to a decrease in exposure levels subject to Stressed Value at Risk and Value at Risk. Risk levels increased during the nine months ended September 30, 2017 primarily due to an increase in exposure levels subject to comprehensive risk, as well as an increase in positions subject to securitization charges and standard specific risk charges. |
| |
(8) | Risk-weighted assets declined during the three and nine months ended September 30, 2017, as Citi received supervisory approval to remove the Comprehensive Risk Measure model surcharge for correlation trading portfolios, commencing with the third quarter of 2017. Further contributing to the decline in risk-weighted assets during the three and nine months ended September 30, 2017, were changes in model inputs regarding volatility and the correlation between market risk factors. |
Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
|
| | | | | | |
| In millions of dollars | Three Months Ended
September 30, 2017 | Nine Months Ended
September 30, 2017 |
| Total Risk-Weighted Assets, beginning of period | $ | 1,157,670 |
| $ | 1,166,764 |
|
| Changes in Credit Risk-Weighted Assets | | |
Net change in retail exposures(1) | 1,898 |
| (6,757 | ) |
Net decrease in wholesale exposures(2) | (6,362 | ) | (5,946 | ) |
Net increase in repo-style transactions(3) | 4,658 |
| 4,660 |
|
Net decrease in securitization exposures(4) | (4,362 | ) | (6,477 | ) |
| Net increase in equity exposures | 737 |
| 1,336 |
|
Net change in over-the-counter (OTC) derivatives(5) | 1,088 |
| (5,009 | ) |
| Net change in derivatives CVA | 1,017 |
| (83 | ) |
Net increase in other exposures(6) | 2,326 |
| 2,277 |
|
Net decrease in supervisory 6% multiplier(7) | (1 | ) | (955 | ) |
| Net change in Credit Risk-Weighted Assets | $ | 999 |
| $ | (16,954 | ) |
| Changes in Market Risk-Weighted Assets | | |
Net change in risk levels(8) | $ | (2,075 | ) | $ | 13,842 |
|
Net decrease due to model and methodology updates(9) | (10,697 | ) | (13,480 | ) |
| Net change in Market Risk-Weighted Assets | $ | (12,772 | ) | $ | 362 |
|
Net decrease in Operational Risk-Weighted Assets(10) | $ | (2,449 | ) | $ | (6,724 | ) |
| Total Risk-Weighted Assets, end of period | $ | 1,143,448 |
| $ | 1,143,448 |
|
| |
(1) | Retail exposures increased during the three months ended September 30, 2017 primarily due to model enhancements. Retail exposures decreased during the nine months ended September 30, 2017 principally resulting from residential mortgage loan sales and repayments, and divestitures of certain legacy assets. |
| |
(2) | Wholesale exposures decreased during the three months ended September 30, 2017 as the impact of certain loan syndications more than offset corporate loan growth. Wholesale exposures decreased during the nine months ended September 30, 2017 primarily due to annual updates to model parameters. |
| |
(3) | Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions. |
| |
(4) | Securitization exposures decreased during the three and nine months ended September 30, 2017 principally as a result of certain securitization exposures becoming subject to deduction from Tier 1 Capital under the Volcker Rule of the Dodd-Frank Act. |
| |
(5) | OTC derivatives increased during the three months ended September 30, 2017 primarily due to changes in fair value. OTC derivatives decreased during the nine months ended September 30, 2017 primarily due to changes in fair value and improved portfolio credit quality. |
| |
(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 and nine months ended September 30, 2017 primarily due to increases in cleared transactions. |
| |
(7) | Supervisory 6% multiplier does not apply to derivatives CVA. |
| |
(8) | Risk levels decreased during the three months ended September 30, 2017 primarily due to a decrease in exposure levels subject to Stressed Value at Risk and Value at Risk. Risk levels increased during the nine months ended September 30, 2017 primarily due to an increase in exposure levels subject to comprehensive risk, as well as an increase in positions subject to securitization charges and standard specific risk charges. |
| |
(9) | Risk-weighted assets declined during the three and nine months ended September 30, 2017, as Citi received supervisory approval to remove the Comprehensive Risk Measure model surcharge for correlation trading portfolios, commencing with the third quarter of 2017. Further contributing to the decline in risk-weighted assets during the three and nine months ended September 30, 2017, were changes in model inputs regarding volatility and the correlation between market risk factors. |
| |
(10) | Operational risk-weighted assets decreased during the three and nine months ended September 30, 2017 primarily due to assessed improvements in the business environment and risk controls. Further contributing to the decline in operational risk-weighted assets during the nine months ended September 30, 2017 were changes in operational loss severity and frequency. |
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 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 Citibank, Citi’s primary subsidiary U.S. depository institution, as of September 30, 2017 and December 31, 2016.24
Citibank Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
|
| | | | | | | | | | | | |
| | September 30, 2017 | December 31, 2016 |
| In millions of dollars, except ratios | Advanced Approaches | Standardized Approach | Advanced Approaches | Standardized Approach |
| Common Equity Tier 1 Capital | $ | 129,170 |
| $ | 129,170 |
| $ | 126,220 |
| $ | 126,220 |
|
| Tier 1 Capital | 130,564 |
| 130,564 |
| 126,465 |
| 126,465 |
|
Total Capital (Tier 1 Capital + Tier 2 Capital)(1) | 143,608 |
| 154,424 |
| 138,821 |
| 150,291 |
|
| Total Risk-Weighted Assets | 962,968 |
| 1,044,808 |
| 973,933 |
| 1,001,016 |
|
| Credit Risk | $ | 666,691 |
| $ | 995,230 |
| $ | 669,920 |
| $ | 955,767 |
|
| Market Risk | 48,496 |
| 49,578 |
| 44,579 |
| 45,249 |
|
| Operational Risk | 247,781 |
| — |
| 259,434 |
| — |
|
Common Equity Tier 1 Capital ratio(2)(3) | 13.41 | % | 12.36 | % | 12.96 | % | 12.61 | % |
Tier 1 Capital ratio(2)(3) | 13.56 |
| 12.50 |
| 12.99 |
| 12.63 |
|
Total Capital ratio(2)(3) | 14.91 |
| 14.78 |
| 14.25 |
| 15.01 |
|
|
| | | | | | | | |
| In millions of dollars, except ratios | September 30, 2017 | December 31, 2016 |
Quarterly Adjusted Average Total Assets(4) | | $ | 1,396,879 |
| | $ | 1,333,161 |
|
Total Leverage Exposure(5) | | 1,929,785 |
| | 1,859,394 |
|
Tier 1 Leverage ratio(3) | | 9.35 | % | | 9.49 | % |
| Supplementary Leverage ratio | | 6.77 |
| | 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 September 30, 2017, 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, 2016, 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. |
| |
(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 risk-based capital ratios at September 30, 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 September 30, 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 and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), under current regulatory capital standards (reflecting Basel III Transition Arrangements), as of September 30, 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 ratio | Total 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 Approaches | 0.9 | 1.2 | 0.9 | 1.4 | 0.9 | 1.6 |
| Standardized Approach | 0.9 | 1.2 | 0.9 | 1.3 | 0.9 | 1.6 |
| Citibank | | | | | | |
| Advanced Approaches | 1.0 | 1.4 | 1.0 | 1.4 | 1.0 | 1.6 |
| Standardized Approach | 1.0 | 1.2 | 1.0 | 1.2 | 1.0 | 1.4 |
Impact of Changes on Citigroup and Citibank Leverage Ratios (Basel III Transition Arrangements)
|
| | | | |
| | Tier 1 Leverage ratio | Supplementary 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 |
| Citigroup | 0.5 | 0.5 | 0.4 | 0.3 |
| Citibank | 0.7 | 0.7 | 0.5 | 0.4 |
Citigroup Broker-Dealer Subsidiaries
At September 30, 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 $8.5 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 approximately $17.2 billion at September 30, 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 September 30, 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 and underlying risk components, 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 September 30, 2017 and December 31, 2016.
At September 30, 2017, Citi’s constraining Common Equity Tier 1 Capital and Tier 1 Capital ratios were those derived under the Basel III Standardized Approach, whereas Citi’s binding Total Capital ratio was that resulting from application of the Basel III Advanced Approaches framework. Further, each of Citi’s risk-based capital ratios was constrained by the Basel III Advanced Approaches framework for all periods prior to June 30, 2017.
Citigroup Capital Components and Ratios Under Basel III (Full Implementation) |
| | | | | | | | | | | | |
| | September 30, 2017 | December 31, 2016 |
| In millions of dollars, except ratios | Advanced Approaches | Standardized Approach | Advanced Approaches | Standardized Approach |
| Common Equity Tier 1 Capital | $ | 153,534 |
| $ | 153,534 |
| $ | 149,516 |
| $ | 149,516 |
|
| Tier 1 Capital | 172,849 |
| 172,849 |
| 169,390 |
| 169,390 |
|
| Total Capital (Tier 1 Capital + Tier 2 Capital) | 198,195 |
| 210,339 |
| 193,160 |
| 205,975 |
|
| Total Risk-Weighted Assets | 1,169,142 |
| 1,182,918 |
| 1,189,680 |
| 1,147,956 |
|
| Credit Risk | $ | 782,223 |
| $ | 1,117,707 |
| $ | 796,399 |
| $ | 1,083,428 |
|
| Market Risk | 64,368 |
| 65,211 |
| 64,006 |
| 64,528 |
|
| Operational Risk | 322,551 |
| — |
| 329,275 |
| — |
|
Common Equity Tier 1 Capital ratio(1)(2) | 13.13 | % | 12.98 | % | 12.57 | % | 13.02 | % |
Tier 1 Capital ratio(1)(2) | 14.78 |
| 14.61 |
| 14.24 |
| 14.76 |
|
Total Capital ratio(1)(2) | 16.95 |
| 17.78 |
| 16.24 |
| 17.94 |
|
|
| | | | | | | | |
| In millions of dollars, except ratios | September 30, 2017 | December 31, 2016 |
Quarterly Adjusted Average Total Assets(3) | | $ | 1,835,074 |
| | $ | 1,761,923 |
|
Total Leverage Exposure(4) | | 2,430,582 |
| | 2,345,391 |
|
Tier 1 Leverage ratio(2) | | 9.42 | % | | 9.61 | % |
Supplementary Leverage ratio(2) | | 7.11 |
| | 7.22 |
|
| |
(1) | As of September 30, 2017, Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework. As of December 31, 2016, Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework. |
| |
(2) | Citi’s Basel III risk-based capital and leverage ratios and related components, on a fully implemented basis, are non-GAAP financial measures. |
| |
(3) | Tier 1 Leverage ratio denominator. |
| |
(4) | Supplementary Leverage ratio denominator. |
Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 13.0% at September 30, 2017, compared to 13.1% at June 30, 2017 and 12.6% at December 31, 2016. The ratio declined quarter-over-quarter as the favorable effects associated with quarterly net income of $4.1 billion and a slight decline in total risk-weighted assets were more than offset by the return of $6.4 billion of capital to common shareholders during the period. The growth in Citi’s Common Equity Tier 1 Capital ratio from year-end 2016 reflected continued enhancement of Common Equity Tier 1 Capital resulting from year-to-date net income of $12.1 billion and beneficial net movements in AOCI, offset in part by the return of approximately $10.8 billion of capital to common shareholders during the first nine months of 2017.
Components of Citigroup Capital
| | | | | | | | |
| In millions of dollars | June 30,
2021 | December 31,
2020 |
| Common Equity Tier 1 Capital | | |
Citigroup common stockholders’ equity(1) | $ | 184,289 | | $ | 180,118 | |
| Add: Qualifying noncontrolling interests | 138 | | 141 | |
| Regulatory capital adjustments and deductions: | | |
Add: CECL transition and 25% provision deferral(2) | 3,774 | | 5,348 | |
| Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax | 864 | | 1,593 | |
Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax | (1,258) | | (1,109) | |
| Less: Intangible assets: | | |
Goodwill, net of related DTLs(3) | 20,999 | | 21,124 | |
Identifiable intangible assets other than MSRs, net of related DTLs | 3,986 | | 4,166 | |
| Less: Defined benefit pension plan net assets; other | 2,040 | | 921 | |
Less: DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards(4) | 11,192 | | 11,638 | |
| Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches) | $ | 150,378 | | $ | 147,274 | |
| Additional Tier 1 Capital | | |
Qualifying noncumulative perpetual preferred stock(1) | $ | 17,870 | | $ | 19,324 | |
Qualifying trust preferred securities(5) | 1,397 | | 1,393 | |
| Qualifying noncontrolling interests | 35 | | 35 | |
| Regulatory capital deductions: | | |
Less: Permitted ownership interests in covered funds(6) | — | | 917 | |
| Less: Other | 44 | | 56 | |
| Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches) | $ | 19,258 | | $ | 19,779 | |
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital) (Standardized Approach and Advanced Approaches) | $ | 169,636 | | $ | 167,053 | |
| Tier 2 Capital | | |
| Qualifying subordinated debt | $ | 21,209 | | $ | 23,481 | |
Qualifying trust preferred securities(7) | 248 | | 331 | |
| Qualifying noncontrolling interests | 40 | | 41 | |
Eligible allowance for credit losses(2)(8) | 14,725 | | 13,974 | |
| Regulatory capital deduction: | | |
| Less: Other | 327 | | 31 | |
| Total Tier 2 Capital (Standardized Approach) | $ | 35,895 | | $ | 37,796 | |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach) | $ | 205,531 | | $ | 204,849 | |
Adjustment for excess of eligible credit reserves over expected credit losses(2)(8) | $ | (9,559) | | $ | (8,890) | |
| Total Tier 2 Capital (Advanced Approaches) | $ | 26,336 | | $ | 28,906 | |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches) | $ | 195,972 | | $ | 195,959 | |
(1)Issuance costs of $125 million and $156 million related to outstanding noncumulative perpetual preferred stock as of June 30, 2021 and December 31, 2020, respectively, are excluded from common stockholders’ equity and are netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under Basel III (Full Implementation)the modified CECL transition provision, the changes in retained earnings (after-tax) and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date.
(3)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions. |
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31, 2016 |
| Common Equity Tier 1 Capital | | |
Citigroup common stockholders’ equity(1) | $ | 208,565 |
| $ | 206,051 |
|
| Add: Qualifying noncontrolling interests | 144 |
| 129 |
|
| Regulatory Capital Adjustments and Deductions: | | |
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(2) | (437 | ) | (560 | ) |
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax(3) | (416 | ) | (61 | ) |
| Less: Intangible assets: | | |
Goodwill, net of related DTLs(4) | 21,532 |
| 20,858 |
|
Identifiable intangible assets other than MSRs, net of related DTLs | 4,410 |
| 4,876 |
|
| Less: Defined benefit pension plan net assets | 720 |
| 857 |
|
Less: DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards(5) | 20,068 |
| 21,337 |
|
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments, and MSRs(5)(6) | 9,298 |
| 9,357 |
|
| Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches) | $ | 153,534 |
| $ | 149,516 |
|
| Additional Tier 1 Capital | | |
Qualifying noncumulative perpetual preferred stock(1) | $ | 19,069 |
| $ | 19,069 |
|
Qualifying trust preferred securities(7) | 1,374 |
| 1,371 |
|
| Qualifying noncontrolling interests | 62 |
| 28 |
|
| Regulatory Capital Deductions: | | |
Less: Permitted ownership interests in covered funds(8) | 1,128 |
| 533 |
|
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9) | 62 |
| 61 |
|
| Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches) | $ | 19,315 |
| $ | 19,874 |
|
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital) (Standardized Approach and Advanced Approaches) | $ | 172,849 |
| $ | 169,390 |
|
| Tier 2 Capital | | |
| Qualifying subordinated debt | $ | 23,578 |
| $ | 22,818 |
|
Qualifying trust preferred securities(10) | 329 |
| 317 |
|
| Qualifying noncontrolling interests | 47 |
| 36 |
|
Eligible allowance for credit losses(11) | 13,598 |
| 13,475 |
|
| Regulatory Capital Deduction: | | |
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9) | 62 |
| 61 |
|
| Total Tier 2 Capital (Standardized Approach) | $ | 37,490 |
| $ | 36,585 |
|
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach) | $ | 210,339 |
| $ | 205,975 |
|
Adjustment for excess of eligible credit reserves over expected credit losses(11) | $ | (12,144 | ) | $ | (12,815 | ) |
Total Tier 2 Capital (Advanced Approaches)
| $ | 25,346 |
| $ | 23,770 |
|
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches) | $ | 198,195 |
| $ | 193,160 |
|
| |
(1) | Issuance costs of $184 million related to noncumulative perpetual preferred stock outstanding at September 30, 2017 and December 31, 2016 are excluded from common stockholders’ equity and netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP. |
| |
(2) | Common Equity Tier 1 Capital is adjusted for accumulated net unrealized gains (losses) on cash flow hedges included in AOCI that relate to the hedging of items not recognized at fair value on the balance sheet. |
| |
(3) | The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected, and own-credit valuation adjustments on derivatives, are excluded from Common Equity Tier 1 Capital, in accordance with the U.S. Basel III rules. |
| |
(4) | Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions. |
Footnotes continue on the following page.
(4)Of Citi’s $24.5 billion of net DTAs at June 30, 2021, $15.1 billion was includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $9.4 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of June 30, 2021 was $11.2 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards. The amount excluded was reduced by $1.8 billion of net DTLs primarily associated with goodwill and certain other intangible assets that are separately deducted from capital. DTAs arising from tax carry-forwards are required to be entirely deducted from Common Equity Tier 1 Capital under the U.S. Basel III rules. DTAs arising from temporary differences are required to be deducted from capital only if these DTAs exceed 10%/15% limitations under the U.S. Basel III rules. Citi’s DTAs do not currently exceed these limitations and, therefore, are not subject to deduction from Common Equity Tier 1 Capital, but are subject to risk weighting at 250%.
| |
(5) | Of Citi’s approximately $45.5 billion of net DTAs at September 30, 2017, approximately $17.6 billion were includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while approximately $27.9 billion were excluded. Excluded from Citi’s Common Equity Tier 1 Capital at September 30, 2017 was in total approximately $29.3 billion of net DTAs arising from both net operating loss, foreign tax credit and general business credit carry-forwards as well as temporary differences, which was 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 entirely deducted from Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules; whereas DTAs arising from temporary differences are deducted from Common Equity Tier 1 Capital under these rules, if in excess of 10%/15% limitations. |
| |
(6) | Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At September 30, 2017 and December 31, 2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. Accordingly, approximately $9.3 billion of DTAs arising from temporary differences were excluded from Citi’s Common Equity Tier 1 Capital at September 30, 2017. Changes to the U.S. corporate tax regime that impact the value of Citi’s DTAs arising from temporary differences, which exceed the then current amount deducted from Citi’s Common Equity Tier 1 Capital, would further reduce Citi’s regulatory capital to the extent of such excess after tax. For additional information regarding potential U.S. corporate tax reform, see “Risk Factors—Strategic Risks��� in Citigroup’s 2016 Annual Report on Form 10-K. |
| |
(7) | Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules. |
| |
(8) | 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. |
| |
(9) | 50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital. |
| |
(10) | 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) | Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $1.5 billion and $0.7 billion at September 30, 2017 and December 31, 2016, respectively. |
(5)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(6)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Commencing January 1, 2021, Citi no longer deducts permitted market making positions in third-party covered funds from Tier 1 Capital, in accordance with the revised Volcker Rule 2.0 issued by the U.S. agencies in November 2019. Upon the removal of the capital deduction, permitted market making positions in third-party covered funds are included in risk-weighted assets.
(7)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.
(8)Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $5.2 billion and $5.1 billion at June 30, 2021 and December 31, 2020, respectively.
Citigroup Capital Rollforward Under Basel III (Full Implementation)
| | | | | | | | |
| In millions of dollars | Three Months Ended
June 30, 2021 | Six Months Ended
June 30, 2021 |
| Common Equity Tier 1 Capital, beginning of period | $ | 148,944 | | $ | 147,274 | |
| Net income | 6,193 | | 14,135 | |
| Common and preferred dividends declared | (1,315) | | (2,681) | |
| Net increase in treasury stock | (2,992) | | (4,124) | |
| Net change in common stock and additional paid-in capital | 118 | | (57) | |
| Net change in foreign currency translation adjustment net of hedges, net of tax | 523 | | (751) | |
| Net change in unrealized gains (losses) on debt securities AFS, net of tax | (474) | | (2,259) | |
| Net decrease in defined benefit plans liability adjustment, net of tax | 87 | | 801 | |
| Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax | 24 | | 45 | |
| Net increase in excluded component of fair value hedges | (10) | | (20) | |
| Net change in goodwill, net of related DTLs | (145) | | 125 | |
| Net decrease in identifiable intangible assets other than MSRs, net of related DTLs | 68 | | 180 | |
| Net increase in defined benefit pension plan net assets | (166) | | (730) | |
| Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards | 499 | | 446 | |
| Net decrease in CECL 25% provision deferral | (585) | | (1,574) | |
| Other | (391) | | (432) | |
| Net increase in Common Equity Tier 1 Capital | $ | 1,434 | | $ | 3,104 | |
Common Equity Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 150,378 | | $ | 150,378 | |
| Additional Tier 1 Capital, beginning of period | $ | 21,540 | | $ | 19,779 | |
| Net decrease in qualifying perpetual preferred stock | (2,277) | | (1,454) | |
| Net increase in qualifying trust preferred securities | 2 | | 4 | |
| Net decrease in permitted ownership interests in covered funds | — | | 917 | |
| Other | (7) | | 12 | |
| Net decrease in Additional Tier 1 Capital | $ | (2,282) | | $ | (521) | |
Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 169,636 | | $ | 169,636 | |
| Tier 2 Capital, beginning of period (Standardized Approach) | $ | 36,487 | | $ | 37,796 | |
| Net decrease in qualifying subordinated debt | (681) | | (2,272) | |
| Net increase in eligible allowance for credit losses | 373 | | 751 | |
| Other | (284) | | (380) | |
| Net decrease in Tier 2 Capital (Standardized Approach) | $ | (592) | | $ | (1,901) | |
| Tier 2 Capital, end of period (Standardized Approach) | $ | 35,895 | | $ | 35,895 | |
| Total Capital, end of period (Standardized Approach) | $ | 205,531 | | $ | 205,531 | |
| Tier 2 Capital, beginning of period (Advanced Approaches) | $ | 27,216 | | $ | 28,906 | |
| Net decrease in qualifying subordinated debt | (681) | | (2,272) | |
| Net increase in excess of eligible credit reserves over expected credit losses | 85 | | 82 | |
| Other | (284) | | (380) | |
| Net decrease in Tier 2 Capital (Advanced Approaches) | $ | (880) | | $ | (2,570) | |
| Tier 2 Capital, end of period (Advanced Approaches) | $ | 26,336 | | $ | 26,336 | |
| Total Capital, end of period (Advanced Approaches) | $ | 195,972 | | $ | 195,972 | |
|
| | | | | | |
| In millions of dollars | Three Months Ended
September 30, 2017 | Nine Months Ended
September 30, 2017 |
| Common Equity Tier 1 Capital, beginning of period | $ | 155,174 |
| $ | 149,516 |
|
| Net income | 4,133 |
| 12,095 |
|
| Common and preferred stock dividends declared | (1,137 | ) | (2,648 | ) |
| Net increase in treasury stock | (5,487 | ) | (9,186 | ) |
| Net change in common stock and additional paid-in capital | 98 |
| (147 | ) |
| Net decrease in foreign currency translation adjustment net of hedges, net of tax | 218 |
| 2,179 |
|
| Net change in unrealized losses on securities AFS, net of tax | (66 | ) | 631 |
|
| Net increase in defined benefit plans liability adjustment, net of tax | (29 | ) | (176 | ) |
Net change in adjustment related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax | 2 |
| 88 |
|
| Net change in goodwill, net of related DTLs | 57 |
| (674 | ) |
| Net decrease in identifiable intangible assets other than MSRs, net of related DTLs | 177 |
| 466 |
|
| Net decrease in defined benefit pension plan net assets | 76 |
| 137 |
|
Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards | 764 |
| 1,269 |
|
Net change in excess over 10%/15% limitations for other DTAs, certain common stock investments and MSRs | (447 | ) | 59 |
|
| Other | 1 |
| (75 | ) |
| Net change in Common Equity Tier 1 Capital | $ | (1,640 | ) | $ | 4,018 |
|
Common Equity Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 153,534 |
| $ | 153,534 |
|
| Additional Tier 1 Capital, beginning of period | $ | 19,955 |
| $ | 19,874 |
|
| Net increase in qualifying trust preferred securities | — |
| 3 |
|
| Net increase in permitted ownership interests in covered funds | (633 | ) | (595 | ) |
| Other | (7 | ) | 33 |
|
| Net decrease in Additional Tier 1 Capital | $ | (640 | ) | $ | (559 | ) |
Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 172,849 |
| $ | 172,849 |
|
| Tier 2 Capital, beginning of period (Standardized Approach) | $ | 37,390 |
| $ | 36,585 |
|
| Net change in qualifying subordinated debt | (64 | ) | 760 |
|
| Net increase in eligible allowance for credit losses | 165 |
| 123 |
|
| Other | (1 | ) | 22 |
|
| Net increase in Tier 2 Capital (Standardized Approach) | $ | 100 |
| $ | 905 |
|
| Tier 2 Capital, end of period (Standardized Approach) | $ | 37,490 |
| $ | 37,490 |
|
| Total Capital, end of period (Standardized Approach) | $ | 210,339 |
| $ | 210,339 |
|
| | | |
| Tier 2 Capital, beginning of period (Advanced Approaches) | $ | 25,253 |
| $ | 23,770 |
|
| Net change in qualifying subordinated debt | (64 | ) | 760 |
|
| Net increase in excess of eligible credit reserves over expected credit losses | 158 |
| 794 |
|
| Other | (1 | ) | 22 |
|
| Net increase in Tier 2 Capital (Advanced Approaches) | $ | 93 |
| $ | 1,576 |
|
| Tier 2 Capital, end of period (Advanced Approaches) | $ | 25,346 |
| $ | 25,346 |
|
| Total Capital, end of period (Advanced Approaches) | $ | 198,195 |
| $ | 198,195 |
|
Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach with Full Implementation)Approach)
| | | | | | | | |
| In millions of dollars | Three Months Ended
June 30, 2021 | Six Months Ended June 30, 2021 |
| Total Risk-Weighted Assets, beginning of period | $ | 1,260,080 | | $ | 1,221,576 | |
| Changes in Credit Risk-Weighted Assets | | |
General credit risk exposures(1) | 17,049 | | 4,109 | |
Repo-style transactions(2) | 2,129 | | 5,167 | |
Securitization exposures(3) | 4,299 | | 7,945 | |
Equity exposures(4) | 2,281 | | 1,702 | |
Over-the-counter (OTC) derivatives(5) | 2,866 | | 22,494 | |
Other exposures(6) | 3,093 | | 14,400 | |
Off-balance sheet exposures(7) | (429) | | 10,011 | |
| Net change in Credit Risk-Weighted Assets | $ | 31,288 | | $ | 65,828 | |
| Changes in Market Risk-Weighted Assets | | |
| Risk levels | $ | (20,362) | | $ | (16,956) | |
| Model and methodology updates | 40 | | 598 | |
Net change in Market Risk-Weighted Assets(8) | $ | (20,322) | | $ | (16,358) | |
| Total Risk-Weighted Assets, end of period | $ | 1,271,046 | | $ | 1,271,046 | |
(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 June 30, 2021, primarily due to commercial loan growth and qualifying revolving (cards) exposure from consumer spending.
(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions increased during the three and six months ended June 30, 2021, primarily due to volume- and exposure-driven increases.
(3)Securitization exposures increased during the three and six months ended June 30, 2021, primarily due to increases in new deals.
(4)Equity exposures increased during the three and six months ended June 30, 2021, primarily due to an increase in market value of investments.
(5)OTC derivatives increased during the three months ended June 30, 2021, mainly due to an increase in notionals for bilateral derivatives. OTC derivatives increased during the six months ended June 30, 2021, mainly due to changes in risk parameters and an increase in notionals for bilateral derivatives.
(6)Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures increased during the three and six months ended June 30, 2021, primarily due to increases in various other assets.
(7)Off-balance sheet exposures increased during the three and six months ended June 30, 2021, primarily due to an increase in wholesale loan commitments.
(8)Market risk-weighted assets decreased during the three and six months ended June 30, 2021, primarily due to exposure changes.
|
| | | | | | |
| In millions of dollars | Three Months Ended
September 30, 2017 | Nine Months Ended
September 30, 2017 |
| Total Risk-Weighted Assets, beginning of period | $ | 1,188,167 |
| $ | 1,147,956 |
|
| Changes in Credit Risk-Weighted Assets | | |
Net increase in general credit risk exposures(1) | 1,511 |
| 15,154 |
|
| Net increase in repo-style transactions | 8,430 |
| 15,417 |
|
| Net decrease in securitization exposures | (4,129 | ) | (6,183 | ) |
| Net increase in equity exposures | 1,003 |
| 1,839 |
|
| Net increase in over-the-counter (OTC) derivatives | 2,827 |
| 1,746 |
|
Net change in other exposures(2) | (1,736 | ) | 3,715 |
|
| Net change in off-balance sheet exposures | (731 | ) | 2,591 |
|
| Net increase in Credit Risk-Weighted Assets | $ | 7,175 |
| $ | 34,279 |
|
| Changes in Market Risk-Weighted Assets | | |
| Net change in risk levels | $ | (1,727 | ) | $ | 14,163 |
|
| Net decrease due to model and methodology updates | (10,697 | ) | (13,480 | ) |
| Net change in Market Risk-Weighted Assets | $ | (12,424 | ) | $ | 683 |
|
| Total Risk-Weighted Assets, end of period | $ | 1,182,918 |
| $ | 1,182,918 |
|
| |
(1) | General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. |
| |
(2) | Other exposures include cleared transactions, unsettled transactions, and other assets. |
Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches with Full Implementation)Approaches)
| | | | | | | | |
| In millions of dollars | Three Months Ended
June 30, 2021 | Six Months Ended June 30, 2021 |
| Total Risk-Weighted Assets, beginning of period | $ | 1,263,926 | | $ | 1,255,284 | |
| Changes in Credit Risk-Weighted Assets | | |
Retail exposures(1) | (5,436) | | (16,191) | |
Wholesale exposures(2) | 361 | | 9,781 | |
| Repo-style transactions | 741 | | (2,045) | |
Securitization exposures(3) | 4,082 | | 7,811 | |
Equity exposures(4) | 2,081 | | 1,495 | |
Over-the-counter (OTC) derivatives(5) | 1,732 | | 9,556 | |
Derivatives CVA(6) | 7,663 | | (115) | |
Other exposures(7) | 2,925 | | 4,791 | |
| Supervisory 6% multiplier | 364 | | 774 | |
| Net change in Credit Risk-Weighted Assets | $ | 14,513 | | $ | 15,857 | |
| Changes in Market Risk-Weighted Assets | | |
| Risk levels | $ | (21,038) | | $ | (16,816) | |
| Model and methodology updates | 40 | | 598 | |
Net change in Market Risk-Weighted Assets(8) | $ | (20,998) | | $ | (16,218) | |
Net change in Operational Risk-Weighted Assets(9) | $ | (3,656) | | $ | (1,138) | |
| Total Risk-Weighted Assets, end of period | $ | 1,253,785 | | $ | 1,253,785 | |
|
| | | | | | |
| In millions of dollars | Three Months Ended
September 30, 2017 | Nine Months Ended
September 30, 2017 |
| Total Risk-Weighted Assets, beginning of period | $ | 1,183,399 |
| $ | 1,189,680 |
|
| Changes in Credit Risk-Weighted Assets | | |
| Net change in retail exposures | 1,898 |
| (6,757 | ) |
| Net decrease in wholesale exposures | (6,362 | ) | (5,946 | ) |
| Net increase in repo-style transactions | 4,658 |
| 4,660 |
|
| Net decrease in securitization exposures | (4,362 | ) | (6,477 | ) |
| Net increase in equity exposures | 931 |
| 1,619 |
|
| Net change in over-the-counter (OTC) derivatives | 1,088 |
| (5,009 | ) |
| Net change in derivatives CVA | 1,017 |
| (83 | ) |
Net increase in other exposures(1) | 2,099 |
| 4,615 |
|
Net decrease in supervisory 6% multiplier(2) | (3 | ) | (798 | ) |
| Net change in Credit Risk-Weighted Assets | $ | 964 |
| $ | (14,176 | ) |
| Changes in Market Risk-Weighted Assets | | |
| Net change in risk levels | $ | (2,075 | ) | $ | 13,842 |
|
| Net decrease due to model and methodology updates | (10,697 | ) | (13,480 | ) |
| Net change in Market Risk-Weighted Assets | $ | (12,772 | ) | $ | 362 |
|
| Net decrease in Operational Risk-Weighted Assets | $ | (2,449 | ) | $ | (6,724 | ) |
| Total Risk-Weighted Assets, end of period | $ | 1,169,142 |
| $ | 1,169,142 |
|
| |
(1) | Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories, and non-material portfolios. |
| |
(2) | Supervisory 6% multiplier does not apply to derivatives CVA. |
(1)Retail exposures decreased during the three months ended June 30, 2021, primarily driven by a reduction in delinquencies and improved credit quality of qualifying revolving (cards) exposure. Retail exposures decreased during the six months ended June 30, 2021, primarily driven by seasonal holiday spending repayments and improving delinquency and credit quality on qualifying revolving (cards) exposures.
Total risk-weighted assets under(2)Wholesale exposures increased during the Basel III Standardized Approach increased from year-end 2016 substantiallysix months ended June 30, 2021, primarily due to higher credit risk-weighted assets, primarily resulting from corporatecommercial loan growth and an increase in wholesale loan commitments.
(3)Securitization exposures increased repo-style transaction activity.
Total risk-weighted assets underduring the Basel III Advanced Approaches decreased from year-end 2016, driven by substantially lower creditthree and operational risk-weighted assets. The decrease in credit risk-weighted assets wassix months ended June 30, 2021, primarily due to annual updatesincreases in new deals.
(4)Equity exposures increased during the three and six months ended June 30, 2021, primarily due to modelan increase in market value of investments
(5)OTC derivatives increased during the six months ended June 30, 2021, primarily due to changes in risk parameters, for wholesale exposures, a decline in retail exposures resulting from residential mortgage loan sales and repayments as well as divestitures of certain legacy assets, and, separately, certain securitization exposures becoming subject to deduction from Tier 1 Capital under the Volcker Rule of the Dodd-Frank Act, which was partially offset by an increasea decrease in repo-style transaction activity. exposure.
(6)Derivatives CVA increased during the three months ended June 30, 2021, primarily driven by volatility change and exposure increase.
(7)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 and six months ended June 30, 2021, primarily due to increases in various other assets.
(8)Market risk-weighted assets decreased during the three and six months ended June 30, 2021, primarily due to exposure changes.
(9)Operational risk-weighted assets decreased from year-end 2016 primarily due to assessed improvements induring the business environmentthree and risk controls, as well assix months ended June 30, 2021, mainly driven by changes in operational loss severity and frequency.
Supplementary Leverage Ratio
Citigroup’s Supplementary Leverage ratio was 7.1% for the third quarter of 2017, compared to 7.2% for both the second quarter of 2017 and fourth quarter of 2016. The decline in the ratio quarter-over-quarter was principally driven by the return of $6.4 billion of capital to common shareholders and an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets, partially offset by quarterly net income of $4.1 billion. The ratio decreased from the fourth quarter of 2016, as year-to-date net income of $12.1 billion and beneficial net movements
in AOCI were more than offset by the return of $10.8 billion of capital to common shareholders and an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets.
The following table sets forth Citi’s Supplementary Leverage ratio and related components:
| | | | | | | | | | | |
| In millions of dollars, except ratios | June 30, 2021 | March 31, 2021 | December 31, 2020 |
| Tier 1 Capital | $ | 169,636 | | $ | 170,484 | | $ | 167,053 | |
| Total Leverage Exposure | | | |
On-balance sheet assets(1)(2)(3) | $ | 2,345,584 | | $ | 1,906,422 | | $ | 1,864,374 | |
Certain off-balance sheet exposures:(4) | | | |
| Potential future exposure on derivative contracts | 216,555 | | 201,735 | | 183,604 | |
Effective notional of sold credit derivatives, net(5) | 25,590 | | 27,164 | | 32,640 | |
Counterparty credit risk for repo-style transactions(6) | 21,375 | | 21,805 | | 20,168 | |
| Unconditionally cancellable commitments | 70,931 | | 71,293 | | 71,163 | |
Other off-balance sheet exposures(7) | 261,881 | | 260,112 | | 253,754 | |
| Total of certain off-balance sheet exposures | $ | 596,332 | | $ | 582,109 | | $ | 561,329 | |
| Less: Tier 1 Capital deductions | 38,261 | | 38,119 | | 38,822 | |
Total Leverage Exposure(3) | $ | 2,903,655 | | $ | 2,450,412 | | $ | 2,386,881 | |
| Supplementary Leverage ratio | 5.84 | % | 6.96 | % | 7.00 | % |
(1)Represents the daily average of on-balance sheet assets for the quarter.
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in DTAs arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in Total Leverage Exposure.
(3)Commencing with the second quarter of 2020 and continuing through the first quarter of 2021, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and deposits at Federal Reserve Banks. For additional information, see “Capital Resources—Current Regulatory Capital Standards—Temporary Supplementary Leverage Ratio Relief” in Citi’s 2020 Annual Report on Form 10-K.
(4)Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(5)Under the U.S. Basel III rules, banking organizations are required to include in Total Leverage Exposure the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.
(6)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
(7)Other off-balance sheet exposures include unfunded commitments other than those that are unconditionally cancellable.
As set forth in the table above, Citigroup’s Supplementary Leverage ratio was 5.8% at June 30, 2021, compared to approximately 7.0% at March 31, 2021 and December 31, 2020. The ratio decreased from the first quarter of 2021 and the fourth quarter of 2020, primarily attributable to an approximate 100 basis point impact from the expiration of the Federal Reserve Board’s temporary Supplementary Leverage ratio relief. For additional information, see “Capital Resources—Current Regulatory Capital Standards—Temporary Supplementary Leverage Ratio Relief” in Citi’s 2020 Annual Report on Form 10-K.
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 bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.
The following tables set forth the capital components assuming full implementationand ratios for Citibank, Citi’s primary subsidiary U.S. depository institution:
| | | | | | | | | | | | | | | | | | | | | | | |
| | Advanced Approaches | Standardized Approach |
| In millions of dollars, except ratios | Effective Minimum Requirement(1) | June 30, 2021 | March 31, 2021 | December 31, 2020 | June 30, 2021 | March 31, 2021 | December 31, 2020 |
Common Equity Tier 1 Capital(2) | | $ | 146,729 | | $ | 146,359 | | $ | 142,854 | | $ | 146,729 | | $ | 146,359 | | $ | 142,854 | |
| Tier 1 Capital | | 148,858 | | 148,487 | | 144,962 | | 148,858 | | 148,487 | | 144,962 | |
Total Capital (Tier 1 Capital + Tier 2 Capital)(2)(3) | | 165,462 | | 164,921 | | 161,319 | | 173,964 | | 173,212 | | 169,303 | |
Total Risk-Weighted Assets(4) | | 1,060,121 | | 1,043,858 | | 1,021,479 | | 1,093,887 | | 1,069,933 | | 1,038,031 | |
Credit Risk(2) | | $ | 759,744 | | $ | 731,159 | | $ | 716,513 | | $ | 1,043,517 | | $ | 1,011,308 | | $ | 977,366 | |
| Market Risk | | 48,799 | | 57,808 | | 59,815 | | 50,370 | | 58,625 | | 60,665 | |
| Operational Risk | | 251,578 | | 254,891 | | 245,151 | | — | | — | | — | |
Common Equity Tier 1 Capital ratio(4)(5) | 7.0 | % | 13.84 | % | 14.02 | % | 13.99 | % | 13.41 | % | 13.68 | % | 13.76 | % |
Tier 1 Capital ratio(4)(5) | 8.5 | | 14.04 | | 14.22 | | 14.19 | | 13.61 | | 13.88 | | 13.97 | |
Total Capital ratio(4)(5) | 10.5 | | 15.61 | | 15.80 | | 15.79 | | 15.90 | | 16.19 | | 16.31 | |
| | | | | | | | | | | | | | |
| In millions of dollars, except ratios | Effective Minimum Requirement | June 30, 2021 | March 31, 2021 | December 31, 2020 |
Quarterly Adjusted Average Total Assets(2)(6) | | $ | 1,680,681 | | $ | 1,665,791 | | $ | 1,680,026 | |
Total Leverage Exposure(2)(7) | | 2,199,985 | | 2,182,668 | | 2,180,821 | |
Tier 1 Leverage ratio(5) | 5.0 | % | 8.86 | % | 8.91 | % | 8.63 | % |
Supplementary Leverage ratio(5) | 6.0 | | 6.77 | | 6.80 | | 6.65 | |
(1)Citibank’s effective minimum risk-based capital requirements are inclusive of the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).
(2)Citibank has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citibank is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. In addition, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.
(3)Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the ACL is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess ACL being deducted in arriving at credit risk-weighted assets.
(4)Citibank’s reportable Total Capital ratio was derived under the Basel III Advanced Approaches framework, whereas Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach for all periods presented.
(5)Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. Citibank must also maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.”
(6)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(7)Supplementary Leverage ratio denominator. Citibank did not elect to temporarily exclude U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure. For additional information, see “Capital Resources—Current Regulatory Capital Standards—Temporary Supplementary Leverage Ratio Relief” in Citi’s 2020 Annual Report on Form 10-K.
As indicated in the table above, Citibank’s capital ratios at June 30, 2021 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules, forrules. In addition, Citibank was also “well capitalized” as of June 30, 2021.
Impact of Changes on Citigroup and Citibank Capital Ratios
The following tables present the three months ended September 30, 2017estimated sensitivity of Citigroup’s and December 31, 2016.
Citigroup Basel III Supplementary Leverage Ratio and Related Components (Full Implementation)
|
| | | | | | |
| In millions of dollars, except ratios | September 30, 2017 | December 31, 2016 |
| Tier 1 Capital | $ | 172,849 |
| $ | 169,390 |
|
| Total Leverage Exposure (TLE) | | |
On-balance sheet assets(1) | $ | 1,892,292 |
| $ | 1,819,802 |
|
Certain off-balance sheet exposures:(2) | | |
| Potential future exposure on derivative contracts | 216,819 |
| 211,009 |
|
Effective notional of sold credit derivatives, net(3) | 68,569 |
| 64,366 |
|
Counterparty credit risk for repo-style transactions(4) | 25,513 |
| 22,002 |
|
| Unconditionally cancellable commitments | 67,945 |
| 66,663 |
|
| Other off-balance sheet exposures | 216,662 |
| 219,428 |
|
| Total of certain off-balance sheet exposures | $ | 595,508 |
| $ | 583,468 |
|
| Less: Tier 1 Capital deductions | 57,218 |
| 57,879 |
|
| Total Leverage Exposure | $ | 2,430,582 |
| $ | 2,345,391 |
|
| Supplementary Leverage ratio | 7.11 | % | 7.22 | % |
| |
(1) | Represents the daily average of on-balance sheet assets for the quarter. |
| |
(2) | Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter. |
| |
(3) | Under the U.S. Basel III rules, banking organizations are required to include in TLE the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met. |
| |
(4) | Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions. |
Citibank’s Supplementary Leverage ratio, assuming full implementation under the U.S. Basel III rules, was 6.7% for the third quartercapital ratios to changes of 2017, compared to 6.6% for both the second quarter of 2017 and fourth quarter of 2016. The growth$100 million in the ratio quarter-over-quarter and from year-end 2016 was principally driven by an increase inCommon Equity Tier 1 Capital, attributable largelyTier 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 June 30, 2021. 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 net income, partially offset by cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup.either a component of capital, risk-weighted assets, quarterly adjusted average total assets or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.
| | | | | | | | | | | | | | | | | | | | |
| Common Equity Tier 1 Capital ratio | Tier 1 Capital ratio | Total 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 Approaches | 0.8 | 1.0 | 0.8 | 1.1 | 0.8 | 1.2 |
| Standardized Approach | 0.8 | 0.9 | 0.8 | 1.1 | 0.8 | 1.3 |
| Citibank | | | | | | |
| Advanced Approaches | 0.9 | 1.3 | 0.9 | 1.3 | 0.9 | 1.5 |
| Standardized Approach | 0.9 | 1.2 | 0.9 | 1.2 | 0.9 | 1.5 |
| | | | | | | | | | | | | | |
| Tier 1 Leverage ratio | Supplementary 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 |
| Citigroup | 0.4 | 0.3 | 0.3 | 0.2 |
| Citibank | 0.6 | 0.5 | 0.5 | 0.3 |
Citigroup Broker-Dealer Subsidiaries
At June 30, 2021, 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 $12.7 billion, which exceeded the minimum requirement by $9.0 billion.
Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total regulatory capital of $28.0 billion at June 30, 2021, which exceeded the PRA’s minimum regulatory capital requirements.
In addition, certain of Citi’s other broker-dealer subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other principal broker-dealer subsidiaries were in compliance with their regulatory capital requirements at June 30, 2021.
Total Loss-Absorbing Capacity (TLAC)
The table below details Citi’s eligible external TLAC and long-term debt (LTD) amounts and ratios, and each effective minimum TLAC and LTD ratio requirement, as well as the surplus amount in dollars in excess of each requirement.
As of June 30, 2021, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $16 billion surplus above its binding TLAC requirement of LTD as a percentage of Total Leverage Exposure.
| | | | | | | | |
| June 30, 2021 |
| In billions of dollars, except ratios | External TLAC | LTD |
| Total eligible amount | $ | 320 | | $ | 146 | |
% of Standardized Approach risk-
weighted assets | 25.2 | % | 11.5 | % |
Effective minimum requirement(1)(2) | 22.5 | | 9.0 | |
| Surplus amount | $ | 34 | | $ | 32 | |
| % of Total Leverage Exposure | 11.0 | % | 5.0 | % |
| Effective minimum requirement | 9.5 | | 4.5 | |
| Surplus amount | $ | 44 | | $ | 16 | |
(1) External TLAC includes Method 1 GSIB surcharge of 2.0%.
(2) LTD includes Method 2 GSIB surcharge of 3.0%.
For additional information on Citi’s TLAC-related requirements, see “Capital Resources—Total Loss-Absorbing Capacity (TLAC)” and “Risk Factors—Compliance Risks” in Citi’s 2020 Annual Report on Form 10-K.
Capital Resources (Full Adoption of CECL)
The following tables set forth Citigroup’s and Citibank’s capital components and ratios reflecting the full impact of CECL as of June 30, 2021:
| | | | | | | | | | | | | | | | | | | | |
| Citigroup | Citibank |
| Effective Minimum Requirement(1) | Advanced Approaches | Standardized Approach | Effective Minimum Requirement | Advanced Approaches | Standardized Approach |
| Common Equity Tier 1 Capital ratio | 10.0 | % | 11.69 | % | 11.53 | % | 7.0 | % | 13.53 | % | 13.11 | % |
| Tier 1 Capital ratio | 11.5 | | 13.23 | | 13.05 | | 8.5 | | 13.73 | | 13.31 | |
| Total Capital ratio | 13.5 | | 15.34 | | 15.89 | | 10.5 | | 15.30 | | 15.61 | |
| | | | | | | | | | | | | | | | | | | | |
| Effective Minimum Requirement | Citigroup | Effective Minimum Requirement | Citibank |
| Tier 1 Leverage ratio | 4.0 | % | 7.19 | % | 5.0 | % | 8.66 | % |
| Supplementary Leverage ratio | 5.0 | | 5.71 | | 6.0 | | 6.61 | |
(1)The effective minimum requirements are applicable through September 30, 2021. See “Stress Capital Buffer” above for additional information.
Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and ReturnsReturn on Equity
Tangible common equity (TCE), as defined by Citi, represents common stockholders’ equity less goodwill and identifiable intangible assets (other than MSRs). Tangible book value per share, as defined by Citi, represents TCE divided by common shares outstanding. Other companies may calculate TCE in a different manner. TCE, tangible book value per share and returnsreturn on average TCE are non-GAAP financial measures.
| | | In millions of dollars or shares, except per share amounts | September 30,
2017 | December 31,
2016 | In millions of dollars or shares, except per share amounts | June 30,
2021 | December 31,
2020 |
| Total Citigroup stockholders’ equity | $ | 227,634 |
| $ | 225,120 |
| Total Citigroup stockholders’ equity | $ | 202,159 | | $ | 199,442 | |
| Less: Preferred stock | 19,253 |
| 19,253 |
| Less: Preferred stock | 17,995 | | 19,480 | |
| Common stockholders’ equity | $ | 208,381 |
| $ | 205,867 |
| Common stockholders’ equity | $ | 184,164 | | $ | 179,962 | |
| Less: | | Less: | |
| Goodwill | 22,345 |
| 21,659 |
| Goodwill | 22,060 | | 22,162 | |
| Identifiable intangible assets (other than MSRs) | 4,732 |
| 5,114 |
| Identifiable intangible assets (other than MSRs) | 4,268 | | 4,411 | |
Goodwill and identifiable intangible assets (other than MSRs) related to assets held-for-sale | 48 |
| 72 |
| |
| | Tangible common equity (TCE) | $ | 181,256 |
| $ | 179,022 |
| Tangible common equity (TCE) | $ | 157,836 | | $ | 153,389 | |
| Common shares outstanding (CSO) | 2,644.0 |
| 2,772.4 |
| Common shares outstanding (CSO) | 2,026.8 | | 2,082.1 | |
| Book value per share (common equity/CSO) | $ | 78.81 |
| $ | 74.26 |
| Book value per share (common equity/CSO) | $ | 90.86 | | $ | 86.43 | |
| Tangible book value per share (TCE/CSO) | 68.55 |
| 64.57 |
| Tangible book value per share (TCE/CSO) | 77.87 | | 73.67 | |
| | | | | | | | | | | | | | |
| Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Net income available to common shareholders | $ | 5,940 | | $ | 803 | | $ | 13,590 | | $ | 3,048 | |
| Average common stockholders’ equity | 183,231 | | 175,392 | | 181,826 | | 174,930 | |
| Average TCE | 156,946 | | 148,730 | | 155,760 | | 148,756 | |
| Return on average common stockholders’ equity | 13.0 | % | 1.8 | % | 15.1 | % | 3.5 | % |
Return on average TCE (RoTCE)(1) | 15.2 | | 2.2 | | 17.6 | | 4.1 | |
(1)RoTCE represents net income available to common shareholders as a percentage of average TCE.
|
| | | | | | | | | | | | |
| In millions of dollars | Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 |
| Net income available to common shareholders | $ | 3,861 |
| $ | 3,615 |
| $ | 11,202 |
| $ | 10,582 |
|
| Average common stockholders’ equity | $ | 209,764 |
| $ | 212,321 |
| $ | 208,787 |
| $ | 209,850 |
|
| Average TCE | $ | 182,333 |
| $ | 184,492 |
| $ | 181,271 |
| $ | 182,914 |
|
Less: Average net DTAs excluded from Common Equity Tier 1 Capital(1) | 28,085 |
| 27,921 |
| 28,522 |
| 28,954 |
|
Average TCE, excluding average net DTAs excluded from Common Equity Tier 1 Capital | $ | 154,248 |
| $ | 156,571 |
| $ | 152,749 |
| $ | 153,960 |
|
| Return on average common stockholders’ equity | 7.3 | % | 6.8 | % | 7.2 | % | 6.7 | % |
Return on average TCE (ROTCE)(2) | 8.4 |
| 7.8 |
| 8.3 |
| 7.7 |
|
| Return on average TCE, excluding average net DTAs excluded from Common Equity Tier 1 Capital | 9.9 |
| 9.2 |
| 9.8 |
| 9.2 |
|
| |
(1) | Represents average net DTAs excluded in arriving at Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules. |
| |
(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 | | |
|
CREDIT RISK(1) | | |
|
| Consumer Credit | | |
|
| Corporate Credit | | |
|
| Additional Consumer and Corporate Credit Details | | |
|
| Loans Outstanding | | |
|
| Details of Credit Loss Experience | | |
|
Allowance for LoanCredit Losses on Loans (ACLL) | | 60 |
52 |
| Non-Accrual Loans and Assets and Renegotiated Loans | | |
|
| LIQUIDITY RISK | | |
|
| High-Quality Liquid Assets (HQLA) | | |
|
LoansLiquidity Coverage Ratio (LCR) | | 66 |
|
DepositsLoans | | 66 |
58 |
Long-Term DebtDeposits | | 67 |
58 |
| Long-Term Debt | | 59 |
| Secured Funding Transactions and Short-Term Borrowings | | 69 |
60 |
Liquidity Coverage Ratio (LCR) | | 69 |
|
| Credit Ratings | | 70 |
62 |
MARKET RISK(1) | | |
|
| Market Risk of Non-Trading Portfolios | | |
|
| Market Risk of Trading Portfolios | | |
|
COUNTRYSTRATEGIC RISK | | |
Country Risk | | |
| Argentina | | |
| |
(1) | For additional information regarding certain credit risk, market risk and other quantitative and qualitative information, refer to Citi’s Pillar 3 Basel III Advanced Approaches Disclosures, as required by the rules of the Federal Reserve Board, on Citi’s Investor Relations website. |
(1) For additional information regarding certain credit risk, market risk and other quantitative and qualitative information, refer to Citi’s Pillar 3 Basel III Advanced Approaches Disclosures, as required by the rules of the Federal Reserve Board, on Citi’s Investor Relations website.
MANAGING GLOBAL RISK
For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to monitor, evaluate and manage the principal risks it assumes in conducting its activities. Specifically, the activities that Citi engages in, and the risks those activities generate, must be consistent with Citi’s mission, andstrategy, value proposition, the key guiding 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 2016 Annual Report on Form 10-K.
CREDIT RISK
For additionalmore information on credit risk, including Citi’s credit risk management, measurement and stress testing, and Citi’s consumer and corporate credit portfolios, see “Credit Risk” and “Risk Factors” in Citi’s 20162020 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 lending parameters. In addition, Citi
uses proprietary scoring models for new customer approvals. As stated in “Global Consumer Banking” above, GCB’s overall strategy is to leverage Citi’s global footprint and be the preeminent bank for the affluent and emerging affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies. GCB’s commercial banking business focuses on small to mid-sized businesses.
Consumer Credit Portfolio
The following tables showtable shows Citi’s quarterly end-of-period consumer loans:(1)
| | | | | | | | | | | | | | | | | | |
| In billions of dollars | 2Q’20 | 3Q’20 | 4Q’20 | 1Q’21 | 2Q’21 | |
| Retail banking: | | | | | | |
| Mortgages | $ | 86.0 | | $ | 87.5 | | $ | 88.9 | | $ | 86.7 | | $ | 86.3 | | |
| Personal, small business and other | 37.6 | | 38.3 | | 40.1 | | 39.1 | | 39.0 | | |
| Total retail banking | $ | 123.6 | | $ | 125.8 | | $ | 129.0 | | $ | 125.8 | | $ | 125.3 | | |
| Cards: | | | | | | |
| Citi-branded cards | $ | 103.6 | | $ | 102.2 | | $ | 106.7 | | $ | 99.6 | | $ | 102.9 | | |
| Citi retail services | 45.4 | | 44.4 | | 46.4 | | 42.5 | | 42.7 | | |
| Total cards | $ | 149.0 | | $ | 146.6 | | $ | 153.1 | | $ | 142.1 | | $ | 145.6 | | |
Total GCB | $ | 272.6 | | $ | 272.4 | | $ | 282.1 | | $ | 267.9 | | $ | 270.9 | | |
GCB regional distribution: | | | | | | |
| North America | 66 | % | 66 | % | 65 | % | 64 | % | 64 | % | |
| Latin America | 5 | | 5 | | 5 | | 5 | | 5 | | |
Asia(2) | 29 | | 29 | | 30 | | 31 | | 31 | | |
Total GCB | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Corporate/Other(3) | $ | 8.5 | | $ | 7.6 | | $ | 6.7 | | $ | 6.1 | | $ | 5.0 | | |
| Total consumer loans | $ | 281.1 | | $ | 280.0 | | $ | 288.8 | | $ | 274.0 | | $ | 275.9 | | |
(1)End-of-period loans include interest and fees on credit cards.
(2)Asia includes loans and leases in certain EMEA countries for all periods presented.
(3)Primarily consists of legacy assets, principally North America consumer mortgages.
|
| | | | | | | | | | | | | | | |
| In billions of dollars | 3Q’17 | 2Q’17 | 1Q’17 | 4Q’16 | 3Q’16 |
| Retail banking: | | | | | |
| Mortgages | $ | 81.4 |
| $ | 81.4 |
| $ | 81.2 |
| $ | 79.4 |
| $ | 81.4 |
|
| Commercial banking | 35.5 |
| 34.8 |
| 33.9 |
| 32.0 |
| 33.2 |
|
| Personal and other | 27.3 |
| 27.2 |
| 26.3 |
| 24.9 |
| 27.0 |
|
| Total retail banking | $ | 144.2 |
| $ | 143.4 |
| $ | 141.4 |
| $ | 136.3 |
| $ | 141.6 |
|
| Cards: | | | | | |
| Citi-branded cards | $ | 110.7 |
| $ | 109.9 |
| $ | 105.7 |
| $ | 108.3 |
| $ | 103.9 |
|
| Citi retail services | 45.9 |
| 45.2 |
| 44.2 |
| 47.3 |
| 43.9 |
|
| Total cards | $ | 156.6 |
| $ | 155.1 |
| $ | 149.9 |
| $ | 155.6 |
| $ | 147.8 |
|
Total GCB | $ | 300.8 |
| $ | 298.5 |
| $ | 291.3 |
| $ | 291.9 |
| $ | 289.4 |
|
GCB regional distribution: | | | | | |
| North America | 62 | % | 62 | % | 62 | % | 64 | % | 62 | % |
| Latin America | 9 |
| 9 |
| 9 |
| 8 |
| 8 |
|
Asia(2) | 29 |
| 29 |
| 29 |
| 28 |
| 30 |
|
Total GCB | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % |
Corporate/Other(3) | $ | 24.8 |
| $ | 26.8 |
| $ | 29.3 |
| $ | 33.2 |
| $ | 39.0 |
|
| Total consumer loans | $ | 325.6 |
| $ | 325.3 |
| $ | 320.6 |
| $ | 325.1 |
| $ | 328.4 |
|
| |
(1) | End-of-period loans include interest and fees on credit cards. |
| |
(2) | Asia includes loans and leases in certain EMEA countries for all periods presented.
|
| |
(3) | Primarily consists of legacy assets, principally North America consumer mortgages.
|
For information on changes to Citi’s end-of-period consumer loans, see “Liquidity Risk—Loans” below.
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.
As shown in the chart above, GCB’s net credit loss rate decreased quarter-over-quarter and year-over-year for the second quarter of 2021, primarily reflecting the continued benefit of significant government stimulus, unemployment benefits and consumer relief programs in North AmericaGCB, and a decline following the peak charge-offs in AsiaGCB and Latin America GCB in recent quarters.
GCB’s 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, primarily due to the continued impacts of government stimulus, unemployment benefits and consumer relief programs in North America GCB, as well as lower delinquencies in Asia GCB and Latin America GCB, following the charge-off of peak delinquencies in recent quarters.
For additional information on consumer credit trends, see “Managing Global Risk—Credit Risk—Overall Consumer Credit Trends” in Citi’s 2020 Annual Report on Form 10-K.
| |
(1) | Asia includes GCB activities in certain EMEA countries for all periods presented.
|
North America GCB provides mortgages,mortgage, home equity, loans,small business and 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 StatesU.S. (for additional information on the U.S. retail bank, see “North America GCB” above).
As of SeptemberJune 30, 2017,2021, approximately 70%72% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which generally drives the overall credit performance of North America GCB, including the credit performance year-over-year as of the third quarter of 2017 (for additional information on North America GCB’s cards portfolios, including delinquency and net credit loss rates, see “Credit Card Trends” below). Quarter-over-quarter,
As shown in the chart above, the net credit loss rate in North America GCB for the second quarter of 2021 decreased quarter-over-quarter and year-over-year, primarily driven by the continued impacts of government stimulus, unemployment benefits and consumer relief programs.
The 90+ days past due delinquencies increased slightly,delinquency rate in North America GCB decreased quarter-over-quarter, primarily due to seasonalityreflecting higher payment rates in cards driven by government stimulus. Year-over-year, the decrease in the cards portfolios. The net credit loss90+ days past due delinquency rate increased quarter-over-quarter, primarily due to episodic charge-offs inwas driven by the commercial portfolio, which were offset by related loan loss reserve releases.continued impacts of government stimulus, unemployment benefits and consumer relief programs.
Latin America GCB operates in Mexico through Citibanamex, one of Mexico’s largest banks, and provides credit cards, consumer mortgages and small business and personal loans and commercial banking products. loans. Latin America GCB serves a more mass marketmass-market segment in Mexico and focuses on developing multi-productmultiproduct relationships with customers.
As set forthshown in the chart above, 90+ days past due
delinquencies modestly improved and the net credit loss rate increased in Latin America GCB year-over-year as of for the thirdsecond quarter of 2017. The increase2021 decreased quarter-over-quarter,following the peak in charge-offs in the net credit lossprior quarter, driven by customers exiting pandemic-related consumer relief programs, and increased year-over-year, primarily driven by the remaining impact ofcustomers exiting the consumer relief programs.
The 90+ days past due delinquency rate primarily reflected seasoning. The delinquencydecreased quarter-over-quarter and net credit loss rates remained stable quarter-over-quarter.year-over-year, following the charge-offs of peak delinquencies in recent quarters related to customers exiting pandemic-related consumer relief programs.
(1)Asia includes GCB activities in certain EMEA countries for all periods presented.
Asia GCB operates in 17 countries and jurisdictions in Asia and EMEA and provides credit cards, consumer mortgages and small business and personal loans and commercial banking products.loans.
As shown in the chart above, the net credit loss rate in Asia GCB for the second quarter of 2021 decreased quarter-over-quarter, following the peak in charge-offs related to customers exiting the pandemic-related consumer relief programs in prior quarters. Year-over-year, the net credit loss rate decreased, reflecting a shift in product mix toward secured products.
The 90+ days past due delinquency and net credit loss rates were largely stablerate decreasedquarter-over-quarter, following the charge-off of peak delinquencies in recent quarters. Year-over-year, the 90+ days past due delinquency rate decreased, reflecting a shift in product mix toward secured products.
The performance of Asia GCB year-over-year and quarter-over-quarter as of the third quarter of 2017. This stability reflects’s portfolios continues to reflect the strong credit profiles in Asia GCB’sthe region’s target customer segments. In addition, regulatoryRegulatory changes in many markets in Asia over the past few years have also 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 NoteNotes 13 and 14 to the Consolidated Financial Statements.
Credit Card Trends
The following charts show the quarterly trends in delinquencies and net credit losses for total GCB cards, Citi’s North America Citi-branded cards and Citi retail services portfolios, as well as for Citi’sLatin America and Asia Citi-branded cards portfolios.
|
| |
TotalNorth America Citi-Branded Cards |
|
|
North America Citi-Branded Cards |
North America GCB’s Citi-branded cards portfolio issues proprietary and co-branded cards.
As shown in the chart above, the net credit loss rate in North America Citi-branded cards for the second quarter of 2021 decreased quarter-over-quarter and year-over-year, primarily driven by the continued impacts of government stimulus, unemployment benefits and consumer relief programs.
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 increased year-over-year primarily due to the impact of the Costco portfolio acquisition and seasoning, and decreased quarter-over-quarter, mostlyprimarily reflecting higher payment rates driven by government stimulus. Year-over-year, the 90+ days past due to seasonality.delinquency rate decreased, driven by the continued impacts of government stimulus, unemployment benefits and consumer relief programs.
|
| |
| North America Citi Retail Services |
Citi retail services partners directly with more than 20 retailers and dealers to offer private-labelprivate label and co-branded consumer and commercial cards. Citi retail services’ target market is focusedfocuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel.
Citi retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
Citi retail services’ delinquency and net credit loss rates increased year-over-year, primarily due to seasoning and softness in the collections rates experienced once an account reaches mid-stage delinquency. The net credit loss rate decreased quarter-over-quarter due to seasonality, while the delinquency rate increase quarter-over-quarter was driven by seasonality and softening in collections.
|
|
Latin America Citi-Branded Cards |
Latin America GCB issues proprietary and co-branded cards. As set forthshown in the chart above, the net credit loss rate increasedin Citi retail services for the second quarter of 2021 decreased quarter-over-quarter and year-over-year, primarily driven by the continued impacts of government stimulus, unemployment benefits and quarter-over-quarter primarily due to seasoning. consumer relief programs.
The 90+ days past due delinquency rate increased year-over-year alsodecreased quarter-over-quarter, primarily reflecting higher payment rates driven by seasoning, whilegovernment stimulus. Year-over-year, the decrease quarter-over-quarter was90+ days past due to seasonality.delinquency rate decreased, driven by the continued impacts of government stimulus, unemployment benefits and consumer relief programs.
|
|
Asia Citi-Branded Cards(1)
|
| |
(1) | Asia includes loans and leases in certain EMEA countries for all periods presented.
Latin America Citi-Branded Cards |
Asia
Latin America GCB issues proprietary and co-branded cards.
As set forthshown in the chart above, the second quarter of 2021 net credit loss rate in Latin America Citi-branded cards decreased quarter-over-quarter, following the peak charge-offs in the prior quarter, driven by customers exiting pandemic-related consumer relief programs. The year-over-year increase was primarily driven by the continuation of customers exiting the consumer relief programs.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, primarily following
the charge-off of peak delinquencies in recent quarters related
to customers exiting pandemic-related consumer relief
programs.
| | |
Asia Citi-Branded Cards(1) |
(1)Asia includes loans and leases in certain EMEA countries for all periods presented.
As shown in the chart above, the net credit loss rates have remained broadly stable, driven byrate in Asia Citi-branded cards for the maturesecond quarter of 2021 decreased quarter-over-quarter, following the peak in charge-offs related to customers exiting the pandemic-related consumer relief programs in recent quarters, and well-diversified cards portfolios.modestly increased year-over-year.
The 90+ days past due delinquency rate decreasedquarter-over-quarter, following the charge-off of peak delinquencies in recent quarters, and decreased year-over-year, as the portfolio generally returned to pre-pandemic delinquency levels.
For additional information on cost of credit, delinquency and other information for Citi’s cards portfolios, see each respective business’s results of operations above and Note 13 to the Consolidated Financial Statements.
North America Cards FICO Distribution
The following tables show the current FICO score distributions for Citi’s North America Citi-branded cards and Citi retail services portfolios based on end-of-period receivables. FICO scores are updated monthly for substantially all of the portfolio and on a quarterly basis for the remaining portfolio.
|
| | | | |
| | |
| FICO distribution | September 30, 2017 | December 31, 2016 |
| > 720 | 62 | % | 64 | % |
| 660 - 720 | 27 |
| 26 |
|
| 620 - 660 | 7 |
| 6 |
|
| < 620 | 4 |
| 4 |
|
| Total | 100 | % | 100 | % |
| | | | | | | | | | | |
FICO distribution(1) | June 30, 2021 | March 31, 2021 | June 30, 2020 |
| > 760 | 49 | % | 46 | % | 41 | % |
| 680–760 | 39 | | 40 | | 41 | |
| < 680 | 12 | | 14 | | 18 | |
| Total | 100 | % | 100 | % | 100 | % |
|
| | | | |
| | |
| FICO distribution | September 30, 2017 | December 31, 2016 |
| > 720 | 41 | % | 42 | % |
| 660 - 720 | 35 |
| 35 |
|
| 620 - 660 | 13 |
| 13 |
|
| < 620 | 11 |
| 10 |
|
| Total | 100 | % | 100 | % |
| | | | | | | | | | | |
FICO distribution(1) | June 30, 2021 | March 31, 2021 | June 30, 2020 |
| > 760 | 28 | % | 26 | % | 24 | % |
| 680–760 | 45 | | 45 | | 43 | |
| < 680 | 27 | | 29 | | 33 | |
| Total | 100 | % | 100 | % | 100 | % |
As indicated by(1) The FICO bands in the tables above, theare consistent with general industry peer presentations.
The FICO distributions for Citi-branded cards and Citi retail servicesdistribution of both cards portfolios were largely unchanged versus year-end 2016.improved compared to the prior quarter and to the prior year, demonstrating strong underlying credit quality and a benefit from the impacts of government stimulus, unemployment benefits and customer relief programs, as well as lower credit utilization due to reduced customer spending. For additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.
North America Consumer Mortgage Lending
Citi’s NorthAmerica 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 dollars | 3Q’17 | 2Q’17 | 1Q’17 | 4Q’16 | 3Q’16 |
GCB: | | | | | |
| Residential firsts | $ | 40.1 |
| $ | 40.2 |
| $ | 40.3 |
| $ | 40.2 |
| $ | 40.1 |
|
| Home equity | 4.1 |
| 4.1 |
| 4.0 |
| 4.0 |
| 3.9 |
|
Total GCB | $ | 44.2 |
| $ | 44.3 |
| $ | 44.3 |
| $ | 44.2 |
| $ | 44.0 |
|
Corporate/Other: | | | | | |
| Residential firsts | $ | 10.1 |
| $ | 11.0 |
| $ | 12.3 |
| $ | 13.4 |
| $ | 14.8 |
|
| Home equity | 11.5 |
| 12.4 |
| 13.4 |
| 15.0 |
| 16.1 |
|
Total Corporate/ Other | $ | 21.6 |
| $ | 23.4 |
| $ | 25.7 |
| $ | 28.4 |
| $ | 30.9 |
|
Total Citigroup— North America | $ | 65.8 |
| $ | 67.7 |
| $ | 70.0 |
| $ | 72.6 |
| $ | 74.9 |
|
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 $15.6 billion of home equity loans as of September 30, 2017, of which $3.6 billion were fixed-rate home equity loans and $12.0 billion were 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 until the end of the draw period, when 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 September 30, 2017, $6.8 billion had reset (compared to $6.6 billion at June 30, 2017) and $5.2 billion were still within their revolving period that had not reset (compared to $6.0 billion at June 30, 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 September 30, 2017
|
Note: Totals may not sum due to rounding.
Approximately 57% of Citi’s total Revolving HELOCs portfolio had reset as of September 30, 2017 (compared to 53% as of June 30, 2017). Of the remaining Revolving HELOCs portfolio, approximately 11% will commence amortization during the remainder of 2017. 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 2017 could increase on average by approximately $355, or 101%. Increases in interest rates could further increase these payments given the variable nature of the interest rates on these loans post-reset. 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 5.9% of the Revolving HELOCs that have reset as of September 30, 2017 were 30+ days past due, compared to 3.9% of the total outstanding home equity loan portfolio (amortizing and non-amortizing). This compared to 5.9% and 3.7%, respectively, as of June 30, 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.
41
Additional Consumer Credit Details
Consumer Loan DelinquencyDelinquencies Amounts and Ratios(1)
| | | | | | | | | | | | | | | | | | | | | | | |
| | EOP loans(2) | 90+ days past due(3) | 30–89 days past due(3) |
In millions of dollars,
except EOP loan amounts in billions | June 30,
2021 | June 30,
2021 | March 31,
2021 | June 30,
2020 | June 30,
2021 | March 31,
2021 | June 30,
2020 |
Global Consumer Banking(4)(5) | | | | | | | |
| Total | $ | 270.9 | | $ | 1,790 | | $ | 2,175 | | $ | 2,466 | | $ | 1,761 | | $ | 2,003 | | $ | 2,503 | |
| Ratio | | 0.66 | % | 0.81 | % | 0.91 | % | 0.65 | % | 0.75 | % | 0.92 | % |
| Retail banking | | | | | | | |
| Total | $ | 125.3 | | $ | 560 | | $ | 598 | | $ | 497 | | $ | 687 | | $ | 662 | | $ | 918 | |
| Ratio | | 0.45 | % | 0.48 | % | 0.40 | % | 0.55 | % | 0.53 | % | 0.75 | % |
| North America | 49.7 | | 236 | | 263 | | 182 | | 268 | | 220 | | 440 | |
| Ratio | | 0.48 | % | 0.52 | % | 0.35 | % | 0.55 | % | 0.44 | % | 0.84 | % |
| Latin America | 9.1 | | 127 | | 142 | | 121 | | 134 | | 164 | | 151 | |
| Ratio | | 1.40 | % | 1.56 | % | 1.34 | % | 1.47 | % | 1.80 | % | 1.68 | % |
Asia(6) | 66.5 | | 197 | | 193 | | 194 | | 285 | | 278 | | 327 | |
| Ratio | | 0.30 | % | 0.29 | % | 0.32 | % | 0.43 | % | 0.42 | % | 0.53 | % |
| Cards | | | | | | | |
| Total | $ | 145.6 | | $ | 1,230 | | $ | 1,577 | | $ | 1,969 | | $ | 1,074 | | $ | 1,341 | | $ | 1,585 | |
| Ratio | | 0.84 | % | 1.11 | % | 1.32 | % | 0.74 | % | 0.94 | % | 1.06 | % |
North America—Citi-branded | 82.1 | | 457 | | 590 | | 784 | | 355 | | 484 | | 594 | |
| Ratio | | 0.56 | % | 0.75 | % | 0.95 | % | 0.43 | % | 0.62 | % | 0.72 | % |
North America—Citi retail services | 42.7 | | 463 | | 591 | | 811 | | 415 | | 513 | | 611 | |
| Ratio | | 1.08 | % | 1.39 | % | 1.79 | % | 0.97 | % | 1.21 | % | 1.35 | % |
| Latin America | 4.4 | | 122 | | 173 | | 160 | | 82 | | 115 | | 111 | |
| Ratio | | 2.77 | % | 4.02 | % | 3.81 | % | 1.86 | % | 2.67 | % | 2.64 | % |
Asia(6) | 16.4 | | 188 | | 223 | | 214 | | 222 | | 229 | | 269 | |
| Ratio | | 1.15 | % | 1.33 | % | 1.27 | % | 1.35 | % | 1.36 | % | 1.60 | % |
Corporate/Other—Consumer(7) | | | | | | | |
| Total | $ | 5.0 | | $ | 259 | | $ | 277 | | $ | 295 | | $ | 111 | | $ | 138 | | $ | 261 | |
| Ratio | | 5.51 | % | 4.86 | % | 3.60 | % | 2.36 | % | 2.42 | % | 3.18 | % |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| Total Citigroup | $ | 275.9 | | $ | 2,049 | | $ | 2,452 | | $ | 2,761 | | $ | 1,872 | | $ | 2,141 | | $ | 2,764 | |
| Ratio | | 0.75 | % | 0.90 | % | 0.99 | % | 0.68 | % | 0.78 | % | 0.99 | % |
(1)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification (which have various durations, and certain of which may be renewed by the customer). Consumer relief programs in Asia and Mexico largely expired during the fourth quarter of 2020.
(2)End-of-period (EOP) loans include interest and fees on credit cards.
(3)The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(4)The 90+ days past due balances for North America—Citi-brandedand North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(5)The 90+ days past due and 30–89 days past due and related ratios for North America GCB exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $150 million ($0.7 billion), $176 million ($0.7 billion) and $130 million ($0.5 billion) as of June 30, 2021, March 31, 2021 and June 30, 2020, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) were $80 million ($0.7 billion), $84 million ($0.7 billion) and $86 million ($0.5 billion) as of June 30, 2021, March 31, 2021 and June 30, 2020, respectively.
(6)Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(7)The loans 90+ days past due and related ratios exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. agencies. The amounts excluded for 90+ days past due and (EOP loans) for each period were $125 million ($0.3 billion), $169 million ($0.4 billion) and $173 million ($0.4 billion) as of June 30, 2021, March 31, 2021 and June 30, 2020, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) for each period were $48 million ($0.3 billion), $55 million ($0.4 billion) and $57 million ($0.4 billion) as of June 30, 2021, March 31, 2021 and June 30, 2020, respectively.
|
| | | | | | | | | | | | | | | | | | | | | |
| | EOP loans(1) | 90+ days past due(2) | 30–89 days past due(2) |
In millions of dollars,
except EOP loan amounts in billions | September 30,
2017 | September 30,
2017 | June 30,
2017 | September 30,
2016 | September 30,
2017 | June 30,
2017 | September 30,
2016 |
Global Consumer Banking(3)(4) | | | | | | | |
| Total | $ | 300.8 |
| $ | 2,279 |
| $ | 2,183 |
| $ | 2,166 |
| $ | 2,763 |
| $ | 2,498 |
| $ | 2,553 |
|
| Ratio | | 0.76 | % | 0.73 | % | 0.75 | % | 0.92 | % | 0.84 | % | 0.88 | % |
| Retail banking | | | | | | | |
| Total | $ | 144.2 |
| $ | 489 |
| $ | 477 |
| $ | 579 |
| $ | 805 |
| $ | 747 |
| $ | 722 |
|
| Ratio | | 0.34 | % | 0.33 | % | 0.41 | % | 0.56 | % | 0.52 | % | 0.51 | % |
| North America | 55.7 |
| 167 |
| 155 |
| 256 |
| 270 |
| 191 |
| 198 |
|
| Ratio | | 0.30 | % | 0.28 | % | 0.47 | % | 0.49 | % | 0.35 | % | 0.37 | % |
| Latin America | 21.0 |
| 151 |
| 150 |
| 160 |
| 244 |
| 216 |
| 196 |
|
| Ratio | | 0.72 | % | 0.71 | % | 0.86 | % | 1.16 | % | 1.03 | % | 1.05 | % |
Asia(5) | 67.5 |
| 171 |
| 172 |
| 163 |
| 291 |
| 340 |
| 328 |
|
| Ratio | | 0.25 | % | 0.26 | % | 0.24 | % | 0.43 | % | 0.51 | % | 0.48 | % |
| Cards | | | | | | | |
| Total | $ | 156.6 |
| $ | 1,790 |
| $ | 1,706 |
| $ | 1,587 |
| $ | 1,958 |
| $ | 1,751 |
| $ | 1,831 |
|
| Ratio | | 1.14 | % | 1.10 | % | 1.07 | % | 1.25 | % | 1.13 | % | 1.24 | % |
| North America—Citi-branded | 86.3 |
| 668 |
| 659 |
| 607 |
| 705 |
| 619 |
| 710 |
|
| Ratio | | 0.77 | % | 0.77 | % | 0.75 | % | 0.82 | % | 0.72 | % | 0.87 | % |
| North America—Citi retail services | 45.9 |
| 772 |
| 693 |
| 664 |
| 836 |
| 730 |
| 750 |
|
| Ratio | | 1.68 | % | 1.53 | % | 1.51 | % | 1.82 | % | 1.62 | % | 1.71 | % |
| Latin America | 5.6 |
| 159 |
| 161 |
| 131 |
| 163 |
| 151 |
| 131 |
|
| Ratio | | 2.84 | % | 2.93 | % | 2.67 | % | 2.91 | % | 2.75 | % | 2.67 | % |
Asia(5) | 18.8 |
| 191 |
| 193 |
| 185 |
| 254 |
| 251 |
| 240 |
|
| Ratio | | 1.02 | % | 1.03 | % | 1.05 | % | 1.35 | % | 1.34 | % | 1.36 | % |
Corporate/Other—Consumer(6)(7) | | | | | | | |
| Total | $ | 24.8 |
| $ | 605 |
| $ | 601 |
| $ | 857 |
| $ | 643 |
| $ | 554 |
| $ | 849 |
|
| Ratio | | 2.57 | % | 2.37 | % | 2.29 | % | 2.74 | % | 2.18 | % | 2.27 | % |
| International | 1.7 |
| 57 |
| 63 |
| 164 |
| 47 |
| 44 |
| 135 |
|
| Ratio | | 3.35 | % | 3.50 | % | 2.98 | % | 2.76 | % | 2.44 | % | 2.45 | % |
| North America | 23.1 |
| 548 |
| 538 |
| 693 |
| 596 |
| 510 |
| 714 |
|
| Ratio | | 2.51 | % | 2.28 | % | 2.17 | % | 2.73 | % | 2.16 | % | 2.24 | % |
| Total Citigroup | $ | 325.6 |
| $ | 2,884 |
| $ | 2,784 |
| $ | 3,023 |
| $ | 3,406 |
| $ | 3,052 |
| $ | 3,402 |
|
| Ratio | | 0.89 | % | 0.86 | % | 0.93 | % | 1.05 | % | 0.94 | % | 1.04 | % |
| |
(1) | End-of-period (EOP) loans include interest and fees on credit cards. |
| |
(2) | The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income. |
| |
(3) | The 90+ days past due balances for North America—Citi-branded and North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
|
| |
(4) | The 90+ days past due and 30–89 days past due and related ratios for 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 $289 million ($0.7 billion), $295 million ($0.8 billion) and $305 million ($0.7 billion) at September 30, 2017, June 30, 2017, and September 30, 2016, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $79 million, $84 million and $58 million at September 30, 2017, June 30, 2017 and September 30, 2016, 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 $0.7 billion ($1.2 billion), $0.7 billion ($1.3 billion) and $1.0 billion ($1.5 billion) at September 30, 2017, June 30, 2017 and September 30, 2016, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) for each period were $0.1 billion, $0.2 billion and $0.1 billion at September 30, 2017, June 30, 2017 and September 30, 2016, respectively.
|
| |
(7) | The September 30, 2017, June 30, 2017 and September 30, 2016 loans 90+ days past due and 30–89 days past due and related ratios for North America exclude $6 million, $6 million and $9 million, respectively, of loans that are carried at fair value.
|
Consumer Loan Net Credit Losses and Ratios
| | | | | | | | | | | | | | |
| | Average loans(1) | Net credit losses(2) |
| In millions of dollars, except average loan amounts in billions | 2Q21 | 2Q21 | 1Q21 | 2Q20 |
| Global Consumer Banking | | | | |
| Total | $ | 268.6 | | $ | 1,253 | | $ | 1,580 | | $ | 1,842 | |
| Ratio | | 1.87 | % | 2.36 | % | 2.73 | % |
| Retail banking | | | | |
| Total | $ | 126.0 | | $ | 193 | | $ | 274 | | $ | 200 | |
| Ratio | | 0.61 | % | 0.87 | % | 0.66 | % |
| North America | 50.2 | | 24 | | 26 | | 33 | |
| Ratio | | 0.19 | % | 0.20 | % | 0.25 | % |
| Latin America | 9.2 | | 99 | | 168 | | 92 | |
| Ratio | | 4.32 | % | 7.25 | % | 4.07 | % |
Asia(3) | 66.6 | | 70 | | 80 | | 75 | |
| Ratio | | 0.42 | % | 0.49 | % | 0.50 | % |
| Cards | | | | |
| Total | $ | 142.6 | | $ | 1,060 | | $ | 1,306 | | $ | 1,642 | |
| Ratio | | 2.98 | % | 3.67 | % | 4.41 | % |
North America—Citi-branded | 79.4 | | 467 | | 551 | | 780 | |
| Ratio | | 2.36 | % | 2.84 | % | 3.80 | % |
North America—Citi retail services | 42.3 | | 326 | | 373 | | 635 | |
| Ratio | | 3.09 | % | 3.45 | % | 5.53 | % |
| Latin America | 4.3 | | 151 | | 197 | | 113 | |
| Ratio | | 14.09 | % | 17.75 | % | 10.57 | % |
Asia(3) | 16.6 | | 116 | | 185 | | 114 | |
| Ratio | | 2.80 | % | 4.34 | % | 2.76 | % |
Corporate/Other—Consumer | | | | |
| Total | $ | 5.8 | | $ | (22) | | $ | (18) | | $ | (5) | |
| Ratio | | (1.52) | % | (1.14) | % | (0.23) | % |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| Total Citigroup | $ | 274.4 | | $ | 1,231 | | $ | 1,562 | | $ | 1,837 | |
| Ratio | | 1.80 | % | 2.28 | % | 2.63 | % |
(1)Average loans include interest and fees on credit cards.
(2)The ratios of net credit losses are calculated based on average loans, net of unearned income.
(3)Asia includes NCLs and average loans in certain EMEA countries for all periods presented.
|
| | | | | | | | | | | | |
| | Average loans(1) | Net credit losses(2)(3) |
| In millions of dollars, except average loan amounts in billions | 3Q17 | 3Q17 | 2Q17 | 3Q16 |
| Global Consumer Banking | | | | |
| Total | $ | 299.7 |
| $ | 1,704 |
| $ | 1,615 |
| $ | 1,349 |
|
| Ratio | | 2.26 | % | 2.20 | % | 1.87 | % |
| Retail banking | | | | |
| Total | $ | 144.3 |
| $ | 300 |
| $ | 244 |
| $ | 257 |
|
| Ratio | | 0.82 | % | 0.69 | % | 0.72 | % |
| North America | 55.7 |
| 88 |
| 39 |
| 52 |
|
| Ratio | | 0.63 | % | 0.28 | % | 0.38 | % |
| Latin America | 21.2 |
| 143 |
| 151 |
| 132 |
|
| Ratio | | 2.68 | % | 3.00 | % | 2.75 | % |
Asia(4) | 67.4 |
| 69 |
| 54 |
| 73 |
|
| Ratio | | 0.41 | % | 0.33 | % | 0.43 | % |
| Cards | | | | |
| Total | $ | 155.4 |
| $ | 1,404 |
| $ | 1,371 |
| $ | 1,092 |
|
| Ratio | | 3.58 | % | 3.63 | % | 2.99 | % |
| North America—Citi-branded | 85.4 |
| 611 |
| 611 |
| 448 |
|
| Ratio | | 2.84 | % | 2.94 | % | 2.25 | % |
| North America—Retail services | 45.6 |
| 540 |
| 531 |
| 427 |
|
| Ratio | | 4.70 | % | 4.79 | % | 3.90 | % |
| Latin America | 5.6 |
| 152 |
| 126 |
| 122 |
|
| Ratio | | 10.77 | % | 9.54 | % | 9.52 | % |
Asia(4) | 18.8 |
| 101 |
| 103 |
| 95 |
|
| Ratio | | 2.13 | % | 2.25 | % | 2.15 | % |
Corporate/Other—Consumer(3) | | | | |
| Total | $ | 25.8 |
| $ | 52 |
| $ | 18 |
| $ | 134 |
|
| Ratio | | 0.80 | % | 0.26 | % | 1.31 | % |
| International | 1.9 |
| 25 |
| 24 |
| 82 |
|
| Ratio | | 5.22 | % | 5.07 | % | 6.04 | % |
| North America | 23.9 |
| 27 |
| (6 | ) | 52 |
|
| Ratio | | 0.45 | % | (0.09 | )% | 0.58 | % |
Other(5) | 0.1 |
| (22 | ) | — |
| — |
|
| Total Citigroup | $ | 325.6 |
| $ | 1,734 |
| $ | 1,633 |
| $ | 1,483 |
|
| Ratio | | 2.11 | % | 2.04 | % | 1.80 | % |
| |
(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) | In October 2016, Citi entered into agreements to sell Citi’s Brazil and Argentina consumer banking businesses and classified these businesses as held-for-sale (HFS). The sale of the Argentina consumer banking business was completed at the end of the first quarter 2017. As a result of HFS accounting treatment, approximately $38 million and $37 million of net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) during the second quarter of 2017 and the third 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.
|
| |
(5) | The third quarter of 2017 NCLs represent a recovery related to legacy assets. |
CORPORATE CREDIT
Consistent with its overall strategy, Citi’s corporate clients are typically large, multi-national corporations that value Citi’s global network. Citi aims to establish relationships with these clients that encompass multiple products, consistent with client needs, including cash management and trade services, foreign exchange, lending, capital markets and M&A advisory.
Corporate Credit Portfolio
The following table sets forthdetails Citi’s corporate credit portfolio within ICG (excluding certain loans in the private bank)bank, which are managed on a delinquency basis), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | June 30, 2021 | March 31, 2021 | December 31, 2020 |
| In billions of dollars | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure |
Direct outstandings (on-balance sheet)(1) | $ | 192 | | $ | 141 | | $ | 22 | | $ | 355 | | $ | 182 | | $ | 142 | | $ | 22 | | $ | 346 | | $ | 177 | | $ | 142 | | $ | 25 | | $ | 344 | |
Unfunded lending commitments (off-balance sheet)(2) | 166 | | 281 | | 11 | | 458 | | 170 | | 284 | | 12 | | 466 | | 158 | | 272 | | 11 | | 441 | |
| Total exposure | $ | 358 | | $ | 422 | | $ | 33 | | $ | 813 | | $ | 352 | | $ | 426 | | $ | 34 | | $ | 812 | | $ | 335 | | $ | 414 | | $ | 36 | | $ | 785 | |
(1) Includes drawn loans, overdrafts, bankers’ acceptances and leases.
(2) Includes unused commitments to lend, letters of credit and financial guarantees.
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | At September 30, 2017 | At June 30, 2017 | At December 31, 2016 |
| In billions of dollars | Due within 1 year | Greater than 1 year but within 5 years | Greater than 5 years | Total exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due within 1 year | Greater than 1 year but within 5 years | Greater than 5 years | Total exposure |
Direct outstandings (on-balance sheet)(1) | $ | 124 |
| $ | 96 |
| $ | 23 |
| $ | 243 |
| $ | 122 |
| $ | 94 |
| $ | 23 |
| $ | 239 |
| $ | 109 |
| $ | 94 |
| $ | 22 |
| $ | 225 |
|
Unfunded lending commitments (off-balance sheet)(2) | 104 |
| 219 |
| 20 |
| $ | 343 |
| 103 |
| 222 |
| 22 |
| 347 |
| 103 |
| 218 |
| 23 |
| 344 |
|
| Total exposure | $ | 228 |
| $ | 315 |
| $ | 43 |
| $ | 586 |
| $ | 225 |
| $ | 316 |
| $ | 45 |
| $ | 586 |
| $ | 212 |
| $ | 312 |
| $ | 45 |
| $ | 569 |
|
| |
(1) | Includes drawn loans, overdrafts, bankers’ acceptances and leases. |
| |
(2) | Includes unused commitments to lend, letters of credit and financial guarantees. |
Portfolio Mix—Geography Counterparty and IndustryCounterparty
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region (excluding the delinquency-managed private bank portfolio) based on Citi’s internal management geography:
| | | | | | | | | | | |
| June 30,
2021 | March 31,
2021 | December 31,
2020 |
| North America | 57 | % | 57 | % | 56 | % |
| EMEA | 25 | | 25 | | 25 | |
| Asia | 13 | | 13 | | 13 | |
| Latin America | 5 | | 5 | | 6 | |
| Total | 100 | % | 100 | % | 100 | % |
|
| | | | | | |
| | September 30,
2017 | June 30,
2017 | December 31,
2016 |
| North America | 55 | % | 55 | % | 55 | % |
| EMEA | 26 |
| 26 |
| 26 |
|
| Asia | 12 |
| 12 |
| 12 |
|
| Latin America | 7 |
| 7 |
| 7 |
|
| Total | 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 ofby leveraging validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position, regulatory environment and commodity prices. Facility risk ratings are assigned that reflect the probability of default of
the obligor and factors that affect the loss-given-defaultloss given default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are
considered investment grade, while those below are considered non-investment grade.
Citigroup also has incorporated climate risk assessment and reporting criteria for certain obligors, as necessary. Factors evaluated include consideration of climate risk to an
obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.
The following table presents the corporate credit portfolio (excluding the delinquency-managed private bank portfolio) by facility risk rating as a percentage of the total corporate credit portfolio:
| | | | | | | | | | | |
| | Total exposure |
| | June 30,
2021 | March 31,
2021 | December 31,
2020 |
| AAA/AA/A | 49 | % | 50 | % | 49 | % |
| BBB | 32 | | 31 | | 31 | |
| BB/B | 16 | | 16 | | 17 | |
| CCC or below | 3 | | 3 | | 3 | |
| Total | 100 | % | 100 | % | 100 | % |
|
| | | | | | |
| | Total exposure |
| | September 30,
2017 | June 30,
2017 | December 31,
2016 |
| AAA/AA/A | 49 | % | 49 | % | 48 | % |
| BBB | 34 |
| 34 |
| 34 |
|
| BB/B | 16 |
| 16 |
| 16 |
|
| CCC or below | 1 |
| 1 |
| 2 |
|
| Total | 100 | % | 100 | % | 100 | % |
Note: Total exposure includes direct outstandings and unfunded lending commitments.
In addition to the obligor and facility risk ratings assigned to all exposures, Citi may classify exposures in the corporate credit portfolio. These classifications are consistent with Citi’s interpretation of the U.S. banking regulators’ definition of criticized exposures, which may categorize exposures as special mention, substandard, doubtful or loss.
Risk ratings and classifications are reviewed regularly, and adjusted as appropriate. The credit review process incorporates quantitative and qualitative factors, including financial and non-financial disclosures or metrics, idiosyncratic events or changes to the competitive, regulatory or macroeconomic environment. This includes but is not limited to exposures in those sectors significantly impacted by the pandemic (including consumer retail, commercial real estate and transportation).
Citigroup believes the corporate credit portfolio to be appropriately rated and classified as of June 30, 2021. Since the onset of the COVID-19 pandemic, Citigroup has taken action to adjust internal ratings and classifications of exposures as both the macroeconomic environment and obligor-specific factors have changed, particularly where additional stress has been seen.
As obligor risk ratings are downgraded, the probability of default increases. Downgrades of obligor risk ratings tend to result in a higher provision for credit losses. In addition,
downgrades may result in the purchase of additional credit derivatives or other risk mitigants to hedge the incremental credit risk, or may result in Citi’s seeking to reduce exposure to an obligor or an industry sector. Citi will continue to review exposures to ensure that the appropriate probability of default is incorporated into all risk assessments.
For additional information on Citi’s corporate credit portfolio, see Note 13 to the Consolidated Financial Statements.
Portfolio Mix—Industry
Citi’s corporate credit portfolio is also diversified by industry. The following table showsdetails the allocation of Citi’s total corporate credit portfolio by industry:industry (excluding the delinquency-managed private bank portfolio):
| | | | | | | | | | | |
| | Total exposure |
| | June 30,
2021 | March 31,
2021 | December 31,
2020 |
| Transportation and industrials | 18 | % | 19 | % | 19 | % |
| Private bank | 14 | | 14 | | 14 | |
| Consumer retail | 10 | | 10 | | 10 | |
| Technology, media and telecom | 11 | | 11 | | 11 | |
| Real estate | 9 | | 8 | | 8 | |
| Power, chemicals, metals and mining | 8 | | 8 | | 8 | |
| Banks and finance companies | 7 | | 7 | | 7 | |
| Energy and commodities | 6 | | 6 | | 6 | |
| Health | 5 | | 5 | | 5 | |
| Public sector | 3 | | 3 | | 3 | |
| Insurance | 3 | | 3 | | 3 | |
| Asset managers and funds | 3 | | 3 | | 3 | |
| Financial markets infrastructure | 2 | | 2 | | 2 | |
| Securities firms | — | | — | | — | |
| Other industries | 1 | | 1 | | 1 | |
| Total | 100 | % | 100 | % | 100 | % |
|
| | | | | | |
| | Total exposure |
| | September 30,
2017 | June 30,
2017 | December 31,
2016 |
| Transportation and industrial | 22 | % | 21 | % | 22 | % |
| Consumer retail and health | 16 |
| 17 |
| 16 |
|
| Technology, media and telecom | 11 |
| 11 |
| 12 |
|
| Power, chemicals, metals and mining | 10 |
| 10 |
| 11 |
|
Energy and commodities(1) | 8 |
| 9 |
| 9 |
|
| Banks/broker-dealers/finance companies | 8 |
| 7 |
| 6 |
|
| Real estate | 7 |
| 8 |
| 7 |
|
| Insurance and special purpose entities | 5 |
| 5 |
| 5 |
|
| Public sector | 5 |
| 5 |
| 5 |
|
| Hedge funds | 4 |
| 5 |
| 5 |
|
| Other industries | 4 |
| 2 |
| 2 |
|
| Total | 100 | % | 100 | % | 100 | % |
The following table details Citi’s corporate credit portfolio by industry as of June 30, 2021:
Note: Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing(3) | Net charge-offs (recoveries)(4) | Credit derivative hedges(5) |
| Transportation and industrials | $ | 149,833 | | $ | 56,251 | | $ | 93,582 | | $ | 113,360 | | $ | 20,113 | | $ | 14,936 | | $ | 1,424 | | | $ | 173 | | $ | 81 | | $ | (8,668) | |
Autos(6) | 51,372 | | 22,390 | | 28,982 | | 41,054 | | 6,004 | | 4,202 | | 112 | | | 40 | | 1 | | (3,337) | |
| Transportation | 33,393 | | 12,792 | | 20,601 | | 23,953 | | 3,242 | | 5,025 | | 1,173 | | | 9 | | 61 | | (1,385) | |
| Industrials | 65,068 | | 21,069 | | 43,999 | | 48,353 | | 10,867 | | 5,709 | | 139 | | | 124 | | 19 | | (3,946) | |
| Private bank | 116,961 | | 82,227 | | 34,734 | | 112,480 | | 2,442 | | 1,912 | | 127 | | | 966 | | 11 | | (1,080) | |
| Consumer retail | 79,300 | | 34,319 | | 44,981 | | 60,667 | | 12,442 | | 5,792 | | 399 | | | 141 | | 64 | | (5,050) | |
| Technology, media and telecom | 85,712 | | 30,079 | | 55,633 | | 64,949 | | 16,261 | | 4,248 | | 254 | | | 295 | | 9 | | (6,292) | |
| Real estate | 69,474 | | 45,514 | | 23,960 | | 59,346 | | 5,267 | | 4,761 | | 100 | | | 3 | | 13 | | (593) | |
| Power, chemicals, metals and mining | 66,515 | | 21,833 | | 44,682 | | 51,382 | | 12,048 | | 2,704 | | 381 | | | 138 | | 35 | | (5,374) | |
| Power | 27,466 | | 5,326 | | 22,140 | | 23,446 | | 3,118 | | 602 | | 300 | | | 2 | | 31 | | (2,623) | |
| Chemicals | 23,657 | | 8,960 | | 14,697 | | 17,123 | | 5,207 | | 1,278 | | 49 | | | 71 | | 4 | | (2,168) | |
| Metals and mining | 15,392 | | 7,547 | | 7,845 | | 10,813 | | 3,723 | | 824 | | 32 | | | 65 | | — | | (583) | |
| Banks and finance companies | 58,299 | | 33,761 | | 24,538 | | 47,899 | | 4,663 | | 5,706 | | 31 | | | 14 | | (1) | | (714) | |
Energy and commodities(7) | 48,418 | | 15,060 | | 33,358 | | 34,799 | | 7,911 | | 5,189 | | 519 | | | 85 | | 62 | | (3,861) | |
| Health | 38,674 | | 8,074 | | 30,600 | | 29,184 | | 7,977 | | 1,342 | | 171 | | | 51 | | — | | (1,984) | |
| Public sector | 26,303 | | 14,215 | | 12,088 | | 21,209 | | 2,337 | | 2,752 | | 5 | | | 5 | | (3) | | (952) | |
| Insurance | 27,196 | | 2,383 | | 24,813 | | 26,118 | | 941 | | 137 | | — | | | 1 | | 1 | | (2,537) | |
| Asset managers and funds | 21,536 | | 6,357 | | 15,179 | | 20,248 | | 1,124 | | 164 | | — | | | 2 | | — | | (83) | |
| Financial markets infrastructure | 14,191 | | 177 | | 14,014 | | 14,161 | | 30 | | — | | — | | | — | | — | | (12) | |
| Securities firms | 1,593 | | 580 | | 1,013 | | 290 | | 1,059 | | 236 | | 8 | | | — | | — | | (1) | |
| Other industries | 8,628 | | 3,580 | | 5,048 | | 4,495 | | 2,904 | | 1,076 | | 153 | | | 227 | | 1 | | (10) | |
| Total | $ | 812,633 | | $ | 354,410 | | $ | 458,223 | | $ | 660,587 | | $ | 97,519 | | $ | 50,955 | | $ | 3,572 | | | $ | 2,101 | | $ | 273 | | $ | (37,211) | |
(1) Excludes $46.5 billion and $1.0 billion of funded and unfunded exposure at June 30, 2021, respectively, primarily related to the delinquency-managed private bank portfolio.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Excludes $204 million of past due loans primarily related to the delinquency-managed private bank portfolio.
(4) Net charge-offs (recoveries) are for the six months ended June 30, 2021 and exclude delinquency-managed private bank charge-offs of $2 million.
(5) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $37.2 billion of purchased credit protection, $35.2 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.0 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.1 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(6) Autos total credit exposure includes direct outstandingssecuritization financing facilities secured by auto loans and unfunded lendingleases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $18.5 billion ($7.9 billion in funded, with more than 99% rated investment grade) as of June 30, 2021.
commitments.
(1)(7) In addition to this exposure, Citi has energy-related exposure within
the “Public sector”public sector (e.g., energy-related state-owned entities) and
“Transportation the transportation and industrial”industrial sector (e.g., off-shore drilling entities)
included in the table above. As of SeptemberJune 30, 2017,2021, Citi’s total
exposure to these energy-related entities remained largely consistent
with the prior quarter, atwas approximately $6$7.0 billion, of which
approximately $3$3.7 billion consisted of direct outstanding funded loans.
Exposure to Commercial Real Estate
As of June 30, 2021, ICG’s total corporate credit exposure to commercial real estate (CRE) was $65 billion, with $43 billion consisting of direct outstanding funded loans (mainly included in the real estate and private bank categories in the above table), or 6% of Citi’s total outstanding loans. In addition, as of June 30, 2021, more than 70% of ICG’s total corporate CRE exposure was to borrowers in the United States. Also as of June 30, 2021, approximately 76% of ICG’s total corporate CRE exposure was rated investment grade.
As of June 30, 2021, the ACLL was 1.2% of funded CRE exposure, including 3.6% of funded non-investment-grade exposure.
Of the total CRE exposure:
•$20 billion of the exposure ($12 billion of direct outstanding funded loans) relates to Community Reinvestment Act-related lending provided pursuant to Citi’s regulatory requirements to meet the credit needs of borrowers in low and moderate income neighborhoods.
•$20 billion of the exposure ($15 billion of direct outstanding funded loans) relates to exposure secured by mortgages on underlying properties or in well-rated securitization exposures.
•$13 billion of the exposure ($5 billion of direct outstanding funded loans) relates to unsecured loans to large REITs, with nearly 79% of the exposure rated investment grade.
•$12 billion of exposure ($11 billion of direct outstanding funded loans) relates to CRE exposure in the private bank of which 100% is secured by mortgages. In addition, 47% of the exposure is also full recourse to the client. As of June 30, 2021, 77% of the exposure was rated investment grade.
The following table details Citi’s corporate credit portfolio by industry as of December 31, 2020:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing(3) | Net charge-offs (recoveries)(4) | Credit derivative hedges(5) |
| Transportation and industrials | $ | 147,218 | | $ | 60,122 | | $ | 87,096 | | $ | 106,041 | | $ | 17,452 | | $ | 21,927 | | $ | 1,798 | | | $ | 136 | | $ | 239 | | $ | (8,110) | |
Autos(6) | 53,874 | | 25,310 | | 28,564 | | 43,059 | | 4,374 | | 6,167 | | 274 | | | 8 | | 45 | | (3,220) | |
| Transportation | 27,693 | | 14,107 | | 13,586 | | 16,410 | | 2,993 | | 6,872 | | 1,418 | | | 17 | | 144 | | (1,166) | |
| Industrials | 65,651 | | 20,705 | | 44,946 | | 46,572 | | 10,085 | | 8,888 | | 106 | | | 111 | | 50 | | (3,724) | |
| Private bank | 109,397 | | 75,693 | | 33,704 | | 104,244 | | 2,395 | | 2,510 | | 248 | | | 963 | | 78 | | (1,080) | |
| Consumer retail | 82,129 | | 34,809 | | 47,320 | | 60,741 | | 11,653 | | 9,418 | | 317 | | | 146 | | 64 | | (5,493) | |
| Technology, media and telecom | 82,657 | | 30,880 | | 51,777 | | 61,296 | | 15,924 | | 5,214 | | 223 | | | 107 | | 74 | | (7,237) | |
| Real estate | 65,392 | | 43,285 | | 22,107 | | 54,413 | | 5,342 | | 5,453 | | 184 | | | 334 | | 18 | | (642) | |
| Power, chemicals, metals and mining | 63,926 | | 20,810 | | 43,116 | | 47,923 | | 11,554 | | 4,257 | | 192 | | | 59 | | 70 | | (5,341) | |
| Power | 26,916 | | 6,379 | | 20,537 | | 22,665 | | 3,336 | | 761 | | 154 | | | 14 | | 57 | | (2,637) | |
| Chemicals | 22,356 | | 7,969 | | 14,387 | | 16,665 | | 3,804 | | 1,882 | | 5 | | | 32 | | 8 | | (2,102) | |
| Metals and mining | 14,654 | | 6,462 | | 8,192 | | 8,593 | | 4,414 | | 1,614 | | 33 | | | 13 | | 5 | | (602) | |
| Banks and finance companies | 52,925 | | 29,856 | | 23,069 | | 43,831 | | 4,648 | | 4,387 | | 59 | | | 27 | | 79 | | (765) | |
Energy and commodities(7) | 49,524 | | 15,086 | | 34,438 | | 34,636 | | 7,345 | | 6,546 | | 997 | | | 70 | | 285 | | (4,199) | |
| Health | 35,504 | | 8,658 | | 26,846 | | 29,164 | | 4,354 | | 1,749 | | 237 | | | 17 | | 17 | | (1,964) | |
| Public sector | 26,887 | | 13,599 | | 13,288 | | 22,276 | | 1,887 | | 2,708 | | 16 | | | 45 | | 9 | | (1,089) | |
| Insurance | 26,576 | | 1,925 | | 24,651 | | 25,864 | | 575 | | 136 | | 1 | | | 27 | | 1 | | (2,682) | |
| Asset managers and funds | 19,745 | | 4,491 | | 15,254 | | 18,528 | | 1,013 | | 191 | | 13 | | | 41 | | (1) | | (84) | |
| Financial markets infrastructure | 12,610 | | 229 | | 12,381 | | 12,590 | | 20 | | — | | — | | | — | | — | | (9) | |
| Securities firms | 976 | | 430 | | 546 | | 573 | | 298 | | 97 | | 8 | | | — | | — | | (6) | |
| Other industries | 9,307 | | 4,545 | | 4,762 | | 4,980 | | 2,702 | | 1,442 | | 183 | | | 10 | | 43 | | (138) | |
| Total | $ | 784,773 | | $ | 344,418 | | $ | 440,355 | | $ | 627,100 | | $ | 87,162 | | $ | 66,035 | | $ | 4,476 | | | $ | 1,982 | | $ | 976 | | $ | (38,839) | |
(1) Excludes $42.6 billion and $4.4 billion of funded and unfunded exposure at December 31, 2020, respectively, primarily related to the delinquency-managed private bank portfolio.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Excludes $162 million of past due loans primarily related to the delinquency-managed private bank portfolio.
(4) Net charge-offs (recoveries) are for the year ended December 31, 2020 and exclude delinquency-managed private bank charge-offs of $10 million.
(5) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $38.8 billion of purchased credit protection, $36.8 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.0 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.1 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(6) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $20.2 billion ($10.3 billion in funded, with more than 99% rated investment grade) as of December 31, 2020.
(7) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2020, Citi’s total exposure to these energy-related entities was approximately $7.0 billion, of which approximately $3.8 billion consisted of direct outstanding funded loans.
Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. Citi may enter into partial-term hedges as well as full-term hedges. In advance of the expiration of partial-term hedges, Citi will determine, among other factors, the economic feasibility of hedging the remaining life of the instrument. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Other revenue onPrincipal transactions in the Consolidated Statement of Income.
At September 30, 2017, June 30, 20172021, March 31, 2021 and December 31, 2016, $22.2 billion, $23.7 billion and $29.5 billion, respectively, of2020, ICG (excluding the delinquency-managed private bank portfolio) had economic hedges on the corporate credit portfolio was economically hedged.of $37.2 billion, $38.8 billion and $38.8 billion, respectively. Citigroup’s expected credit loss model used in the calculation of its loan loss reserveACL 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 ICG (excluding the delinquency-managed private bank portfolio) corporate credit portfolio exposures with the following risk rating distribution:
Rating of Hedged Exposure
| | | | | | | | | | | |
| June 30,
2021 | March 31,
2021 | December 31,
2020 |
| AAA/AA/A | 34 | % | 32 | % | 30 | % |
| BBB | 46 | | 47 | | 48 | |
| BB/B | 17 | | 18 | | 19 | |
| CCC or below | 3 | | 3 | | 3 | |
| Total | 100 | % | 100 | % | 100 | % |
|
| | | | | | |
| | September 30,
2017 | June 30,
2017 | December 31,
2016 |
| AAA/AA/A | 16 | % | 16 | % | 16 | % |
| BBB | 48 |
| 47 |
| 49 |
|
| BB/B | 33 |
| 34 |
| 31 |
|
| CCC or below | 3 |
| 3 |
| 4 |
|
| Total | 100 | % | 100 | % | 100 | % |
The credit protection was economically hedging underlying corporate credit portfolio exposures with the following industry distribution:
Industry of Hedged Exposure
|
| | | | | | |
| | September 30,
2017 | June 30,
2017 | December 31,
2016 |
| Transportation and industrial | 27 | % | 27 | % | 29 | % |
| Energy and commodities | 17 |
| 20 |
| 20 |
|
| Consumer retail and health | 12 |
| 11 |
| 10 |
|
| Technology, media and telecom | 14 |
| 13 |
| 13 |
|
| Power, chemicals, metals and mining | 12 |
| 13 |
| 12 |
|
| Public sector | 8 |
| 6 |
| 5 |
|
| Banks/broker-dealers | 5 |
| 5 |
| 4 |
|
| Insurance and special purpose entities | 2 |
| 2 |
| 3 |
|
| Other industries | 3 |
| 3 |
| 4 |
|
| Total | 100 | % | 100 | % | 100 | % |
ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS
Loans Outstanding
| | | | | | | | | | | | | | | | | |
| 2nd Qtr. | 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. |
| In millions of dollars | 2021 | 2021 | 2020 | 2020 | 2020 |
| Consumer loans | | | | | |
In North America offices(1) | | | | | |
Residential first mortgages(2) | $ | 44,835 | | $ | 45,739 | | $ | 47,778 | | $ | 48,370 | | $ | 48,167 | |
Home equity loans(2) | 6,168 | | 6,638 | | 7,128 | | 7,625 | | 8,524 | |
| Credit cards | 124,823 | | 121,048 | | 130,385 | | 125,485 | | 128,032 | |
| Personal, small business and other | 3,676 | | 4,600 | | 4,509 | | 4,689 | | 4,859 | |
| Total | $ | 179,502 | | $ | 178,025 | | $ | 189,800 | | $ | 186,169 | | $ | 189,582 | |
In offices outside North America(1) | | | | | |
Residential first mortgages(2) | $ | 40,344 | | $ | 39,833 | | $ | 39,969 | | $ | 38,507 | | $ | 37,194 | |
| Credit cards | 20,776 | | 21,137 | | 22,692 | | 21,108 | | 20,966 | |
| Personal, small business and other | 35,273 | | 35,039 | | 36,378 | | 34,241 | | 33,371 | |
| Total | $ | 96,393 | | $ | 96,009 | | $ | 99,039 | | $ | 93,856 | | $ | 91,531 | |
Consumer loans, net of unearned income(3) | $ | 275,895 | | $ | 274,034 | | $ | 288,839 | | $ | 280,025 | | $ | 281,113 | |
| Corporate loans | | | | | |
In North America offices(1) | | | | | |
| Commercial and industrial | $ | 53,549 | | $ | 55,497 | | $ | 57,731 | | $ | 59,921 | | $ | 70,755 | |
| Financial institutions | 65,494 | | 57,009 | | 55,809 | | 52,884 | | 53,860 | |
Mortgage and real estate(2) | 62,162 | | 60,976 | | 60,675 | | 59,340 | | 57,821 | |
| Installment and other | 26,757 | | 29,186 | | 26,744 | | 26,858 | | 25,602 | |
| Lease financing | 547 | | 539 | | 673 | | 704 | | 869 | |
| Total | $ | 208,509 | | $ | 203,207 | | $ | 201,632 | | $ | 199,707 | | $ | 208,907 | |
In offices outside North America(1) | | | | | |
| Commercial and industrial | $ | 105,486 | | $ | 102,666 | | $ | 104,072 | | $ | 108,551 | | $ | 115,471 | |
| Financial institutions | 35,713 | | 34,729 | | 32,334 | | 32,583 | | 35,173 | |
Mortgage and real estate(2) | 10,995 | | 11,166 | | 11,371 | | 10,424 | | 10,332 | |
| Installment and other | 35,787 | | 35,347 | | 33,759 | | 32,323 | | 30,678 | |
| Lease financing | 54 | | 56 | | 65 | | 63 | | 66 | |
| Governments and official institutions | 4,395 | | 4,783 | | 3,811 | | 3,235 | | 3,552 | |
| Total | $ | 192,430 | | $ | 188,747 | | $ | 185,412 | | $ | 187,179 | | $ | 195,272 | |
Corporate loans, net of unearned income(4) | $ | 400,939 | | $ | 391,954 | | $ | 387,044 | | $ | 386,886 | | $ | 404,179 | |
| Total loans—net of unearned income | $ | 676,834 | | $ | 665,988 | | $ | 675,883 | | $ | 666,911 | | $ | 685,292 | |
| Allowance for credit losses on loans (ACLL) | (19,238) | | (21,638) | | (24,956) | | (26,426) | | (26,298) | |
| Total loans—net of unearned income and ACLL | $ | 657,596 | | $ | 644,350 | | $ | 650,927 | | $ | 640,485 | | $ | 658,994 | |
ACLL as a percentage of total loans—
net of unearned income(5) | 2.88 | % | 3.29 | % | 3.73 | % | 4.00 | % | 3.87 | % |
ACLL for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5) | 5.84 | % | 6.41 | % | 6.77 | % | 6.96 | % | 6.93 | % |
ACLL for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5) | 0.80 | % | 1.06 | % | 1.42 | % | 1.82 | % | 1.71 | % |
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification of corporate loans between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Consumer loans are net of unearned income of $676 million, $700 million, $749 million, $739 million and $734 million at June 30, 2021, March 31, 2021, December 31, 2020, September 30, 2020 and June 30, 2020, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(4)Corporate loans include private bank loans and are net of unearned income of $(841) million, $(844) million, $(844) million, $(857) million and $(854) million at June 30, 2021, March 31, 2021, December 31, 2020, September 30, 2020 and June 30, 2020, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
(5)Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.
|
| | | | | | | | | | | | | | | |
| | 3rd Qtr. | 2nd Qtr. | 1st Qtr. | 4th Qtr. | 3rd Qtr. |
| In millions of dollars | 2017 | 2017 | 2017 | 2016 | 2016 |
| Consumer loans |
|
|
|
|
|
| In U.S. offices |
|
|
|
|
|
Mortgage and real estate(1) | $ | 67,131 |
| $ | 69,022 |
| $ | 71,170 |
| $ | 72,957 |
| $ | 75,057 |
|
| Installment, revolving credit and other | 3,191 |
| 3,190 |
| 3,252 |
| 3,395 |
| 3,465 |
|
| Cards | 131,476 |
| 130,181 |
| 125,799 |
| 132,654 |
| 124,637 |
|
| Commercial and industrial | 7,619 |
| 7,404 |
| 7,434 |
| 7,159 |
| 6,989 |
|
| Total | $ | 209,417 |
| $ | 209,797 |
| $ | 207,655 |
| $ | 216,165 |
| $ | 210,148 |
|
| In offices outside the U.S. | | | | | |
Mortgage and real estate(1) | $ | 43,723 |
| $ | 43,821 |
| $ | 43,822 |
| $ | 42,803 |
| $ | 45,751 |
|
| Installment, revolving credit and other | 26,153 |
| 26,480 |
| 26,014 |
| 24,887 |
| 28,217 |
|
| Cards | 25,443 |
| 25,376 |
| 24,497 |
| 23,783 |
| 25,833 |
|
| Commercial and industrial | 20,015 |
| 18,956 |
| 17,728 |
| 16,568 |
| 17,498 |
|
| Lease financing | 77 |
| 81 |
| 83 |
| 81 |
| 113 |
|
| Total | $ | 115,411 |
| $ | 114,714 |
| $ | 112,144 |
| $ | 108,122 |
| $ | 117,412 |
|
| Total consumer loans | $ | 324,828 |
| $ | 324,511 |
| $ | 319,799 |
| $ | 324,287 |
| $ | 327,560 |
|
Unearned income(2) | 748 |
| 750 |
| 757 |
| 776 |
| 812 |
|
| Consumer loans, net of unearned income | $ | 325,576 |
| $ | 325,261 |
| $ | 320,556 |
| $ | 325,063 |
| $ | 328,372 |
|
| Corporate loans |
|
|
|
|
|
| In U.S. offices |
|
|
|
|
|
| Commercial and industrial | $ | 51,679 |
| $ | 50,341 |
| $ | 49,845 |
| $ | 49,586 |
| $ | 50,156 |
|
| Loans to financial institutions | 37,203 |
| 36,953 |
| 35,734 |
| 35,517 |
| 35,801 |
|
Mortgage and real estate(1) | 43,274 |
| 42,041 |
| 40,052 |
| 38,691 |
| 41,078 |
|
| Installment, revolving credit and other | 32,464 |
| 31,611 |
| 32,212 |
| 34,501 |
| 32,571 |
|
| Lease financing | 1,493 |
| 1,467 |
| 1,511 |
| 1,518 |
| 1,532 |
|
| Total | $ | 166,113 |
| $ | 162,413 |
| $ | 159,354 |
| $ | 159,813 |
| $ | 161,138 |
|
| In offices outside the U.S. |
|
|
|
|
|
| Commercial and industrial | $ | 93,107 |
| $ | 91,131 |
| $ | 87,258 |
| $ | 81,882 |
| $ | 84,492 |
|
| Loans to financial institutions | 33,050 |
| 34,844 |
| 33,763 |
| 26,886 |
| 27,305 |
|
Mortgage and real estate(1) | 6,383 |
| 6,783 |
| 5,527 |
| 5,363 |
| 5,595 |
|
| Installment, revolving credit and other | 23,830 |
| 19,200 |
| 16,576 |
| 19,965 |
| 25,462 |
|
| Lease financing | 216 |
| 234 |
| 253 |
| 251 |
| 243 |
|
| Governments and official institutions | 5,628 |
| 5,518 |
| 5,970 |
| 5,850 |
| 6,506 |
|
| Total | $ | 162,214 |
| $ | 157,710 |
| $ | 149,347 |
| $ | 140,197 |
| $ | 149,603 |
|
| Total corporate loans | $ | 328,327 |
| $ | 320,123 |
| $ | 308,701 |
| $ | 300,010 |
| $ | 310,741 |
|
Unearned income(3) | (720 | ) | (689 | ) | (662 | ) | (704 | ) | (678 | ) |
| Corporate loans, net of unearned income | $ | 327,607 |
| $ | 319,434 |
| $ | 308,039 |
| $ | 299,306 |
| $ | 310,063 |
|
| Total loans—net of unearned income | $ | 653,183 |
| $ | 644,695 |
| $ | 628,595 |
| $ | 624,369 |
| $ | 638,435 |
|
| Allowance for loan losses—on drawn exposures | (12,366 | ) | (12,025 | ) | (12,030 | ) | (12,060 | ) | (12,439 | ) |
Total loans—net of unearned income
and allowance for credit losses | $ | 640,817 |
| $ | 632,670 |
| $ | 616,565 |
| $ | 612,309 |
| $ | 625,996 |
|
Allowance for loan losses as a percentage of total loans—
net of unearned income(4) | 1.91 | % | 1.88 | % | 1.93 | % | 1.94 | % | 1.97 | % |
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(4) | 3.04 | % | 2.93 | % | 2.96 | % | 2.88 | % | 2.95 | % |
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(4) | 0.77 | % | 0.80 | % | 0.83 | % | 0.91 | % | 0.90 | % |
| |
(1) | Loans secured primarily by real estate. |
| |
(2) | Unearned income on consumer loans primarily represents unamortized origination fees, 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 discounted basis. |
| |
(4) | All periods exclude loans that are carried at fair value. |
Details of Credit Loss Experience
| | | | | | | | | | | | | | | | | |
| 2nd Qtr. | 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. |
| In millions of dollars | 2021 | 2021 | 2020 | 2020 | 2020 |
| Allowance for credit losses on loans (ACLL) at beginning of period | $ | 21,638 | | $ | 24,956 | | $ | 26,426 | | $ | 26,298 | | $ | 20,380 | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| Provision for credit losses on loans (PCLL) | | | | | |
Consumer(1) | $ | (265) | | $ | (354) | | $ | 1,034 | | $ | 1,500 | | $ | 4,297 | |
| Corporate | (861) | | (1,125) | | (1,410) | | 431 | | 3,693 | |
| Total | $ | (1,126) | | $ | (1,479) | | $ | (376) | | $ | 1,931 | | $ | 7,990 | |
| Gross credit losses on loans | | | | | |
| Consumer | | | | | |
| In U.S. offices | $ | 1,117 | | $ | 1,247 | | $ | 1,130 | | $ | 1,479 | | $ | 1,675 | |
| In offices outside the U.S. | 576 | | 758 | | 524 | | 537 | | 506 | |
| Corporate | | | | | |
| In U.S. offices | 56 | | 156 | | 159 | | 194 | | 177 | |
| In offices outside the U.S. | 95 | | 47 | | 76 | | 157 | | 170 | |
| Total | $ | 1,844 | | $ | 2,208 | | $ | 1,889 | | $ | 2,367 | | $ | 2,528 | |
Credit recoveries on loans(1) | | | | | |
| Consumer | | | | | |
| In U.S. offices | $ | 323 | | $ | 316 | | $ | 270 | | $ | 304 | | $ | 235 | |
| In offices outside the U.S. | 139 | | 127 | | 122 | | 118 | | 109 | |
| Corporate | | | | | |
| In U.S. offices | 40 | | 10 | | 16 | | 8 | | 12 | |
| In offices outside the U.S. | 22 | | 7 | | 9 | | 18 | | 11 | |
| Total | $ | 524 | | $ | 460 | | $ | 417 | | $ | 448 | | $ | 367 | |
| Net credit losses on loans (NCLs) | | | | | |
| In U.S. offices | $ | 810 | | $ | 1,077 | | $ | 1,003 | | $ | 1,361 | | $ | 1,605 | |
| In offices outside the U.S. | 510 | | 671 | | 469 | | 558 | | 556 | |
| Total | $ | 1,320 | | $ | 1,748 | | $ | 1,472 | | $ | 1,919 | | $ | 2,161 | |
Other—net(2)(3)(4)(5)(6)(7) | $ | 46 | | $ | (91) | | $ | 378 | | $ | 116 | | $ | 89 | |
| Allowance for credit losses on loans (ACLL) at end of period | $ | 19,238 | | $ | 21,638 | | $ | 24,956 | | $ | 26,426 | | $ | 26,298 | |
ACLL as a percentage of EOP loans(8) | 2.88 | % | 3.29 | % | 3.73 | % | 4.00 | % | 3.87 | % |
Allowance for credit losses on unfunded lending commitments (ACLUC)(9)(10) | $ | 2,073 | | $ | 2,012 | | $ | 2,655 | | $ | 2,299 | | $ | 1,859 | |
| Total ACLL and ACLUC | $ | 21,311 | | $ | 23,650 | | $ | 27,611 | | $ | 28,725 | | $ | 28,157 | |
| Net consumer credit losses on loans | $ | 1,231 | | $ | 1,562 | | $ | 1,262 | | $ | 1,594 | | $ | 1,837 | |
| As a percentage of average consumer loans | 1.80 | % | 2.28 | % | 1.77 | % | 2.26 | % | 2.63 | % |
| Net corporate credit losses on loans | $ | 89 | | $ | 186 | | $ | 210 | | $ | 325 | | $ | 324 | |
| As a percentage of average corporate loans | 0.09 | % | 0.20 | % | 0.22 | % | 0.33 | % | 0.31 | % |
ACLL by type at end of period(11) | | | | | |
| Consumer | $ | 16,111 | | $ | 17,554 | | $ | 19,554 | | $ | 19,488 | | $ | 19,474 | |
| Corporate | 3,127 | | 4,084 | | 5,402 | | 6,938 | | 6,824 | |
| Total | $ | 19,238 | | $ | 21,638 | | $ | 24,956 | | $ | 26,426 | | $ | 26,298 | |
(1)Citi had a change in accounting related to its variable post-charge-off third-party collection costs that was recorded as an adjustment to its January 1, 2020 opening allowance for credit losses on loans of $443 million. See Note 1 to the Consolidated Financial Statements.
(2)Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.
(3)The second quarter of 2021 includes an increase of approximately $62 million related to FX translation.
(4)The first quarter of 2021 includes a decrease of approximately $108 million related to FX translation.
(5)The fourth quarter of 2020 includes an increase of approximately $376 million related to FX translation.
(6)The third quarter of 2020 includes an increase of approximately $116 million related to FX translation.
(7)The second quarter of 2020 includes an increase of approximately $88 million related to FX translation.
|
| | | | | | | | | | | | | | | |
| | 3rd Qtr. | 2nd Qtr. | 1st Qtr. | 4th Qtr. | 3rd Qtr. |
| In millions of dollars | 2017 | 2017 | 2016 | 2016 | 2016 |
| Allowance for loan losses at beginning of period | $ | 12,025 |
| $ | 12,030 |
| $ | 12,060 |
| $ | 12,439 |
| $ | 12,304 |
|
| Provision for loan losses | | | | | |
| Consumer | $ | 2,142 |
| $ | 1,620 |
| $ | 1,816 |
| $ | 1,659 |
| $ | 1,815 |
|
| Corporate | 4 |
| 46 |
| (141 | ) | 68 |
| (69 | ) |
| Total | $ | 2,146 |
| $ | 1,666 |
| $ | 1,675 |
| $ | 1,727 |
| $ | 1,746 |
|
| Gross credit losses | | | | | |
| Consumer | | | | | |
| In U.S. offices | $ | 1,429 |
| $ | 1,437 |
| $ | 1,444 |
| $ | 1,343 |
| $ | 1,181 |
|
| In offices outside the U.S. | 642 |
| 597 |
| 597 |
| 605 |
| 702 |
|
| Corporate | | | | | |
| In U.S. offices | 15 |
| 72 |
| 48 |
| 32 |
| 29 |
|
| In offices outside the U.S. | 34 |
| 24 |
| 55 |
| 103 |
| 36 |
|
| Total | $ | 2,120 |
| $ | 2,130 |
| $ | 2,144 |
| $ | 2,083 |
| $ | 1,948 |
|
Credit recoveries(1) | | | | | |
| Consumer | | | | | |
| In U.S. offices | $ | 167 |
| $ | 266 |
| $ | 242 |
| $ | 235 |
| $ | 227 |
|
| In offices outside the U.S. | 170 |
| 135 |
| 127 |
| 137 |
| 173 |
|
| Corporate | | | | | |
| In U.S. offices | 2 |
| 15 |
| 2 |
| 2 |
| 16 |
|
| In offices outside the U.S. | 4 |
| 4 |
| 64 |
| 13 |
| 7 |
|
| Total | $ | 343 |
| $ | 420 |
| $ | 435 |
| $ | 387 |
| $ | 423 |
|
| Net credit losses | | | | | |
| In U.S. offices | $ | 1,275 |
| $ | 1,228 |
| $ | 1,248 |
| $ | 1,138 |
| $ | 967 |
|
| In offices outside the U.S. | 502 |
| 482 |
| 461 |
| 558 |
| 558 |
|
| Total | $ | 1,777 |
| $ | 1,710 |
| $ | 1,709 |
| $ | 1,696 |
| $ | 1,525 |
|
Other—net(2)(3)(4)(5)(6)(7) | $ | (28 | ) | $ | 39 |
| $ | 4 |
| $ | (410 | ) | $ | (86 | ) |
| Allowance for loan losses at end of period | $ | 12,366 |
| $ | 12,025 |
| $ | 12,030 |
| $ | 12,060 |
| $ | 12,439 |
|
Allowance for loan losses as a percentage of total loans(8) | 1.91 | % | 1.88 | % | 1.93 | % | 1.94 | % | 1.97 | % |
Allowance for unfunded lending commitments(9) | $ | 1,232 |
| $ | 1,406 |
| $ | 1,377 |
| $ | 1,418 |
| $ | 1,388 |
|
| Total allowance for loan losses and unfunded lending commitments | $ | 13,598 |
| $ | 13,431 |
| $ | 13,407 |
| $ | 13,478 |
| $ | 13,827 |
|
| Net consumer credit losses | $ | 1,734 |
| $ | 1,633 |
| $ | 1,672 |
| $ | 1,576 |
| $ | 1,483 |
|
| As a percentage of average consumer loans | 2.11 | % | 2.04 | % | 2.11 | % | 1.95 | % | 1.80 | % |
| Net corporate credit losses | $ | 43 |
| $ | 77 |
| $ | 37 |
| $ | 120 |
| $ | 42 |
|
| As a percentage of average corporate loans | 0.05 | % | 0.10 | % | 0.05 | % | 0.16 | % | 0.05 | % |
Allowance by type at end of period(10) | | | | | |
| Consumer | $ | 9,892 |
| $ | 9,515 |
| $ | 9,495 |
| $ | 9,358 |
| $ | 9,673 |
|
| Corporate | 2,474 |
| 2,510 |
| 2,535 |
| 2,702 |
| 2,766 |
|
| Total | $ | 12,366 |
| $ | 12,025 |
| $ | 12,030 |
| $ | 12,060 |
| $ | 12,439 |
|
| |
(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 third quarter of 2017 includes a reduction of approximately $34 million related to the sale or transfer to held-for-sale (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. |
| |
(4) | 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. |
| |
(5) | The first quarter of 2017 includes a reduction of approximately $161 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $37 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the first quarter includes an increase of approximately $164 million related to FX translation. |
(8)June 30, 2021, March 31, 2021, December 31, 2020, September 30, 2020 and June 30, 2020 exclude $7.7 billion, $7.5 billion, $6.9 billion, $5.5 billion and $5.8 billion, respectively, of loans that are carried at fair value.
| |
(6) | 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. |
| |
(7) | 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. |
| |
(8) | September 30, 2017, June 30, 2017, March 31, 2017, December 31, 2016 and September 30, 2016 exclude $4.3 billion, $4.2 billion, $4.0 billion, $3.5 billion and $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 2016 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. |
(9)At June 30, 2020, the corporate ACLUC includes a non-provision transfer of $68 million, representing reserves on performance guarantees as of March 31, 2020. The reserves on these contracts have been reclassified out of the allowance for credit losses on unfunded lending commitments and into other liabilities as of June 30, 2020.
(10)Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(11)See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.
Allowance for LoanCredit Losses on Loans (ACLL)
The following tables detail information on Citi’s allowance for loan losses,ACLL, loans and coverage ratios:
| | | | | | | | | | | |
| | June 30, 2021 |
| In billions of dollars | ACLL | EOP loans, net of
unearned income | ACLL as a percentage of EOP loans(1) |
North America cards(2) | $ | 12.5 | | $ | 124.8 | | 10.0 | % |
North America mortgages(3) | 0.4 | | 51.0 | | 0.8 | |
North America other | 0.2 | | 3.7 | | 5.4 | |
| International cards | 1.6 | | 20.8 | | 7.7 | |
International other(4) | 1.4 | | 75.6 | | 1.9 | |
| Total consumer | $ | 16.1 | | $ | 275.9 | | 5.8 | % |
| Total corporate | 3.1 | | 400.9 | | 0.8 | |
| Total Citigroup | $ | 19.2 | | $ | 676.8 | | 2.9 | % |
(1)Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)Includes both Citi-branded cards and Citi retail services. The $12.5 billion of loan loss reserves represented approximately 47 months of coincident net credit loss coverage. As of June 30, 2021, North America Citi-branded cards ACLL as a percentage of EOP loans was 8.6% and North America Citi retail services ACLL as a percentage of EOP loans was 12.7%.
(3)Of the $0.4 billion, approximately $0.1 billion was allocated to North America mortgages in Corporate/Other, including approximately $0.3 billion and $0.1 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $51.0 billion in loans, approximately $49.3 billion and $1.7 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.
| | | | | | | | | | | |
| | December 31, 2020 |
| In billions of dollars | ACLL | EOP loans, net of
unearned income | ACLL as a percentage of EOP loans(1) |
North America cards(2) | $ | 14.7 | | $ | 130.4 | | 11.3 | % |
North America mortgages(3) | 0.7 | | 54.9 | | 1.3 | |
North America other | 0.3 | | 4.5 | | 6.7 | |
| International cards | 2.1 | | 22.7 | | 9.3 | |
International other(4) | 1.8 | | 76.3 | | 2.4 | |
| Total consumer | $ | 19.6 | | $ | 288.8 | | 6.8 | % |
| Total corporate | 5.4 | | 387.1 | | 1.4 | |
| Total Citigroup | $ | 25.0 | | $ | 675.9 | | 3.7 | % |
(1)Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)Includes both Citi-branded cards and Citi retail services. The $14.7 billion of loan loss reserves represented approximately 53 months of coincident net credit loss coverage. As of December 31, 2020, North America Citi-branded cards ACLL as a percentage of EOP loans was 10.0% and North America Citi retail services ACLL as a percentage of EOP loans was 13.6%.
(3)Of the $0.7 billion, approximately $0.3 billion was allocated to North America mortgages in Corporate/Other, including approximately $0.5 billion and $0.2 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $54.9 billion in loans, approximately $53.0 billion and $1.9 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.
|
| | | | | | | | |
| | September 30, 2017 |
| In billions of dollars | Allowance for loan losses | Loans, net of unearned income | Allowance as a percentage of loans(1) |
North America cards(2) | $ | 6.0 |
| $ | 132.2 |
| 4.5 | % |
North America mortgages(3) | 0.8 |
| 65.8 |
| 1.2 |
|
North America other | 0.2 |
| 13.0 |
| 1.5 |
|
| International cards | 1.4 |
| 24.9 |
| 5.6 |
|
International other(4) | 1.5 |
| 89.7 |
| 1.7 |
|
| Total consumer | $ | 9.9 |
| $ | 325.6 |
| 3.0 | % |
| Total corporate | 2.5 |
| 327.6 |
| 0.8 |
|
| Total Citigroup | $ | 12.4 |
| $ | 653.2 |
| 1.9 | % |
| |
(1) | Allowance as a percentage of loans excludes loans that are carried at fair value. |
| |
(2) | Includes both Citi-branded cards and Citi retail services. The $6.0 billion of loan loss reserves represented approximately 16 months of coincident net credit loss coverage. |
| |
(3) | Of the $0.8 billion, approximately $0.7 billion was allocated to North America mortgages in Corporate/Other. Of the $0.8 billion, approximately $0.3 billion and $0.5 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $65.8 billion in loans, approximately $61.9 billion and $3.8 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
|
| |
(4) | Includes mortgages and other retail loans. |
| | | | | | | | | | | |
| June 30, 2021 |
| In millions of dollars, except percentages | Funded exposure(1) | ACLL(2)(3) | ACLL as a % of funded exposure |
| Transportation and industrials | $ | 54,096 | | $ | 843 | | 1.6 | % |
| Private bank | 82,227 | | 170 | | 0.2 | |
| Consumer retail | 34,137 | | 314 | | 0.9 | |
| Technology, media and telecom | 28,947 | | 239 | | 0.8 | |
| Real estate | 44,674 | | 450 | | 1.0 | |
| Power, chemicals, metals and mining | 21,059 | | 170 | | 0.8 | |
| Banks and finance companies | 33,696 | | 64 | | 0.2 | |
| Energy and commodities | 14,418 | | 258 | | 1.8 | |
| Health | 7,963 | | 96 | | 1.2 | |
| Public sector | 14,181 | | 158 | | 1.1 | |
| Insurance | 2,383 | | 8 | | 0.3 | |
| Asset managers and funds | 6,330 | | 20 | | 0.3 | |
| Financial markets infrastructure | 177 | | — | | — | |
| Securities firms | 580 | | 8 | | 1.4 | |
| Other industries | 1,848 | | 20 | | 1.1 | |
| Total | $ | 346,716 | | $ | 2,818 | | 0.8 | % |
(1) Funded exposure excludes approximately $46.5 billion, primarily related to the delinquency-managed credit portfolio of the private bank, with an associated ACLL of $309 million and $7.7 billion of loans at fair value that are not subject to ACLL under the CECL standard.
(2) As of June 30, 2021, the ACLL shown above reflects coverage of 0.3% of funded investment-grade exposure and 2.6% of funded non-investment-grade exposure.
(3) Excludes $309 million of ACLL associated with delinquency-managed private bank exposures at June 30, 2021. Including those reserves and exposures, the total ACLL is 0.8% of total funded exposure, including 0.3% of funded investment-grade exposure and 2.6% of funded non-investment-grade exposure.
|
| | | | | | | | |
| | December 31, 2016 |
| In billions of dollars | Allowance for loan losses | Loans, net of unearned income | Allowance as a percentage of loans(1) |
North America cards(2) | $ | 5.2 |
| $ | 133.3 |
| 3.9 | % |
North America mortgages(3) | 1.1 |
| 72.6 |
| 1.5 |
|
North America other | 0.5 |
| 13.6 |
| 3.7 |
|
| International cards | 1.2 |
| 23.1 |
| 5.2 |
|
International other(4) | 1.4 |
| 82.8 |
| 1.7 |
|
| Total consumer | $ | 9.4 |
| $ | 325.4 |
| 2.9 | % |
| Total corporate | 2.7 |
| 299.0 |
| 0.9 |
|
| Total Citigroup | $ | 12.1 |
| $ | 624.4 |
| 1.9 | % |
| |
(1) | Allowance as a percentage of loans excludes loans that are carried at fair value. |
| |
(2) | Includes both Citi-branded cards and Citi retail services. The $5.2 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage. |
| |
(3) | Of the $1.1 billion, approximately $1.0 billion was allocated to North America mortgages in Corporate/Other. Of the $1.1 billion, approximately $0.4 billion and $0.7 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $72.6 billion in loans, approximately $67.7 billion and $4.8 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 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 amongFor additional information on Citi’s non-accrual loans and assets and renegotiated loans. The following summary provides a general description of each category:loans, see “Non-Accrual Loans and Assets and Renegotiated Loans” in Citi’s 2020 Annual Report on Form 10-K.
Non-Accrual Loans and Assets:
Corporate and consumer (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 69% and 67% of Citi’s corporate non-accrual loans were performing at September 30, 2017 and June 30, 2017, respectively.
Consumer non-accrual status is generally based on aging, i.e., the borrower has fallen behind on payments.
Consumer mortgage loans, other than Federal Housing Administration (FHA) insured loans, are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy. In addition, home equity loans are classified as non-accrual if the related residential first mortgage loan is 90 days or more past due.
North America Citi-branded cards and Citi retail services are not included because, under industry standards, credit card loans accrue interest until such loans are charged off, which typically occurs at 180 days contractual delinquency.
Renegotiated Loans:
Includes both corporate and consumer loans whose terms have been modified in a troubled debt restructuring (TDR).
Includes both accrual and non-accrual TDRs.
Non-Accrual Loans and Assets
The table below summarizes Citigroup’s non-accrual loans as of the periods indicated. Non-accrual loans may still be current on interest payments. In situations where Citi reasonably expects that only a portion of the principal owed will ultimately be collected, all payments received are reflected as a reduction of principal and not as interest income. For all other non-accrual loans, cash interest receipts are generally recorded as revenue.
| | | | Sept. 30, | Jun. 30, | Mar. 31, | Dec. 31, | Sept. 30, | | Jun. 30, | Mar. 31, | Dec. 31, | Sept. 30, | Jun. 30, |
| In millions of dollars | 2017 | 2017 | 2016 | In millions of dollars | 2021 | 2021 | 2020 |
Corporate non-accrual loans(1) | | |
Corporate non-accrual loans(1)(2) | | Corporate non-accrual loans(1)(2) | |
| North America | $ | 915 |
| $ | 944 |
| $ | 993 |
| $ | 984 |
| $ | 1,057 |
| North America | $ | 1,154 | | $ | 1,566 | | $ | 1,928 | | $ | 2,018 | | $ | 2,466 | |
| EMEA | 681 |
| 727 |
| 828 |
| 904 |
| 857 |
| EMEA | 480 | | 591 | | 661 | | 720 | | 812 | |
| Latin America | 312 |
| 281 |
| 342 |
| 379 |
| 380 |
| Latin America | 767 | | 739 | | 719 | | 609 | | 585 | |
| Asia | 146 |
| 146 |
| 176 |
| 154 |
| 121 |
| Asia | 175 | | 210 | | 219 | | 237 | | 153 | |
| Total corporate non-accrual loans | $ | 2,054 |
| $ | 2,098 |
| $ | 2,339 |
| $ | 2,421 |
| $ | 2,415 |
| Total corporate non-accrual loans | $ | 2,576 | | $ | 3,106 | | $ | 3,527 | | $ | 3,584 | | $ | 4,016 | |
Consumer non-accrual loans(1) | | |
| Consumer non-accrual loans | | Consumer non-accrual loans | |
| North America | $ | 1,721 |
| $ | 1,754 |
| $ | 1,926 |
| $ | 2,160 |
| $ | 2,429 |
| North America | $ | 879 | | $ | 961 | | $ | 1,059 | | $ | 934 | | $ | 928 | |
| Latin America | 791 |
| 793 |
| 737 |
| 711 |
| 841 |
| Latin America | 612 | | 720 | | 774 | | 493 | | 608 | |
Asia(2) | 271 |
| 301 |
| 292 |
| 287 |
| 282 |
| |
Asia(3) | | Asia(3) | 315 | | 303 | | 308 | | 263 | | 293 | |
| Total consumer non-accrual loans | $ | 2,783 |
| $ | 2,848 |
| $ | 2,955 |
| $ | 3,158 |
| $ | 3,552 |
| Total consumer non-accrual loans | $ | 1,806 | | $ | 1,984 | | $ | 2,141 | | $ | 1,690 | | $ | 1,829 | |
| Total non-accrual loans | $ | 4,837 |
| $ | 4,946 |
| $ | 5,294 |
| $ | 5,579 |
| $ | 5,967 |
| Total non-accrual loans | $ | 4,382 | | $ | 5,090 | | $ | 5,668 | | $ | 5,274 | | $ | 5,845 | |
| |
(1) | Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $177 million at September 30, 2017, $183 million at June 30, 2017, $194 million at March 31, 2017, $187 million at December 31, 2016 and $194 million at September 30, 2016. |
(1)Approximately 52%, 51%, 59%, 58% and 63% of Citi’s corporate non-accrual loans were performing at June 30, 2021, March 31, 2021, December 31, 2020, September 30, 2020 and June 30, 2020, respectively.
(2)The June 30, 2021 corporate non-accrual loans represented 0.66% oftotal corporate loans.
(3) Asia GCB includes balances in certain EMEA countries for all periods presented.
The changes in Citigroup’s non-accrual loans were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Three Months Ended | Three Months Ended |
| June 30, 2021 | June 30, 2020 |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Non-accrual loans at beginning of quarter | $ | 3,106 | | $ | 1,984 | | $ | 5,090 | | $ | 2,484 | | $ | 1,699 | | $ | 4,183 | |
| Additions | 502 | | 526 | | 1,028 | | 2,414 | | 638 | | 3,052 | |
| Sales and transfers to HFS | (320) | | (24) | | (344) | | — | | (11) | | (11) | |
| Returned to performing | (12) | | (163) | | (175) | | (69) | | (113) | | (182) | |
| Paydowns/settlements | (657) | | (200) | | (857) | | (802) | | (109) | | (911) | |
| Charge-offs | (58) | | (334) | | (392) | | (41) | | (278) | | (319) | |
| Other | 15 | | 17 | | 32 | | 30 | | 3 | | 33 | |
| Ending balance | $ | 2,576 | | $ | 1,806 | | $ | 4,382 | | $ | 4,016 | | $ | 1,829 | | $ | 5,845 | |
| Six Months Ended | Six Months Ended |
| June 30, 2021 | June 30, 2020 |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Non-accrual loans at beginning of year | $ | 3,527 | | $ | 2,141 | | $ | 5,668 | | $ | 2,188 | | $ | 1,816 | | $ | 4,004 | |
| Additions | 993 | | 1,208 | | 2,201 | | 3,230 | | 1,590 | | 4,820 | |
| Sales and transfers to HFS | (376) | | (82) | | (458) | | (1) | | (31) | | (32) | |
| Returned to performing | (58) | | (352) | | (410) | | (117) | | (204) | | (321) | |
| Paydowns/settlements | (1,375) | | (320) | | (1,695) | | (1,156) | | (433) | | (1,589) | |
| Charge-offs | (133) | | (779) | | (912) | | (132) | | (605) | | (737) | |
| Other | (2) | | (10) | | (12) | | 4 | | (304) | | (300) | |
| Ending balance | $ | 2,576 | | $ | 1,806 | | $ | 4,382 | | $ | 4,016 | | $ | 1,829 | | $ | 5,845 | |
|
| | | | | | | | | | | | | | | | | | |
| | Three Months Ended | Three Months Ended |
| | September 30, 2017 | September 30, 2016 |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Non-accrual loans at beginning of period | $ | 2,098 |
| $ | 2,848 |
| $ | 4,946 |
| $ | 2,460 |
| $ | 3,705 |
| $ | 6,165 |
|
| Additions | 190 |
| 1,042 |
| 1,232 |
| 469 |
| 1,131 |
| 1,600 |
|
| Sales and transfers to held-for-sale | (1 | ) | (69 | ) | (70 | ) | (4 | ) | (102 | ) | (106 | ) |
| Returned to performing | (2 | ) | (133 | ) | (135 | ) | (58 | ) | (149 | ) | (207 | ) |
| Paydowns/settlements | (196 | ) | (291 | ) | (487 | ) | (433 | ) | (562 | ) | (995 | ) |
| Charge-offs | (33 | ) | (611 | ) | (644 | ) | (24 | ) | (455 | ) | (479 | ) |
| Other | (2 | ) | (3 | ) | (5 | ) | 5 |
| (16 | ) | (11 | ) |
| Ending balance | $ | 2,054 |
| $ | 2,783 |
| $ | 4,837 |
| $ | 2,415 |
| $ | 3,552 |
| $ | 5,967 |
|
|
| | | | | | | | | | | | | | | | | | |
| | Nine Months Ended | Nine Months Ended |
| | September 30, 2017 | September 30, 2016 |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Non-accrual loans at beginning of period | $ | 2,421 |
| $ | 3,158 |
| $ | 5,579 |
| $ | 1,596 |
| $ | 3,658 |
| $ | 5,254 |
|
| Additions | 754 |
| 2,563 |
| 3,317 |
| 2,346 |
| 3,371 |
| 5,717 |
|
| Sales and transfers to held-for-sale | (83 | ) | (286 | ) | (369 | ) | (13 | ) | (473 | ) | (486 | ) |
| Returned to performing | (42 | ) | (462 | ) | (504 | ) | (141 | ) | (434 | ) | (575 | ) |
| Paydowns/settlements | (843 | ) | (856 | ) | (1,699 | ) | (1,022 | ) | (1,203 | ) | (2,225 | ) |
| Charge-offs | (102 | ) | (1,452 | ) | (1,554 | ) | (277 | ) | (1,353 | ) | (1,630 | ) |
| Other | (51 | ) | 118 |
| 67 |
| (74 | ) | (14 | ) | (88 | ) |
| Ending balance | $ | 2,054 |
| $ | 2,783 |
| $ | 4,837 |
| $ | 2,415 |
| $ | 3,552 |
| $ | 5,967 |
|
The tablestable below summarizesummarizes Citigroup’s other real estate owned (OREO) assets as ofassets. OREO is recorded on the periods indicated.Consolidated Balance Sheet within Other assets. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:
| | | | | | | | | | | | | | | | | |
| Jun. 30, | Mar. 31, | Dec. 31, | Sept. 30, | Jun. 30, |
| In millions of dollars | 2021 | 2021 | 2020 | 2020 | 2020 |
| OREO | | | | | |
| North America | $ | 12 | | $ | 14 | | $ | 19 | | $ | 22 | | $ | 32 | |
| EMEA | — | | — | | — | | — | | — | |
| Latin America | 11 | | 10 | | 7 | | 8 | | 6 | |
| Asia | 10 | | 19 | | 17 | | 12 | | 6 | |
| Total OREO | $ | 33 | | $ | 43 | | $ | 43 | | $ | 42 | | $ | 44 | |
| | | | | |
| Non-accrual assets | | | | | |
| Corporate non-accrual loans | $ | 2,576 | | $ | 3,106 | | $ | 3,527 | | $ | 3,584 | | $ | 4,016 | |
| Consumer non-accrual loans | 1,806 | | 1,984 | | 2,141 | | 1,690 | | 1,829 | |
| Non-accrual loans (NAL) | $ | 4,382 | | $ | 5,090 | | $ | 5,668 | | $ | 5,274 | | $ | 5,845 | |
| OREO | $ | 33 | | $ | 43 | | $ | 43 | | $ | 42 | | $ | 44 | |
| Non-accrual assets (NAA) | $ | 4,415 | | $ | 5,133 | | $ | 5,711 | | $ | 5,316 | | $ | 5,889 | |
| NAL as a percentage of total loans | 0.65 | % | 0.76 | % | 0.84 | % | 0.79 | % | 0.85 | % |
| NAA as a percentage of total assets | 0.19 | | 0.22 | | 0.25 | | 0.24 | | 0.26 | |
ACLL as a percentage of NAL(1) | 439 | % | 425 | % | 440 | % | 501 | % | 450 | % |
(1)The ACLL 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).
|
| | | | | | | | | | | | | | | |
| | Sept. 30, | Jun. 30, | Mar. 31, | Dec. 31, | Sept. 30, |
| In millions of dollars | 2017 | 2017 | 2016 | 2016 | 2016 |
| OREO | | | | | |
| North America | $ | 97 |
| $ | 128 |
| $ | 136 |
| $ | 161 |
| $ | 132 |
|
| EMEA | 1 |
| 1 |
| 1 |
| — |
| 1 |
|
| Latin America | 30 |
| 31 |
| 31 |
| 18 |
| 18 |
|
| Asia | 15 |
| 8 |
| 5 |
| 7 |
| 10 |
|
| Total OREO | $ | 143 |
| $ | 168 |
| $ | 173 |
| $ | 186 |
| $ | 161 |
|
| Non-accrual assets |
|
|
|
|
|
| Corporate non-accrual loans | $ | 2,054 |
| $ | 2,098 |
| $ | 2,339 |
| $ | 2,421 |
| $ | 2,415 |
|
| Consumer non-accrual loans | 2,783 |
| 2,848 |
| 2,955 |
| 3,158 |
| 3,552 |
|
| Non-accrual loans (NAL) | $ | 4,837 |
| $ | 4,946 |
| $ | 5,294 |
| $ | 5,579 |
| $ | 5,967 |
|
| OREO | $ | 143 |
| $ | 168 |
| $ | 173 |
| $ | 186 |
| $ | 161 |
|
| Non-accrual assets (NAA) | $ | 4,980 |
| $ | 5,114 |
| $ | 5,467 |
| $ | 5,765 |
| $ | 6,128 |
|
| NAL as a percentage of total loans | 0.74 | % | 0.77 | % | 0.84 | % | 0.89 | % | 0.93 | % |
| NAA as a percentage of total assets | 0.26 |
| 0.27 |
| 0.30 |
| 0.32 |
| 0.34 |
|
Allowance for loan losses as a percentage of NAL(1) | 256 |
| 243 |
| 227 |
| 216 |
| 208 |
|
| |
(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:
| | | | | | | | |
| In millions of dollars | Jun. 30, 2021 | Dec. 31, 2020 |
Corporate renegotiated loans(1) | | |
| In U.S. offices | | |
Commercial and industrial(2) | $ | 150 | | $ | 193 | |
| Mortgage and real estate | 53 | | 60 | |
| Financial institutions | — | | — | |
| Other | 28 | | 30 | |
| Total | $ | 231 | | $ | 283 | |
| In offices outside the U.S. | | |
Commercial and industrial(2) | $ | 148 | | $ | 132 | |
| Mortgage and real estate | 27 | | 32 | |
| Financial institutions | — | | — | |
| Other | 10 | | 3 | |
| Total | $ | 185 | | $ | 167 | |
| Total corporate renegotiated loans | $ | 416 | | $ | 450 | |
Consumer renegotiated loans(3) | | |
| In U.S. offices | | |
| Mortgage and real estate | $ | 1,677 | | $ | 1,904 | |
| Cards | 1,412 | | 1,449 | |
| Installment and other | 30 | | 33 | |
| Total | $ | 3,119 | | $ | 3,386 | |
| In offices outside the U.S. | | |
| Mortgage and real estate | $ | 363 | | $ | 361 | |
| Cards | 494 | | 533 | |
| Installment and other | 493 | | 519 | |
| Total | $ | 1,350 | | $ | 1,413 | |
| Total consumer renegotiated loans | $ | 4,469 | | $ | 4,799 | |
(1)Includes $389 million and $415 million of non-accrual loans included in the non-accrual loans table above at June 30, 2021 and December 31, 2020, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at June 30, 2021 and December 31, 2020, Citi also modified zero and $47 million, respectively, of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices outside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession or because the modifications qualified for exemptions from TDR accounting provided by the CARES Act or the interagency guidance.
(3)Includes $806 million and $873 million of non-accrual loans included in the non-accrual loans table above at June 30, 2021 and December 31, 2020, respectively. The remaining loans were accruing interest.
|
| | | | | | |
| In millions of dollars | Sept. 30, 2017 | Dec. 31, 2016 |
Corporate renegotiated loans(1) | | |
| In U.S. offices | | |
Commercial and industrial(2) | $ | 285 |
| $ | 89 |
|
| Mortgage and real estate | 78 |
| 84 |
|
| Loans to financial institutions | 8 |
| 9 |
|
| Other | 155 |
| 228 |
|
| | $ | 526 |
| $ | 410 |
|
| In offices outside the U.S. | | |
Commercial and industrial(2) | $ | 401 |
| $ | 319 |
|
| Mortgage and real estate | 7 |
| 3 |
|
| Loans to financial institutions | 15 |
| — |
|
| | $ | 423 |
| $ | 322 |
|
| Total corporate renegotiated loans | $ | 949 |
| $ | 732 |
|
Consumer renegotiated loans(3)(4)(5) | | |
| In U.S. offices | | |
Mortgage and real estate(6) | $ | 3,812 |
| $ | 4,695 |
|
| Cards | 1,295 |
| 1,313 |
|
| Installment and other | 176 |
| 117 |
|
| | $ | 5,283 |
| $ | 6,125 |
|
| In offices outside the U.S. | | |
| Mortgage and real estate | $ | 337 |
| $ | 447 |
|
| Cards | 525 |
| 435 |
|
| Installment and other | 414 |
| 443 |
|
| | $ | 1,276 |
| $ | 1,325 |
|
| Total consumer renegotiated loans | $ | 6,559 |
| $ | 7,450 |
|
| |
(1) | Includes $769 million and $445 million of non-accrual loans included in the non-accrual loans table above at September 30, 2017 and December 31, 2016, respectively. The remaining loans are accruing interest. |
| |
(2) | In addition to modifications reflected as TDRs at September 30, 2017, Citi also modified $86 million of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators), all within offices in the U.S. These modifications were not considered TDRs because the modifications did not involve a concession. |
| |
(3) | Includes $1,368 million and $1,502 million of non-accrual loans included in the non-accrual loans table above at September 30, 2017 and December 31, 2016, respectively. The remaining loans are accruing interest. |
| |
(4) | Includes $42 million and $58 million of commercial real estate loans at September 30, 2017 and December 31, 2016, respectively. |
| |
(5) | Includes $162 million and $105 million of other commercial loans at September 30, 2017 and December 31, 2016, respectively. |
| |
(6) | Reduction in the nine months ended September 30, 2017 includes $778 million related to TDRs sold or transferred to held-for-sale. |
LIQUIDITY RISK
For additional information on funding and liquidity at Citigroup, including its objectives, management and measurement, see “Liquidity Risk” and “Risk Factors”Factors—Liquidity Risks” in Citi’s 20162020 Annual Report on Form 10-K.
High-Quality Liquid Assets (HQLA)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Citibank | Citi non-bank and other entities | Total |
| In billions of dollars | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 |
| Available cash | $ | 259.3 | | $ | 276.6 | | $ | 273.8 | | $ | 2.8 | | $ | 3.0 | | $ | 2.9 | | $ | 262.2 | | $ | 279.6 | | $ | 276.7 | |
| U.S. sovereign | 91.1 | | 85.0 | | 67.5 | | 61.5 | | 67.7 | | 42.2 | | 152.6 | | 152.7 | | 109.7 | |
| U.S. agency/agency MBS | 41.5 | | 37.0 | | 36.4 | | 5.2 | | 6.3 | | 7.0 | | 46.7 | | 43.3 | | 43.4 | |
Foreign government debt(1) | 47.2 | | 43.6 | | 46.6 | | 12.0 | | 13.7 | | 11.4 | | 59.2 | | 57.3 | | 58.0 | |
| Other investment grade | 1.5 | | 1.4 | | 1.3 | | 0.3 | | 0.6 | | 0.7 | | 1.9 | | 2.0 | | 2.0 | |
| Total HQLA (AVG) | $ | 440.7 | | $ | 443.6 | | $ | 425.6 | | $ | 81.8 | | $ | 91.3 | | $ | 64.2 | | $ | 522.6 | | $ | 534.8 | | $ | 489.8 | |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Citibank | Non-Bank and Other(1) | Total |
| In billions of dollars | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 |
| Available cash | $ | 89.8 |
| $ | 78.5 |
| $ | 71.1 |
| $ | 25.7 |
| $ | 35.0 |
| $ | 19.2 |
| $ | 115.5 |
| $ | 113.5 |
| $ | 90.2 |
|
| U.S. sovereign | 114.5 |
| 110.6 |
| 122.3 |
| 28.6 |
| 23.2 |
| 21.8 |
| 143.1 |
| 133.8 |
| 144.1 |
|
| U.S. agency/agency MBS | 80.4 |
| 63.2 |
| 62.6 |
| 0.3 |
| 1.1 |
| 0.2 |
| 80.7 |
| 64.3 |
| 62.8 |
|
Foreign government debt(2) | 82.2 |
| 102.4 |
| 89.2 |
| 17.3 |
| 17.7 |
| 15.5 |
| 99.6 |
| 120.1 |
| 104.7 |
|
| Other investment grade | 0.7 |
| 0.4 |
| 1.0 |
| 1.2 |
| 1.2 |
| 1.5 |
| 1.9 |
| 1.6 |
| 2.5 |
|
| Total HQLA (EOP) | $ | 367.6 |
| $ | 355.1 |
| $ | 346.2 |
| $ | 73.1 |
| $ | 78.1 |
| $ | 58.2 |
| $ | 440.8 |
| $ | 433.2 |
| $ | 404.3 |
|
| Total HQLA (AVG) | $ | 371.0 |
| $ | 354.0 |
| $ | 344.0 |
| $ | 77.6 |
| $ | 70.4 |
| $ | 59.8 |
| $ | 448.6 |
| $ | 424.4 |
| $ | 403.8 |
|
Note: Except as indicated,The amounts set forth in the table above are as of period end and may increase or decrease intra-period in the ordinary course of business.presented on an average basis. For securities, the amounts represent the liquidity value that potentially could be realized and, therefore, exclude any securities that are encumbered and incorporate any haircuts that would be required for secured funding transactions.
| |
(1) | Citibanamex and Citibank (Switzerland) AG account for approximately $6 billion of the “Non-Bank and Other” HQLA balance as of September 30, 2017. |
| |
(2) | Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt securities are held largely to support local liquidity requirements and Citi’s local franchises, and principally include government bonds from Hong Kong, Korea, Taiwan, Singapore, India, Brazil and Mexico. |
As set forth inapplicable under the U.S. LCR rule. The table above sequentially, Citi’s total HQLA increased on both an average and end-of-period basis, predominantly driven by changes in eligibility assumptions relating to certain assets. On an average basis,incorporates various restrictions that could limit the sequential increase in Citi’s total HQLA was also impacted by an increase in average cash.
Citi’s HQLA as set forth above does not include Citi’s available borrowing capacity from the Federal Home Loan Banks (FHLBs)transferability of which Citi is a member, which was approximately $16 billion as of September 30, 2017 (compared to $18 billion as of June 30, 2017 and $24 billion as of September 30, 2016) and maintained by eligible collateral pledged to such banks. The HQLA also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or other central banks, which would be in addition to the resources noted above.
In general, Citi’s liquidity is fungible acrossbetween 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.
(1) Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt securities are held largely to support local liquidity requirements and Citi’s local franchises and principally include government bonds from Japan, Mexico, Hong Kong, South Korea and India.
The table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the calculation of Citigroup’s consolidated Liquidity Coverage ratio(LCR), pursuant to the U.S. LCR rules. These amounts include the HQLA needed to meet the minimum requirements at these entities and any amounts in excess of these minimums that are assumed to be transferable to other entities within Citigroup. Citigroup’s HQLA decreased quarter-over-quarter, primarily reflecting liquidity being deployed into trading activities.
As of September 30, 2017, the capacity available for lending to these entities under Section 23A was approximately $15 billion, unchanged from both June 30, 20172021, Citigroup had approximately $972 billion of available liquidity resources to support client and Septemberbusiness needs, including end-of-period HQLA assets; additional unencumbered securities, including excess liquidity held at bank entities that is non-transferable to other entities within Citigroup; and available assets not already accounted for within Citi’s HQLA to support Federal Home Loan Bank (FHLB) and Federal Reserve Bank discount window borrowing capacity.
Short-Term Liquidity Measurement: Liquidity Coverage Ratio (LCR)
In addition to internal 30-day liquidity stress testing performed for Citi’s major entities, operating subsidiaries and countries, Citi also monitors its liquidity by reference to the LCR. The table below details the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:
| | | | | | | | | | | |
| In billions of dollars | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 |
| HQLA | $ | 522.6 | | $ | 534.8 | | $ | 489.8 | |
| Net outflows | 461.7 | | 463.7 | | 420.1 | |
| LCR | 113 | % | 115 | % | 117 | % |
| HQLA in excess of net outflows | $ | 60.9 | | $ | 71.1 | | $ | 69.7 | |
Note: The amounts are presented on an average basis.
As of June 30, 2016, subject to certain eligible non-cash collateral requirements.2021, Citigroup’s average LCR decreased from the quarter ended March 31, 2021. The decrease was primarily driven by Citi deploying liquidity and optimizing its overall HQLA.
Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR)
As previously disclosed, in October 2020, the U.S. banking agencies adopted a final rule to assess the availability of a bank’s stable funding against a required level.
In general, a bank’s available stable funding will include portions of equity, deposits and long-term debt, while its required stable funding will be based on the liquidity characteristics of its assets, derivatives and commitments. The ratio of available stable funding to required stable funding will be required to be greater than 100%.
The final rule became effective beginning July 1, 2021, while public disclosure requirements to report the ratio will occur on a semiannual basis beginning June 30, 2023. Citi was in compliance with the final rule as of its effective date.
Loans
The table below sets forthdetails the average loans, by business and/or segment, and the total end-of-period loans for each of the periods indicated:
| | | In billions of dollars | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 | In billions of dollars | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 |
| Global Consumer Banking | | Global Consumer Banking | |
| North America | $ | 186.7 |
| $ | 183.4 |
| $ | 177.8 |
| North America | $ | 171.9 | | $ | 174.4 | | $ | 181.0 | |
| Latin America | 26.8 |
| 25.5 |
| 24.2 |
| Latin America | 13.5 | | 13.9 | | 13.4 | |
Asia(1) | 86.2 |
| 84.9 |
| 85.5 |
| Asia(1) | 83.2 | | 83.4 | | 77.1 | |
| Total | $ | 299.7 |
| $ | 293.8 |
| $ | 287.5 |
| Total | $ | 268.6 | | $ | 271.7 | | $ | 271.5 | |
| Institutional Clients Group | | Institutional Clients Group | |
| Corporate lending | 123.3 |
| 121.5 |
| 124.0 |
| Corporate lending | $ | 134.4 | | $ | 138.0 | | $ | 190.4 | |
| Treasury and trade solutions (TTS) | 74.9 |
| 73.7 |
| 71.1 |
| Treasury and trade solutions (TTS) | 71.6 | | 67.9 | | 71.0 | |
| Private Bank | 82.6 |
| 79.0 |
| 74.2 |
| |
| Private bank | | Private bank | 123.9 | | 119.8 | | 108.9 | |
Markets and securities services and other | 40.1 |
| 38.2 |
| 37.2 |
| Markets and securities services and other | 65.8 | | 61.7 | | 52.0 | |
| Total | $ | 320.9 |
| $ | 312.4 |
| $ | 306.6 |
| Total | $ | 395.8 | | $ | 387.4 | | $ | 422.3 | |
Total Corporate/Other | 25.8 |
| 28.2 |
| 40.9 |
| Total Corporate/Other | $ | 5.8 | | $ | 6.9 | | $ | 9.0 | |
| Total Citigroup loans (AVG) | $ | 646.3 |
| $ | 634.3 |
| $ | 634.9 |
| Total Citigroup loans (AVG) | $ | 670.3 | | $ | 666.0 | | $ | 702.8 | |
| Total Citigroup loans (EOP) | $ | 653.2 |
| $ | 644.7 |
| $ | 638.4 |
| Total Citigroup loans (EOP) | $ | 676.8 | | $ | 666.0 | | $ | 685.3 | |
| |
(1) | Includes loans in certain EMEA countries for all periods presented.
|
As set forth(1)Includes loans in the table above, end-of-periodcertain EMEA countries for all periods presented.
End-of-period loans increased 2%decreased 1% year-over-year and 1%grew 2% quarter-over-quarter.
On an average basis, loans increased 2% bothdeclined 5% year-over-year and quarter-over-quarter.
grew 1% sequentially. Excluding the impact of FX translation, average loans increased 1% bothdeclined 7% year-over-year and quarter-over-quarter.grew 1% sequentially. On this basis, average GCB loans grewdeclined 4% year-over-year, primarily reflecting higher payment rates given high levels of liquidity due to U.S. fiscal stimulus.
Excluding the impact of FX translation, average ICG loans declined 8% year-over-year. Loans in corporate lending declined 32% on an average basis, reflecting net repayments as Citi continued to assist its clients in accessing the capital markets, as well as lower demand. Private bank loans increased 12%, largely driven by 5% growthsecured lending to high-net-worth clients. Markets and securities services loans increased
24%, reflecting an increase in North America. International GCB securitization financing. TTS loans decreased 1%, as a recovery in trade flows was more than offset by the continued low level of spend in commercial cards. On an end-of-period basis, and excluding the impact of FX translation, TTS loans increased 1%3%, reflecting increasing client demand and improving macroeconomic conditions.
Average Corporate/Other loans continued to decline (down 34%), driven by 6% growth in Mexico, while Asia loans were unchanged, reflecting Citi’s optimization of its portfolio in this region.
Average ICG loans increased 4% year-over-year, driven mostly by client-led growth in the private bank. Corporate lending decreased 1%, primarily driven by a lower level of episodic funding compared to the prior-year period. Treasury and trade solutions loans increased 5%, driven by growth in EMEA and Asia.
Average Corporate/Other loans decreased 37% year-over-year, driven by the continued wind downwind-down of legacy assets.
Deposits
The table below sets forthdetails the average deposits, by business and/or segment, and the total end-of-period deposits for each of the periods indicated:
| | | In billions of dollars | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 | In billions of dollars | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 |
| Global Consumer Banking | | |
Global Consumer Banking(1) | | Global Consumer Banking(1) | |
| North America | $ | 184.1 |
| $ | 185.1 |
| $ | 183.9 |
| North America | $ | 204.2 | | $ | 197.0 | | $ | 172.5 | |
| Latin America | 28.8 |
| 27.8 |
| 25.7 |
| Latin America | 24.1 | | 24.5 | | 20.6 | |
Asia(1) | 95.2 |
| 94.3 |
| 91.6 |
| |
Asia(2) | | Asia(2) | 124.6 | | 123.8 | | 108.8 | |
| Total | $ | 308.1 |
| $ | 307.2 |
| $ | 301.2 |
| Total | $ | 352.9 | | $ | 345.3 | | $ | 301.9 | |
| Institutional Clients Group | | Institutional Clients Group | |
| Treasury and trade solutions (TTS) | 427.8 |
| 423.9 |
| 414.6 |
| Treasury and trade solutions (TTS) | $ | 659.3 | | $ | 661.4 | | $ | 667.5 | |
| Banking ex-TTS | 122.4 |
| 122.1 |
| 119.6 |
| Banking ex-TTS | 172.3 | | 165.6 | | 143.5 | |
| Markets and securities services | 84.7 |
| 84.3 |
| 84.1 |
| Markets and securities services | 127.6 | | 120.2 | | 108.2 | |
| Total | $ | 634.9 |
| $ | 630.3 |
| $ | 618.4 |
| Total | $ | 959.2 | | $ | 947.3 | | $ | 919.2 | |
| Corporate/Other | 22.9 |
| 22.5 |
| 24.7 |
| Corporate/Other | $ | 9.1 | | $ | 11.4 | | $ | 12.8 | |
| Total Citigroup deposits (AVG) | $ | 965.9 |
| $ | 960.0 |
| $ | 944.2 |
| Total Citigroup deposits (AVG) | $ | 1,321.3 | | $ | 1,304.0 | | $ | 1,233.9 | |
| Total Citigroup deposits (EOP) | $ | 964.0 |
| $ | 958.7 |
| $ | 940.3 |
| Total Citigroup deposits (EOP) | $ | 1,310.3 | | $ | 1,301.0 | | $ | 1,233.7 | |
| |
(1) | Includes deposits in certain EMEA countriesfor all periods presented.
|
(1)Reflects deposits within retail banking.
(2)Includes deposits in certain EMEA countriesfor all periods presented.
End-of-period deposits increased 3%6% year-over-year and 1% quarter-over-quarter. sequentially.
On an average basis, deposits increased 2%7% year-over-year and 1% sequentially.
Excluding the impact of FX translation, average deposits grew 2%5% from the prior-year period driven primarily by 3% growth in treasury and trade solutions,1% sequentially. The year-over-year increase reflected continued client engagement as well as 4% aggregatethe elevated level of liquidity in the financial system. On this basis, average deposits in GCB increased 14%, with strong growth in AsiaNorth America and Latin America GCB.North America GCBAsia.
Excluding the impact of FX translation, average deposits were largely unchanged as a net inflow of deposits wasin ICG grew 2% year-over-year, with strong growth in the private bank and securities services, partly offset by transfers from deposit to investment accounts.a reduction 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 6.88.8 years as of SeptemberJune 30, 2017, a modest decline from both the prior-year period and2021, compared to 8.7 years as of the prior year and 8.9 years as of the prior quarter. The weighted-average maturity is calculated based on the contractual maturity of each security. For securities that are redeemable prior to maturity at the option of the holder, the weighted-average maturity is calculated based on the earliest date an option becomes exercisable.
Citi’s long-term debt outstanding at the Citigroup parent company includes benchmark senior and subordinated debt and 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 supplementscomplements 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 bank notes, 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 dollars | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 | In billions of dollars | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 |
Parent and other(1) |
|
|
|
|
|
| |
Non-bank(1) | | Non-bank(1) | |
| Benchmark debt: | | Benchmark debt: | |
| Senior debt | $ | 109.8 |
| $ | 105.9 |
| $ | 97.1 |
| Senior debt | $ | 127.8 | | $ | 120.1 | | $ | 126.9 | |
| Subordinated debt | 27.0 |
| 26.8 |
| 28.8 |
| Subordinated debt | 26.2 | | 25.9 | | 27.6 | |
| Trust preferred | 1.7 |
| 1.7 |
| 1.7 |
| Trust preferred | 1.7 | | 1.7 | | 1.7 | |
| Customer-related debt: |
| |
| Structured debt | 27.0 |
| 25.3 |
| 23.6 |
| |
| Non-structured debt | 3.3 |
| 3.1 |
| 3.5 |
| |
| Customer-related debt | | Customer-related debt | 73.9 | | 66.2 | | 60.4 | |
Local country and other(2) | 1.8 |
| 2.1 |
| 2.7 |
| Local country and other(2) | 6.3 | | 5.9 | | 7.7 | |
| Total parent and other | $ | 170.6 |
| $ | 164.9 |
| $ | 157.4 |
| |
| Total non-bank | | Total non-bank | $ | 235.9 | | $ | 219.8 | | $ | 224.3 | |
| Bank |
|
|
|
|
|
| Bank | |
| FHLB borrowings | $ | 19.8 |
| $ | 20.3 |
| $ | 21.6 |
| FHLB borrowings | $ | 9.5 | | $ | 10.9 | | $ | 15.0 | |
Securitizations(3) | 28.6 |
| 28.2 |
| 24.4 |
| Securitizations(3) | 11.6 | | 12.8 | | 17.6 | |
| CBNA benchmark senior debt | 9.5 |
| 7.2 |
| — |
| |
| Citibank benchmark senior debt | | Citibank benchmark senior debt | 3.7 | | 9.2 | | 16.3 | |
Local country and other(2) | 4.2 |
| 4.5 |
| 5.7 |
| Local country and other(2) | 3.9 | | 3.6 | | 6.6 | |
| Total bank | $ | 62.1 |
| $ | 60.2 |
| $ | 51.7 |
| Total bank | $ | 28.7 | | $ | 36.5 | | $ | 55.5 | |
| Total long-term debt | $ | 232.7 |
| $ | 225.2 |
| $ | 209.1 |
| Total long-term debt | $ | 264.6 | | $ | 256.3 | | $ | 279.8 | |
Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet which,that, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
| |
(1) | “Parent and other” includes long-term debt issued to third parties by the parent holding company (Citigroup) and Citi’s non-bank subsidiaries (including broker-dealer subsidiaries) that are consolidated into Citigroup. As of September 30, 2017, “parent and other” included $18.7billion of long-term debt issued by Citi’s broker-dealer and other non-bank 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. |
(1)Non-bank includes long-term debt issued to third parties by the parent holding company (Citigroup) and Citi’s non-bank subsidiaries (including broker-dealer subsidiaries) that are consolidated into Citigroup. As of June 30, 2021, non-bank included $61.5 billion of long-term debt issued by Citi’s broker-dealer and other subsidiaries, as well as certain Citigroup consolidated hedging activities.
(2)Local country and other includes debt issued by Citi’s affiliates in support of their local operations. Within non-bank, certain secured financing is also included.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.
Citi’s total long-term debt outstanding increased bothdecreased year-over-year, and sequentially, primarily driven by declines in unsecured benchmark senior debt, securitizations and FHLB borrowings at the bank, partially offset by the issuance of seniorcustomer-related debt at the parent, as well as the issuance ofnon-bank entities. Sequentially, long-term debt outstanding increased, driven primarily by increases in unsecured benchmark senior debt and customer-related debt at the bank.non-bank entities.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to redeem or repurchase its long-term debt pursuant to open market purchases, tender offers/redemptionsoffers or other means. Such redemptions and repurchases help reduce Citi’s overall funding costs (and assist it in meeting regulatory requirements).costs. During the thirdsecond quarter of 2017,2021, Citi redeemed or repurchased an aggregate of approximately $0.3$12.3 billion of its outstanding long-term debt.
Long-Term Debt Issuances and Maturities
The table below details Citi’s long-term debt issuances and maturities (including repurchases and redemptions) during the periods presented:
| | | | 3Q17 | 2Q17 | 3Q16 | | 2Q21 | 1Q21 | 2Q20 |
| In billions of dollars | Maturities | Issuances | Maturities | Issuances | Maturities | Issuances | In billions of dollars | Maturities | Issuances | Maturities | Issuances | Maturities | Issuances |
| Parent and other |
|
|
|
|
|
|
|
|
|
|
|
| |
| Non-bank | | Non-bank | | | | | |
| Benchmark debt: | | | | | | Benchmark debt: | | | | | |
| Senior debt | $ | 2.5 |
| $ | 5.7 |
| $ | 2.0 |
| $ | 6.3 |
| $ | 3.3 |
| $ | 4.5 |
| Senior debt | $ | 1.8 | | $ | 8.7 | | $ | 4.3 | | $ | 2.5 | | $ | — | | $ | 10.3 | |
| Subordinated debt | — |
| — |
| — |
| 0.2 |
| 1.3 |
| 1.5 |
| Subordinated debt | — | | — | | — | | — | | — | | — | |
| Trust preferred | — |
| — |
| — |
| — |
| — |
| — |
| Trust preferred | — | | — | | — | | — | | — | | — | |
| Customer-related debt: |
|
| | | | |
| Structured debt | 1.7 |
| 2.9 |
| 2.0 |
| 3.6 |
| 2.2 |
| 3.0 |
| |
| Non-structured debt | 0.1 |
| 0.1 |
| 0.3 |
| — |
| 0.1 |
| 0.2 |
| |
| Customer-related debt | | Customer-related debt | 8.5 | | 15.4 | | 8.6 | | 12.2 | | 8.4 | | 10.3 | |
| Local country and other | 0.4 |
| — |
| 0.1 |
| — |
| 0.1 |
| 0.4 |
| Local country and other | 1.0 | | 1.5 | | 1.4 | | 0.5 | | 0.2 | | 0.3 | |
| Total parent and other | $ | 4.7 |
| $ | 8.7 |
| $ | 4.3 |
| $ | 10.2 |
| $ | 6.9 |
| $ | 9.6 |
| |
| Total non-bank | | Total non-bank | $ | 11.3 | | $ | 25.6 | | $ | 14.3 | | $ | 15.2 | | $ | 8.6 | | $ | 20.9 | |
| Bank |
|
|
|
|
|
|
|
|
|
|
|
| Bank | | | | | |
| FHLB borrowings | $ | 1.5 |
| $ | 1.0 |
| $ | 1.5 |
| $ | 1.5 |
| $ | 2.8 |
| $ | 5.8 |
| FHLB borrowings | $ | 1.4 | | $ | — | | $ | — | | $ | — | | $ | 1.0 | | $ | — | |
| Securitizations | 1.8 |
| 2.2 |
| 0.9 |
| 5.1 |
| 3.0 |
| — |
| Securitizations | 1.2 | | — | | 3.7 | | — | | 3.3 | | — | |
| CBNA benchmark senior debt | — |
| 2.2 |
| — |
| 4.7 |
| — |
| — |
| |
| Citibank benchmark senior debt | | Citibank benchmark senior debt | 5.5 | | — | | 4.3 | | — | | 6.0 | | — | |
| Local country and other | 0.5 |
| 0.5 |
| 0.7 |
| 0.3 |
| 0.9 |
| 0.9 |
| Local country and other | 0.1 | | 0.4 | | 0.1 | | 0.3 | | 0.4 | | 3.5 | |
| Total bank | $ | 3.8 |
| $ | 5.9 |
| $ | 3.0 |
| $ | 11.6 |
| $ | 6.7 |
| $ | 6.7 |
| Total bank | $ | 8.1 | | $ | 0.4 | | $ | 8.1 | | $ | 0.3 | | $ | 10.7 | | $ | 3.5 | |
| Total | $ | 8.5 |
| $ | 14.6 |
| $ | 7.4 |
| $ | 21.8 |
| $ | 13.6 |
| $ | 16.3 |
| Total | $ | 19.5 | | $ | 26.0 | | $ | 22.4 | | $ | 15.5 | | $ | 19.3 | | $ | 24.4 | |
The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2017,2021, as well as its aggregate expected annualremaining long-term debt maturities by year as of SeptemberJune 30, 2017:2021: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Maturities 2017 YTD | Maturities |
| In billions of dollars | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | Thereafter | Total |
| Parent and other |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Benchmark debt: | | | | | | | | |
|
| Senior debt | $ | 9.8 |
| $ | 4.3 |
| $ | 18.4 |
| $ | 14.7 |
| $ | 8.9 |
| $ | 14.4 |
| $ | 6.0 |
| $ | 43.1 |
| $ | 109.8 |
|
| Subordinated debt | 1.2 |
| 0.4 |
| 1.0 |
| 1.4 |
| — |
| — |
| 0.8 |
| 23.4 |
| 27.0 |
|
| Trust preferred | — |
| — |
| — |
| — |
| — |
| — |
| — |
| 1.7 |
| 1.7 |
|
| Customer-related debt: | | | | | | | | |
|
| Structured debt | 5.5 |
| 0.3 |
| 3.6 |
| 2.3 |
| 3.2 |
| 2.3 |
| 1.4 |
| 13.9 |
| 27.0 |
|
| Non-structured debt | 0.5 |
| — |
| 0.6 |
| 0.2 |
| 0.3 |
| 0.1 |
| 0.2 |
| 1.9 |
| 3.3 |
|
| Local country and other | 1.0 |
| — |
| 0.7 |
| 0.1 |
| 0.1 |
| 0.1 |
| — |
| 0.8 |
| 1.8 |
|
| Total parent and other | $ | 18.0 |
| $ | 5.0 |
| $ | 24.3 |
| $ | 18.7 |
| $ | 12.5 |
| $ | 16.9 |
| $ | 8.4 |
| $ | 84.8 |
| $ | 170.6 |
|
| Bank |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FHLB borrowings | $ | 4.8 |
| $ | 3.0 |
| $ | 15.3 |
| $ | 1.6 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 19.8 |
|
| Securitizations | 4.7 |
| 0.6 |
| 9.4 |
| 6.5 |
| 4.4 |
| 3.8 |
| 1.2 |
| 2.7 |
| 28.6 |
|
| CBNA benchmark debt | — |
| — |
| 2.2 |
| 4.7 |
| 2.5 |
| — |
| — |
| — |
| 9.5 |
|
| Local country and other | 2.4 |
| 0.7 |
| 1.8 |
| 0.7 |
| 0.5 |
| 0.2 |
| 0.1 |
| 0.3 |
| 4.2 |
|
| Total bank | $ | 11.8 |
| $ | 4.2 |
| $ | 28.7 |
| $ | 13.5 |
| $ | 7.4 |
| $ | 4.0 |
| $ | 1.3 |
| $ | 3.1 |
| $ | 62.1 |
|
| Total long-term debt | $ | 29.8 |
| $ | 9.3 |
| $ | 53.0 |
| $ | 32.2 |
| $ | 19.8 |
| $ | 20.9 |
| $ | 9.7 |
| $ | 87.9 |
| $ | 232.7 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2021 YTD | Maturities |
| In billions of dollars | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 | Thereafter | Total |
| Non-bank | | | | | | | | | |
| Benchmark debt: | | | | | | | | | |
| Senior debt | $ | 6.1 | | $ | 8.5 | | $ | 11.4 | | $ | 12.8 | | $ | 11.2 | | $ | 9.8 | | $ | 18.9 | | $ | 55.1 | | $ | 127.8 | |
| Subordinated debt | — | | — | | 0.8 | | 1.3 | | 1.1 | | 5.3 | | 2.6 | | 15.2 | | 26.1 | |
| Trust preferred | — | | — | | — | | — | | — | | — | | — | | 1.7 | | 1.7 | |
| Customer-related debt | 17.1 | | 3.9 | | 11.5 | | 8.0 | | 7.1 | | 4.8 | | 3.8 | | 34.9 | | 73.9 | |
| Local country and other | 2.4 | | 0.5 | | 1.9 | | 2.3 | | — | | — | | 0.7 | | 0.9 | | 6.3 | |
| Total non-bank | $ | 25.6 | | $ | 12.8 | | $ | 25.7 | | $ | 24.4 | | $ | 19.3 | | $ | 19.9 | | $ | 26.1 | | $ | 107.7 | | $ | 235.9 | |
| Bank | | | | | | | | | |
| FHLB borrowings | $ | 1.4 | | $ | 4.3 | | $ | 5.3 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 9.5 | |
| Securitizations | 4.8 | | 1.6 | | 2.1 | | 3.2 | | 1.1 | | 0.4 | | — | | 3.3 | | 11.6 | |
| Citibank benchmark senior debt | 9.8 | | — | | 0.9 | | — | | 2.7 | | — | | — | | — | | 3.7 | |
| Local country and other | 0.3 | | 0.7 | | 1.7 | | 0.2 | | 0.7 | | 0.1 | | 0.1 | | 0.4 | | 3.9 | |
| Total bank | $ | 16.3 | | $ | 6.5 | | $ | 10.0 | | $ | 3.4 | | $ | 4.6 | | $ | 0.5 | | $ | 0.1 | | $ | 3.7 | | $ | 28.7 | |
| Total long-term debt | $ | 41.9 | | $ | 19.3 | | $ | 35.7 | | $ | 27.8 | | $ | 23.9 | | $ | 20.4 | | $ | 26.1 | | $ | 111.4 | | $ | 264.6 | |
Secured Funding Transactions and Short-Term Borrowings
Citi supplements its primary sources of funding with short-term borrowings. Short-term borrowingsfinancings that generally include (i) secured funding transactions (securitiesconsisting of securities loaned or sold under agreements to repurchase, or repos)i.e., repos, and (ii) to a lesser extent, short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participants (see Note 16 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).participants.
Outside of secured funding transactions, Citi’s short-term borrowings increased 29% year-over-year and 4% sequentially. The increase both year-over-year and sequentially was driven primarily by an increase in FHLB borrowings, as Citi continued to optimize liquidity across its legal entities.
Secured Funding Transactions
Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to fund efficiently both (i) secured lending activity and (ii) a portion of the securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which isare 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 $161$222 billion as of SeptemberJune 30, 20172021 increased 5%3% from the prior-year period and 4%1% sequentially. Excluding the impact of FX translation, secured funding increased 3%declined 2% from both the prior-year period and increased 1% sequentially, both driven by normal business activity. Average balancesThe average balance for secured funding werewas approximately $158$237 billion for the quarter ended SeptemberJune 30, 2017.2021.
The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less liquid securities, including equity securities, corporate bonds and asset-backed securities. Thesecurities, the tenor of Citi’s matched book liabilitieswhich 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.establishing minimum required funding tenors. The weighted average maturity of Citi’s secured funding of less liquid securities inventory was greater than 110 days as of SeptemberJune 30, 2017.2021.
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors,tenor, haircut, collateral profile and client actions.
Additionally, In addition, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.
Liquidity Coverage Ratio (LCR)Short-Term Borrowings
In addition to internal measures that Citi has developed forCiti’s short-term borrowings of $31 billion decreased 22% year-over-year and 2% sequentially, primarily driven by a 30-day stress scenario, Citi also monitors its liquidity by referencedecline in FHLB advances (see Note 16 to the LCR, as calculated pursuant to the U.S. LCR rules (for additionalConsolidated Financial Statements for further information see “Liquidity Risk” in Citi’s 2016 Annual Report on Form 10-K). The table below sets forth the components of Citi’s LCR calculationCitigroup’s and HQLA in excess of net outflows as of the periods indicated:its affiliates’ outstanding short-term borrowings).
|
| | | | | | | | | |
| In billions of dollars | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 |
| HQLA | $ | 448.6 |
| $ | 424.4 |
| $ | 403.8 |
|
| Net outflows | 365.1 |
| 338.2 |
| 335.3 |
|
| LCR | 123 | % | 125 | % | 120 | % |
| HQLA in excess of net outflows | $ | 83.5 |
| $ | 86.2 |
| $ | 68.5 |
|
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 year-over-year, as an increase in average HQLA more than offset an increase in modeled net outflows. Sequentially, Citi’s average LCR decreased modestly, as an increase in modeled net outflows was largely offset by an increase in average HQLA. Both the increase in modeled net outflows and the increase in average HQLA were predominantly driven by changes in assumptions, including changes in methodology to better align Citi’s outflow assumptions with those embedded in its resolution planning.
Credit Ratings
The table below sets forth the ratings for Citigroup and Citibank as of September 30, 2017. While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were BBB+/A-2 at Standard & Poor’s and A/F1 at Fitch as of SeptemberJune 30, 2017.2021.
Ratings as of June 30, 2021
|
| | | | | | | | | | | | | | | | | | | |
| Citigroup Inc. | Citibank, N.A. |
| Senior
debt
| Commercial
paper
| Outlook | Long-
term
| Short-
term
| Outlook |
| Fitch Ratings (Fitch) | A | F1 | Stable | A+ | F1 | Stable |
| Moody’s Investors Service (Moody’s) | Baa1A3 | P-2 | Stable | A1Aa3 | P-1 | Stable |
| Standard & Poor’s (S&P) | BBB+ | A-2 | Stable | A+ | A-1 | Stable |
Potential Impacts of Ratings Downgrades
Ratings downgrades by Moody’s, Fitch or S&P could negatively impact Citigroup’s and/or Citibank’s funding and liquidity due to reduced funding capacity, including 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 20162020 Annual Report on Form 10-K.
Citigroup Inc. and Citibank—Potential Derivative Triggers
As of SeptemberJune 30, 2017,2021, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $1.0 billion, compared to $0.7$1.5 billion as of June 30, 2017.March 31, 2021. 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 SeptemberJune 30, 2017,2021, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity due to derivative triggers by approximately $0.5 billion, compared to $0.3 billionunchanged from March 31, 2021. Other funding sources, such as secured funding transactions and other margin requirements, for which there are no explicit triggers, could also be adversely impacted.
In total, as of June 30, 2017, due to derivative triggers.
In total,2021, 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 $1.5$1.4 billion, compared to $1.0$1.9 billion as of June 30, 2017March 31, 2021 (see also Note 19 to the Consolidated Financial Statements). As set forthdetailed under “High-Quality Liquid Assets” above, theCitigroup has various liquidity resources of Citibank were approximately $371 billionavailable to its bank and the liquidity resources of Citi’s non-bank and other entities were approximately $78 billion, for a total of approximately $449 billion as of September 30, 2017. These liquidity resources are available in part as a contingency for the potential events described above.
In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending and adjusting the size of select trading books and collateralized borrowings fromat certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising additional deposits or borrowing from the FHLB or central banks. Citi believes these mitigating actions could
substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.
Citibank—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential one-notch downgrade of Citibank’s senior debt/long-term rating by S&Pacross any of the three major rating agencies could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of June 30, 2021, Citibank had liquidity commitments of approximately $10.0$9.0 billion to consolidated asset-backed commercial paper conduits, compared to $10.0 billion as of September 30, 2017 and June 30, 2017 (as referenced inMarch 31, 2021 (for additional information, see 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 clientsclients’ 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 20162020 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 2016 Annual Report on Form 10-K.
The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point (bps) increase in interest rates:
| | | | | | | | | | | |
| In millions of dollars, except as otherwise noted | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 |
| Estimated annualized impact to net interest revenue | | | |
U.S. dollar(1) | $ | 156 | | $ | 102 | | $ | 27 | |
| All other currencies | 624 | | 636 | | 683 | |
| Total | $ | 780 | | $ | 738 | | $ | 710 | |
| As a percentage of average interest-earning assets | 0.04 | % | 0.03 | % | 0.03 | % |
Estimated initial negative impact to AOCI (after-tax)(2) | $ | (4,953) | | $ | (5,395) | | $ | (5,705) | |
| Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) | (30) | | (32) | | (35) | |
|
| | | | | | | | | |
| In millions of dollars (unless otherwise noted) | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 |
| Estimated annualized impact to net interest revenue | | | |
U.S. dollar(1) | $ | 1,449 |
| $ | 1,435 |
| $ | 1,405 |
|
| All other currencies | 610 |
| 589 |
| 574 |
|
| Total | $ | 2,059 |
| $ | 2,024 |
| $ | 1,979 |
|
| As a percentage of average interest-earning assets | 0.12 | % | 0.12 | % | 0.12 | % |
Estimated initial impact to AOCI (after-tax)(2) | $ | (4,206 | ) | $ | (4,258 | ) | $ | (4,868 | ) |
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3) | (48 | ) | (49 | ) | (53 | ) |
| |
(1) | (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 $(204) million for a 100 basis point instantaneous increase in interest rates as of September 30, 2017. |
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(2) | Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments. |
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(3) | The estimated initial 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. |
The estimated impact to net interest revenue increased slightly onin 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 $(9) million for a sequential basis, reflecting100 bps instantaneous increase in interest rates as of June 30, 2021.
(2)Includes the effect of changes in balance sheet composition. interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
The sequential decreaseincrease in Citi’s net interest revenue was driven by U.S. dollar exposure and primarily reflected an increase in interest rates. The sequential increase in the estimated impact to AOCI and the Common Equity Tier 1 ratio primarily reflected changes in the composition of Citi’s Treasury’s investment and interest rate portfolio.
The relatively small quarterly change in the estimated impact toAOCI primarily reflected a continuation of the positioning strategy of Citi Treasury’s investment securities and related interest rate derivatives portfolio.
In the event of an unanticipateda parallel instantaneous 100 basis pointbps increase in interest rates, as of June 30, 2021, Citi expects that the $5.0 billion 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 September 30, 2017, Citi expects that the negative $4.2 billion impact to AOCI in such a scenario could potentially be offset over approximately 2337 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 fourfive different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies. While Citi also monitorsThe 100 bps downward rate scenarios are impacted by the impactlow level of a parallel decrease in interest rates, a 100 basis point decrease in short-term rates is not meaningful, as it would imply negative interest rates in many of Citi's markets.several countries and the assumption that market interest rates, as well as rates paid to depositors and charged to borrowers, do not fall below zero (i.e., the “flooring assumption”). The rate scenarios are also impacted by convexity related to mortgage products.
| | | | | | | | | | | | | | | | | |
| In millions of dollars, except as otherwise noted | Scenario 1 | Scenario 2 | Scenario 3 | Scenario 4 | Scenario 5 |
| Overnight rate change (bps) | 100 | | 100 | | — | | — | | (100) | |
| 10-year rate change (bps) | 100 | | — | | 100 | | (100) | | (100) | |
Estimated annualized impact to net interest revenue | | | | | |
| U.S. dollar | $ | 156 | | $ | 202 | | $ | 104 | | $ | (297) | | $ | (472) | |
| All other currencies | 624 | | 588 | | 37 | | (37) | | (305) | |
| Total | $ | 780 | | $ | 790 | | $ | 141 | | $ | (334) | | $ | (777) | |
Estimated initial impact to AOCI (after-tax)(1) | $ | (4,953) | | $ | (3,258) | | $ | (1,952) | | $ | 1,358 | | $ | 3,108 | |
| Estimated initial impact to Common Equity Tier 1 Capital ratio (bps) | (30) | | (19) | | (13) | | 8 | | 15 | |
|
| | | | | | | | | | | | |
| In millions of dollars (unless otherwise noted) | Scenario 1 | Scenario 2 | Scenario 3 | Scenario 4 |
| Overnight rate change (bps) | 100 |
| 100 |
| — |
| — |
|
| 10-year rate change (bps) | 100 |
| — |
| 100 |
| (100 | ) |
Estimated annualized impact to net interest revenue | | | | |
| U.S. dollar | $ | 1,449 |
| $ | 1,369 |
| $ | 89 |
| $ | (130 | ) |
| All other currencies | 610 |
| 554 |
| 34 |
| (34 | ) |
| Total | $ | 2,059 |
| $ | 1,923 |
| $ | 123 |
| $ | (164 | ) |
Estimated initial impact to AOCI (after-tax)(1) | $ | (4,206 | ) | $ | (2,542 | ) | $ | (1,632 | ) | $ | 1,077 |
|
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(2) | (48 | ) | (29 | ) | (19 | ) | 12 |
|
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. |
(1)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
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(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 scenarioScenario 2 as compared to scenarioScenario 3. This is because the combination of changes to Citi’s investment portfolio, partially offset by changes related to Citi’s pension liabilities, results in a net position that is more sensitive to rates at shorter- and intermediate-term maturities.
In 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 2016 Annual Reporting on Form 10-K).
Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of SeptemberJune 30, 2017,2021, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.6$1.7 billion, or 0.9%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.Indian rupee.
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 ended |
| In millions of dollars, except as otherwise noted | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 |
Change in FX spot rate(1) | 1.1 | % | (2.3) | % | 2.1 | % |
| Change in TCE due to FX translation, net of hedges | $ | 364 | | $ | (1,030) | | $ | 418 | |
| As a percentage of TCE | 0.2 | % | (0.7) | % | 0.3 | % |
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
to changes in FX translation, net of hedges (bps) | — | | (1) | | (0.2) | |
(1) FX spot rate change is a weighted average based on Citi’s quarterly average GAAP capital exposure to foreign countries.
65
|
| | | | | | | | | |
| | For the quarter ended |
| In millions of dollars (unless otherwise noted) | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 |
Change in FX spot rate(1) | 1.1 | % | 1.9 | % | (0.2 | )% |
| Change in TCE due to FX translation, net of hedges | $ | 222 |
| $ | 478 |
| $ | (412 | ) |
| As a percentage of TCE | 0.1 | % | 0.3 | % | (0.2 | )% |
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due to changes in FX translation, net of hedges (bps) | (3 | ) | (3 | ) | (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 (NIM)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| 2nd Qtr. | | 1st Qtr. | | 2nd Qtr. | | Change |
| In millions of dollars, except as otherwise noted | 2021 | | 2021 | | 2020 | | 2Q21 vs. 2Q20 |
Interest revenue(1) | $ | 12,514 | | | $ | 12,587 | | | $ | 14,632 | | | (14) | % | |
Interest expense(2) | 2,264 | | | 2,368 | | | 3,509 | | | (35) | | |
Net interest revenue, taxable equivalent basis(1) | $ | 10,250 | | | $ | 10,219 | | | $ | 11,123 | | | (8) | % | |
Interest revenue—average rate(3) | 2.34 | % | | 2.41 | % | | 2.85 | % | | (51) | | bps |
| Interest expense—average rate | 0.53 | | | 0.56 | | | 0.83 | | | (30) | | bps |
Net interest margin(3)(4) | 1.92 | | | 1.95 | | | 2.17 | | | (25) | | bps |
| Interest-rate benchmarks | | | | | | | | |
| Two-year U.S. Treasury note—average rate | 0.17 | % | | 0.13 | % | | 0.19 | % | | (2) | | bps |
| 10-year U.S. Treasury note—average rate | 1.59 | | | 1.34 | | | 0.69 | | | 90 | | bps |
| 10-year vs. two-year spread | 142 | | bps | 121 | | bps | 50 | | bps | | |
|
| | | | | | | | | | | | | | | |
| | 3rd Qtr. | | 2nd Qtr. | | 3rd Qtr. | | Change |
| In millions of dollars, except as otherwise noted | 2017 | | 2017 | | 2016 | | 3Q17 vs. 3Q16 |
Interest revenue(1) | $ | 15,944 |
| | $ | 15,323 |
| | $ | 14,767 |
| | 8 | % | |
Interest expense(2) | 4,379 |
| | 4,036 |
| | 3,174 |
| | 38 |
| |
| Net interest revenue | $ | 11,565 |
| | $ | 11,287 |
| | $ | 11,593 |
| | — | % | |
| Interest revenue—average rate | 3.75 | % | | 3.70 | % | | 3.65 | % | | 10 |
| bps |
| Interest expense—average rate | 1.33 |
| | 1.26 |
| | 1.03 |
| | 30 |
| bps |
Net interest margin(3) | 2.72 |
| | 2.72 |
| | 2.86 |
| | (14 | ) | bps |
| Interest-rate benchmarks | | | | | | | | |
| Two-year U.S. Treasury note—average rate | 1.36 | % | | 1.30 | % | | 0.73 | % | | 63 |
| bps |
| 10-year U.S. Treasury note—average rate | 2.24 |
| | 2.26 |
| | 1.56 |
| | 68 |
| bps |
| 10-year vs. two-year spread | 88 |
| bps | 96 |
| bps | 83 |
| 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 rate of 35%) of $123 million, $122 million, and $114 million for the three months ended September 30, 2017, June 30, 2017 and September 30, 2016, respectively.
|
| |
(2) | Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated Statements of Income and is therefore not reflected in Interest expense in the table above.
|
| |
(3) | Citi’s net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest-earning assets. |
(1)Interest revenue and Net interest revenue include the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio and certain tax-advantaged loan programs (based on the U.S. federal statutory tax rate of 21%) of $51 million, $53 million and $43 million for the three months ended June 30, 2021, March 31, 2021 and June 30, 2020, respectively.
(2)Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated Statement of Income and is therefore not reflected in Interest expense in the table above.
(3)The average rate on interest revenue and net interest margin reflects the taxable equivalent gross-up adjustment. See footnote 1 above.
(4)Citi’s net interest margin (NIM) is calculated by dividing net interest revenue by average interest-earning assets.
Non-ICG Markets Net Interest Revenue
| | | | | | | | | | | | | | |
| 2nd Qtr. | 1st Qtr. | 2nd Qtr. | Change |
| In millions of dollars | 2021 | 2021 | 2020 | 2Q21 vs. 2Q20 |
Net interest revenue (NIR)—taxable equivalent basis(1) per above | $ | 10,250 | | $ | 10,219 | | $ | 11,123 | | (8) | % |
ICG Markets NIR—taxable equivalent basis(1) | 1,453 | | 1,334 | | 1,511 | | (4) | |
Non-ICG Markets NIR—taxable equivalent basis(1) | $ | 8,797 | | $ | 8,885 | | $ | 9,612 | | (8) | % |
(1)Interest revenue and Net interest revenue include the taxable equivalent adjustments discussed in the table above.
Citi’s net interest revenue remained largely unchanged at $11.4(NIR) in the second quarter of 2021 decreased 8% to $10.2 billion ($11.6 billionversus the prior-year period. Citi’s NIR on a taxable equivalent basis) versusbasis also decreased 8% (as set forth in the prior-year period.table above). Excluding the impact of FX translation, Citi’s net interest revenue was down slightly versus the prior-year period (down $110 million), as higher core accrual net interest revenue ($10.4this NIR declined year-over-year by approximately $1.1 billion, up 5% or $0.5 billion) was offsetdriven by a decline of approximately $1.0 billion in non-ICG Markets NIR and a $0.1 billion decline in ICG Markets (fixed income markets and equity markets) NIR. The decrease in non-ICG Markets NIR reflected lower trading-related net interest revenue ($0.7 billion, down 34% or $0.4 billion),loan balances and lower net interest revenue associated with legacy assets in Corporate/Other ($0.3 billion, down approximately 38% or $0.2 billion). The increase in core accrual net interest revenue was driven by the impact of lower interest rates. The decrease in ICG Markets NIR largely reflected a change in the December 2016, March 2017 and June 2017 interest rate increases and volume growth,
mix of trading positions in support of client activity.partially offset by higher long-term debt.
Citi’s NIM was 2.72%1.92% on a taxable equivalent basis in the thirdsecond quarter of 2017,2021, a decrease of 14 bps3 basis points from the prior-year period. Citi’s core accrual NIM was 3.45%, a decline of 7 bps, asprior quarter, primarily reflecting lower cards NIR due to higher payment rates, and modest growth in the balance sheet due to higher core accrual net interest revenue was more thandeposits, partially offset by balance sheet growth, particularlyan increase 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.)ICG Markets NIR.
Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3)
Taxable Equivalent Basis
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Quarterly—Assets | Average volume | Interest revenue | % Average rate |
| 2nd Qtr. | 1st Qtr. | 2nd Qtr. | 2nd Qtr. | 1st Qtr. | 2nd Qtr. | 2nd Qtr. | 1st Qtr. | 2nd Qtr. |
| In millions of dollars, except rates | 2021 | 2021 | 2020 | 2021 | 2021 | 2020 | 2021 | 2021 | 2020 |
Deposits with banks(4) | $ | 296,445 | | $ | 307,340 | | $ | 305,485 | | $ | 126 | | $ | 145 | | $ | 159 | | 0.17 | % | 0.19 | % | 0.21 | % |
Securities borrowed and purchased under agreements to resell(5) | | | | | | | | | |
| In U.S. offices | $ | 171,568 | | $ | 163,790 | | $ | 143,429 | | $ | 85 | | $ | 117 | | $ | 174 | | 0.20 | % | 0.29 | % | 0.49 | % |
In offices outside the U.S.(4) | 148,253 | | 142,591 | | 142,681 | | 120 | | 177 | | 227 | | 0.32 | | 0.50 | | 0.64 | |
| Total | $ | 319,821 | | $ | 306,381 | | $ | 286,110 | | $ | 205 | | $ | 294 | | $ | 401 | | 0.26 | % | 0.39 | % | 0.56 | % |
Trading account assets(6)(7) | | | | | | | | | |
| In U.S. offices | $ | 142,471 | | $ | 154,798 | | $ | 155,037 | | $ | 579 | | $ | 752 | | $ | 953 | | 1.63 | % | 1.97 | % | 2.47 | % |
In offices outside the U.S.(4) | 159,670 | | 153,019 | | 124,908 | | 893 | | 586 | | 722 | | 2.24 | | 1.55 | | 2.32 | |
| Total | $ | 302,141 | | $ | 307,817 | | $ | 279,945 | | $ | 1,472 | | $ | 1,338 | | $ | 1,675 | | 1.95 | % | 1.76 | % | 2.41 | % |
| Investments | | | | | | | | | |
| In U.S. offices | | | | | | | | | |
| Taxable | $ | 320,206 | | $ | 295,570 | | $ | 260,163 | | $ | 867 | | $ | 806 | | $ | 1,024 | | 1.09 | % | 1.11 | % | 1.58 | % |
| Exempt from U.S. income tax | 12,613 | | 12,902 | | 14,699 | | 114 | | 118 | | 126 | | 3.63 | | 3.71 | | 3.45 | |
In offices outside the U.S.(4) | 151,419 | | 149,477 | | 139,917 | | 863 | | 856 | | 971 | | 2.29 | | 2.32 | | 2.79 | |
| Total | $ | 484,238 | | $ | 457,949 | | $ | 414,779 | | $ | 1,844 | | $ | 1,780 | | $ | 2,121 | | 1.53 | % | 1.58 | % | 2.06 | % |
Loans (net of unearned income)(8) | | | | | | | | | |
| In U.S. offices | $ | 382,708 | | $ | 379,956 | | $ | 410,371 | | $ | 5,800 | | $ | 6,042 | | $ | 6,732 | | 6.08 | % | 6.45 | % | 6.60 | % |
In offices outside the U.S.(4) | 287,572 | | 286,014 | | 292,424 | | 2,956 | | 2,891 | | 3,434 | | 4.12 | | 4.10 | | 4.72 | |
| Total | $ | 670,280 | | $ | 665,970 | | $ | 702,795 | | $ | 8,756 | | $ | 8,933 | | $ | 10,166 | | 5.24 | % | 5.44 | % | 5.82 | % |
Other interest-earning assets(9) | $ | 69,691 | | $ | 76,091 | | $ | 75,287 | | $ | 111 | | $ | 97 | | $ | 110 | | 0.64 | % | 0.52 | % | 0.59 | % |
| Total interest-earning assets | $ | 2,142,616 | | $ | 2,121,548 | | $ | 2,064,401 | | $ | 12,514 | | $ | 12,587 | | $ | 14,632 | | 2.34 | % | 2.41 | % | 2.85 | % |
Non-interest-earning assets(6) | $ | 199,194 | | $ | 195,245 | | $ | 202,468 | | | | | | | |
| | | | | | | | | |
| Total assets | $ | 2,341,810 | | $ | 2,316,793 | | $ | 2,266,869 | | | | | | | |
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| | Average volume | Interest revenue | % Average rate |
| | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. |
| In millions of dollars, except rates | 2017 | 2017 | 2016 | 2017 | 2017 | 2016 | 2017 | 2017 | 2016 |
| Assets | | | | | | | | | |
Deposits with banks(4) | $ | 176,942 |
| $ | 166,023 |
| $ | 131,571 |
| $ | 486 |
| $ | 375 |
| $ | 247 |
| 1.09 | % | 0.91 | % | 0.75 | % |
Federal funds sold and securities borrowed or purchased under agreements to resell(5) | | | | | | |
|
|
|
|
|
| In U.S. offices | $ | 136,681 |
| $ | 144,483 |
| $ | 146,581 |
| $ | 524 |
| $ | 472 |
| $ | 387 |
| 1.52 | % | 1.31 | % | 1.05 | % |
In offices outside the U.S.(4) | 108,770 |
| 104,780 |
| 88,415 |
| 334 |
| 356 |
| 249 |
| 1.22 |
| 1.36 |
| 1.12 |
|
| Total | $ | 245,451 |
| $ | 249,263 |
| $ | 234,996 |
| $ | 858 |
| $ | 828 |
| $ | 636 |
| 1.39 | % | 1.33 | % | 1.08 | % |
Trading account assets(6)(7) | | | | | | |
|
|
|
|
|
| In U.S. offices | $ | 98,725 |
| $ | 100,080 |
| $ | 100,381 |
| $ | 918 |
| $ | 877 |
| $ | 912 |
| 3.69 | % | 3.51 | % | 3.61 | % |
In offices outside the U.S.(4) | 105,882 |
| 103,581 |
| 100,825 |
| 555 |
| 646 |
| 559 |
| 2.08 |
| 2.50 |
| 2.21 |
|
| Total | $ | 204,607 |
| $ | 203,661 |
| $ | 201,206 |
| $ | 1,473 |
| $ | 1,523 |
| $ | 1,471 |
| 2.86 | % | 3.00 | % | 2.91 | % |
| Investments | | | | | | |
|
|
|
|
|
| In U.S. offices | | | | | | |
|
|
|
|
|
| Taxable | $ | 227,680 |
| $ | 224,021 |
| $ | 228,337 |
| $ | 1,138 |
| $ | 1,086 |
| $ | 990 |
| 1.98 | % | 1.94 | % | 1.72 | % |
| Exempt from U.S. income tax | 17,890 |
| 18,466 |
| 19,102 |
| 181 |
| 197 |
| 162 |
| 4.01 |
| 4.28 |
| 3.37 |
|
In offices outside the U.S.(4) | 106,456 |
| 106,758 |
| 107,350 |
| 835 |
| 830 |
| 794 |
| 3.11 |
| 3.12 |
| 2.94 |
|
| Total | $ | 352,026 |
| $ | 349,245 |
| $ | 354,789 |
| $ | 2,154 |
| $ | 2,113 |
| $ | 1,946 |
| 2.43 | % | 2.43 | % | 2.18 | % |
Loans (net of unearned income)(8) | | | | | | |
|
|
|
|
|
| In U.S. offices | $ | 372,067 |
| $ | 369,342 |
| $ | 368,372 |
| $ | 6,650 |
| $ | 6,392 |
| $ | 6,272 |
| 7.09 | % | 6.94 | % | 6.77 | % |
In offices outside the U.S.(4) | 274,254 |
| 264,986 |
| 267,399 |
| 4,031 |
| 3,832 |
| 3,974 |
| 5.83 |
| 5.80 |
| 5.91 |
|
| Total | $ | 646,321 |
| $ | 634,328 |
| $ | 635,771 |
| $ | 10,681 |
| $ | 10,224 |
| $ | 10,246 |
| 6.56 | % | 6.46 | % | 6.41 | % |
Other interest-earning assets(9) | $ | 61,677 |
| $ | 60,107 |
| $ | 52,668 |
| $ | 292 |
| $ | 260 |
| $ | 221 |
| 1.88 | % | 1.74 | % | 1.67 | % |
| Total interest-earning assets | $ | 1,687,024 |
| $ | 1,662,627 |
| $ | 1,611,001 |
| $ | 15,944 |
| $ | 15,323 |
| $ | 14,767 |
| 3.75 | % | 3.70 | % | 3.65 | % |
Non-interest-earning assets(6) | $ | 205,268 |
| $ | 206,581 |
| $ | 219,213 |
| | | | | | |
| Total assets | $ | 1,892,292 |
| $ | 1,869,208 |
| $ | 1,830,214 |
| | | | | | |
| |
(1) | Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $123 million, $122 million, and $114 million for the three months ended September 30, 2017, June 30, 2017 and September 30, 2016, respectively.
|
| |
(2) | Interest rates and amounts include the effects of risk management activities associated with the respective asset categories. |
| |
(3) | Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable. |
| |
(4) | Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries. |
| |
(5) | Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.
|
| |
(6) | The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
|
| |
(7) | Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
|
| |
(8) | Includes cash-basis loans. |
| |
(9) | Includes brokerage receivables. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Six Months—Assets | Average volume | Interest revenue | % Average rate |
| Six Months | | Six Months | Six Months | | Six Months | Six Months | | Six Months |
| In millions of dollars, except rates | 2021 | | 2020 | 2021 | | 2020 | 2021 | | 2020 |
Deposits with banks(4) | $ | 301,893 | | | $ | 256,308 | | $ | 271 | | | $ | 686 | | 0.18 | % | | 0.54 | % |
Securities borrowed and purchased under agreements to resell(5) | | | | | | | | | |
| In U.S. offices | $ | 167,679 | | | $ | 142,390 | | $ | 202 | | | $ | 923 | | 0.24 | % | | 1.30 | % |
In offices outside the U.S.(4) | 145,422 | | | 135,115 | | 297 | | | 686 | | 0.41 | | | 1.02 | |
| Total | $ | 313,101 | | | $ | 277,505 | | $ | 499 | | | $ | 1,609 | | 0.32 | % | | 1.17 | % |
Trading account assets(6)(7) | | | | | | | | | |
| In U.S. offices | $ | 148,634 | | | $ | 142,588 | | $ | 1,331 | | | $ | 1,928 | | 1.81 | % | | 2.72 | % |
In offices outside the U.S.(4) | 156,345 | | | 123,614 | | 1,479 | | | 1,341 | | 1.91 | | | 2.18 | |
| Total | $ | 304,979 | | | $ | 266,202 | | $ | 2,810 | | | $ | 3,269 | | 1.86 | % | | 2.47 | % |
| Investments | | | | | | | | | |
| In U.S. offices | | | | | | | | | |
| Taxable | $ | 307,888 | | | $ | 249,230 | | $ | 1,673 | | | $ | 2,182 | | 1.10 | % | | 1.76 | % |
| Exempt from U.S. income tax | 12,758 | | | 14,435 | | 232 | | | 235 | | 3.67 | | | 3.27 | |
In offices outside the U.S.(4) | 150,448 | | | 134,392 | | 1,719 | | | 2,009 | | 2.30 | | | 3.01 | |
| Total | $ | 471,094 | | | $ | 398,057 | | $ | 3,624 | | | $ | 4,426 | | 1.55 | % | | 2.24 | % |
Loans (net of unearned income)(8) | | | | | | | | | |
| In U.S. offices | $ | 381,332 | | | $ | 406,964 | | $ | 11,842 | | | $ | 14,050 | | 6.26 | % | | 6.94 | % |
In offices outside the U.S.(4) | 286,793 | | | 291,771 | | 5,847 | | | 7,384 | | 4.11 | | | 5.09 | |
| Total | $ | 668,125 | | | $ | 698,735 | | $ | 17,689 | | | $ | 21,434 | | 5.34 | % | | 6.17 | % |
Other interest-earning assets(9) | $ | 72,891 | | | $ | 72,012 | | $ | 208 | | | $ | 393 | | 0.58 | % | | 1.10 | % |
| Total interest-earning assets | $ | 2,132,083 | | | $ | 1,968,819 | | $ | 25,101 | | | $ | 31,817 | | 2.37 | % | | 3.25 | % |
Non-interest-earning assets(6) | $ | 197,219 | | | $ | 204,643 | | | | | | | |
| | | | | | | | | |
| Total assets | $ | 2,329,302 | | | $ | 2,173,462 | | | | | | | |
(1)Interest revenue and Net interest revenue include the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio and certain tax-advantaged loan programs (based on the U.S. federal statutory tax rate of 21%) of $51 million, $53 million and $43 million for the three months ended June 30, 2021, March 31, 2021 and June 30, 2020, respectively, and $104 million and $89 million for the six months ended June 30, 2021 and 2020, 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
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Quarterly—Liabilities | Average volume | Interest expense | % Average rate |
| 2nd Qtr. | 1st Qtr. | 2nd Qtr. | 2nd Qtr. | 1st Qtr. | 2nd Qtr. | 2nd Qtr. | 1st Qtr. | 2nd Qtr. |
| In millions of dollars, except rates | 2021 | 2021 | 2020 | 2021 | 2021 | 2020 | 2021 | 2021 | 2020 |
| Deposits | | | | | | | | | |
In U.S. offices(4) | $ | 496,250 | | $ | 505,694 | | $ | 492,966 | | $ | 456 | | $ | 531 | | $ | 727 | | 0.37 | % | 0.43 | % | 0.59 | % |
In offices outside the U.S.(5) | 578,880 | | 568,133 | | 540,779 | | 499 | | 521 | | 742 | | 0.35 | | 0.37 | | 0.55 | |
| Total | $ | 1,075,130 | | $ | 1,073,827 | | $ | 1,033,745 | | $ | 955 | | $ | 1,052 | | $ | 1,469 | | 0.36 | % | 0.40 | % | 0.57 | % |
Securities loaned and sold under agreements to repurchase(6) | | | | | | | | | |
| In U.S. offices | $ | 140,708 | | $ | 146,942 | | $ | 150,055 | | $ | 170 | | $ | 171 | | $ | 240 | | 0.48 | % | 0.47 | % | 0.64 | % |
In offices outside the U.S.(5) | 95,931 | | 88,321 | | 74,720 | | 90 | | 82 | | 213 | | 0.38 | | 0.38 | | 1.15 | |
| Total | $ | 236,639 | | $ | 235,263 | | $ | 224,775 | | $ | 260 | | $ | 253 | | $ | 453 | | 0.44 | % | 0.44 | % | 0.81 | % |
Trading account liabilities(7)(8) | | | | | | | | | |
| In U.S. offices | $ | 48,433 | | $ | 51,797 | | $ | 38,468 | | $ | 30 | | $ | 22 | | $ | 62 | | 0.25 | % | 0.17 | % | 0.65 | % |
In offices outside the U.S.(5) | 73,705 | | 65,567 | | 54,396 | | 120 | | 92 | | 82 | | 0.65 | | 0.57 | | 0.61 | |
| Total | $ | 122,138 | | $ | 117,364 | | $ | 92,864 | | $ | 150 | | $ | 114 | | $ | 144 | | 0.49 | % | 0.39 | % | 0.62 | % |
Short-term borrowings and other interest-bearing liabilities(9) | | | | | | | | | |
| In U.S. offices | $ | 69,944 | | $ | 72,414 | | $ | 96,139 | | $ | (17) | | $ | — | | $ | 104 | | (0.10) | % | — | % | 0.44 | % |
In offices outside the U.S.(5) | 23,738 | | 20,930 | | 22,939 | | 48 | | 31 | | 36 | | 0.81 | | 0.60 | | 0.63 | |
| Total | $ | 93,682 | | $ | 93,344 | | $ | 119,078 | | $ | 31 | | $ | 31 | | $ | 140 | | 0.13 | % | 0.13 | % | 0.47 | % |
Long-term debt(10) | | | | | | | | | |
| In U.S. offices | $ | 191,009 | | $ | 201,491 | | $ | 217,676 | | $ | 852 | | $ | 905 | | $ | 1,298 | | 1.79 | % | 1.82 | % | 2.40 | % |
In offices outside the U.S.(5) | 4,355 | | 4,773 | | 3,848 | | 16 | | 13 | | 5 | | 1.47 | | 1.10 | | 0.52 | |
| Total | $ | 195,364 | | $ | 206,264 | | $ | 221,524 | | $ | 868 | | $ | 918 | | $ | 1,303 | | 1.78 | % | 1.80 | % | 2.37 | % |
| Total interest-bearing liabilities | $ | 1,722,953 | | $ | 1,726,062 | | $ | 1,691,986 | | $ | 2,264 | | $ | 2,368 | | $ | 3,509 | | 0.53 | % | 0.56 | % | 0.83 | % |
| Demand deposits in U.S. offices | $ | 78,665 | | $ | 56,632 | | $ | 30,847 | | | | | | | |
Other non-interest-bearing liabilities(7) | 337,136 | | 333,113 | | 350,040 | | | | | | | |
| | | | | | | | | |
| Total liabilities | $ | 2,138,754 | | $ | 2,115,807 | | $ | 2,072,873 | | | | | | | |
| Citigroup stockholders’ equity | $ | 202,368 | | $ | 200,301 | | $ | 193,372 | | | | | | | |
| Noncontrolling interests | 688 | | 685 | | 624 | | | | | | | |
| Total equity | $ | 203,056 | | $ | 200,986 | | $ | 193,996 | | | | | | | |
| Total liabilities and stockholders’ equity | $ | 2,341,810 | | $ | 2,316,793 | | $ | 2,266,869 | | | | | | | |
Net interest revenue as a percentage of average interest-earning assets(11) | | | | | | | | | |
| In U.S. offices | $ | 1,235,013 | | $ | 1,231,795 | | $ | 1,223,519 | | $ | 6,082 | | $ | 6,335 | | $ | 6,703 | | 1.98 | % | 2.09 | % | 2.20 | % |
In offices outside the U.S.(6) | 907,603 | | 889,753 | | 840,882 | | 4,168 | | 3,884 | | 4,420 | | 1.84 | | 1.77 | | 2.11 | |
| Total | $ | 2,142,616 | | $ | 2,121,548 | | $ | 2,064,401 | | $ | 10,250 | | $ | 10,219 | | $ | 11,123 | | 1.92 | % | 1.95 | % | 2.17 | % |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Average volume | Interest expense | % Average rate |
| | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. |
| In millions of dollars, except rates | 2017 | 2017 | 2016 | 2017 | 2017 | 2016 | 2017 | 2017 | 2016 |
| Liabilities | | | | | | | | | |
| Deposits | | | | | | | | | |
In U.S. offices(4) | $ | 318,881 |
| $ | 311,758 |
| $ | 296,999 |
| $ | 695 |
| $ | 593 |
| $ | 470 |
| 0.86 | % | 0.76 | % | 0.63 | % |
In offices outside the U.S.(5) | 438,561 |
| 439,807 |
| 434,232 |
| 1,080 |
| 1,010 |
| 973 |
| 0.98 |
| 0.92 |
| 0.89 |
|
| Total | $ | 757,442 |
| $ | 751,565 |
| $ | 731,231 |
| $ | 1,775 |
| $ | 1,603 |
| $ | 1,443 |
| 0.93 | % | 0.86 | % | 0.79 | % |
Federal funds purchased and securities loaned or sold under agreements to repurchase(6) | | | | | | |
|
|
|
|
|
|
| In U.S. offices | $ | 93,167 |
| $ | 101,623 |
| $ | 99,924 |
| $ | 423 |
| $ | 396 |
| $ | 267 |
| 1.80 | % | 1.56 | % | 1.06 | % |
In offices outside the U.S.(5) | 64,897 |
| 59,354 |
| 58,060 |
| 289 |
| 280 |
| 192 |
| 1.77 |
| 1.89 |
| 1.32 |
|
| Total | $ | 158,064 |
| $ | 160,977 |
| $ | 157,984 |
| $ | 712 |
| $ | 676 |
| $ | 459 |
| 1.79 | % | 1.68 | % | 1.16 |
|
Trading account liabilities(7)(8) | | | | | | |
|
|
|
|
|
|
| In U.S. offices | $ | 32,622 |
| $ | 34,287 |
| $ | 33,600 |
| $ | 104 |
| $ | 81 |
| $ | 65 |
| 1.26 | % | 0.95 | % | 0.77 | % |
In offices outside the U.S.(5) | 57,187 |
| 56,731 |
| 42,637 |
| 65 |
| 65 |
| 37 |
| 0.45 |
| 0.46 |
| 0.35 |
|
| Total | $ | 89,809 |
| $ | 91,018 |
| $ | 76,237 |
| $ | 169 |
| $ | 146 |
| $ | 102 |
| 0.75 | % | 0.64 | % | 0.53 | % |
Short-term borrowings(9) | | | | | | |
|
|
|
|
|
|
| In U.S. offices | $ | 77,211 |
| $ | 68,486 |
| $ | 61,019 |
| $ | 234 |
| $ | 103 |
| $ | 51 |
| 1.20 | % | 0.60 | % | 0.33 | % |
In offices outside the U.S.(5) | 20,928 |
| 23,070 |
| 20,285 |
| 84 |
| 99 |
| 39 |
| 1.59 |
| 1.72 |
| 0.76 |
|
| Total | $ | 98,139 |
| $ | 91,556 |
| $ | 81,304 |
| $ | 318 |
| $ | 202 |
| $ | 90 |
| 1.29 | % | 0.88 | % | 0.44 | % |
Long-term debt(10) | | | | | | |
|
|
|
|
|
|
| In U.S. offices | $ | 198,766 |
| $ | 187,610 |
| $ | 175,427 |
| $ | 1,377 |
| $ | 1,361 |
| $ | 1,028 |
| 2.75 | % | 2.91 | % | 2.33 | % |
In offices outside the U.S.(5) | 4,298 |
| 4,534 |
| 6,506 |
| 28 |
| 48 |
| 52 |
| 2.58 | % | 4.25 |
| 3.18 |
|
| Total | $ | 203,064 |
| $ | 192,144 |
| $ | 181,933 |
| $ | 1,405 |
| $ | 1,409 |
| $ | 1,080 |
| 2.75 | % | 2.94 | % | 2.36 | % |
| Total interest-bearing liabilities | $ | 1,306,518 |
| $ | 1,287,260 |
| $ | 1,228,689 |
| $ | 4,379 |
| $ | 4,036 |
| $ | 3,174 |
| 1.33 | % | 1.26 | % | 1.03 | % |
| Demand deposits in U.S. offices | $ | 37,673 |
| $ | 38,772 |
| $ | 40,466 |
| | | | | | |
Other non-interest-bearing liabilities(7) | 318,060 |
| 313,227 |
| 328,405 |
| | | | | | |
| Total liabilities | $ | 1,662,251 |
| $ | 1,639,259 |
| $ | 1,597,560 |
| | | | | | |
Citigroup stockholders’ equity(11) | $ | 229,017 |
| $ | 228,946 |
| $ | 231,574 |
| | | | | | |
| Noncontrolling interest | 1,024 |
| 1,003 |
| 1,080 |
| | | | | | |
Total equity(11) | $ | 230,041 |
| $ | 229,949 |
| $ | 232,654 |
| | | | | | |
| Total liabilities and stockholders’ equity | $ | 1,892,292 |
| $ | 1,869,208 |
| $ | 1,830,214 |
| | | | | | |
Net interest revenue as a percentage of average interest-earning assets(12) | | | | | | | | | |
| In U.S. offices | $ | 975,283 |
| $ | 956,968 |
| $ | 953,877 |
| $ | 7,046 |
| $ | 6,777 |
| $ | 7,092 |
| 2.87 | % | 2.84 | % | 2.96 | % |
In offices outside the U.S.(6) | 711,741 |
| 705,659 |
| 657,124 |
| 4,519 |
| 4,510 |
| 4,501 |
| 2.52 |
| 2.56 |
| 2.72 | % |
| Total | $ | 1,687,024 |
| $ | 1,662,627 |
| $ | 1,611,001 |
| $ | 11,565 |
| $ | 11,287 |
| $ | 11,593 |
| 2.72 | % | 2.72 | % | 2.86 | % |
| |
(1) | Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $123 million, $122 million, and $114 million for the three months ended September 30, 2017, June 30, 2017 and September 30, 2016, respectively.
|
| |
(2) | Interest rates and amounts include the effects of risk management activities associated with the respective liability categories. |
| |
(3) | Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable. |
| |
(4) | Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments. |
| |
(5) | Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries. |
| |
(6) | Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45. However, Interest expense excludes the impact of ASC 210-20-45.
|
| |
(7) | The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Six Months—Liabilities | Average volume | Interest expense | % Average rate |
| Six Months | | Six Months | Six Months | | Six Months | Six Months | | Six Months |
| In millions of dollars, except rates | 2021 | | 2020 | 2021 | | 2020 | 2021 | | 2020 |
| Deposits | | | | | | | | | |
In U.S. offices(4) | $ | 500,972 | | | $ | 460,461 | | $ | 987 | | | $ | 2,087 | | 0.40 | % | | 0.91 | % |
In offices outside the U.S.(5) | 573,507 | | | 523,637 | | 1,020 | | | 1,996 | | 0.36 | | | 0.77 | |
| Total | $ | 1,074,479 | | | $ | 984,098 | | $ | 2,007 | | | $ | 4,083 | | 0.38 | % | | 0.83 | % |
Securities loaned and sold under agreements to repurchase(6) | | | | | | | | | |
| In U.S. offices | $ | 143,825 | | | $ | 139,277 | | $ | 341 | | | $ | 958 | | 0.48 | % | | 1.38 | % |
In offices outside the U.S.(5) | 92,126 | | | 72,366 | | 172 | | | 580 | | 0.38 | | | 1.61 | |
| Total | $ | 235,951 | | | $ | 211,643 | | $ | 513 | | | $ | 1,538 | | 0.44 | % | | 1.46 | % |
Trading account liabilities(7)(8) | | | | | | | | | |
| In U.S. offices | $ | 50,115 | | | $ | 37,460 | | $ | 52 | | | $ | 200 | | 0.21 | % | | 1.07 | % |
In offices outside the U.S.(5) | 69,636 | | | 51,222 | | 212 | | | 183 | | 0.61 | | | 0.72 | |
| Total | $ | 119,751 | | | $ | 88,682 | | $ | 264 | | | $ | 383 | | 0.44 | % | | 0.87 | % |
Short-term borrowings and other interest bearing liabilities(9) | | | | | | | | | |
| In U.S. offices | $ | 71,179 | | | $ | 91,424 | | $ | (17) | | | $ | 430 | | (0.05) | % | | 0.95 | % |
In offices outside the U.S.(5) | 22,334 | | | 21,395 | | 79 | | | 94 | | 0.71 | | | 0.88 | |
| Total | $ | 93,513 | | | $ | 112,819 | | $ | 62 | | | $ | 524 | | 0.13 | % | | 0.93 | % |
Long-term debt(10) | | | | | | | | | |
| In U.S. offices | $ | 196,250 | | | $ | 207,841 | | $ | 1,757 | | | $ | 2,616 | | 1.81 | % | | 2.53 | % |
In offices outside the U.S.(5) | 4,564 | | | 4,017 | | 29 | | | 12 | | 1.28 | | | 0.60 | |
| Total | $ | 200,814 | | | $ | 211,858 | | $ | 1,786 | | | $ | 2,628 | | 1.79 | % | | 2.49 | % |
| Total interest-bearing liabilities | $ | 1,724,508 | | | $ | 1,609,100 | | $ | 4,632 | | | $ | 9,156 | | 0.54 | % | | 1.14 | % |
| Demand deposits in U.S. offices | $ | 67,649 | | | $ | 28,778 | | | | | | | |
Other non-interest-bearing liabilities(7) | 335,123 | | | 341,666 | | | | | | | |
| | | | | | | | | |
| Total liabilities | $ | 2,127,280 | | | $ | 1,979,544 | | | | | | | |
| Citigroup stockholders’ equity | $ | 201,335 | | | $ | 193,285 | | | | | | | |
| Noncontrolling interests | 687 | | | 633 | | | | | | | |
| Total equity | $ | 202,022 | | | $ | 193,918 | | | | | | | |
| Total liabilities and stockholders’ equity | $ | 2,329,302 | | | $ | 2,173,462 | | | | | | | |
Net interest revenue as a percentage of average interest-earning assets(11) | | | | | | | | | |
| In U.S. offices | $ | 1,233,404 | | | $ | 1,150,696 | | $ | 12,417 | | | $ | 13,704 | | 2.03 | % | | 2.39 | % |
In offices outside the U.S.(6) | 898,678 | | | 818,122 | | 8,052 | | | 8,957 | | 1.81 | | | 2.20 | |
| Total | $ | 2,132,082 | | | $ | 1,968,818 | | $ | 20,469 | | | $ | 22,661 | | 1.94 | % | | 2.31 | % |
| |
(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 in changes in fair value recorded in Principal transactions.
|
| |
(11) | Includes stockholders’ equity from discontinued operations. |
| |
(12) | Includes allocations for capital and funding costs based on the location of the asset. |
(1)Interest revenue and Net interest revenue include the taxable equivalent adjustments discussed in the table above.
(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 Balancesrates 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 Rates—Assets(1)(2)(3)(4)expense excludes the impact of ASC 210-20-45.
Taxable Equivalent Basis(7)The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(8)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(9)Includes Brokerage payables.
(10)Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as the changes in fair value for these obligations are recorded in Principal transactions.
(11)Includes allocations for capital and funding costs based on the location of the asset.
|
| | | | | | | | | | | | | | | | |
| | Average volume | Interest revenue | % Average rate |
| | Nine Months | Nine Months | Nine Months | Nine Months | Nine Months | Nine Months |
| In millions of dollars, except rates | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 |
| Assets | | | | | | |
Deposits with banks(5) | $ | 165,910 |
| $ | 128,194 |
| $ | 1,156 |
| $ | 703 |
| 0.93 | % | 0.73 | % |
Federal funds sold and securities borrowed or purchased under agreements to resell(6) | | | | | | |
| In U.S. offices | $ | 141,723 |
| $ | 148,379 |
| $ | 1,364 |
| $ | 1,123 |
| 1.29 | % | 1.01 | % |
In offices outside the U.S.(5) | 105,527 |
| 83,668 |
| 983 |
| 824 |
| 1.25 | % | 1.32 | % |
| Total | $ | 247,250 |
| $ | 232,047 |
| $ | 2,347 |
| $ | 1,947 |
| 1.27 | % | 1.12 | % |
Trading account assets(7)(8) | | | | | | |
| In U.S. offices | $ | 100,214 |
| $ | 104,655 |
| $ | 2,679 |
| $ | 2,835 |
| 3.57 | % | 3.62 | % |
In offices outside the U.S.(5) | 101,159 |
| 94,701 |
| 1,624 |
| 1,680 |
| 2.15 | % | 2.37 | % |
| Total | $ | 201,373 |
| $ | 199,356 |
| $ | 4,303 |
| $ | 4,515 |
| 2.86 | % | 3.03 | % |
| Investments | | | | | | |
| In U.S. offices | | | | | | |
| Taxable | $ | 224,384 |
| $ | 227,532 |
| $ | 3,258 |
| $ | 2,981 |
| 1.94 | % | 1.75 | % |
| Exempt from U.S. income tax | 18,345 |
| 19,171 |
| 574 |
| 501 |
| 4.18 | % | 3.49 | % |
In offices outside the U.S.(5) | 106,813 |
| 106,116 |
| 2,454 |
| 2,385 |
| 3.07 | % | 3.00 | % |
| Total | $ | 349,542 |
| $ | 352,819 |
| $ | 6,286 |
| $ | 5,867 |
| 2.40 | % | 2.22 | % |
Loans (net of unearned income)(9) | | | | | | |
| In U.S. offices | $ | 369,602 |
| $ | 357,300 |
| $ | 19,315 |
| $ | 17,938 |
| 6.99 | % | 6.71 | % |
In offices outside the U.S.(5) | 265,060 |
| 265,586 |
| 11,560 |
| 11,847 |
| 5.83 | % | 5.96 | % |
| Total | $ | 634,662 |
| $ | 622,886 |
| $ | 30,875 |
| $ | 29,785 |
| 6.50 | % | 6.39 | % |
Other interest-earning assets(10) | $ | 59,506 |
| $ | 54,329 |
| $ | 846 |
| $ | 709 |
| 1.90 | % | 1.74 | % |
| Total interest-earning assets | $ | 1,658,243 |
| $ | 1,589,631 |
| $ | 45,813 |
| $ | 43,526 |
| 3.69 | % | 3.66 | % |
Non-interest-earning assets(7) | $ | 205,775 |
| $ | 215,402 |
| |
| |
| |
| |
|
| Total assets | $ | 1,864,018 |
| $ | 1,805,033 |
| |
| |
| |
| |
|
| |
(1) | Net interestrevenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $368 million and $350 million for the nine months ended September 30, 2017 and 2016, respectively.
|
| |
(2) | Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories. |
| |
(3) | Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable. |
| |
(4) | Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
|
| |
(5) | Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries. |
| |
(6) | Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest revenue excludes the impact of FIN 41 (ASC 210-20-45).
|
| |
(7) | The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities.
|
| |
(8) | Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
|
| |
(9) | Includes cash-basis loans. |
| |
(10) | Includes brokerage receivables. |
Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3)(4)
Taxable Equivalent Basis
|
| | | | | | | | | | | | | | | | |
| | Average volume | Interest expense | % Average rate |
| | Nine Months | Nine Months | Nine Months | Nine Months | Nine Months | Nine Months |
| In millions of dollars, except rates | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 |
| Liabilities | | | | | | |
| Deposits | | | | | | |
In U.S. offices(5) | $ | 310,977 |
| $ | 287,100 |
| $ | 1,795 |
| $ | 1,157 |
| 0.77 | % | 0.54 | % |
In offices outside the U.S.(6) | 435,704 |
| 431,176 |
| 2,998 |
| 2,796 |
| 0.92 | % | 0.87 | % |
| Total | $ | 746,681 |
| $ | 718,276 |
| $ | 4,793 |
| $ | 3,953 |
| 0.86 | % | 0.74 | % |
Federal funds purchased and securities loaned or sold under agreements to repurchase(7) | | | | | | |
| In U.S. offices | $ | 96,417 |
| $ | 102,321 |
| $ | 1,101 |
| $ | 787 |
| 1.53 | % | 1.03 | % |
In offices outside the U.S.(6) | 59,559 |
| 58,379 |
| 780 |
| 701 |
| 1.75 | % | 1.60 | % |
| Total | $ | 155,976 |
| $ | 160,700 |
| $ | 1,881 |
| $ | 1,488 |
| 1.61 | % | 1.24 | % |
Trading account liabilities(8)(9) | | | | | | |
| In U.S. offices | $ | 33,041 |
| $ | 28,219 |
| $ | 269 |
| $ | 181 |
| 1.09 | % | 0.86 | % |
In offices outside the U.S.(6) | 57,862 |
| 43,424 |
| 193 |
| 105 |
| 0.45 | % | 0.32 | % |
| Total | $ | 90,903 |
| $ | 71,643 |
| $ | 462 |
| $ | 286 |
| 0.68 | % | 0.53 | % |
Short-term borrowings(10) | | | | | | |
| In U.S. offices | $ | 72,435 |
| $ | 57,559 |
| $ | 422 |
| $ | 123 |
| 0.78 | % | 0.29 | % |
In offices outside the U.S.(6) | 22,668 |
| 17,727 |
| 297 |
| 177 |
| 1.75 | % | 1.33 | % |
| Total | $ | 95,103 |
| $ | 75,286 |
| $ | 719 |
| $ | 300 |
| 1.01 | % | 0.53 | % |
Long-term debt(11) | | | | | | |
| In U.S. offices | $ | 188,344 |
| $ | 174,454 |
| $ | 3,993 |
| $ | 3,031 |
| 2.83 | % | 2.32 | % |
In offices outside the U.S.(6) | 4,715 |
| 6,691 |
| 133 |
| 176 |
| 3.77 | % | 3.51 | % |
| Total | $ | 193,059 |
| $ | 181,145 |
| $ | 4,126 |
| $ | 3,207 |
| 2.86 | % | 2.36 | % |
| Total interest-bearing liabilities | $ | 1,281,722 |
| $ | 1,207,050 |
| $ | 11,981 |
| $ | 9,234 |
| 1.25 | % | 1.02 | % |
| Demand deposits in U.S. offices | $ | 38,064 |
| $ | 36,927 |
| |
| |
| |
| |
Other non-interest-bearing liabilities(8) | 313,939 |
| 331,906 |
| |
| |
| |
| |
| Total liabilities | $ | 1,633,725 |
| $ | 1,575,883 |
| |
| |
| |
| |
Citigroup stockholders’ equity(12) | $ | 229,284 |
| $ | 228,014 |
| |
| |
| |
| |
| Noncontrolling interest | 1,009 |
| 1,136 |
| |
| |
| |
| |
Total equity(12) | $ | 230,293 |
| $ | 229,150 |
| |
| |
| |
| |
| Total liabilities and stockholders’ equity | $ | 1,864,018 |
| $ | 1,805,033 |
| |
| |
| |
| |
| Net interest revenue as a percentage of average interest-earning assets | | | | | | |
| In U.S. offices | $ | 960,206 |
| $ | 941,990 |
| $ | 20,586 |
| $ | 20,894 |
| 2.87 | % | 2.96 | % |
In offices outside the U.S.(6) | 698,037 |
| 647,641 |
| 13,246 |
| 13,398 |
| 2.54 |
| 2.76 |
|
| Total | $ | 1,658,243 |
| $ | 1,589,631 |
| $ | 33,832 |
| $ | 34,292 |
| 2.73 | % | 2.88 | % |
| |
(1) | Net interestrevenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $368 million and $350 million for the nine months ended September 30, 2017 and 2016, respectively.
|
| |
(2) | Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories. |
| |
(3) | Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable. |
| |
(4) | Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
|
| |
(5) | Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance fees and charges. |
| |
(6) | Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries. |
| |
(7) | Average volumes of securities loaned or sold under agreements to repurchase are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest expense excludes the impact of FIN 41 (ASC 210-20-45).
|
| |
(8) | The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities.
|
| |
(9) | Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
|
| |
(10) | Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as these obligations are accounted for in changes in fair value recorded in Principal transactions.
|
| |
(11) | Includes stockholders' equity from discontinued operations. |
| |
(12) | Includes allocations for capital and funding costs based on the location of the asset. |
Analysis of Changes in Interest Revenue(1)(2)(3)
| | | | | | | | | | | | | | | | | | | | |
| | 2Q21 vs. 1Q21 | 2Q21 vs. 2Q20 |
| | Increase (decrease)
due to change in: | Increase (decrease)
due to change in: |
| In millions of dollars | Average
volume | Average
rate | Net
change | Average
volume | Average
rate | Net
change |
Deposits with banks(3) | $ | (5) | | $ | (14) | | $ | (19) | | $ | (5) | | $ | (28) | | $ | (33) | |
| Securities borrowed and purchased under agreements to resell | | | | | | |
| In U.S. offices | $ | 5 | | $ | (37) | | $ | (32) | | $ | 29 | | $ | (118) | | $ | (89) | |
In offices outside the U.S.(3) | 7 | | (64) | | (57) | | 9 | | (116) | | (107) | |
| Total | $ | 12 | | $ | (101) | | $ | (89) | | $ | 38 | | $ | (234) | | $ | (196) | |
Trading account assets(4) | | | | | | |
| In U.S. offices | $ | (56) | | $ | (117) | | $ | (173) | | $ | (72) | | $ | (302) | | $ | (374) | |
In offices outside the U.S.(3) | 26 | | 281 | | 307 | | 195 | | (24) | | 171 | |
| Total | $ | (30) | | $ | 164 | | $ | 134 | | $ | 123 | | $ | (326) | | $ | (203) | |
Investments(1) | | | | | | |
| In U.S. offices | $ | 72 | | $ | (15) | | $ | 57 | | $ | 213 | | $ | (382) | | $ | (169) | |
In offices outside the U.S.(3) | 11 | | (4) | | 7 | | 75 | | (183) | | (108) | |
| Total | $ | 83 | | $ | (19) | | $ | 64 | | $ | 288 | | $ | (565) | | $ | (277) | |
Loans (net of unearned income)(5) | | | | | | |
| In U.S. offices | $ | 43 | | $ | (285) | | $ | (242) | | $ | (438) | | $ | (494) | | $ | (932) | |
In offices outside the U.S.(3) | 16 | | 49 | | 65 | | (56) | | (422) | | (478) | |
| Total | $ | 59 | | $ | (236) | | $ | (177) | | $ | (494) | | $ | (916) | | $ | (1,410) | |
Other interest-earning assets(6) | $ | (9) | | $ | 23 | | $ | 14 | | $ | (9) | | $ | 10 | | $ | 1 | |
| Total interest revenue | $ | 110 | | $ | (183) | | $ | (73) | | $ | (59) | | $ | (2,059) | | $ | (2,118) | |
(1)Interest revenue and Net interest revenue include the taxable equivalent adjustments discussed in the table above.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes cash-basis loans.
(6)Includes Brokerage receivables.
|
| | | | | | | | | | | | | | | | | | |
| | 3rd Qtr. 2017 vs. 2nd Qtr. 2017 | 3rd Qtr. 2017 vs. 3rd Qtr. 2016 |
| | Increase (decrease) due to change in: | Increase (decrease) due to change in: |
| In millions of dollars | Average volume | Average rate | Net change | Average volume | Average rate | Net change |
Deposits with banks(4) | $ | 26 |
| $ | 85 |
| $ | 111 |
| $ | 102 |
| $ | 137 |
| $ | 239 |
|
Federal funds sold and securities borrowed or purchased under agreements to resell | | | | | | |
| In U.S. offices | $ | (27 | ) | $ | 79 |
| $ | 52 |
| $ | (28 | ) | $ | 165 |
| $ | 137 |
|
In offices outside the U.S.(4) | 13 |
| (35 | ) | (22 | ) | 61 |
| 24 |
| 85 |
|
| Total | $ | (14 | ) | $ | 44 |
| $ | 30 |
| $ | 33 |
| $ | 189 |
| $ | 222 |
|
Trading account assets(5) | | | | | | |
| In U.S. offices | $ | (12 | ) | $ | 53 |
| $ | 41 |
| $ | (15 | ) | $ | 21 |
| $ | 6 |
|
In offices outside the U.S.(4) | 14 |
| (105 | ) | (91 | ) | 27 |
| (31 | ) | (4 | ) |
| Total | $ | 2 |
| $ | (52 | ) | $ | (50 | ) | $ | 12 |
| $ | (10 | ) | $ | 2 |
|
Investments(1) | | | | | | |
| In U.S. offices | $ | 16 |
| $ | 20 |
| $ | 36 |
| $ | (9 | ) | $ | 176 |
| $ | 167 |
|
In offices outside the U.S.(4) | (2 | ) | 7 |
| 5 |
| (7 | ) | 48 |
| 41 |
|
| Total | $ | 14 |
| $ | 27 |
| $ | 41 |
| $ | (16 | ) | $ | 224 |
| $ | 208 |
|
Loans (net of unearned income)(6) | | | | | | |
| In U.S. offices | $ | 47 |
| $ | 211 |
| $ | 258 |
| $ | 63 |
| $ | 315 |
| $ | 378 |
|
In offices outside the U.S.(4) | 136 |
| 63 |
| 199 |
| 101 |
| (44 | ) | 57 |
|
| Total | $ | 183 |
| $ | 274 |
| $ | 457 |
| $ | 164 |
| $ | 271 |
| $ | 435 |
|
Other interest-earning assets(7) | $ | 7 |
| $ | 25 |
| $ | 32 |
| $ | 41 |
| $ | 30 |
| $ | 71 |
|
| Total interest revenue | $ | 218 |
| $ | 403 |
| $ | 621 |
| $ | 336 |
| $ | 841 |
| $ | 1,177 |
|
| |
(1) | The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is included in this presentation. |
| |
(2) | Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change. |
| |
(3) | Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
|
| |
(4) | Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries. |
| |
(5) | Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
|
| |
(6) | Includes cash-basis loans. |
| |
(7) | Includes brokerage receivables. |
Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3)
| | | | | | | | | | | | | | | | | | | | |
| | 2Q21 vs. 1Q21 | 2Q21 vs. 2Q20 |
| | Increase (decrease)
due to change in: | Increase (decrease)
due to change in: |
| In millions of dollars | Average
volume | Average
rate | Net
change | Average
volume | Average
rate | Net
change |
| Deposits | | | | | | |
| In U.S. offices | $ | (10) | | $ | (65) | | $ | (75) | | $ | 5 | | $ | (276) | | $ | (271) | |
In offices outside the U.S.(3) | 10 | | (32) | | (22) | | 49 | | (292) | | (243) | |
| Total | $ | — | | $ | (97) | | $ | (97) | | $ | 54 | | $ | (568) | | $ | (514) | |
| Securities loaned and sold under agreements to repurchase | | | | | | |
| In U.S. offices | $ | (7) | | $ | 6 | | $ | (1) | | $ | (14) | | $ | (56) | | $ | (70) | |
In offices outside the U.S.(3) | 7 | | 1 | | 8 | | 48 | | (171) | | (123) | |
| Total | $ | — | | $ | 7 | | $ | 7 | | $ | 34 | | $ | (227) | | $ | (193) | |
Trading account liabilities(4) | | | | | | |
| In U.S. offices | $ | (1) | | $ | 9 | | $ | 8 | | $ | 13 | | $ | (45) | | $ | (32) | |
In offices outside the U.S.(3) | 12 | | 16 | | 28 | | 31 | | 7 | | 38 | |
| Total | $ | 11 | | $ | 25 | | $ | 36 | | $ | 44 | | $ | (38) | | $ | 6 | |
Short-term borrowings and other interest-bearing liabilities(5) | | | | | | |
| In U.S. offices | $ | — | | $ | (17) | | $ | (17) | | $ | (22) | | $ | (99) | | $ | (121) | |
In offices outside the U.S.(3) | 5 | | 12 | | 17 | | 1 | | 11 | | 12 | |
| Total | $ | 5 | | $ | (5) | | $ | — | | $ | (21) | | $ | (88) | | $ | (109) | |
| Long-term debt | | | | | | |
| In U.S. offices | $ | (47) | | $ | (6) | | $ | (53) | | $ | (146) | | $ | (300) | | $ | (446) | |
In offices outside the U.S.(3) | (1) | | 4 | | 3 | | 1 | | 10 | | 11 | |
| Total | $ | (48) | | $ | (2) | | $ | (50) | | $ | (145) | | $ | (290) | | $ | (435) | |
| Total interest expense | $ | (32) | | $ | (72) | | $ | (104) | | $ | (34) | | $ | (1,211) | | $ | (1,245) | |
| Net interest revenue | $ | 144 | | $ | (114) | | $ | 30 | | $ | (25) | | $ | (848) | | $ | (873) | |
(1)Interest revenue and Net interest revenue include the taxable equivalent adjustments discussed in the table above.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes Brokerage payables.
|
| | | | | | | | | | | | | | | | | | |
| | 3rd Qtr. 2017 vs. 2nd Qtr. 2017 | 3rd Qtr. 2017 vs. 3rd Qtr. 2016 |
| | Increase (decrease) due to change in: | Increase (decrease) due to change in: |
| In millions of dollars | Average volume | Average rate | Net change | Average volume | Average rate | Net change |
| Deposits | | | | | | |
| In U.S. offices | $ | 14 |
| $ | 88 |
| $ | 102 |
| $ | 37 |
| $ | 188 |
| $ | 225 |
|
In offices outside the U.S.(4) | (3 | ) | 73 |
| 70 |
| 10 |
| 97 |
| 107 |
|
| Total | $ | 11 |
| $ | 161 |
| $ | 172 |
| $ | 47 |
| $ | 285 |
| $ | 332 |
|
Federal funds purchased and securities loaned
or sold under agreements to repurchase | | | | | | |
| In U.S. offices | $ | (35 | ) | $ | 62 |
| $ | 27 |
| $ | (19 | ) | $ | 175 |
| $ | 156 |
|
In offices outside the U.S.(4) | 25 |
| (16 | ) | 9 |
| 25 |
| 72 |
| 97 |
|
| Total | $ | (10 | ) | $ | 46 |
| $ | 36 |
| $ | 6 |
| $ | 247 |
| $ | 253 |
|
Trading account liabilities(5) | | | | | | |
| In U.S. offices | $ | (4 | ) | $ | 27 |
| $ | 23 |
| $ | (2 | ) | $ | 41 |
| $ | 39 |
|
In offices outside the U.S.(4) | 1 |
| (1 | ) | — |
| 15 |
| 13 |
| 28 |
|
| Total | $ | (3 | ) | $ | 26 |
| $ | 23 |
| $ | 13 |
| $ | 54 |
| $ | 67 |
|
Short-term borrowings(6) | | | | | | |
| In U.S. offices | $ | 15 |
| $ | 116 |
| $ | 131 |
| $ | 17 |
| $ | 166 |
| $ | 183 |
|
In offices outside the U.S.(4) | (9 | ) | (6 | ) | (15 | ) | 1 |
| 44 |
| 45 |
|
| Total | $ | 6 |
| $ | 110 |
| $ | 116 |
| $ | 18 |
| $ | 210 |
| $ | 228 |
|
| Long-term debt | | | | | | |
| In U.S. offices | $ | 79 |
| $ | (63 | ) | $ | 16 |
| $ | 147 |
| $ | 202 |
| $ | 349 |
|
In offices outside the U.S.(4) | (2 | ) | (18 | ) | (20 | ) | (16 | ) | (8 | ) | (24 | ) |
| Total | $ | 77 |
| $ | (81 | ) | $ | (4 | ) | $ | 131 |
| $ | 194 |
| $ | 325 |
|
| Total interest expense | $ | 81 |
| $ | 262 |
| $ | 343 |
| $ | 215 |
| $ | 990 |
| $ | 1,205 |
|
| Net interest revenue | $ | 137 |
| $ | 141 |
| $ | 278 |
| $ | 121 |
| $ | (149 | ) | $ | (28 | ) |
| |
(1) | The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is included in this presentation. |
| |
(2) | Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change. |
| |
(3) | Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
|
| |
(4) | Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries. |
| |
(5) | Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
|
| |
(6) | Includes brokerage payables. |
Analysis of Changes in Interest Revenue(1)(2)(3)
| | | | | | | | | | | |
| | Six Months 2021 vs. Six Months 2020 |
| | Increase (decrease)
due to change in: |
| In millions of dollars | Average
volume | Average
rate | Net
change |
Deposits with banks(3) | $ | 105 | | $ | (520) | | $ | (415) | |
| Securities borrowed and purchased under agreements to resell | | | |
| In U.S. offices | $ | 140 | | $ | (861) | | $ | (721) | |
In offices outside the U.S.(3) | 49 | | (438) | | (389) | |
| Total | $ | 189 | | $ | (1,299) | | $ | (1,110) | |
Trading account assets(4) | | | |
| In U.S. offices | $ | 79 | | $ | (676) | | $ | (597) | |
In offices outside the U.S.(3) | 324 | | (186) | | 138 | |
| Total | $ | 403 | | $ | (862) | | $ | (459) | |
Investments(1) | | | |
| In U.S. offices | $ | 452 | | $ | (964) | | $ | (512) | |
In offices outside the U.S.(3) | 221 | | (511) | | (290) | |
| Total | $ | 673 | | $ | (1,475) | | $ | (802) | |
Loans (net of unearned income)(5) | | | |
| In U.S. offices | $ | (851) | | $ | (1,357) | | $ | (2,208) | |
In offices outside the U.S.(3) | (124) | | (1,413) | | (1,537) | |
| Total | $ | (975) | | $ | (2,770) | | $ | (3,745) | |
Other interest-earning assets(6) | $ | 5 | | $ | (190) | | $ | (185) | |
| Total interest revenue | $ | 400 | | $ | (7,116) | | $ | (6,716) | |
(1)Interest revenue and Net interest revenue include the taxable equivalent adjustments discussed in the table above.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes cash-basis loans.
(6)Includes Brokerage receivables.
Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3)
| | | | | | | | | | | |
| | Six Months 2021 vs. Six Months 2020 |
| | Increase (decrease)
due to change in: |
| In millions of dollars | Average
volume | Average
rate | Net
change |
| Deposits | | | |
| In U.S. offices | $ | 169 | | $ | (1,269) | | $ | (1,100) | |
In offices outside the U.S.(3) | 175 | | (1,151) | | (976) | |
| Total | $ | 344 | | $ | (2,420) | | $ | (2,076) | |
| Securities loaned and sold under agreements to repurchase | | | |
| In U.S. offices | $ | 31 | | $ | (648) | | $ | (617) | |
In offices outside the U.S.(3) | 126 | | (534) | | (408) | |
| Total | $ | 157 | | $ | (1,182) | | $ | (1,025) | |
Trading account liabilities(4) | | | |
| In U.S. offices | $ | 51 | | $ | (199) | | $ | (148) | |
In offices outside the U.S.(3) | 59 | | (30) | | 29 | |
| Total | $ | 110 | | $ | (229) | | $ | (119) | |
Short-term borrowings and other interest bearing liabilities(5) | | | |
| In U.S. offices | $ | (78) | | $ | (369) | | $ | (447) | |
In offices outside the U.S.(3) | 4 | | (19) | | (15) | |
| Total | $ | (74) | | $ | (388) | | $ | (462) | |
| Long-term debt | | | |
| In U.S. offices | $ | (139) | | $ | (720) | | $ | (859) | |
In offices outside the U.S.(3) | 2 | | 15 | | 17 | |
| Total | $ | (137) | | $ | (705) | | $ | (842) | |
| Total interest expense | $ | 400 | | $ | (4,924) | | $ | (4,524) | |
| Net interest revenue | $ | — | | $ | (2,192) | | $ | (2,192) | |
(1)Interest revenue and Net interest revenue include the taxable equivalent adjustments discussed in the table above.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes Brokerage payables.
|
| | | | | | | | | |
| | Nine Months 2017 vs. Nine Months 2016 |
| | Increase (decrease) due to change in: |
| In millions of dollars | Average volume | Average rate | Net change(2) |
Deposits with banks(4) | $ | 236 |
| $ | 217 |
| $ | 453 |
|
| Federal funds sold and securities borrowed or purchased under agreements to resell | | | |
| In U.S. offices | $ | (52 | ) | $ | 293 |
| $ | 241 |
|
In offices outside the U.S.(4) | 206 |
| (47 | ) | 159 |
|
| Total | $ | 154 |
| $ | 246 |
| $ | 400 |
|
Trading account assets(5) | | | |
| In U.S. offices | $ | (119 | ) | $ | (37 | ) | $ | (156 | ) |
In offices outside the U.S.(4) | 110 |
| (166 | ) | (56 | ) |
| Total | $ | (9 | ) | $ | (203 | ) | $ | (212 | ) |
Investments(1) | | | |
| In U.S. offices | $ | (57 | ) | $ | 407 |
| $ | 350 |
|
In offices outside the U.S.(4) | 16 |
| 53 |
| 69 |
|
| Total | $ | (41 | ) | $ | 460 |
| $ | 419 |
|
Loans (net of unearned income)(6) | | | |
| In U.S. offices | $ | 629 |
| $ | 748 |
| $ | 1,377 |
|
In offices outside the U.S.(4) | (23 | ) | (264 | ) | (287 | ) |
| Total | $ | 606 |
| $ | 484 |
| $ | 1,090 |
|
| Other interest-earning assets | $ | 71 |
| $ | 66 |
| $ | 137 |
|
| Total interest revenue | $ | 1,017 |
| $ | 1,270 |
| $ | 2,287 |
|
Deposits(7) | | | |
| In U.S. offices | $ | 103 |
| $ | 535 |
| $ | 638 |
|
In offices outside the U.S.(4) | 30 |
| 172 |
| 202 |
|
| Total | $ | 133 |
| $ | 707 |
| $ | 840 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase | | | |
| In U.S. offices | $ | (48 | ) | $ | 362 |
| $ | 314 |
|
In offices outside the U.S.(4) | 14 |
| 65 |
| 79 |
|
| Total | $ | (34 | ) | $ | 427 |
| $ | 393 |
|
Trading account liabilities(5) | | | |
| In U.S. offices | $ | 34 |
| $ | 54 |
| $ | 88 |
|
In offices outside the U.S.(4) | 41 |
| 47 |
| 88 |
|
| Total | $ | 75 |
| $ | 101 |
| $ | 176 |
|
| Short-term borrowings | | | |
| In U.S. offices | $ | 39 |
| $ | 260 |
| $ | 299 |
|
In offices outside the U.S.(4) | 57 |
| 63 |
| 120 |
|
| Total | $ | 96 |
| $ | 323 |
| $ | 419 |
|
| Long-term debt | | | |
| In U.S. offices | $ | 255 |
| $ | 707 |
| $ | 962 |
|
In offices outside the U.S.(4) | (55 | ) | 12 |
| (43 | ) |
| Total | $ | 200 |
| $ | 719 |
| $ | 919 |
|
| Total interest expense | $ | 470 |
| $ | 2,277 |
| $ | 2,747 |
|
| Net interest revenue | $ | 547 |
| $ | (1,007 | ) | $ | (460 | ) |
| |
(1) | The taxable equivalent adjustment is based on the U.S. Federal statutory tax rate of 35% and is included in this presentation. |
| |
(2) | Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change. |
| |
(3) | Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations.
|
| |
(4) | Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries. |
| |
(5) | Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in Trading account assets and Trading account liabilities, respectively.
|
| |
(6) | Includes cash-basis loans. |
| |
(7) | The interest expense on deposits includes the FDIC assessment and deposit insurance fees and charges of $936 million and $838 million for the nine months ended September 30, 2017 and 2016, respectively. |
Market Risk of Trading Portfolios
For additional information on Citi’s market risk of trading portfolios, see “Market Risk—Market Risk of Trading Portfolios” in Citi’s 2016 Annual Report on Form 10-K.
Value at Risk (VAR)
Citi believes its VAR model is conservatively calibrated to incorporate fat-tail scaling and the greater of short-term (approximately the most recent month) and long-term (three years) market volatility. As of SeptemberJune 30, 2017,2021, Citi estimates that the conservative features of itsthe VAR calibration contribute an approximate 22%35% add-on (unchanged from June 30, 2017) to what would be a VAR estimated under the assumption of stable and perfectly, normalnormally distributed markets.
As of March 31, 2021, the add-on was 34%.As set forth in the table below, Citi'sCiti’s average trading VAR as of September 30, 2017 decreased compared to June 30, 2017. The change wasincreased quarter-over-quarter, mainly due to lower credit spread exposures and volatilitiesan increase in the markets businesses within ICG, partially offset by higherexposure from interest rate risk fromhedges, increased mark-to-market hedging activity against non-trading positions.yield curve positioning and commodities exposures, all in ICG’s Markets businesses. Citi’s average trading and credit portfolio VAR also increased quarter-over-quarter, largely driven by the same factors.
Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
| | | | | Third Quarter | | Second Quarter | | Third Quarter | | Second Quarter | | First Quarter | | Second Quarter |
| In millions of dollars | September 30, 2017 | 2017 Average | June 30, 2017 | 2017 Average | September 30, 2016 | 2016 Average | In millions of dollars | June 30, 2021 | 2021 Average | March 31, 2021 | 2021 Average | June 30, 2020 | 2020 Average |
| Interest rate | $ | 63 |
| $ | 63 |
| $ | 48 |
| $ | 52 |
| $ | 30 |
| $ | 34 |
| Interest rate | $ | 62 | | $ | 76 | | $ | 68 | | $ | 66 | | $ | 95 | | $ | 78 | |
| Credit spread | 43 |
| 44 |
| 52 |
| 49 |
| 73 |
| $ | 62 |
| Credit spread | 77 | | 73 | | 67 | | 72 | | 89 | | 137 | |
Covariance adjustment(1) | (28 | ) | (23 | ) | (15 | ) | (15 | ) | (28 | ) | (31 | ) | Covariance adjustment(1) | (35) | | (44) | | (43) | | (43) | | (60) | | (61) | |
Fully diversified interest rate and credit spread(2) | $ | 78 |
| $ | 84 |
| $ | 85 |
| $ | 86 |
| $ | 75 |
| $ | 65 |
| Fully diversified interest rate and credit spread(2) | $ | 104 | | $ | 105 | | $ | 92 | | $ | 95 | | $ | 124 | | $ | 154 | |
| Foreign exchange | 26 |
| 26 |
| 23 |
| 23 |
| 16 |
| 26 |
| Foreign exchange | 35 | | 42 | | 45 | | 45 | | 23 | | 28 | |
| Equity | 15 |
| 13 |
| 15 |
| 15 |
| 9 |
| 12 |
| Equity | 23 | | 31 | | 37 | | 30 | | 27 | | 50 | |
| Commodity | 20 |
| 23 |
| 20 |
| 21 |
| 22 |
| 23 |
| Commodity | 48 | | 35 | | 30 | | 29 | | 25 | | 27 | |
Covariance adjustment(1) | (64 | ) | (65 | ) | (53 | ) | (59 | ) | (53 | ) | (62 | ) | Covariance adjustment(1) | (107) | | (104) | | (105) | | (97) | | (73) | | (107) | |
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2) | $ | 75 |
| $ | 81 |
| $ | 90 |
| $ | 86 |
| $ | 69 |
| $ | 64 |
| Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2) | $ | 103 | | $ | 109 | | $ | 99 | | $ | 102 | | $ | 126 | | $ | 152 | |
Specific risk-only component(3) | $ | 3 |
| $ | 2 |
| $ | 1 |
| $ | 1 |
| $ | 7 |
| $ | 6 |
| Specific risk-only component(3) | $ | (4) | | $ | (3) | | $ | (2) | | $ | 5 | | $ | (20) | | $ | (9) | |
Total trading VAR—general market risk factors only (excluding credit portfolios) | $ | 72 |
| $ | 79 |
| $ | 89 |
| $ | 85 |
| $ | 62 |
| $ | 58 |
| Total trading VAR—general market risk factors only (excluding credit portfolios) | $ | 107 | | $ | 112 | | $ | 101 | | $ | 97 | | $ | 146 | | $ | 161 | |
Incremental impact of the credit portfolio(4)(5) | $ | 8 |
| $ | 8 |
| $ | 5 |
| $ | 10 |
| $ | 21 |
| $ | 21 |
| |
Incremental impact of the credit portfolio(4) | | Incremental impact of the credit portfolio(4) | $ | 27 | | $ | 25 | | $ | 28 | | $ | 21 | | $ | 16 | | $ | 93 | |
| Total trading and credit portfolio VAR | $ | 83 |
| $ | 89 |
| $ | 95 |
| $ | 96 |
| $ | 90 |
| $ | 85 |
| Total trading and credit portfolio VAR | $ | 130 | | $ | 134 | | $ | 127 | | $ | 123 | | $ | 142 | | $ | 245 | |
| |
(1) | Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each individual risk type. The benefit reflects the fact that the risks within each and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each individual risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes. |
| |
(2) | The total trading VAR includes mark-to-market and certain fair value option trading positions in ICG,with the exception of hedges to the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.
|
| |
(3) | The specific risk-only component represents the level of equity and fixed income issuer-specific risk embedded in VAR. |
| |
(4) | The credit portfolio is composed of mark-to-market positions associated with non-trading business units including Citi Treasury, the CVA relating to derivative counterparties and all associated CVA hedges. FVA and DVA are not included. The credit portfolio also includes hedges to the loan portfolio, fair value option loans and hedges to the leveraged finance pipeline within capital markets origination in ICG.
|
| |
(5) | The decrease in the third quarter of 2017 end-of-period and average VAR attributable to the incremental impact of the credit portfolio year-over-year was primarily related to a reduction in the use of credit default swaps used to hedge the corporate loan portfolio. |
(1) Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each risk type. The benefit reflects the fact that the risks within individual and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes.
(2) The total trading VAR includes mark-to-market and certain fair value option trading positions in ICG,with the exception of hedges to the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.
(3) The specific risk-only component represents the level of equity and fixed income issuer-specific risk embedded in VAR.
(4) The credit portfolio is composed of mark-to-market positions associated with non-trading business units including Citi Treasury, the CVA relating to derivative counterparties and all associated CVA hedges. FVA and DVA are not included. The credit portfolio also includes hedges to the loan portfolio, fair value option loans and hedges to the leveraged finance pipeline within capital markets origination in ICG.
The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:
| | | | Third Quarter | Second Quarter | Third Quarter | | Second Quarter | First Quarter | Second Quarter |
| | 2017 | 2017 | 2016 | | 2021 | 2021 | 2020 |
| In millions of dollars | Low | High | Low | High | Low | High | In millions of dollars | Low | High | Low | High | Low | High |
| Interest rate | $ | 33 |
| $ | 97 |
| $ | 33 |
| $ | 72 |
| $ | 27 |
| $ | 47 |
| Interest rate | $ | 57 | | $ | 96 | | $ | 51 | | $ | 84 | | $ | 44 | | $ | 137 | |
| Credit spread | 38 |
| 52 |
| 47 |
| 53 |
| 55 |
| 73 |
| Credit spread | 65 | | 86 | | 63 | | 82 | | 89 | | 171 | |
| | Fully diversified interest rate and credit spread | $ | 59 |
| $ | 108 |
| $ | 67 |
| $ | 107 |
| $ | 59 |
| $ | 75 |
| Fully diversified interest rate and credit spread | $ | 90 | | $ | 123 | | $ | 86 | | $ | 106 | | $ | 112 | | $ | 223 | |
| Foreign exchange | 19 |
| 38 |
| 17 |
| 28 |
| 15 |
| 46 |
| Foreign exchange | 34 | | 48 | | 41 | | 49 | | 20 | | 34 | |
| Equity | 8 |
| 18 |
| 10 |
| 24 |
| 6 |
| 22 |
| Equity | 23 | | 43 | | 21 | | 37 | | 23 | | 135 | |
| Commodity | 14 |
| 31 |
| 14 |
| 30 |
| 19 |
| 31 |
| Commodity | 26 | | 50 | | 17 | | 42 | | 17 | | 64 | |
| | Total trading | $ | 58 |
| $ | 106 |
| $ | 67 |
| $ | 116 |
| $ | 53 |
| $ | 72 |
| Total trading | $ | 90 | | $ | 130 | | $ | 89 | | $ | 120 | | $ | 106 | | $ | 246 | |
| Total trading and credit portfolio | 67 |
| 112 |
| 78 |
| 123 |
| 72 |
| 97 |
| Total trading and credit portfolio | 116 | | 159 | | 108 | | 139 | | 120 | | 424 | |
Note: No covariance adjustment can be inferred from the above table as the high and low for each market factor will be from different close-of-business dates.
The following table provides the VAR for ICG, excluding the CVA relating to derivative counterparties, hedges of CVA, fair value option loans and hedges to the loan portfolio:
| | | | | |
| In millions of dollars | June 30, 2021 |
Total—all market risk factors, including
general and specific risk | |
| Average—during quarter | $ | 112 | |
| High—during quarter | 134 | |
| Low—during quarter | 90 | |
|
| | | |
| In millions of dollars | Sept. 30, 2017 |
Total—all market risk factors, including general and specific risk | $ | 73 |
|
| Average—during quarter | $ | 80 |
|
| High—during quarter | 107 |
|
| Low—during quarter | 57 |
|
Regulatory VAR Back-testing
In accordance with Basel III, Citi is required to perform back-testing to evaluate the effectiveness of its Regulatory VAR model. Regulatory VAR back-testing is the process in which the daily one-day VAR, at a 99% confidence interval, is compared to the buy-and-hold profit and loss (i.e., the profit and loss impact if the portfolio is held constant at the end of the day and re-priced the following day). Buy-and-hold profit and loss represents the daily mark-to-market profit and loss attributable to price movements in covered positions from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, fees and commissions, intra-day trading profit and loss and changes in reserves.
Based on a 99% confidence level, Citi would expect two to three days in any one year where buy-and-hold losses exceededexceed 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 SeptemberJune 30, 2017,2021, there was onewere no back-testing exceptionexceptions observed for Citi’s Regulatory VAR for the prior 12 months. As previously disclosed, 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.
STRATEGIC RISK
For additional information on countryregarding strategic risk, at Citi,including Citi’s management of strategic risk, see “Country“Managing Global Risk—Strategic Risk” in Citi’s 2016First Quarter of 2021 Form 10-Q and Citi’s 2020 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 SeptemberJune 30, 2017. For2021. (Including the U.S, the total exposure as of June 30, 2021 to the top 25 countries would represent approximately 96% of Citi’s exposure to all countries.)
For purposes of the table, loan amounts are reflected in the country
where the loan is booked, which is generally based on the
domicile of the borrower. For example, a loan to a Chinese
Chinese subsidiary of a Switzerland-based corporation will generally
be categorized as a loan in China. In addition, Citi has
developed regional booking centers in certain countries, most
significantly in the United Kingdom (U.K.) and Ireland, in
order to more efficiently serve its corporate customers. As an
example, with respect to the U.K., only 24%32% of corporate
loans presented in the table below are to U.K. domiciled
entities (24%(33% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 80%83% of the total U.K. funded loans and 90%84% of
the total U.K. unfunded commitments were investment grade
as of SeptemberJune 30, 2017. 2021.
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| In billions of dollars | ICG loans(1) | GCB loans | Other funded(2) | Unfunded(3) | Net MTM on derivatives/repos(4) | Total hedges (on loans and CVA) | Investment securities(5) | Trading account assets(6) | Total
as of
2Q21 | Total
as of
1Q21 | Total
as of
2Q20 | Total as a % of Citi as of 2Q21 |
| United Kingdom | $ | 45.9 | | $ | — | | $ | 1.6 | | $ | 53.6 | | $ | 15.2 | | $ | (5.3) | | $ | 4.7 | | $ | (3.0) | | $ | 112.7 | | $ | 115.3 | | $ | 109.7 | | 6.3 | % |
| Mexico | 14.2 | | 13.5 | | 0.3 | | 7.7 | | 3.4 | | (0.9) | | 20.8 | | 3.5 | | 62.5 | | 62.2 | | 59.1 | | 3.5 | |
| Hong Kong | 21.4 | | 14.1 | | 0.3 | | 7.4 | | 1.0 | | (0.7) | | 8.1 | | 1.0 | | 52.6 | | 47.8 | | 49.1 | | 2.9 | |
| Ireland | 12.8 | | — | | 1.0 | | 29.1 | | 0.6 | | (0.2) | | — | | 0.5 | | 43.8 | | 44.1 | | 42.0 | | 2.4 | |
| Singapore | 15.3 | | 13.8 | | 0.2 | | 5.9 | | 1.0 | | (0.6) | | 6.1 | | 1.9 | | 43.6 | | 41.5 | | 46.8 | | 2.4 | |
| South Korea | 3.2 | | 17.7 | | 0.1 | | 2.3 | | 2.2 | | (0.8) | | 10.4 | | 1.6 | | 36.7 | | 35.0 | | 32.7 | | 2.0 | |
| India | 7.0 | | 3.8 | | 1.1 | | 5.7 | | 1.6 | | (0.6) | | 8.8 | | 0.3 | | 27.7 | | 29.6 | | 28.5 | | 1.5 | |
| Brazil | 11.5 | | — | | — | | 3.1 | | 4.2 | | (0.6) | | 4.6 | | 3.3 | | 26.1 | | 23.7 | | 25.4 | | 1.5 | |
| Australia | 4.8 | | 9.2 | | — | | 6.9 | | 1.6 | | (0.4) | | 1.4 | | 1.4 | | 24.9 | | 23.1 | | 20.2 | | 1.4 | |
| China | 8.5 | | 3.6 | | 0.7 | | 2.3 | | 1.5 | | (0.5) | | 6.1 | | (2.4) | | 19.8 | | 21.1 | | 19.2 | | 1.1 | |
| Germany | 0.2 | | — | | 0.1 | | 6.0 | | 5.4 | | (3.7) | | 6.7 | | 4.7 | | 19.4 | | 25.8 | | 24.6 | | 1.1 | |
| Canada | 2.0 | | 0.5 | | 0.1 | | 7.7 | | 2.3 | | (0.9) | | 4.3 | | 1.9 | | 17.9 | | 16.1 | | 17.8 | | 1.0 | |
| Taiwan | 5.3 | | 8.4 | | 0.1 | | 1.2 | | 1.1 | | (0.1) | | 0.2 | | 1.1 | | 17.3 | | 17.0 | | 16.7 | | 1.0 | |
| Japan | 2.4 | | — | | 0.1 | | 3.1 | | 3.5 | | (1.6) | | 5.1 | | 4.0 | | 16.6 | | 18.9 | | 18.5 | | 0.9 | |
| Jersey | 6.8 | | — | | 0.6 | | 7.7 | | — | | (0.1) | | — | | — | | 15.0 | | 14.0 | | 12.0 | | 0.8 | |
| United Arab Emirates | 7.6 | | 1.3 | | — | | 3.7 | | 0.3 | | (0.3) | | 1.6 | | — | | 14.2 | | 13.5 | | 12.9 | | 0.8 | |
| Poland | 3.3 | | 1.9 | | — | | 2.7 | | 0.2 | | (0.1) | | 3.0 | | 0.5 | | 11.5 | | 11.4 | | 15.1 | | 0.6 | |
| Malaysia | 1.5 | | 3.4 | | 0.1 | | 0.9 | | 0.1 | | — | | 1.9 | | 0.4 | | 8.3 | | 8.4 | | 9.1 | | 0.5 | |
| Thailand | 0.9 | | 2.7 | | — | | 2.2 | | 0.1 | | — | | 1.5 | | 0.1 | | 7.5 | | 7.4 | | 7.8 | | 0.4 | |
| Indonesia | 2.1 | | 0.6 | | — | | 1.5 | | 0.2 | | (0.1) | | 1.7 | | — | | 6.0 | | 6.1 | | 5.9 | | 0.3 | |
| Luxembourg | 1.0 | | — | | — | | — | | 0.3 | | (0.6) | | 5.1 | | 0.1 | | 5.9 | | 5.5 | | 6.7 | | 0.3 | |
| Russia | 2.2 | | 0.8 | | — | | 0.8 | | 0.2 | | — | | 1.6 | | (0.2) | | 5.4 | | 5.1 | | 5.4 | | 0.3 | |
| Philippines | 0.8 | | 1.2 | | 0.1 | | 0.6 | | 0.2 | | — | | 1.4 | | (0.2) | | 4.1 | | 4.1 | | 5.4 | | 0.2 | |
| South Africa | 1.5 | | — | | — | | 0.6 | | 0.2 | | (0.1) | | 1.7 | | (0.2) | | 3.7 | | 3.6 | | 4.0 | | 0.2 | |
| Czech Republic | 0.9 | | — | | — | | 0.7 | | 1.3 | | — | | 0.6 | | 0.1 | | 3.6 | | 4.5 | | 3.4 | | 0.2 | |
| Total as a % of Citi’s total exposure | | | | | | | 33.6 | % |
| Total as a % of Citi’s non-U.S. total exposure | | | | | | | 90.9 | % |
(1) ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of June 30, 2021, private bank loans in the table above totaled $33.4 billion, concentrated in Hong Kong ($10 billion), the U.K. ($8.8 billion) and Singapore ($7.3 billion).
(2) Other funded includes other direct exposures such as accounts receivable, loans HFS, other loans in Corporate/Other and investments accounted for under the equity method.
(3) Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.
(4) Net mark-to-market counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.
(5) Investment securities include debt securities available-for-sale, recorded at fair market value, and debt securities held-to-maturity, recorded at amortized cost.
(6) Trading account assets are shown on a discussionnet basis and include issuer risk on cash products and derivative exposure where the underlying reference entity/issuer is located in that country.
Argentina
Citi operates in Argentina through its ICG businesses. As of uncertainties arisingJune 30, 2021, Citi’s net investment in its Argentine operations was approximately $1.2 billion. Citi uses the U.S. dollar as the functional currency for its operations in Argentina because the Argentine economy is considered highly inflationary under U.S. GAAP.
As previously disclosed, the government of Argentina has continued to maintain certain capital and currency controls that restrict Citi’s ability to access U.S. dollars in Argentina and remit earnings from its Argentine operations. Citi’s net investment in its Argentine operations is likely to increase as Citi generates net income in its Argentine franchise and its earnings are unable to be remitted.
Citi economically hedges the foreign currency risk in its net Argentine peso-denominated assets to the extent possible and prudent using non-deliverable forward (NDF) derivative instruments that are primarily executed outside of Argentina. As of June 30, 2021, the international NDF market had very limited liquidity, resulting in Citi’s being unable to economically hedge nearly all of its Argentine peso exposure. As a result, ofand to the voteextent that Citi does not execute NDF contracts for this unhedged exposure in the U.K.future, Citi would record devaluations on its net Argentine peso‐denominated assets in earnings, without any benefit from a change in the fair value of derivative positions used to withdraw fromeconomically hedge the EU,exposure.
Citi continually evaluates its economic exposure to its Argentine counterparties and reserves for changes in credit risk and sovereign risk associated with its Argentine assets. Citi believes it has established appropriate allowances for credit losses on its Argentine loans, and appropriate fair value adjustments on Argentine assets and liabilities measured at fair value, for such risks under U.S. GAAP as of June 30, 2021. However, U.S. regulatory agencies may require Citi to record additional reserves in the future, increasing ICG’s cost of credit, based on the perceived country risk associated with its Argentine exposures. For additional information on emerging markets risks, see “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES
This section contains a summary of Citi’s most significant accounting policies. Note 1 to the Consolidated Financial Statements in Citigroup’s 20162020 Annual Report on Form 10-K contains a summary of all of Citigroup’s significant accounting policies. These policies, as well as estimates made by management, are integral to the presentation of Citi’s results of operations and financial condition. While all of these policies require a certain level of management judgment and estimates, this section highlights and discusses the significant accounting policies that require management to make highly difficult, complex or subjective judgments and estimates at times regarding matters that are inherently uncertain and susceptible to change (see also “Risk Factors—Operational Risks” in Citigroup’s 2020 Annual Report on Form 10-K). Management has discussed each of these significant accounting policies, the related estimates and its judgments with the Audit Committee of the Citigroup Board of Directors.
Valuations of Financial Instruments
Citigroup holds debt and equity securities, derivatives, retained interests in securitizations, investments in private equity and other financial instruments. A substantial portion of these assets and liabilities is reflected at fair value on Citi’s Consolidated Balance Sheet as Trading account assets, Available-for-sale securities and Trading account liabilities.
Citi purchases securities under agreements to resell (reverse repos or resale agreements) and sells securities under agreements to repurchase (repos), a substantial portion of which is carried at fair value. In addition, certain loans, short-term borrowings, long-term debt and deposits, as well as certain securities borrowed and loaned positions that are collateralized with cash, are carried at fair value. Citigroup holds its investments, trading assets and liabilities, and resale and repurchase agreements on Citi’s Consolidated Balance Sheet to meet customer needs and to manage liquidity needs, interest rate risks and private equity investing.
When available, Citi generally uses quoted market prices to determine fair value and classifies such items within Level 1 of the fair value hierarchy established under ASC 820-10, Fair Value Measurement. If quoted market prices are not available, fair value is based upon internally developed valuation models that use, where possible, current market-based or independently sourced market parameters, such as interest rates, currency rates and option volatilities. Such models are often based on a discounted cash flow analysis. In addition, items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified under the fair value hierarchy as Level 3 even though there may be some significant inputs that are readily observable.
Citi is required to exercise subjective judgments relating to the applicability and functionality of internal valuation models, the significance of inputs or value drivers to the valuation of an instrument and the degree of illiquidity and subsequent lack of observability in certain markets. The fair value of these instruments is reported on Citi’s Consolidated Balance Sheet where the changes in fair value are recognized in either the Consolidated Statement of Income or in AOCI.
Losses on available-for-sale securities whose fair values are less than the amortized cost, where Citi intends to sell the security or could more-likely-than-not be required to sell the security, are recognized in earnings. Where Citi does not intend to sell the security nor could more-likely-than-not be required to sell the security, the portion of the loss related to credit is recognized as an allowance for credit losses with a corresponding provision for credit losses and the remainder of the loss is recognized in other comprehensive income. Such losses are capped at the difference between the fair value and amortized cost of the security.
For equity securities carried at cost or under the measurement alternative, decreases in fair value below the carrying value are recognized as impairment in the Consolidated Statement of Income. Moreover, for certain equity method investments, decreases in fair value are only recognized in earnings in the Consolidated Statement of Income if such decreases are judged to be an other-than-temporary impairment (OTTI). Adjudicating the temporary nature of fair value impairments is also inherently judgmental.
The fair value of financial instruments incorporates the effects of Citi’s own credit risk and the market view of counterparty credit risk, the quantification of which is also complex and judgmental. For additional information on Citi’s fair value analysis, see Notes 6, 20 and 21 to the Consolidated Financial Statements in this Form 10-Q and Note 1 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
Citi’s Allowance for Credit Losses (ACL)
The table below shows Citi’s ACL as of the second quarter of 2021. For information on the drivers of Citi’s ACL release in the second quarter, see below. For additional information on Citi’s accounting policy on accounting for credit losses under CECL, see Note 1 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| In billions of dollars | ICG loans(1) | GCB loans(2) | Other funded(3) | Unfunded(4) | Net MTM on derivatives/repos(5) | Total hedges (on loans and CVA) | Investment securities(6) | Trading account assets(7) | Total as of 3Q17 | Total as of 2Q17 | Total as of 4Q16 |
| United Kingdom | $ | 35.0 |
| $ | — |
| $ | 3.5 |
| $ | 55.2 |
| $ | 10.6 |
| $ | (2.5 | ) | $ | 7.3 |
| $ | 1.1 |
| $ | 110.2 |
| $ | 111.8 |
| $ | 107.5 |
|
| Mexico | 8.9 |
| 26.6 |
| 0.4 |
| 6.8 |
| 0.7 |
| (0.7 | ) | 13.7 |
| 6.4 |
| 62.8 |
| 61.3 |
| 52.4 |
|
| Singapore | 14.9 |
| 12.0 |
| 0.2 |
| 5.9 |
| 0.9 |
| (0.3 | ) | 9.7 |
| 0.5 |
| 43.8 |
| 41.2 |
| 36.4 |
|
| Hong Kong | 15.4 |
| 10.8 |
| 1.2 |
| 6.1 |
| 1.1 |
| (0.5 | ) | 5.4 |
| 1.3 |
| 40.8 |
| 39.7 |
| 35.9 |
|
| Korea | 2.3 |
| 18.8 |
| 0.3 |
| 3.2 |
| 2.3 |
| (0.9 | ) | 6.7 |
| 1.5 |
| 34.2 |
| 35.1 |
| 34.0 |
|
| Ireland | 11.5 |
| — |
| 0.7 |
| 15.3 |
| 0.5 |
| — |
| — |
| 0.8 |
| 28.8 |
| 28.9 |
| 24.8 |
|
| India | 7.0 |
| 6.6 |
| 0.6 |
| 4.7 |
| 1.5 |
| (1.1 | ) | 8.3 |
| 1.1 |
| 28.7 |
| 33.4 |
| 30.9 |
|
Brazil(2) | 12.6 |
| 1.8 |
| — |
| 3.7 |
| 5.4 |
| (2.0 | ) | 3.3 |
| 3.2 |
| 28.0 |
| 27.3 |
| 28.5 |
|
| Australia | 4.6 |
| 10.9 |
| — |
| 5.7 |
| 2.2 |
| (0.8 | ) | 4.0 |
| 0.4 |
| 27.0 |
| 23.7 |
| 22.4 |
|
| China | 7.7 |
| 4.6 |
| 0.3 |
| 1.7 |
| 2.6 |
| (1.0 | ) | 4.0 |
| 0.9 |
| 20.8 |
| 19.4 |
| 17.2 |
|
| Japan | 2.4 |
| 0.1 |
| 0.1 |
| 2.7 |
| 5.4 |
| (1.2 | ) | 4.6 |
| 4.7 |
| 18.8 |
| 18.6 |
| 18.3 |
|
| Germany | 0.1 |
| — |
| — |
| 4.2 |
| 4.7 |
| (2.1 | ) | 9.5 |
| 2.2 |
| 18.6 |
| 19.5 |
| 16.0 |
|
| Taiwan | 5.0 |
| 8.8 |
| 0.1 |
| 1.1 |
| 0.9 |
| (0.2 | ) | 1.4 |
| 1.4 |
| 18.5 |
| 18.4 |
| 16.6 |
|
| Canada | 2.0 |
| 0.7 |
| 0.6 |
| 6.8 |
| 1.9 |
| (0.7 | ) | 4.7 |
| — |
| 16.0 |
| 16.3 |
| 17.0 |
|
| Poland | 3.3 |
| 1.9 |
| — |
| 3.1 |
| 0.1 |
| (0.3 | ) | 5.2 |
| 0.3 |
| 13.6 |
| 13.1 |
| 11.8 |
|
| Malaysia | 1.4 |
| 4.6 |
| 0.3 |
| 1.6 |
| 0.1 |
| (0.1 | ) | 0.9 |
| 0.3 |
| 9.1 |
| 9.0 |
| 9.3 |
|
| Thailand | 0.9 |
| 2.1 |
| 0.1 |
| 2.1 |
| 0.1 |
| — |
| 1.1 |
| 0.6 |
| 7.0 |
| 7.0 |
| 5.8 |
|
| United Arab Emirates | 3.1 |
| 1.5 |
| 0.1 |
| 2.2 |
| 0.3 |
| (0.3 | ) | — |
| (0.2 | ) | 6.7 |
| 6.2 |
| 6.0 |
|
| Indonesia | 1.9 |
| 1.1 |
| 0.2 |
| 1.3 |
| 0.2 |
| (0.2 | ) | 1.3 |
| 0.4 |
| 6.2 |
| 5.7 |
| 5.2 |
|
| Luxembourg | 0.1 |
| — |
| — |
| — |
| 0.6 |
| (0.3 | ) | 5.2 |
| 0.5 |
| 6.1 |
| 5.8 |
| 5.4 |
|
| Russia | 2.1 |
| 1.0 |
| — |
| 1.0 |
| 0.2 |
| (0.2 | ) | 0.8 |
| 0.1 |
| 5.0 |
| 4.7 |
| 5.3 |
|
Colombia(2) | 1.9 |
| 1.6 |
| — |
| 1.0 |
| 0.3 |
| (0.1 | ) | 0.3 |
| (0.1 | ) | 4.9 |
| 5.3 |
| 5.6 |
|
| Jersey | 2.9 |
| — |
| — |
| 1.6 |
| — |
| — |
| — |
| — |
| 4.5 |
| 4.1 |
| 3.7 |
|
| Argentina | 1.9 |
| — |
| — |
| 0.1 |
| 1.2 |
| (0.4 | ) | 0.4 |
| 1.1 |
| 4.3 |
| 3.0 |
| 2.2 |
|
| South Africa | 1.5 |
| — |
| — |
| 1.0 |
| 0.7 |
| (0.3 | ) | 1.4 |
| — |
| 4.3 |
| 3.9 |
| 3.9 |
|
| |
(1) | ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of September 30, 2017, private bank loans in the table above totaled $23.3 billion, concentrated in Singapore ($7.2 billion), Hong Kong ($6.5 billion) and the U.K. ($5.4 billion).
|
| |
(2) | GCB loans include funded loans in Brazil and Colombia related to businesses that were transferred to Corporate/Other as of January 1, 2016 (Brazil GCB loans are recorded as HFS in Other assets on the Consolidated Balance Sheet).
|
| |
(3) | Other funded includes other direct exposure such as accounts receivable, loans held-for-sale, other loans in 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 / 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 entity/issuer is located in that country. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | ACL |
| In millions of dollars | Balance Dec. 31, 2020 | 1Q21
build
(release) | 1Q21 FX/Other | Balance Mar. 31, 2021 | 2Q21
build
(release) | 2Q21 FX/Other | Balance Jun. 30, 2021 | | | | | | | ACLL/EOP loans Jun. 30, 2021(1) |
Cards(1) | $ | 16,805 | | $ | (1,523) | | $ | (42) | | $ | 15,240 | | $ | (1,106) | | $ | 25 | | $ | 14,159 | | | | | | | | 9.72 | % |
All other GCB | 2,419 | | (283) | | (42) | | 2,094 | | (292) | | 28 | | 1,830 | | | | | | | | |
| Global Consumer Banking | $ | 19,224 | | $ | (1,806) | | $ | (84) | | $ | 17,334 | | $ | (1,398) | | $ | 53 | | $ | 15,989 | | | | | | | | 5.90 | % |
| Institutional Clients Group | 5,402 | | (1,312) | | (6) | | 4,084 | | (949) | | (8) | | 3,127 | | | | | | | | 0.80 | |
| Corporate/Other | 330 | | (109) | | (1) | | 220 | | (99) | | 1 | | 122 | | | | | | | | |
| Allowance for credit losses on loans (ACLL) | $ | 24,956 | | $ | (3,227) | | $ | (91) | | $ | 21,638 | | $ | (2,446) | | $ | 46 | | $ | 19,238 | | | | | | | | 2.88 | % |
| Allowance for credit losses on unfunded lending commitments (ACLUC) | 2,655 | | (626) | | (17) | | 2,012 | | 44 | | 17 | | 2,073 | | | | | | | | |
| Other | 146 | | 1 | | (1) | | 146 | | 1 | | 1 | | 148 | | | | | | | | |
| Total ACL | $ | 27,757 | | $ | (3,852) | | $ | (109) | | $ | 23,796 | | $ | (2,401) | | $ | 64 | | $ | 21,459 | | | | | | | | |
(1) As of June 30, 2021, in North America GCB, Citi-branded cards ACLL/EOP loans was 8.6% and Citi retail services ACLL/EOP loans was 12.7%.
Citi’s reserves for expected credit losses on funded loans and unfunded lending commitments, standby letters of credit and financial guarantees are reflected on the Consolidated Balance Sheet in the Allowance for credit losses on loans (ACLL) and Other liabilities (Allowance for credit losses on unfunded lending commitments (ACLUC)), respectively. In addition, Citi reserves for expected credit losses on other financial assets carried at amortized cost, including held-to-maturity securities, reverse repurchase agreements, securities borrowed, deposits with banks and other financial receivables. These reserves, together with the ACLL and ACLUC, are referred to as the ACL.Changes in the ACL are reflected as Provision for credit losses in the Consolidated Statement of Income each reporting period.
The ACL is composed of quantitative and qualitative management adjustment components. The quantitative component uses a forward-looking base macroeconomic forecast. The qualitative management adjustment component reflects economic uncertainty using alternative downside macroeconomic scenarios and portfolio characteristics and current economic conditions not captured in the quantitative component, such as adjustments to reflect uncertainty around the estimated impact of the pandemic on credit losses. Both the quantitative and qualitative management adjustment components are further discussed below.
Quantitative Component
Citi estimates expected credit losses for its quantitative component using (i) its comprehensive internal data on loss and default history, (ii) internal credit risk ratings, (iii) external credit bureau and rating agencies information, and (iv) a reasonable and supportable forecast of macroeconomic conditions.
For its consumer and corporate portfolios, Citi’s expected credit losses are determined primarily by utilizing models that consider the borrowers’ probability of default (PD), loss given default (LGD) and exposure at default (EAD). The loss likelihood and severity models used for estimating expected credit losses are sensitive to changes in macroeconomic variables that inform the forecasts, and cover a wide range of geographic, industry, product and business segments.
In addition, Citi’s models determine expected credit losses based on leading credit indicators, including loan delinquencies, changes in portfolio size, default frequency, risk ratings and loss recovery rates (among other things), as well as other current economic factors and credit trends, including housing prices, unemployment and gross domestic product (GDP).
Qualitative Component
The qualitative management adjustment component includes, among other things, management adjustments to reflect economic uncertainty based on the likelihood and severity of downside scenarios and certain portfolio characteristics not captured in the quantitative component, such as concentrations, collateral valuation, model limitations, idiosyncratic events and other factors as required by banking supervisory guidance for the ACL. The qualitative management adjustment component also reflects the uncertainty around the estimated impact of the pandemic on credit loss estimates. The ultimate extent of the pandemic’s impact on Citi’s ACL will depend on, among other things, (i) how consumers respond to the conclusion of government stimulus and assistance programs, (ii) the impact on unemployment, (iii) the timing and extent of the economic recovery, (iv) the severity and duration of any resurgence of COVID-19, (v) the rate of distribution and administration of vaccines and (vi) the extent of any market volatility.
2Q21 Changes in the Allowance
In the second quarter of 2021, Citi released $1.5 billion of the ACL for its consumer portfolios and $0.9 billion of the ACL for its corporate portfolios, for a total release of $2.4 billion. The releases in consumer and corporate ACLs were driven primarily by improvements in portfolio quality and macroeconomic forecasts. The overall qualitative management adjustments were largely unchanged compared to the previous quarter. Based on its latest macroeconomic forecast, Citi believes its analysis of the ACL reflects the forward view of the economic analysis as of June 30, 2021.
Macroeconomic Variables
Citi considers a multitude of macroeconomic variables for both the base and downside macroeconomic forecasts it uses to estimate the ACL, including domestic and international variables for its global portfolios and exposures. Citi’s forecasts of the U.S. unemployment rate and U.S. Real GDP growth rate represent the key macroeconomic variables that most significantly affect its estimate of the ACL.
The tables below show Citi’s forecasted quarterly average U.S. unemployment rate and year-over-year U.S. Real GDP growth rate used in determining Citi’s ACL for each quarterly reporting period from 2Q20 to 2Q21:
| | | | | | | | | | | | | | |
| Quarterly average | |
| U.S. unemployment | 3Q21 | 1Q22 | 3Q22 | 13-quarter average(1) |
| Citi forecast at 2Q20 | 6.3 | % | 5.8 | % | 5.6 | % | 7.2 | % |
| Citi forecast at 3Q20 | 6.8 | | 6.3 | | 5.9 | | 6.6 | |
| Citi forecast at 4Q20 | 6.5 | | 6.2 | | 5.9 | | 6.1 | |
| Citi forecast at 1Q21 | 5.2 | | 4.5 | | 3.9 | | 4.3 | |
| Citi forecast at 2Q21 | 5.2 | | 4.2 | | 4.0 | | 4.1 | |
(1) Represents the average unemployment rate for the rolling, forward-looking 13 quarters in the forecast horizon.
| | | | | | | | | | | |
| Year-over-year growth rate(1) |
| Full year |
| U.S. Real GDP | 2021 | 2022 | 2023 |
| Citi forecast at 2Q20 | 5.5 | % | 3.3 | % | 2.1 | % |
| Citi forecast at 3Q20 | 3.3 | | 2.8 | | 2.6 | |
| Citi forecast at 4Q20 | 3.7 | | 2.7 | | 2.6 | |
| Citi forecast at 1Q21 | 6.2 | | 4.1 | | 1.9 | |
| Citi forecast at 2Q21 | 6.5 | | 3.7 | | 2.0 | |
(1) The year-over-year growth rate is the percentage change in the Real (inflation adjusted) GDP level.
Under the base macroeconomic forecast as of 2Q21, U.S. Real GDP growth is expected to remain strong in 2021 and 2022 and the unemployment rate is expected to continue to improve as the U.S. moves past the peak of the pandemic-related health and economic crisis.
Consumer
As discussed above, Citi’s total consumer ACL release (including Corporate/Other) of $1.5 billion in the second quarter of 2021 reduced the ACL balance to $16.1 billion, or 5.84% of total consumer loans at June 30, 2021. The release was primarily driven by the improvements in portfolio credit quality, as well as the improved macroeconomic forecast. Citi’s consumer ACL is largely driven by the cards businesses.
For cards, including Citi’s international businesses, the level of reserves relative to EOP loans decreased to 9.72% at June 30, 2021, compared to 10.72% at March 31, 2021, primarily driven by improvements in portfolio credit quality, as well as the improved macroeconomic forecast. For the remaining consumer exposures, the level of reserves relative to EOP loans decreased to 1.5% at June 30, 2021, compared to 1.8% at March 31, 2021.
Corporate
Citi’s corporate ACLL release of $0.9 billion in the second quarter of 2021 reduced the ACLL reserve balance to $3.1 billion, or 0.80% of total funded loans, and was primarily driven by improvements in portfolio credit quality, as well as the improved macroeconomic forecast.
The Allowance for credit losses on unfunded lending commitments (ACLUC) build of $43 million in the second quarter of 2021 increased the total ACLUC reserve balance included in Other liabilities to $2.1 billion at June 30, 2021.
ACLL and Non-accrual Ratios
At June 30, 2021, the ratio of the allowance for credit losses to total funded loans was 2.88% (5.84% for consumer loans and 0.80% for corporate loans) compared to 3.29% at March 31, 2021 (6.41% for consumer loans and 1.06% for corporateloans).
Citi’s total non-accrual loans were $4.4 billion at June 30, 2021, down $708 million from March 31, 2021. Consumer non-accrual loans decreased $178 million to $1.8 billion at June 30, 2021 from $2.0 billion at March 31, 2021, while corporate non-accrual loans decreased $530 million to $2.6 billion at June 30, 2021 from $3.1 billion at March 31, 2021. In addition, the ratio of non-accrual loans to total corporate loans was 0.64%, and 0.65% of non-accrual loans to total consumer loans, at June 30, 2021.
Regulatory Capital Impact
Citi has elected to phase in the CECL impact for regulatory capital purposes. The transition provisions were recently modified to defer the phase-in. After two years with no impact on capital, the CECL transition impact will phase in over a three-year transition period with 25% of the impact (net of deferred taxes) recognized on the first day of each subsequent year, commencing January 1, 2022, and will be fully implemented on January 1, 2025. In addition, 25% of the build (pretax) made in 2020 and 2021 will be deferred and amortized over the same timeframe.
For a further description of the ACL and related accounts, see Notes 1 and 14 to the Consolidated Financial Statements.
For a discussion of the adoption of the CECL accounting pronouncement, see Note 1 to the Consolidated Financial Statements.
Goodwill
Citi tests goodwill for impairment annually as of July 1 (the annual test) and through interim assessments between annual tests if an event occurs or circumstances change that could more-likely-than-not reduce the fair value of a reporting unit below its carrying amount, such as a significant adverse change in the business climate, a decision to sell or dispose of all or a significant portion of a reporting unit or a significant decline in Citi’s stock price.
Citi performed the annual test as of July 1, 2020. The fair values of the Company’s reporting units as a percentage of their carrying values ranged from approximately 115% to 136%, resulting in no impairment. While the inherent risk related to uncertainty is embedded in the key assumptions used in the valuations, the current environment continues to evolve. Deterioration in business performance or macroeconomic and market conditions, including potential adverse effects to economic forecasts due to the severity and duration of the pandemic, as well as the responses of governments, customers and clients, could negatively influence the assumptions used in the valuations, in particular, the discount and growth rates used in the net income projections. If the future were to differ from management’s best estimate of key economic assumptions and associated cash flows were to decrease, Citi could potentially experience material goodwill impairment charges in the future. See Note 15 to the Consolidated Financial Statements for a further discussion on goodwill.
Litigation Accruals
See the discussion in Note 23 to the Consolidated Financial Statements for information regarding Citi’s policies on establishing accruals for litigation and regulatory contingencies.
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 20162020 Annual Report on Form 10-K.
At SeptemberJune 30, 2017,2021, Citigroup had recorded net DTAs of approximately $45.5$24.5 billion, an increase of $0.3 billion from March 31, 2021 and a decrease of $0.3 billion from June 30, 2017 and $1.2 billion from December 31, 2016.2020. The DTA reductionsincrease for the three and nine months ended September 30, 2017 were primarilyquarter was driven by earnings.a valuation allowance (VA) release (see DTA Realizability below) and losses in Other comprehensive income.
The following table below summarizes Citi’s net DTAs balance. balance:
| | | | | | | | | |
| Jurisdiction/Component | DTAs balance |
| In billions of dollars | June 30,
2021 | | December 31, 2020 |
| Total U.S. | $ | 21.7 | | | $ | 22.2 | |
| Total foreign | 2.8 | | | 2.6 | |
| Total | $ | 24.5 | | | $ | 24.8 | |
Of Citi’s total net DTAs of $24.5 billion as of SeptemberJune 30, 2017, those arising from2021, $9.4 billion (primarily relating to net operating losses, foreign tax credit (FTC) and general business credit carry-forwards, are 100%which decreased by $0.4 billion in the current quarter) was deducted in calculating Citi’s regulatory capital, whilecapital. Net DTAs arising from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations (see “Capital Resources” above)in Citi’s 2020 Annual Report on Form 10-K). Approximately $17.6For the quarter ended June 30, 2021, Citi did not have any such DTAs. Accordingly, the remaining $15.1 billion of the net DTADTAs as of June 30, 2021 was not deducted in calculating regulatory capital pursuant to full Basel III implementation standards as of September 30, 2017.and was appropriately risk weighted under those rules.
|
| | | | | | |
| Jurisdiction/Component | DTAs balance |
| In billions of dollars | Sept. 30, 2017 | Dec. 31, 2016 |
| Total U.S. | $ | 43.2 |
| $ | 44.6 |
|
| Total foreign | 2.3 |
| 2.1 |
|
| Total | $ | 45.5 |
| $ | 46.7 |
|
In the second quarter of 2021, as part of the normal planning process, Citi updated its forecasts of operating income and foreign source income. With respect to Citi’s general basket for foreign tax credits (FTCs), Citi’s revised forecast provided a sufficient level of forecasted taxable income to maintain the level of general basket FTCs currently recognized. With respect to non-U.S. branches, Citi’s forecasts evidenced a sufficient level of forecasted taxable income to utilize previously unrecognized DTAs related to non-U.S. branch FTC carry-forwards in 2021 and 2022. As a result, the second quarter includes a VA release of approximately $450 million related to these FTCs. As part of its normal planning process in the fourth quarter of 2021, Citi expects to further update its forecasts of operating income and foreign source income, which in turn could affect Citi’s valuation allowance against FTC carry-forwards.
Effective Tax Rate
Citi’s reported effective tax rate for the thirdsecond quarter of 20172021 was 31.1%, as compared with 30.8%approximately 16%. This compares to an effective tax rate of approximately 5% in the thirdsecond quarter of 2016.2020. The effective tax rate in the current quarter was driven by the $450 million VA release related to non-U.S. branch FTC carry-forwards. In the second quarter of 2020, the effective tax rate was driven by the higher relative impact of tax-advantaged investments and other tax benefits on a relatively low level of earnings before taxes.
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 SeptemberJune 30, 2017 and, based2021. 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 (Section 219), which added Section 13(r) to the Securities Exchange Act of 1934, as amended, Citi is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with certain individuals or entities that are the subject toof sanctions under U.S. law. Disclosure is generally required even where the activities, transactions or dealings were conducted in compliance with applicable law. Citi, in its related quarterly report on Form 10-Q, previously disclosed no reportable activities for the first quarter of 2021.
During the second quarter of 2021, Citigroup reported 71 transactions pursuant to Section 219 in the first and second quarters of 2017 in the First Quarter of 2017 Form 10-Q and Second Quarter Form 10-Q, respectively.
During the third quarter of 2017, Bank Handlowy w Warszawie S.A.,219. On May 10, 2021, Citibank Europe plc, acting as an intermediary bank, processed a Citibank subsidiary located in Poland, processed three funds transfers involvingpermissible transaction between two Irish banks for visa-related fees paid to the Iranian Embassy in Poland. The value of the funds transfers was EUR 50, EUR 50, and EU 100 (approximately $60.00, $60.00 and $117.00), respectively. In addition, a branch of Citibank N.A., located in India, processed a funds transfer involving the Iran Consulate General in India.Ireland. The total value of thisthe payment was INR 1,368EUR 100.00 (approximately $21.00)USD 119.06). These paymentstransactions were for visa-related fees and Iran-related travel respectively, both of which are permissibleauthorized under the travel exemption inof the Iranian Transactions and Sanctions Regulations.
Regulations (i.e., 31 CFR § 560.210). In addition, in May of 2021, Citigroup’s Russian subsidiary (Citi Russia) unblocked and released 69 transactions involving entities designated pursuant to Executive Orders 13382 and 13224. The total value of the transactions, which were related to payments of small bills for services, as well as salary payments, was RUB 11,371,791.17
(approximately USD 225,429.26). All transactions were processed pursuant to a specific license issued by the U.S. Office of Foreign Assets Control (OFAC) on May 26, 2021. Citi Russia received nominal fees for three of the 69 payments, which were outgoing and subject to tariffs. Finally, on June 16, 2021, two subsidiaries of Citigroup Inc. processed a transaction between the Central Bank of Iran (the CBI) and an international organization (IO). The CBI sent funds to the IO’s Korean won account at Citibank Korea Inc., which were then converted to U.S. dollars and transferred to the IO’s U.S. dollar account at Citibank, N.A., New York branch. The total value of the payment was approximately USD 16,455,375.44. The transaction was a payment for the Government of Iran’s membership dues to the IO. Citi obtained a two-year license from OFAC for such payments on May 19, 2021. Citigroup Inc.’s two subsidiaries realized nominal fees for the processing of this payment.
SUPERVISION AND REGULATION
Securities and Commodities Regulation—Swap Dealer/ Security-Based Swap Dealer Requirements
Rules of the U.S. Commodity Futures Trading Commission (CFTC) govern the registration and regulation of swap dealers. As previously disclosed, several Citigroup subsidiaries, including Citibank, Citigroup Global Markets Inc. (CGMI), Citigroup Global Markets Limited (CGML), Citigroup Global Markets Europe (CGME) and Citigroup Energy Inc., are registered with the CFTC as swap dealers. On July 22, 2020, the CFTC adopted final rules establishing capital and financial reporting requirements for swap dealers that will take effect in October 2021.
In addition, the SEC has adopted rules governing the registration and regulation of security-based swap dealers. The regulations include requirements related to (i) capital, margin and segregation, (ii) record-keeping, reporting and notification and (iii) risk management practices for uncleared security-based swaps and the cross-border application of certain security-based swap requirements. These requirements will also take effect in October 2021.
For additional information about supervision and regulation applicable to Citi, see “Supervision, Regulation and Other—Supervision and Regulation” in Citi’s 2020 Annual Report on Form 10-K.
FORWARD-LOOKING STATEMENTS
Certain statements in this Form 10-Q, including but not limited to statements included within the Management’s Discussion and Analysis of Financial Condition and Results of Operations, are “forward-looking statements” within the meaning of the rules and regulations of the SEC. In addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the SEC, and its management may make forward-looking statements orally to analysts, investors, representatives of the media and others.
Generally, forward-looking statements are not based on historical facts but instead represent Citigroup’s and its management’s beliefs regarding future events. Such statements may be identified by words such as believe, expect, anticipate, intend, estimate, may increase, may fluctuate, target and illustrative, and similar expressions or future or conditional verbs such as will, should, would and could.
Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results and capital and other financial conditions may differ materially from those included in these statements due to a variety of factors, including without limitation (i) the precautionary statements included within each individual business’s discussion and analysis of its results of operations above, in Citi’s First Quarter of 2021 Form 10-Q and in Citi’s 20162020 Annual Report on Form 10-K First Quarter of 2017 Form 10-Q and Second Quarter of 2017 Form 10-Q;other SEC filings; (ii) the factors listed and described under “Risk Factors” in Citi’s 20162020 Annual Report on Form 10-K; and (iii) the risks and uncertainties summarized below:
Citi’s ability•rapidly evolving challenges and uncertainties related to address (i) the shortcomings identified byCOVID-19 pandemic in the Federal Reserve BoardU.S. and FDIC as a resultglobally, including the duration and further spread of their review of Citi’s 2015 annual resolution plan submissionthe coronavirus as well as (ii)any variants becoming more prevalent and impactful; further production, distribution, acceptance and effectiveness of vaccines; the 2017 resolution plan guidancepublic response, including consumer confidence, spending patterns and credit card usage behaviors; government actions, including further imposition of social distancing and restrictions on businesses and the movement of the public; any delay, weakness or unevenness in the economic recovery or any future economic downturn; and the potential impact on Citi’s 2017 resolution plan submission;businesses and overall results of operations and financial condition;
•the potential impact on Citi’s ability to return capital to common shareholders consistent with its capital planning efforts and targets, due to, any changesamong other things, regulatory capital requirements, including the Stress Capital Buffer, Citi’s results of operations and financial condition, forecasts of macroeconomic conditions, regulatory evaluations of Citi’s ability to maintain an effective capital management framework and Citi’s effectiveness in managing and calculating its risk-weighted assets, and the Supplementary Leverage Ratio and GSIB surcharge, whether due to the impact of the pandemic, the results of the CCAR process and regulatory stress testing and CCAR requirementstests or process, such as the introduction of a firm-specific “stress capital buffer” or incorporation of Citi’s then-effective GSIB surcharge into its post-stress test minimum capital requirements or the introduction of additional macroprudential considerations such as funding and liquidity shocks in the stress testing process;otherwise;
•the ongoing regulatory and legislative uncertainties and changes faced by financial institutions, including Citi, in
the U.S. and globally, including, among others, uncertaintiessuch as potential fiscal, monetary, regulatory, corporate and potentialother income tax and other changes arising fromdue to the current U.S. presidential administration, regulatory leadership and Congress or in response to the pandemic; potential changes to various aspects of the regulatory capital frameworkframework; the future legislative and the terms of and other uncertaintiesregulatory framework resulting from the U.K.’s process to withdrawexit from the European Union, including with respect to financial services; and the potential impact these uncertainties and changes could have on Citi’s businesses, results of operations, financial condition, strategy or organizational structurebusiness planning and compliance risks and costs;
the numerous uncertainties arising•Citi’s ability to achieve its projected or expected results from its continued investments and efficiency initiatives and other actions, such as deepening client relationships, revenue growth, expense management and transformation of its infrastructure, risk management and controls, as part of Citi’s overall strategy to meet operational and financial objectives, including as a result 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
factors that Citi cannot control;Citi’s legal entity structure and overall results of operations or financial condition;
the potential impact to financial institutions, including Citi, as a result of the uncertainties associated with the level and pace of any changes in interest rates or any balance sheet normalization program implemented by the Federal Reserve Board or other central banks;
the impact on the value of Citi’s DTAs and on Citi’s net income or regulatory capital if corporate tax rates in the U.S. or certain state, local or foreign jurisdictions are reduced, or if other changes are made to the U.S. corporate tax system (whether as a result of current efforts by the U.S. presidential administration and Congress or otherwise), including a potential change to a territorial system or a one-time mandatory deemed repatriation of all untaxed non-U.S. earnings at a significantly lower rate;
•Citi’s ability to continueachieve its objectives from its strategic refresh, including, among others, those related to its Global Wealth business and plans to pursue exits of consumer businesses in 13 markets in Asia and EMEA, which may not be as productive or effective as Citi expects and could result in foreign currency translation adjustment (CTA) or other losses, charges or other negative financial or strategic impacts;
•the transition away from or discontinuance of LIBOR or any other interest rate benchmark and the adverse consequences it could have for market participants, including Citi;
•Citi’s ability to utilize its DTAs (including the foreign tax credit component of its DTAs) and thus reduce the negative impact of the DTAs on Citi’s regulatory capital, including as a result of movements in Citi’s AOCI, which can be impacted by changes in interest rates and foreign exchange rates;its ability to generate U.S. taxable income;
•the potential impact to Citi if its interpretation or application of the extensivecomplex income and non-income based tax laws to which it is subject, such as the Tax Cuts and Jobs Act (Tax Reform), withholding, tax obligations and stamp, service and other transactionalnon-income taxes, differs from those of the relevant governmental authorities;
Citi’s ability to achieve the expected returns on its ongoing investments in its businesses or meet its operational or financial objectives or targets,taxing authorities, including as a result of factors that Citi cannot control;litigation or examinations regarding non-income based tax matters;
the potential negative impact to Citi’s co-branding and private label credit card relationships as well as Citi’s results of operations or financial condition, including as a result of loss of revenues, impairment of purchased credit card relationships and contract related intangibles or other losses, due to, among other things, operational difficulties of a particular retailer or merchant or early termination of a particular relationship, or external factors, including bankruptcies, liquidations, consolidations and other similar events;
the potential impact to Citi’s businesses, credit costs, deposits and overall results of operations and financial condition as a result of macroeconomic and geopolitical challenges and uncertainties, including those relating to geopolitical tensions in Asia and Latin America, economic growth rates in the U.S. and non-U.S. jurisdictions, potential fiscal or other monetary actions or the pursuit of protectionist trade and other policies by the U.S.;
•the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, sanctions or asset freezes, fraud,limitations of hedges on foreign investments; foreign currency volatility, sovereign volatility, election outcomes, regulatory changes and political events; foreign exchange controls,controls; limitations on foreign investment; sociopolitical instability (including from hyper-inflation),hyperinflation); fraud; nationalization or loss of licenses,licenses; business restrictions,restrictions; sanctions or asset freezes; potential criminal charges,charges; closure of branches or subsidiaries andsubsidiaries; confiscation of assets as well as the increasedassets; U.S. regulators imposing mandatory loan loss or other reserve requirements on Citi; and higher compliance regulatory and legalregulatory risks and costs;
•the potential impact from a deterioration in or failure to maintain Citi’s co-branding or private label credit card
relationships, due to, among other things, the uncertainties regardinggeneral economic environment, declining sales and revenues, partner store closures, government-imposed restrictions, reduced air and business travel or other operational difficulties of the consequencesretailer or merchant, termination of noncompliancea particular relationship; or other factors, such as bankruptcies, liquidations, restructurings, consolidations or other similar events, whether due to the impact of the pandemic or otherwise;
•Citi’s ability in its resolution plan submissions to address any shortcomings or deficiencies identified or guidance provided by the Federal Reserve Board and FDIC;
•the potential impact on Citi’s estimatesperformance and the performance of its eligible debt arisingindividual businesses, including its competitive position and ability to effectively manage its businesses and continue to execute its strategies, if Citi is unable to attract, retain and motivate highly qualified employees;
•Citi’s ability to effectively compete with U.S. and non-U.S. financial services companies and others, including as a result of emerging technologies;
•the potential impact to Citi from climate change, including both physical and transition risks as well as higher regulatory, compliance and reputational risks and costs;
•the Federal Reserve Board’s final total loss-absorbing capacity (TLAC) rules;potential impact to Citi’s businesses, and results of operations and financial condition, as well as its macroeconomic outlook, due to macroeconomic, geopolitical and other challenges and uncertainties and volatilities, including, among others, a rapid rise in or an elevated level of inflation; governmental fiscal and monetary actions or expected actions, such as changes in interest rate policies and any program implemented to change the size of central bank balance sheets; geopolitical tensions and conflicts; protracted or widespread trade tensions; natural disasters; additional pandemics; and election outcomes;
•the potential impact to Citi from a failure in or disruption of its operational processes or systems, including as a result of, among other things, human error, such as processing errors, fraud or malice, accidental system or technological failure, electrical or telecommunication outages or failure of or cyber incidents involving computer servers or infrastructure or other similar losses or damage to Citi’s property or assets, or failures by third parties, as well as disruptions in the operations of Citi’s clients, customers or other third parties;
•the increasing risk of continually evolving, sophisticated cybersecurity activities faced by financial institutions and others, including Citi and third parties with which it does business, that could result in, among other things, theft, loss, misuse or disclosure of confidential client, customer or corporate information or assets and a disruption of computer, software or network systems; and the potential impact from such risks, including reputational damage, regulatory penalties, loss of revenues, additional costs (including repair, remediation and other costs), exposure to litigation and other financial losses;
•the potential impact of concentrationschanges to, or the application of risk,incorrect, assumptions, judgments or estimates in Citi’s
financial statements, including estimates of Citi’s ACL, which depends on its CECL models and assumptions and forecasted macroeconomic conditions and qualitative management adjustment component; reserves related to litigation, regulatory and tax matters exposures; valuation of DTAs; and fair value of certain assets and liabilities, such as market risk arising from Citi’s volume of transactions with counterparties in goodwill or any other asset for impairment;
•the financial services industry,impact from reclassification of any CTA component of AOCI, including related hedges and taxes, into Citi’s earnings, due to the sale or substantial liquidation of any foreign entity, such as those related to any of Citi’s 13 exit markets or legacy businesses, whether due to Citi’s strategic refresh or otherwise;
•the impact of changes to financial accounting and reporting standards or interpretations, on Citi’s hedging strategieshow Citi records and reports its financial condition and results of operations;
•the potential impactsimpact to Citi’s results of operations and/or regulatory capital and capital ratios if Citi’s risk management and mitigation processes, strategies or models, including those related to its ability to manage and aggregate data, are deficient or ineffective, or require refinement, modification or enhancement, or any related action is taken by Citi’s U.S. banking regulators;
•the potential impact of credit risk and concentrations of risk on Citi’s results of operations, whether due to a default of or deterioration involving consumer, corporate or public sector borrowers or other counterparties in the U.S. or in various countries and jurisdictions globally, including from indemnification obligations in connection with various transactions, such as hedging or reinsurance arrangements related to those obligations, whether due to the pandemic or otherwise;
•the potential impact on Citi’s liquidity and/or costs of funding as a result of external factors, including, among others, marketa rapid rise in or an elevated level of inflation, the competitive environment for deposits, general disruptions andin the financial markets, governmental fiscal and monetary policies, as well as regulatory changes or negative investor perceptions of Citi’s creditworthiness;creditworthiness, unexpected increases in cash or collateral requirements and the inability to monetize available liquidity resources, whether due to the pandemic or otherwise;
•the impact of a ratings downgradesdowngrade 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;
the increasing risk of continually evolving cybersecurity risks faced by financial institutions, including Citi, 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 costs), regulatory penalties, 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 new accounting standard on credit losses, on how Citi records and reports its financial condition and results of operations;
•the potential impact to Citi of ongoing implementationinterpretation and interpretationimplementation of regulatory changes and legislative requirements and changes in the U.S. and globally, such as well as heightened regulatory scrutiny and expectations for large financial institutions and their employees and agents, with respect to, among other things, governance, infrastructure, data and risk management practices and controls, including the impact on Citi’s compliance, regulatory and other risks and costs, including reputationalsuch as increased regulatory oversight and legal risks as well as remediation and other financial costs, such asrestrictions, enforcement proceedings, penalties and fines; and
•the potential outcomes of the extensive legal and regulatory proceedings, examinations, investigations,
consent orders and related compliance efforts and other inquiries, to which Citi is or may be subject at any given time, such as the previously disclosed October 2020 FRB and OCC consent orders, particularly given the increased focus by regulators on conductrisks and controls, such as risk management, compliance, data quality management and governance and internal controls, and policies and procedures; as well as the transformative efforts to remediate deficiencies on a timely and sufficient basis and increased expenses for such remediation efforts, together with the heightened scrutiny and expectations generally from regulators, and the severity of the remedies sought by regulators, such as civil money penalties, supervisory or enforcement orders, business restrictions, limitations on dividends and changes to directors and/or officers, and potential collateral consequences to Citi arising from such outcomes;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;
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; and
the potential impact to Citi’s businesses, credit costs and overall results of operations and financial condition as a result of natural disasters.
Any forward-looking statements made by or on behalf of Citigroup speak only as to the date they are made, and Citi does not undertake to update forward-looking statements to reflect the impact of circumstances or events that arise after the date the forward-looking statements were made.
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FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
|
| | | | |
| CONSOLIDATED FINANCIAL STATEMENTS | |
Consolidated Statement of Income (Unaudited)—
For the Three and NineSix Months Ended SeptemberJune 30, 2017 2021
and 2016
2020 | |
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three and NineSix Months Ended SeptemberJune 30, 20172021 and 20162020 | |
Consolidated Balance Sheet—SeptemberJune 30, 20172021 (Unaudited) and December 31, 20162020 | |
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the NineThree and Six Months Ended SeptemberJune 30, 20172021 and 20162020 | |
Consolidated Statement of Cash Flows (Unaudited)—
For the NineSix Months Ended SeptemberJune 30, 20172021 and 2016
2020 | |
|
| | | | |
| NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) | |
Note 1—Basis of Presentation, Updated Accounting Policies
and Accounting Changes | |
| Note 2—Discontinued Operations and Significant Disposals | |
| Note 3—Business Segments | |
| Note 4—Interest Revenue and Expense | |
Note 5—Commissions and Fees; Administration and Other
Fiduciary Fees | |
| Note 6—Principal Transactions | |
| Note 7—Incentive Plans | |
| Note 8—Retirement Benefits | |
| Note 9—Earnings per Share | |
Note 10—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements | |
| Note 11—Brokerage Receivables and Brokerage Payables | |
| Note 12—Investments | |
| | | | | |
| |
| |
| Note 13—Loans | |
| Note 14—Allowance for Credit Losses | |
| Note 15—Goodwill and Intangible Assets | |
| Note 16—Debt | |
Note 17—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI) | |
| Note 18—Securitizations and Variable Interest Entities | |
Note 19—Derivatives Activities | |
| Note 20—Fair Value Measurement | |
| Note 21—Fair Value Elections | |
| Note 22—Guarantees, Leases and Commitments | |
| Note 23—Contingencies | |
| Note 24—Condensed Consolidating Financial Statements | |
CONSOLIDATED FINANCIAL STATEMENTS
|
| | | | | | | |
| CONSOLIDATED STATEMENT OF INCOME (UNAUDITED) | | Citigroup Inc. and Subsidiaries |
| | | | | | | | | | | | | | |
| | Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars, except per share amounts | 2021 | 2020 | 2021 | 2020 |
| Revenues | | | | |
| Interest revenue | $ | 12,463 | | $ | 14,589 | | $ | 24,997 | | $ | 31,728 | |
| Interest expense | 2,264 | | 3,509 | | 4,632 | | 9,156 | |
| Net interest revenue | $ | 10,199 | | $ | 11,080 | | $ | 20,365 | | $ | 22,572 | |
| Commissions and fees | $ | 3,374 | | $ | 2,933 | | $ | 7,044 | | $ | 5,954 | |
| Principal transactions | 2,304 | | 4,157 | | 6,217 | | 9,418 | |
| Administration and other fiduciary fees | 1,022 | | 819 | | 1,983 | | 1,673 | |
| Realized gains on sales of investments, net | 137 | | 748 | | 538 | | 1,180 | |
| Impairment losses on investments: | | | | |
| Impairment losses on investments and other assets | (13) | | (69) | | (82) | | (124) | |
Provision for credit losses on AFS debt securities(1) | 0 | | (8) | | 0 | | (8) | |
| | | | |
| Net impairment losses recognized in earnings | $ | (13) | | $ | (77) | | $ | (82) | | $ | (132) | |
| Other revenue (loss) | $ | 451 | | $ | 106 | | $ | 736 | | $ | (168) | |
| Total non-interest revenues | $ | 7,275 | | $ | 8,686 | | $ | 16,436 | | $ | 17,925 | |
| Total revenues, net of interest expense | $ | 17,474 | | $ | 19,766 | | $ | 36,801 | | $ | 40,497 | |
| Provisions for credit losses and for benefits and claims | | | | |
| Provision for credit losses on loans | $ | (1,126) | | $ | 7,990 | | $ | (2,605) | | $ | 14,367 | |
| Provision for credit losses on held-to-maturity (HTM) debt securities | 4 | | 31 | | (7) | | 37 | |
| Provision for credit losses on other assets | (3) | | 48 | | 6 | | 44 | |
| Policyholder benefits and claims | 15 | | 15 | | 67 | | 39 | |
| Provision for credit losses on unfunded lending commitments | 44 | | 113 | | (582) | | 670 | |
Total provisions for credit losses and for benefits and claims(2) | $ | (1,066) | | $ | 8,197 | | $ | (3,121) | | $ | 15,157 | |
| Operating expenses | | | | |
| Compensation and benefits | $ | 5,982 | | $ | 5,624 | | $ | 11,983 | | $ | 11,278 | |
| Premises and equipment | 558 | | 562 | | 1,134 | | 1,127 | |
| Technology/communication | 1,895 | | 1,741 | | 3,747 | | 3,464 | |
| Advertising and marketing | 340 | | 299 | | 610 | | 627 | |
| Other operating | 2,417 | | 2,234 | | 4,791 | | 4,607 | |
| Total operating expenses | $ | 11,192 | | $ | 10,460 | | $ | 22,265 | | $ | 21,103 | |
| Income from continuing operations before income taxes | $ | 7,348 | | $ | 1,109 | | $ | 17,657 | | $ | 4,237 | |
| Provision for income taxes | 1,155 | | 52 | | 3,487 | | 632 | |
| Income from continuing operations | $ | 6,193 | | $ | 1,057 | | $ | 14,170 | | $ | 3,605 | |
| Discontinued operations | | | | |
| Income (loss) from discontinued operations | $ | 10 | | $ | (1) | | $ | 8 | | $ | (19) | |
| | | | |
| Benefit for income taxes | 0 | | 0 | | 0 | | 0 | |
| Income (loss) from discontinued operations, net of taxes | $ | 10 | | $ | (1) | | $ | 8 | | $ | (19) | |
| Net income before attribution of noncontrolling interests | $ | 6,203 | | $ | 1,056 | | $ | 14,178 | | $ | 3,586 | |
| Noncontrolling interests | 10 | | 0 | | 43 | | (6) | |
| Citigroup’s net income | $ | 6,193 | | $ | 1,056 | | $ | 14,135 | | $ | 3,592 | |
Basic earnings per share(3) | | | | |
| Income from continuing operations | $ | 2.86 | | $ | 0.38 | | $ | 6.51 | | $ | 1.45 | |
| Income from discontinued operations, net of taxes | 0 | | 0 | | 0 | | (0.01) | |
| Net income | $ | 2.87 | | $ | 0.38 | | $ | 6.52 | | $ | 1.44 | |
Weighted average common shares outstanding (in millions) | 2,056.5 | | 2,081.7 | | 2,069.3 | | 2,089.8 | |
Diluted earnings per share(3) | | | | |
| Income from continuing operations | $ | 2.84 | | $ | 0.38 | | $ | 6.47 | | $ | 1.45 | |
| Income (loss) from discontinued operations, net of taxes | 0 | | 0 | | 0 | | (0.01) | |
| Net income | $ | 2.85 | | $ | 0.38 | | $ | 6.47 | | $ | 1.44 | |
Adjusted weighted average common shares outstanding (in millions) | 2,073.0 | | 2,084.3 | | 2,084.8 | | 2,103.0 | |
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars, except per share amounts | 2017 | 2016 | 2017 | 2016 |
| Revenues | | | |
| |
|
| Interest revenue | $ | 15,821 |
| $ | 14,653 |
| $ | 45,445 |
| $ | 43,176 |
|
| Interest expense | 4,379 |
| 3,174 |
| 11,981 |
| 9,234 |
|
| Net interest revenue | $ | 11,442 |
| $ | 11,479 |
| $ | 33,464 |
| $ | 33,942 |
|
| Commissions and fees | $ | 2,931 |
| $ | 2,644 |
| $ | 8,627 |
| $ | 7,832 |
|
| Principal transactions | 2,170 |
| 2,238 |
| 7,754 |
| 5,894 |
|
| Administration and other fiduciary fees | 1,010 |
| 862 |
| 2,906 |
| 2,551 |
|
| Realized gains on sales of investments, net | 213 |
| 287 |
| 626 |
| 673 |
|
| Other-than-temporary impairment losses on investments | | | |
| |
|
| Gross impairment losses | (15 | ) | (32 | ) | (47 | ) | (615 | ) |
| Less: Impairments recognized in AOCI | — |
| — |
| — |
| — |
|
| Net impairment losses recognized in earnings | $ | (15 | ) | $ | (32 | ) | $ | (47 | ) | $ | (615 | ) |
| Insurance premiums | $ | 166 |
| $ | 184 |
| $ | 491 |
| $ | 665 |
|
| Other revenue | 256 |
| 98 |
| 373 |
| 1,921 |
|
| Total non-interest revenues | $ | 6,731 |
| $ | 6,281 |
| $ | 20,730 |
| $ | 18,921 |
|
| Total revenues, net of interest expense | $ | 18,173 |
| $ | 17,760 |
| $ | 54,194 |
| $ | 52,863 |
|
| Provisions for credit losses and for benefits and claims | | | |
| |
|
| Provision for loan losses | $ | 2,146 |
| $ | 1,746 |
| $ | 5,487 |
| $ | 5,022 |
|
| Policyholder benefits and claims | 28 |
| 35 |
| 81 |
| 172 |
|
| Release for unfunded lending commitments | (175 | ) | (45 | ) | (190 | ) | (4 | ) |
| Total provisions for credit losses and for benefits and claims | $ | 1,999 |
| $ | 1,736 |
| $ | 5,378 |
| $ | 5,190 |
|
| Operating expenses | | | |
| |
|
| Compensation and benefits | $ | 5,304 |
| $ | 5,203 |
| $ | 16,301 |
| $ | 15,988 |
|
| Premises and equipment | 608 |
| 624 |
| 1,832 |
| 1,917 |
|
| Technology/communication | 1,759 |
| 1,694 |
| 5,108 |
| 5,000 |
|
| Advertising and marketing | 417 |
| 403 |
| 1,222 |
| 1,226 |
|
| Other operating | 2,083 |
| 2,480 |
| 6,691 |
| 7,165 |
|
| Total operating expenses | $ | 10,171 |
| $ | 10,404 |
| $ | 31,154 |
| $ | 31,296 |
|
| Income from continuing operations before income taxes | $ | 6,003 |
| $ | 5,620 |
| $ | 17,662 |
| $ | 16,377 |
|
| Provision for income taxes | 1,866 |
| 1,733 |
| 5,524 |
| 4,935 |
|
| Income from continuing operations | $ | 4,137 |
| $ | 3,887 |
| $ | 12,138 |
| $ | 11,442 |
|
| Discontinued operations | | | |
| |
|
| Loss from discontinued operations | $ | (9 | ) | $ | (37 | ) | $ | (4 | ) | $ | (76 | ) |
| Benefit for income taxes | (4 | ) | (7 | ) | (2 | ) | (21 | ) |
| Loss from discontinued operations, net of taxes | $ | (5 | ) | $ | (30 | ) | $ | (2 | ) | $ | (55 | ) |
| Net income before attribution of noncontrolling interests | $ | 4,132 |
| $ | 3,857 |
| $ | 12,136 |
| $ | 11,387 |
|
| Noncontrolling interests | (1 | ) | 17 |
| 41 |
| 48 |
|
| Citigroup’s net income | $ | 4,133 |
| $ | 3,840 |
| $ | 12,095 |
| $ | 11,339 |
|
Basic earnings per share(1) | | | |
| |
|
| Income from continuing operations | $ | 1.42 |
| $ | 1.25 |
| $ | 4.05 |
| $ | 3.60 |
|
| Income (loss) from discontinued operations, net of taxes | — |
| (0.01 | ) | — |
| (0.02 | ) |
| Net income | $ | 1.42 |
| $ | 1.24 |
| $ | 4.05 |
| $ | 3.58 |
|
| Weighted average common shares outstanding | 2,683.6 |
| 2,879.9 |
| 2,729.3 |
| 2,912.9 |
|
(2) This total excludes the provision for credit losses on AFS securities, which is disclosed separately above.
(3) Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
|
| | | | | | | | | | | | |
Diluted earnings per share(1) | | | |
| |
|
| Income from continuing operations | $ | 1.42 |
| $ | 1.25 |
| $ | 4.05 |
| $ | 3.60 |
|
| Income (loss) from discontinued operations, net of taxes | — |
| (0.01 | ) | — |
| (0.02 | ) |
| Net income | $ | 1.42 |
| $ | 1.24 |
| $ | 4.05 |
| $ | 3.58 |
|
| Adjusted weighted average common shares outstanding | 2,683.7 |
| 2,880.1 |
| 2,729.5 |
| 2,913.0 |
|
| |
(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 September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Citigroup’s net income | $ | 4,133 |
| $ | 3,840 |
| $ | 12,095 |
| $ | 11,339 |
|
| Add: Citigroup's other comprehensive income | | |
|
|
|
|
|
Net change in unrealized gains and losses on investment securities, net of taxes(1) | $ | (66 | ) | $ | (432 | ) | $ | 127 |
| $ | 2,529 |
|
Net change in debt valuation adjustment (DVA), net of taxes(1) | (123 | ) | (200 | ) | (267 | ) | 5 |
|
| Net change in cash flow hedges, net of taxes | 8 |
| (83 | ) | 123 |
| 385 |
|
| Benefit plans liability adjustment, net of taxes | (29 | ) | 12 |
| (176 | ) | (480 | ) |
| Net change in foreign currency translation adjustment, net of taxes and hedges | 218 |
| (375 | ) | 2,179 |
| (273 | ) |
| Citigroup’s total other comprehensive income | $ | 8 |
| $ | (1,078 | ) | $ | 1,986 |
| $ | 2,166 |
|
| Citigroup’s total comprehensive income | $ | 4,141 |
| $ | 2,762 |
| $ | 14,081 |
| $ | 13,505 |
|
| Add: Other comprehensive income attributable to noncontrolling interests | $ | 12 |
| $ | 10 |
| $ | 82 |
| $ | (13 | ) |
| Add: Net income attributable to noncontrolling interests | (1 | ) | 17 |
| 41 |
| 48 |
|
| Total comprehensive income | $ | 4,152 |
| $ | 2,789 |
| $ | 14,204 |
| $ | 13,540 |
|
| |
(1) | See Note 1 to the Consolidated Financial Statements. |
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
|
| | | | | | | |
CONSOLIDATED BALANCE SHEETSTATEMENT OF COMPREHENSIVE INCOME | | Citigroup Inc. and Subsidiaries |
| (UNAUDITED) | | |
| | | | | | | | | | | | | | |
| | Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Citigroup’s net income | $ | 6,193 | | $ | 1,056 | | $ | 14,135 | | $ | 3,592 | |
Add: Citigroup’s other comprehensive income(1) | | | | |
Net change in unrealized gains and losses on debt securities, net of taxes(1) | $ | (474) | | $ | 837 | | $ | (2,259) | | $ | 3,965 | |
Net change in debt valuation adjustment (DVA), net of taxes(2) | (62) | | (2,232) | | (104) | | 908 | |
| Net change in cash flow hedges, net of taxes | (173) | | 74 | | (729) | | 1,971 | |
| Benefit plans liability adjustment, net of taxes | 87 | | (77) | | 801 | | (363) | |
| Net change in foreign currency translation adjustment, net of taxes and hedges | 523 | | 561 | | (751) | | (3,548) | |
| Net change in excluded component of fair value hedges, net of taxes | (10) | | 13 | | (20) | | 40 | |
| Citigroup’s total other comprehensive income (loss) | $ | (109) | | $ | (824) | | $ | (3,062) | | $ | 2,973 | |
| Citigroup’s total comprehensive income | $ | 6,084 | | $ | 232 | | $ | 11,073 | | $ | 6,565 | |
Add: Other comprehensive loss attributable to
noncontrolling interests | $ | 18 | | $ | 39 | | $ | (40) | | $ | (12) | |
| Add: Net income (loss) attributable to noncontrolling interests | 10 | | 0 | | 43 | | (6) | |
| Total comprehensive income | $ | 6,112 | | $ | 271 | | $ | 11,076 | | $ | 6,547 | |
(1)See Note 17 to the Consolidated Financial Statements.
(2)See Note 20 to the Consolidated Financial Statements.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
|
| | | | | | |
| | September 30, | |
| | 2017 | December 31, |
| In millions of dollars | (Unaudited) | 2016 |
| Assets | |
| |
|
| Cash and due from banks (including segregated cash and other deposits) | $ | 22,604 |
| $ | 23,043 |
|
| Deposits with banks | 163,505 |
| 137,451 |
|
| Federal funds sold and securities borrowed or purchased under agreements to resell (including $156,332 and $133,204 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 252,608 |
| 236,813 |
|
| Brokerage receivables | 38,076 |
| 28,887 |
|
| Trading account assets (including $99,225 and $80,986 pledged to creditors at September 30, 2017 and December 31, 2016, respectively) | 258,907 |
| 243,925 |
|
| Investments: | | |
| Available for sale (including $9,599 and $8,239 pledged to creditors as of September 30, 2017 and December 31, 2016, respectively) | 295,315 |
| 299,424 |
|
| Held to maturity (including $301 and $843 pledged to creditors as of September 30, 2017 and December 31, 2016, respectively) | 51,527 |
| 45,667 |
|
| Non-marketable equity securities (including $1,300 and $1,774 at fair value as of September 30, 2017 and December 31, 2016, respectively) | 7,832 |
| 8,213 |
|
| Total investments | $ | 354,674 |
| $ | 353,304 |
|
| Loans: | |
| |
|
| Consumer (including $27 and $29 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 325,576 |
| 325,063 |
|
| Corporate (including $4,281 and $3,457 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 327,607 |
| 299,306 |
|
| Loans, net of unearned income | $ | 653,183 |
| $ | 624,369 |
|
| Allowance for loan losses | (12,366 | ) | (12,060 | ) |
| Total loans, net | $ | 640,817 |
| $ | 612,309 |
|
| Goodwill | 22,345 |
| 21,659 |
|
| Intangible assets (other than MSRs) | 4,732 |
| 5,114 |
|
| Mortgage servicing rights (MSRs) | 553 |
| 1,564 |
|
| Other assets (including $20,424 and $15,729 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 130,312 |
| 128,008 |
|
| Total assets | $ | 1,889,133 |
| $ | 1,792,077 |
|
| | | | | | | | |
| CONSOLIDATED BALANCE SHEET | | Citigroup Inc. and Subsidiaries |
| | | | | | | | |
| June 30, | |
| 2021 | December 31, |
| In millions of dollars | (Unaudited) | 2020 |
| Assets | | |
| Cash and due from banks (including segregated cash and other deposits) | $ | 27,117 | | $ | 26,349 | |
| Deposits with banks, net of allowance | 272,121 | | 283,266 | |
| Securities borrowed and purchased under agreements to resell (including $187,876 and $185,204 as of June 30, 2021 and December 31, 2020, respectively, at fair value), net of allowance | 309,047 | | 294,712 | |
| Brokerage receivables, net of allowance | 61,138 | | 44,806 | |
| Trading account assets (including $167,605 and $168,967 pledged to creditors at June 30, 2021 and December 31, 2020, respectively) | 370,950 | | 375,079 | |
| Investments: | | |
| Available-for-sale debt securities (including $7,718 and $5,921 pledged to creditors as of June 30, 2021 and December 31, 2020, respectively), net of allowance | 302,977 | | 335,084 | |
| Held-to-maturity debt securities (including $1,225 and $547 pledged to creditors as of June 30, 2021 and December 31, 2020, respectively), net of allowance | 176,742 | | 104,943 | |
| Equity securities (including $793 and $1,066 at fair value as of June 30, 2021 and December 31, 2020, respectively) | 7,344 | | 7,332 | |
| Total investments | $ | 487,063 | | $ | 447,359 | |
| Loans: | | |
| Consumer (including $14 and $14 as of June 30, 2021 and December 31, 2020, respectively, at fair value) | 275,895 | | 288,839 | |
| Corporate (including $7,693 and $6,840 as of June 30, 2021 and December 31, 2020, respectively, at fair value) | 400,939 | | 387,044 | |
| Loans, net of unearned income | $ | 676,834 | | $ | 675,883 | |
| Allowance for credit losses on loans (ACLL) | (19,238) | | (24,956) | |
| Total loans, net | $ | 657,596 | | $ | 650,927 | |
| Goodwill | 22,060 | | 22,162 | |
| Intangible assets (including MSRs of $419 and $336 as of June 30, 2021 and December 31, 2020, respectively, at fair value) | 4,687 | | 4,747 | |
| Other assets (including $11,083 and $14,613 as of June 30, 2021 and December 31, 2020, respectively, at fair value), net of allowance | 116,089 | | 110,683 | |
| | |
| Total assets | $ | 2,327,868 | | $ | 2,260,090 | |
The following table presents certain assets of consolidated variable interest entities (VIEs), which are included
inon 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,In addition, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
|
| | | | | | |
| | September 30, | |
| | 2017 | December 31, |
| In millions of dollars | (Unaudited) | 2016 |
| Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | |
| |
|
| Cash and due from banks | $ | 107 |
| $ | 142 |
|
| Trading account assets | 1,437 |
| 602 |
|
| Investments | 2,584 |
| 3,636 |
|
| Loans, net of unearned income | |
| |
|
| Consumer | 52,521 |
| 53,401 |
|
| Corporate | 19,908 |
| 20,121 |
|
| Loans, net of unearned income | $ | 72,429 |
| $ | 73,522 |
|
| Allowance for loan losses | (1,943 | ) | (1,769 | ) |
| Total loans, net | $ | 70,486 |
| $ | 71,753 |
|
| Other assets | 142 |
| 158 |
|
| Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | $ | 74,756 |
| $ | 76,291 |
|
| | | | | | | | |
| June 30, | |
| 2021 | December 31, |
| In millions of dollars | (Unaudited) | 2020 |
| Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | | |
| Cash and due from banks | $ | 157 | | $ | 281 | |
| Trading account assets | 8,203 | | 8,104 | |
| Investments | 880 | | 837 | |
| Loans, net of unearned income | | |
| Consumer | 35,574 | | 37,561 | |
| Corporate | 14,867 | | 17,027 | |
| Loans, net of unearned income | $ | 50,441 | | $ | 54,588 | |
| Allowance for credit losses on loans (ACLL) | (3,238) | | (3,794) | |
| Total loans, net | $ | 47,203 | | $ | 50,794 | |
| Other assets | 43 | | 43 | |
| Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | $ | 56,486 | | $ | 60,059 | |
Statement continues on the next page.
CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
(Continued)
| | | | | | | | |
| June 30, | |
| 2021 | December 31, |
| In millions of dollars, except shares and per share amounts | (Unaudited) | 2020 |
| Liabilities | | |
| Non-interest-bearing deposits in U.S. offices | $ | 149,373 | | $ | 126,942 | |
| Interest-bearing deposits in U.S. offices (including $910 and $879 as of June 30, 2021 and December 31, 2020, respectively, at fair value) | 485,589 | | 503,213 | |
| Non-interest-bearing deposits in offices outside the U.S. | 101,723 | | 100,543 | |
| Interest-bearing deposits in offices outside the U.S. (including $1,839 and $1,079 as of June 30, 2021 and December 31, 2020, respectively, at fair value) | 573,596 | | 549,973 | |
| Total deposits | $ | 1,310,281 | | $ | 1,280,671 | |
| Securities loaned and sold under agreements to repurchase (including $76,705 and $60,206 as of June 30, 2021 and December 31, 2020, respectively, at fair value) | 221,817 | | 199,525 | |
| Brokerage payables | 59,416 | | 50,484 | |
| Trading account liabilities | 174,706 | | 168,027 | |
| Short-term borrowings (including $7,358 and $4,683 as of June 30, 2021 and December 31, 2020, respectively, at fair value) | 31,462 | | 29,514 | |
| Long-term debt (including $76,375 and $67,063 as of June 30, 2021 and December 31, 2020, respectively, at fair value) | 264,575 | | 271,686 | |
| Other liabilities (including $3,279 and $6,835 as of June 30, 2021 and December 31, 2020, respectively, at fair value), net of allowance | 62,701 | | 59,983 | |
| | |
| Total liabilities | $ | 2,124,958 | | $ | 2,059,890 | |
| Stockholders’ equity | | |
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of June 30, 2021—719,800 and as of December 31, 2020—779,200, at aggregate liquidation value | $ | 17,995 | | $ | 19,480 | |
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of June 30, 2021—3,099,678,668 and as of December 31, 2020—3,099,763,661 | 31 | | 31 | |
| Additional paid-in capital | 107,820 | | 107,846 | |
| Retained earnings | 179,686 | | 168,272 | |
Treasury stock, at cost: June 30, 2021—1,072,893,485 shares and
December 31, 2020—1,017,674,452 shares | (68,253) | | (64,129) | |
Accumulated other comprehensive income (loss) (AOCI) | (35,120) | | (32,058) | |
| Total Citigroup stockholders’ equity | $ | 202,159 | | $ | 199,442 | |
| Noncontrolling interests | 751 | | 758 | |
| Total equity | $ | 202,910 | | $ | 200,200 | |
| Total liabilities and equity | $ | 2,327,868 | | $ | 2,260,090 | |
|
| | | | | | |
| | September 30, | |
| | 2017 | December 31, |
| In millions of dollars, except shares and per share amounts | (Unaudited) | 2016 |
| Liabilities | |
| |
|
| Non-interest-bearing deposits in U.S. offices | $ | 127,220 |
| $ | 136,698 |
|
| Interest-bearing deposits in U.S. offices (including $314 and $434 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 315,556 |
| 300,972 |
|
| Non-interest-bearing deposits in offices outside the U.S. | 84,178 |
| 77,616 |
|
| Interest-bearing deposits in offices outside the U.S. (including $1,183 and $778 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 437,084 |
| 414,120 |
|
| Total deposits | $ | 964,038 |
| $ | 929,406 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase (including $45,325 and $33,663 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 161,282 |
| 141,821 |
|
| Brokerage payables | 63,205 |
| 57,152 |
|
| Trading account liabilities | 138,820 |
| 139,045 |
|
| Short-term borrowings (including $4,827 and $2,700 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 38,149 |
| 30,701 |
|
| Long-term debt (including $30,826 and $26,254 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 232,673 |
| 206,178 |
|
| Other liabilities (including $15,144 and $10,796 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 62,344 |
| 61,631 |
|
| Total liabilities | $ | 1,660,511 |
| $ | 1,565,934 |
|
| Stockholders’ equity | |
| |
|
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 770,120 as of September 30, 2017 and as of December 31, 2016, at aggregate liquidation value | $ | 19,253 |
| $ | 19,253 |
|
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,523,273 and 3,099,482,042 as of September 30, 2017 and December 31, 2016 | 31 |
| 31 |
|
| Additional paid-in capital | 107,896 |
| 108,042 |
|
| Retained earnings | 155,174 |
| 146,477 |
|
Treasury stock, at cost: September 30, 2017—455,521,274 shares and December 31, 2016—327,090,192 shares | (24,829 | ) | (16,302 | ) |
| Accumulated other comprehensive income (loss) (AOCI) | (29,891 | ) | (32,381 | ) |
| Total Citigroup stockholders’ equity | $ | 227,634 |
| $ | 225,120 |
|
| Noncontrolling interest | 988 |
| 1,023 |
|
| Total equity | $ | 228,622 |
| $ | 226,143 |
|
| Total liabilities and equity | $ | 1,889,133 |
| $ | 1,792,077 |
|
The following table presents certain liabilities of consolidated VIEs, which are included inon 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.
| | | | September 30, | | | June 30, | |
| | 2017 | December 31, | | 2021 | December 31, |
| In millions of dollars | (Unaudited) | 2016 | In millions of dollars | (Unaudited) | 2020 |
Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup | |
| |
| Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup | |
| Short-term borrowings | $ | 10,166 |
| $ | 10,697 |
| Short-term borrowings | $ | 8,444 | | $ | 9,278 | |
| Long-term debt | 28,666 |
| 23,919 |
| Long-term debt | 14,522 | | 20,405 | |
| Other liabilities | 396 |
| 1,275 |
| Other liabilities | 240 | | 463 | |
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup | $ | 39,228 |
| $ | 35,891 |
| Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup | $ | 23,206 | | $ | 30,146 | |
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) | | |
|
| | | | | | |
| | Nine Months Ended September 30, |
| In millions of dollars, except shares in thousands | 2017 | 2016 |
| Preferred stock at aggregate liquidation value | |
| |
|
| Balance, beginning of period | $ | 19,253 |
| $ | 16,718 |
|
| Issuance of new preferred stock | — |
| 2,535 |
|
| Balance, end of period | $ | 19,253 |
| $ | 19,253 |
|
| Common stock and additional paid-in capital | |
| |
|
| Balance, beginning of period | $ | 108,073 |
| $ | 108,319 |
|
| Employee benefit plans | (137 | ) | (371 | ) |
| Preferred stock issuance expense | — |
| (37 | ) |
| Other | (9 | ) | (5 | ) |
| Balance, end of period | $ | 107,927 |
| $ | 107,906 |
|
| Retained earnings | |
| |
|
| Balance, beginning of period | $ | 146,477 |
| $ | 133,841 |
|
Adjustment to opening balance, net of taxes(1) | (660 | ) | 15 |
|
| Adjusted balance, beginning of period | $ | 145,817 |
| $ | 133,856 |
|
| Citigroup’s net income | 12,095 |
| 11,339 |
|
Common dividends(2) | (1,755 | ) | (760 | ) |
| Preferred dividends | (893 | ) | (757 | ) |
Other(3) | (90 | ) | — |
|
| Balance, end of period | $ | 155,174 |
| $ | 143,678 |
|
| Treasury stock, at cost | |
| |
|
| Balance, beginning of period | $ | (16,302 | ) | $ | (7,677 | ) |
Employee benefit plans(4) | 526 |
| 775 |
|
Treasury stock acquired(5) | (9,053 | ) | (5,167 | ) |
| Balance, end of period | $ | (24,829 | ) | $ | (12,069 | ) |
| Citigroup’s accumulated other comprehensive income (loss) | |
| |
|
| Balance, beginning of period | $ | (32,381 | ) | $ | (29,344 | ) |
Adjustment to opening balance, net of taxes(1) | 504 |
| (15 | ) |
| Adjusted balance, beginning of period | $ | (31,877 | ) | $ | (29,359 | ) |
| Citigroup’s total other comprehensive income (loss) | 1,986 |
| 2,166 |
|
| Balance, end of period | $ | (29,891 | ) | $ | (27,193 | ) |
| Total Citigroup common stockholders’ equity | $ | 208,381 |
| $ | 212,322 |
|
| Total Citigroup stockholders’ equity | $ | 227,634 |
| $ | 231,575 |
|
| Noncontrolling interests | |
| |
|
| Balance, beginning of period | $ | 1,023 |
| $ | 1,235 |
|
| Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary | (3 | ) | (11 | ) |
| Transactions between Citigroup and the noncontrolling-interest shareholders | (50 | ) | (69 | ) |
| Net income attributable to noncontrolling-interest shareholders | 41 |
| 48 |
|
| Dividends paid to noncontrolling-interest shareholders | (44 | ) | (42 | ) |
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders | 82 |
| (13 | ) |
| Other | (61 | ) | (33 | ) |
| Net change in noncontrolling interests | $ | (35 | ) | $ | (120 | ) |
| Balance, end of period | $ | 988 |
| $ | 1,115 |
|
| Total equity | $ | 228,622 |
| $ | 232,690 |
|
| |
(1) | See Note 1 to the Consolidated Financial Statements for additional details. |
| |
(2) | Common dividends declared were $0.16 per share in the first and second quarters and $0.32 per share in the third quarter of 2017. Common dividends declared were $0.05 per share in the first and second quarters and $0.16 per share in the third quarter of 2016. |
| |
(3) | Includes the impact of ASU 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting. See Note 1 to the Consolidated Financial Statements.
|
| |
(4) | Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements. |
(5) For the nine months ended September 30, 2017 and 2016, primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
|
| | |
CONSOLIDATED STATEMENT OF CASH FLOWS | | Citigroup Inc. and Subsidiaries |
(UNAUDITED) | | |
|
| | | | | | |
| | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 |
| Cash flows from operating activities of continuing operations | |
| |
|
| Net income before attribution of noncontrolling interests | $ | 12,136 |
| $ | 11,387 |
|
| Net income attributable to noncontrolling interests | 41 |
| 48 |
|
| Citigroup’s net income | $ | 12,095 |
| $ | 11,339 |
|
| Loss from discontinued operations, net of taxes | (2 | ) | (55 | ) |
| Income from continuing operations—excluding noncontrolling interests | $ | 12,097 |
| $ | 11,394 |
|
| Adjustments to reconcile net income to net cash provided by operating activities of continuing operations | |
| |
|
Net gains on significant disposals(1) | (602 | ) | (422 | ) |
| Depreciation and amortization | 2,717 |
| 2,714 |
|
| Provision for loan losses | 5,487 |
| 5,022 |
|
| Realized gains from sales of investments | (626 | ) | (673 | ) |
| Net impairment losses on investments, goodwill and intangible assets | 75 |
| 616 |
|
| Change in trading account assets | (15,077 | ) | (13,396 | ) |
| Change in trading account liabilities | (225 | ) | 14,137 |
|
| Change in brokerage receivables net of brokerage payables | (3,136 | ) | (230 | ) |
| Change in loans held-for-sale (HFS) | 1,969 |
| 3,958 |
|
| Change in other assets | (4,501 | ) | (2,009 | ) |
| Change in other liabilities | 779 |
| 1,398 |
|
| Other, net | (2,262 | ) | 5,825 |
|
| Total adjustments | $ | (15,402 | ) | $ | 16,940 |
|
| Net cash provided by (used in) operating activities of continuing operations | $ | (3,305 | ) | $ | 28,334 |
|
| Cash flows from investing activities of continuing operations | |
| |
|
| Change in deposits with banks | $ | (26,054 | ) | $ | (20,374 | ) |
| Change in federal funds sold and securities borrowed or purchased under agreements to resell | (15,795 | ) | (16,370 | ) |
| Change in loans | (41,569 | ) | (42,163 | ) |
| Proceeds from sales and securitizations of loans | 7,019 |
| 12,676 |
|
| Purchases of investments | (151,362 | ) | (155,804 | ) |
| Proceeds from sales of investments | 89,724 |
| 99,172 |
|
| Proceeds from maturities of investments | 67,166 |
| 52,607 |
|
Proceeds from significant disposals(1) | 3,411 |
| 265 |
|
| Capital expenditures on premises and equipment and capitalized software | (2,502 | ) | (2,092 | ) |
Proceeds from sales of premises and equipment, subsidiaries and affiliates, and repossessed assets | 292 |
| 467 |
|
| Net cash used in investing activities of continuing operations | $ | (69,670 | ) | $ | (71,616 | ) |
| Cash flows from financing activities of continuing operations | |
| |
|
| Dividends paid | $ | (2,639 | ) | $ | (1,517 | ) |
| Issuance of preferred stock | — |
| 2,498 |
|
| Treasury stock acquired | (9,071 | ) | (5,167 | ) |
| Stock tendered for payment of withholding taxes | (402 | ) | (313 | ) |
| Change in federal funds purchased and securities loaned or sold under agreements to repurchase | 19,461 |
| 6,628 |
|
| Issuance of long-term debt | 52,293 |
| 43,464 |
|
| Payments and redemptions of long-term debt | (29,785 | ) | (40,461 | ) |
| Change in deposits | 34,632 |
| 32,365 |
|
| Change in short-term borrowings | 7,448 |
| 8,448 |
|
|
| | | | | | |
| CONSOLIDATED STATEMENT OF CASH FLOWS | Citigroup Inc. and Subsidiaries | |
| (UNAUDITED) (Continued) | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 |
| Net cash provided by financing activities of continuing operations | $ | 71,937 |
| $ | 45,945 |
|
| Effect of exchange rate changes on cash and cash equivalents | $ | 599 |
| $ | (144 | ) |
| Change in cash and due from banks | $ | (439 | ) | $ | 2,519 |
|
| Cash and due from banks at beginning of period | 23,043 |
| 20,900 |
|
| Cash and due from banks at end of period | $ | 22,604 |
| $ | 23,419 |
|
| Supplemental disclosure of cash flow information for continuing operations | |
| |
|
| Cash paid during the period for income taxes | $ | 2,714 |
| $ | 2,855 |
|
| Cash paid during the period for interest | 11,604 |
| 9,760 |
|
| Non-cash investing activities | |
| |
|
| Transfers to loans HFS from loans | $ | 3,800 |
| $ | 8,600 |
|
| Transfers to OREO and other repossessed assets | 85 |
| 138 |
|
(1) See Note 2 to the Consolidated Financial Statements for further information on significant disposals.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
| | | | | | | | |
| CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED) | | Citigroup Inc. and Subsidiaries |
| | | | | | | | | | | | | | |
| Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Preferred stock at aggregate liquidation value | | | | |
| Balance, beginning of period | $ | 20,280 | | $ | 17,980 | | $ | 19,480 | | $ | 17,980 | |
| Issuance of new preferred stock | — | | — | | 2,300 | | 1,500 | |
| Redemption of preferred stock | (2,285) | | — | | (3,785) | | (1,500) | |
| Balance, end of period | $ | 17,995 | | $ | 17,980 | | $ | 17,995 | | $ | 17,980 | |
| Common stock and additional paid-in capital (APIC) | | | | |
| Balance, beginning of period | $ | 107,725 | | $ | 107,581 | | $ | 107,877 | | $ | 107,871 | |
| Employee benefit plans | 112 | | 118 | | (63) | | (174) | |
| Preferred stock issuance costs (new issuances, net of reclassifications to retained earnings for redemptions) | 8 | | — | | 40 | | 2 | |
| Other | 6 | | — | | (3) | | — | |
| Balance, end of period | $ | 107,851 | | $ | 107,699 | | $ | 107,851 | | $ | 107,699 | |
| Retained earnings | | | | |
| Balance, beginning of period | $ | 174,816 | | $ | 163,782 | | $ | 168,272 | | $ | 165,369 | |
Adjustments to opening balance, net of taxes(1) | | | | |
| Financial instruments—credit losses (CECL adoption) | — | | — | | — | | (3,076) | |
| Variable post-charge-off third-party collection costs | — | | — | | — | | 330 | |
| Adjusted balance, beginning of period | $ | 174,816 | | $ | 163,782 | | $ | 168,272 | | $ | 162,623 | |
| Citigroup’s net income | 6,193 | | 1,056 | | 14,135 | | 3,592 | |
Common dividends(2) | (1,062) | | (1,071) | | (2,136) | | (2,152) | |
| Preferred dividends | (253) | | (253) | | (545) | | (544) | |
| Other (primarily reclassifications from APIC for preferred issuance costs on redemptions) | (8) | | 1 | | (40) | | (4) | |
| Balance, end of period | $ | 179,686 | | $ | 163,515 | | $ | 179,686 | | $ | 163,515 | |
| Treasury stock, at cost | | | | |
| Balance, beginning of period | $ | (65,261) | | $ | (64,147) | | $ | (64,129) | | $ | (61,660) | |
Employee benefit plans(3) | 8 | | 4 | | 476 | | 442 | |
Treasury stock acquired(4) | (3,000) | | — | | (4,600) | | (2,925) | |
| Balance, end of period | $ | (68,253) | | $ | (64,143) | | $ | (68,253) | | $ | (64,143) | |
| Citigroup’s accumulated other comprehensive income (loss) | | | | |
| Balance, beginning of period | $ | (35,011) | | $ | (32,521) | | $ | (32,058) | | $ | (36,318) | |
| | | | |
| | | | |
| Citigroup’s total other comprehensive income | (109) | | (824) | | (3,062) | | 2,973 | |
| Balance, end of period | $ | (35,120) | | $ | (33,345) | | $ | (35,120) | | $ | (33,345) | |
| Total Citigroup common stockholders’ equity | $ | 184,164 | | $ | 173,726 | | $ | 184,164 | | $ | 173,726 | |
| Total Citigroup stockholders’ equity | $ | 202,159 | | $ | 191,706 | | $ | 202,159 | | $ | 191,706 | |
| Noncontrolling interests | | | | |
| Balance, beginning of period | $ | 724 | | $ | 651 | | $ | 758 | | $ | 704 | |
| Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary | — | | — | | — | | — | |
| Transactions between Citigroup and the noncontrolling-interest shareholders | 1 | | — | | 1 | | (6) | |
| Net income attributable to noncontrolling-interest shareholders | 10 | | — | | 43 | | (6) | |
| Distributions paid to noncontrolling-interest shareholders | — | | — | | — | | — | |
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders | 18 | | 39 | | (40) | | (12) | |
| Other | (2) | | (10) | | (11) | | — | |
| Net change in noncontrolling interests | $ | 27 | | $ | 29 | | $ | (7) | | $ | (24) | |
| Balance, end of period | $ | 751 | | $ | 680 | | $ | 751 | | $ | 680 | |
| Total equity | $ | 202,910 | | $ | 192,386 | | $ | 202,910 | | $ | 192,386 | |
(1) See Note 1 to the Consolidated Financial Statements for additional details.
(2) Common dividends declared were $0.51 per share in both of the first and second quarters of 2021 and 2020.
(3) 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.
(4) Primarily consists of open market purchases under Citi’s Board of Directors-approved common share repurchase program.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
| | | | | | | | |
CONSOLIDATED STATEMENT OF CASH FLOWS | | Citigroup Inc. and Subsidiaries |
| (UNAUDITED) | | |
| | | | | | | | |
| | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 |
| Cash flows from operating activities of continuing operations | | |
| Net income before attribution of noncontrolling interests | $ | 14,178 | | $ | 3,586 | |
| Net income (loss) attributable to noncontrolling interests | 43 | | (6) | |
| Citigroup’s net income | $ | 14,135 | | $ | 3,592 | |
| Income (loss) from discontinued operations, net of taxes | 8 | | (19) | |
| | |
| Income from continuing operations—excluding noncontrolling interests | $ | 14,127 | | $ | 3,611 | |
| Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations | | |
| | |
| | |
| | |
| Depreciation and amortization | 1,944 | | 1,853 | |
| | |
| Provisions for credit losses on loans and unfunded lending commitments | (3,187) | | 15,037 | |
| Realized gains from sales of investments | (538) | | (1,180) | |
| Impairment losses on investments and other assets | 82 | | 124 | |
| Change in trading account assets | 4,098 | | (86,203) | |
| Change in trading account liabilities | 6,679 | | 29,370 | |
| Change in brokerage receivables net of brokerage payables | (7,400) | | 190 | |
| Change in loans HFS | (3,214) | | (1,200) | |
| Change in other assets | (2,260) | | 1,472 | |
| Change in other liabilities | 3,300 | | 2,620 | |
| Other, net | 9,932 | | 15,098 | |
| Total adjustments | $ | 9,436 | | $ | (22,819) | |
| Net cash provided by (used in) operating activities of continuing operations | $ | 23,563 | | $ | (19,208) | |
| Cash flows from investing activities of continuing operations | | |
| Change in securities borrowed and purchased under agreements to resell | $ | (14,335) | | $ | (31,595) | |
| Change in loans | (3,088) | | 7,943 | |
| Proceeds from sales and securitizations of loans | 869 | | 826 | |
| Purchases of investments | (201,567) | | (207,701) | |
| Proceeds from sales of investments | 66,477 | | 86,191 | |
| Proceeds from maturities of investments | 75,195 | | 53,909 | |
| | |
| | |
| Capital expenditures on premises and equipment and capitalized software | (1,771) | | (1,318) | |
| Proceeds from sales of premises and equipment, subsidiaries and affiliates and repossessed assets | 28 | | 12 | |
| Other, net | 81 | | 44 | |
| Net cash used in investing activities of continuing operations | $ | (78,111) | | $ | (91,689) | |
| Cash flows from financing activities of continuing operations | | |
| Dividends paid | $ | (2,663) | | $ | (2,679) | |
| Issuance of preferred stock | 2,300 | | 1,500 | |
| Redemption of preferred stock | (3,785) | | (1,500) | |
| Treasury stock acquired | (4,381) | | (2,925) | |
| Stock tendered for payment of withholding taxes | (324) | | (407) | |
| Change in securities loaned and sold under agreements to repurchase | 22,292 | | 49,383 | |
| Issuance of long-term debt | 41,511 | | 58,471 | |
| Payments and redemptions of long-term debt | (41,894) | | (32,297) | |
| Change in deposits | 29,610 | | 163,070 | |
| Change in short-term borrowings | 1,948 | | (4,893) | |
| | | | | | | | |
| CONSOLIDATED STATEMENT OF CASH FLOWS | |
| (UNAUDITED) (Continued) | |
| Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 |
| Net cash provided by financing activities of continuing operations | $ | 44,614 | | $ | 227,723 | |
| Effect of exchange rate changes on cash and due from banks | $ | (443) | | $ | (972) | |
| | |
| | |
| Change in cash, due from banks and deposits with banks | (10,377) | | 115,854 | |
| Cash, due from banks and deposits with banks at beginning of period | 309,615 | | 193,919 | |
| Cash, due from banks and deposits with banks at end of period | $ | 299,238 | | $ | 309,773 | |
| Cash and due from banks (including segregated cash and other deposits) | $ | 27,117 | | $ | 22,889 | |
| Deposits with banks, net of allowance | 272,121 | | 286,884 | |
| Cash, due from banks and deposits with banks at end of period | $ | 299,238 | | $ | 309,773 | |
| Supplemental disclosure of cash flow information for continuing operations | | |
| Cash paid during the period for income taxes | $ | 2,176 | | $ | 2,543 | |
| Cash paid during the period for interest | 4,545 | | 8,751 | |
Non-cash investing activities(1) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Transfers to loans HFS (Other assets) from loans | $ | 961 | | $ | 1,036 | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
(1) Operating and finance lease right-of-use assets and lease liabilities represent non-cash investing and financing activities, respectively, and are not included in the non-cash investing activities presented here. See Note 22 to the Consolidated Financial Statements for more information and balances as of June 30, 2021.
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, UPDATED ACCOUNTING POLICIES AND ACCOUNTING CHANGES
Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of SeptemberJune 30, 20172021 and for the three- and nine-monthsix-month periods ended SeptemberJune 30, 20172021 and 20162020 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, including the historical audited consolidated financial statements of Citigroup reflecting the certain realignments and reclassifications set forth in Citigroup’s Current Report on Form 8-K filed with the SEC on June 16, 2017 (20162020 (2020 Annual Report on Form 10-K), and Citigroup’s Quarterly ReportsReport on Form 10-Q for the quartersquarter ended March 31, 20172021 (First Quarter of 2017 Form 10-Q) and June 30, 2017 (Second Quarter of 20172021 Form 10-Q).
Certain financial information that is normally included in annual financial statements prepared in accordance with U.S. generally accepted accounting principles (GAAP), but is not required for interim reporting purposes, has been condensed or omitted.
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related footnote disclosures. While management uses its best judgment, actual results could differ from those estimates.
As noted above, the Notes to these Consolidated Financial Statements are unaudited.
Throughout these Notes, “Citigroup,” “Citi” and the “Company”“the Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Certain reclassifications and updates have been made to the prior periods’ financial statements and notes to conform to the current period’s presentation.
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
See Note 1 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report on Form 10-K for a summary of all of Citigroup’s significant accounting policies.
ACCOUNTING CHANGES
Premium Amortization on Purchased Callable Debt SecuritiesAccounting for Financial Instruments—Credit Losses
Overview
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities, which amends the amortization period for certain purchased callable debt securities held at a premium. The ASU requires entities to amortize premiums on debt securities by the first call date when the securities have fixed and determinable call dates and prices. The scope of the ASU includes all accounting premiums, such as purchase premiums and cumulative fair value hedge
adjustments. The ASU does not change the accounting for discounts, which continue to be recognized over the contractual life of a security.
For calendar-year-end entities, the ASU is effective as of January 1, 2019, but it may be early adopted in any interim or year-end period after issuance. Adoption of the ASU is on a modified retrospective basis through a cumulative effect adjustment to retained earnings as of the beginning of the year of adoption. Citi has early adopted the ASU in the second quarter of 2017, with an effective date of January 1, 2017. Adoption of the ASU primarily affected Citi’s available-for-sale (AFS) and held-to-maturity (HTM) portfolios of callable state and municipal securities. The ASU adoption resulted in a net reduction to total stockholders’ equity of $156 million (after tax), effective as of January 1, 2017. This amount is composed of a reduction of approximately $660 million to retained earnings for the incremental amortization of purchase premiums and cumulative hedge adjustments generated under fair value hedges of these callable debt securities. This amount was partially offset by an increase to Accumulated other comprehensive income (loss) (AOCI) of $504 million related to the cumulative fair value hedge adjustments reclassified to retained earnings for AFS securities.
Financial statements for periods prior to 2017 were not subject to restatement under the provisions of this ASU. The amortization recorded in the third quarter and for the first nine months of 2017 under the provisions of the ASU is not materially different than the amounts that would have been recorded if the ASU had not been early adopted.
Recognition and Measurement of Financial Assets and Financial Liabilities
In JanuaryJune 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 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 of 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 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 June 2016, the FASB issued ASU No. 2016-13, Financial Instruments—Instruments—Credit Losses(Topic (Topic 326).The ASU introducesintroduced a new credit loss model,methodology, the Current Expected Credit Losses modelcurrent expected credit losses (CECL), methodology, which requires earlier recognition of credit losses while also providing additional transparencydisclosure about credit risk. Citi adopted the ASU as of January 1, 2020, which, as discussed below, resulted in an increase in Citi’s Allowance for credit losses and a decrease to opening Retained earnings, net of deferred income taxes, at January 1, 2020.
The CECL modelmethodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities, receivables and other receivablesfinancial assets measured at amortized cost at the time the financial asset is originated or acquired. The expected credit losses areACL is adjusted each period for changes in expected lifetime credit losses. The CECL methodology represents a significant change from prior U.S. GAAP and replaced the prior multiple existing impairment methods, which generally required that a loss be incurred before it was recognized. Within the life cycle of a loan or other financial asset, the methodology generally results in the earlier recognition of the provision for credit losses and the related ACL than prior U.S. GAAP. For available-for-sale debt securities where fair value is less than cost that Citi intends to hold or more-likely-than-not will not be required to sell, credit-related impairment, if any, will beis recognized inthrough an allowance for credit lossesACL and adjusted each period for changes in credit risk.
January 1, 2020 CECL Transition (Day 1) Impact
The CECL methodology’s impact on expected credit risk. This model replaces the multiple existing impairment models in current GAAP, which generally require that a loss be incurred before it is recognized.
The CECL model represents a significant 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 impactlosses, among other things, reflects Citi’s view of the ASU will depend upon thecurrent state of the economy, forecasted macroeconomic conditions and the naturequality of Citi’s portfolios atportfolios. At the January 1, 2020 date of adoption. Basedadoption, based on a preliminary analysis performed earlier in 2017forecasts of macroeconomic conditions and the environmentexposures at that time, the overallaggregate impact is estimated to beCiti was an approximate 10-20%$4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit reserves. Moreover, there are still some implementation questionslosses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the Allowance for credit losses for Citi’s consumer exposures, primarily driven by the impact on credit card receivables of longer estimated tenors under the CECL lifetime expected credit loss methodology (loss coverage of approximately 23 months) compared to shorter estimated tenors under the probable loss methodology under prior U.S. GAAP (loss coverage of approximately 14 months), net of recoveries; and (ii) a release of $0.8 billion of reserves primarily related to Citi’s corporate net loan loss exposures, largely due to more precise contractual maturities that will needresult in shorter remaining tenors, incorporation of recoveries and use of more specific historical loss data based
on an increase in portfolio segmentation across industries and geographies.
Under the CECL methodology, the Allowance for credit losses consists of quantitative and qualitative components. Citi’s quantitative component of the Allowance for credit losses is model based and utilizes a single forward-looking macroeconomic forecast and discounts inputs for the corporate classifiably managed portfolios, complemented by the qualitative component described below, in estimating expected credit losses and discounts inputs for the corporate classifiably managed portfolios. Reasonable and supportable forecast periods vary by product. For example, Citi’s consumer models use a 13-quarter reasonable and supportable period and revert to be resolved that could affecthistorical loss experience thereafter, while its corporate loan models use a nine-quarter reasonable and supportable period followed by a three-quarter graduated transition to historical loss experience.
The qualitative management adjustment component includes, among other things, management adjustments to reflect economic uncertainty based on the likelihood and severity of downside scenarios and certain portfolio characteristics not captured in the quantitative component, such as concentrations, collateral coverage, model limitations, idiosyncratic events and other factors as required by banking supervisory guidance for the ACL. The qualitative management adjustment component also includes management adjustments to reflect the uncertainty around the estimated impact. The ASU will beimpact of the pandemic on credit loss estimates.
Accounting for Variable Post-Charge-Off Third-Party Collection Costs
In the fourth quarter of 2020, Citi revised the 2020 second quarter accounting conclusion for its variable post-charge-off third-party collection costs from a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to January 1, 2020 opening retained earnings, rather than 2020 net income. As a result, Citi’s full-year and quarterly results for 2020 were revised to reflect this change as if it were effective for Citi as of January 1, 2020. Early application is permitted for annual periods2020, as follows:
•An increase to beginning retained earnings on January 1, 2019.2020 of $330 million and a decrease of $443 million in the allowance for credit losses on loans, as well as a $113 million decrease in other assets related to income taxes.
•A decrease of $18 million to provisions for credit losses on loans in the first quarter and increases of $339 million and $122 million to provisions for credit losses on loans in the second and third quarters, respectively.
Revenue Recognition•Increases in operating expenses of $49 million and $45 million with a corresponding decrease in net credit losses, in the first and second quarters, respectively.
In May 2014,making these revisions, Citi considered the guidance in ASC Topic 250, Accounting Changes and Error Corrections; ASC Topic 270, Interim Reporting; ASC Topic 250-S99-1, Assessing Materiality; and ASC Topic 250-S99-23, Accounting Changes Not Retroactively Applied Due to Immateriality, Considering the Effects of Prior Year Misstatements when Quantifying Misstatements in Current Year Financial Statements. Citi believes that the effects of the revisions were not material to any previously reported quarterly or annual period.
Reference Rate Reform
In March 2020, the FASB issued ASU No. 2014-09, Revenue from Contracts with Customers2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which requiresprovides optional guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. Specifically, the guidance permits an entity, when certain criteria are met, to recognizeconsider amendments to contracts made to comply with reference rate reform to meet the amountdefinition of revenue to which it expectsa modification under U.S. GAAP. It further allows hedge accounting to be maintained and permits a one-time transfer or sale of qualifying held-to-maturity securities. The expedients and exceptions provided by the amendments are permitted to be adopted any time through December 31, 2022 and do not apply to contract modifications made and hedging relationships entered into or evaluated after December 31, 2022, except for certain optional expedients elected for certain hedging relationships existing as of December 31, 2022. The ASU was adopted by Citi as of June 30, 2020 with prospective application and did not impact financial results in 2020.
In January 2021, the FASB issued ASU No. 2021-01, Reference Rate Reform (Topic 848): Scope, which clarifies that the scope of the initial accounting relief issued by the FASB in March 2020 includes derivative instruments that do not reference a rate that is expected to be discontinued but that use an interest rate for margining, discounting or contract price alignment that is modified as a result of reference rate reform (commonly referred to as the “discounting transition”). The amendments do not apply to contract modifications made after December 31, 2022, new hedging relationships entered into after December 31, 2022 and existing hedging relationships evaluated for effectiveness in periods after December 31, 2022, except for hedging relationships existing as of December 31, 2022, that apply certain optional expedients in which the accounting effects are recorded through the end of the hedging relationship. The ASU was adopted by Citi on a full retrospective basis upon issuance and did not impact financial results in 2020.
entitledFUTURE ACCOUNTING CHANGES
Long-Duration Insurance Contracts
In August 2018, the FASB issued ASU No. 2018-12, Financial Services—Insurance: Targeted Improvements to the Accounting for Long-Duration Contracts, which changes the transferexisting recognition, measurement, presentation and disclosures for long-duration contracts issued by an insurance entity. Specifically, the guidance (i) improves the timeliness of promised goodsrecognizing changes in the liability for future policy benefits and prescribes the rate used to discount future cash flows for long-duration insurance contracts, (ii) simplifies and improves the accounting for certain market-based options or servicesguarantees associated with deposit (or account balance) contracts, (iii) simplifies the amortization of deferred acquisition costs and (iv) introduces additional quantitative and qualitative disclosures. Citi has certain insurance subsidiaries, primarily in Mexico, that issue long-duration insurance contracts such as traditional life insurance policies and life-contingent annuity contracts that will be impacted by the requirements of ASU 2018-12.
The effective date of ASU 2018-12 was deferred for all insurance entities by ASU 2019-09, Financial Services—Insurance: Effective Date (issued in October 2019) and by ASU 2020-11, Financial Services—Insurance: Effective Date and Early Application (issued in November 2020). Citi plans to customers. The Company will adopt the guidance as oftargeted improvements in ASU 2018-12 on January 1, 2018 using a modified retrospective method with a cumulative-effect adjustment to opening retained earnings. While2023 and is currently evaluating the guidance will replace most existing revenue recognition guidance in GAAP, the ASU is not applicable to financial instruments and, therefore, will not impact a majority of the Company’s revenues, including net interest income. Basedstandard on the Company’s current interpretations of the new guidance, the Companyits insurance subsidiaries. Citi does not expect a material change in the timing or measurement of revenues and the overall impact to net income is expected to be immaterial.
The new standard clarified the guidance related to reporting revenue grossits results of operations as a principal versus net as an agent. The Company has identified transactions, including underwriting activity where Citi is deemedresult of adopting the principal, rather than the agent, which require a gross up of annual revenues and expenses of approximately $0.8 billion. This change in presentation will not have an impact on Income from continuing operations;however, this standard would have impacted Citi’s efficiency ratio by approximately 50 basis points for the nine months ended September 30, 2017. The Company continues to evaluate the effect that the guidance will have on other revenue streams within its scope, including the presentation of certain contract costs, as well as changes in disclosures required by the new guidance.
Lease Accounting
In February 2016, the FASB issued ASU No. 2016-02, Leases (Topic 842),which is intended to increase transparency and comparability of accounting for lease transactions. The ASU will require lessees to recognize leases on the balance sheet as lease assets and lease liabilities and will require both quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessor accounting is largely unchanged. The guidance is effective beginning January 1, 2019 with an option to early adopt. The Company does not plan to early adopt the ASU. The Company estimates that upon adoption, its Consolidated Balance Sheet will have an approximate $5 billion increase in assets and liabilities. Additionally, the Company estimates an approximate $200 million increase in retained earnings due to the cumulative effect of recognizing previously deferred gains on sale/leaseback transactions.
Income Tax Impact of Intra-Entity Transfers of Assets
In October 2016, the FASB issued ASU No. 2016-16, Income Taxes—Intra-Entity Transfers of Assets Other Than Inventory, which will require an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. The ASU is effective January 1, 2018. The Company continues to evaluate the impact of this standard, which is expected to increase DTAs, with an associated decrease in prepaid taxes of approximately $500 million.
standard.
Subsequent Measurement of Goodwill100
In January 2017, the FASB issued ASU No. 2017-04, Intangibles—Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment. The ASU simplifies the subsequent measurement of goodwill impairment by eliminating the requirement to calculate the implied fair value of goodwill (i.e., the current Step 2 of the goodwill impairment test) to measure a goodwill impairment charge. Under the ASU, the impairment test is simply the comparison of the fair value of a reporting unit with its carrying amount (the current Step 1), with the impairment charge being the deficit in fair value but not exceeding the total amount of goodwill allocated to that reporting unit. The simplified one-step impairment test applies to all reporting units (including those with zero or negative carrying amounts).
The ASU is effective for Citi as of January 1, 2020. Early adoption is permitted for interim and annual goodwill impairment testing dates after January 1, 2017. The impact of the ASU will depend upon the performance of the reporting units and the market conditions impacting the fair value of each reporting unit going forward.
Clarifying the Definition of a Business
In January 2017, the FASB issued ASU No. 2017-01, Business Combinations (Topic 805): Clarifying the Definition of a Business. The definition of a business directly and indirectly affects many areas of accounting (e.g., acquisitions, disposals, goodwill and consolidation). The ASU narrows the definition of a business by introducing a quantitative screen as the first step, such that if substantially all of the fair value of the gross assets acquired is concentrated in a single identifiable asset or a group of similar identifiable assets, the set of transferred assets and activities is not a business. If the set is not scoped out from the quantitative screen, the entity then evaluates whether the set meets the requirement that a business include, at a minimum, an input and a substantive process that together significantly contribute to the ability to create outputs.
The ASU is effective for Citi as of January 1, 2018. The ASU will be applied prospectively, with early adoption permitted. The impact of the ASU will depend upon the acquisition and disposal activities of Citi. If fewer transactions qualify as a business, there could be less initial recognition of goodwill, but also less goodwill allocated to disposals.
Changes in Accounting for Pension and Postretirement (Benefit) Expense
In March 2017, the FASB issued ASU 2017-07, Compensation—Retirement Benefits (Topic 715): Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost,which changes the income statement presentation of net benefit expense and requires restating the Company’s financial statements for each of the earlier periods presented in Citi’s annual and interim financial statements. The change in presentation is effective for annual and interim periods starting January 1, 2018. The ASU requires that only the service cost component of net benefit expense be included in the Compensation and benefits line on the income statement. The other components of net benefit expense will be required to be presented outside of the Compensation and benefits line and will be presented in Other operating expense. Since both of these income statement line items are part of Operating expenses, total Operating expenses will not change, nor will there be any change in Net income. This change in presentation is not expected to have a material effect on the Compensation and benefits and on Other operating lines in the income statement. The components of the net benefit expense are currently disclosed in Note 7 to the Consolidated Financial Statements.
The new standard also changes the components of net benefit expense that are eligible for capitalization when employee costs are capitalized in connection with various activities, such as internally developed software, construction-in-progress, and loan origination costs. Prospectively from January 1, 2018, only the service cost component of net benefit expense may be capitalized. Existing capitalized balances are not affected. The Company is currently evaluating the portion of net benefits cost that continues to be eligible for capitalization and the portion that is not eligible.
Hedging
In August 2017, the FASB issued ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities, which will better align an entity’s risk management activities and financial reporting for hedging relationships through changes to the designation and measurement guidance for qualifying hedging relationships and the presentation of hedge results. The mandatory effective date for calendar year-end public companies is January 1, 2019 but the amendments may be early adopted in any interim or annual period after issuance. The targeted improvements in the ASU will allow Citi increased flexibility to structure hedges of fixed rate instruments and floating rate instruments. Application of the ASU is expected to reduce the amount of ineffectiveness as the revised accounting guidance will better reflect the economics of our risk management activities and will also reduce the volatility associated with foreign currency hedging. The ASU requires the hedging instrument to be presented in the same line item as the hedged item and also requires expanded disclosures. Citi is in the process of evaluating whether to early adopt the standard before the mandatory effective date.
2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS
Discontinued Operations
The Company’s results from Discontinued operations consisted of residual activities related to previously divested operations. All Discontinued operations results are recorded within Corporate/Other.
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 items from the disposal resulted in losses from Discontinued operations, net of taxes, of $5 million and $24 million for the three months ended September 30, 2017 and 2016, respectively, and $2 million and $46 million for the nine months ended September 30, 2017 and 2016, respectively.
Combined Results for Discontinued Operations
The followingtable summarizes financial information for all Discontinued operations for which Citi continues:
| | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, | Six Months Ended June 30, | | | | |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 | | | | |
| Total revenues, net of interest expense | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | | |
Income (loss) from discontinued operations(1) | $ | 10 | | $ | (1) | | $ | 8 | | $ | (19) | | | | | |
| | | | | | | | |
| Benefit for income taxes | 0 | | 0 | | 0 | | 0 | | | | | |
Income (loss) from discontinued operations,
net of taxes | $ | 10 | | $ | (1) | | $ | 8 | | $ | (19) | | | | | |
(1)Amounts in each period relate to have minimal residual impact associated with the sold operations:sale of the Egg Banking business in 2011.
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Total revenues, net of interest expense | $ | — |
| $ | — |
| $ | — |
| $ | — |
|
| Loss from discontinued operations | $ | (9 | ) | $ | (37 | ) | $ | (4 | ) | $ | (76 | ) |
| Benefit for income taxes | (4 | ) | (7 | ) | (2 | ) | (21 | ) |
| Loss from discontinued operations, net of taxes | $ | (5 | ) | $ | (30 | ) | $ | (2 | ) | $ | (55 | ) |
Cash flows for from Discontinued operations were not material for the periods presented.
Significant Disposals
TheCiti did not have any significant disposals to report as of June 30, 2021. As of August 4, 2021, Citi had not entered into any definitive sales agreements related to its recently announced intention to pursue exits of its consumer franchises in 13 markets across Asia and EMEA.
For a description of the Company’s significant disposal transactions during 2017in prior periods and 2016 described below were identified as significant disposals. The major classes of assets and liabilities that are 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 2020 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 direct U.S. mortgage servicing operations by the end of 2018 to intensify focus on originations. The exit of the mortgage servicing operations included the sale of mortgage servicing rights and execution of a subservicing agreement for the remaining Citi-owned loans and certain other mortgage servicing rights. As part of this transaction, Citi is also transferring certain employees.
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 did not include certain other costs and charges related to the disposed operation recorded primarily in Operating expenses in the first quarter of 2017, resulting in a total pretax loss of $382 million. As part of the completed sale, during the first quarter of 2017, Citi derecognized a total of $1,162 million of servicing-related assets, including $1,046 million of mortgage servicing rights, related to approximately 750,000 Fannie Mae and Freddie Mac held loans with outstanding balances of approximately $93 billion. Excluding the loss on sale and the additional charges, income before taxes for the disposed operation was immaterial for the three and nine months ended September 30, 2017 and 2016.
Sale of CitiFinancial Canada Consumer Finance Business
On March 31, 2017, Citi completed the sale of CitiFinancial Canada (CitiFinancial), which was part of Corporate/Other and included 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 in 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 sale of CitiFinancial generated a pretax gain on sale of $350 million recorded in Other revenue ($178 million after-tax) during the first quarter of 2017.
Income before taxes, excluding the pretax gain on sale, was as follows:
|
| | | | | | | | | | | | |
| | Three Months Ended
September 30, | Nine Months Ended
September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Income before taxes | $ | — |
| $ | 43 |
| $ | 41 |
| $ | 121 |
|
101
Sale of a Fixed Income Analytics Business and an Index Business
On August 31, 2017, Citi completed the sale of a fixed income analytics (Yield Book) and a fixed income index business that were part of Markets and Securities Services within Institutional Clients Group (ICG). As part of the sale, Citi derecognized total assets of approximately $112 million, including goodwill of $72 million, while the derecognized liabilities were approximately $18 million. The transaction generated a pretax gain on sale of $580 million ($355 million after-tax) recorded in Other revenue during the third quarter of 2017.
Income before taxes for the divested businesses is as follows:
|
| | | | | | | | | | | | |
| | Three Months Ended
September 30, | Nine Months Ended
September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Income before taxes | $ | 13 |
| $ | 12 |
| $ | 31 |
| $ | 43 |
|
3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through the 2 business segments: Global Consumer Banking (GCB) (GCB) and ICG business segments. In addition, Institutional Clients Group (ICG),with the remaining operations in Corporate/Other,which includes activities not assigned to a specific business segment as well as certain North America and international legacy loan portfolios, discontinued operations and other legacy assets.
Beginning in the first quarter of 2021, Citi changed its allocation for certain recurring expenses that are attributable to the business segments from Corporate/Other to GCB and ICG. These expenses include incremental investments related to risks and controls, technology capabilities and information security initiatives, as well as some incremental spend related to the pandemic. The prior-period balances reflect reclassificationsreportable operating segment results have been revised to conform the presentation for all periods to the current period’s presentation. Effective January 1, 2017, financial data was reclassified to reflect:
the reporting of the remaining businesses and portfolios of assets of Citi Holdings as part of Corporate/Other which, prior to the first quarter of 2017, was a separately reported business segment;
the re-attribution of certain treasury-related costs between Corporate/Other, GCB and ICG;
the re-attribution of regional revenues within ICG;and
certain other immaterial reclassifications.
reflect this revised allocation methodology. Citi’s consolidated results remainwere 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 20162020 Annual Report on Form 10-K.
The following table presentstables present certain information regarding the Company’s continuing operations by segment:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, | | |
| Revenues,
net of interest expense(1) | Provision (benefits)
for income taxes | Income (loss) from
continuing operations(2) | Identifiable assets |
| In millions of dollars, except identifiable assets in billions | 2021 | 2020 | 2021 | 2020 | 2021 | 2020 | June 30,
2021 | December 31, 2020 |
| Global Consumer Banking | $ | 6,820 | | $ | 7,339 | | $ | 573 | | $ | (257) | | $ | 1,832 | | $ | (705) | | $ | 432 | | $ | 434 | |
| Institutional Clients Group | 10,387 | | 12,137 | | 1,104 | | 455 | | 3,829 | | 1,822 | | 1,795 | | 1,730 | |
| Corporate/Other | 267 | | 290 | | (522) | | (146) | | 532 | | (60) | | 101 | | 96 | |
| Total | $ | 17,474 | | $ | 19,766 | | $ | 1,155 | | $ | 52 | | $ | 6,193 | | $ | 1,057 | | $ | 2,328 | | $ | 2,260 | |
| | | | | | | | |
| Six Months Ended June 30, | | |
| Revenues,
net of interest expense(3) | Provision (benefits)
for income taxes | Income (loss) from
continuing operations(4) | |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 | 2021 | 2020 | | |
| Global Consumer Banking | $ | 13,857 | | $ | 15,513 | | $ | 1,230 | | $ | (538) | | $ | 4,003 | | $ | (1,489) | | | |
| Institutional Clients Group | 22,607 | | 24,621 | | 2,830 | | 1,484 | | 9,767 | | 5,396 | | | |
| Corporate/Other | 337 | | 363 | | (573) | | (314) | | 400 | | (302) | | | |
| Total | $ | 36,801 | | $ | 40,497 | | $ | 3,487 | | $ | 632 | | $ | 14,170 | | $ | 3,605 | | | |
(1) Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $7.9 billion and $9.7 billion; in EMEA of $3.3 billion and $3.4 billion; in Latin America of $2.2 billion and $2.3 billion; and in Asia of $3.8 billion and $4.1 billion for the three months ended June 30, 2021 and 2020, 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 $(0.1) billion and $4.2 billion; in the ICG results of $(0.8) billion and $3.9 billion; and in the Corporate/Other results of $(0.1) billion and $0.2 billion for the three months ended June 30, 2021 and 2020, respectively.
(3) Includes total revenues, net of interest expense, in North America of $17.2 billion and $19.9 billion; in EMEA of $7.0 billion and $6.9 billion; in Latin America of $4.4 billion and $4.9 billion; and in Asia of $7.9 billion and $8.5 billion for the six months ended June 30, 2021 and 2020, respectively. Regional numbers exclude Corporate/Other, which largely operates within the U.S.
(4) Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $(0.3) billion and $8.9 billion; in the ICG results of $(2.6) billion and $5.9 billion; and in the Corporate/Other results of $(0.2) billion and $0.4 billion for the six months ended June 30, 2021 and 2020, respectively.
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Three Months Ended September 30, | | |
| | Revenues,
net of interest expense(1) | Provision (benefits)
for income taxes | Income (loss) from
continuing operations(2) | Identifiable assets |
| In millions of dollars, except identifiable assets in billions | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | September 30,
2017 | December 31, 2016 |
| Global Consumer Banking | $ | 8,433 |
| $ | 8,164 |
| $ | 636 |
| $ | 677 |
| $ | 1,174 |
| $ | 1,250 |
| $ | 419 |
| $ | 412 |
|
| Institutional Clients Group | 9,231 |
| 8,459 |
| 1,394 |
| 1,202 |
| 3,062 |
| 2,660 |
| 1,370 |
| 1,277 |
|
| Corporate/Other | 509 |
| 1,137 |
| (164 | ) | (146 | ) | (99 | ) | (23 | ) | 100 |
| 103 |
|
| Total | $ | 18,173 |
| $ | 17,760 |
| $ | 1,866 |
| $ | 1,733 |
| $ | 4,137 |
| $ | 3,887 |
| $ | 1,889 |
| $ | 1,792 |
|
| |
(1) | Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $8.9 billion and $8.4 billion; in EMEA of $2.7 billion and $2.5 billion; in Latin America of $2.4 billion and $2.2 billion; and in Asia of $3.7 billion and $3.5 billion for the three months ended September 30, 2017 and 2016, 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 $2.2 billion and $1.8 billion; in the ICG results of $(164) million and $(90) million; and in the Corporate/Other results of $(50) million and $18 million for the three months ended September 30, 2017 and 2016, respectively.
|
|
| | | | | | | | | | | | | | | | | | |
| | Nine Months Ended September 30, 2017 |
| | Revenues,
net of interest expense(1) | Provision (benefits)
for income taxes | Income (loss) from
continuing operations(2) |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 |
| Global Consumer Banking | $ | 24,285 |
| $ | 23,552 |
| $ | 1,867 |
| $ | 1,978 |
| $ | 3,306 |
| $ | 3,729 |
|
| Institutional Clients Group | 27,570 |
| 25,043 |
| 4,096 |
| 3,195 |
| 8,853 |
| 7,144 |
|
| Corporate/Other | 2,339 |
| 4,268 |
| (439 | ) | (238 | ) | (21 | ) | 569 |
|
| Total | $ | 54,194 |
| $ | 52,863 |
| $ | 5,524 |
| $ | 4,935 |
| $ | 12,138 |
| $ | 11,442 |
|
| |
(1) | Includes total revenues, net of interest expense, in North America of $25.8 billion and $24.2 billion; in EMEA of $8.3 billion and $7.3 billion; in Latin America of $7.0 billion and $6.7 billion; and in Asia of $10.8 billion and $10.4 billion for the nine months ended September 30, 2017 and 2016, respectively. Regional numbers exclude Corporate/Other, which largely operates within the U.S.
|
| |
(2) | Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $5.8 billion and $4.7 billion; in the ICG results of $(282) million and $382 million; and in Corporate/Other results of $(130) million and $90 million for the nine months ended September 30, 2017 and 2016, respectively.
|
4. INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
| | | | | | | | | | | | | | | |
| Three Months Ended June 30, | Six Months Ended June 30, | |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 | |
| Interest revenue | | | | | |
| Loan interest, including fees | $ | 8,733 | | $ | 10,149 | | $ | 17,642 | | $ | 21,399 | | |
| Deposits with banks | 126 | | 159 | | 271 | | 686 | | |
| Securities borrowed and purchased under agreements to resell | 205 | | 401 | | 499 | | 1,609 | | |
| Investments, including dividends | 1,818 | | 2,097 | | 3,570 | | 4,378 | | |
Trading account assets(1) | 1,470 | | 1,673 | | 2,807 | | 3,263 | | |
| Other interest-bearing assets | 111 | | 110 | | 208 | | 393 | | |
| Total interest revenue | $ | 12,463 | | $ | 14,589 | | $ | 24,997 | | $ | 31,728 | | |
| Interest expense | | | | | |
Deposits(2) | $ | 955 | | $ | 1,469 | | $ | 2,007 | | $ | 4,083 | | |
| Securities loaned and sold under agreements to repurchase | 260 | | 453 | | 513 | | 1,538 | | |
Trading account liabilities(1) | 150 | | 144 | | 264 | | 383 | | |
| Short-term borrowings and other interest-bearing liabilities | 31 | | 140 | | 62 | | 524 | | |
| Long-term debt | 868 | | 1,303 | | 1,786 | | 2,628 | | |
| Total interest expense | $ | 2,264 | | $ | 3,509 | | $ | 4,632 | | $ | 9,156 | | |
| Net interest revenue | $ | 10,199 | | $ | 11,080 | | $ | 20,365 | | $ | 22,572 | | |
| Provision (benefit) for credit losses on loans | (1,126) | | 7,990 | | (2,605) | | 14,367 | | |
| Net interest revenue after provision for credit losses on loans | $ | 11,325 | | $ | 3,090 | | $ | 22,970 | | $ | 8,205 | | |
(1)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.
(2)Includes deposit insurance fees and charges of $279 million and $270 million for the three months ended June 30, 2021 and 2020, respectively, and $619 million
and $495 million for the six months ended June 30, 2021 and 2020, respectively.
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Interest revenue | | | | |
| Loan interest, including fees | $ | 10,652 |
| $ | 10,229 |
| $ | 30,798 |
| $ | 29,739 |
|
| Deposits with banks | 486 |
| 247 |
| 1,156 |
| 703 |
|
| Federal funds sold and securities borrowed or purchased under agreements to resell | 858 |
| 636 |
| 2,347 |
| 1,947 |
|
| Investments, including dividends | 2,104 |
| 1,887 |
| 6,122 |
| 5,679 |
|
Trading account assets(1) | 1,429 |
| 1,433 |
| 4,176 |
| 4,399 |
|
| Other interest | 292 |
| 221 |
| 846 |
| 709 |
|
| Total interest revenue | $ | 15,821 |
| $ | 14,653 |
| $ | 45,445 |
| $ | 43,176 |
|
| Interest expense | | | | |
Deposits(2) | $ | 1,775 |
| $ | 1,443 |
| $ | 4,793 |
| $ | 3,953 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase | 712 |
| 459 |
| 1,881 |
| 1,488 |
|
Trading account liabilities(1) | 169 |
| 102 |
| 462 |
| 286 |
|
| Short-term borrowings | 318 |
| 90 |
| 719 |
| 300 |
|
| Long-term debt | 1,405 |
| 1,080 |
| 4,126 |
| 3,207 |
|
| Total interest expense | $ | 4,379 |
| $ | 3,174 |
| $ | 11,981 |
| $ | 9,234 |
|
| Net interest revenue | $ | 11,442 |
| $ | 11,479 |
| $ | 33,464 |
| $ | 33,942 |
|
| Provision for loan losses | 2,146 |
| 1,746 |
| 5,487 |
| 5,022 |
|
| Net interest revenue after provision for loan losses | $ | 9,296 |
| $ | 9,733 |
| $ | 27,977 |
| $ | 28,920 |
|
| |
(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 $301 million and $336 million for the three months ended September 30, 2017 and 2016, respectively, and $936 million and $838 million for the nine months ended September 30, 2017 and 2016, 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-related fees, fees related to trade and securities services in ICG and credit card and bank card fees.
For additional information regarding
certain components of Commissionson Citi’s commissions and fees, revenue, and administration and other fiduciary fees, see Note 5 to the Consolidated Financial Statements in Citi’s 20162020 Annual Report on Form 10-K.
The following table presents tables present Commissions and fees revenue:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2021 | Six Months Ended June 30, 2021 |
| In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total |
| Investment banking | $ | 1,386 | | $ | 0 | | $ | 0 | | $ | 1,386 | | $ | 3,010 | | $ | 0 | | $ | 0 | | $ | 3,010 | |
| Brokerage commissions | 528 | | 293 | | 0 | | 821 | | 1,143 | | 620 | | 0 | | 1,763 | |
| Credit- and bank-card income | | | | | | | | |
| Interchange fees | 197 | | 2,273 | | 0 | | 2,470 | | 355 | | 4,179 | | 0 | | 4,534 | |
| Card-related loan fees | 7 | | 170 | | 0 | | 177 | | 12 | | 347 | | 0 | | 359 | |
Card rewards and partner payments(1) | (104) | | (2,411) | | 0 | | (2,515) | | (179) | | (4,507) | | 0 | | (4,686) | |
Deposit-related fees(2) | 260 | | 65 | | 0 | | 325 | | 504 | | 150 | | 0 | | 654 | |
| Transactional service fees | 251 | | 26 | | 0 | | 277 | | 492 | | 50 | | 0 | | 542 | |
Corporate finance(3) | 180 | | 0 | | 0 | | 180 | | 338 | | 0 | | 0 | | 338 | |
| Insurance distribution revenue | 1 | | 112 | | 0 | | 113 | | 6 | | 242 | | 0 | | 248 | |
| Insurance premiums | 0 | | 30 | | 0 | | 30 | | 0 | | 50 | | 0 | | 50 | |
| Loan servicing | 10 | | 10 | | 4 | | 24 | | 22 | | 17 | | 8 | | 47 | |
| Other | 27 | | 56 | | 3 | | 86 | | 68 | | 114 | | 3 | | 185 | |
Total commissions and fees(4) | $ | 2,743 | | $ | 624 | | $ | 7 | | $ | 3,374 | | $ | 5,771 | | $ | 1,262 | | $ | 11 | | $ | 7,044 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2020 | Six Months Ended June 30, 2020 |
| In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total |
| Investment banking | $ | 1,358 | | $ | 0 | | $ | 0 | | $ | 1,358 | | $ | 2,398 | | $ | 0 | | $ | 0 | | $ | 2,398 | |
| Brokerage commissions | 482 | | 204 | | 0 | | 686 | | 1,059 | | 453 | | 0 | | 1,512 | |
| Credit- and bank-card income | | | | | | | | |
| Interchange fees | 123 | | 1,505 | | 0 | | 1,628 | | 384 | | 3,422 | | 0 | | 3,806 | |
| Card-related loan fees | 3 | | 132 | | 0 | | 135 | | 14 | | 298 | | 0 | | 312 | |
Card rewards and partner payments(1) | (70) | | (1,745) | | 0 | | (1,815) | | (219) | | (3,838) | | 0 | | (4,057) | |
Deposit-related fees(2) | 220 | | 85 | | 0 | | 305 | | 453 | | 200 | | 0 | | 653 | |
| Transactional service fees | 215 | | 20 | | 0 | | 235 | | 442 | | 44 | | 0 | | 486 | |
Corporate finance(3) | 149 | | 0 | | 0 | | 149 | | 295 | | 0 | | 0 | | 295 | |
| Insurance distribution revenue | 1 | | 113 | | 0 | | 114 | | 5 | | 238 | | 0 | | 243 | |
| Insurance premiums | 0 | | 31 | | 0 | | 31 | | 0 | | 74 | | 0 | | 74 | |
| Loan servicing | 18 | | 11 | | 2 | | 31 | | 38 | | 22 | | 10 | | 70 | |
| Other | 27 | | 46 | | 3 | | 76 | | 57 | | 102 | | 3 | | 162 | |
Total commissions and fees(4) | $ | 2,526 | | $ | 402 | | $ | 5 | | $ | 2,933 | | $ | 4,926 | | $ | 1,015 | | $ | 13 | | $ | 5,954 | |
(1)Citi’s consumer credit card programs have certain partner-sharing agreements that vary by partner. These agreements are subject to contractually based performance thresholds that, if met, would require Citi to make ongoing payments to the partner. The threshold is based on the profitability of a program and is generally calculated based on predefined program revenues less predefined program expenses. In most of Citi’s partner-sharing agreements, program expenses include net credit losses and, to the extent that the increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, would generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales and new account acquisitions.
(2)Includes overdraft fees of $24 million and $20 million for the three months ended June 30, 2021 and 2020, respectively, and $47 million and $51 million for the six months ended June 30, 2021 and 2020, respectively. Overdraft fees are accounted for under ASC 310.
(3)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
(4)Commissions and fees includes $(2,073) million and $(1,426) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended June 30, 2021 and 2020, respectively, and $(3,822) million and $(3,228) million for the six months ended June 30, 2021 and 2020, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.
The following tables present Administration and other fiduciary fees revenue:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2021 | Six Months Ended June 30, 2021 |
| In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total |
| Custody fees | $ | 497 | | $ | 6 | | $ | 0 | | $ | 503 | | $ | 948 | | $ | 12 | | $ | 0 | | $ | 960 | |
| Fiduciary fees | 200 | | 169 | | 3 | | 372 | | 392 | | 336 | | 3 | | 731 | |
| Guarantee fees | 143 | | 2 | | 2 | | 147 | | 285 | | 4 | | 3 | | 292 | |
Total administration and other fiduciary fees(1) | $ | 840 | | $ | 177 | | $ | 5 | | $ | 1,022 | | $ | 1,625 | | $ | 352 | | $ | 6 | | $ | 1,983 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2020 | Six Months Ended June 30, 2020 |
| In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total |
| Custody fees | $ | 372 | | $ | 6 | | $ | 21 | | $ | 399 | | $ | 738 | | $ | 14 | | $ | 36 | | $ | 788 | |
| Fiduciary fees | 158 | | 132 | | 0 | | 290 | | 330 | | 288 | | 0 | | 618 | |
| Guarantee fees | 127 | | 1 | | 2 | | 130 | | 261 | | 3 | | 3 | | 267 | |
Total administration and other fiduciary fees(1) | $ | 657 | | $ | 139 | | $ | 23 | | $ | 819 | | $ | 1,329 | | $ | 305 | | $ | 39 | | $ | 1,673 | |
(1) Administration and other fiduciary fees includes $147 million and $130 million for the three months ended June 30, 2021 and 2020, respectively, and $292 million and $267 million for the six months ended June 30, 2021 and 2020, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These generally include guarantee fees.
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Investment banking | $ | 911 |
| $ | 726 |
| $ | 2,689 |
| $ | 2,053 |
|
| Trading-related | 556 |
| 519 |
| 1,670 |
| 1,664 |
|
| Trade and securities services | 412 |
| 384 |
| 1,224 |
| 1,176 |
|
| Credit cards and bank cards | 406 |
| 372 |
| 1,081 |
| 987 |
|
Corporate finance(1) | 171 |
| 164 |
| 578 |
| 528 |
|
Other consumer(2) | 188 |
| 173 |
| 521 |
| 497 |
|
| Checking-related | 121 |
| 140 |
| 363 |
| 360 |
|
| Loan servicing | 80 |
| 71 |
| 254 |
| 235 |
|
| Other | 86 |
| 95 |
| 247 |
| 332 |
|
| Total commissions and fees | $ | 2,931 |
| $ | 2,644 |
| $ | 8,627 |
| $ | 7,832 |
|
| |
(1) | Consists primarily of fees earned from structuring and underwriting loan syndications. |
| |
(2) | Primarily consists of fees for investment fund administration and management, third-party collections, commercial demand deposit accounts and certain credit card services. |
6. PRINCIPAL TRANSACTIONS
Citi’s Principal 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 that are managed on a portfolio basis and characterized below based on the primary risk managed by each trading desk. 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) and FVA (funding valuation adjustments) on over-the-counter derivatives, and gains (losses) on certain economic hedges on loans in Citi’s 2016 Annual Report on Form 10-K.ICG. These adjustments are discussed further in 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 transactionsrevenue:
| | | | | | | | | | | | | | |
| Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
Interest rate risks(1) | $ | 530 | | $ | 1,847 | | $ | 1,964 | | $ | 3,757 | |
Foreign exchange risks(2) | 965 | | 1,114 | | 1,927 | | 2,109 | |
Equity risks(3) | 358 | | 103 | | 1,203 | | 921 | |
Commodity and other risks(4) | 393 | | 365 | | 593 | | 760 | |
Credit products and risks(5) | 58 | | 728 | | 530 | | 1,871 | |
| Total | $ | 2,304 | | $ | 4,157 | | $ | 6,217 | | $ | 9,418 | |
(1) Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities.
(2) Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
(3) Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.
(4) Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(5) Includes revenues from structured credit products.
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
Global Consumer Banking(1) | $ | 149 |
| $ | 162 |
| $ | 440 |
| $ | 469 |
|
| Institutional Clients Group | 1,757 |
| 2,064 |
| 6,504 |
| 5,552 |
|
Corporate/Other (1) | 264 |
| 12 |
| 810 |
| (127 | ) |
| Total Citigroup | $ | 2,170 |
| $ | 2,238 |
| $ | 7,754 |
| $ | 5,894 |
|
Interest rate risks(2) | $ | 1,120 |
| $ | 1,282 |
| $ | 4,297 |
| $ | 3,229 |
|
Foreign exchange risks(3) | 610 |
| 466 |
| 2,000 |
| 1,481 |
|
Equity risks(4) | 158 |
| 81 |
| 404 |
| 76 |
|
Commodity and other risks(5) | 92 |
| 171 |
| 330 |
| 436 |
|
Credit products and risks(6) | 190 |
| 238 |
| 723 |
| 672 |
|
| Total | $ | 2,170 |
| $ | 2,238 |
| $ | 7,754 |
| $ | 5,894 |
|
| |
(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 20162020 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 20162020 Annual Report on Form 10-K.
Net (Benefit) Expense
The following table summarizestables summarize 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 September 30, |
| | Pension plans | Postretirement benefit plans |
| | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 |
| Qualified plans | |
| |
| |
| |
| |
| |
| |
| |
|
| Benefits earned during the period | $ | — |
| $ | 1 |
| $ | 38 |
| $ | 39 |
| $ | — |
| $ | — |
| $ | 3 |
| $ | 1 |
|
| Interest cost on benefit obligation | 124 |
| 126 |
| 76 |
| 70 |
| 9 |
| 6 |
| 27 |
| 24 |
|
| Expected return on plan assets | (217 | ) | (224 | ) | (77 | ) | (71 | ) | (2 | ) | (2 | ) | (24 | ) | (22 | ) |
| Amortization of unrecognized | |
| | |
| |
| |
| |
| |
| |
|
| Prior service benefit | — |
| — |
| (1 | ) | — |
| — |
| — |
| (2 | ) | (1 | ) |
| Net actuarial loss | 43 |
| 43 |
| 15 |
| 19 |
| — |
| — |
| 8 |
| 8 |
|
Curtailment loss (1) | 1 |
| 10 |
| — |
| — |
| — |
| — |
| — |
| — |
|
Settlement loss (gain) (1) | — |
| — |
| 4 |
| (2 | ) | — |
| — |
| — |
| — |
|
| Net qualified plans (benefit) expense | $ | (49 | ) | $ | (44 | ) | $ | 55 |
| $ | 55 |
| $ | 7 |
| $ | 4 |
| $ | 12 |
| $ | 10 |
|
| Nonqualified plans expense | $ | 10 |
| $ | 12 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
|
| Total net (benefit) expense | $ | (39 | ) | $ | (32 | ) | $ | 55 |
| $ | 55 |
| $ | 7 |
| $ | 4 |
| $ | 12 |
| $ | 10 |
|
| |
(1) | Losses (gains) due to curtailment and settlement relate to repositioning and divestiture activities. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, |
| | Pension plans | Postretirement benefit plans |
| | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 |
| | | | | | | | | | | |
| Benefits earned during the period | $ | 0 | | $ | 0 | | | $ | 38 | | $ | 34 | | | $ | 0 | | $ | 0 | | | $ | 2 | | $ | 2 | |
| Interest cost on benefit obligation | 95 | | 101 | | | 70 | | 61 | | | 3 | | 5 | | | 24 | | 22 | |
| Expected return on assets | (174) | | (206) | | | (63) | | (56) | | | (3) | | (4) | | | (21) | | (18) | |
| Amortization of unrecognized: | | | | | | | | | | | |
| Prior service benefit | 0 | | 0 | | | (2) | | (2) | | | (2) | | 0 | | | (3) | | (2) | |
| Net actuarial loss (gain) | 54 | | 53 | | | 14 | | 17 | | | (1) | | 0 | | | 3 | | 5 | |
| | | | | | | | | | | |
Settlement loss(1) | 0 | | 0 | | | 4 | | 3 | | | 0 | | 0 | | | 0 | | 0 | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| Total net (benefit) expense | $ | (25) | | $ | (52) | | | $ | 61 | | $ | 57 | | | $ | (3) | | $ | 1 | | | $ | 5 | | $ | 9 | |
(1) Losses due to settlement relate to repositioning and divestiture activities.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Six Months Ended June 30, |
| | Pension plans | Postretirement benefit plans |
| | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | |
| | | | | | | | | | | | |
| Benefits earned during the period | $ | 0 | | $ | 0 | | | $ | 77 | | $ | 71 | | | $ | 0 | | $ | 0 | | | $ | 4 | | $ | 4 | | |
| Interest cost on benefit obligation | 177 | | 207 | | | 132 | | 125 | | | 6 | | 10 | | | 49 | | 46 | | |
| Expected return on assets | (356) | | (414) | | | (124) | | (121) | | | (7) | | (9) | | | (43) | | (38) | | |
| Amortization of unrecognized: | | | | | | | | | | | | |
| Prior service cost (benefit) | 1 | | 1 | | | (3) | | (3) | | | (4) | | 0 | | | (5) | | (4) | | |
| Net actuarial loss | 116 | | 109 | | | 32 | | 34 | | | (1) | | 0 | | | 8 | | 10 | | |
| | | | | | | | | | | | |
Settlement loss(1) | 0 | | 0 | | | 4 | | 3 | | | 0 | | 0 | | | 0 | | 0 | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Total net (benefit) expense | $ | (62) | | $ | (97) | | | $ | 118 | | $ | 109 | | | $ | (6) | | $ | 1 | | | $ | 13 | | $ | 18 | | |
(1) Losses due to settlement relate to repositioning and divestiture activities.
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Nine Months Ended September 30, |
| | Pension plans | Postretirement benefit plans |
| | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 |
| Qualified plans | |
| |
| |
| |
| |
| |
| |
| |
|
| Benefits earned during the period | $ | 1 |
| $ | 2 |
| $ | 112 |
| $ | 116 |
| $ | — |
| $ | — |
| $ | 7 |
| $ | 7 |
|
| Interest cost on benefit obligation | 384 |
| 399 |
| 221 |
| 216 |
| 20 |
| 19 |
| 76 |
| 72 |
|
| Expected return on plan assets | (650 | ) | (660 | ) | (223 | ) | (217 | ) | (5 | ) | (7 | ) | (67 | ) | (65 | ) |
| Amortization of unrecognized |
|
|
|
| |
| |
| | |
| |
| |
|
| Prior service benefit | — |
| — |
| (3 | ) | (1 | ) | — |
| — |
| (7 | ) | (7 | ) |
| Net actuarial loss (gain) | 122 |
| 118 |
| 46 |
| 58 |
| — |
| (1 | ) | 25 |
| 24 |
|
Curtailment loss (gain) (1) | 4 |
| 10 |
| — |
| (3 | ) | — |
| — |
| — |
| — |
|
Settlement loss(1) | — |
| — |
| 8 |
| 2 |
| — |
| — |
| — |
| — |
|
| Net qualified plans (benefit) expense | $ | (139 | ) | $ | (131 | ) | $ | 161 |
| $ | 171 |
| $ | 15 |
| $ | 11 |
| $ | 34 |
| $ | 31 |
|
| Nonqualified plans expense | $ | 31 |
| $ | 31 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
|
| Total net (benefit) expense | $ | (108 | ) | $ | (100 | ) | $ | 161 |
| $ | 171 |
| $ | 15 |
| $ | 11 |
| $ | 34 |
| $ | 31 |
|
| |
(1) | Losses (gains) due to curtailment and settlement relate to repositioning and divestiture activities. |
Funded Status and Accumulated Other Comprehensive Income (AOCI)
The following tables summarizetable summarizes the funded status and amounts recognized inon the Consolidated Balance Sheet for the Company’s
Significant Plans.Plans:
| | | | | | | | | | | | | | |
| | | | |
| Six Months Ended June 30, 2021 |
| | Pension plans | Postretirement benefit plans |
| In millions of dollars | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| | | | |
| Change in projected benefit obligation | | | | |
| | | | |
| Projected benefit obligation at beginning of year | $ | 13,815 | | $ | 8,629 | | $ | 559 | | $ | 1,390 | |
| Plans measured annually | (25) | | (2,248) | | 0 | | (277) | |
| Projected benefit obligation at beginning of year—Significant Plans | $ | 13,790 | | $ | 6,381 | | $ | 559 | | $ | 1,113 | |
| First quarter activity | (983) | | (572) | | (37) | | (146) | |
| | | | |
| | | | |
| Projected benefit obligation at March 31, 2021—Significant Plans | $ | 12,807 | | $ | 5,809 | | $ | 522 | | $ | 967 | |
| | | | |
| Benefits earned during the period | 0 | | 22 | | 0 | | 1 | |
| Interest cost on benefit obligation | 95 | | 59 | | 3 | | 23 | |
Actuarial loss(1) | 429 | | 25 | | 0 | | 20 | |
| Benefits paid, net of participants’ contributions and government subsidy | (259) | | (76) | | (9) | | (18) | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| Foreign exchange impact and other | 0 | | 108 | | 0 | | 27 | |
| | | | |
| | | | |
| Projected benefit obligation at period end—Significant Plans | $ | 13,072 | | $ | 5,947 | | $ | 516 | | $ | 1,020 | |
| Change in plan assets | | | | |
| | | | |
| Plan assets at fair value at beginning of year | $ | 13,309 | | $ | 7,831 | | $ | 331 | | $ | 1,146 | |
| Plans measured annually | 0 | | (1,500) | | 0 | | (8) | |
| Plan assets at fair value at beginning of year—Significant Plans | $ | 13,309 | | $ | 6,331 | | $ | 331 | | $ | 1,138 | |
| First quarter activity | (435) | | (404) | | (8) | | (44) | |
| | | | |
| Plan assets at fair value at March 31, 2021—Significant Plans | $ | 12,874 | | $ | 5,927 | | $ | 323 | | $ | 1,094 | |
| | | | |
| Actual return on plan assets | 566 | | 157 | | 10 | | 24 | |
| Company contributions, net of reimbursements | 13 | | 18 | | 4 | | 0 | |
| | | | |
| Benefits paid, net of participants’ contributions and government subsidy | (259) | | (76) | | (9) | | (18) | |
| | | | |
| | | | |
| | | | |
| Foreign exchange impact and other | 0 | | 114 | | 0 | | 29 | |
| | | | |
| | | | |
| Plan assets at fair value at period end—Significant Plans | $ | 13,194 | | $ | 6,140 | | $ | 328 | | $ | 1,129 | |
| Funded status of the Significant Plans | | | | |
Qualified plans(2) | $ | 802 | | $ | 193 | | $ | (188) | | $ | 109 | |
Nonqualified plans(3) | (680) | | 0 | | 0 | | 0 | |
| Funded status of the plans at period end—Significant Plans | $ | 122 | | $ | 193 | | $ | (188) | | $ | 109 | |
| Net amount recognized at period end | | | | |
| Benefit asset | $ | 802 | | $ | 789 | | $ | 0 | | $ | 109 | |
| Benefit liability | (680) | | (596) | | (188) | | 0 | |
| Net amount recognized on the balance sheet—Significant Plans | $ | 122 | | $ | 193 | | $ | (188) | | $ | 109 | |
Amounts recognized in AOCI at period end | | | |
| | | | |
| Prior service benefit | $ | 0 | | $ | 0 | | $ | 97 | | $ | 54 | |
| Net actuarial (loss) gain | (6,611) | | (976) | | 85 | | (243) | |
| Net amount recognized in equity (pretax)—Significant Plans | $ | (6,611) | | $ | (976) | | $ | 182 | | $ | (189) | |
| Accumulated benefit obligation at period end—Significant Plans | $ | 13,071 | | $ | 5,641 | | $ | 516 | | $ | 1,020 | |
(1)Actuarial loss is associated with the decrease in global discount rates from March to June.
(2)The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 2021 and no minimum required funding is expected for 2021.
(3)The nonqualified plans of the Company are unfunded.
|
| | | | | | | | | | | | |
| | Nine Months Ended September 30, 2017 |
| | Pension plans | Postretirement benefit plans |
| In millions of dollars | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| Change in projected benefit obligation | |
| |
| |
| |
|
| Projected benefit obligation at beginning of year | $ | 14,000 |
| $ | 6,522 |
| $ | 686 |
| $ | 1,141 |
|
| Plans measured annually | (28 | ) | (1,784 | ) | — |
| (303 | ) |
| Projected benefit obligation at beginning of year—Significant Plans | $ | 13,972 |
| $ | 4,738 |
| $ | 686 |
| $ | 838 |
|
| First quarter activity | 25 |
| 802 |
| (7 | ) | 134 |
|
| Second quarter activity | 161 |
| 9 |
| 63 |
| 72 |
|
| Projected benefit obligation at June 30, 2017—Significant Plans | $ | 14,158 |
| $ | 5,549 |
| $ | 742 |
| $ | 1,044 |
|
| Benefits earned during the period | 1 |
| 22 |
| — |
| 2 |
|
| Interest cost on benefit obligation | 131 |
| 64 |
| 6 |
| 23 |
|
| Actuarial loss | 95 |
| 104 |
| 2 |
| 12 |
|
| Benefits paid, net of participants’ contributions | (191 | ) | (108 | ) | (14 | ) | (15 | ) |
Curtailment loss (gain)(1) | 1 |
| (2 | ) | — |
| — |
|
| Foreign exchange impact and other | (269 | ) | 36 |
| — |
| (6 | ) |
| Projected benefit obligation at September 30, 2017—Significant Plans | $ | 13,926 |
| $ | 5,665 |
| $ | 736 |
| $ | 1,060 |
|
| |
(1) | Loss (gain) due to curtailment relates to repositioning activities. |
|
| | | | | | | | | | | | |
| | Nine Months Ended September 30, 2017 |
| | Pension plans | Postretirement benefit plans |
| In millions of dollars | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| Change in plan assets | |
| |
| |
| |
|
| Plan assets at fair value at beginning of year | $ | 12,363 |
| $ | 6,149 |
| $ | 129 |
| $ | 1,015 |
|
| Plans measured annually | — |
| (1,167 | ) | — |
| (11 | ) |
| Plan assets at fair value at beginning of year—Significant Plans | $ | 12,363 |
| $ | 4,982 |
| $ | 129 |
| $ | 1,004 |
|
| First quarter activity | 159 |
| 903 |
| $ | — |
| 124 |
|
| Second quarter activity | 186 |
| (39 | ) | $ | (3 | ) | 55 |
|
Plan assets at fair value at June 30, 2017—Significant Plans | $ | 12,708 |
| $ | 5,846 |
| $ | 126 |
| $ | 1,183 |
|
| Actual return on plan assets | 310 |
| 95 |
| 3 |
| 24 |
|
| Company contributions, net of reimbursements | 63 |
| 11 |
| 10 |
| — |
|
| Plan participants’ contributions | — |
| 1 |
| — |
| — |
|
| Benefits paid, net of government subsidy | (191 | ) | (109 | ) | (14 | ) | (15 | ) |
| Foreign exchange impact and other | (269 | ) | 45 |
| — |
| (6 | ) |
| Plan assets at fair value at September 30, 2017—Significant Plans | $ | 12,621 |
| $ | 5,889 |
| $ | 125 |
| $ | 1,186 |
|
| Funded status of the Significant Plans | | | | |
Qualified plans(1) | $ | (575 | ) | $ | 224 |
| $ | (611 | ) | $ | 126 |
|
| Nonqualified plans | (730 | ) | — |
| — |
| — |
|
| Funded status of the plans at September 30, 2017—Significant Plans | $ | (1,305 | ) | $ | 224 |
| $ | (611 | ) | $ | 126 |
|
| Net amount recognized | |
| |
| |
| |
|
| Benefit asset | $ | — |
| $ | 683 |
| $ | — |
| $ | 126 |
|
| Benefit liability | (1,305 | ) | (459 | ) | (611 | ) | — |
|
| Net amount recognized on the balance sheet—Significant Plans | $ | (1,305 | ) | $ | 224 |
| $ | (611 | ) | $ | 126 |
|
| Amounts recognized in AOCI | |
| |
| |
|
| Prior service benefit | $ | — |
| $ | 30 |
| $ | — |
| $ | 91 |
|
| Net actuarial (loss) gain | (6,779 | ) | (1,051 | ) | 39 |
| (406 | ) |
| Net amount recognized in equity (pretax)—Significant Plans | $ | (6,779 | ) | $ | (1,021 | ) | $ | 39 |
| $ | (315 | ) |
| Accumulated benefit obligation | | | | |
| Qualified plans | $ | 13,193 |
| $ | 5,047 |
| $ | 736 |
| $ | 1,060 |
|
| Nonqualified plans | 727 |
| — |
| — |
| — |
|
| Accumulated benefit obligation at September 30, 2017—Significant Plans | $ | 13,920 |
| $ | 5,047 |
| $ | 736 |
| $ | 1,060 |
|
| |
(1) | The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 2017 and no minimum required funding is expected for 2017. |
The following table shows the change in AOCI related to the Company’s pension, postretirement and post employment plans: | | In millions of dollars | | In millions of dollars | Three Months Ended June 30, 2021 | Six Months Ended June 30, 2021 | |
| Beginning of period balance, net of tax(1)(2) | | Beginning of period balance, net of tax(1)(2) | $ | (6,150) | | $ | (6,864) | | |
| | | In millions of dollars | Three Months Ended
September 30, 2017 | Nine Months Ended September 30, 2017 | |
Beginning of period balance, net of tax(1)(2) | $ | (5,311 | ) | $ | (5,164 | ) | |
| Actuarial assumptions changes and plan experience | (213 | ) | (721 | ) | Actuarial assumptions changes and plan experience | (480) | | 950 | | |
| Net asset gain due to difference between actual and expected returns | 123 |
| 419 |
| |
| Net asset gain (loss) due to difference between actual and expected returns | | Net asset gain (loss) due to difference between actual and expected returns | 509 | | (209) | | |
| Net amortization | 59 |
| 171 |
| Net amortization | 66 | | 147 | | |
| Prior service cost | — |
| (5 | ) | |
Curtailment/settlement gain(3) | 5 |
| 12 |
| |
| Curtailment/settlement loss(3) | | Curtailment/settlement loss(3) | (4) | | (4) | | |
| Foreign exchange impact and other | (19 | ) | (141 | ) | Foreign exchange impact and other | (7) | | 107 | | |
| Change in deferred taxes, net | 16 |
| 89 |
| Change in deferred taxes, net | 3 | | (190) | | |
| Change, net of tax | $ | (29 | ) | $ | (176 | ) | Change, net of tax | $ | 87 | | $ | 801 | | |
End of period balance, net of tax(1)(2) | $ | (5,340 | ) | $ | (5,340 | ) | End of period balance, net of tax(1)(2) | $ | (6,063) | | $ | (6,063) | | |
| |
(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. |
(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)Curtailment and settlement relate to repositioning and divestiture activities.
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 period | Three Months Ended | |
| Sept. 30, 2017 | Jun. 30, 2017 | |
| Net (benefit) expense assumed discount rates during the period | | Net (benefit) expense assumed discount rates during the period | Three Months Ended |
| Jun. 30, 2021 | | Jun. 30, 2020 |
| U.S. plans | | U.S. plans | | | |
| Qualified pension | 3.80% | 4.05% | Qualified pension | 3.10 | % | | 3.20 | % |
| Nonqualified pension | 3.75 | 3.95 | Nonqualified pension | 3.00 | | | 3.25 | |
| Postretirement | 3.60 | 3.85 | Postretirement | 2.85 | | | 3.20 | |
| Non-U.S. plans | | Non-U.S. plans | | | |
| Pension | 0.65-10.90 | 0.55-10.45 | Pension | 0.25–9.30 | | 0.45–9.45 |
| Weighted average | 4.87 | 4.83 | Weighted average | 4.26 | | | 4.38 | |
| Postretirement | 9.05 | 9.25 | Postretirement | 9.70 | | | 9.75 | |
The discount rates utilized at period-endperiod end in determining the pension and postretirement benefit obligations for the Significant Plans are as follows:
| | | Plan obligations assumed discount rates at period ended | Sept. 30, 2017 | June 30,
2017 | Mar. 31, 2017 | Plan obligations assumed discount rates at period ended | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | |
| U.S. plans | | | | U.S. plans | | |
| Qualified pension | 3.75% | 3.80% | 4.05% | Qualified pension | 2.75 | % | 3.10 | % | 2.45 | % | |
| Nonqualified pension | 3.65 | 3.75 | 3.95 | Nonqualified pension | 2.70 | | 3.00 | | 2.35 | | |
| Postretirement | 3.55 | 3.60 | 3.85 | Postretirement | 2.60 | | 2.85 | | 2.20 | | |
| Non-U.S. plans | | Non-U.S. plans | | |
| Pension | 0.65-10.35 | 0.65-10.90 | 0.55-10.45 | Pension | 0.25–9.25 | 0.25–9.30 | 0.05–8.15 | |
| Weighted average | 4.86 | 4.87 | 4.83 | Weighted average | 4.23 | | 4.26 | | 3.60 | | |
| Postretirement | 8.95 | 9.05 | 9.25 | Postretirement | 9.50 | | 9.70 | | 8.55 | | |
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 September 30, 2017 | | Three Months Ended June 30, 2021 |
| In millions of dollars | One-percentage-point increase | One-percentage-point decrease | In millions of dollars | One-percentage-point increase | | One-percentage-point decrease |
| Pension | | Pension | | | |
| U.S. plans | $ | 7 |
| $ | (10 | ) | U.S. plans | $ | 8 | | | $ | (11) | |
| Non-U.S. plans | (5 | ) | 7 |
| Non-U.S. plans | 0 | | | 5 | |
| Postretirement | | Postretirement | | | |
| U.S. plans | 1 |
| (1 | ) | U.S. plans | 0 | | | 0 | |
| Non-U.S. plans | (3 | ) | 3 |
| Non-U.S. plans | (2) | | | 2 | |
For the U.S. pension plans, there were no required minimum cash contributions during the first ninesix months of 2017.
2021.
The following table summarizes the Company’s actual contributions for the ninesix months ended SeptemberJune 30, 20172021 and 2016,2020, as well as estimated expected Company contributions for the remainder of 20172021 and the actual contributions made in 2020:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Pension plans | Postretirement plans |
| | U.S. plans(1) | | Non-U.S. plans | | U.S. plans | | Non-U.S. plans | |
| In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | |
Company contributions(2) for the six months ended June 30 | $ | 27 | | $ | 28 | | | $ | 78 | | $ | 72 | | | $ | 9 | | $ | 0 | | | $ | 4 | | $ | 5 | | |
Company contributions (reimbursements) made during the
remainder of the year | — | | 28 | | | — | | 86 | | | — | | (15) | | | — | | 4 | | |
Company contributions expected to be made during
the remainder of the year | 32 | | — | | | 78 | | — | | | 3 | | — | | | 4 | | — | | |
| | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | | | |
(1)The U.S. plans include benefits paid directly by the fourth quarterCompany for the nonqualified pension plans.
(2)Company contributions are composed of 2016.cash contributions made to the plans and benefits paid directly by the Company.
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Pension plans | Postretirement plans |
| | U.S. plans(1) | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 |
Company contributions(2) for the nine months ended September 30 | $ | 90 |
| $ | 541 |
| $ | 103 |
| $ | 58 |
| $ | 30 |
| $ | 6 |
| $ | 7 |
| $ | 4 |
|
| Company contributions made or expected to be made during the remainder of the year | 16 |
| 15 |
| 35 |
| 68 |
| — |
| — |
| 2 |
| 5 |
|
| |
(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 June 30, | Six Months
Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| U.S. plans | $ | 106 | | $ | 101 | | $ | 211 | | $ | 203 | |
| Non-U.S. plans | 91 | | 74 | | 183 | | 150 | |
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended
September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| U.S. plans | $ | 95 |
| $ | 89 |
| $ | 293 |
| $ | 281 |
|
| Non-U.S. plans | 68 |
| 67 |
| 203 |
| 207 |
|
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 June 30, | Six Months
Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Service-related expense | | | | |
| | | | |
| | | | |
| Amortization of unrecognized: | | | | |
| | | | |
| Net actuarial loss | $ | 1 | | $ | 1 | | $ | 1 | | $ | 1 | |
| | | | |
| Total service-related expense | $ | 1 | | $ | 1 | | $ | 1 | | $ | 1 | |
| Non-service-related (benefit) expense | $ | (1) | | $ | 3 | | $ | 4 | | $ | 8 | |
| Total net expense | $ | 0 | | $ | 4 | | $ | 5 | | $ | 9 | |
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended
September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
Service-related expense
| $ | — |
| $ | — |
| $ | — |
| $ | — |
|
| Interest cost on benefit obligation | — |
| — |
| 1 |
| 2 |
|
| Amortization of unrecognized |
|
|
|
|
|
|
|
|
| Prior service benefit | (8 | ) | (7 | ) | (23 | ) | (23 | ) |
| Net actuarial loss | 1 |
| 1 |
| 2 |
| 3 |
|
| Total service-related benefit | $ | (7 | ) | $ | (6 | ) | $ | (20 | ) | $ | (18 | ) |
| Non-service-related expense | $ | 9 |
| $ | 10 |
| $ | 21 |
| $ | 23 |
|
| Total net expense | $ | 2 |
| $ | 4 |
| $ | 1 |
| $ | 5 |
|
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 June 30, | Six Months Ended June 30, |
| In millions of dollars, except per share amounts | 2021 | 2020 | 2021 | 2020 |
| Earnings per common share | | | | |
| Income from continuing operations before attribution of noncontrolling interests | $ | 6,193 | | $ | 1,057 | | $ | 14,170 | | $ | 3,605 | |
| Less: Noncontrolling interests from continuing operations | 10 | | 0 | | 43 | | (6) | |
| Net income from continuing operations (for EPS purposes) | $ | 6,183 | | $ | 1,057 | | $ | 14,127 | | $ | 3,611 | |
| Income (loss) from discontinued operations, net of taxes | 10 | | (1) | | 8 | | (19) | |
| Citigroup’s net income | $ | 6,193 | | $ | 1,056 | | $ | 14,135 | | $ | 3,592 | |
Less: Preferred dividends(1) | 253 | | 253 | | 545 | | 544 | |
| Net income available to common shareholders | $ | 5,940 | | $ | 803 | | $ | 13,590 | | $ | 3,048 | |
| Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS | 41 | | 11 | | 107 | | 32 | |
| Net income allocated to common shareholders for basic EPS | $ | 5,899 | | $ | 792 | | $ | 13,483 | | $ | 3,016 | |
Weighted-average common shares outstanding applicable to basic EPS (in millions) | 2,056.5 | | 2,081.7 | | 2,069.3 | | 2,089.8 | |
Basic earnings per share(2) | | | | |
| Income from continuing operations | $ | 2.86 | | $ | 0.38 | | $ | 6.51 | | $ | 1.45 | |
| Discontinued operations | 0 | | 0 | | 0 | | (0.01) | |
| Net income per share—basic | $ | 2.87 | | $ | 0.38 | | $ | 6.52 | | $ | 1.44 | |
| Diluted earnings per share | | | | |
| Net income allocated to common shareholders for basic EPS | $ | 5,899 | | $ | 792 | | $ | 13,483 | | $ | 3,016 | |
| Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable | 8 | | 0 | | 15 | | 15 | |
| Net income allocated to common shareholders for diluted EPS | $ | 5,907 | | $ | 792 | | $ | 13,498 | | $ | 3,031 | |
Weighted-average common shares outstanding applicable to basic EPS (in millions) | 2,056.5 | | 2,081.7 | | 2,069.3 | | 2,089.8 | |
| Effect of dilutive securities | | | | |
Options(3) | 0 | | 0 | | 0 | | 0 | |
| Other employee plans | 16.5 | | 2.6 | | 15.5 | | 13.2 | |
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(4) | 2,073.0 | | 2,084.3 | | 2,084.8 | | 2,103.0 | |
Diluted earnings per share(2) | | | | |
| Income from continuing operations | $ | 2.84 | | $ | 0.38 | | $ | 6.47 | | $ | 1.45 | |
| Discontinued operations | 0 | | 0 | | 0 | | (0.01) | |
| Net income per share—diluted | $ | 2.85 | | $ | 0.38 | | $ | 6.47 | | $ | 1.44 | |
(1)On July 15, 2021, Citi declared preferred dividends of approximately $266 million for the third quarter of 2021. During the first quarter of 2021, Citi redeemed all of its 41.4 million Series S preferred shares for $1.035 billion and 465,000 shares of its Series R preferred shares for $465 million and Citi also issued 2.3 million of Series X preferred shares for $2.3 billion. During the second quarter of 2021, Citi redeemed all of its 1.25 million Series Q preferred shares for $1.25 billion and the remaining 1.035 million Series R preferred shares for $1.035 billion. As of August 4, 2021, Citi estimates it will distribute preferred dividends of approximately $228 million in the fourth quarter of 2021, subject to such dividends being declared by the Citi Board of Directors.
(2)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
(3) During the first and second quarters of 2021 and 2020, no significant options to purchase shares of common stock were outstanding.
(4) Due to rounding, weighted-average common shares outstanding applicable to basic EPS and the effect of dilutive securities may not sum to weighted-average common shares outstanding applicable to diluted EPS.
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions, except per-share amounts | 2017 | 2016 | 2017 | 2016 |
| Income from continuing operations before attribution of noncontrolling interests | $ | 4,137 |
| $ | 3,887 |
| $ | 12,138 |
| $ | 11,442 |
|
| Less: Noncontrolling interests from continuing operations | (1 | ) | 17 |
| 41 |
| 48 |
|
| Net income from continuing operations (for EPS purposes) | $ | 4,138 |
| $ | 3,870 |
| $ | 12,097 |
| $ | 11,394 |
|
| Income (loss) from discontinued operations, net of taxes | (5 | ) | (30 | ) | (2 | ) | (55 | ) |
| Citigroup's net income | $ | 4,133 |
| $ | 3,840 |
| $ | 12,095 |
| $ | 11,339 |
|
Less: Preferred dividends(1) | 272 |
| 225 |
| 893 |
| 757 |
|
| Net income available to common shareholders | $ | 3,861 |
| $ | 3,615 |
| $ | 11,202 |
| $ | 10,582 |
|
| Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS | 53 |
| 53 |
| 156 |
| 145 |
|
| Net income allocated to common shareholders for basic EPS | $ | 3,808 |
| $ | 3,562 |
| $ | 11,046 |
| $ | 10,437 |
|
| Net income allocated to common shareholders for diluted EPS | 3,808 |
| 3,562 |
| $ | 11,046 |
| $ | 10,437 |
|
| Weighted-average common shares outstanding applicable to basic EPS | 2,683.6 |
| 2,879.9 |
| 2,729.3 |
| 2,912.9 |
|
Effect of dilutive securities(2) | | | |
| |
Options(3) | 0.1 |
| 0.1 |
| 0.1 |
| 0.1 |
|
| Other employee plans | — |
| 0.1 |
| — |
| 0.1 |
|
Adjusted weighted-average common shares outstanding applicable to diluted EPS(4) | 2,683.7 |
| 2,880.1 |
| 2,729.5 |
| 2,913.0 |
|
Basic earnings per share(5) | | | |
| |
| Income from continuing operations | $ | 1.42 |
| $ | 1.25 |
| $ | 4.05 |
| $ | 3.60 |
|
| Discontinued operations | — |
| (0.01 | ) | — |
| (0.02 | ) |
| Net income | $ | 1.42 |
| $ | 1.24 |
| $ | 4.05 |
| $ | 3.58 |
|
Diluted earnings per share(5) | | | | |
| Income from continuing operations | $ | 1.42 |
| $ | 1.25 |
| $ | 4.05 |
| $ | 3.60 |
|
| Discontinued operations | — |
| (0.01 | ) | — |
| (0.02 | ) |
| Net income | $ | 1.42 |
| $ | 1.24 |
| $ | 4.05 |
| $ | 3.58 |
|
| |
(1) | As of September 30, 2017, Citi estimates it will distribute preferred dividends of approximately $320 million during the remainder of 2017, assuming such dividends are declared by the Citi Board of Directors. |
| |
(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 $105.27 per share for approximately 21.0 million and 25.5 million shares of Citigroup common stock, respectively. Both warrants were not included in the computation of earnings per share in the three and nine months ended September 30, 2017 and 2016 because they were anti-dilutive. |
| |
(3) | During the third quarters of 2017 and 2016, weighted-average options to purchase 0.8 million and 3.6 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 $206.70 and $85.92 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 20162020 Annual Report on Form 10-K.
Federal funds soldSecurities borrowed and securities borrowed or purchased under agreements to resell, at their respective carrying values, consisted of the following:
| | | | | | | | |
| In millions of dollars | June 30,
2021 | December 31, 2020 |
| Securities purchased under agreements to resell | $ | 209,300 | | $ | 204,655 | |
| Deposits paid for securities borrowed | 99,755 | | 90,067 | |
Total, net(1) | $ | 309,055 | | $ | 294,722 | |
Allowance for credit losses on securities purchased and borrowed(2) | (8) | | (10) | |
| Total, net of allowance | $ | 309,047 | | $ | 294,712 | |
|
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31, 2016 |
| Federal funds sold | $ | 20 |
| $ | — |
|
| Securities purchased under agreements to resell | 139,203 |
| 131,473 |
|
| Deposits paid for securities borrowed | 113,385 |
| 105,340 |
|
Total(1) | $ | 252,608 |
| $ | 236,813 |
|
Federal funds purchasedSecurities loaned and securities loaned or sold under agreements to repurchase, at their respective carrying values, consisted of the following:
| | | | | | | | |
| In millions of dollars | June 30,
2021 | December 31, 2020 |
| Securities sold under agreements to repurchase | $ | 198,353 | | $ | 181,194 | |
| Deposits received for securities loaned | 23,464 | | 18,331 | |
Total, net(1) | $ | 221,817 | | $ | 199,525 | |
(1) The above tables do not include securities-for-securities lending transactions of $3.3 billion and $6.8 billion at June 30, 2021 and December 31, 2020, 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.
(2) See Note 14 to the Consolidated Financial Statements for further information.
|
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31, 2016 |
| Federal funds purchased | $ | 388 |
| $ | 178 |
|
| Securities sold under agreements to repurchase | 145,280 |
| 125,685 |
|
| Deposits received for securities loaned | 15,614 |
| 15,958 |
|
Total(1) | $ | 161,282 |
| $ | 141,821 |
|
| |
(1) | The above tables do not include securities-for-securities lending transactions of $14.4 billion and $9.3 billion at September 30, 2017 and December 31, 2016, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.
|
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 amountamounts permitted under ASC-210-20-45.ASC 210-20-45. The tables also include amounts related to financial instruments that are not permitted to be offset under ASC-210-20-45,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 rights has been obtained. Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.
| | | | | | | | | | | | | | | | | |
| | As of June 30, 2021 |
| In millions of dollars | Gross amounts
of recognized
assets | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
assets included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) |
| Securities purchased under agreements to resell | $ | 303,476 | | $ | 94,176 | | $ | 209,300 | | $ | 174,835 | | $ | 34,465 | |
| Deposits paid for securities borrowed | 116,070 | | 16,315 | | 99,755 | | 18,037 | | 81,718 | |
| Total | $ | 419,546 | | $ | 110,491 | | $ | 309,055 | | $ | 192,872 | | $ | 116,183 | |
| | | | As of September 30, 2017 | | | | | | | | | | | | | | | | | |
| In millions of dollars | 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) | In millions of dollars | Gross amounts
of recognized
liabilities | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
liabilities included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) |
| Securities purchased under agreements to resell | $ | 207,485 |
| $ | 68,282 |
| $ | 139,203 |
| $ | 105,439 |
| $ | 33,764 |
| |
| Deposits paid for securities borrowed | 113,385 |
| — |
| 113,385 |
| 23,136 |
| 90,249 |
| |
| Securities sold under agreements to repurchase | | Securities sold under agreements to repurchase | $ | 292,529 | | $ | 94,176 | | $ | 198,353 | | $ | 97,308 | | $ | 101,045 | |
| Deposits received for securities loaned | | Deposits received for securities loaned | 39,779 | | 16,315 | | 23,464 | | 4,173 | | 19,291 | |
| Total | $ | 320,870 |
| $ | 68,282 |
| $ | 252,588 |
| $ | 128,575 |
| $ | 124,013 |
| Total | $ | 332,308 | | $ | 110,491 | | $ | 221,817 | | $ | 101,481 | | $ | 120,336 | |
| | | | | | | | | | | | | | | | | | |
| | As of December 31, 2020 | |
| In millions of dollars | Gross amounts
of recognized
assets | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
assets included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) | |
| Securities purchased under agreements to resell | $ | 362,025 | | $ | 157,370 | | $ | 204,655 | | $ | 159,232 | | $ | 45,423 | | |
| Deposits paid for securities borrowed | 96,425 | | 6,358 | | 90,067 | | 13,474 | | 76,593 | | |
| Total | $ | 458,450 | | $ | 163,728 | | $ | 294,722 | | $ | 172,706 | | $ | 122,016 | | |
| | | | | | | | | | | | | | | | | |
| In millions of dollars | Gross amounts
of recognized
liabilities | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
liabilities included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) |
| Securities sold under agreements to repurchase | $ | 338,564 | | $ | 157,370 | | $ | 181,194 | | $ | 95,563 | | $ | 85,631 | |
| Deposits received for securities loaned | 24,689 | | 6,358 | | 18,331 | | 7,982 | | 10,349 | |
| Total | $ | 363,253 | | $ | 163,728 | | $ | 199,525 | | $ | 103,545 | | $ | 95,980 | |
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45. |
| | | | | | | | | | | | | | | |
| In millions of dollars | 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 | $ | 213,562 |
| $ | 68,282 |
| $ | 145,280 |
| $ | 67,974 |
| $ | 77,306 |
|
| Deposits received for securities loaned | 15,614 |
| — |
| 15,614 |
| 4,359 |
| 11,255 |
|
| Total | $ | 229,176 |
| $ | 68,282 |
| $ | 160,894 |
| $ | 72,333 |
| $ | 88,561 |
|
(3)Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.
|
| | | | | | | | | | | | | | | |
| | As of December 31, 2016 |
| In millions of dollars | 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 |
|
| Deposits paid for securities borrowed | 105,340 |
| — |
| 105,340 |
| 16,200 |
| 89,140 |
|
| Total | $ | 281,624 |
| $ | 44,811 |
| $ | 236,813 |
| $ | 119,074 |
| $ | 117,739 |
|
|
| | | | | | | | | | | | | | | |
| In millions of dollars | 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 |
|
| Deposits received for securities loaned | 15,958 |
| — |
| 15,958 |
| 3,529 |
| 12,429 |
|
| Total | $ | 186,454 |
| $ | 44,811 |
| $ | 141,643 |
| $ | 67,046 |
| $ | 74,597 |
|
| |
(1) | Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45. |
| |
(2) | The total of this column for each period excludes Federal funds sold/purchased. See tables above. |
| |
(3) | Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained. |
| |
(4) | Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right. |
The following tables present the gross amountamounts of liabilities associated with repurchase agreements and securities lending agreements by remaining contractual maturity:
| | | | | | | | | | | | | | | | | |
| As of June 30, 2021 |
| In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total |
| Securities sold under agreements to repurchase | $ | 138,514 | | $ | 75,384 | | $ | 31,346 | | $ | 47,285 | | $ | 292,529 | |
| Deposits received for securities loaned | 29,519 | | 1,058 | | 1,677 | | 7,525 | | 39,779 | |
| Total | $ | 168,033 | | $ | 76,442 | | $ | 33,023 | | $ | 54,810 | | $ | 332,308 | |
| | | | | | | | | | | | | | | | | |
| As of December 31, 2020 |
| In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total |
| Securities sold under agreements to repurchase | $ | 160,754 | | $ | 98,226 | | $ | 41,679 | | $ | 37,905 | | $ | 338,564 | |
| Deposits received for securities loaned | 17,038 | | 3 | | 2,770 | | 4,878 | | 24,689 | |
| Total | $ | 177,792 | | $ | 98,229 | | $ | 44,449 | | $ | 42,783 | | $ | 363,253 | |
|
| | | | | | | | | | | | | | | |
| | As of September 30, 2017 |
| In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total |
| Securities sold under agreements to repurchase | $ | 97,624 |
| $ | 54,810 |
| $ | 23,997 |
| $ | 37,131 |
| $ | 213,562 |
|
| Deposits received for securities loaned | 11,980 |
| 342 |
| 2,070 |
| 1,222 |
| 15,614 |
|
| Total | $ | 109,604 |
| $ | 55,152 |
| $ | 26,067 |
| $ | 38,353 |
| $ | 229,176 |
|
|
| | | | | | | | | | | | | | | |
| | As of December 31, 2016 |
| In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total |
| Securities sold under agreements to repurchase | $ | 79,740 |
| $ | 50,399 |
| $ | 19,396 |
| $ | 20,961 |
| $ | 170,496 |
|
| Deposits received for securities loaned | 10,813 |
| 2,169 |
| 2,044 |
| 932 |
| 15,958 |
|
| Total | $ | 90,553 |
| $ | 52,568 |
| $ | 21,440 |
| $ | 21,893 |
| $ | 186,454 |
|
The following tables present the gross amountamounts of liabilities associated with repurchase agreements and securities lending agreements by class of underlying collateral:
| | | | | | | | | | | |
| As of June 30, 2021 |
| In millions of dollars | Repurchase agreements | Securities lending agreements | Total |
| U.S. Treasury and federal agency securities | $ | 106,277 | | $ | 0 | | $ | 106,277 | |
| State and municipal securities | 700 | | 0 | | 700 | |
| Foreign government securities | 106,812 | | 204 | | 107,016 | |
| Corporate bonds | 22,993 | | 265 | | 23,258 | |
| Equity securities | 26,227 | | 39,113 | | 65,340 | |
| Mortgage-backed securities | 23,699 | | 0 | | 23,699 | |
| Asset-backed securities | 2,052 | | 0 | | 2,052 | |
| Other | 3,769 | | 197 | | 3,966 | |
| Total | $ | 292,529 | | $ | 39,779 | | $ | 332,308 | |
| | | | | | | | | | | |
| As of December 31, 2020 |
| In millions of dollars | Repurchase agreements | Securities lending agreements | Total |
| U.S. Treasury and federal agency securities | $ | 112,437 | | $ | 0 | | $ | 112,437 | |
| State and municipal securities | 664 | | 2 | | 666 | |
| Foreign government securities | 130,017 | | 194 | | 130,211 | |
| Corporate bonds | 20,149 | | 78 | | 20,227 | |
| Equity securities | 21,497 | | 24,149 | | 45,646 | |
| Mortgage-backed securities | 45,566 | | 0 | | 45,566 | |
| Asset-backed securities | 3,307 | | 0 | | 3,307 | |
| Other | 4,927 | | 266 | | 5,193 | |
| Total | $ | 338,564 | | $ | 24,689 | | $ | 363,253 | |
|
| | | | | | | | | |
| | As of September 30, 2017 |
| In millions of dollars | Repurchase agreements | Securities lending agreements | Total |
| U.S. Treasury and federal agency securities | $ | 67,622 |
| $ | — |
| $ | 67,622 |
|
| State and municipal securities | 1,031 |
| 5 |
| 1,036 |
|
| Foreign government securities | 92,113 |
| 221 |
| 92,334 |
|
| Corporate bonds | 19,731 |
| 472 |
| 20,203 |
|
| Equity securities | 11,910 |
| 14,301 |
| 26,211 |
|
| Mortgage-backed securities | 12,590 |
| — |
| 12,590 |
|
| Asset-backed securities | 5,373 |
| — |
| 5,373 |
|
| Other | 3,192 |
| 615 |
| 3,807 |
|
| Total | $ | 213,562 |
| $ | 15,614 |
| $ | 229,176 |
|
|
| | | | | | | | | |
| | As of December 31, 2016 |
| In millions of dollars | Repurchase agreements | Securities lending agreements | Total |
| U.S. Treasury and federal agency securities | $ | 66,263 |
| $ | — |
| $ | 66,263 |
|
| State and municipal securities | 334 |
| — |
| 334 |
|
| Foreign government securities | 52,988 |
| 1,390 |
| 54,378 |
|
| Corporate bonds | 17,164 |
| 630 |
| 17,794 |
|
| Equity securities | 12,206 |
| 13,913 |
| 26,119 |
|
| Mortgage-backed securities | 11,421 |
| — |
| 11,421 |
|
| Asset-backed securities | 5,428 |
| — |
| 5,428 |
|
| Other | 4,692 |
| 25 |
| 4,717 |
|
| Total | $ | 170,496 |
| $ | 15,958 |
| $ | 186,454 |
|
11. BROKERAGE RECEIVABLES AND BROKERAGE
PAYABLES
The Company has receivables and payables for financial instruments sold to and purchased from brokers, dealers and customers, which arise in the ordinary course of business.
For additional information on these receivables and payables, see Note 12 to the Consolidated Financial Statements in Citi’s 20162020 Annual Report on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
| | | | | | | | |
| In millions of dollars | June 30,
2021 | December 31, 2020 |
| Receivables from customers | $ | 26,744 | | $ | 18,097 | |
| Receivables from brokers, dealers and clearing organizations | 34,394 | | 26,709 | |
Total brokerage receivables(1) | $ | 61,138 | | $ | 44,806 | |
| Payables to customers | $ | 46,413 | | $ | 39,319 | |
| Payables to brokers, dealers and clearing organizations | 13,003 | | 11,165 | |
Total brokerage payables(1) | $ | 59,416 | | $ | 50,484 | |
(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.
|
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31, 2016 |
| Receivables from customers | $ | 14,717 |
| $ | 10,374 |
|
| Receivables from brokers, dealers, and clearing organizations | 23,359 |
| 18,513 |
|
Total brokerage receivables(1) | $ | 38,076 |
| $ | 28,887 |
|
| Payables to customers | $ | 37,935 |
| $ | 37,237 |
|
| Payables to brokers, dealers, and clearing organizations | 25,270 |
| 19,915 |
|
Total brokerage payables(1) | $ | 63,205 |
| $ | 57,152 |
|
| |
(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 20162020 Annual Report on Form 10-K.
Overview
The following table presents Citi’s investments by category:
| | | | | | | | | |
| In millions of dollars | June 30,
2021 | December 31, 2020 | |
|
| Debt securities available-for-sale (AFS) | $ | 302,977 | | $ | 335,084 | | |
Debt securities held-to-maturity (HTM)(1) | 176,742 | | 104,943 | | |
Marketable equity securities carried at fair value(2) | 195 | | 515 | | |
Non-marketable equity securities carried at fair value(2) | 598 | | 551 | | |
Non-marketable equity securities measured using the measurement alternative(3) | 1,381 | | 962 | | |
Non-marketable equity securities carried at cost(4) | 5,170 | | 5,304 | | |
| Total investments | $ | 487,063 | | $ | 447,359 | | |
|
| | | | | | | |
| | In millions of dollars | September 30,
2017 | December 31,
2016 |
| |
| | Securities available-for-sale (AFS) | $ | 295,315 |
| $ | 299,424 |
|
| | Debt securities held-to-maturity (HTM)(1) | 51,527 |
| 45,667 |
|
| | Non-marketable equity securities carried at fair value(2) | 1,300 |
| 1,774 |
|
| | Non-marketable equity securities carried at cost(3) | 6,532 |
| 6,439 |
|
| | Total investments | $ | 354,674 |
| $ | 353,304 |
|
| |
(1) | Carried at adjusted amortized cost basis, net of any credit-related impairment. |
| |
(2) | Unrealized gains and losses for non-marketable equity securities carried at fair value are recognized in earnings. |
| |
(3) | Primarily consists of shares issued by the Federal Reserve Bank, Federal Home Loan Banks and various clearing houses of which Citigroup is a member. |
(1)Carried at adjusted amortized cost basis, net of any ACL.
(2)Unrealized gains and losses are recognized in earnings.
(3)Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings. See “Non-Marketable Equity Securities Not Carried at Fair Value” below.
(4) Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.
The following table presents interest and dividend income on investments:
| | | | | | | | | | | | | | |
| Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Taxable interest | $ | 1,723 | | $ | 1,984 | | $ | 3,375 | | $ | 4,163 | |
| Interest exempt from U.S. federal income tax | 57 | | 70 | | 123 | | 146 | |
| Dividend income | 38 | | 43 | | 72 | | 69 | |
| Total interest and dividend income on investments | $ | 1,818 | | $ | 2,097 | | $ | 3,570 | | $ | 4,378 | |
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Taxable interest | $ | 1,922 |
| $ | 1,717 |
| $ | 5,545 |
| $ | 5,153 |
|
| Interest exempt from U.S. federal income tax | 129 |
| 135 |
| 412 |
| 411 |
|
| Dividend income | 53 |
| 35 |
| 165 |
| 115 |
|
| Total interest and dividend income | $ | 2,104 |
| $ | 1,887 |
| $ | 6,122 |
| $ | 5,679 |
|
The following table presents realized gains and losses on the sales of investments, which excludes OTTIexclude impairment losses:
| | | | Three Months Ended September 30, | Nine Months Ended September 30, | | Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Gross realized investment gains | $ | 293 |
| $ | 483 |
| $ | 840 |
| $ | 1,105 |
| Gross realized investment gains | $ | 155 | | $ | 775 | | $ | 615 | | $ | 1,237 | |
| Gross realized investment losses | (80 | ) | (196 | ) | (214 | ) | (432 | ) | Gross realized investment losses | (18) | | (27) | | (77) | | (57) | |
| Net realized gains on sale of investments | $ | 213 |
| $ | 287 |
| $ | 626 |
| $ | 673 |
| |
| Net realized gains on sales of investments | | Net realized gains on sales of investments | $ | 137 | | $ | 748 | | $ | 538 | | $ | 1,180 | |
Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | September 30, 2017 | December 31, 2016 |
| In millions of dollars | Amortized cost | Gross unrealized gains | Gross unrealized losses | Fair value | Amortized cost | Gross unrealized gains | Gross unrealized losses | Fair value |
| Securities AFS | | | | | | | | |
Mortgage-backed securities(1) | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 42,422 |
| $ | 223 |
| $ | 331 |
| $ | 42,314 |
| $ | 38,663 |
| $ | 248 |
| $ | 506 |
| $ | 38,405 |
|
| Prime | 1 |
| — |
| — |
| 1 |
| 2 |
| — |
| — |
| 2 |
|
| Alt-A | — |
| — |
| — |
| — |
| 43 |
| 7 |
| — |
| 50 |
|
| Non-U.S. residential | 2,984 |
| 16 |
| 9 |
| 2,991 |
| 3,852 |
| 13 |
| 7 |
| 3,858 |
|
| Commercial | 345 |
| 1 |
| 2 |
| 344 |
| 357 |
| 2 |
| 1 |
| 358 |
|
| Total mortgage-backed securities | $ | 45,752 |
| $ | 240 |
| $ | 342 |
| $ | 45,650 |
| $ | 42,917 |
| $ | 270 |
| $ | 514 |
| $ | 42,673 |
|
| U.S. Treasury and federal agency securities | | | | | | | | |
| U.S. Treasury | $ | 107,696 |
| $ | 283 |
| $ | 408 |
| $ | 107,571 |
| $ | 113,606 |
| $ | 629 |
| $ | 452 |
| $ | 113,783 |
|
| Agency obligations | 10,803 |
| 17 |
| 65 |
| 10,755 |
| 9,952 |
| 21 |
| 85 |
| 9,888 |
|
| Total U.S. Treasury and federal agency securities | $ | 118,499 |
| $ | 300 |
| $ | 473 |
| $ | 118,326 |
| $ | 123,558 |
| $ | 650 |
| $ | 537 |
| $ | 123,671 |
|
State and municipal(2) | $ | 9,335 |
| $ | 146 |
| $ | 291 |
| $ | 9,190 |
| $ | 10,797 |
| $ | 80 |
| $ | 757 |
| $ | 10,120 |
|
| Foreign government | 100,625 |
| 526 |
| 404 |
| 100,747 |
| 98,112 |
| 590 |
| 554 |
| 98,148 |
|
| Corporate | 15,459 |
| 82 |
| 82 |
| 15,459 |
| 17,195 |
| 105 |
| 176 |
| 17,124 |
|
Asset-backed securities(1) | 5,279 |
| 15 |
| 3 |
| 5,291 |
| 6,810 |
| 6 |
| 22 |
| 6,794 |
|
| Other debt securities | 348 |
| — |
| — |
| 348 |
| 503 |
| — |
| — |
| 503 |
|
| Total debt securities AFS | $ | 295,297 |
| $ | 1,309 |
| $ | 1,595 |
| $ | 295,011 |
| $ | 299,892 |
| $ | 1,701 |
| $ | 2,560 |
| $ | 299,033 |
|
| Marketable equity securities AFS | $ | 284 |
| $ | 23 |
| $ | 3 |
| $ | 304 |
| $ | 377 |
| $ | 20 |
| $ | 6 |
| $ | 391 |
|
| Total securities AFS | $ | 295,581 |
| $ | 1,332 |
| $ | 1,598 |
| $ | 295,315 |
| $ | 300,269 |
| $ | 1,721 |
| $ | 2,566 |
| $ | 299,424 |
|
| |
(1) | The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 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.
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | June 30, 2021 | December 31, 2020 |
| In millions of dollars | Amortized
cost | Gross
unrealized
gains | Gross
unrealized
losses | Allowance for credit losses | Fair
value | Amortized
cost | Gross
unrealized
gains | Gross
unrealized
losses | Allowance for credit losses | Fair
value |
| Debt securities AFS | | | | | | | | | | |
Mortgage-backed securities(1) | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 38,842 | | $ | 697 | | $ | 229 | | $ | 0 | | $ | 39,310 | | $ | 42,836 | | $ | 1,134 | | $ | 52 | | $ | 0 | | $ | 43,918 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| Non-U.S. residential | 403 | | 1 | | 0 | | 0 | | 404 | | 568 | | 3 | | 0 | | 0 | | 571 | |
| Commercial | 43 | | 0 | | 0 | | 0 | | 43 | | 49 | | 1 | | 0 | | 0 | | 50 | |
| Total mortgage-backed securities | $ | 39,288 | | $ | 698 | | $ | 229 | | $ | 0 | | $ | 39,757 | | $ | 43,453 | | $ | 1,138 | | $ | 52 | | $ | 0 | | $ | 44,539 | |
| U.S. Treasury and federal agency securities | | | | | | | | | | |
| U.S. Treasury | $ | 125,224 | | $ | 1,336 | | $ | 413 | | $ | 0 | | $ | 126,147 | | $ | 144,094 | | $ | 2,108 | | $ | 49 | | $ | 0 | | $ | 146,153 | |
| Agency obligations | 0 | | 0 | | 0 | | 0 | | 0 | | 50 | | 1 | | 0 | | 0 | | 51 | |
| Total U.S. Treasury and federal agency securities | $ | 125,224 | | $ | 1,336 | | $ | 413 | | $ | 0 | | $ | 126,147 | | $ | 144,144 | | $ | 2,109 | | $ | 49 | | $ | 0 | | $ | 146,204 | |
| State and municipal | $ | 3,096 | | $ | 95 | | $ | 112 | | $ | 0 | | $ | 3,079 | | $ | 3,753 | | $ | 123 | | $ | 157 | | $ | 0 | | $ | 3,719 | |
| Foreign government | 120,122 | | 587 | | 492 | | 0 | | 120,217 | | 123,467 | | 1,623 | | 122 | | 0 | | 124,968 | |
| Corporate | 7,902 | | 74 | | 68 | | 5 | | 7,903 | | 10,444 | | 152 | | 91 | | 5 | | 10,500 | |
Asset-backed securities(1) | 211 | | 0 | | 0 | | 0 | | 211 | | 277 | | 5 | | 4 | | 0 | | 278 | |
| Other debt securities | 5,661 | | 2 | | 0 | | 0 | | 5,663 | | 4,871 | | 5 | | 0 | | 0 | | 4,876 | |
| | | | | | | | | | |
| Total debt securities AFS | $ | 301,504 | | $ | 2,792 | | $ | 1,314 | | $ | 5 | | $ | 302,977 | | $ | 330,409 | | $ | 5,155 | | $ | 475 | | $ | 5 | | $ | 335,084 | |
(1)The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. 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- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.
The following table shows the fair value of AFS debt securities that have been in an unrealized loss position:
| | | | | | | | | | | | | | | | | | | | |
| | Less than 12 months | 12 months or longer | Total |
| In millions of dollars | Fair
value | Gross
unrealized
losses | Fair
value | Gross
unrealized
losses | Fair
value | Gross
unrealized
losses |
| June 30, 2021 | | | | | | |
| Debt securities AFS | | | | | | |
| Mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 14,217 | | $ | 208 | | $ | 343 | | $ | 21 | | $ | 14,560 | | $ | 229 | |
| | | | | | |
| Non-U.S. residential | 22 | | 0 | | 0 | | 0 | | 22 | | 0 | |
| | | | | | |
| Total mortgage-backed securities | $ | 14,239 | | $ | 208 | | $ | 343 | | $ | 21 | | $ | 14,582 | | $ | 229 | |
| | | | | | |
| U.S. Treasury | $ | 52,548 | | $ | 413 | | $ | 0 | | $ | 0 | | $ | 52,548 | | $ | 413 | |
| | | | | | |
| | | | | | |
| State and municipal | 101 | | 2 | | 1,107 | | 110 | | 1,208 | | 112 | |
| Foreign government | 43,680 | | 363 | | 6,510 | | 129 | | 50,190 | | 492 | |
| Corporate | 1,896 | | 67 | | 19 | | 1 | | 1,915 | | 68 | |
| Asset-backed securities | 3 | | 0 | | 0 | | 0 | | 3 | | 0 | |
| Other debt securities | 2,263 | | 0 | | 0 | | 0 | | 2,263 | | 0 | |
| Total debt securities AFS | $ | 114,730 | | $ | 1,053 | | $ | 7,979 | | $ | 261 | | $ | 122,709 | | $ | 1,314 | |
| December 31, 2020 | | | | | | |
| Debt securities AFS | | | | | | |
| Mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 3,588 | | $ | 30 | | $ | 298 | | $ | 22 | | $ | 3,886 | | $ | 52 | |
| | | | | | |
| Non-U.S. residential | 1 | | 0 | | 0 | | 0 | | 1 | | 0 | |
| Commercial | 7 | | 0 | | 4 | | 0 | | 11 | | 0 | |
| Total mortgage-backed securities | $ | 3,596 | | $ | 30 | | $ | 302 | | $ | 22 | | $ | 3,898 | | $ | 52 | |
| U.S. Treasury and federal agency securities | | | | | | |
| U.S. Treasury | $ | 25,031 | | $ | 49 | | $ | 0 | | $ | 0 | | $ | 25,031 | | $ | 49 | |
| Agency obligations | 50 | | 0 | | 0 | | 0 | | 50 | | 0 | |
| Total U.S. Treasury and federal agency securities | $ | 25,081 | | $ | 49 | | $ | 0 | | $ | 0 | | $ | 25,081 | | $ | 49 | |
| State and municipal | $ | 836 | | $ | 34 | | $ | 893 | | $ | 123 | | $ | 1,729 | | $ | 157 | |
| Foreign government | 29,344 | | 61 | | 3,502 | | 61 | | 32,846 | | 122 | |
| Corporate | 1,083 | | 90 | | 24 | | 1 | | 1,107 | | 91 | |
| Asset-backed securities | 194 | | 3 | | 39 | | 1 | | 233 | | 4 | |
| Other debt securities | 182 | | 0 | | 0 | | 0 | | 182 | | 0 | |
| Total debt securities AFS | $ | 60,316 | | $ | 267 | | $ | 4,760 | | $ | 208 | | $ | 65,076 | | $ | 475 | |
|
| | | | | | | | | | | | | | | | | | |
| | Less than 12 months | 12 months or longer | Total |
| In millions of dollars | Fair value | Gross unrealized losses | Fair value | Gross unrealized losses | Fair value | Gross unrealized losses |
| September 30, 2017 | | | | | | |
| Securities AFS | | | | | | |
| Mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 24,545 |
| $ | 275 |
| $ | 2,631 |
| $ | 56 |
| $ | 27,176 |
| $ | 331 |
|
| Non-U.S. residential | 1,267 |
| 8 |
| 28 |
| 1 |
| 1,295 |
| 9 |
|
| Commercial | 111 |
| 1 |
| 42 |
| 1 |
| 153 |
| 2 |
|
| Total mortgage-backed securities | $ | 25,923 |
| $ | 284 |
| $ | 2,701 |
| $ | 58 |
| $ | 28,624 |
| $ | 342 |
|
| U.S. Treasury and federal agency securities | | | | | | |
| U.S. Treasury | $ | 50,362 |
| $ | 367 |
| $ | 4,392 |
| $ | 41 |
| $ | 54,754 |
| $ | 408 |
|
| Agency obligations | 6,884 |
| 46 |
| 1,231 |
| 19 |
| 8,115 |
| 65 |
|
| Total U.S. Treasury and federal agency securities | $ | 57,246 |
| $ | 413 |
| $ | 5,623 |
| $ | 60 |
| $ | 62,869 |
| $ | 473 |
|
| State and municipal | $ | 430 |
| $ | 13 |
| $ | 1,669 |
| $ | 278 |
| $ | 2,099 |
| $ | 291 |
|
| Foreign government | 40,112 |
| 202 |
| 9,462 |
| 202 |
| 49,574 |
| 404 |
|
| Corporate | 6,330 |
| 65 |
| 696 |
| 17 |
| 7,026 |
| 82 |
|
| Asset-backed securities | 1,148 |
| 3 |
| 207 |
| — |
| 1,355 |
| 3 |
|
| Other debt securities | — |
| — |
| — |
| — |
| — |
| — |
|
| Marketable equity securities AFS | 13 |
| 2 |
| 11 |
| 1 |
| 24 |
| 3 |
|
| Total securities AFS | $ | 131,202 |
| $ | 982 |
| $ | 20,369 |
| $ | 616 |
| $ | 151,571 |
| $ | 1,598 |
|
| December 31, 2016 | |
| |
| |
| |
| |
| |
|
| Securities AFS | |
| |
| |
| |
| |
| |
|
| Mortgage-backed securities | |
| |
| |
| |
| |
| |
|
| U.S. government-sponsored agency guaranteed | $ | 23,534 |
| $ | 436 |
| $ | 2,236 |
| $ | 70 |
| $ | 25,770 |
| $ | 506 |
|
| Prime | 1 |
| — |
| — |
| — |
| 1 |
| — |
|
| Non-U.S. residential | 486 |
| — |
| 1,276 |
| 7 |
| 1,762 |
| 7 |
|
| Commercial | 75 |
| 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 obligations | 6,552 |
| 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 government | 38,226 |
| 243 |
| 8,973 |
| 311 |
| 47,199 |
| 554 |
|
| Corporate | 7,011 |
| 129 |
| 1,877 |
| 47 |
| 8,888 |
| 176 |
|
| Asset-backed securities | 411 |
| — |
| 3,213 |
| 22 |
| 3,624 |
| 22 |
|
| Other debt securities | 5 |
| — |
| — |
| — |
| 5 |
| — |
|
| Marketable equity securities AFS | 19 |
| 2 |
| 24 |
| 4 |
| 43 |
| 6 |
|
| Total securities AFS | $ | 122,278 |
| $ | 1,394 |
| $ | 22,358 |
| $ | 1,172 |
| $ | 144,636 |
| $ | 2,566 |
|
The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
| | | | | | | | | | | | | | |
| |
| | June 30, 2021 | December 31, 2020 |
| In millions of dollars | Amortized
cost | Fair
value | Amortized
cost | Fair
value |
Mortgage-backed securities(1) | | | | |
| Due within 1 year | $ | 107 | | $ | 107 | | $ | 27 | | $ | 27 | |
| After 1 but within 5 years | 315 | | 317 | | 567 | | 571 | |
| After 5 but within 10 years | 679 | | 732 | | 688 | | 757 | |
After 10 years(2) | 38,187 | | 38,601 | | 42,171 | | 43,184 | |
| Total | $ | 39,288 | | $ | 39,757 | | $ | 43,453 | | $ | 44,539 | |
| U.S. Treasury and federal agency securities | | | | |
| Due within 1 year | $ | 30,179 | | $ | 30,264 | | $ | 34,834 | | $ | 34,951 | |
| After 1 but within 5 years | 93,736 | | 94,589 | | 108,160 | | 110,091 | |
| After 5 but within 10 years | 1,309 | | 1,294 | | 1,150 | | 1,162 | |
After 10 years(2) | 0 | | 0 | | 0 | | 0 | |
| Total | $ | 125,224 | | $ | 126,147 | | $ | 144,144 | | $ | 146,204 | |
| State and municipal | | | | |
| Due within 1 year | $ | 379 | | $ | 379 | | $ | 427 | | $ | 428 | |
| After 1 but within 5 years | 92 | | 94 | | 189 | | 198 | |
| After 5 but within 10 years | 245 | | 250 | | 276 | | 267 | |
After 10 years(2) | 2,380 | | 2,356 | | 2,861 | | 2,826 | |
| Total | $ | 3,096 | | $ | 3,079 | | $ | 3,753 | | $ | 3,719 | |
| Foreign government | | | | |
| Due within 1 year | $ | 48,404 | | $ | 48,458 | | $ | 48,133 | | $ | 48,258 | |
| After 1 but within 5 years | 64,721 | | 64,846 | | 67,365 | | 68,586 | |
| After 5 but within 10 years | 4,900 | | 4,803 | | 5,908 | | 6,011 | |
After 10 years(2) | 2,097 | | 2,110 | | 2,061 | | 2,113 | |
| Total | $ | 120,122 | | $ | 120,217 | | $ | 123,467 | | $ | 124,968 | |
All other(3) | | | | |
| Due within 1 year | $ | 6,436 | | $ | 6,435 | | $ | 6,661 | | $ | 6,665 | |
| After 1 but within 5 years | 6,200 | | 6,234 | | 7,814 | | 7,891 | |
| After 5 but within 10 years | 1,078 | | 1,080 | | 1,018 | | 1,034 | |
After 10 years(2) | 60 | | 28 | | 99 | | 64 | |
| Total | $ | 13,774 | | $ | 13,777 | | $ | 15,592 | | $ | 15,654 | |
| Total debt securities AFS | $ | 301,504 | | $ | 302,977 | | $ | 330,409 | | $ | 335,084 | |
(1)Includes mortgage-backed securities of U.S. government-sponsored agencies. The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions.
(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.
|
| | | | | | | | | | | | |
| | September 30, 2017 | December 31, 2016 |
| In millions of dollars | Amortized cost | Fair value | Amortized cost | Fair value |
Mortgage-backed securities(1) | | | | |
| Due within 1 year | $ | 61 |
| $ | 61 |
| $ | 132 |
| $ | 132 |
|
| After 1 but within 5 years | 1,340 |
| 1,340 |
| 736 |
| 738 |
|
| After 5 but within 10 years | 1,469 |
| 1,466 |
| 2,279 |
| 2,265 |
|
After 10 years(2) | 42,882 |
| 42,783 |
| 39,770 |
| 39,538 |
|
| Total | $ | 45,752 |
| $ | 45,650 |
| $ | 42,917 |
| $ | 42,673 |
|
| U.S. Treasury and federal agency securities | | | | |
| Due within 1 year | $ | 3,549 |
| $ | 3,539 |
| $ | 4,945 |
| $ | 4,945 |
|
| After 1 but within 5 years | 109,477 |
| 109,286 |
| 101,369 |
| 101,323 |
|
| After 5 but within 10 years | 5,473 |
| 5,501 |
| 17,153 |
| 17,314 |
|
After 10 years(2) | — |
| — |
| 91 |
| 89 |
|
| Total | $ | 118,499 |
| $ | 118,326 |
| $ | 123,558 |
| $ | 123,671 |
|
| State and municipal | | | | |
| Due within 1 year | $ | 2,036 |
| $ | 2,036 |
| $ | 2,093 |
| $ | 2,092 |
|
| After 1 but within 5 years | 2,412 |
| 2,416 |
| 2,668 |
| 2,662 |
|
| After 5 but within 10 years | 493 |
| 508 |
| 335 |
| 334 |
|
After 10 years(2) | 4,394 |
| 4,230 |
| 5,701 |
| 5,032 |
|
| Total | $ | 9,335 |
| $ | 9,190 |
| $ | 10,797 |
| $ | 10,120 |
|
| Foreign government | | | | |
| Due within 1 year | $ | 32,095 |
| $ | 32,097 |
| $ | 32,540 |
| $ | 32,547 |
|
| After 1 but within 5 years | 52,519 |
| 52,362 |
| 51,008 |
| 50,881 |
|
| After 5 but within 10 years | 13,531 |
| 13,690 |
| 12,388 |
| 12,440 |
|
After 10 years(2) | 2,480 |
| 2,598 |
| 2,176 |
| 2,280 |
|
| Total | $ | 100,625 |
| $ | 100,747 |
| $ | 98,112 |
| $ | 98,148 |
|
All other(3) | | | | |
| Due within 1 year | $ | 3,585 |
| $ | 3,583 |
| $ | 2,629 |
| $ | 2,628 |
|
| After 1 but within 5 years | 9,799 |
| 9,818 |
| 12,339 |
| 12,334 |
|
| After 5 but within 10 years | 5,581 |
| 5,585 |
| 6,566 |
| 6,528 |
|
After 10 years(2) | 2,121 |
| 2,112 |
| 2,974 |
| 2,931 |
|
| Total | $ | 21,086 |
| $ | 21,098 |
| $ | 24,508 |
| $ | 24,421 |
|
| Total debt securities AFS | $ | 295,297 |
| $ | 295,011 |
| $ | 299,892 |
| $ | 299,033 |
|
| |
(1) | Includes mortgage-backed securities of U.S. government-sponsored agencies. |
| |
(2) | Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights. |
| |
(3) | Includes corporate, asset-backed and other debt securities. |
Debt Securities Held-to-Maturity
The carrying value and fair value of debt securities HTM were as follows:
|
| | | | | | | | | | | | | | | | | | |
| In millions of dollars | Amortized cost basis(1) | Net unrealized gains (losses) recognized in AOCI | Carrying value(2) | Gross unrealized gains | Gross unrealized (losses) | Fair value |
| September 30, 2017 | | | | | |
| Debt securities held-to-maturity | | | | | | |
Mortgage-backed securities(3) | | | | | | |
| U.S. government agency guaranteed | $ | 23,683 |
| $ | 26 |
| $ | 23,709 |
| $ | 104 |
| $ | (78 | ) | $ | 23,735 |
|
| Prime | 13 |
| — |
| 13 |
| 4 |
| — |
| 17 |
|
| Alt-A | 256 |
| (11 | ) | 245 |
| 97 |
| — |
| 342 |
|
| Non-U.S. residential | 1,932 |
| (47 | ) | 1,885 |
| 58 |
| — |
| 1,943 |
|
| Commercial | 217 |
| — |
| 217 |
| — |
| — |
| 217 |
|
| Total mortgage-backed securities | $ | 26,101 |
| $ | (32 | ) | $ | 26,069 |
| $ | 263 |
| $ | (78 | ) | $ | 26,254 |
|
State and municipal(4) | $ | 8,588 |
| $ | (30 | ) | $ | 8,558 |
| $ | 338 |
| $ | (90 | ) | $ | 8,806 |
|
| Foreign government | 584 |
| — |
| 584 |
| — |
| (14 | ) | 570 |
|
Asset-backed securities(3) | 16,286 |
| (5 | ) | 16,281 |
| 94 |
| (10 | ) | 16,365 |
|
| Other debt securities | 35 |
| — |
| 35 |
| — |
| — |
| 35 |
|
| Total debt securities held-to-maturity | $ | 51,594 |
| $ | (67 | ) | $ | 51,527 |
| $ | 695 |
| $ | (192 | ) | $ | 52,030 |
|
| December 31, 2016 | | |
| |
| |
| |
| |
|
| Debt securities held-to-maturity | |
| |
| |
| |
| |
| |
|
Mortgage-backed securities(3) | |
| |
| |
| |
| |
| |
|
| U.S. government agency guaranteed | $ | 22,462 |
| $ | 33 |
| $ | 22,495 |
| $ | 47 |
| $ | (186 | ) | $ | 22,356 |
|
| Prime | 31 |
| (7 | ) | 24 |
| 10 |
| (1 | ) | 33 |
|
| Alt-A | 314 |
| (27 | ) | 287 |
| 69 |
| (1 | ) | 355 |
|
| Non-U.S. residential | 1,871 |
| (47 | ) | 1,824 |
| 49 |
| — |
| 1,873 |
|
| Commercial | 14 |
| — |
| 14 |
| — |
| — |
| 14 |
|
| Total mortgage-backed securities | $ | 24,692 |
| $ | (48 | ) | $ | 24,644 |
| $ | 175 |
| $ | (188 | ) | $ | 24,631 |
|
| State and municipal | $ | 9,025 |
| $ | (442 | ) | $ | 8,583 |
| $ | 129 |
| $ | (238 | ) | $ | 8,474 |
|
| Foreign government | 1,339 |
| — |
| 1,339 |
| — |
| (26 | ) | 1,313 |
|
Asset-backed securities(3) | 11,107 |
| (6 | ) | 11,101 |
| 41 |
| (5 | ) | 11,137 |
|
Total debt securities held-to-maturity(5) | $ | 46,163 |
| $ | (496 | ) | $ | 45,667 |
| $ | 345 |
| $ | (457 | ) | $ | 45,555 |
|
| |
(1) | For securities transferred to HTM from Trading account assets, amortized cost basis is defined as the fair value of the securities at the date of transfer plus any accretion income and less any impairments recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any other-than-temporary impairment recognized in earnings.
|
| |
(2) | HTM securities are carried on the Consolidated Balance Sheet at amortized cost basis, plus or minus any unamortized unrealized gains and losses and fair value hedge adjustments recognized in AOCI prior to reclassifying the securities from AFS to HTM. Changes in the values of these securities are not reported in the financial statements, except for the amortization of any difference between the carrying value at the transfer date and par value of the securities, and the recognition of any non-credit fair value adjustments in AOCI in connection with the recognition of any credit impairment in earnings related to securities the Company continues to intend to hold until maturity. |
| |
(3) | The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements. |
| |
(4) | In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of 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.
|
| |
(5) | During the fourth quarter of 2016, securities with 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 order to reduce the impact of price volatility on AOCI and certain capital measures under Basel III. While these securities were transferred to HTM at fair value as of the transfer date, no subsequent changes in value may be recorded, other than in connection with the recognition of any subsequent other-than-temporary impairment and the amortization of differences between the carrying values at the transfer date and the par values of each security as an adjustment of yield over the remaining contractual life of each security. Any net unrealized holding losses within AOCI related to the respective securities at the |
| | | | | | | | | | | | | | | | |
| In millions of dollars | | | Amortized cost, net(1) | Gross
unrealized
gains | Gross
unrealized
losses | Fair
value |
| June 30, 2021 | | | | | |
| Debt securities HTM | | | | | | |
Mortgage-backed securities(2) | | | | | | |
| U.S. government-sponsored agency guaranteed | | | $ | 65,387 | | $ | 1,525 | | $ | 472 | | $ | 66,440 | |
| | | | | | |
| Non-U.S. residential | | | 757 | | 1 | | 0 | | 758 | |
| Commercial | | | 891 | | 2 | | 2 | | 891 | |
| Total mortgage-backed securities | | | $ | 67,035 | | $ | 1,528 | | $ | 474 | | $ | 68,089 | |
| U.S. Treasury securities | | | $ | 72,342 | | $ | 120 | | $ | 452 | | $ | 72,010 | |
State and municipal(3) | | | 9,030 | | 655 | | 9 | | 9,676 | |
| Foreign government | | | 1,755 | | 25 | | 14 | | 1,766 | |
Asset-backed securities(2) | | | 26,580 | | 12 | | 31 | | 26,561 | |
| | | | | | |
| Total debt securities HTM, net | | | $ | 176,742 | | $ | 2,340 | | $ | 980 | | $ | 178,102 | |
| December 31, 2020 | | | | | | |
| Debt securities HTM | | | | | | |
Mortgage-backed securities(2) | | | | | | |
| U.S. government-sponsored agency guaranteed | | | $ | 49,004 | | $ | 2,162 | | $ | 15 | | $ | 51,151 | |
| | | | | | |
| | | | | | |
| | | | | | |
| Non-U.S. residential | | | 1,124 | | 3 | | 1 | | 1,126 | |
| Commercial | | | 825 | | 1 | | 1 | | 825 | |
| Total mortgage-backed securities | | | $ | 50,953 | | $ | 2,166 | | $ | 17 | | $ | 53,102 | |
U.S. Treasury securities(4) | | | $ | 21,293 | | $ | 4 | | $ | 55 | | $ | 21,242 | |
| State and municipal | | | 9,185 | | 755 | | 11 | | 9,929 | |
| Foreign government | | | 1,931 | | 91 | | 0 | | 2,022 | |
Asset-backed securities(2) | | | 21,581 | | 6 | | 92 | | 21,495 | |
| Total debt securities HTM, net | | | $ | 104,943 | | $ | 3,022 | | $ | 175 | | $ | 107,790 | |
date(1)Amortized cost is reported net of ACL of $83 million and $86 million at June 30, 2021 and December 31, 2020, respectively.
(2)The Company invests in mortgage- 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- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.
(3)In February 2021, Citibank transferred $237 million of state and municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, inclusivethe securities were in an unrealized gain position of any cumulative fair value hedge adjustments,$14 million. The gain amounts will remain in AOCI and will be amortized over the remaining contractual life of each security as an adjustmentthe securities.
(4)In August 2020, Citibank transferred $13.1 billion of yieldinvestments in a manner consistentU.S. Treasury securities from AFS classification to HTM classification in accordance with ASC 320. At the amortizationtime of any premium or discount.
The table below showstransfer, the fair value of debt securities HTM that have beenwere in an unrecognized loss position:unrealized gain position of $144 million. The gain amounts will remain in AOCI and will be amortized over the remaining life of the securities.
|
| | | | | | | | | | | | | | | | | | |
| | Less than 12 months | 12 months or longer | Total |
| In millions of dollars | Fair
value | Gross
unrecognized
losses | Fair
value | Gross
unrecognized
losses | Fair
value | Gross
unrecognized
losses |
| September 30, 2017 | | | | | | |
| Debt securities held-to-maturity | | | | | | |
| Mortgage-backed securities | $ | 47 |
| $ | — |
| $ | 10,147 |
| $ | 78 |
| $ | 10,194 |
| $ | 78 |
|
| State and municipal | 242 |
| 6 |
| 832 |
| 84 |
| 1,074 |
| 90 |
|
| Foreign government | 570 |
| 14 |
| — |
| — |
| 570 |
| 14 |
|
| Asset-backed securities | 55 |
| 2 |
| 2,563 |
| 8 |
| 2,618 |
| 10 |
|
| Total debt securities held-to-maturity | $ | 914 |
| $ | 22 |
| $ | 13,542 |
| $ | 170 |
| $ | 14,456 |
| $ | 192 |
|
| December 31, 2016 | | | | | | |
| Debt securities held-to-maturity | | | | | | |
| Mortgage-backed securities | $ | 17 |
| $ | — |
| $ | 17,176 |
| $ | 188 |
| $ | 17,193 |
| $ | 188 |
|
| State and municipal | 2,200 |
| 58 |
| 1,210 |
| 180 |
| 3,410 |
| 238 |
|
| Foreign government | 1,313 |
| 26 |
| — |
| — |
| 1,313 |
| 26 |
|
| Asset-backed securities | 2 |
| — |
| 2,503 |
| 5 |
| 2,505 |
| 5 |
|
| Total debt securities held-to-maturity | $ | 3,532 |
| $ | 84 |
| $ | 20,889 |
| $ | 373 |
| $ | 24,421 |
| $ | 457 |
|
Note: Excluded from the gross unrecognized losses presented in the table above are $(67) million and $(496) million of net unrealized losses recorded in AOCI as of September 30, 2017 and December 31, 2016, respectively, primarily related to the difference between the amortized cost and carrying value of HTM securities that were reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at September 30, 2017 and December 31, 2016.
The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
| | | | | | | | | | | | | | |
| |
| | June 30, 2021 | December 31, 2020 |
| In millions of dollars | Amortized cost(1) | Fair value | Amortized cost(1) | Fair value |
| Mortgage-backed securities | | | | |
| Due within 1 year | $ | 307 | | $ | 304 | | $ | 81 | | $ | 81 | |
| After 1 but within 5 years | 855 | | 919 | | 463 | | 477 | |
| After 5 but within 10 years | 1,571 | | 1,676 | | 1,699 | | 1,873 | |
After 10 years(2) | 64,302 | | 65,190 | | 48,710 | | 50,671 | |
| Total | $ | 67,035 | | $ | 68,089 | | $ | 50,953 | | $ | 53,102 | |
| U.S. Treasury securities | | | | |
| Due within 1 year | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| After 1 but within 5 years | 32,125 | | 31,742 | | 18,955 | | 19,127 | |
| After 5 but within 10 years | 40,217 | | 40,268 | | 2,338 | | 2,115 | |
After 10 years(2) | 0 | | 0 | | 0 | | 0 | |
| Total | $ | 72,342 | | $ | 72,010 | | $ | 21,293 | | $ | 21,242 | |
| State and municipal | | | | |
| Due within 1 year | $ | 11 | | $ | 11 | | $ | 6 | | $ | 6 | |
| After 1 but within 5 years | 193 | | 197 | | 139 | | 142 | |
| After 5 but within 10 years | 742 | | 785 | | 818 | | 869 | |
After 10 years(2) | 8,084 | | 8,683 | | 8,222 | | 8,912 | |
| Total | $ | 9,030 | | $ | 9,676 | | $ | 9,185 | | $ | 9,929 | |
| Foreign government | | | | |
| Due within 1 year | $ | 344 | | $ | 347 | | $ | 361 | | $ | 360 | |
| After 1 but within 5 years | 1,411 | | 1,419 | | 1,570 | | 1,662 | |
| After 5 but within 10 years | 0 | | 0 | | 0 | | 0 | |
After 10 years(2) | 0 | | 0 | | 0 | | 0 | |
| Total | $ | 1,755 | | $ | 1,766 | | $ | 1,931 | | $ | 2,022 | |
All other(3) | | | | |
| Due within 1 year | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| After 1 but within 5 years | 0 | | 0 | | 0 | | 0 | |
| After 5 but within 10 years | 10,452 | | 10,449 | | 11,795 | | 15,020 | |
After 10 years(2) | 16,128 | | 16,112 | | 9,786 | | 6,475 | |
| Total | $ | 26,580 | | $ | 26,561 | | $ | 21,581 | | $ | 21,495 | |
| Total debt securities HTM | $ | 176,742 | | $ | 178,102 | | $ | 104,943 | | $ | 107,790 | |
(1)Amortized cost is reported net of ACL of $83 million and $86 million at June 30, 2021 and December 31, 2020, respectively.
(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 and asset-backed securities.
HTM Debt Securities Delinquency and Non-Accrual Details
Citi did not have any HTM securities that were delinquent or on non-accrual status at June 30, 2021 and December 31, 2020.
There were no purchased credit-deteriorated HTM debt securities held by the Company as of June 30, 2021 and December 31, 2020.
|
| | | | | | | | | | | | |
| | September 30, 2017 | December 31, 2016 |
| In millions of dollars | Carrying value | Fair value | Carrying value | Fair value |
| Mortgage-backed securities | | | | |
| Due within 1 year | $ | — |
| $ | — |
| $ | — |
| $ | — |
|
| After 1 but within 5 years | 737 |
| 743 |
| 760 |
| 766 |
|
| After 5 but within 10 years | 123 |
| 124 |
| 54 |
| 55 |
|
After 10 years(1) | 25,209 |
| 25,387 |
| 23,830 |
| 23,810 |
|
| Total | $ | 26,069 |
| $ | 26,254 |
| $ | 24,644 |
| $ | 24,631 |
|
| State and municipal | | | | |
| Due within 1 year | $ | 227 |
| $ | 228 |
| $ | 406 |
| $ | 406 |
|
| After 1 but within 5 years | 166 |
| 176 |
| 112 |
| 110 |
|
| After 5 but within 10 years | 458 |
| 474 |
| 363 |
| 367 |
|
After 10 years(1) | 7,707 |
| 7,928 |
| 7,702 |
| 7,591 |
|
| Total | $ | 8,558 |
| $ | 8,806 |
| $ | 8,583 |
| $ | 8,474 |
|
| Foreign government | | | | |
| Due within 1 year | $ | 413 |
| $ | 413 |
| $ | 824 |
| $ | 818 |
|
| After 1 but within 5 years | 171 |
| 157 |
| 515 |
| 495 |
|
| After 5 but within 10 years | — |
| — |
| — |
| — |
|
After 10 years(1) | — |
| — |
| — |
| — |
|
| Total | $ | 584 |
| $ | 570 |
| $ | 1,339 |
| $ | 1,313 |
|
All other(2) | | | | |
| Due within 1 year | $ | — |
| $ | — |
| $ | — |
| $ | — |
|
| After 1 but within 5 years | 35 |
| 35 |
| — |
| — |
|
| After 5 but within 10 years | 1,146 |
| 1,148 |
| 513 |
| 514 |
|
After 10 years(1) | 15,135 |
| 15,217 |
| 10,588 |
| 10,623 |
|
| Total | $ | 16,316 |
| $ | 16,400 |
| $ | 11,101 |
| $ | 11,137 |
|
| Total debt securities held-to-maturity | $ | 51,527 |
| $ | 52,030 |
| $ | 45,667 |
| $ | 45,555 |
|
| |
(1) | Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights. |
| |
(2) | Includes corporate and asset-backed securities. |
Evaluating Investments for Other-Than-Temporary Impairment
OverviewAFS Debt Securities
Overview—AFS Debt Securities
The Company conducts periodic reviews of all AFS debt securities with unrealized losses to evaluate whether the impairment resulted from expected credit losses or from other factors and to evaluate the Company’s intent to sell such securities.
An AFS debt security is other-than-temporary.
An unrealized loss existsimpaired when the current fair value of an individual AFS debt security is less than its amortized cost basis. Unrealized losses that are determined to be temporary in nature are recorded, net of tax, in AOCI for AFS securities. Losses related to HTM securities generally are not recorded, as these investments are carried at adjusted amortized cost basis. However, for HTM securities with credit-related impairment,
The Company recognizes the credit loss is recognized in earnings as OTTI and any difference between the cost basis adjusted for the OTTI and fair value is recognized in AOCI and amortized as an adjustment of yield over the remaining contractual life of the security. For securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date of transfer, plus any accretion income and less any impairment recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any impairment recognized in earnings.
Regardless of the classification of the securities as AFS or HTM, the Company assesses each position with an unrealized loss for OTTI. Factors considered in determining whether a loss is temporary include:
the length of time and the extent to which fair value has been below cost;
the severity of the impairment;
the cause of the impairment and the financial condition and near-term prospects of the issuer;
activity in the market of the issuer that may indicate adverse credit conditions; and
the Company’s ability and intent to hold the investment for a period of time sufficient to allow for any anticipated recovery.
The Company’s review for impairment generally entails:
identification and evaluation of impaired investments;
analysis of individual investments that have fair values less than amortized cost, including consideration of the length of time the investment has been in an unrealized loss position and the expected recovery period;
consideration of evidential matter, including an evaluation of factors or triggers that could cause individual investments to qualify as having other-than-temporary impairment and those that would not support other-than-temporary impairment; and
documentation of the results of these analyses, as required under business policies.
Debt Securities
The entire difference between amortized cost basis and fair value is recognized in earnings as OTTI for impaired AFS debt securities that the CompanyCiti has an intent to sell or for which the CompanyCiti believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those AFS debt 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 impairmentby recording an allowance for credit losses. Any remaining fair value decline for such securities is recorded in AOCI.AOCI. The Company does not consider the length of time that the fair value of a security is below its amortized cost when determining if a credit loss exists.
For AFS debt securities, credit impairment existslosses exist where managementCiti does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security.
Equity Securities
For equity securities, management considers The allowance for credit losses is limited to the various factors described above, includingamount by which the AFS debt security’s amortized cost basis exceeds its intent and ability to hold the equity security for a periodfair value. The allowance is increased or decreased if credit conditions subsequently worsen or improve. Reversals 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 impairedcredit losses are written down to fair value, with the full difference between fair value and cost recognized in earnings.
Management assesses equity method investmentsThe Company’s review for impairment of AFS debt securities generally entails:
•identification and evaluation of impaired investments;
•consideration of evidential matter, including an evaluation of factors or triggers that have fair valuescould cause individual positions to qualify as credit impaired and those 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 iswould not publicly listed, other methods are used (see Note 22 to the Consolidated Financial Statements).support credit impairment; and
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•documentation of the OTTI does not include partial projected recoveries subsequent to the balance sheet date.results of these analyses, as required under Citi’s policies.
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-relatedexpected credit impairments for debt security types that have the most significant unrealized losses as of SeptemberJune 30, 2017.2021.
Mortgage-Backed Securities
ForCiti records no allowances for credit losses on U.S. government-agency-guaranteed mortgage-backed securities, (andbecause the Company expects to incur no credit losses in particular for Alt-Athe event of default due to a history of incurring no credit losses 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 flowsdue 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 likelihoodnature 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.counterparties.
State and Municipal Securities
The process for identifyingestimating credit impairmentslosses in Citigroup’s AFS and HTM state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings. CitigroupCiti 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-.Aa2/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 AFS state and municipal bonds with unrealized losses that CitigroupCiti plans to sell or would more-likely-than-not be more-likely-than-not required to sell, the full impairment is recognized in earnings. For AFS state and municipal bonds where Citi has no intent to sell and it is more-likely-than-not that the Company will not be required to sell, Citi records an allowance for expected credit losses for the amount it expects not to collect, capped at the difference between the bond’s amortized cost basis and fair value.
Equity Method Investments
Management assesses equity method investments that have fair values that are less than their respective carrying values for other-than-temporary impairment (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 more-likely-than-not be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized as OTTI in Other revenue 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 more-likely-than-not 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:
•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.
Recognition and Measurement of OTTIImpairment
The following tables present total OTTIimpairment on Investments recognized in earnings:
| | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended
June 30, 2021 | Three Months Ended
June 30, 2020 |
| In millions of dollars | AFS | Other
assets | Total | AFS | | Other assets | Total |
| Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | |
| Total impairment losses recognized during the period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | |
Less: portion of impairment loss recognized in AOCI (before taxes) | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | |
| Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | |
| Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise | 9 | | 0 | | 9 | | 19 | | | 0 | | 19 | |
| Total impairment losses recognized in earnings | $ | 9 | | $ | 0 | | $ | 9 | | $ | 19 | | | $ | 0 | | $ | 19 | |
| | | | | | | |
| Six Months Ended
June 30, 2021 | Six Months Ended
June 30, 2020 |
| In millions of dollars | AFS | Other
assets | Total | AFS | | Other assets | Total |
| Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | |
| Total impairment losses recognized during the period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | |
Less: portion of impairment loss recognized in AOCI (before taxes) | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | |
| Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | |
| Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise | 78 | | 0 | | 78 | | 71 | | | 0 | | 71 | |
| Total impairment losses recognized in earnings | $ | 78 | | $ | 0 | | $ | 78 | | $ | 71 | | | $ | 0 | | $ | 71 | |
Allowance for Credit Losses on AFS Debt Securities
| | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2021 |
| In millions of dollars | Mortgage-backed | U.S. Treasury and federal agency | State and municipal | Foreign government | | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | $ | 5 | | $ | 5 | |
| Less: Write-offs | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
| Recoveries of amounts written-off | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
| Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | $ | 0 | | $ | 0 | |
| NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | $ | 0 | | $ | 0 | |
| Credit losses on securities without previous credit losses | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
| Net reserve builds (releases) on securities with previous credit losses | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
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| Total provision for credit losses | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | $ | 0 | | $ | 0 | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
| Allowance for credit losses at end of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | $ | 5 | | $ | 5 | |
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| Six Months Ended June 30, 2021 |
| In millions of dollars | Mortgage-backed | U.S. Treasury and federal agency | State and municipal | Foreign government | | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | $ | 5 | | $ | 5 | |
| Less: Write-offs | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
| Recoveries of amounts written-off | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
| Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | $ | 0 | | $ | 0 | |
| NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | $ | 0 | | $ | 0 | |
| Credit losses on securities without previous credit losses | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
| Net reserve builds (releases) on securities with previous credit losses | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
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| Total provision for credit losses | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | $ | 0 | | $ | 0 | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
| Allowance for credit losses at end of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | $ | 5 | | $ | 5 | |
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| Three Months Ended June 30, 2020 |
| In millions of dollars | Mortgage-backed | U.S. Treasury and federal agency | State and municipal | Foreign government | | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | $ | 0 | | $ | 0 | |
| Less: Write-offs | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
| Recoveries of amounts written-off | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
| Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | $ | 0 | | $ | 0 | |
| NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | $ | 0 | | $ | 0 | |
| Credit losses on securities without previous credit losses | 0 | | 0 | | 0 | | 3 | | | | 5 | | 8 | |
| Net reserve builds (releases) on securities with previous credit losses | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
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| Total provision for credit losses | $ | 0 | | $ | 0 | | $ | 0 | | $ | 3 | | | | $ | 5 | | $ | 8 | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
| Allowance for credit losses at end of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 3 | | | | $ | 5 | | $ | 8 | |
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| Six Months Ended June 30, 2020 |
| In millions of dollars | Mortgage-backed | U.S. Treasury and federal agency | State and municipal | Foreign government | | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | $ | 0 | | $ | 0 | |
| Less: Write-offs | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
| Recoveries of amounts written-off | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
| Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | $ | 0 | | $ | 0 | |
| NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | $ | 0 | | $ | 0 | |
| Credit losses on securities without previous credit losses | 0 | | 0 | | 0 | | 3 | | | | 5 | | 8 | |
| Net reserve builds (releases) on securities with previous credit losses | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
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| Total provision for credit losses | $ | 0 | | $ | 0 | | $ | 0 | | $ | 3 | | | | $ | 5 | | $ | 8 | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | 0 | | 0 | | 0 | | 0 | | | | 0 | | 0 | |
| Allowance for credit losses at end of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 3 | | | | $ | 5 | | $ | 8 | |
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| OTTI on Investments and Other assets | Three Months Ended
September 30, 2017 | Nine Months Ended
September 30, 2017 |
| In millions of dollars | AFS(1) | HTM | Other
assets | Total | AFS(1) | HTM | Other Assets | Total |
| Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | | |
| Total OTTI losses recognized during the period | $ | 2 |
| $ | — |
| $ | — |
| $ | 2 |
| $ | 2 |
| $ | — |
| $ | — |
| $ | 2 |
|
| Less: portion of impairment loss recognized in AOCI (before taxes) | — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
|
| Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell | $ | 2 |
| $ | — |
| $ | — |
| $ | 2 |
| $ | 2 |
| $ | — |
| $ | — |
| $ | 2 |
|
| Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise | 12 |
| 1 |
| — |
| 13 |
| 43 |
| 2 |
| — |
| 45 |
|
| Total impairment losses recognized in earnings | $ | 14 |
| $ | 1 |
| $ | — |
| $ | 15 |
| $ | 45 |
| $ | 2 |
| $ | — |
| $ | 47 |
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Non-Marketable Equity Securities Not Carried at Fair Value
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.
The election to measure a non-marketable equity security using the measurement alternative is made on an instrument-by-instrument basis. Under the measurement alternative, an equity security is carried at cost plus or minus changes resulting from observable prices in orderly transactions for the identical or a similar investment of the same issuer. The carrying value of the equity security is adjusted to fair value on the date of an observed transaction. Fair value may differ from the observed transaction price due to a number of factors, including marketability adjustments and differences in rights and obligations when the observed transaction is not for the identical investment held by Citi.
Equity securities under the measurement alternative are also assessed for impairment. On a quarterly basis, management qualitatively assesses whether each equity security under the measurement alternative is impaired. Impairment indicators that are considered include, but are not limited to, the following:
•a significant deterioration in the earnings performance, credit rating, asset quality or business prospects of the investee;
•a significant adverse change in the regulatory, economic or technological environment of the investee;
•a significant adverse change in the general market condition of either the geographical area or the industry in which the investee operates;
•a bona fide offer to purchase, an offer by the investee to sell or a completed auction process for the same or similar investment for an amount less than the carrying amount of that investment; and
•factors that raise significant concerns about the investee’s ability to continue as a going concern, such as negative cash flows from operations, working capital deficiencies or noncompliance with statutory capital requirements or debt covenants.
When the qualitative assessment indicates that impairment exists, the investment is written down to fair value, with the full difference between the fair value of the investment and its carrying amount recognized in earnings.
Below is the carrying value of non-marketable equity securities measured using the measurement alternative at June 30, 2021 and December 31, 2020:
| | | | | | | | |
| In millions of dollars | June 30, 2021 | December 31, 2020 |
| Measurement alternative: | | |
| Carrying value | $ | 1,381 | | $ | 962 | |
Below are amounts recognized in earnings and life-to-date amounts for non-marketable equity securities measured using the measurement alternative:
| | | | | | | | | | | | | | |
| Three Months Ended
June 30, | Six Months
Ended
June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
Measurement alternative:(1) | | | | |
| Impairment losses | $ | 4 | | $ | 50 | | $ | 4 | | $ | 53 | |
| Downward changes for observable prices | 0 | | 19 | | 0 | | 19 | |
| Upward changes for observable prices | 215 | | 17 | | 296 | | 42 | |
(1) See Note 20 to the Consolidated Financial Statements for additional information on these nonrecurring fair value measurements.
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(1) | Includes OTTILife-to-date amounts on non-marketable equity securities.securities still held |
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| OTTI on Investments and Other assets | Three months ended
September 30, 2016 | Nine Months Ended
September 30, 2016 |
| In millions of dollars | AFS(1) | HTM | Other
assets | Total | AFS(1)(2) | HTM | Other
assets(3) | Total |
| Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | | |
| Total OTTI losses recognized during the period | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 3 |
| $ | 1 |
| $ | — |
| $ | 4 |
|
| Less: portion of impairment loss recognized in AOCI (before taxes) | — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
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| Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 3 |
| $ | 1 |
| $ | — |
| $ | 4 |
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| 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 losses | 20 |
| 12 |
| — |
| 32 |
| 243 |
| 36 |
| 332 |
| 611 |
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| Total impairment losses recognized in earnings | $ | 20 |
| $ | 12 |
| $ | — |
| $ | 32 |
| $ | 246 |
| $ | 37 |
| $ | 332 |
| $ | 615 |
|
| In millions of dollars | June 30, 2021 |
| Measurement alternative: | |
(1)Impairment losses | Includes OTTI on non-marketable equity securities.$ |
| 73 | |
(2)Downward changes for observable prices | Includes a $160 million impairment related to AFS securities affected by changes in the Venezuela exchange rate during the nine months ended September 30, 2016. |
| 53 | |
(3)Upward changes for observable prices | The impairment charge is related to the carrying value of an equity investment.783 | |
The following are three-month rollforwards of
A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the credit-related impairmentsthree and six months ended June 30, 2021 and 2020, there was 0 impairment loss recognized in earnings for AFS and HTM debtnon-marketable equity securities held that the Company does not intend to sell nor likely will be required to sell:carried at cost.
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| | | | | | | | | | | | | | | |
| | Cumulative OTTI credit losses recognized in earnings on securities still held |
| In millions of dollars | Jun. 30, 2017 balance | Credit
impairments
recognized in
earnings on
securities not
previously
impaired | Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired | Reductions due to
credit-impaired
securities sold,
transferred or
matured | September 30, 2017 balance |
| AFS debt securities | | | | | |
| Mortgage-backed securities | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
|
| State and municipal | 4 |
| — |
| — |
| — |
| 4 |
|
| Foreign government securities | — |
| — |
| — |
| — |
| — |
|
| Corporate | 4 |
| — |
| — |
| — |
| 4 |
|
| All other debt securities | — |
| — |
| 2 |
| — |
| 2 |
|
| Total OTTI credit losses recognized for AFS debt securities | $ | 8 |
| $ | — |
| $ | 2 |
| $ | — |
| $ | 10 |
|
| HTM debt securities | | | | | |
Mortgage-backed securities(1) | $ | 97 |
| $ | — |
| $ | — |
| $ | — |
| $ | 97 |
|
| State and municipal | 3 |
| — |
| — |
| — |
| 3 |
|
| Total OTTI credit losses recognized for HTM debt securities | $ | 100 |
| $ | — |
| $ | — |
| $ | — |
| $ | 100 |
|
| |
(1) | Primarily consists of Alt-A securities. |
|
| | | | | | | | | | | | | | | |
| | Cumulative OTTI credit losses recognized in earnings on securities still held |
| In millions of dollars | Jun. 30, 2016 balance | Credit
impairments
recognized in
earnings on
securities not
previously
impaired | Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired | Reductions due to
credit-impaired
securities sold,
transferred or
matured | September 30, 2016 balance |
| AFS debt securities | | | | | |
| Mortgage-backed securities | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
|
| State and municipal | 4 |
| — |
| — |
| — |
| 4 |
|
| Foreign government securities | 5 |
| — |
| — |
| (5 | ) | — |
|
| Corporate | 7 |
| — |
| — |
| (1 | ) | 6 |
|
| All other debt securities | 43 |
| — |
| — |
| (20 | ) | 23 |
|
| Total OTTI credit losses recognized for AFS debt securities | $ | 59 |
| $ | — |
| $ | — |
| $ | (26 | ) | $ | 33 |
|
| HTM debt securities | | | | | |
Mortgage-backed securities(1) | $ | 108 |
| $ | — |
| $ | — |
| $ | (2 | ) | $ | 106 |
|
| State and municipal | 4 |
| — |
| — |
| — |
| 4 |
|
| Total OTTI credit losses recognized for HTM debt securities | $ | 112 |
| $ | — |
| $ | — |
| $ | (2 | ) | $ | 110 |
|
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(1) | Primarily consists of Alt-A securities. |
The following tables are nine-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 held |
| In millions of dollars | Dec. 31, 2016 balance | Credit
impairments
recognized in
earnings on
securities not
previously
impaired | Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired | Reductions due to
credit-impaired
securities sold,
transferred or
matured | September 30, 2017 balance |
| AFS debt securities | | | | | |
| Mortgage-backed securities | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
|
| State and municipal | 4 |
| — |
| — |
| — |
| 4 |
|
| Foreign government securities | — |
| — |
| — |
| — |
| — |
|
| Corporate | 5 |
| — |
| — |
| (1 | ) | 4 |
|
| All other debt securities | 22 |
| — |
| 2 |
| (22 | ) | 2 |
|
| Total OTTI credit losses recognized for AFS debt securities | $ | 31 |
| $ | — |
| $ | 2 |
| $ | (23 | ) | $ | 10 |
|
| HTM debt securities | | | | | |
Mortgage-backed securities(1) | $ | 101 |
| $ | — |
| $ | — |
| $ | (4 | ) | $ | 97 |
|
| State and municipal | 3 |
| — |
| — |
| — |
| 3 |
|
| Total OTTI credit losses recognized for HTM debt securities | $ | 104 |
| $ | — |
| $ | — |
| $ | (4 | ) | $ | 100 |
|
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(1) | Primarily consists of Alt-A securities. |
|
| | | | | | | | | | | | | | | |
| | Cumulative OTTI credit losses recognized in earnings on securities still held |
| In millions of dollars | Dec. 31, 2015 balance | Credit
impairments
recognized in
earnings on
securities not
previously
impaired | Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired | Reductions due to
credit-impaired
securities sold,
transferred or
matured | September 30, 2016 balance |
| AFS debt securities | | | | | |
| Mortgage-backed securities | $ | — |
| $ | 1 |
| $ | — |
| $ | (1 | ) | $ | — |
|
| State and municipal | 12 |
| — |
| — |
| (8 | ) | 4 |
|
| Foreign government securities | 5 |
| — |
| — |
| (5 | ) | — |
|
| Corporate | 9 |
| 1 |
| 2 |
| (6 | ) | 6 |
|
| All other debt securities | 47 |
| — |
| — |
| (24 | ) | 23 |
|
| Total OTTI credit losses recognized for AFS debt securities | $ | 73 |
| $ | 2 |
| $ | 2 |
| $ | (44 | ) | $ | 33 |
|
| HTM debt securities | | | | | |
Mortgage-backed securities(1) | $ | 132 |
| $ | — |
| $ | — |
| $ | (26 | ) | $ | 106 |
|
| State and municipal | 4 |
| 1 |
| — |
| (1 | ) | 4 |
|
| Total OTTI credit losses recognized for HTM debt securities | $ | 136 |
| $ | 1 |
| $ | — |
| $ | (27 | ) | $ | 110 |
|
| |
(1) | Primarily consists of Alt-A securities. |
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 5five 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 value | Unfunded
commitments | Redemption frequency
(if currently eligible)
monthly, quarterly, annually | Redemption
notice
period |
| In millions of dollars | June 30,
2021 | December 31, 2020 | June 30,
2021 | December 31, 2020 | | |
| | | | | | |
Private equity funds(1)(2) | $ | 124 | | $ | 123 | | $ | 60 | | $ | 62 | | — | — |
Real estate funds(2)(3) | 2 | | 9 | | 3 | | 20 | | — | — |
| Mutual/collective investment funds | 21 | | 20 | | 0 | | 0 | | — | — |
| Total | $ | 147 | | $ | 152 | | $ | 63 | | $ | 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.
|
| | | | | | | | | | | | | | |
| | Fair value | Unfunded
commitments | Redemption frequency (if currently eligible) monthly, quarterly, annually | Redemption notice period |
| In millions of dollars | September 30,
2017 | December 31, 2016 | September 30,
2017 | December 31, 2016 | | |
| Hedge funds | $ | 2 |
| $ | 4 |
| $ | — |
| $ | — |
| Generally quarterly | 10–95 days |
Private equity funds(1)(2) | 369 |
| 348 |
| 82 |
| 82 |
| — | — |
Real estate funds (2)(3) | 34 |
| 56 |
| 23 |
| 20 |
| — | — |
| Total | $ | 405 |
| $ | 408 |
| $ | 105 |
| $ | 102 |
| — | — |
| |
(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—2 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 1 to the Consolidated Financial Statements and Notes 1 and 14 to the Consolidated Financial Statements in Citi’s 20162020 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
Consumer Loans, Delinquencies and Non-Accrual Status at June 30, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Total current(1)(2) | 30–89 days past due(3)(4) | ≥ 90 days past due(3)(4) | Past due government guaranteed(5) | Total loans | Non-accrual loans for which there is no ACLL | Non-accrual loans for which there is an ACLL | Total
non-accrual | 90 days
past due
and accruing |
In North America offices(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 43,811 | | $ | 315 | | $ | 307 | | $ | 402 | | $ | 44,835 | | $ | 133 | | $ | 407 | | $ | 540 | | $ | 257 | |
Home equity loans(8)(9) | 5,937 | | 51 | | 180 | | 0 | | 6,168 | | 68 | | 253 | | 321 | | 0 | |
| Credit cards | 123,133 | | 770 | | 920 | | 0 | | 124,823 | | 0 | | 0 | | 0 | | 920 | |
| Personal, small business and other | 3,655 | | 13 | | 8 | | 0 | | 3,676 | | 0 | | 18 | | 18 | | 0 | |
| Total | $ | 176,536 | | $ | 1,149 | | $ | 1,415 | | $ | 402 | | $ | 179,502 | | $ | 201 | | $ | 678 | | $ | 879 | | $ | 1,177 | |
In offices outside North America(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 39,964 | | $ | 184 | | $ | 196 | | $ | 0 | | $ | 40,344 | | $ | 0 | | $ | 476 | | $ | 476 | | $ | 0 | |
| Credit cards | 20,162 | | 304 | | 310 | | 0 | | 20,776 | | 0 | | 233 | | 233 | | 232 | |
| Personal, small business and other | 34,910 | | 235 | | 128 | | — | | 35,273 | | 0 | | 218 | | 218 | | 0 | |
| Total | $ | 95,036 | | $ | 723 | | $ | 634 | | $ | 0 | | $ | 96,393 | | $ | 0 | | $ | 927 | | $ | 927 | | $ | 232 | |
Total Citigroup(10) | $ | 271,572 | | $ | 1,872 | | $ | 2,049 | | $ | 402 | | $ | 275,895 | | $ | 201 | | $ | 1,605 | | $ | 1,806 | | $ | 1,409 | |
(1)Loans less than 30 days past due are presented as current.
(2)Includes $14 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies.
(4)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification. Most modified loans in North America would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by loan type:the customer). Consumer relief programs in Asia and Mexico largely expired during the fourth quarter of 2020 and began to age at that time.
(5)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and 90 days or more past due of $0.3 billion.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(8)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Consumer loans are net of unearned income of $676 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
|
| | | | | | |
| In millions of dollars | September 30, 2017 | December 31, 2016 |
| In U.S. offices | | |
Mortgage and real estate(1) | $ | 67,131 |
| $ | 72,957 |
|
| Installment, revolving credit and other | 3,191 |
| 3,395 |
|
| Cards | 131,476 |
| 132,654 |
|
| Commercial and industrial | 7,619 |
| 7,159 |
|
| | $ | 209,417 |
| $ | 216,165 |
|
| In offices outside the U.S. | | |
Mortgage and real estate(1) | $ | 43,723 |
| $ | 42,803 |
|
| Installment, revolving credit and other | 26,153 |
| 24,887 |
|
| Cards | 25,443 |
| 23,783 |
|
| Commercial and industrial | 20,015 |
| 16,568 |
|
| Lease financing | 77 |
| 81 |
|
| | $ | 115,411 |
| $ | 108,122 |
|
| Total consumer loans | $ | 324,828 |
| $ | 324,287 |
|
| Net unearned income | $ | 748 |
| 776 |
|
| Consumer loans, net of unearned income | $ | 325,576 |
| $ | 325,063 |
|
| |
(1) | Loans secured primarily by real estate. |
The | | | | | | | | | | | | | | |
| In millions of dollars | Three Months Ended June 30, 2021 | Three Months Ended June 30, 2020 | Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 |
In North America offices(1) | | | | |
| Residential first mortgages | $ | 3 | | $ | 4 | | $ | 6 | | $ | 7 | |
| Home equity loans | 2 | | 2 | | 4 | | 4 | |
| Credit cards | 0 | | 0 | | 0 | | 0 | |
| Personal, small business and other | 0 | | 0 | | 0 | | 0 | |
| Total | $ | 5 | | $ | 6 | | $ | 10 | | $ | 11 | |
In offices outside North America(1) | | | | |
| Residential first mortgages | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| Credit cards | 0 | | 0 | | 0 | | 0 | |
| Personal, small business and other | 0 | | 0 | | 0 | | 0 | |
| Total | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| Total Citigroup | $ | 5 | | $ | 6 | | $ | 10 | | $ | 11 | |
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2020
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Total current(1)(2) | 30–89 days past due(3)(4) | ≥ 90 days past due(3)(4) | Past due government guaranteed(5) | Total
loans | Non-accrual loans for which there is no ACLL | Non-accrual loans for which there is an ACLL | Total
non-accrual | 90 days
past due
and accruing |
In North America offices(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 46,471 | | $ | 402 | | $ | 381 | | $ | 524 | | $ | 47,778 | | $ | 136 | | $ | 509 | | $ | 645 | | $ | 332 | |
Home equity loans(8)(9) | 6,829 | | 78 | | 221 | | 0 | | 7,128 | | 72 | | 307 | | 379 | | 0 | |
| Credit cards | 127,827 | | 1,228 | | 1,330 | | 0 | | 130,385 | | 0 | | 0 | | 0 | | 1,330 | |
| Personal, small business and other | 4,472 | | 27 | | 10 | | 0 | | 4,509 | | 2 | | 33 | | 35 | | 0 | |
| Total | $ | 185,599 | | $ | 1,735 | | $ | 1,942 | | $ | 524 | | $ | 189,800 | | $ | 210 | | $ | 849 | | $ | 1,059 | | $ | 1,662 | |
In offices outside North America(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 39,557 | | $ | 213 | | $ | 199 | | $ | 0 | | $ | 39,969 | | $ | 0 | | $ | 486 | | $ | 486 | | $ | 0 | |
| Credit cards | 21,718 | | 429 | | 545 | | 0 | | 22,692 | | 0 | | 384 | | 384 | | 376 | |
| Personal, small business and other | 35,925 | | 319 | | 134 | | 0 | | 36,378 | | 0 | | 212 | | 212 | | 0 | |
| Total | $ | 97,200 | | $ | 961 | | $ | 878 | | $ | 0 | | $ | 99,039 | | $ | 0 | | $ | 1,082 | | $ | 1,082 | | $ | 376 | |
Total Citigroup(10) | $ | 282,799 | | $ | 2,696 | | $ | 2,820 | | $ | 524 | | $ | 288,839 | | $ | 210 | | $ | 1,931 | | $ | 2,141 | | $ | 2,038 | |
(1)Loans less than 30 days past due are presented as current.
(2)Includes $14 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies.
(4)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification, and thus almost all would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer).
(5)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.2 billion and 90 days or more past due of $0.3 billion.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(8)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Consumer loans are net of unearned income of $749 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
During the three and six months ended June 30, 2021, the Company sold and/or reclassified to held-for-sale $0.4 billionHFS $95 million and $3.2 billion, $1.3 billion and $6.0 billion$191 million of consumer loans, duringrespectively. During the three and ninesix months ended SeptemberJune 30, 20172020, the Company sold and/or reclassified to HFS $12 million and 2016,$36 million of consumer loans, respectively.
Consumer Loan Delinquency and Non-Accrual Details at September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | |
| 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 |
| In North America offices | | | | | | | |
Residential first mortgages(5) | $ | 48,090 |
| $ | 563 |
| $ | 286 |
| $ | 1,279 |
| $ | 50,218 |
| $ | 724 |
| $ | 985 |
|
Home equity loans(6)(7) | 15,004 |
| 223 |
| 362 |
| — |
| 15,589 |
| 766 |
| — |
|
| Credit cards | 129,261 |
| 1,541 |
| 1,440 |
| — |
| 132,242 |
| — |
| 1,440 |
|
| Installment and other | 3,456 |
| 42 |
| 15 |
| — |
| 3,513 |
| 21 |
| — |
|
| Commercial banking | 9,294 |
| 38 |
| 52 |
| — |
| 9,384 |
| 210 |
| 11 |
|
| Total | $ | 205,105 |
| $ | 2,407 |
| $ | 2,155 |
| $ | 1,279 |
| $ | 210,946 |
| $ | 1,721 |
| $ | 2,436 |
|
| In offices outside North America | | | | | | | |
Residential first mortgages(5) | $ | 36,796 |
| $ | 225 |
| $ | 153 |
| $ | — |
| $ | 37,174 |
| $ | 400 |
| $ | — |
|
| Credit cards | 24,109 |
| 433 |
| 366 |
| — |
| 24,908 |
| 322 |
| 251 |
|
| Installment and other | 25,207 |
| 283 |
| 124 |
| — |
| 25,614 |
| 164 |
| — |
|
| Commercial banking | 26,788 |
| 58 |
| 86 |
| — |
| 26,932 |
| 176 |
| — |
|
| Total | $ | 112,900 |
| $ | 999 |
| $ | 729 |
| $ | — |
| $ | 114,628 |
| $ | 1,062 |
| $ | 251 |
|
Total GCB and Corporate/Other consumer | $ | 318,005 |
| $ | 3,406 |
| $ | 2,884 |
| $ | 1,279 |
| $ | 325,574 |
| $ | 2,783 |
| $ | 2,687 |
|
Other(8) | 2 |
| — |
| — |
| — |
| 2 |
| — |
| — |
|
| Total Citigroup | $ | 318,007 |
| $ | 3,406 |
| $ | 2,884 |
| $ | 1,279 |
| $ | 325,576 |
| $ | 2,783 |
| $ | 2,687 |
|
| |
(1) | Loans less than 30 days past due are presented as current. |
| |
(2) | Includes $27 million of residential first mortgages recorded at fair value. |
| |
(3) | Excludes loans guaranteed by U.S. government-sponsored entities. |
| |
(4) | Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.3 billion and 90 days or more past due of $1.0 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 the Corporate/Other consumer credit metrics.
|
Consumer Loan Delinquency and Non-Accrual Details at December 31, 2016 |
| | | | | | | | | | | | | | | | | | | | | |
| 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 |
| In North America offices | | | | | | | |
Residential first mortgages(5) | $ | 50,766 |
| $ | 522 |
| $ | 371 |
| $ | 1,474 |
| $ | 53,133 |
| $ | 848 |
| $ | 1,227 |
|
Home equity loans(6)(7) | 18,767 |
| 249 |
| 438 |
| — |
| 19,454 |
| 914 |
| — |
|
| Credit cards | 130,327 |
| 1,465 |
| 1,509 |
| — |
| 133,301 |
| — |
| 1,509 |
|
| Installment and other | 4,486 |
| 106 |
| 38 |
| — |
| 4,630 |
| 70 |
| 2 |
|
| Commercial banking | 8,876 |
| 23 |
| 74 |
| — |
| 8,973 |
| 328 |
| 14 |
|
| Total | $ | 213,222 |
| $ | 2,365 |
| $ | 2,430 |
| $ | 1,474 |
| $ | 219,491 |
| $ | 2,160 |
| $ | 2,752 |
|
| In offices outside North America | | | | | | | |
Residential first mortgages(5) | $ | 35,862 |
| $ | 206 |
| $ | 135 |
| $ | — |
| $ | 36,203 |
| $ | 360 |
| $ | — |
|
| Credit cards | 22,363 |
| 368 |
| 324 |
| — |
| 23,055 |
| 258 |
| 239 |
|
| Installment and other | 22,683 |
| 264 |
| 126 |
| — |
| 23,073 |
| 163 |
| — |
|
| Commercial banking | 23,054 |
| 72 |
| 112 |
| — |
| 23,238 |
| 217 |
| — |
|
| Total | $ | 103,962 |
| $ | 910 |
| $ | 697 |
| $ | — |
| $ | 105,569 |
| $ | 998 |
| $ | 239 |
|
Total GCB and Corporate/Other consumer | $ | 317,184 |
| $ | 3,275 |
| $ | 3,127 |
| $ | 1,474 |
| $ | 325,060 |
| $ | 3,158 |
| $ | 2,991 |
|
Other(8) | 3 |
| — |
| — |
| — |
| 3 |
| — |
| — |
|
| Total Citigroup | $ | 317,187 |
| $ | 3,275 |
| $ | 3,127 |
| $ | 1,474 |
| $ | 325,063 |
| $ | 3,158 |
| $ | 2,991 |
|
| |
(1) | Loans less than 30 days past due are presented as current. |
| |
(2) | Includes $29 million of residential first mortgages recorded at fair value. |
| |
(3) | Excludes loans guaranteed by U.S. government-sponsored entities. |
| |
(4) | Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.2 billion and 90 days or more past due of $1.3 billion. |
| |
(5) | Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure. |
| |
(6) | Includes approximately $0.1 billion of home equity loans in process of foreclosure. |
| |
(7) | Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions. |
| |
(8) | Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the Corporate/Other consumer credit metrics.
|
Consumer Credit Scores (FICO)
The following tables provide details on the FICOFair Isaac Corporation (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).by year of origination. 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) | September 30, 2017 | FICO score distribution in U.S. portfolio(1)(2) | June 30, 2021 |
| In millions of dollars | Less than 620 | ≥ 620 but less than 660 | Equal to or greater than 660 | In millions of dollars | Less than
680 | 680
to 760 | Greater
than 760 | FICO not available | Total loans |
| Residential first mortgages | $ | 2,275 |
| $ | 2,053 |
| $ | 42,682 |
| Residential first mortgages | |
| Home equity loans | 1,432 |
| 1,166 |
| 12,622 |
| |
| Credit cards | 8,699 |
| 11,325 |
| 108,809 |
| |
| Installment and other | 270 |
| 252 |
| 2,414 |
| |
| 2021 | | 2021 | $ | 40 | | $ | 1,465 | | $ | 3,637 | | |
| 2020 | | 2020 | 213 | | 3,175 | | 8,605 | | |
| 2019 | | 2019 | 127 | | 1,527 | | 4,063 | | |
| 2018 | | 2018 | 208 | | 533 | | 919 | | |
| 2017 | | 2017 | 257 | | 697 | | 1,403 | | |
| Prior | | Prior | 1,707 | | 4,593 | | 9,816 | | |
| Total residential first mortgages | | Total residential first mortgages | $ | 2,552 | | $ | 11,990 | | $ | 28,443 | | $ | 1,850 | | $ | 44,835 | |
Credit cards(3) | | Credit cards(3) | $ | 21,014 | | $ | 50,253 | | $ | 50,827 | | $ | 2,201 | | $ | 124,295 | |
| | Home equity loans (pre-reset) | | Home equity loans (pre-reset) | $ | 237 | | $ | 932 | | $ | 1,470 | | |
| Home equity loans (post-reset) | | Home equity loans (post-reset) | 846 | | 1,347 | | 1,327 | | |
| Total home equity loans | | Total home equity loans | $ | 1,083 | | $ | 2,279 | | $ | 2,797 | | $ | 9 | | $ | 6,168 | |
| Personal, small business and other | | Personal, small business and other | |
| 2021 | | 2021 | $ | 8 | | $ | 35 | | $ | 68 | | |
| 2020 | | 2020 | 24 | | 56 | | 95 | | |
| 2019 | | 2019 | 55 | | 77 | | 99 | | |
| 2018 | | 2018 | 51 | | 55 | | 58 | | |
| 2017 | | 2017 | 14 | | 16 | | 18 | | |
| Prior | | Prior | 122 | | 177 | | 142 | | |
| Total personal, small business and other | | Total personal, small business and other | $ | 274 | | $ | 416 | | $ | 480 | | $ | 2,506 | | $ | 3,676 | |
| Total | $ | 12,676 |
| $ | 14,796 |
| $ | 166,527 |
| Total | $ | 24,923 | | $ | 64,938 | | $ | 82,547 | | $ | 6,566 | | $ | 178,974 | |
| | | | | | | | | | | | | | | | | |
FICO score distribution in U.S. portfolio(1)(2) | December 31, 2020 |
| In millions of dollars | Less than
680 | 680
to 760 | Greater
than 760 | FICO not available | Total
loans |
| Residential first mortgages | | | | | |
| 2020 | $ | 187 | | $ | 3,741 | | $ | 9,052 | | | |
| 2019 | 150 | 1,857 | 5,384 | | |
| 2018 | 246 | 655 | 1,227 | | |
| 2017 | 298 | 846 | 1,829 | | |
| 2016 | 323 | 1,368 | 3,799 | | |
| Prior | 1,708 | 4,133 | 9,105 | | |
| Total residential first mortgages | $ | 2,912 | | $ | 12,600 | | $ | 30,396 | | $ | 1,870 | | $ | 47,778 | |
Credit cards(3) | $ | 26,227 | | $ | 52,778 | | $ | 49,767 | | $ | 1,041 | | $ | 129,813 | |
| Home equity loans (pre-reset) | $ | 292 | | $ | 1,014 | | $ | 1,657 | | | |
| Home equity loans (post-reset) | 1,055 | | 1,569 | | 1,524 | | | |
| Total home equity loans | $ | 1,347 | | $ | 2,583 | | $ | 3,181 | | $ | 17 | | $ | 7,128 | |
| Personal, small business and other | | | | | |
| 2020 | $ | 23 | | $ | 58 | | $ | 95 | | | |
| 2019 | 79 | | 106 | | 134 | | | |
| 2018 | 82 | | 80 | | 84 | | | |
| 2017 | 26 | | 27 | | 30 | | | |
| 2016 | 10 | | 9 | | 8 | | | |
| Prior | 214 | | 393 | | 529 | | | |
| Total personal, small business and other | $ | 434 | | $ | 673 | | $ | 880 | | $ | 2,522 | | $ | 4,509 | |
| Total | $ | 30,920 | | $ | 68,634 | | $ | 84,224 | | $ | 5,450 | | $ | 189,228 | |
(1)The FICO bands in the tables are consistent with general industry peer presentations.
(2)FICO scores are updated on either a monthly or quarterly basis. For updates that are made only quarterly, certain current-period loans by year of origination are greater than those disclosed in the prior periods. Loans that did not have FICO scores as of the prior period have been updated with FICO scores as they become available.
(3)Excludes $528 million and $572 million of balances related to Canada for June 30, 2021 and December 31, 2020, respectively.
|
| | | | | | | | | |
FICO score distribution in U.S. portfolio(1)(2) | December 31, 2016 |
In millions of dollars | Less than 620 | ≥ 620 but less than 660 | Equal to or greater than 660 |
| Residential first mortgages | $ | 2,744 |
| $ | 2,422 |
| $ | 44,279 |
|
| Home equity loans | 1,750 |
| 1,418 |
| 14,743 |
|
| Credit cards | 8,310 |
| 11,320 |
| 110,522 |
|
| Installment and other | 284 |
| 271 |
| 2,601 |
|
| Total | $ | 13,088 |
| $ | 15,431 |
| $ | 172,145 |
|
| |
(1) | Excludes loans guaranteed by U.S. government entities, loans subject to long-term standby commitments (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. |
131
Loan to Value (LTV) Ratios
The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolios.portfolios by year of origination. 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) | September 30, 2017 | |
| LTV distribution in U.S. portfolio | | LTV distribution in U.S. portfolio | June 30, 2021 | |
| In millions of dollars | Less than or equal to 80% | > 80% but less than or equal to 100% | Greater than 100% | In millions of dollars | Less than
or equal
to 80% | > 80% but less
than or equal to 100% | Greater
than
100% | LTV not available | Total |
| Residential first mortgages | $ | 44,253 |
| $ | 2,658 |
| $ | 262 |
| Residential first mortgages | |
| Home equity loans | 11,808 |
| 2,397 |
| 928 |
| |
| 2021 | | 2021 | $ | 4,698 | | $ | 454 | | $ | 0 | | |
| 2020 | | 2020 | 11,573 | | 430 | | 0 | | |
| 2019 | | 2019 | 5,513 | | 211 | | 3 | | |
| 2018 | | 2018 | 1,398 | | 262 | | 7 | | |
| 2017 | | 2017 | 2,232 | | 130 | | 3 | | |
| Prior | | Prior | 16,129 | | 73 | | 13 | | |
| Total residential first mortgages | | Total residential first mortgages | $ | 41,543 | | $ | 1,560 | | $ | 26 | | $ | 1,706 | | $ | 44,835 | |
| Home equity loans (pre-reset) | | Home equity loans (pre-reset) | $ | 2,562 | | $ | 42 | | $ | 14 | | |
| Home equity loans (post-reset) | | Home equity loans (post-reset) | 3,324 | | 145 | | 35 | | |
| Total home equity loans | | Total home equity loans | $ | 5,886 | | $ | 187 | | $ | 49 | | $ | 46 | | $ | 6,168 | |
| Total | $ | 56,061 |
| $ | 5,055 |
| $ | 1,190 |
| Total | $ | 47,429 | | $ | 1,747 | | $ | 75 | | $ | 1,752 | | $ | 51,003 | |
| | | | | | | | | | | | | | | | | |
| LTV distribution in U.S. portfolio | December 31, 2020 | | |
| In millions of dollars | Less than
or equal
to 80% | > 80% but less
than or equal to 100% | Greater
than
100% | LTV not available | Total |
| Residential first mortgages | | | | | |
| 2020 | $ | 11,447 | | $ | 1,543 | | $ | 0 | | | |
| 2019 | 7,029 | | 376 | | 2 | | | |
| 2018 | 1,617 | | 507 | | 11 | | | |
| 2017 | 2,711 | | 269 | | 4 | | | |
| 2016 | 5,423 | | 84 | | 2 | | | |
| Prior | 14,966 | | 66 | | 16 | | | |
| Total residential first mortgages | $ | 43,193 | | $ | 2,845 | | $ | 35 | | $ | 1,705 | | $ | 47,778 | |
| Home equity loans (pre-reset) | $ | 2,876 | | $ | 50 | | $ | 16 | | | |
| Home equity loans (post-reset) | 3,782 | | 290 | | 58 | | | |
| Total home equity loans | $ | 6,658 | | $ | 340 | | $ | 74 | | $ | 56 | | $ | 7,128 | |
| Total | $ | 49,851 | | $ | 3,185 | | $ | 109 | | $ | 1,761 | | $ | 54,906 | |
|
| | | | | | | | | |
LTV distribution in U.S. portfolio(1)(2) | December 31, 2016 |
| In millions of dollars | Less than or equal to 80% | > 80% but less than or equal to 100% | Greater than 100% |
| Residential first mortgages | $ | 45,849 |
| $ | 3,467 |
| $ | 324 |
|
| Home equity loans | 12,869 |
| 3,653 |
| 1,305 |
|
| Total | $ | 58,718 |
| $ | 7,120 |
| $ | 1,629 |
|
| |
(1) | Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value. |
| |
(2) | Excludes balances where LTV was not available. Such amounts are not material. |
132
Impaired Consumer Loans
The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:
| | | | | Three Months Ended
September 30, | Nine Months Ended September 30, | | Three Months Ended
June 30, | Six Months Ended
June 30, |
| | Balance at September 30, 2017 | 2017 | 2016 | 2017 | 2016 | | Balance at June 30, 2021 | 2021 | 2020 | 2021 | 2020 |
| In millions of dollars | Recorded investment(1)(2) | Unpaid principal balance | Related specific allowance(3) | Average carrying value (4) | Interest income
recognized(5) | Interest income
recognized(5) | Interest income recognized(5) | Interest income recognized(5) | In millions of dollars | Recorded investment(1)(2) | Unpaid
principal balance | Related specific allowance(3) | Average carrying value(4) | Interest income
recognized(5) | Interest income
recognized(5) | Interest income
recognized(5) | Interest income
recognized(5) |
| Mortgage and real estate | | | | | | Mortgage and real estate | | | | | |
| Residential first mortgages | $ | 2,938 |
| $ | 3,161 |
| $ | 289 |
| $ | 3,383 |
| $ | 29 |
| $ | 31 |
| $ | 97 |
| $ | 135 |
| Residential first mortgages | $ | 1,606 | | $ | 1,768 | | $ | 122 | | $ | 1,689 | | $ | 21 | | $ | 15 | | $ | 42 | | $ | 29 | |
| Home equity loans | 1,169 |
| 1,636 |
| 219 |
| 1,217 |
| 7 |
| 8 |
| 21 |
| 26 |
| Home equity loans | 433 | | 587 | | 33 | | 468 | | 3 | | 4 | | 6 | | 7 | |
| Credit cards | 1,819 |
| 1,852 |
| 603 |
| 1,793 |
| 37 |
| 42 |
| 110 |
| 122 |
| Credit cards | 1,906 | | 1,942 | | 770 | | 1,951 | | 33 | | 25 | | 68 | | 51 | |
| Installment and other | | | | | | | |
| Individual installment and other | 429 |
| 456 |
| 177 |
| 421 |
| 5 |
| 8 |
| 18 |
| 22 |
| |
| Commercial banking | 402 |
| 657 |
| 49 |
| 474 |
| 4 |
| 7 |
| 18 |
| 11 |
| |
| Personal, small business and other | | Personal, small business and other | 524 | | 675 | | 159 | | 524 | | 15 | | 16 | | 27 | | 32 | |
| Total | $ | 6,757 |
| $ | 7,762 |
| $ | 1,337 |
| $ | 7,288 |
| $ | 82 |
| $ | 96 |
| $ | 264 |
| $ | 316 |
| Total | $ | 4,469 | | $ | 4,972 | | $ | 1,084 | | $ | 4,632 | | $ | 72 | | $ | 60 | | $ | 143 | | $ | 119 | |
| |
(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) | $622 million of residential first mortgages, $376 million of home equity loans and $88 million of commercial market loans do not have a specific allowance. |
| | | | | | | | | | | | | | | |
| | Balance at December 31, 2020 |
| In millions of dollars | Recorded investment(1)(2) | Unpaid
principal balance | Related specific allowance(3) | Average carrying value(4) | |
| Mortgage and real estate | | | | | |
| Residential first mortgages | $ | 1,787 | | $ | 1,962 | | $ | 157 | | $ | 1,661 | | |
| Home equity loans | 478 | | 651 | | 60 | | 527 | | |
| Credit cards | 1,982 | | 2,135 | | 918 | | 1,926 | | |
| Personal, small business and other | 552 | | 552 | | 210 | | 463 | | |
| Total | $ | 4,799 | | $ | 5,300 | | $ | 1,345 | | $ | 4,577 | | |
(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)For June 30, 2021, $202 million of residential first mortgages and $127 million of home equity loans do not have a specific allowance. For December 31, 2020, $211 million of residential first mortgages and $147 million of home equity loans do not have a specific allowance.
(3)Included in the Allowance for loancredit losses on loans.
(4)Average carrying value represents the average recorded investment ending balance for the last four4 quarters and does not include the related specific allowance.
(5)Includes amounts recognized on both an accrual and cash basis.
|
| | | | | | | | | | | | |
| | Balance, December 31, 2016 |
| In millions of dollars | 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 |
|
| Home equity loans | 1,298 |
| 1,824 |
| 189 |
| 1,326 |
|
| Credit cards | 1,747 |
| 1,781 |
| 566 |
| 1,831 |
|
| Installment and other | | | | |
| Individual installment and other | 455 |
| 481 |
| 215 |
| 475 |
|
| Commercial banking | 513 |
| 744 |
| 98 |
| 538 |
|
| Total | $ | 7,799 |
| $ | 8,987 |
| $ | 1,608 |
| $ | 8,802 |
|
| |
(1) | Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans. |
| |
(2) | $740 million of residential first mortgages, $406 million of home equity loans and $97 million of commercial market loans do not have a specific allowance. |
| |
(3) | Included in the Allowance for loan losses.
|
| |
(4) | Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance. |
Consumer Troubled Debt Restructurings(1)
| | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended June 30, 2021 |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post-
modification
recorded
investment(2)(3) | Deferred
principal(4) | Contingent
principal
forgiveness(5) | Principal
forgiveness(6) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 326 | | $ | 57 | | $ | 0 | | $ | 0 | | $ | 0 | | 0 | % |
| Home equity loans | 50 | | 4 | | 0 | | 0 | | 0 | | 0 | |
| Credit cards | 36,337 | | 181 | | 0 | | 0 | | 0 | | 17 | |
| Personal, small business and other | 225 | | 3 | | 0 | | 0 | | 0 | | 3 | |
Total(7) | 36,938 | | $ | 245 | | $ | 0 | | $ | 0 | | $ | 0 | | |
| International | | | | | | |
| Residential first mortgages | 530 | | $ | 28 | | $ | 0 | | $ | 0 | | $ | 0 | | 1 | % |
| Credit cards | 18,297 | | 94 | | 0 | | 0 | | 1 | | 12 | |
| Personal, small business and other | 6,780 | | 57 | | 0 | | 0 | | 2 | | 10 | |
Total(7) | 25,607 | | $ | 179 | | $ | 0 | | $ | 0 | | $ | 3 | | |
| |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
|
| | | | | | | | | | | | | | | | |
| | At and for the three months ended September 30, 2017 |
| In millions of dollars except number of loans modified | Number of
loans modified | Post-
modification
recorded
investment(1)(2) | Deferred
principal(3) | Contingent
principal
forgiveness(4) | Principal
forgiveness(5) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 1,400 |
| $ | 199 |
| $ | 1 |
| $ | — |
| $ | — |
| — | % |
| Home equity loans | 830 |
| 70 |
| 5 |
| — |
| — |
| 1 |
|
| Credit cards | 59,285 |
| 225 |
| — |
| — |
| — |
| 17 |
|
| Installment and other revolving | 299 |
| 2 |
| — |
| — |
| — |
| 6 |
|
Commercial banking(6) | 33 |
| 59 |
| — |
| — |
| — |
| — |
|
Total(8) | 61,847 |
| $ | 555 |
| $ | 6 |
| $ | — |
| $ | — |
|
|
|
| International | | | | | | |
| Residential first mortgages | 703 |
| $ | 25 |
| $ | — |
| $ | — |
| $ | — |
| — | % |
| Credit cards | 28,254 |
| 103 |
| — |
| — |
| 2 |
| 11 |
|
| Installment and other revolving | 11,725 |
| 70 |
| — |
| — |
| 3 |
| 11 |
|
Commercial banking(6) | 97 |
| 11 |
| — |
| — |
| — |
| — |
|
Total(8) | 40,779 |
| $ | 209 |
| $ | — |
| $ | — |
| $ | 5 |
|
|
|
| | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended June 30, 2020 |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post- modification recorded investment(2)(8) | Deferred principal(4) | Contingent principal forgiveness(5) | Principal forgiveness(6) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 298 | | $ | 51 | | $ | 0 | | $ | 0 | | $ | 0 | | 0 | % |
| Home equity loans | 83 | | 8 | | 0 | | 0 | | 0 | | 0 | |
| Credit cards | 50,891 | | 220 | | 0 | | 0 | | 0 | | 17 | |
| Personal, small business and other | 343 | | 3 | | 0 | | 0 | | 0 | | 4 | |
Total(7) | 51,615 | | $ | 282 | | $ | 0 | | $ | 0 | | $ | 0 | | |
| International | | | | | | |
| Residential first mortgages | 642 | | $ | 44 | | $ | 0 | | $ | 0 | | $ | 0 | | 4 | % |
| Credit cards | 21,276 | | 94 | | 0 | | 0 | | 3 | | 16 | |
| Personal, small business and other | 11,284 | | 77 | | 0 | | 0 | | 2 | | 10 | |
Total(7) | 33,202 | | $ | 215 | | $ | 0 | | $ | 0 | | $ | 5 | | |
| |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
|
| | | | | | | | | | | | | | | | |
| | At and for the three months ended September 30, 2016 |
| In millions of dollars except number of loans modified | Number of loans modified | Post- modification recorded investment(1)(7) | Deferred principal(3) | Contingent principal forgiveness(4) | Principal forgiveness(5) | Average interest rate reduction |
| North America | | | | | | |
| Residential first mortgages | 1,165 |
| $ | 165 |
| $ | 1 |
| $ | — |
| $ | 1 |
| 1 | % |
| Home equity loans | 1,117 |
| 61 |
| — |
| — |
| — |
| 2 |
|
| Credit cards | 51,260 |
| 199 |
| — |
| — |
| — |
| 18 |
|
| Installment and other revolving | 1,421 |
| 12 |
| — |
| — |
| — |
| 14 |
|
Commercial banking(6) | 30 |
| 36 |
| — |
| — |
| — |
| — |
|
Total(8) | 54,993 |
| $ | 473 |
| $ | 1 |
| $ | — |
| $ | 1 |
| |
|
| International | | | | | | |
| Residential first mortgages | 973 |
| $ | 24 |
| $ | — |
| $ | — |
| $ | — |
| — | % |
| Credit cards | 28,530 |
| 94 |
| — |
| — |
| 2 |
| 12 |
|
| Installment and other revolving | 12,283 |
| 69 |
| — |
| — |
| 2 |
| 8 |
|
Commercial banking(6) | 44 |
| 39 |
| — |
| — |
| — |
| — |
|
Total(8) | 41,830 |
| $ | 226 |
| $ | — |
| $ | — |
| $ | 4 |
| |
|
| |
(1) | Post-modification balances(1)The above tables do not include past due amounts that are capitalized at the modification date. |
| |
(2) | Post-modification balances in North America include $12 million of residential first mortgages and $5 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended September 30, 2017. These amounts include $7 million of residential first mortgages and $5 million of home equity loans that were newly classified as TDRs in the three months ended September 30, 2017, based on previously received OCC guidance.
|
| |
(3) | Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value. |
| |
(4) | Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness. |
| |
(5) | Represents portion of contractual loan principal that was forgiven at the time of permanent modification. |
(6) Commercial banking loans are generally borrower-specific modifications and incorporate changesthat meet the TDR relief criteria in the amount and/Coronavirus Aid, Relief, and Economic Security Act (CARES Act) or timing of principal and/or interest.the interagency guidance.
(7) (2)Post-modification balances include past-due amounts that are capitalized at the modification date.
(3)Post-modification balances inNorth America include $17$4 million of residential first mortgages and $5$0.3 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended SeptemberJune 30, 2016.2021. These amounts include $11$1 million of residential first mortgages and $5$0.3 million of home equity loans that were newly classified as TDRs in the three months ended SeptemberJune 30, 2016,2021, based on previously received OCC guidance.
(8)(4)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.
(5)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(6)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(7) The above tables reflect activity for restructured loans outstanding as of the end of the reporting period that were considered TDRs.TDRs during the reporting period.
|
| | | | | | | | | | | | | | | | |
| | At and for the nine months ended September 30, 2017 |
| In millions of dollars except number of loans modified | Number of loans modified | Post- modification recorded investment(1)(2) | Deferred principal(3) | Contingent principal forgiveness(4) | Principal forgiveness(5) | Average interest rate reduction |
| North America | | | | | | |
| Residential first mortgages | 3,172 |
| $ | 445 |
| $ | 5 |
| $ | — |
| $ | 2 |
| 1 | % |
| Home equity loans | 2,186 |
| 185 |
| 13 |
| — |
| — |
| 1 |
|
| Credit cards | 171,702 |
| 659 |
| — |
| — |
| — |
| 17 |
|
| Installment and other revolving | 770 |
| 6 |
| — |
| — |
| — |
| 5 |
|
Commercial banking(6) | 89 |
| 107 |
| — |
| — |
| — |
| — |
|
Total(8) | 177,919 |
| $ | 1,402 |
| $ | 18 |
| $ | — |
| $ | 2 |
|
|
|
| International | | | | | | |
| Residential first mortgages | 2,071 |
| $ | 80 |
| $ | — |
| $ | — |
| $ | — |
| — | % |
| Credit cards | 82,042 |
| 286 |
| — |
| — |
| 6 |
| 12 |
|
| Installment and other revolving | 34,654 |
| 194 |
| — |
| — |
| 9 |
| 9 |
|
Commercial banking(6) | 182 |
| 30 |
| — |
| — |
| — |
| — |
|
Total(8) | 118,949 |
| $ | 590 |
| $ | — |
| $ | — |
| $ | 15 |
|
|
|
|
| | | | | | | | | | | | | | | | |
| | At and for the nine months ended September 30, 2016 |
| In millions of dollars except number of loans modified | Number of loans modified | Post- modification recorded investment(1)(7) | Deferred principal(3) | Contingent principal forgiveness(4) | Principal forgiveness(5) | Average interest rate reduction |
| North America | | | | | | |
| Residential first mortgages | 3,979 |
| $ | 582 |
| $ | 4 |
| $ | — |
| $ | 3 |
| 1 | % |
| Home equity loans | 2,789 |
| 121 |
| 1 |
| — |
| — |
| 2 |
|
| Credit cards | 143,161 |
| 552 |
| — |
| — |
| — |
| 17 |
|
| Installment and other revolving | 4,187 |
| 35 |
| — |
| — |
| — |
| 14 |
|
Commercial banking(6) | 94 |
| 47 |
| — |
| — |
| — |
| — |
|
Total(8) | 154,210 |
| $ | 1,337 |
| $ | 5 |
| $ | — |
| $ | 3 |
| |
| International | | | | | | |
| Residential first mortgages | 2,005 |
| $ | 62 |
| $ | — |
| $ | — |
| $ | — |
| — | % |
| Credit cards | 109,365 |
| 307 |
| — |
| — |
| 7 |
| 12 |
|
| Installment and other revolving | 45,125 |
| 208 |
| — |
| — |
| 6 |
| 7 |
|
Commercial banking(6) | 117 |
| 90 |
| — |
| — |
| — |
| — |
|
Total(8) | 156,612 |
| $ | 667 |
| $ | — |
| $ | — |
| $ | 13 |
| |
| |
(1) | Post-modification balances include past due amounts that are capitalized at the modification date. |
| |
(2) | Post-modification balances in North America include $42 million of residential first mortgages and $16 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the nine months ended September 30, 2017. These amounts include $28 million of residential first mortgages and $14 million of home equity loans that were newly classified as TDRs in the nine months ended September 30, 2017, based on previously received OCC guidance.
|
| |
(3) | Represents portion of contractual loan principal that is non-interest bearing but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value. |
| |
(4) | Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness. |
| |
(5) | Represents portion of contractual loan principal that was forgiven at the time of permanent modification. |
(6) Commercial banking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest.
(7)(8) Post-modification balances in North America include $58$3 million of residential first mortgages and $15$1 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the ninethree months ended SeptemberJune 30, 2016.2020. These amounts include $38$2 million of residential first mortgages and $14$1 million of home equity loans that were newly classified as TDRs in the ninethree months ended SeptemberJune 30, 2016,2020, based on previously received OCC guidance.
(8)
Consumer Troubled Debt Restructurings(1)
| | | | | | | | | | | | | | | | | | | | |
| | For the Six Months Ended June 30, 2021 |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post-
modification
recorded
investment(2)(3) | Deferred
principal(4) | Contingent
principal
forgiveness(5) | Principal
forgiveness(6) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 661 | | $ | 115 | | $ | 0 | | $ | 0 | | $ | 0 | | 0 | % |
| Home equity loans | 107 | | 8 | | 0 | | 0 | | 0 | | 0 | |
| Credit cards | 95,383 | | 481 | | 0 | | 0 | | 0 | | 17 | |
| Personal, small business and other | 686 | | 10 | | 0 | | 0 | | 0 | | 3 | |
Total(7) | 96,837 | | $ | 614 | | $ | 0 | | $ | 0 | | $ | 0 | | |
| International | | | | | | |
| Residential first mortgages | 997 | | $ | 52 | | $ | 0 | | $ | 0 | | $ | 0 | | 1 | % |
| Credit cards | 42,896 | | 196 | | 0 | | 0 | | 9 | | 14 | |
| Personal, small business and other | 14,317 | | 114 | | 0 | | 0 | | 4 | | 10 | |
Total(7) | 58,210 | | $ | 362 | | $ | 0 | | $ | 0 | | $ | 13 | | |
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| | For the Six Months Ended June 30, 2020 |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post- modification recorded investment(2)(8) | Deferred principal(4) | Contingent principal forgiveness(5) | Principal forgiveness(6) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 575 | | $ | 95 | | $ | 0 | | $ | 0 | | $ | 0 | | 0 | % |
| Home equity loans | 165 | | 16 | | 0 | | 0 | | 0 | | 1 | |
| Credit cards | 118,173 | | 525 | | 0 | | 0 | | 0 | | 17 | |
| Personal, small business and other | 776 | | 7 | | 0 | | 0 | | 0 | | 3 | |
Total(7) | 119,689 | | $ | 643 | | $ | 0 | | $ | 0 | | $ | 0 | | |
| International | | | | | | |
| Residential first mortgages | 1,178 | | $ | 58 | | $ | 0 | | $ | 0 | | $ | 0 | | 4 | % |
| Credit cards | 40,591 | | 167 | | 0 | | 0 | | 5 | | 16 | |
| Personal, small business and other | 18,938 | | 128 | | 0 | | 0 | | 4 | | 10 | |
Total(7) | 60,707 | | $ | 353 | | $ | 0 | | $ | 0 | | $ | 9 | | |
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(1)The above tables do not include loan modifications that meet the TDR relief criteria in the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) or the interagency guidance.
(2)Post-modification balances include past-due amounts that are capitalized at the modification date.
(3)Post-modification balances in North America include $7 million of residential first mortgages and $0.4 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the six months ended June 30, 2021. These amounts include $2 million of residential first mortgages and $0.3 million of home equity loans that were newly classified as TDRs in the six months ended June 30, 2021, based on previously received OCC guidance.
(4)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.
(5)Represents portion of contractual loan principal that is non-interest bearing and, depending on borrower performance, eligible for forgiveness.
(6)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(7) The above tables reflect activity for restructured loans outstanding as of the end of the reporting period that were considered TDRs.TDRs during the reporting period.
(8) Post-modification balances in North America include $7 million of residential first mortgages and $2 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the six months ended June 30, 2020. These amounts include $5 million of residential first mortgages and $1 million of home equity loans that were newly classified as TDRs in the six months ended June 30, 2020, based on previously received OCC guidance.
The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
| | | | | | | | | | | | | | |
| Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| North America | | | | |
| Residential first mortgages | $ | 15 | | $ | 21 | | $ | 33 | | $ | 35 | |
| Home equity loans | 3 | | 4 | | 7 | | 6 | |
| Credit cards | 73 | | 92 | | 136 | | 182 | |
| Personal, small business and other | 1 | | 1 | | 2 | | 3 | |
| Total | $ | 92 | | $ | 118 | | $ | 178 | | $ | 226 | |
| International | | | | |
| Residential first mortgages | $ | 10 | | $ | 5 | | $ | 22 | | $ | 11 | |
| Credit cards | 45 | | 38 | | 97 | | 71 | |
| Personal, small business and other | 37 | | 18 | | 58 | | 35 | |
| Total | $ | 92 | | $ | 61 | | $ | 177 | | $ | 117 | |
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| North America | | | | |
| Residential first mortgages | $ | 57 |
| $ | 49 |
| $ | 156 |
| $ | 188 |
|
| Home equity loans | 8 |
| 6 |
| 25 |
| 20 |
|
| Credit cards | 54 |
| 43 |
| 163 |
| 139 |
|
| Installment and other revolving | 1 |
| 3 |
| 2 |
| 7 |
|
| Commercial banking | — |
| 12 |
| 2 |
| 14 |
|
| Total | $ | 120 |
| $ | 113 |
| $ | 348 |
| $ | 368 |
|
| International | | | | |
| Residential first mortgages | $ | 3 |
| $ | 3 |
| $ | 8 |
| $ | 9 |
|
| Credit cards | 48 |
| 41 |
| 136 |
| 115 |
|
| Installment and other revolving | 25 |
| 24 |
| 71 |
| 70 |
|
| Commercial banking | — |
| 21 |
| — |
| 36 |
|
| Total | $ | 76 |
| $ | 89 |
| $ | 215 |
| $ | 230 |
|
Purchased Credit-Deteriorated Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2021 | Three Months Ended December 31, 2020 | Three Months Ended June 30,
2020 |
| In millions of dollars | Credit
cards | Mortgages(1) | Installment
and other | Credit
cards | Mortgages(1) | Installment
and other | Credit
cards | Mortgages(1) | Installment
and other |
| Purchase price | $ | 0 | | $ | 10 | | $ | 0 | | $ | 0 | | $ | 12 | | $ | 0 | | $ | 0 | | $ | 3 | | $ | 0 | |
| Allowance for credit losses at acquisition date | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Discount or premium attributable to non-credit factors | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Par value (amortized cost basis) | $ | 0 | | $ | 10 | | $ | 0 | | $ | 0 | | $ | 12 | | $ | 0 | | $ | 0 | | $ | 3 | | $ | 0 | |
(1) Includes loans sold to agencies that were bought back at par due to repurchase agreements.
Corporate Loans
Corporate loans represent loans and leases managed by ICG. The following table presents information by corporate loan type:
| | | | | | | | |
| In millions of dollars | June 30,
2021 | December 31,
2020 |
In North America offices(1) | | |
| Commercial and industrial | $ | 53,549 | | $ | 57,731 | |
| Financial institutions | 65,494 | | 55,809 | |
Mortgage and real estate(2) | 62,162 | | 60,675 | |
| Installment and other | 26,757 | | 26,744 | |
| Lease financing | 547 | | 673 | |
| Total | $ | 208,509 | | $ | 201,632 | |
In offices outside North America(1) | | |
| Commercial and industrial | $ | 105,486 | | $ | 104,072 | |
| Financial institutions | 35,713 | | 32,334 | |
Mortgage and real estate(2) | 10,995 | | 11,371 | |
| Installment and other | 35,787 | | 33,759 | |
| Lease financing | 54 | | 65 | |
| Governments and official institutions | 4,395 | | 3,811 | |
| Total | $ | 192,430 | | $ | 185,412 | |
Corporate loans, net of unearned income(3) | $ | 400,939 | | $ | 387,044 | |
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Corporate loans are net of unearned income of ($841) million and ($844) million at June 30, 2021 and December 31, 2020, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
|
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31,
2016 |
| In U.S. offices | | |
| Commercial and industrial | $ | 51,679 |
| $ | 49,586 |
|
| Financial institutions | 37,203 |
| 35,517 |
|
Mortgage and real estate(1) | 43,274 |
| 38,691 |
|
| Installment, revolving credit and other | 32,464 |
| 34,501 |
|
| Lease financing | 1,493 |
| 1,518 |
|
| | $ | 166,113 |
| $ | 159,813 |
|
| In offices outside the U.S. | | |
| Commercial and industrial | $ | 93,107 |
| $ | 81,882 |
|
| Financial institutions | 33,050 |
| 26,886 |
|
Mortgage and real estate(1) | 6,383 |
| 5,363 |
|
| Installment, revolving credit and other | 23,830 |
| 19,965 |
|
| Lease financing | 216 |
| 251 |
|
| Governments and official institutions | 5,628 |
| 5,850 |
|
| | $ | 162,214 |
| $ | 140,197 |
|
| Total corporate loans | $ | 328,327 |
| $ | 300,010 |
|
| Net unearned income | $ | (720 | ) | $ | (704 | ) |
| Corporate loans, net of unearned income | $ | 327,607 |
| $ | 299,306 |
|
| |
(1) | Loans secured primarily by real estate. |
The Company sold and/or reclassified to held-for-sale $0.1$1.7 billion and $0.6$3.1 billion of corporate loans during the three and ninesix months ended SeptemberJune 30, 2017,2021, respectively, and $1.3$0.8 billion and $2.6$1.0 billion of corporate loans during the three and ninesix months ended SeptemberJune 30, 2016,2020, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and ninesix months ended SeptemberJune 30, 20172021 or 2016.2020.
Corporate Loan DelinquencyDelinquencies and Non-Accrual Details at SeptemberJune 30, 20172021 | | | 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) | In millions of dollars | 30–89 days past due and accruing(1) | ≥ 90 days past due and accruing(1) | Total past due
and accruing | Total non-accrual(2) | Total current(3) | Total loans(4) |
| Commercial and industrial | $ | 208 |
| $ | 58 |
| $ | 266 |
| $ | 1,468 |
| $ | 139,508 |
| $ | 141,242 |
| Commercial and industrial | $ | 818 | | $ | 121 | | $ | 939 | | $ | 1,878 | | $ | 149,317 | | $ | 152,134 | |
| Financial institutions | 348 |
| 1 |
| 349 |
| 224 |
| 69,232 |
| 69,805 |
| Financial institutions | 477 | | 324 | | 801 | | 39 | | 100,149 | | 100,989 | |
| Mortgage and real estate | 280 |
| 9 |
| 289 |
| 169 |
| 49,176 |
| 49,634 |
| Mortgage and real estate | 210 | | 21 | | 231 | | 458 | | 72,467 | | 73,156 | |
| Leases | 31 |
| 18 |
| 49 |
| 60 |
| 1,590 |
| 1,699 |
| |
| Lease financing | | Lease financing | 26 | | 0 | | 26 | | 22 | | 554 | | 602 | |
| Other | 402 |
| 30 |
| 432 |
| 133 |
| 60,381 |
| 60,946 |
| Other | 71 | | 237 | | 308 | | 179 | | 65,878 | | 66,365 | |
| Loans at fair value |
|
|
|
|
|
|
|
|
|
| 4,281 |
| Loans at fair value | | 7,693 | |
| Purchased distressed loans |
|
|
|
|
|
|
|
|
|
| — |
| |
| | Total | $ | 1,269 |
| $ | 116 |
| $ | 1,385 |
| $ | 2,054 |
| $ | 319,887 |
| $ | 327,607 |
| Total | $ | 1,602 | | $ | 703 | | $ | 2,305 | | $ | 2,576 | | $ | 388,365 | | $ | 400,939 | |
Corporate Loan DelinquencyDelinquencies and Non-Accrual Details at December 31, 20162020 |
| | | | | | | | | | | | | | | | | | |
| In millions of dollars | 30–89 days past due and accruing(1) | ≥ 90 days past due and accruing(1) | Total past due and accruing | Total non-accrual(2) | Total current(3) | Total loans (4) |
| Commercial and industrial | $ | 143 |
| $ | 52 |
| $ | 195 |
| $ | 1,909 |
| $ | 127,012 |
| $ | 129,116 |
|
| Financial institutions | 119 |
| 2 |
| 121 |
| 185 |
| 61,254 |
| 61,560 |
|
| Mortgage and real estate | 148 |
| 137 |
| 285 |
| 139 |
| 43,607 |
| 44,031 |
|
| Leases | 27 |
| 8 |
| 35 |
| 56 |
| 1,678 |
| 1,769 |
|
| Other | 349 |
| 12 |
| 361 |
| 132 |
| 58,880 |
| 59,373 |
|
| Loans at fair value |
|
|
|
|
|
|
|
|
|
| 3,457 |
|
| Purchased distressed loans |
|
|
|
|
|
|
|
|
|
| — |
|
| Total | $ | 786 |
| $ | 211 |
| $ | 997 |
| $ | 2,421 |
| $ | 292,431 |
| $ | 299,306 |
|
| |
(1) | Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid. |
| |
(2) | 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) | 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. |
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | 30–89 days past due and accruing(1) | ≥ 90 days past due and accruing(1) | Total past due
and accruing | Total non-accrual(2) | Total current(3) | Total loans(4) |
| Commercial and industrial | $ | 400 | | $ | 109 | | $ | 509 | | $ | 2,795 | | $ | 153,036 | | $ | 156,340 | |
| Financial institutions | 668 | | 65 | | 733 | | 92 | | 86,864 | | 87,689 | |
| Mortgage and real estate | 450 | | 247 | | 697 | | 505 | | 70,836 | | 72,038 | |
| Lease financing | 62 | | 12 | | 74 | | 24 | | 640 | | 738 | |
| Other | 112 | | 19 | | 131 | | 111 | | 63,157 | | 63,399 | |
| Loans at fair value | | | | | | 6,840 | |
| | | | | | |
| Total | $ | 1,692 | | $ | 452 | | $ | 2,144 | | $ | 3,527 | | $ | 374,533 | | $ | 387,044 | |
(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 or more 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 and/or principal is doubtful.
(3)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) |
| Term loans by year of origination | Revolving line of credit arrangements(2) | | June 30,
2021 | |
| In millions of dollars | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | |
Investment grade(3) | | | | | | | | | | |
Commercial and industrial(4) | $ | 37,302 | | $ | 7,576 | | $ | 5,592 | | $ | 5,066 | | $ | 3,302 | | $ | 9,628 | | $ | 28,121 | | | $ | 96,587 | | |
Financial institutions(4) | 12,951 | | 4,271 | | 1,809 | | 1,409 | | 914 | | 2,615 | | 66,706 | | | 90,675 | | |
| Mortgage and real estate | 2,896 | | 5,748 | | 5,845 | | 3,859 | | 2,010 | | 3,204 | | 1,545 | | | 25,107 | | |
Other(5) | 9,815 | | 6,082 | | 2,554 | | 4,315 | | 635 | | 6,629 | | 31,038 | | | 61,068 | | |
| Total investment grade | $ | 62,964 | | $ | 23,677 | | $ | 15,800 | | $ | 14,649 | | $ | 6,861 | | $ | 22,076 | | $ | 127,410 | | | $ | 273,437 | | |
Non-investment grade(3) | | | | | | | | | | |
| Accrual | | | | | | | | | | |
Commercial and industrial(4) | $ | 15,439 | | $ | 4,660 | | $ | 3,892 | | $ | 3,334 | | $ | 2,304 | | $ | 4,020 | | $ | 20,021 | | | $ | 53,670 | | |
Financial institutions(4) | 5,008 | | 936 | | 546 | | 334 | | 101 | | 273 | | 3,076 | | | 10,274 | | |
| Mortgage and real estate | 1,302 | | 1,314 | | 2,133 | | 1,633 | | 1,045 | | 1,304 | | 672 | | | 9,403 | | |
Other(5) | 1,127 | | 456 | | 644 | | 516 | | 312 | | 647 | | 1,995 | | | 5,697 | | |
| Non-accrual | | | | | | | | | | |
Commercial and industrial(4) | 40 | | 182 | | 201 | | 83 | | 108 | | 172 | | 1,091 | | | 1,877 | | |
| Financial institutions | 0 | | 0 | | 0 | | 0 | | 0 | | 11 | | 29 | | | 40 | | |
| Mortgage and real estate | 2 | | 13 | | 5 | | 85 | | 10 | | 62 | | 280 | | | 457 | | |
Other(5) | 90 | | 19 | | 5 | | 20 | | 28 | | 20 | | 20 | | | 202 | | |
| Total non-investment grade | $ | 23,008 | | $ | 7,580 | | $ | 7,426 | | $ | 6,005 | | $ | 3,908 | | $ | 6,509 | | $ | 27,184 | | | $ | 81,620 | | |
Non-rated private bank loans managed on a delinquency basis(3)(6) | $ | 5,600 | | $ | 9,537 | | $ | 6,551 | | $ | 3,210 | | $ | 3,248 | | $ | 10,043 | | $ | 0 | | | $ | 38,189 | | |
Loans at fair value(7) | | | | | | | | | 7,693 | | |
| Corporate loans, net of unearned income | $ | 91,572 | | $ | 40,794 | | $ | 29,777 | | $ | 23,864 | | $ | 14,017 | | $ | 38,628 | | $ | 154,594 | | | $ | 400,939 | | |
| | | | | | | | Recorded investment in loans(1) |
| | Recorded investment in loans(1) | | Term loans by year of origination | Revolving line of credit arrangements(2) | | December 31, 2020 | |
| In millions of dollars | September 30,
2017 | December 31,
2016 | In millions of dollars | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | |
Investment grade(2)(3) | | | | | |
| Commercial and industrial | $ | 100,024 |
| $ | 87,201 |
| |
Commercial and industrial(4) | | Commercial and industrial(4) | $ | 38,398 | | $ | 7,607 | | $ | 5,929 | | $ | 3,909 | | $ | 2,094 | | $ | 8,670 | | $ | 25,819 | | | $ | 92,426 | | |
Financial institutions(4) | | Financial institutions(4) | 10,560 | | 2,964 | | 2,106 | | 782 | | 681 | | 2,030 | | 56,239 | | | 75,362 | | |
| Mortgage and real estate | | Mortgage and real estate | 6,793 | | 6,714 | | 5,174 | | 2,568 | | 1,212 | | 1,719 | | 1,557 | | | 25,737 | | |
Other(5) | | Other(5) | 10,874 | | 3,566 | | 4,597 | | 952 | | 780 | | 5,290 | | 31,696 | | | 57,755 | | |
| Total investment grade | | Total investment grade | $ | 66,625 | | $ | 20,851 | | $ | 17,806 | | $ | 8,211 | | $ | 4,767 | | $ | 17,709 | | $ | 115,311 | | | $ | 251,280 | | |
Non-investment grade(3) | | Non-investment grade(3) | | | | |
| Accrual | | Accrual | | | | |
Commercial and industrial(4) | | Commercial and industrial(4) | $ | 19,683 | | $ | 4,794 | | $ | 4,645 | | $ | 2,883 | | $ | 1,182 | | $ | 4,533 | | $ | 23,400 | | | $ | 61,120 | | |
Financial institutions(4) | | Financial institutions(4) | 7,413 | | 700 | | 654 | | 274 | | 141 | | 197 | | 2,855 | | | 12,234 | | |
| Mortgage and real estate | | Mortgage and real estate | 1,882 | | 1,919 | | 2,058 | | 1,457 | | 697 | | 837 | | 551 | | | 9,401 | | |
Other(5) | | Other(5) | 1,407 | | 918 | | 725 | | 370 | | 186 | | 657 | | 1,986 | | | 6,249 | | |
| Non-accrual | | Non-accrual | | | | |
Commercial and industrial(4) | | Commercial and industrial(4) | 260 | | 203 | | 192 | | 143 | | 57 | | 223 | | 1,717 | | | 2,795 | | |
| Financial institutions | 58,666 |
| 50,597 |
| Financial institutions | 1 | | 0 | | 0 | | 0 | | 0 | | 0 | | 91 | | | 92 | | |
| Mortgage and real estate | 22,102 |
| 18,718 |
| Mortgage and real estate | 13 | | 4 | | 3 | | 18 | | 8 | | 32 | | 427 | | | 505 | | |
| Leases | 1,117 |
| 1,303 |
| |
| Other | 55,231 |
| 52,828 |
| |
| Total investment grade | $ | 237,140 |
| $ | 210,647 |
| |
Non-investment grade(2) | | |
| Accrual | | |
| Commercial and industrial | $ | 39,750 |
| $ | 39,874 |
| |
| Financial institutions | 10,916 |
| 10,873 |
| |
| Mortgage and real estate | 2,256 |
| 1,821 |
| |
| Leases | 522 |
| 410 |
| |
| Other | 5,580 |
| 6,450 |
| |
| Non-accrual | | |
| Commercial and industrial | 1,468 |
| 1,909 |
| |
| Financial institutions | 224 |
| 185 |
| |
| Mortgage and real estate | 169 |
| 139 |
| |
| Leases | 60 |
| 56 |
| |
| Other | 133 |
| 132 |
| |
Other(5) | | Other(5) | 15 | | 3 | | 12 | | 29 | | 2 | | 65 | | 9 | | | 135 | | |
| Total non-investment grade | $ | 61,078 |
| $ | 61,849 |
| Total non-investment grade | $ | 30,674 | | $ | 8,541 | | $ | 8,289 | | $ | 5,174 | | $ | 2,273 | | $ | 6,544 | | $ | 31,036 | | | $ | 92,531 | | |
Non-rated private bank loans managed on a delinquency basis(2) | $ | 25,108 |
| $ | 23,353 |
| |
| Loans at fair value | 4,281 |
| 3,457 |
| |
Non-rated private bank loans managed on a delinquency basis(3)(6) | | Non-rated private bank loans managed on a delinquency basis(3)(6) | $ | 9,823 | | $ | 7,121 | | $ | 3,533 | | $ | 3,674 | | $ | 4,300 | | $ | 7,942 | | $ | 0 | | | $ | 36,393 | | |
Loans at fair value(7) | | Loans at fair value(7) | | | 6,840 | | |
| Corporate loans, net of unearned income | $ | 327,607 |
| $ | 299,306 |
| Corporate loans, net of unearned income | $ | 107,122 | | $ | 36,513 | | $ | 29,628 | | $ | 17,059 | | $ | 11,340 | | $ | 32,195 | | $ | 146,347 | | | $ | 387,044 | | |
| |
(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. |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)There were no significant revolving line of credit arrangements that converted to term loans during the quarter.
(3)Held-for-investment loans are accounted for on an amortized cost basis.
(4)Includes certain short-term loans with less than one year in tenor.
(5)Other includes installment and other, lease financing and loans to government and official institutions.
(6)Non-rated private bank loans mainly include mortgage and real estate loans to private banking clients.
(7)Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.
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:
| | | | September 30, 2017 | Three Months Ended
September 30, 2017 | Nine Months Ended
September 30, 2017 | | June 30, 2021 | Three Months Ended
June 30, 2021 | Six Months Ended
June 30, 2021 |
| In millions of dollars | Recorded investment(1) | Unpaid principal balance | Related specific allowance | Average carrying value(2) | Interest income recognized(3) | Interest income recognized(3) | In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | Interest income recognized | Interest income recognized(3) |
| Non-accrual corporate loans | | | | | Non-accrual corporate loans | | | | |
| Commercial and industrial | $ | 1,468 |
| $ | 1,682 |
| $ | 336 |
| $ | 1,648 |
| $ | 10 |
| $ | 20 |
| Commercial and industrial | $ | 1,878 | | $ | 2,453 | | $ | 314 | | $ | 2,481 | | $ | 15 | | $ | 25 | |
| Financial institutions | 224 |
| 340 |
| 27 |
| 236 |
| — |
| — |
| Financial institutions | 39 | | 116 | | 0 | | 83 | | 0 | | 0 | |
| Mortgage and real estate | 169 |
| 293 |
| 9 |
| 169 |
| — |
| 9 |
| Mortgage and real estate | 458 | | 749 | | 28 | | 486 | | 0 | | 0 | |
| Lease financing | 60 |
| 60 |
| 4 |
| 62 |
| — |
| — |
| Lease financing | 22 | | 22 | | 0 | | 28 | | 0 | | 0 | |
| Other | 133 |
| 240 |
| 1 |
| 115 |
| 1 |
| 1 |
| Other | 179 | | 251 | | 3 | | 121 | | 0 | | 6 | |
| Total non-accrual corporate loans | $ | 2,054 |
| $ | 2,615 |
| $ | 377 |
| $ | 2,230 |
| $ | 11 |
| $ | 30 |
| Total non-accrual corporate loans | $ | 2,576 | | $ | 3,591 | | $ | 345 | | $ | 3,199 | | $ | 15 | | $ | 31 | |
| | | | December 31, 2016 | | December 31, 2020 | |
| In millions of dollars | Recorded investment(1) | Unpaid principal balance | Related specific allowance | Average carrying value(2) | In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | |
| Non-accrual corporate loans | | Non-accrual corporate loans | | |
| Commercial and industrial | $ | 1,909 |
| $ | 2,259 |
| $ | 362 |
| $ | 1,919 |
| Commercial and industrial | $ | 2,795 | | $ | 3,664 | | $ | 442 | | $ | 2,649 | | |
| Financial institutions | 185 |
| 192 |
| 16 |
| 183 |
| Financial institutions | 92 | | 181 | | 17 | | 132 | | |
| Mortgage and real estate | 139 |
| 250 |
| 10 |
| 174 |
| Mortgage and real estate | 505 | | 803 | | 38 | | 413 | | |
| Lease financing | 56 |
| 56 |
| 4 |
| 44 |
| Lease financing | 24 | | 24 | | 0 | | 34 | | |
| Other | 132 |
| 197 |
| — |
| 87 |
| Other | 111 | | 235 | | 18 | | 174 | | |
| Total non-accrual corporate loans | $ | 2,421 |
| $ | 2,954 |
| $ | 392 |
| $ | 2,407 |
| Total non-accrual corporate loans | $ | 3,527 | | $ | 4,907 | | $ | 515 | | $ | 3,402 | | |
| | | | | | | | | | | | | | |
| | June 30, 2021 | December 31, 2020 |
| In millions of dollars | Recorded investment(1) | Related specific
allowance | Recorded investment(1) | Related specific
allowance |
| Non-accrual corporate loans with specific allowances | | | | |
| Commercial and industrial | $ | 1,568 | | $ | 314 | | $ | 1,523 | | $ | 442 | |
| Financial institutions | 0 | | 0 | | 90 | | 17 | |
| Mortgage and real estate | 142 | | 28 | | 246 | | 38 | |
| | | | |
| Other | 58 | | 3 | | 68 | | 18 | |
| Total non-accrual corporate loans with specific allowances | $ | 1,768 | | $ | 345 | | $ | 1,927 | | $ | 515 | |
| Non-accrual corporate loans without specific allowances | | | | |
| Commercial and industrial | $ | 310 | | | $ | 1,272 | | |
| Financial institutions | 39 | | | 2 | | |
| Mortgage and real estate | 316 | | | 259 | | |
| Lease financing | 22 | | | 24 | | |
| Other | 121 | | | 43 | | |
| Total non-accrual corporate loans without specific allowances | $ | 808 | | N/A | $ | 1,600 | | 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 allowances.
(3)Interest income recognized for the three and six months ended June 30, 2020 was $4 million and $19 million, respectively.
N/A Not applicable
|
| | | | | | | | | | | | |
| | September 30, 2017 | December 31, 2016 |
| In millions of dollars | Recorded investment(1) | Related specific allowance | Recorded investment(1) | Related specific allowance |
| Non-accrual corporate loans with valuation allowances | | | | |
| Commercial and industrial | $ | 919 |
| $ | 336 |
| $ | 1,343 |
| $ | 362 |
|
| Financial institutions | 58 |
| 27 |
| 45 |
| 16 |
|
| Mortgage and real estate | 34 |
| 9 |
| 41 |
| 10 |
|
| Lease financing | 48 |
| 4 |
| 55 |
| 4 |
|
| Other | 3 |
| 1 |
| 1 |
| — |
|
| Total non-accrual corporate loans with specific allowance | $ | 1,062 |
| $ | 377 |
| $ | 1,485 |
| $ | 392 |
|
| Non-accrual corporate loans without specific allowance | | | | |
| Commercial and industrial | $ | 549 |
| |
| $ | 566 |
| |
|
| Financial institutions | 166 |
| |
| 140 |
| |
|
| Mortgage and real estate | 135 |
| |
| 98 |
| |
|
| Lease financing | 12 |
| |
| 1 |
| |
|
| Other | 130 |
| |
| 131 |
| |
|
| Total non-accrual corporate loans without specific allowance | $ | 992 |
| N/A |
| $ | 936 |
| N/A |
|
| |
(1) | Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs. |
| |
(2) | Average carrying value represents the average recorded investment balance and does not include related specific allowance. |
| |
(3) | Interest income recognized for the three- and nine-month periods ended September 30, 2016 was $10 million and $36 million. |
Corporate Troubled Debt Restructurings(1)
AtThree and Six Months Ended June 30, 2021
| | | | | | | | | | | | | | | | |
| In millions of dollars | Carrying value of TDRs modified during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | | |
| Three Months Ended June 30, 2021 | | | | | | |
| Commercial and industrial | $ | 52 | | $ | 0 | | $ | 0 | | $ | 52 | | | |
| | | | | | |
| | | | | | |
| Mortgage and real estate | 5 | | 0 | | 0 | | 5 | | | |
| | | | | | |
| Other | 0 | | 0 | | 0 | | 0 | | | |
| Total | $ | 57 | | $ | 0 | | $ | 0 | | $ | 57 | | | |
| Six Months Ended June 30, 2021 | | | | | | |
| Commercial and industrial | $ | 73 | | $ | 0 | | $ | 0 | | $ | 73 | | | |
| | | | | | |
| Mortgage and real estate | 6 | | 0 | | 0 | | 6 | | | |
| Other | 1 | | 1 | | 0 | | 0 | | | |
| Total | $ | 80 | | $ | 1 | | $ | 0 | | $ | 79 | | | |
Three and Six Months Ended June 30, 2020
| | | | | | | | | | | | | | | | |
| In millions of dollars | Carrying value of TDRs modified
during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | | |
| Three Months Ended June 30, 2020 | | | | | | |
| Commercial and industrial | $ | 86 | | $ | 0 | | $ | 0 | | $ | 86 | | | |
| | | | | | |
| Mortgage and real estate | 4 | | 0 | | 0 | | 4 | | | |
| | | | | | |
| Other | 4 | | 4 | | 0 | | 0 | | | |
| | | | | | |
| Total | $ | 94 | | $ | 4 | | $ | 0 | | $ | 90 | | | |
| Six Months Ended June 30, 2020 | | | | | | |
| Commercial and industrial | $ | 148 | | $ | 0 | | $ | 0 | | $ | 148 | | | |
| Mortgage and real estate | 8 | | 0 | | 0 | | 8 | | | |
| Other | 4 | | 4 | | 0 | | 0 | | | |
| | | | | | |
| Total | $ | 160 | | $ | 4 | | $ | 0 | | $ | 156 | | | |
(1)The above tables do not include loan modifications that meet the TDR relief criteria in the CARES Act or the interagency guidance.
(2)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 three months ended September 30, 2017:loans. Charge-offs for amounts deemed uncollectible 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.
(3)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 | $ | 175 |
| $ | 99 |
| $ | — |
| $ | 76 |
|
| Mortgage and real estate | 14 |
| — |
| — |
| 14 |
|
| Total | $ | 189 |
| $ | 99 |
| $ | — |
| $ | 90 |
|
At and for the three months ended September 30, 2016: |
| | | | | | | | | | | | |
| In millions of dollars | Carrying Value | TDRs involving changes in the amount and/or timing of principal payments(1) | TDRs involving changes in the amount and/or timing of interest payments(2) | TDRs involving changes in the amount and/or timing of both principal and interest payments |
| Commercial and industrial | $ | 112 |
| $ | 103 |
| $ | 2 |
| $ | 7 |
|
| Financial institutions | 10 |
| 10 |
| — |
| — |
|
| Mortgage and real estate | 2 |
| 1 |
| — |
| 1 |
|
| Total | $ | 124 |
| $ | 114 |
| $ | 2 |
| $ | 8 |
|
At and for the nine months ended September 30, 2017: |
| | | | | | | | | | | | |
| In millions of dollars | Carrying Value | TDRs involving changes in the amount and/or timing of principal payments(1) | TDRs involving changes in the amount and/or timing of interest payments(2) | TDRs involving changes in the amount and/or timing of both principal and interest payments |
| Commercial and industrial | $ | 463 |
| $ | 131 |
| $ | — |
| $ | 332 |
|
| Financial institutions | 15 |
| — |
| — |
| 15 |
|
| Mortgage and real estate | 18 |
| — |
| — |
| 18 |
|
| Total | $ | 496 |
| $ | 131 |
| $ | — |
| $ | 365 |
|
At and for the nine months ended September 30, 2016: |
| | | | | | | | | | | | |
| In millions of dollars | Carrying Value | TDRs involving changes in the amount and/or timing of principal payments(1) | TDRs involving changes in the amount and/or timing of interest payments(2) | TDRs involving changes in the amount and/or timing of both principal and interest payments |
| Commercial and industrial | $ | 316 |
| $ | 176 |
| $ | 34 |
| $ | 106 |
|
| Financial institutions | 10 |
| 10 |
| — |
| — |
|
| Mortgage and real estate | 7 |
| 1 |
| — |
| 6 |
|
| Other | 142 |
| — |
| 142 |
| — |
|
| Total | $ | 475 |
| $ | 187 |
| $ | 176 |
| $ | 112 |
|
| |
(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. |
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.
| | | | | | | | | | | | | | | | | | | | |
| | TDR loans that re-defaulted within one year of modification during the | | TDR loans that re-defaulted within one year of modification during the |
| In millions of dollars | TDR
balances at June 30, 2021 | Three Months Ended
June 30, 2021 | Six Months Ended
June 30, 2021 | TDR
balances at
June 30, 2020 | Three Months Ended
June 30, 2020 | Six Months Ended
June 30, 2020 |
| Commercial and industrial | $ | 298 | | $ | 0 | | $ | 0 | | $ | 406 | | $ | 0 | | $ | 0 | |
| | | | | | |
| Mortgage and real estate | 80 | | 0 | | 0 | | 91 | | 0 | | 0 | |
| | | | | | |
| Other | 38 | | 0 | | 0 | | 10 | | 0 | | 0 | |
Total(1) | $ | 416 | | $ | 0 | | $ | 0 | | $ | 507 | | $ | 0 | | $ | 0 | |
(1)The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.
|
| | | | | | | | | | | | | | | | | | |
| In millions of dollars | TDR balances at September 30, 2017 | TDR loans in payment default during the three months ended September 30, 2017 | TDR loans in payment default nine months ended September 30, 2017 | TDR balances at September 30, 2016 | TDR loans in payment default during the three months ended September 30, 2016 | TDR loans in payment default during the nine months ended
September 30, 2016 |
| Commercial and industrial | $ | 686 |
| $ | — |
| $ | 12 |
| $ | 394 |
| $ | — |
| $ | 7 |
|
| Loans to financial institutions | 24 |
| — |
| 3 |
| 10 |
| — |
| — |
|
| Mortgage and real estate | 84 |
| — |
| — |
| 80 |
| — |
| — |
|
| Other | 155 |
| — |
| — |
| 291 |
| — |
| — |
|
Total(1) | $ | 949 |
| $ | — |
| $ | 15 |
| $ | 775 |
| $ | — |
| $ | 7 |
|
| |
(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 June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Allowance for credit losses on loans (ACLL) at beginning of period | $ | 21,638 | | $ | 20,380 | | $ | 24,956 | | $ | 12,783 | |
Adjustments to opening balance:(1) | | | | |
Financial instruments—credit losses (CECL)(1) | 0 | | 0 | | 0 | | 4,201 | |
Variable post-charge-off third-party collection costs(1) | 0 | | 0 | | 0 | | (443) | |
| Adjusted ACLL at beginning of period | $ | 21,638 | | $ | 20,380 | | $ | 24,956 | | $ | 16,541 | |
| Gross credit losses on loans | $ | (1,844) | | $ | (2,528) | | $ | (4,052) | | $ | (5,007) | |
| Gross recoveries on loans | 524 | | 367 | | 984 | | 787 | |
| Net credit losses on loans (NCLs) | $ | (1,320) | | $ | (2,161) | | $ | (3,068) | | $ | (4,220) | |
| Replenishment of NCLs | $ | 1,320 | | $ | 2,161 | | $ | 3,068 | | $ | 4,220 | |
| Net reserve builds (releases) for loans | (2,184) | | 5,195 | | (5,252) | | 9,289 | |
| Net specific reserve builds (releases) for loans | (262) | | 634 | | (421) | | 858 | |
| Total provision for credit losses on loans (PCLL) | $ | (1,126) | | $ | 7,990 | | $ | (2,605) | | $ | 14,367 | |
| Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period | 0 | | 0 | | 0 | | 4 | |
| Other, net (see table below) | 46 | | 89 | | (45) | | (394) | |
| ACLL at end of period | $ | 19,238 | | $ | 26,298 | | $ | 19,238 | | $ | 26,298 | |
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2) | $ | 2,012 | | $ | 1,813 | | $ | 2,655 | | $ | 1,456 | |
Adjustment to opening balance for CECL adoption(1) | 0 | | 0 | | 0 | | (194) | |
| Provision (release) for credit losses on unfunded lending commitments | 44 | | 113 | | (582) | | 670 | |
| Other, net | 17 | | (67) | | 0 | | (73) | |
ACLUC at end of period(2) | $ | 2,073 | | $ | 1,859 | | $ | 2,073 | | $ | 1,859 | |
| Total allowance for credit losses on loans, leases and unfunded lending commitments | $ | 21,311 | | $ | 28,157 | | $ | 21,311 | | $ | 28,157 | |
| | | | | | | | | | | | | | |
| Other, net details | Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| | | | |
| | | | |
| | | | |
| Sales or transfers of various consumer loan portfolios to HFS | $ | 0 | | $ | (1) | | $ | 0 | | $ | (4) | |
| FX translation | 62 | | 88 | | (46) | | (395) | |
| Other | (16) | | 2 | | 1 | | 5 | |
| Other, net | $ | 46 | | $ | 89 | | $ | (45) | | $ | (394) | |
(1)See Note 1 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K for further discussion of the impact of Citi’s adoption of CECL and the change in accounting principle for collection costs.
(2)Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended
September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Allowance for loan losses at beginning of period | $ | 12,025 |
| $ | 12,304 |
| $ | 12,060 |
| $ | 12,626 |
|
| Gross credit losses | (2,120 | ) | (1,948 | ) | (6,394 | ) | (6,139 | ) |
Gross recoveries(1) | 343 |
| 423 |
| 1,198 |
| 1,274 |
|
| Net credit losses (NCLs) | $ | (1,777 | ) | $ | (1,525 | ) | $ | (5,196 | ) | $ | (4,865 | ) |
| NCLs | $ | 1,777 |
| $ | 1,525 |
| $ | 5,196 |
| $ | 4,865 |
|
| Net reserve builds | 419 |
| 258 |
| 466 |
| 210 |
|
| Net specific reserve releases | (50 | ) | (37 | ) | (175 | ) | (53 | ) |
| Total provision for loan losses | $ | 2,146 |
| $ | 1,746 |
| $ | 5,487 |
| $ | 5,022 |
|
| Other, net (see table below) | (28 | ) | (86 | ) | 15 |
| (344 | ) |
| Allowance for loan losses at end of period | $ | 12,366 |
| $ | 12,439 |
| $ | 12,366 |
| $ | 12,439 |
|
| Allowance for credit losses on unfunded lending commitments at beginning of period | $ | 1,406 |
| $ | 1,432 |
| $ | 1,418 |
| $ | 1,402 |
|
| Release for unfunded lending commitments | (175 | ) | (45 | ) | (190 | ) | (4 | ) |
| Other, net | 1 |
| 1 |
| 4 |
| (10 | ) |
Allowance for credit losses on unfunded lending commitments at end of period(2) | $ | 1,232 |
| $ | 1,388 |
| $ | 1,232 |
| $ | 1,388 |
|
| Total allowance for loans, leases and unfunded lending commitments | $ | 13,598 |
| $ | 13,827 |
| $ | 13,598 |
| $ | 13,827 |
|
| |
(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 details | Three Months Ended September 30, | Nine Months Ended
September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Sales or transfers of various consumer loan portfolios to held-for-sale | | | | |
| Transfer of real estate loan portfolios | $ | (28 | ) | $ | (50 | ) | $ | (84 | ) | $ | (103 | ) |
| Transfer of other loan portfolios | (6 | ) | (8 | ) | (130 | ) | (204 | ) |
| Sales or transfers of various consumer loan portfolios to held-for-sale | $ | (34 | ) | $ | (58 | ) | $ | (214 | ) | $ | (307 | ) |
| FX translation, consumer | 7 |
| (46 | ) | 221 |
| (58 | ) |
| Other | (1 | ) | 18 |
| 8 |
| 21 |
|
| Other, net | $ | (28 | ) | $ | (86 | ) | $ | 15 |
| $ | (344 | ) |
Allowance for Credit Losses on Loans and InvestmentEnd-of-Period Loans
| | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended | |
| June 30, 2021 | June 30, 2020 | |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | |
| ACLL at beginning of period | $ | 4,084 | | $ | 17,554 | | $ | 21,638 | | $ | 3,451 | | $ | 16,929 | | $ | 20,380 | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| Charge-offs | (151) | | (1,693) | | (1,844) | | (347) | | (2,181) | | (2,528) | | |
| Recoveries | 62 | | 462 | | 524 | | 23 | | 344 | | 367 | | |
| Replenishment of NCLs | 89 | | 1,231 | | 1,320 | | 324 | | 1,837 | | 2,161 | | |
| Net reserve builds (releases) | (820) | | (1,364) | | (2,184) | | 2,883 | | 2,312 | | 5,195 | | |
| Net specific reserve builds (releases) | (130) | | (132) | | (262) | | 486 | | 148 | | 634 | | |
| Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | |
| Other | (7) | | 53 | | 46 | | 4 | | 85 | | 89 | | |
| Ending balance | $ | 3,127 | | $ | 16,111 | | $ | 19,238 | | $ | 6,824 | | $ | 19,474 | | $ | 26,298 | | |
| Six Months Ended | |
| June 30, 2021 | June 30, 2020 | |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | |
| ACLL at beginning of period | $ | 5,402 | | $ | 19,554 | | $ | 24,956 | | $ | 2,886 | | $ | 9,897 | | $ | 12,783 | | |
| Adjustments to opening balance: | | | | | | | |
| Financial instruments—credit losses (CECL adoption) | 0 | | 0 | | 0 | | (721) | | 4,922 | | 4,201 | | |
| Variable post-charge-off third-party collection costs | 0 | | 0 | | 0 | | 0 | | (443) | | (443) | | |
| Charge-offs | (354) | | (3,698) | | (4,052) | | (485) | | (4,522) | | (5,007) | | |
| Recoveries | 79 | | 905 | | 984 | | 34 | | 753 | | 787 | | |
| Replenishment of NCLs | 275 | | 2,793 | | 3,068 | | 451 | | 3,769 | | 4,220 | | |
| Net reserve builds (releases) | (2,093) | | (3,159) | | (5,252) | | 4,151 | | 5,138 | | 9,289 | | |
| Net specific reserve builds (releases) | (168) | | (253) | | (421) | | 534 | | 324 | | 858 | | |
| Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period | 0 | | 0 | | 0 | | 0 | | 4 | | 4 | | |
| Other | (14) | | (31) | | (45) | | (26) | | (368) | | (394) | | |
| Ending balance | $ | 3,127 | | $ | 16,111 | | $ | 19,238 | | $ | 6,824 | | $ | 19,474 | | $ | 26,298 | | |
(1)See “Accounting Changes” in LoansNote 1 to the Consolidated Financial Statements for additional details.
| | | | | | | | | | | | | | | | | | | | |
| June 30, 2021 | December 31, 2020 |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| ACLL | | | | | | |
| Collectively evaluated | $ | 2,782 | | $ | 15,028 | | $ | 17,810 | | $ | 4,887 | | $ | 18,207 | | $ | 23,094 | |
| Individually evaluated | 345 | | 1,084 | | 1,429 | | 515 | | 1,345 | | 1,860 | |
Purchased credit deteriorated(1) | 0 | | (1) | | (1) | | 0 | | 2 | | 2 | |
| Total ACLL | $ | 3,127 | | $ | 16,111 | | $ | 19,238 | | $ | 5,402 | | $ | 19,554 | | $ | 24,956 | |
| Loans, net of unearned income | | | | | | |
| Collectively evaluated | $ | 390,670 | | $ | 271,278 | | $ | 661,948 | | $ | 376,677 | | $ | 283,885 | | $ | 660,562 | |
| Individually evaluated | 2,576 | | 4,469 | | 7,045 | | 3,527 | | 4,799 | | 8,326 | |
| Purchased credit deteriorated | 0 | | 134 | | 134 | | 0 | | 141 | | 141 | |
| Held at fair value | 7,693 | | 14 | | 7,707 | | 6,840 | | 14 | | 6,854 | |
| Total loans, net of unearned income | $ | 400,939 | | $ | 275,895 | | $ | 676,834 | | $ | 387,044 | | $ | 288,839 | | $ | 675,883 | |
(1) The negative allowance on purchased credit-deteriorated loans resulted from expected recoveries on previously written-off accounts.
Allowance for Credit Losses on HTM Debt Securities
| | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2021 |
| In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-backed | | Total HTM |
Allowance for credit losses on HTM debt securities at beginning
of quarter | $ | 4 | | | $ | 69 | | $ | 5 | | | $ | 0 | | | $ | 78 | |
| | | | | | | | |
| Gross credit losses | 0 | | | 0 | | 0 | | | 0 | | | 0 | |
| Gross recoveries | 0 | | | 0 | | 0 | | | 0 | | | 0 | |
| Net credit losses (NCLs) | $ | 0 | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| Replenishment of NCLs | $ | 0 | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| Net reserve builds (releases) | 1 | | | 3 | | 0 | | | 0 | | | 4 | |
| Net specific reserve builds (releases) | 0 | | | 0 | | 0 | | | 0 | | | 0 | |
| Total provision for credit losses on HTM debt securities | $ | 1 | | | $ | 3 | | $ | 0 | | | $ | 0 | | | $ | 4 | |
| Other, net | $ | 0 | | | $ | 0 | | $ | 0 | | | $ | 1 | | | $ | 1 | |
| Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | 0 | | | 0 | | 0 | | | 0 | | | 0 | |
| Allowance for credit losses on HTM debt securities at end of quarter | $ | 5 | | | $ | 72 | | $ | 5 | | | $ | 1 | | | $ | 83 | |
| | | | | | | | |
| Six Months Ended June 30, 2021 |
| In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-backed | | Total HTM |
Allowance for credit losses on HTM debt securities at beginning
of year | $ | 3 | | | $ | 74 | | $ | 6 | | | $ | 3 | | | $ | 86 | |
| | | | | | | | |
| Gross credit losses | 0 | | | 0 | | 0 | | | 0 | | | 0 | |
| Gross recoveries | 3 | | | 0 | | 0 | | | 0 | | | 3 | |
| Net credit losses (NCLs) | $ | 3 | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 3 | |
| Replenishment of NCLs | $ | (3) | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | (3) | |
| Net reserve builds (releases) | 2 | | | (2) | | (1) | | | (3) | | | (4) | |
| Net specific reserve builds (releases) | 0 | | | 0 | | 0 | | | 0 | | | 0 | |
| Total provision for credit losses on HTM debt securities | $ | (1) | | | $ | (2) | | $ | (1) | | | $ | (3) | | | $ | (7) | |
| Other, net | $ | 0 | | | $ | 0 | | $ | 0 | | | $ | 1 | | | $ | 1 | |
| Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | 0 | | | 0 | | 0 | | | 0 | | | 0 | |
| Allowance for credit losses on HTM debt securities at end of quarter | $ | 5 | | | $ | 72 | | $ | 5 | | | $ | 1 | | | $ | 83 | |
| | | | | | | | |
Allowance for Credit Losses on HTM Debt Securities
| | | | | | | | | | | | | | | | | | |
| | | Three Months Ended June 30, 2020 |
| In millions of dollars | | | State and municipal | Foreign government | | Asset-
backed | | Total HTM |
| Allowance for credit losses on HTM debt securities at beginning of quarter | | | $ | 66 | | $ | 4 | | | $ | 6 | | | $ | 76 | |
| Adjustment to opening balance for CECL adoption | | | 0 | | 0 | | | 0 | | | 0 | |
| Gross credit losses | | | 0 | | 0 | | | 0 | | | 0 | |
| Gross recoveries | | | 0 | | 0 | | | 0 | | | 0 | |
| Net credit losses (NCLs) | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| Replenishment of NCLs | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| Net reserve builds (releases) | | | 30 | | 2 | | | (1) | | | 31 | |
| Net specific reserve builds (releases) | | | 0 | | 0 | | | 0 | | | 0 | |
| Total provision for credit losses on HTM debt securities | | | $ | 30 | | $ | 2 | | | $ | (1) | | | $ | 31 | |
| Other, net | | | $ | 3 | | $ | 0 | | | $ | (3) | | | $ | 0 | |
| Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | | | 0 | | 0 | | | 0 | | | 0 | |
| Allowance for credit losses on HTM debt securities at end of quarter | | | $ | 99 | | $ | 6 | | | $ | 2 | | | $ | 107 | |
| | | | | | | | |
| | | | | | | | |
| | | Six Months Ended June 30, 2020 |
| In millions of dollars | | | State and municipal | Foreign government | | Asset-
backed | | Total HTM |
| Allowance for credit losses on HTM debt securities at beginning of year | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| Adjustment to opening balance for CECL adoption | | | 61 | | 4 | | | 5 | | | 70 | |
| Gross credit losses | | | 0 | | 0 | | | 0 | | | 0 | |
| Gross recoveries | | | 0 | | 0 | | | 0 | | | 0 | |
| Net credit losses (NCLs) | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| Replenishment of NCLs | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| Net reserve builds | | | 35 | | 2 | | | 0 | | | 37 | |
| Net specific reserve builds (releases) | | | 0 | | 0 | | | 0 | | | 0 | |
| Total provision for credit losses on HTM debt securities | | | $ | 35 | | $ | 2 | | | $ | 0 | | | $ | 37 | |
| Other, net | | | $ | 3 | | $ | 0 | | | $ | (3) | | | $ | 0 | |
| Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | | | 0 | | 0 | | | 0 | | | 0 | |
| Allowance for credit losses on HTM debt securities at end of quarter | | | $ | 99 | | $ | 6 | | | $ | 2 | | | $ | 107 | |
Allowance for Credit Losses on Other Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2021 | | | |
| In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total | | |
| Allowance for credit losses on other assets at beginning of quarter | $ | 0 | | $ | 28 | | $ | 5 | | $ | 0 | | $ | 30 | | $ | 63 | | | |
| | | | | | | | |
| Gross credit losses | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | | |
| Gross recoveries | 0 | | 0 | 0 | | 0 | | 0 | | 0 | | | |
| Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | |
| Replenishment of NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | |
| Net reserve builds (releases) | 0�� | | (4) | | 3 | | 0 | | (2) | | (3) | | | |
| Total provision for credit losses | $ | 0 | | $ | (4) | | $ | 3 | | $ | 0 | | $ | (2) | | $ | (3) | | | |
| Other, net | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | |
| Allowance for credit losses on other assets at end of quarter | $ | 0 | | $ | 24 | | $ | 8 | | $ | 0 | | $ | 28 | | $ | 60 | | | |
| | | | | | | | |
| Six Months Ended June 30, 2021 | | | |
| In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total | | |
| Allowance for credit losses on other assets at beginning of year | $ | 0 | | $ | 20 | | $ | 10 | | $ | 0 | | $ | 25 | | $ | 55 | | | |
| | | | | | | | |
| Gross credit losses | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | | |
| Gross recoveries | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | | |
| Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | |
| Replenishment of NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | |
| Net reserve builds (releases) | 0 | | 5 | | (2) | | 0 | | 3 | | 6 | | | |
| Total provision for credit losses | $ | 0 | | $ | 5 | | $ | (2) | | $ | 0 | | $ | 3 | | $ | 6 | | | |
| Other, net | $ | 0 | | $ | (1) | | $ | 0 | | $ | 0 | | $ | 0 | | $ | (1) | | | |
| Allowance for credit losses on other assets at end of quarter | $ | 0 | | $ | 24 | | $ | 8 | | $ | 0 | | $ | 28 | | $ | 60 | | | |
| | | | | | | | |
|
| | | | | | | | | | | | | | | | | | |
| | Three Months Ended |
| | September 30, 2017 | September 30, 2016 |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Allowance for loan losses at beginning of period | $ | 2,510 |
| $ | 9,515 |
| $ | 12,025 |
| $ | 2,872 |
| $ | 9,432 |
| $ | 12,304 |
|
| Charge-offs | (49 | ) | (2,071 | ) | (2,120 | ) | (63 | ) | (1,885 | ) | (1,948 | ) |
| Recoveries | 6 |
| 337 |
| 343 |
| 23 |
| 400 |
| 423 |
|
| Replenishment of net charge-offs | 43 |
| 1,734 |
| 1,777 |
| 40 |
| 1,485 |
| 1,525 |
|
| Net reserve builds (releases) | (60 | ) | 479 |
| 419 |
| (110 | ) | 368 |
| 258 |
|
| Net specific reserve builds (releases) | 21 |
| (71 | ) | (50 | ) | (1 | ) | (36 | ) | (37 | ) |
| Other | 3 |
| (31 | ) | (28 | ) | 5 |
| (91 | ) | (86 | ) |
| Ending balance | $ | 2,474 |
| $ | 9,892 |
| $ | 12,366 |
| $ | 2,766 |
| $ | 9,673 |
| $ | 12,439 |
|
|
| | | | | | | | | | | | | | | | | | |
| | Nine Months Ended |
| | September 30, 2017 | September 30, 2016 |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Allowance for loan losses at beginning of period | $ | 2,702 |
| $ | 9,358 |
| $ | 12,060 |
| $ | 2,791 |
| $ | 9,835 |
| $ | 12,626 |
|
| Charge-offs | (248 | ) | (6,146 | ) | (6,394 | ) | (445 | ) | (5,694 | ) | (6,139 | ) |
| Recoveries | 91 |
| 1,107 |
| 1,198 |
| 52 |
| 1,222 |
| 1,274 |
|
| Replenishment of net charge-offs | 157 |
| 5,039 |
| 5,196 |
| 393 |
| 4,472 |
| 4,865 |
|
| Net reserve builds (releases) | (230 | ) | 696 |
| 466 |
| (122 | ) | 332 |
| 210 |
|
| Net specific reserve builds (releases) | (18 | ) | (157 | ) | (175 | ) | 89 |
| (142 | ) | (53 | ) |
| Other | 20 |
| (5 | ) | 15 |
| 8 |
| (352 | ) | (344 | ) |
| Ending balance | $ | 2,474 |
| $ | 9,892 |
| $ | 12,366 |
| $ | 2,766 |
| $ | 9,673 |
| $ | 12,439 |
|
| | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2020 |
| In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total |
| Allowance for credit losses at beginning of quarter | $ | 0 | | $ | 8 | | $ | 5 | | $ | 0 | | $ | 41 | | $ | 54 | |
| Adjustment to opening balance for CECL adoption | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Gross credit losses | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Gross recoveries | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| Replenishment of NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| Net reserve builds (releases) | 0 | | 10 | | 2 | | 0 | | 36 | | 48 | |
| Total provision for credit losses | $ | 0 | | $ | 10 | | $ | 2 | | $ | 0 | | $ | 36 | | $ | 48 | |
| Other, net | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| Allowance for credit losses on other assets at end of quarter | $ | 0 | | $ | 18 | | $ | 7 | | $ | 0 | | $ | 77 | | $ | 102 | |
| | | | | | | |
| Six Months Ended June 30, 2020 |
| In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total |
| Allowance for credit losses at beginning of year | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| Adjustment to opening balance for CECL adoption | 6 | | 14 | | 2 | | 1 | | 3 | | 26 | |
| Gross credit losses | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Gross recoveries | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| Replenishment of NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| Net reserve builds (releases) | (6) | | 4 | | 5 | | (1) | | 42 | | 44 | |
| Total provision for credit losses | $ | (6) | | $ | 4 | | $ | 5 | | $ | (1) | | $ | 42 | | $ | 44 | |
| Other, net | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 32 | | $ | 32 | |
| Allowance for credit losses on other assets at end of year | $ | 0 | | $ | 18 | | $ | 7 | | $ | 0 | | $ | 77 | | $ | 102 | |
(1) Primarily accounts receivable.
For ACL on AFS debt securities, see Note 12 to the Consolidated Financial Statements.
|
| | | | | | | | | | | | | | | | | | |
| | September 30, 2017 | December 31, 2016 |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Allowance for loan losses | |
| |
| |
| | | |
| Collectively evaluated in accordance with ASC 450 | $ | 2,098 |
| $ | 8,550 |
| $ | 10,648 |
| $ | 2,310 |
| $ | 7,744 |
| $ | 10,054 |
|
| Individually evaluated in accordance with ASC 310-10-35 | 376 |
| 1,337 |
| 1,713 |
| 392 |
| 1,608 |
| 2,000 |
|
| Purchased credit-impaired in accordance with ASC 310-30 | — |
| 5 |
| 5 |
| — |
| 6 |
| 6 |
|
| Total allowance for loan losses | $ | 2,474 |
| $ | 9,892 |
| $ | 12,366 |
| $ | 2,702 |
| $ | 9,358 |
| $ | 12,060 |
|
| Loans, net of unearned income | | | | | |
|
|
| Collectively evaluated in accordance with ASC 450 | $ | 321,239 |
| $ | 318,615 |
| $ | 639,854 |
| $ | 293,294 |
| $ | 317,048 |
| $ | 610,342 |
|
| Individually evaluated in accordance with ASC 310-10-35 | 2,087 |
| 6,757 |
| 8,844 |
| 2,555 |
| 7,799 |
| 10,354 |
|
| Purchased credit-impaired in accordance with ASC 310-30 | — |
| 177 |
| 177 |
| — |
| 187 |
| 187 |
|
| Held at fair value | 4,281 |
| 27 |
| 4,308 |
| 3,457 |
| 29 |
| 3,486 |
|
| Total loans, net of unearned income | $ | 327,607 |
| $ | 325,576 |
| $ | 653,183 |
| $ | 299,306 |
| $ | 325,063 |
| $ | 624,369 |
|
15. GOODWILL AND INTANGIBLE ASSETS
Goodwill
The changes in Goodwill were as follows:
| | | | | | | | | | | |
| In millions of dollars | Global Consumer Banking | Institutional Clients Group | Total |
| Balance at December 31, 2020 | $ | 12,142 | | $ | 10,020 | | $ | 22,162 | |
| Foreign currency translation | (68) | | (189) | | (257) | |
| Balance at March 31, 2021 | $ | 12,074 | | $ | 9,831 | | $ | 21,905 | |
| | | |
| | | |
| Foreign currency translation | 34 | | 121 | | 155 | |
| Balance at June 30, 2021 | $ | 12,108 | | $ | 9,952 | | $ | 22,060 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Citi tests goodwill annually for impairment as of July 1 (the annual test) and through interim assessments between annual tests if an event occurs or circumstances change that could more-likely-than-not reduce the fair value of a reporting unit below its carrying amount. The results of the 2020 annual impairment test resulted in fair values as a percentage of carrying values between 115% and 136%. During the three and six months ended June 30, 2021, Citi qualitatively assessed the current environment, including the continuing impact of the COVID-19 pandemic, management’s announced strategy to pursue exits of its consumer franchises in 13 markets within Asia GCB, observed changes in market multiples and actual business performance, together with the latest available management forecasts. Based on the above, Citi determined it was not more-likely-than-not that the fair value of any reporting unit was below its book value and there was no indication of impairment as of June 30, 2021.
While the inherent risk related to uncertainty is embedded in the key assumptions used in the valuations, the current environment continues to evolve. Deterioration in business performance or macroeconomic and market conditions, including potential adverse effects to economic forecasts due to the severity and duration of the pandemic, as well as the responses of governments, customers and clients, could negatively influence the assumptions used in the valuations, in particular, the discount and growth rates used in net income projections. If the future were to differ from management’s best estimate of key economic assumptions, and associated cash flows were to decrease, Citi could potentially experience material goodwill impairment charges in the future.
For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 16 to the Consolidated Financial Statements in Citi’s 20162020 Annual Report on Form 10-K. Refer to Note 3 for a description of Citi’s Business Segments.
Goodwill
The changes in Goodwill were as follows:
|
| | | |
| In millions of dollars | |
| Balance, December 31, 2016 | $ | 21,659 |
|
| Foreign exchange translation and other | $ | 634 |
|
Impairment of goodwill (1) | (28 | ) |
| Balance at March 31, 2017 | $ | 22,265 |
|
| Foreign exchange translation and other | $ | 156 |
|
| Impairment of goodwill | — |
|
Divestitures (2) | (72 | ) |
| Balance at June 30, 2017 | $ | 22,349 |
|
Foreign exchange translation and other
| $ | (4 | ) |
| Balance at September 30, 2017 | $ | 22,345 |
|
| |
(1) | Full impairment of the allocated goodwill related to the transferred mortgage servicing business upon transfer from North America GCB to Citi Holdings—REL effective January 1, 2017.
|
| |
(2) | Goodwill allocated to the sale of the Fixed Income Analytics and Index businesses classified as held-for-sale during the second quarter of 2017. The sale was completed during the third quarter of 2017. See Note 2 to the Consolidated Financial Statements. |
For additional information on transfer of goodwill and results of interim testing performed during the first half of 2017, see Note 15 in Citi’s Second Quarter of 2017 Form 10-Q.
The Company performed its annual goodwill impairment test as of July 1, 2017. The fair values of the Company’s reporting units exceeded their carrying values and did not indicate a risk of impairment, except for Citi Holdings—Consumer Latin America reporting unit.
Citi Holdings—Consumer Latin America reporting unit only marginally exceeded its carrying value. 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 September 30, 2017 was 103%. There were no other triggering events identified during the third quarter of 2017.
The following table shows reporting units with goodwill balances as of September 30, 2017 and the fair value as a percentage of allocated book value as of the 2017 annual goodwill impairment test:
|
| | | | | |
| In millions of dollars | | |
| Reporting unit | Goodwill | Fair value as a % of allocated book value |
| North America Global Consumer Banking | $ | 6,732 |
| 157 | % |
Asia Global Consumer Banking | 4,893 |
| 143 |
|
| Latin America Global Consumer Banking | 1,174 |
| 191 |
|
ICG—Banking | 2,986 |
| 268 |
|
ICG—Markets and Securities Services | 6,544 |
| 132 |
|
Citi Holdings—Consumer Latin America(1) | 16 |
| 103 |
|
| Total as of September 30, 2017 | $ | 22,345 |
|
|
|
| |
(1) | All Citi Holdings reporting units are presented in the Corporate/Other segment beginning in the first quarter of 2017.
|
Intangible Assets
The components of intangible assets were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | June 30, 2021 | December 31, 2020 |
| In millions of dollars | Gross
carrying
amount | Accumulated
amortization | Net
carrying
amount | Gross
carrying
amount | Accumulated
amortization | Net
carrying
amount |
| Purchased credit card relationships | $ | 5,615 | | $ | 4,283 | | $ | 1,332 | | $ | 5,648 | | $ | 4,229 | | $ | 1,419 | |
Credit card contract-related intangibles(1) | 3,924 | | 1,323 | | 2,601 | | 3,929 | | 1,276 | | 2,653 | |
| Core deposit intangibles | 44 | | 44 | | 0 | | 45 | | 44 | | 1 | |
| Other customer relationships | 434 | | 306 | | 128 | | 455 | | 314 | | 141 | |
| Present value of future profits | 32 | | 30 | | 2 | | 32 | | 30 | | 2 | |
| Indefinite-lived intangible assets | 189 | | — | | 189 | | 190 | | — | | 190 | |
| Other | 76 | | 60 | | 16 | | 72 | | 67 | | 5 | |
| Intangible assets (excluding MSRs) | $ | 10,314 | | $ | 6,046 | | $ | 4,268 | | $ | 10,371 | | $ | 5,960 | | $ | 4,411 | |
Mortgage servicing rights (MSRs)(2) | 419 | | — | | 419 | | 336 | | — | | 336 | |
| Total intangible assets | $ | 10,733 | | $ | 6,046 | | $ | 4,687 | | $ | 10,707 | | $ | 5,960 | | $ | 4,747 | |
|
| | | | | | | | | | | | | | | | | | |
| | September 30, 2017 | December 31, 2016 |
| In millions of dollars | Gross carrying amount | Accumulated amortization | Net carrying amount | Gross carrying amount | Accumulated amortization | Net carrying amount |
| Purchased credit card relationships | $ | 5,377 |
| $ | 3,798 |
| $ | 1,579 |
| $ | 8,215 |
| $ | 6,549 |
| $ | 1,666 |
|
Credit card contract related intangibles(1) | 5,045 |
| 2,357 |
| 2,688 |
| 5,149 |
| 2,177 |
| 2,972 |
|
| Core deposit intangibles | 670 |
| 656 |
| 14 |
| 801 |
| 771 |
| 30 |
|
| Other customer relationships | 462 |
| 269 |
| 193 |
| 474 |
| 272 |
| 202 |
|
| Present value of future profits | 35 |
| 31 |
| 4 |
| 31 |
| 27 |
| 4 |
|
| Indefinite-lived intangible assets | 232 |
| — |
| 232 |
| 210 |
| — |
| 210 |
|
| Other | 113 |
| 91 |
| 22 |
| 504 |
| 474 |
| 30 |
|
| Intangible assets (excluding MSRs) | $ | 11,934 |
| $ | 7,202 |
| $ | 4,732 |
| $ | 15,384 |
| $ | 10,270 |
| $ | 5,114 |
|
Mortgage servicing rights (MSRs)(2) | 553 |
| — |
| 553 |
| 1,564 |
| — |
| 1,564 |
|
| Total intangible assets | $ | 12,487 |
| $ | 7,202 |
| $ | 5,285 |
| $ | 16,948 |
| $ | 10,270 |
| $ | 6,678 |
|
(1)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represented 97% and 96% of the aggregate net carrying amount as of June 30, 2021 and December 31, 2020, respectively.(2)For additional information on Citi’s MSRs, see Note 18 to the Consolidated Financial Statements.
The changes in intangible assets were as follows:
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net carrying amount at December 31, 2020 | Acquisitions/renewals/
divestitures | Amortization | Impairments | FX translation and other | Net carrying amount at June 30, 2021 |
Purchased credit card relationships(1) | $ | 1,419 | | $ | 0 | | $ | (86) | | $ | 0 | | $ | (1) | | $ | 1,332 | |
Credit card contract-related intangibles(2) | 2,653 | | 19 | | (70) | | (1) | | 0 | | 2,601 | |
| Core deposit intangibles | 1 | | 0 | | (1) | | 0 | | 0 | | 0 | |
| Other customer relationships | 141 | | 7 | | (12) | | 0 | | (8) | | 128 | |
| Present value of future profits | 2 | | 0 | | 0 | | 0 | | 0 | | 2 | |
| Indefinite-lived intangible assets | 190 | | 0 | | 0 | | 0 | | (1) | | 189 | |
| Other | 5 | | 23 | | (13) | | 0 | | 1 | | 16 | |
| Intangible assets (excluding MSRs) | $ | 4,411 | | $ | 49 | | $ | (182) | | $ | (1) | | $ | (9) | | $ | 4,268 | |
Mortgage servicing rights (MSRs)(3) | 336 | | | | | | 419 | |
| Total intangible assets | $ | 4,747 | | | | | | $ | 4,687 | |
(1)Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract-related intangibles, and include credit card accounts primarily in the Costco, Macy’s and Sears portfolios.
(2)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represented 97% and 96% of the aggregate net carrying amount at June 30, 2021 and December 31, 2020, respectively.
(3)For additional information on Citi’s MSRs, including the rollforward for the three and six months ended June 30, 2021, see Note 18 to the Consolidated Financial Statements.
|
| | | | | | | | | | | | | | | |
| | Net carrying
amount at | | | | Net carrying amount at |
| In millions of dollars | December 31,
2016 | Acquisitions/ divestitures | Amortization | FX translation and other | September 30,
2017 |
| Purchased credit card relationships | $ | 1,666 |
| $ | 20 |
| $ | (109 | ) | $ | 2 |
| $ | 1,579 |
|
Credit card contract related intangibles(1) | 2,972 |
| 9 |
| (295 | ) | 2 |
| 2,688 |
|
| Core deposit intangibles | 30 |
| — |
| (18 | ) | 2 |
| 14 |
|
| Other customer relationships | 202 |
| — |
| (17 | ) | 8 |
| 193 |
|
| Present value of future profits | 4 |
| — |
| — |
| — |
| 4 |
|
| Indefinite-lived intangible assets | 210 |
| — |
| — |
| 22 |
| 232 |
|
| Other | 30 |
| (14 | ) | (11 | ) | 17 |
| 22 |
|
| Intangible assets (excluding MSRs) | $ | 5,114 |
| $ | 15 |
| $ | (450 | ) | $ | 53 |
| $ | 4,732 |
|
Mortgage servicing rights (MSRs)(2) | 1,564 |
| | | | 553 |
|
| Total intangible assets | $ | 6,678 |
| | | | $ | 5,285 |
|
| |
(1) | Primarily reflects contract-related intangibles associated with the American Airlines, Sears, The Home Depot, Costco and AT&T credit card program agreements, which represented 97% of the aggregate net carrying amount at September 30, 2017 and December 31, 2016. |
| |
(2) | For additional information on Citi’s MSRs, including the rollforward for the nine months ended September 30, 2017, 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 20162020 Annual Report on Form 10-K.
Short-Term Borrowings
| | | | | | | | | |
| In millions of dollars | June 30,
2021 | December 31,
2020 |
| Commercial paper | | | |
Bank(1) | $ | 8,974 | | $ | 10,022 | | |
Broker-dealer and other(2) | 9,692 | | 7,988 | | |
| Total commercial paper | $ | 18,666 | | $ | 18,010 | | |
Other borrowings(3) | 12,796 | | 11,504 | | |
| Total | $ | 31,462 | | $ | 29,514 | | |
(1)Represents Citibank entities as well as other bank entities.
(2)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.
(3)Includes borrowings from Federal Home Loan Banks and other market participants. At June 30, 2021 and December 31, 2020, collateralized short-term advances from the Federal Home Loan Banks were $2.0 billion and $4.0 billion, respectively.
|
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31,
2016 |
| Commercial paper | $ | 10,033 |
| $ | 9,989 |
|
Other borrowings(1) | 28,116 |
| 20,712 |
|
| Total | $ | 38,149 |
| $ | 30,701 |
|
| |
(1) | Includes borrowings from Federal Home Loan Banks and other market participants. At September 30, 2017 and December 31, 2016, collateralized short-term advances from the Federal Home Loan Banks were $16.6 billion and $12.0 billion, respectively. |
Long-Term Debt
| | | | | | | | |
| In millions of dollars | June 30,
2021 | December 31, 2020 |
Citigroup Inc.(1) | $ | 174,366 | | $ | 170,563 | |
Bank(2) | 28,661 | | 44,742 | |
Broker-dealer and other(3) | 61,548 | | 56,381 | |
| Total | $ | 264,575 | | $ | 271,686 | |
|
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31, 2016 |
Citigroup Inc.(1) | $ | 151,914 |
| $ | 147,333 |
|
Bank(2) | 62,078 |
| 49,454 |
|
Broker-dealer and other(3) | 18,681 |
| 9,391 |
|
| Total | $ | 232,673 |
| $ | 206,178 |
|
| |
(1) | Represents the parent holding company. |
| |
(2) | Represents Citibank entities as well as other bank entities. At September 30, 2017 and December 31, 2016, collateralized long-term advances from the Federal Home Loan Banks were $19.8 billion and $21.6 billion, respectively. |
| |
(3) | Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company. |
(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At June 30, 2021 and December 31, 2020, collateralized long-term advances from the Federal Home Loan Banks were $9.5 billion and $10.9 billion, respectively.
(3)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company. Certain Citigroup consolidated hedging activities are also included in this line.
Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $1.7 billion at both SeptemberJune 30, 20172021 and December 31, 2016.2020.
The following table summarizes Citi’s outstanding trust preferred securities at SeptemberJune 30, 2017:2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Junior subordinated debentures owned by trust |
| Trust | Issuance
date | Securities
issued | Liquidation value(1) | Coupon rate(2) | Common
shares
issued
to parent | Amount | Maturity | Redeemable
by issuer
beginning |
In millions of dollars, except securities and share amounts | | | | | | |
| Citigroup Capital III | Dec. 1996 | 194,053 | | $ | 194 | | 7.625 | % | 6,003 | | $ | 200 | | Dec. 1, 2036 | Not redeemable |
| Citigroup Capital XIII | Sept. 2010 | 89,840,000 | | 2,246 | | 3 mo. LIBOR + 637 bps | 1,000 | | 2,246 | | Oct. 30, 2040 | Oct. 30, 2015 |
| Citigroup Capital XVIII | Jun. 2007 | 99,901 | | 138 | | 3 mo. sterling LIBOR + 88.75 bps | 50 | | 138 | | Jun. 28, 2067 | Jun. 28, 2017 |
| Total obligated | | | $ | 2,578 | | | | $ | 2,584 | | | |
|
| | | | | | | | | | | | | | | |
| | | | | | | Junior subordinated debentures owned by trust |
| Trust | Issuance date | Securities issued | Liquidation value(1) | Coupon rate(2) | Common shares issued to parent | Amount | Maturity | Redeemable by issuer beginning |
In millions of dollars, except share amounts |
|
|
|
|
|
|
|
|
|
| Citigroup Capital III | Dec. 1996 | 194,053 |
| $ | 194 |
| 7.625 | % | 6,003 |
| $ | 200 |
| Dec. 1, 2036 | Not redeemable |
| Citigroup Capital XIII | Sept. 2010 | 89,840,000 |
| 2,246 |
| 3 mo LIBOR + 637 bps |
| 1,000 |
| 2,246 |
| Oct. 30, 2040 | Oct. 30, 2015 |
| Citigroup Capital XVIII | June 2007 | 99,901 |
| 134 |
| 3 mo LIBOR + 88.75 bps |
| 50 |
| 134 |
| June 28, 2067 | June 28, 2017 |
| Total obligated | | |
| $ | 2,574 |
| | | $ | 2,580 |
| | |
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. |
(1)Represents the notional value received by outside investors from the trusts at the time of issuance. This differs from Citi’s balance sheet carrying value due primarily to unamortized discount and issuance costs.
(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:
Three and Six Months Ended SeptemberJune 30, 20172021
| | | | | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net
unrealized
gains (losses)
on debt securities | Debt valuation adjustment (DVA)(1) | Cash flow hedges(2) | Benefit plans(3) | Foreign
currency
translation
adjustment (CTA), net of hedges(4) | Excluded component of fair value hedges | Accumulated
other
comprehensive income (loss) |
| Three Months Ended June 30, 2021 | | | | | | | |
| Balance, March 31, 2021 | $ | 1,535 | | $ | (1,461) | | $ | 1,037 | | $ | (6,150) | | $ | (29,915) | | $ | (57) | | $ | (35,011) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Other comprehensive income before
reclassifications | (379) | | (72) | | 28 | | 36 | | 523 | | (11) | | 125 | |
Increase (decrease) due to amounts reclassified from AOCI | (95) | | 10 | | (201) | | 51 | | 0 | | 1 | | (234) | |
Change, net of taxes | $ | (474) | | $ | (62) | | $ | (173) | | $ | 87 | | $ | 523 | | $ | (10) | | $ | (109) | |
| Balance at June 30, 2021 | $ | 1,061 | | $ | (1,523) | | $ | 864 | | $ | (6,063) | | $ | (29,392) | | $ | (67) | | $ | (35,120) | |
| Six Months Ended June 30, 2021 | | | | | | | |
| Balance, December 31, 2020 | $ | 3,320 | | $ | (1,419) | | $ | 1,593 | | $ | (6,864) | | $ | (28,641) | | $ | (47) | | $ | (32,058) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Other comprehensive income before
reclassifications | (1,898) | | (156) | | (316) | | 689 | | (751) | | (21) | | (2,453) | |
Increase (decrease) due to amounts reclassified from AOCI | (361) | | 52 | | (413) | | 112 | | 0 | | 1 | | (609) | |
| Change, net of taxes | $ | (2,259) | | $ | (104) | | $ | (729) | | $ | 801 | | $ | (751) | | $ | (20) | | $ | (3,062) | |
| Balance at June 30, 2021 | $ | 1,061 | | $ | (1,523) | | $ | 864 | | $ | (6,063) | | $ | (29,392) | | $ | (67) | | $ | (35,120) | |
Footnotes to the table above appear on the following page.
|
| | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net
unrealized
gains (losses)
on investment securities | Debt valuation adjustment (DVA) | Cash flow hedges(1) | Benefit plans(2) | Foreign
currency
translation
adjustment (CTA), net of hedges(3) | Accumulated
other
comprehensive income (loss) |
| Balance, June 30, 2017 | $ | (102 | ) | $ | (496 | ) | $ | (445 | ) | $ | (5,311 | ) | $ | (23,545 | ) | $ | (29,899 | ) |
| Other comprehensive income before reclassifications | 60 |
| (125 | ) | (27 | ) | (71 | ) | 218 |
| 55 |
|
| Increase (decrease) due to amounts reclassified from AOCI | (126 | ) | 2 |
| 35 |
| 42 |
| — |
| (47 | ) |
| Change, net of taxes | $ | (66 | ) | $ | (123 | ) | $ | 8 |
| $ | (29 | ) | $ | 218 |
| $ | 8 |
|
| Balance at September 30, 2017 | $ | (168 | ) | $ | (619 | ) | $ | (437 | ) | $ | (5,340 | ) | $ | (23,327 | ) | $ | (29,891 | ) |
NineThree and Six Months Ended SeptemberJune 30, 20172020
| | | | | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net
unrealized
gains (losses)
on investment securities | Debt valuation adjustment (DVA)(1) | Cash flow hedges(2) | Benefit plans(3) | Foreign
currency
translation
adjustment (CTA), net of hedges(4) | Excluded component of fair value hedges | Accumulated
other
comprehensive income (loss) |
| Three Months Ended June 30, 2020 | | | | | | | |
| Balance, March 31, 2020 | $ | 2,863 | | $ | 2,196 | | $ | 2,020 | | $ | (7,095) | | $ | (32,500) | | $ | (5) | | $ | (32,521) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Other comprehensive income before
reclassifications | 1,391 | | (2,204) | | 226 | | (132) | | 561 | | 13 | | (145) | |
Increase (decrease) due to amounts reclassified from AOCI | (554) | | (28) | | (152) | | 55 | | 0 | | 0 | | (679) | |
Change, net of taxes | $ | 837 | | $ | (2,232) | | $ | 74 | | $ | (77) | | $ | 561 | | $ | 13 | | $ | (824) | |
| Balance at June 30, 2020 | $ | 3,700 | | $ | (36) | | $ | 2,094 | | $ | (7,172) | | $ | (31,939) | | $ | 8 | | $ | (33,345) | |
| Six Months Ended June 30, 2020 | | | | | | | |
| Balance, December 31, 2019 | $ | (265) | | $ | (944) | | $ | 123 | | $ | (6,809) | | $ | (28,391) | | $ | (32) | | $ | (36,318) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Other comprehensive income before
reclassifications | 4,795 | | 913 | | 2,124 | | (476) | | (3,548) | | 40 | | 3,848 | |
Increase (decrease) due to amounts reclassified from AOCI | (830) | | (5) | | (153) | | 113 | | 0 | | 0 | | (875) | |
| Change, net of taxes | $ | 3,965 | | $ | 908 | | $ | 1,971 | | $ | (363) | | $ | (3,548) | | $ | 40 | | $ | 2,973 | |
| Balance at June 30, 2020 | $ | 3,700 | | $ | (36) | | $ | 2,094 | | $ | (7,172) | | $ | (31,939) | | $ | 8 | | $ | (33,345) | |
(1)Reflects the after-tax valuation of Citi’s fair value options liabilities. See “Market Valuation Adjustments” in Note 20 to the Consolidated Financial Statements.
(2)Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.
(3)Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.
(4)Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Polish zloty, New Taiwan dollar, Euro and Indian rupee against the U.S. dollar and changes in related tax effects and hedges for the three months ended June 30, 2021. Primarily reflects the movements in (by order of impact) the South Korean won, Japanese yen, Euro, Indian rupee, Mexican peso and New Taiwan dollar against the U.S. dollar and changes in related tax effects and hedges for the six months ended June 30, 2021. Primarily reflects the movements in (by order of impact) the Australian dollar, South Korean won, Indonesian rupiah and Euro against the U.S. dollar and changes in related tax effects and hedges for the three months ended June 30, 2020. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Indian rupee and Chilean peso against the U.S. dollar and changes in related tax effects and hedges for the six months ended June 30, 2020. Amounts recorded in the CTA component of AOCI remain in AOCI until the sale or substantial liquidation of the foreign entity, at which point such amounts related to the foreign entity are reclassified into earnings.
|
| | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net
unrealized
gains (losses)
on investment securities | Debt valuation adjustment (DVA) | Cash flow hedges(1) | Benefit plans(2) | Foreign
currency
translation
adjustment (CTA), net of hedges(3) | Accumulated
other
comprehensive income (loss) |
| Balance, December 31, 2016 | $ | (799 | ) | $ | (352 | ) | $ | (560 | ) | $ | (5,164 | ) | $ | (25,506 | ) | $ | (32,381 | ) |
Adjustment to opening balance, net of taxes(4) | 504 |
| — |
| — |
| — |
| — |
| 504 |
|
| Adjusted balance, beginning of period | $ | (295 | ) | $ | (352 | ) | $ | (560 | ) | $ | (5,164 | ) | $ | (25,506 | ) | $ | (31,877 | ) |
| Other comprehensive income before reclassifications | 495 |
| (259 | ) | 59 |
| (293 | ) | 2,326 |
| 2,328 |
|
| Increase (decrease) due to amounts reclassified from AOCI | (368 | ) | (8 | ) | 64 |
| 117 |
| (147 | ) | (342 | ) |
Change, net of taxes | $ | 127 |
| $ | (267 | ) | $ | 123 |
| $ | (176 | ) | $ | 2,179 |
| $ | 1,986 |
|
| Balance at September 30, 2017 | $ | (168 | ) | $ | (619 | ) | $ | (437 | ) | $ | (5,340 | ) | $ | (23,327 | ) | $ | (29,891 | ) |
Three Months Ended September 30, 2016 |
| | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net
unrealized
gains (losses)
on investment securities | Debt valuation adjustment (DVA) | Cash flow hedges(1) | Benefit plans(2) | Foreign
currency
translation
adjustment (CTA), net of hedges(3) | Accumulated
other
comprehensive income (loss) |
| Balance, June 30, 2016 | $ | 2,054 |
| $ | 190 |
| $ | (149 | ) | $ | (5,608 | ) | $ | (22,602 | ) | $ | (26,115 | ) |
| Other comprehensive income before reclassifications | (270 | ) | (197 | ) | (136 | ) | (28 | ) | (375 | ) | (1,006 | ) |
| Increase (decrease) due to amounts reclassified from AOCI | (162 | ) | (3 | ) | 53 |
| 40 |
| — |
| (72 | ) |
Change, net of taxes | $ | (432 | ) | $ | (200 | ) | $ | (83 | ) | $ | 12 |
| $ | (375 | ) | $ | (1,078 | ) |
| Balance, September 30, 2016 | $ | 1,622 |
| $ | (10 | ) | $ | (232 | ) | $ | (5,596 | ) | $ | (22,977 | ) | $ | (27,193 | ) |
Nine Months Ended September 30, 2016 |
| | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net
unrealized
gains (losses)
on investment securities | Debt valuation adjustment (DVA) | Cash flow hedges(1) | Benefit plans(2) | Foreign
currency
translation
adjustment (CTA), net of hedges(3) | Accumulated
other
comprehensive income (loss) |
| Balance, December 31, 2015 | $ | (907 | ) | $ | — |
| $ | (617 | ) | $ | (5,116 | ) | $ | (22,704 | ) | $ | (29,344 | ) |
Adjustment to opening balance, net of taxes (5) | — |
| (15 | ) | — |
| — |
| — |
| (15 | ) |
| Adjusted balance, beginning of period | $ | (907 | ) | $ | (15 | ) | $ | (617 | ) | $ | (5,116 | ) | $ | (22,704 | ) | $ | (29,359 | ) |
| Other comprehensive income before reclassifications | 2,781 |
| 11 |
| 270 |
| (594 | ) | (273 | ) | 2,195 |
|
| Increase (decrease) due to amounts reclassified from AOCI | (252 | ) | (6 | ) | 115 |
| 114 |
| — |
| (29 | ) |
| Change, net of taxes | $ | 2,529 |
| $ | 5 |
| $ | 385 |
| $ | (480 | ) | $ | (273 | ) | $ | 2,166 |
|
| Balance, September 30, 2016 | $ | 1,622 |
| $ | (10 | ) | $ | (232 | ) | $ | (5,596 | ) | $ | (22,977 | ) | $ | (27,193 | ) |
| |
(1) | Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities. |
| |
(2) | Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s Significant pension and postretirement plans, annual actuarial valuations of all other plans, and amortization of amounts previously recognized in other comprehensive income. |
| |
(3) | Primarily reflects the movements in (by order of impact) the Euro, British pound, Chilean peso, and Brazilian real against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended September 30, 2017. Primarily reflects the movements in (by order of impact) the Mexican peso, Euro, Korean won, and Polish zloty against the U.S. dollar, and changes in related tax effects and hedges for the quarter nine months ended September 30, 2017. Primarily reflects the movements in (by order of impact) the Mexican peso, Korean won, Japanese yen, and Australian dollar for the quarter ended September 30, 2016. Primarily reflects the movements in (by order of impact) the Mexican peso, Japanese yen, Brazilian real and Korean won against the U.S. dollar, and changes in related tax effects and hedges for the quarter and nine months ended September 30, 2016. |
| |
(4) | In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of cumulative fair value hedge adjustments on callable state and municipal debt securities. For additional information, see Note 1 to the Consolidated Financial Statements.
|
| |
(5) | Beginning in the first quarter of 2016, changes in DVA are reflected as a component of AOCI, pursuant to the early adoption of only the provisions of ASU 2016-01 relating to the presentation of DVA on fair value option liabilities. See Note 1 to the Consolidated Financial Statements for further information regarding this change. |
The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Three and Six Months Ended SeptemberJune 30, 20172021 | | In millions of dollars | | In millions of dollars | Pretax | Tax effect | After-tax |
| Three Months Ended June 30, 2021 | | Three Months Ended June 30, 2021 | | |
| Balance, March 31, 2021 | | Balance, March 31, 2021 | $ | (40,631) | | $ | 5,620 | | $ | (35,011) | |
| | | In millions of dollars | Pretax | Tax effect | After-tax | |
| Balance, June 30, 2017 | $ | (39,106 | ) | $ | 9,207 |
| $ | (29,899 | ) | |
| Change in net unrealized gains (losses) on investment securities | (107 | ) | 41 |
| (66 | ) | |
| Change in net unrealized gains (losses) on debt securities | | Change in net unrealized gains (losses) on debt securities | (638) | | 164 | | (474) | |
| Debt valuation adjustment (DVA) | (195 | ) | 72 |
| (123 | ) | Debt valuation adjustment (DVA) | (110) | | 48 | | (62) | |
| Cash flow hedges | 12 |
| (4 | ) | 8 |
| Cash flow hedges | (224) | | 51 | | (173) | |
| Benefit plans | (45 | ) | 16 |
| (29 | ) | Benefit plans | 84 | | 3 | | 87 | |
| Foreign currency translation adjustment | 285 |
| (67 | ) | 218 |
| Foreign currency translation adjustment | 445 | | 78 | | 523 | |
| Excluded component of fair value hedges | | Excluded component of fair value hedges | (13) | | 3 | | (10) | |
| Change | $ | (50 | ) | $ | 58 |
| $ | 8 |
| Change | $ | (456) | | $ | 347 | | $ | (109) | |
| Balance, September 30, 2017 | $ | (39,156 | ) | $ | 9,265 |
| $ | (29,891 | ) | |
| Balance at June 30, 2021 | | Balance at June 30, 2021 | $ | (41,087) | | $ | 5,967 | | $ | (35,120) | |
| Six Months Ended June 30, 2021 | | Six Months Ended June 30, 2021 | | |
| Balance, December 31, 2020 | | Balance, December 31, 2020 | $ | (36,992) | | $ | 4,934 | | $ | (32,058) | |
| | Change in net unrealized gains (losses) on debt securities | | Change in net unrealized gains (losses) on debt securities | (3,065) | | 806 | | (2,259) | |
| Debt valuation adjustment (DVA) | | Debt valuation adjustment (DVA) | (148) | | 44 | | (104) | |
| Cash flow hedges | | Cash flow hedges | (953) | | 224 | | (729) | |
| Benefit plans | | Benefit plans | 991 | | (190) | | 801 | |
| Foreign currency translation adjustment | | Foreign currency translation adjustment | (894) | | 143 | | (751) | |
| Excluded component of fair value hedges | | Excluded component of fair value hedges | (26) | | 6 | | (20) | |
| Change | | Change | $ | (4,095) | | $ | 1,033 | | $ | (3,062) | |
| Balance at June 30, 2021 | | Balance at June 30, 2021 | $ | (41,087) | | $ | 5,967 | | $ | (35,120) | |
NineThree and Six Months Ended SeptemberJune 30, 20172020
| | | | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-tax |
| Three Months Ended June 30, 2020 | | | |
| Balance, March 31, 2020 | $ | (36,419) | | $ | 3,898 | | $ | (32,521) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | 1,178 | | (341) | | 837 | |
| Debt valuation adjustment (DVA) | (2,935) | | 703 | | (2,232) | |
| Cash flow hedges | 90 | | (16) | | 74 | |
| Benefit plans | (93) | | 16 | | (77) | |
| Foreign currency translation adjustment | 485 | | 76 | | 561 | |
| Excluded component of fair value hedges | 16 | | (3) | | 13 | |
| Change | $ | (1,259) | | $ | 435 | | $ | (824) | |
| Balance, June 30, 2020 | $ | (37,678) | | $ | 4,333 | | $ | (33,345) | |
| Six Months Ended June 30, 2020 | | | |
| Balance, December 31, 2019 | $ | (42,772) | | $ | 6,454 | | $ | (36,318) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | 5,298 | | (1,333) | | 3,965 | |
| Debt valuation adjustment (DVA) | 1,253 | | (345) | | 908 | |
| Cash flow hedges | 2,574 | | (603) | | 1,971 | |
| Benefit plans | (510) | | 147 | | (363) | |
| Foreign currency translation adjustment | (3,570) | | 22 | | (3,548) | |
| Excluded component of fair value hedges | 49 | | (9) | | 40 | |
| Change | $ | 5,094 | | $ | (2,121) | | $ | 2,973 | |
| Balance, June 30, 2020 | $ | (37,678) | | $ | 4,333 | | $ | (33,345) | |
|
| | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-tax |
| Balance, December 31, 2016 | $ | (42,035 | ) | $ | 9,654 |
| $ | (32,381 | ) |
Adjustment to opening balance (1) | 803 |
| (299 | ) | 504 |
|
| Adjusted balance, beginning of period | $ | (41,232 | ) | $ | 9,355 |
| $ | (31,877 | ) |
| Change in net unrealized gains (losses) on investment securities | 194 |
| (67 | ) | 127 |
|
| Debt valuation adjustment (DVA) | (422 | ) | 155 |
| (267 | ) |
| Cash flow hedges | 198 |
| (75 | ) | 123 |
|
| Benefit plans | (266 | ) | 90 |
| (176 | ) |
| Foreign currency translation adjustment | 2,372 |
| (193 | ) | 2,179 |
|
| Change | $ | 2,076 |
| $ | (90 | ) | $ | 1,986 |
|
| Balance, September 30, 2017 | $ | (39,156 | ) | $ | 9,265 |
| $ | (29,891 | ) |
| |
(1) | In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of cumulative fair value hedge adjustments on callable state and municipal debt securities. For additional information, see Note 1 to the Consolidated Financial Statements.
|
Three Months Ended September 30, 2016 |
| | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-tax |
| Balance, June 30, 2016 | $ | (33,714 | ) | $ | 7,599 |
| $ | (26,115 | ) |
| Change in net unrealized gains (losses) on investment securities | (686 | ) | 254 |
| (432 | ) |
| Debt valuation adjustment (DVA) | (319 | ) | 119 |
| (200 | ) |
| Cash flow hedges | (131 | ) | 48 |
| (83 | ) |
| Benefit plans | 11 |
| 1 |
| 12 |
|
| Foreign currency translation adjustment | (313 | ) | (62 | ) | (375 | ) |
| Change | $ | (1,438 | ) | $ | 360 |
| $ | (1,078 | ) |
| Balance, September 30, 2016 | $ | (35,152 | ) | $ | 7,959 |
| $ | (27,193 | ) |
Nine Months Ended September 30, 2016 |
| | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-tax |
| Balance, December 31, 2015 | $ | (38,440 | ) | $ | 9,096 |
| $ | (29,344 | ) |
Adjustment to opening balance (1) | (26 | ) | 11 |
| (15 | ) |
| Adjusted balance, beginning of period | $ | (38,466 | ) | $ | 9,107 |
| $ | (29,359 | ) |
| Change in net unrealized gains (losses) on investment securities | 4,020 |
| (1,491 | ) | 2,529 |
|
| Debt valuation adjustment (DVA) | 8 |
| (3 | ) | 5 |
|
| Cash flow hedges | 607 |
| (222 | ) | 385 |
|
| Benefit plans | (747 | ) | 267 |
| (480 | ) |
| Foreign currency translation adjustment | (574 | ) | 301 |
| (273 | ) |
| Change | $ | 3,314 |
| $ | (1,148 | ) | $ | 2,166 |
|
| Balance, September 30, 2016 | $ | (35,152 | ) | $ | 7,959 |
| $ | (27,193 | ) |
| |
(1) | Represents the ($15) million adjustment related to the initial adoption of ASU 2016-01. See Note 1 to the Consolidated Financial Statements. |
The Company recognized pretax gain (loss)gains (losses) 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 Income | | Increase (decrease) in AOCI due to
amounts reclassified to
Consolidated Statement of Income |
| | Three Months Ended September 30, | Nine Months Ended September 30, | | Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2017 | 2017 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Realized (gains) losses on sales of investments | $ | (213 | ) | $ | (626 | ) | Realized (gains) losses on sales of investments | $ | (137) | | $ | (748) | | $ | (538) | | $ | (1,180) | |
| OTTI gross impairment losses | 15 |
| 47 |
| |
| Gross impairment losses | | Gross impairment losses | 9 | | 19 | | 78 | | 71 | |
| Subtotal, pretax | $ | (198 | ) | $ | (579 | ) | Subtotal, pretax | $ | (128) | | $ | (729) | | $ | (460) | | $ | (1,109) | |
| Tax effect | 72 |
| 211 |
| Tax effect | 33 | | 175 | | 99 | | 279 | |
Net realized (gains) losses on investment securities, after-tax(1) | $ | (126 | ) | $ | (368 | ) | |
| Realized DVA (gains) losses on fair value option liabilities | $ | 3 |
| $ | (13 | ) | |
| Subtotal, pretax | $ | 3 |
| $ | (13 | ) | |
Net realized (gains) losses on investments after-tax(1) | | Net realized (gains) losses on investments after-tax(1) | $ | (95) | | $ | (554) | | $ | (361) | | $ | (830) | |
| Realized DVA (gains) losses on fair value option liabilities, pretax | | Realized DVA (gains) losses on fair value option liabilities, pretax | $ | 13 | | $ | (37) | | $ | 69 | | $ | (6) | |
| Tax effect | (1 | ) | 5 |
| Tax effect | (3) | | 9 | | (17) | | 1 | |
| Net realized debt valuation adjustment, after-tax | $ | 2 |
| $ | (8 | ) | Net realized debt valuation adjustment, after-tax | $ | 10 | | $ | (28) | | $ | 52 | | $ | (5) | |
| Interest rate contracts | $ | 48 |
| $ | 94 |
| Interest rate contracts | $ | (266) | | $ | (200) | | $ | (544) | | $ | (203) | |
| Foreign exchange contracts | 7 |
| 8 |
| Foreign exchange contracts | 1 | | 1 | | 2 | | 2 | |
| Subtotal, pretax | $ | 55 |
| $ | 102 |
| Subtotal, pretax | $ | (265) | | $ | (199) | | $ | (542) | | $ | (201) | |
| Tax effect | (20 | ) | (38 | ) | Tax effect | 64 | | 47 | | 129 | | 48 | |
Amortization of cash flow hedges, after-tax(2) | $ | 35 |
| $ | 64 |
| Amortization of cash flow hedges, after-tax(2) | $ | (201) | | $ | (152) | | $ | (413) | | $ | (153) | |
| Amortization of unrecognized | | | |
| Amortization of unrecognized: | | Amortization of unrecognized: | | | |
| Prior service cost (benefit) | $ | (10 | ) | $ | (32 | ) | Prior service cost (benefit) | $ | (6) | | $ | (3) | | $ | (12) | | $ | (6) | |
| Net actuarial loss | 70 |
| 203 |
| Net actuarial loss | 71 | | 75 | | 158 | | 154 | |
Curtailment/settlement impact(3) | 5 |
| 12 |
| Curtailment/settlement impact(3) | 4 | | 3 | | 4 | | 3 | |
| Subtotal, pretax | $ | 65 |
| $ | 183 |
| Subtotal, pretax | $ | 69 | | $ | 75 | | $ | 150 | | $ | 151 | |
| Tax effect | (23 | ) | (66 | ) | Tax effect | (18) | | (20) | | (38) | | (38) | |
Amortization of benefit plans, after-tax(3) | $ | 42 |
| $ | 117 |
| Amortization of benefit plans, after-tax(3) | $ | 51 | | $ | 55 | | $ | 112 | | $ | 113 | |
| Foreign currency translation adjustment | $ | — |
| $ | (232 | ) | |
| Excluded component of fair value hedges, pretax | | Excluded component of fair value hedges, pretax | $ | 1 | | 0 | $ | 1 | | 0 |
| Tax effect | — |
| 85 |
| Tax effect | 0 | | 0 | | 0 | | 0 | |
| Foreign currency translation adjustment | $ | — |
| $ | (147 | ) | |
| Total amounts reclassified out of AOCI, pretax | $ | (75 | ) | $ | (539 | ) | |
| Excluded component of fair value hedges, after-tax | | Excluded component of fair value hedges, after-tax | $ | 1 | | $ | 0 | | $ | 1 | | $ | 0 | |
| Foreign currency translation adjustment, pretax | | Foreign currency translation adjustment, pretax | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| Tax effect | | Tax effect | 0 | | 0 | | 0 | | 0 | |
| Foreign currency translation adjustment, after-tax | | Foreign currency translation adjustment, after-tax | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
Total amounts reclassified out of AOCI, pretax | | Total amounts reclassified out of AOCI, pretax | $ | (310) | | $ | (890) | | $ | (782) | | $ | (1,165) | |
| Total tax effect | 28 |
| 197 |
| Total tax effect | 76 | | 211 | | 173 | | 290 | |
| Total amounts reclassified out of AOCI, after-tax | $ | (47 | ) | $ | (342 | ) | |
Total amounts reclassified out of AOCI, after-tax | | Total amounts reclassified out of AOCI, after-tax | $ | (234) | | $ | (679) | | $ | (609) | | $ | (875) | |
| |
(1) |
(1)The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on the Consolidated Statement of Income. See Note 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. |
The Company recognized pretax gain (loss) related to amounts in AOCI reclassified toRealized gains (losses) on sales of investments, net and Gross impairment losses in the Consolidated Statement of Income as follows: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.
|
| | | | | | |
| | Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2016 | 2016 |
| Realized (gains) losses on sales of investments | $ | (287 | ) | $ | (673 | ) |
| OTTI gross impairment losses | 32 |
| 283 |
|
| Subtotal, pretax | $ | (255 | ) | $ | (390 | ) |
| Tax effect | 93 |
| 138 |
|
Net realized (gains) losses on investment securities, after-tax(1) | $ | (162 | ) | $ | (252 | ) |
| Realized DVA (gains) losses on fair value option liabilities | $ | (5 | ) | $ | (10 | ) |
| Subtotal, pretax | $ | (5 | ) | $ | (10 | ) |
| Tax effect | $ | 2 |
| $ | 4 |
|
| Net realized debt valuation adjustment, after-tax | $ | (3 | ) | $ | (6 | ) |
| Interest rate contracts | $ | 39 |
| $ | 96 |
|
| Foreign exchange contracts | 46 |
| 89 |
|
| Subtotal, pretax | $ | 85 |
| $ | 185 |
|
| Tax effect | (32 | ) | (70 | ) |
Amortization of cash flow hedges, after-tax(2) | $ | 53 |
| $ | 115 |
|
| Amortization of unrecognized | | |
| Prior service cost (benefit) | $ | (10 | ) | $ | (31 | ) |
| Net actuarial loss | 73 |
| 208 |
|
Curtailment/settlement impact(3) | 8 |
| 9 |
|
| Subtotal, pretax | $ | 71 |
| $ | 186 |
|
| Tax effect | (31 | ) | (72 | ) |
Amortization of benefit plans, after-tax(3) | $ | 40 |
| $ | 114 |
|
| Foreign currency translation adjustment | $ | — |
| $ | — |
|
| Total amounts reclassified out of AOCI, pretax | $ | (104 | ) | $ | (29 | ) |
| Total tax effect | 32 |
| — |
|
| Total amounts reclassified out of AOCI, after-tax | $ | (72 | ) | $ | (29 | ) |
| |
(1) | The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on the Consolidated Statement of Income. See Note 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 20162020 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 September 30, 2017 | | As of June 30, 2021 |
| | | 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 | In millions of dollars | Total
involvement
with SPE
assets | Consolidated
VIE/SPE assets | Significant unconsolidated VIE assets(3) | Debt
investments | Equity
investments | Funding
commitments | Guarantees
and
derivatives | Total |
| Credit card securitizations | $ | 49,739 |
| $ | 49,739 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| Credit card securitizations | $ | 30,948 | | $ | 30,948 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
Mortgage securitizations(4) | | | Mortgage securitizations(4) | | | | | | | | |
U.S. agency-sponsored(5) | 116,257 |
| — |
| 116,257 |
| 2,528 |
| — |
| — |
| 63 |
| 2,591 |
| |
| U.S. agency-sponsored | | U.S. agency-sponsored | 114,664 | | 0 | | 114,664 | | 1,533 | | 0 | | 0 | | 50 | | 1,583 | |
| Non-agency-sponsored | 21,123 |
| 932 |
| 20,191 |
| 280 |
| 36 |
| — |
| 1 |
| 317 |
| Non-agency-sponsored | 57,157 | | 773 | | 56,384 | | 2,893 | | 0 | | 5 | | 0 | | 2,898 | |
| Citi-administered asset-backed commercial paper conduits (ABCP) | 19,298 |
| 19,298 |
| — |
| — |
| — |
| — |
| — |
| — |
| |
| Citi-administered asset-backed commercial paper conduits | | Citi-administered asset-backed commercial paper conduits | 14,566 | | 14,566 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Collateralized loan obligations (CLOs) | 19,182 |
| — |
| 19,182 |
| 5,690 |
| — |
| — |
| 9 |
| 5,699 |
| Collateralized loan obligations (CLOs) | 11,430 | | 0 | | 11,430 | | 3,529 | | 0 | | 0 | | 0 | | 3,529 | |
| Asset-based financing | 51,393 |
| 672 |
| 50,721 |
| 15,412 |
| 599 |
| 5,016 |
| — |
| 21,027 |
| |
Asset-based financing(5) | | Asset-based financing(5) | 256,827 | | 8,657 | | 248,170 | | 29,196 | | 1,195 | | 10,255 | | 0 | | 40,646 | |
| Municipal securities tender option bond trusts (TOBs) | 6,777 |
| 2,178 |
| 4,599 |
| 13 |
| — |
| 3,063 |
| — |
| 3,076 |
| Municipal securities tender option bond trusts (TOBs) | 3,302 | | 915 | | 2,387 | | 0 | | 0 | | 1,523 | | 0 | | 1,523 | |
| Municipal investments | 17,830 |
| 11 |
| 17,819 |
| 2,627 |
| 3,855 |
| 2,345 |
| — |
| 8,827 |
| Municipal investments | 21,914 | | 0 | | 21,914 | | 2,662 | | 3,797 | | 3,539 | | 0 | | 9,998 | |
| Client intermediation | 2,664 |
| 1,131 |
| 1,533 |
| 782 |
| — |
| 491 |
| 6 |
| 1,279 |
| Client intermediation | 911 | | 470 | | 441 | | 75 | | 0 | | 0 | | 56 | | 131 | |
| Investment funds | 2,058 |
| 762 |
| 1,296 |
| 28 |
| 8 |
| 15 |
| 2 |
| 53 |
| Investment funds | 483 | | 158 | | 325 | | 2 | | 0 | | 13 | | 1 | | 16 | |
| Other | 943 |
| 33 |
| 910 |
| 133 |
| 9 |
| 38 |
| 47 |
| 227 |
| Other | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Total | $ | 307,264 |
| $ | 74,756 |
| $ | 232,508 |
| $ | 27,493 |
| $ | 4,507 |
| $ | 10,968 |
| $ | 128 |
| $ | 43,096 |
| Total | $ | 512,202 | | $ | 56,487 | | $ | 455,715 | | $ | 39,890 | | $ | 4,992 | | $ | 15,335 | | $ | 107 | | $ | 60,324 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| As of December 31, 2020 |
| | | | Maximum exposure to loss in significant unconsolidated VIEs(1) |
| | | | Funded exposures(2) | Unfunded exposures | |
| In millions of dollars | Total
involvement
with SPE
assets | Consolidated
VIE/SPE assets | Significant unconsolidated VIE assets(3) | Debt
investments | Equity
investments | Funding
commitments | Guarantees
and
derivatives | Total |
| Credit card securitizations | $ | 32,420 | | $ | 32,420 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
Mortgage securitizations(4) | | | | | | | | |
| U.S. agency-sponsored | 123,999 | | 0 | | 123,999 | | 1,948 | | 0 | | 0 | | 61 | | 2,009 | |
| Non-agency-sponsored | 46,132 | | 939 | | 45,193 | | 2,550 | | 0 | | 2 | | 1 | | 2,553 | |
| Citi-administered asset-backed commercial paper conduits | 16,730 | | 16,730 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Collateralized loan obligations (CLOs) | 18,332 | | 0 | | 18,332 | | 4,273 | | 0 | | 0 | | 0 | | 4,273 | |
Asset-based financing(5) | 222,274 | | 8,069 | | 214,205 | | 25,153 | | 1,587 | | 9,114 | | 0 | | 35,854 | |
| Municipal securities tender option bond trusts (TOBs) | 3,349 | | 835 | | 2,514 | | 0 | | 0 | | 1,611 | | 0 | | 1,611 | |
| Municipal investments | 20,335 | | 0 | | 20,335 | | 2,569 | | 4,056 | | 3,041 | | 0 | | 9,666 | |
| Client intermediation | 1,352 | | 910 | | 442 | | 88 | | 0 | | 0 | | 56 | | 144 | |
| Investment funds | 488 | | 153 | | 335 | | 0 | | 0 | | 15 | | 0 | | 15 | |
| Other | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Total | $ | 485,411 | | $ | 60,056 | | $ | 425,355 | | $ | 36,581 | | $ | 5,643 | | $ | 13,783 | | $ | 118 | | $ | 56,125 | |
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | As of December 31, 2016 |
| | | | | Maximum exposure to loss in significant unconsolidated VIEs(1) |
| | | | | Funded exposures(2) | Unfunded exposures | |
| In millions of dollars | Total involvement with SPE assets | Consolidated VIE / SPE assets | Significant unconsolidated VIE assets(3) | Debt investments | Equity investments | Funding commitments | Guarantees and derivatives | Total |
| Credit card securitizations | $ | 50,171 |
| $ | 50,171 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
|
Mortgage securitizations(4) | | | | | | | | |
| U.S. agency-sponsored | 214,458 |
| — |
| 214,458 |
| 3,852 |
| — |
| — |
| 78 |
| 3,930 |
|
| Non-agency-sponsored | 15,965 |
| 1,092 |
| 14,873 |
| 312 |
| 35 |
| — |
| 1 |
| 348 |
|
| Citi-administered asset-backed commercial paper conduits (ABCP) | 19,693 |
| 19,693 |
| — |
| — |
| — |
| — |
| — |
| — |
|
| Collateralized loan obligations (CLOs) | 18,886 |
| — |
| 18,886 |
| 5,128 |
| — |
| — |
| 62 |
| 5,190 |
|
| Asset-based financing | 53,168 |
| 733 |
| 52,435 |
| 16,553 |
| 475 |
| 4,915 |
| — |
| 21,943 |
|
| Municipal securities tender option bond trusts (TOBs) | 7,070 |
| 2,843 |
| 4,227 |
| 40 |
| — |
| 2,842 |
| — |
| 2,882 |
|
| Municipal investments | 17,679 |
| 14 |
| 17,665 |
| 2,441 |
| 3,578 |
| 2,580 |
| — |
| 8,599 |
|
| Client intermediation | 515 |
| 371 |
| 144 |
| 49 |
| — |
| — |
| 3 |
| 52 |
|
| Investment funds | 2,788 |
| 767 |
| 2,021 |
| 32 |
| 120 |
| 27 |
| 3 |
| 182 |
|
| Other | 1,429 |
| 607 |
| 822 |
| 116 |
| 11 |
| 58 |
| 43 |
| 228 |
|
| Total | $ | 401,822 |
| $ | 76,291 |
| $ | 325,531 |
| $ | 28,523 |
| $ | 4,219 |
| $ | 10,422 |
| $ | 190 |
| $ | 43,354 |
|
(1) The definition of maximum exposure to loss is included in the text that follows this table.
| |
(2) | Included on Citigroup’s September 30, 2017 and December 31, 2016(2) Included on Citigroup’s June 30, 2021 and December 31, 2020 Consolidated Balance Sheet. |
| |
(3) | A significant unconsolidated VIE is an entity where the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss. |
| |
(4) | Citigroup mortgage securitizations also include agency and non-agency (private-label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion. |
| |
(5) | 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. |
(3) A significant unconsolidated VIE is an entity in 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) Included within this line are loans to third-party sponsored private equity funds, which represent $109 billion and $78 billion in unconsolidated VIE assets and $507 million and $425 million in maximum exposure to loss as of June 30, 2021 and December 31, 2020, respectively.
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 third-party sponsored private equity funds to which the Company provides secured credit facilities. The Company has no decision-making power and does not consolidate these funds, some of which may meet the definition of a VIE. The Company’s maximum exposure to loss is generally limited to a loan or lending-related commitment. As of June 30, 2021 and December 31, 2020, the Company’s maximum exposure to loss related to these deals was $59.6 billion and $57.0 billion, respectively (for more information on these positions, see Note 13 to the Consolidated Financial Statements and Note 26 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report on Form 10-K);
•certain VIEs structured by third parties wherein which the Company holds securities in inventory, as these investments are made on arm’s-length terms;
•certain positions in mortgage-backedmortgage- and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, wherein which the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 12 and 20 to the Consolidated Financial Statements);
•certain representations and warranties exposures in legacy ICG-sponsored mortgage-backedmortgage- and asset-backed securitizations wherein which the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 wherein which the Company has no variable interest or continuing involvement as servicer was approximately $9$5.0 billion and $10$5.2 billion at SeptemberJune 30, 20172021 and December 31, 2016,2020, respectively;
•certain representations and warranties exposures in Citigroup residential mortgage securitizations, wherein which the original mortgage loan balances are no longer outstanding; and
•VIEs such as trust preferred securities trusts used in connection with the Company’s funding activities. The Company does not have a variable interest in these trusts.
The asset balances for consolidated VIEs represent the carrying amounts of the assets consolidated by the Company. The carrying amount may represent the amortized cost or the current fair value of the assets depending on the legal formclassification of the asset (e.g., loan or security) and the Company’s standardassociated accounting policies for the asset type and line of business.model ascribed to that classification.
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:
| | | | September 30, 2017 | December 31, 2016 | | June 30, 2021 | December 31, 2020 |
| In millions of dollars | Liquidity facilities | Loan/equity commitments | Liquidity facilities | Loan/equity commitments | In millions of dollars | Liquidity
facilities | Loan/equity
commitments | Liquidity
facilities | Loan/equity
commitments |
| Non-agency-sponsored mortgage securitizations | | Non-agency-sponsored mortgage securitizations | $ | 0 | | $ | 5 | | $ | 0 | | $ | 2 | |
| Asset-based financing | $ | — |
| $ | 5,016 |
| $ | 5 |
| $ | 4,910 |
| Asset-based financing | 0 | | 10,255 | | 0 | | 9,114 | |
| Municipal securities tender option bond trusts (TOBs) | 3,063 |
| — |
| 2,842 |
| — |
| Municipal securities tender option bond trusts (TOBs) | 1,523 | | 0 | | 1,611 | | 0 | |
| Municipal investments | — |
| 2,345 |
| — |
| 2,580 |
| Municipal investments | 0 | | 3,539 | | 0 | | 3,041 | |
| Client intermediation | — |
| 491 |
| — |
| — |
| |
| Investment funds | — |
| 15 |
| — |
| 27 |
| Investment funds | 0 | | 13 | | 0 | | 15 | |
| Other | — |
| 38 |
| — |
| 58 |
| Other | 0 | | 0 | | 0 | | 0 | |
| Total funding commitments | $ | 3,063 |
| $ | 7,905 |
| $ | 2,847 |
| $ | 7,575 |
| Total funding commitments | $ | 1,523 | | $ | 13,812 | | $ | 1,611 | | $ | 12,172 | |
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 dollars | September 30, 2017 | December 31, 2016 | In billions of dollars | June 30, 2021 | December 31, 2020 |
| Cash | $ | 0.1 |
| $ | 0.1 |
| Cash | $ | 0 | | $ | 0 | |
| Trading account assets | 8.6 |
| 8.0 |
| Trading account assets | 1.4 | | 2.0 | |
| Investments | 4.7 |
| 4.4 |
| Investments | 9.6 | | 10.6 | |
| Total loans, net of allowance | 18.2 |
| 18.8 |
| Total loans, net of allowance | 33.2 | | 29.3 | |
| Other | 0.5 |
| 1.5 |
| Other | 0.7 | | 0.3 | |
| Total assets | $ | 32.1 |
| $ | 32.8 |
| Total assets | $ | 44.9 | | $ | 42.2 | |
Credit Card Securitizations
Substantially all of the Company’s credit card securitization activity is through two2 trusts—Citibank Credit Card Master Trust (Master Trust) and Citibank Omni Master Trust (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 dollars | September 30, 2017 | December 31, 2016 | In billions of dollars | June 30, 2021 | December 31, 2020 |
Ownership interests in principal amount of trust credit card receivables | | Sold to investors via trust-issued securities | $ | 28.0 |
| $ | 22.7 |
| Sold to investors via trust-issued securities | $ | 11.0 | | $ | 15.7 | |
| Retained by Citigroup as trust-issued securities | 9.2 |
| 7.4 |
| Retained by Citigroup as trust-issued securities | 7.2 | | 7.9 | |
| Retained by Citigroup via non-certificated interests | 12.5 |
| 20.6 |
| Retained by Citigroup via non-certificated interests | 14.6 | | 11.1 | |
| Total | $ | 49.7 |
| $ | 50.7 |
| Total | $ | 32.8 | | $ | 34.7 | |
The following tables summarize selected cash flow information related to Citigroup’s credit card securitizations:
| | | | | | | | |
| Three Months Ended June 30, |
| In billions of dollars | 2021 | 2020 |
| Proceeds from new securitizations | $ | 0 | | $ | 0 | |
| Pay down of maturing notes | (1.1) | | (3.2) | |
| | |
| | | | Three Months Ended September 30, | | Six Months Ended
June 30, |
| In billions of dollars | 2017 | 2016 | In billions of dollars | 2021 | 2020 |
| Proceeds from new securitizations | $ | 2.2 |
| $ | — |
| Proceeds from new securitizations | $ | 0 | | $ | 0 | |
| Pay down of maturing notes | (1.8 | ) | (2.8 | ) | Pay down of maturing notes | (4.7) | | (3.2) | |
|
|
| | | | | | |
| | Nine Months Ended September 30, |
| In billions of dollars | 2017 | 2016 |
| Proceeds from new securitizations | $ | 9.8 |
| $ | — |
|
| Pay down of maturing notes | (4.6 | ) | (6.3 | ) |
Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was 2.83.6 years as of SeptemberJune 30, 20172021 and 2.62.9 years as of December 31, 2016.
2020.
| | | | | | | | |
| In billions of dollars | Jun. 30, 2021 | Dec. 31, 2020 |
| Term notes issued to third parties | $ | 9.7 | | $ | 13.9 | |
| Term notes retained by Citigroup affiliates | 2.2 | | 2.7 | |
| Total Master Trust liabilities | $ | 11.9 | | $ | 16.6 | |
|
| | | | | | |
| In billions of dollars | Sept. 30, 2017 | Dec. 31, 2016 |
| Term notes issued to third parties | $ | 27.0 |
| $ | 21.7 |
|
| Term notes retained by Citigroup affiliates | 7.3 |
| 5.5 |
|
| Total Master Trust liabilities | $ | 34.3 |
| $ | 27.2 |
|
Omni Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Omni Trust was 1.11.8 years as of SeptemberJune 30, 20172021 and 1.91.1 years as of December 31, 2016.2020.
| | | In billions of dollars | Sept. 30, 2017 | Dec. 31, 2016 | In billions of dollars | Jun. 30, 2021 | Dec. 31, 2020 |
| Term notes issued to third parties | $ | 1.0 |
| $ | 1.0 |
| Term notes issued to third parties | $ | 1.3 | | $ | 1.8 | |
| Term notes retained by Citigroup affiliates | 1.9 |
| 1.9 |
| Term notes retained by Citigroup affiliates | 5.0 | | 5.2 | |
| Total Omni Trust liabilities | $ | 2.9 |
| $ | 2.9 |
| Total Omni Trust liabilities | $ | 6.3 | | $ | 7.0 | |
The following table summarizestables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:
| | | | | | | | | | | | | | |
| Three Months Ended June 30, |
| 2021 | 2020 |
| In billions of dollars | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages |
| Principal securitized | $ | 1.9 | | $ | 7.1 | | $ | 2.4 | | $ | 0.9 | |
| Proceeds from new securitizations | 1.9 | | 7.2 | | 2.6 | | 0.9 | |
| Purchases of previously transferred financial assets | 0 | | 0 | | 0 | | 0 | |
| | | | |
| |
| | |
| | | | |
| | | | |
| | | | |
| | | | |
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, |
| | 2017 | 2016 |
| In billions of dollars | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages(1) |
| Proceeds from new securitizations | $ | 11.7 |
| $ | 4.1 |
| $ | 11.7 |
| $ | 1.4 |
|
| Contractual servicing fees received | 0.1 |
| — |
| 0.1 |
| — |
|
| | | | | | | | | | | | | | |
| Six Months Ended June 30, |
| 2021 | 2020 |
| In billions of dollars | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages |
| Principal securitized | $ | 4.9 | | $ | 18.1 | | $ | 4.5 | | $ | 1.6 | |
| Proceeds from new securitizations | 5.1 | | 17.8 | | 4.7 | | 3.4 | |
| Purchases of previously transferred financial assets | 0.1 | | 0 | | 0.1 | | 0 | |
| | | | |
| |
| | |
| | | | |
| | | | |
| | | | |
| | | | |
|
| | | | | | | | | | | | |
| | Nine Months Ended September 30, |
| | 2017 | 2016 |
| In billions of dollars | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages(1) |
| Proceeds from new securitizations | $ | 25.9 |
| $ | 6.9 |
| $ | 32.5 |
| $ | 8.0 |
|
| Contractual servicing fees received | 0.2 |
| — |
| 0.3 |
| — |
|
Note: Excludes re-securitization transactions.
(1) The proceeds from new securitizations in 2016 include $0.5 billion related to personal loan securitizations.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $14$0.2 million and $61$1.3 million for the three and ninesix months ended SeptemberJune 30, 2017,2021, respectively. For the three and ninesix months ended SeptemberJune 30, 2017,2021, gains recognized on the securitization of non-agency sponsored mortgages were $29$135.6 million and $75$301.7 million, respectively.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $36$2 million and $81$4 million for the three and ninesix months ended SeptemberJune 30, 2016, respectively. For the three and nine months ended September 30, 2016, gains2020. Gains recognized on the securitization of non-agency sponsored mortgages were $37$27 million and $65 million for the three and six months ended June 30, 2020, respectively.
| | | | | | | | | | | | | | | | | | | | |
| June 30, 2021 | December 31, 2020 |
| | Non-agency-sponsored mortgages(1) | | Non-agency-sponsored mortgages(1) |
| In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests(2) | Subordinated
interests | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
Carrying value of retained interests(3) | $ | 388 | | $ | 2,393 | | $ | 479 | | $ | 315 | | $ | 1,210 | | $ | 145 | |
(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) Senior interests in non-agency-sponsored mortgages include $93 million related to personal loan securitizations at June 30, 2021.
(3) Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 20 to the Consolidated Financial Statements for more information about fair value measurements.
Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:
| | | | | | | | | | | |
| Three Months Ended June 30, 2021 |
| |
| | Non-agency-sponsored mortgages(1) |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 9.0 | % | 1.8 | % | 2.8 | % |
| Weighted average constant prepayment rate | 4.2 | % | 0 | % | 10.0 | % |
Weighted average anticipated net credit losses(2) | NM | 0 | % | 1.0 | % |
| Weighted average life | 7.8 years | 6.7 years | 5.7 years |
|
| | | | | | |
| Three Months Ended September 30, 2017 |
| | Non-agency-sponsored mortgages(1)
|
| U.S. agency-
sponsored mortgages
| Senior
interests
| Subordinated
interests
|
Discount rate | 2.0% to 13.2% |
| — |
| — |
|
Weighted average discount rate | 8.5 | % | — |
| — |
|
Constant prepayment rate | 6.6% to 31.6% |
| — |
| — |
|
Weighted average constant prepayment rate | 10.6 | % | — |
| — |
|
Anticipated net credit losses(2)
| NM |
| — |
| — |
|
Weighted average anticipated net credit losses | NM |
| — |
| — |
|
Weighted average life | 2.5 to 10.5 years |
| — |
| — |
|
| | | | | | | | | | | |
| Three Months Ended June 30, 2020 |
| |
| | Non-agency-sponsored mortgages(1) |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 3.5 | % | 6.2 | % | 3.0 | % |
| Weighted average constant prepayment rate | 28.7 | % | 0 | % | 25.0 | % |
Weighted average anticipated net credit losses(2) | NM | 0 | % | 0.5 | % |
| Weighted average life | 4.1 years | 9.8 years | 2.3 years |
| | | | | | | | | | | |
| Six Months Ended June 30, 2021 |
| |
| | Non-agency-sponsored mortgages(1) |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 8.9 | % | 0.4 | % | 2.9 | % |
| Weighted average constant prepayment rate | 5.0 | % | 0 | % | 10.3 | % |
Weighted average anticipated net credit losses(2) | NM | 0.4 | % | 1.1 | % |
| Weighted average life | 7.8 years | 3.4 years | 5.5 years |
| | | | | | | | | | | |
| Six Months Ended June 30, 2020 |
| |
| | Non-agency-sponsored mortgages(1) |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 6.0 | % | 1.8 | % | 3.0 | % |
| Weighted average constant prepayment rate | 27.1 | % | 0 | % | 25.0 | % |
Weighted average anticipated net credit losses(2) | NM | 1.6 | % | 0.5 | % |
| Weighted average life | 4.7 years | 4.8 years | 2.3 years |
(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
|
| | | | | |
| Three Months Ended September 30, 2016 |
| | Non-agency-sponsored mortgages(1)
|
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
Discount rate | 1.5% to 13.0% |
| — |
| — |
Weighted average discount rate | 10.0 | % | — |
| — |
Constant prepayment rate | 7.7% to 30.9% |
| — |
| — |
Weighted average constant prepayment rate | 13.7 | % | — |
| — |
Anticipated net credit losses(2)
| NM |
| — |
| — |
Weighted average anticipated net credit losses | NM |
| — |
| — |
Weighted average life | 2.0 to 9.8 years |
| — |
| — |
|
| | | | | | |
| Nine Months Ended September 30, 2017 |
| | Non-agency-sponsored mortgages(1)
|
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
Discount rate | 2.0% to 19.9% |
| — |
| — |
|
Weighted average discount rate | 9.1 | % | — |
| — |
|
Constant prepayment rate | 3.8% to 31.6% |
| — |
| — |
|
Weighted average constant prepayment rate | 9.6 | % | — |
| — |
|
Anticipated net credit losses(2)
| NM |
| — |
| — |
|
Weighted average anticipated net credit losses | NM |
| — |
| — |
|
Weighted average life | 2.5 to 14.5 years |
| — |
| — |
|
|
| | | | | |
| Nine Months Ended September 30, 2016 |
| | Non-agency-sponsored mortgages(1)
|
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
Discount rate | 0.8% to 13.0% |
| — |
| — |
Weighted average discount rate | 9.1 | % | — |
| — |
Constant prepayment rate | 7.7% to 30.9% |
| — |
| — |
Weighted average constant prepayment rate | 12.8 | % | — |
| — |
Anticipated net credit losses(2)
| NM |
| — |
| — |
Weighted average anticipated net credit losses | NM |
| — |
| — |
Weighted average life | 0.5 to 17.5 years |
| — |
| — |
| |
(1) | Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization. |
| |
(2) | Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations. |
| |
NM | Anticipated 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 Key assumptions used toin measuring the fair value of retained interests in securitizations of mortgage receivables at period end were as follows:
| | | | | | | | | | | |
| June 30, 2021 |
| |
| | Non-agency-sponsored mortgages(1) |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 6.4 | % | 7.9 | % | 3.0 | % |
| Weighted average constant prepayment rate | 12.5 | % | 4.5 | % | 4.6 | % |
Weighted average anticipated net credit losses(2) | NM | 1.0 | % | 1.2 | % |
| Weighted average life | 5.5 years | 4.7 years | 18.2 years |
| | | | | | | | | | | |
| December 31, 2020 |
| |
| | Non-agency-sponsored mortgages(1) |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 5.9 | % | 7.2 | % | 4.3 | % |
| Weighted average constant prepayment rate | 22.7 | % | 5.3 | % | 4.7 | % |
Weighted average anticipated net credit losses(2) | NM | 1.2 | % | 1.4 | % |
| Weighted average life | 4.5 years | 5.3 years | 4.7 years |
(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
The sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions are set forthis presented in the tables
below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.
| | | | | | | | | | | |
| June 30, 2021 |
| | Non-agency-sponsored mortgages |
| In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Discount rate | | | |
| Adverse change of 10% | $ | (9) | | $ | 0 | | $ | (1) | |
| Adverse change of 20% | (18) | | 0 | | (2) | |
| Constant prepayment rate | | | |
| Adverse change of 10% | (20) | | 0 | | 0 | |
| Adverse change of 20% | (38) | | 0 | | 0 | |
| Anticipated net credit losses | | | |
| Adverse change of 10% | NM | 0 | | 0 | |
| Adverse change of 20% | NM | 0 | | 0 | |
|
| | | | | | |
| | September 30, 2017 |
| | | Non-agency-sponsored mortgages(1) |
| | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Discount rate | 0.0% to 82.4% |
| 0.0% to 5.1% |
| 4.8% to 33.9% |
|
| Weighted average discount rate | 7.9 | % | 1.0 | % | 9.7 | % |
| Constant prepayment rate | 7.4% to 31.6% |
| 8.9% to 13.9% |
| 0.5% to 13.1% |
|
| Weighted average constant prepayment rate | 12.3 | % | 12.9 | % | 7.0 | % |
Anticipated net credit losses(2) | NM |
| 0.3% to 50.2% |
| 35.1% to 52.1% |
|
| Weighted average anticipated net credit losses | NM |
| 12.2 | % | 43.2 | % |
| Weighted average life | 0.4 to 28.0 years |
| 5.2 to 15.1 years |
| 0.4 to 18.8 years |
|
| | | | | | | | | | | |
| December 31, 2020 |
| | Non-agency-sponsored mortgages |
| In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Discount rate | | | |
| Adverse change of 10% | $ | (8) | | $ | 0 | | $ | (1) | |
| Adverse change of 20% | (15) | | (1) | | (1) | |
| Constant prepayment rate | | | |
| Adverse change of 10% | (21) | | 0 | | 0 | |
| Adverse change of 20% | (40) | | 0 | | 0 | |
| Anticipated net credit losses | | | |
| Adverse change of 10% | NM | 0 | | 0 | |
| Adverse change of 20% | NM | 0 | | 0 | |
|
| | | | | | |
| | December 31, 2016 |
| | | Non-agency-sponsored mortgages(1) |
| | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Discount rate | 0.7% to 28.2% |
| 0.0% to 8.1% |
| 5.1% to 26.4% |
|
| Weighted average discount rate | 9.0 | % | 2.1 | % | 13.1 | % |
| Constant prepayment rate | 6.8% to 22.8% |
| 4.2% to 14.7% |
| 0.5% to 37.5% |
|
| Weighted average constant prepayment rate | 10.2 | % | 11.0 | % | 10.8 | % |
Anticipated net credit losses(2) | NM |
| 0.5% to 85.6% |
| 8.0% to 63.7% |
|
| Weighted average anticipated net credit losses | NM |
| 31.4 | % | 48.3 | % |
| Weighted average life | 0.2 to 28.8 years |
| 5.0 to 8.5 years |
| 1.2 to 12.1 years |
|
| |
(1) | Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization. |
| |
(2) | Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations. |
| |
NM | NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees. |
|
| | | | | | | | | |
| | September 30, 2017 |
| | | Non-agency-sponsored mortgages(1) |
| In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Carrying value of retained interests | $ | 1,529 |
| $ | 156 |
| $ | 189 |
|
| Discount rates | | | |
| Adverse change of 10% | $ | (45 | ) | $ | (3 | ) | $ | (4 | ) |
| Adverse change of 20% | (87 | ) | (6 | ) | (8 | ) |
| Constant prepayment rate | | | |
| Adverse change of 10% | (42 | ) | (1 | ) | (1 | ) |
| Adverse change of 20% | (87 | ) | (2 | ) | (3 | ) |
| Anticipated net credit losses | | | |
| Adverse change of 10% | NM |
| (4 | ) | (1 | ) |
| Adverse change of 20% | NM |
| (8 | ) | (1 | ) |
The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities: | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Liquidation losses |
| Securitized assets | 90 days past due | Three Months Ended June 30, | Six Months Ended June 30, |
| In billions of dollars, except liquidation losses in millions | Jun. 30, 2021 | Dec. 31, 2020 | Jun. 30, 2021 | Dec. 31, 2020 | 2021 | 2020 | 2021 | 2020 |
| Securitized assets | | | | | | | | |
Residential mortgages(1) | $ | 28.7 | | $ | 16.9 | | $ | 0.4 | | $ | 0.5 | | $ | 5 | | $ | 7 | | $ | 6.6 | | $ | 18 | |
| Commercial and other | 25.8 | | 23.9 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Total | $ | 54.5 | | $ | 40.8 | | $ | 0.4 | | $ | 0.5 | | $ | 5 | | $ | 7 | | $ | 6.6 | | $ | 18 | |
|
| | | | | | | | | |
| | December 31, 2016 |
| | | Non-agency-sponsored mortgages(1) |
| In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Carrying value of retained interests | $ | 2,258 |
| $ | 26 |
| $ | 161 |
|
| Discount rates | | | |
| Adverse change of 10% | $ | (71 | ) | $ | (7 | ) | $ | (8 | ) |
| Adverse change of 20% | (138 | ) | (14 | ) | (16 | ) |
| Constant prepayment rate | | | |
| Adverse change of 10% | (80 | ) | (2 | ) | (4 | ) |
| Adverse change of 20% | (160 | ) | (3 | ) | (8 | ) |
| Anticipated net credit losses | | | |
| Adverse change of 10% | NM |
| (7 | ) | (1 | ) |
| Adverse change of 20% | NM |
| (14 | ) | (2 | ) |
| |
(1) | Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization. |
| |
NM | Anticipated net credit losses are not meaningful due to U.S. agency guarantees. |
(1) Securitized assets include $0.2 billion of personal loan securitizations as of June 30, 2021.
Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $553$419 million and $1.3 billion$345 million at SeptemberJune 30, 20172021 and 2016,2020, respectively. The MSRs correspond to principal loan balances of $68$50 billion and $173$57 billion as of SeptemberJune 30, 20172021 and 2016,2020, respectively. The following table summarizes the changes in capitalized MSRs:
|
| | | | | | |
| | Three Months Ended September 30, |
| In millions of dollars | 2017 | 2016 |
| Balance, as of June 30 | $ | 560 |
| $ | 1,324 |
|
| Originations | 19 |
| 43 |
|
| Changes in fair value of MSRs due to changes in inputs and assumptions | (6 | ) | 13 |
|
Other changes(1) | (20 | ) | (78 | ) |
Sale of MSRs(2) | — |
| (32 | ) |
| Balance, as of September 30 | $ | 553 |
| $ | 1,270 |
|
| | | | Nine Months Ended September 30, | | Three Months Ended June 30, | Six Months Ended
June 30, |
| In millions of dollars | 2017 | 2016 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Balance, beginning of year | $ | 1,564 |
| $ | 1,781 |
| |
| Balance, beginning of period | | Balance, beginning of period | $ | 433 | | $ | 367 | | $ | 336 | | $ | 495 | |
| Originations | 75 |
| 111 |
| Originations | 25 | | 24 | | 68 | | 56 | |
| Changes in fair value of MSRs due to changes in inputs and assumptions | 50 |
| (349 | ) | Changes in fair value of MSRs due to changes in inputs and assumptions | (21) | | (26) | | 52 | | (169) | |
Other changes(1) | (90 | ) | (255 | ) | Other changes(1) | (18) | | (20) | | (37) | | (37) | |
Sale of MSRs(2) | (1,046 | ) | (18 | ) | |
| Balance, as of September 30 | $ | 553 |
| $ | 1,270 |
| |
| Sales of MSRs | | Sales of MSRs | 0 | | 0 | | 0 | | 0 | |
| Balance, as of June 30 | | Balance, as of June 30 | $ | 419 | | $ | 345 | | $ | 419 | | $ | 345 | |
| |
(1) | Represents changes due to customer payments and passage of time. |
| |
(2) | See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs. 2016 amount includes sales of credit challenged MSRs for which Citi paid the new servicer. |
(1) Represents changes due to customer payments and passage of time.
The fair value of the MSRs is primarily affected by changes in prepayments of mortgages that result from shifts in mortgage interest rates. Specifically, higher interest rates tend to lead to declining prepayments, which causes the fair value of the MSRs to increase. In managing this risk, Citigroup economically hedges a significant portion of the value of its
MSRs through the use of interest rate derivative contracts, forward purchase and sale commitments of mortgage-backed securities and purchased securities, all classified as Trading account assets.
The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:
| | | | Three Months Ended September 30, | Nine Months Ended September 30, | | Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Servicing fees | $ | 65 |
| $ | 117 |
| $ | 236 |
| $ | 371 |
| Servicing fees | $ | 37 | | $ | 34 | | $ | 68 | | $ | 73 | |
| Late fees | 2 |
| 3 |
| 8 |
| 11 |
| Late fees | 0 | | 1 | | 1 | | 3 |
| Ancillary fees | 3 |
| 4 |
| 11 |
| 13 |
| Ancillary fees | 0 | | 0 | | 0 | | 0 |
| Total MSR fees | $ | 70 |
| $ | 124 |
| $ | 255 |
| $ | 395 |
| Total MSR fees | $ | 37 | | $ | 35 | | $ | 69 | | $ | 76 | |
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)(private label) securities to re-securitization entities during the three and nine months ended SeptemberJune 30, 20172021 and 2016.2020. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of SeptemberJune 30, 2017, the fair value of Citi-retained2021 and December 31, 2020, Citi held 0 retained interests in private-labelprivate label re-securitization transactions structured by Citi totaled approximately $75 million (all related to re-securitization transactions executed prior to 2017), which has been recorded in Trading account assets. Of this amount, substantially all was related to subordinated beneficial interests. As of December 31, 2016, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $126 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 September 30, 2017 and December 31, 2016 was approximately $954 million and $1.3 billion, respectively.Citi.
The Company also re-securitizes U.S. government-agency guaranteedgovernment-agency-guaranteed mortgage-backed (agency) securities. During the three and ninesix months ended SeptemberJune 30, 2017,2021, Citi transferred agency securities with a fair value of approximately $9.9$11.4 billion and $20.0$24.5 billion, respectively, to re-securitization entities compared to approximately $7.1$12 billion and $21.3$19.4 billion for the three and ninesix months ended SeptemberJune 30, 2016.2020, respectively.
As of SeptemberJune 30, 2017,2021, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.0$1.2 billion (including $713$410 millionrelated to re-securitization transactions executed in 2021) compared to $1.6 billion as of December 31, 2020 (including $916 million related to re-securitization transactions executed in 2017) compared to $2.3 billion as of December 31, 2016 (including $741 million related to re-securitization transactions executed in 2016)2020), which is recorded in Trading account assets. The original fair valuevalues of agency re-securitization transactions in which Citi holds a retained interest as of SeptemberJune 30, 20172021 and December 31, 2016 was2020 were approximately $67.6$76 billion and $71.8$83.6 billion, respectively.
As of SeptemberJune 30, 20172021 and December 31, 2016,2020, the Company did not consolidate any private-labelprivate label or agency re-securitization entities.
Citi-Administered Asset-Backed Commercial Paper Conduits
At SeptemberJune 30, 20172021 and December 31, 2016,2020, the commercial paper conduits administered by Citi had approximately $19.3$14.6 billion and $19.7$16.7 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $14.3$20 billion and $12.8$17.1 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At SeptemberJune 30, 20172021 and December 31, 2016,2020, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 5352 and 5554 days, respectively.
The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. Each asset purchased by the conduit is structured with transaction-specific credit enhancement features provided by the third-party client seller, including over-collateralization, cash and excess spread collateral accounts, direct recourse or third-party guarantees. These credit enhancements are sized with the objective of approximating a credit rating of A or above, based on Citi’s internal risk ratings. In addition to the transaction-specific credit enhancements, the conduits, other than the government guaranteedgovernment-guaranteed loan conduit, have obtained a letterletters 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 $1.8$1.3 billion and $1.5 billion as of SeptemberJune 30, 20172021 and December 31, 2016.2020, respectively. The net result across multi-seller conduits administered by the Company is that, in the event that defaulted assets exceed the transaction-specific credit enhancements described above, any losses in each conduit are allocated first to the Company and then to the commercial paper investors.
At SeptemberJune 30, 20172021 and December 31, 2016,2020, the Company owned $9.3$5.6 billion and $9.7$6.6 billion, respectively, of the commercial paper issued by its administered conduits. The Company'sCompany’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 (CLOs)
There were no new securitizations during the three months ended June 30, 2021 and 2020. The following table summarizes selected cash flow informationretained interests related to Citigroup CLOs:
|
| | | | | | |
| | Three Months Ended September 30, |
| In billions of dollars | 2017 | 2016 |
| Proceeds from new securitizations | $ | 1.1 |
| $ | 1.8 |
|
| | | | | | | | |
| In millions of dollars | Jun. 30, 2021 | Dec. 31, 2020 |
| Carrying value of retained interests | $ | 1,574 | | $ | 1,611 | |
|
| | | | | | |
| | Nine Months Ended September 30, |
| In billions of dollars | 2017 | 2016 |
| Proceeds from new securitizations | $ | 2.5 |
| $ | 3.8 |
|
The key assumptions used to valueAll of Citi’s retained interests in CLOs,were held-to-maturity securities as of June 30, 2021 and the sensitivity of the fair value to adverse changes of 10% and 20% are set forth in the tables below:December 31, 2020.
|
| | |
| Sept. 30, 2017 | Dec. 31, 2016 |
Discount rate | 1.1% to 1.6% | 1.3% to 1.7% |
|
| | | | | | |
| In millions of dollars | Sept. 30, 2017 | Dec. 31, 2016 |
| Carrying value of retained interests | $ | 3,883 |
| $ | 4,261 |
|
| Discount rates | | |
| Adverse change of 10% | $ | (25 | ) | $ | (30 | ) |
| Adverse change of 20% | (51 | ) | (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.
| | | | | | | | |
| June 30, 2021 |
| In millions of dollars | Total
unconsolidated
VIE assets | Maximum
exposure to
unconsolidated VIEs |
| Type | | |
Commercial and other
real estate | $ | 33,341 | | $ | 7,073 | |
| Corporate loans | 15,963 | | 10,588 | |
| Other (including investment funds, airlines and shipping) | 198,866 | | 22,985 | |
| Total | $ | 248,170 | | $ | 40,646 | |
| | | | | | | | |
| December 31, 2020 |
| In millions of dollars | Total
unconsolidated
VIE assets | Maximum
exposure to
unconsolidated VIEs |
| Type | | |
Commercial and other
real estate | $ | 34,570 | | $ | 7,758 | |
| Corporate loans | 12,022 | | 7,654 | |
| Other (including investment funds, airlines and shipping) | 167,613 | | 20,442 | |
| Total | $ | 214,205 | | $ | 35,854 | |
|
| | | | | | |
| | September 30, 2017 |
| In millions of dollars | Total
unconsolidated
VIE assets | Maximum
exposure to
unconsolidated VIEs |
| Type | | |
| Commercial and other real estate | $ | 8,971 |
| $ | 3,068 |
|
| Corporate loans | 2,763 |
| 1,706 |
|
| Hedge funds and equities | 499 |
| 59 |
|
| Airplanes, ships and other assets | 38,488 |
| 16,194 |
|
| Total | $ | 50,721 |
| $ | 21,027 |
|
|
| | | | | | |
| | December 31, 2016 |
| In millions of dollars | Total
unconsolidated
VIE assets | Maximum
exposure to
unconsolidated VIEs |
| Type | | |
| Commercial and other real estate | $ | 8,784 |
| $ | 2,368 |
|
| Corporate loans | 4,051 |
| 2,684 |
|
| Hedge funds and equities | 370 |
| 54 |
|
| Airplanes, ships and other assets | 39,230 |
| 16,837 |
|
| Total | $ | 52,435 |
| $ | 21,943 |
|
Municipal Securities Tender Option Bond (TOB) Trusts
At SeptemberJune 30, 20172021 and December 31, 2016, approximately $56 million and $82 million, respectively,2020, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At SeptemberJune 30, 20172021 and December 31, 2016,2020, liquidity agreements provided with respect to customer TOB trusts totaled $3.1$1.5 billion and $2.9$1.6 billion, respectively, of which $2.0$0.7 billion and $2.1$0.8 billion, respectively, were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the residual 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 $6.1$2.5 billion and $7.4$3.6 billion as of SeptemberJune 30, 20172021 and December 31, 2016,2020, 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 three and nine months ended September 30, 2017 totaled approximately $0.2 billion and $0.9 billion, respectively, compared to $0.5 billion and $1.9 billion for the three and nine months ended September 30, 2016.165
19. DERIVATIVES ACTIVITIES
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 20162020 Annual Report on Form 10-K.
Information pertaining to Citigroup’s derivativederivatives 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
In addition, 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 | Trading derivative instruments |
| In millions of dollars | June 30,
2021 | December 31,
2020 | June 30,
2021 | December 31,
2020 | | |
| Interest rate contracts | | | | | | |
| Swaps | $ | 295,160 | | $ | 334,351 | | $ | 19,629,538 | | $ | 17,724,147 | | | |
| Futures and forwards | 0 | | 0 | | 4,381,531 | | 4,142,514 | | | |
| Written options | 0 | | 0 | | 1,598,478 | | 1,573,483 | | | |
| Purchased options | 0 | | 0 | | 1,472,341 | | 1,418,255 | | | |
| Total interest rate contracts | $ | 295,160 | | $ | 334,351 | | $ | 27,081,888 | | $ | 24,858,399 | | | |
| Foreign exchange contracts | | | | | | |
| Swaps | $ | 55,575 | | $ | 65,709 | | $ | 6,495,324 | | $ | 6,567,304 | | | |
| Futures, forwards and spot | 42,510 | | 37,080 | | 4,586,090 | | 3,945,391 | | | |
| Written options | 24 | | 47 | | 796,584 | | 907,338 | | | |
| Purchased options | 26 | | 53 | | 790,172 | | 900,626 | | | |
| Total foreign exchange contracts | $ | 98,135 | | $ | 102,889 | | $ | 12,668,170 | | $ | 12,320,659 | | | |
| Equity contracts | | | | | | |
| Swaps | $ | 0 | | $ | 0 | | $ | 306,856 | | $ | 274,098 | | | |
| Futures and forwards | 0 | | 0 | | 82,175 | | 67,025 | | | |
| Written options | 0 | | 0 | | 525,671 | | 441,003 | | | |
| Purchased options | 0 | | 0 | | 436,045 | | 328,202 | | | |
| Total equity contracts | $ | 0 | | $ | 0 | | $ | 1,350,747 | | $ | 1,110,328 | | | |
| Commodity and other contracts | | | | | | |
| Swaps | $ | 0 | | $ | 0 | | $ | 90,785 | | $ | 80,127 | | | |
| Futures and forwards | 1,929 | | 924 | | 168,072 | | 143,175 | | | |
| Written options | 0 | | 0 | | 68,024 | | 71,376 | | | |
| Purchased options | 0 | | 0 | | 64,810 | | 67,849 | | | |
| Total commodity and other contracts | $ | 1,929 | | $ | 924 | | $ | 391,691 | | $ | 362,527 | | | |
Credit derivatives(1) | | | | | | |
| Protection sold | $ | 0 | | $ | 0 | | $ | 563,906 | | $ | 543,607 | | | |
| Protection purchased | 0 | | 0 | | 632,441 | | 612,770 | | | |
| Total credit derivatives | $ | 0 | | $ | 0 | | $ | 1,196,347 | | $ | 1,156,377 | | | |
| Total derivative notionals | $ | 395,224 | | $ | 438,164 | | $ | 42,688,843 | | $ | 39,808,290 | | | |
(1)Credit derivatives are arrangements designed to allow one party (protection purchaser) 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.
|
| | | | | | | | | | | | | | | | | | |
| | Hedging instruments under ASC 815(1)(2) | Other derivative instruments |
| |
|
| Trading derivatives | Management hedges(3) |
| In millions of dollars | September 30,
2017 | December 31,
2016 | September 30,
2017 | December 31,
2016 | September 30,
2017 | December 31,
2016 |
| Interest rate contracts | | | | | | |
| Swaps | $ | 186,553 |
| $ | 151,331 |
| $ | 20,878,378 |
| $ | 19,145,250 |
| $ | 38,964 |
| $ | 47,324 |
|
| Futures and forwards | — |
| 97 |
| 6,926,108 |
| 6,864,276 |
| 13,504 |
| 30,834 |
|
| Written options | — |
|
|
| 3,446,771 |
| 2,921,070 |
| 2,659 |
| 4,759 |
|
| Purchased options | — |
| — |
| 3,195,655 |
| 2,768,528 |
| 3,580 |
| 7,320 |
|
| Total interest rate contract notionals | $ | 186,553 |
| $ | 151,428 |
| $ | 34,446,912 |
| $ | 31,699,124 |
| $ | 58,707 |
| $ | 90,237 |
|
| Foreign exchange contracts | | | | | | |
| Swaps | $ | 35,431 |
| $ | 19,042 |
| $ | 6,870,504 |
| $ | 5,492,145 |
| $ | 27,052 |
| $ | 22,676 |
|
| Futures, forwards and spot | 38,100 |
| 56,964 |
| 4,658,973 |
| 3,251,132 |
| 5,153 |
| 3,419 |
|
| Written options | 4,027 |
| — |
| 1,466,308 |
| 1,194,325 |
| — |
| — |
|
| Purchased options | 6,697 |
| — |
| 1,507,896 |
| 1,215,961 |
| — |
| — |
|
| Total foreign exchange contract notionals | $ | 84,255 |
| $ | 76,006 |
| $ | 14,503,681 |
| $ | 11,153,563 |
| $ | 32,205 |
| $ | 26,095 |
|
| Equity contracts | | | | | | |
| Swaps | $ | — |
| $ | — |
| $ | 219,056 |
| $ | 192,366 |
| $ | — |
| $ | — |
|
| Futures and forwards | — |
| — |
| 57,541 |
| 37,557 |
| — |
| — |
|
| Written options | — |
| — |
| 410,746 |
| 304,579 |
| — |
| — |
|
| Purchased options | — |
| — |
| 336,586 |
| 266,070 |
| — |
| — |
|
| Total equity contract notionals | $ | — |
| $ | — |
| $ | 1,023,929 |
| $ | 800,572 |
| $ | — |
| $ | — |
|
| Commodity and other contracts | | | | | | |
| Swaps | $ | — |
| $ | — |
| $ | 81,208 |
| $ | 70,774 |
| $ | — |
| $ | — |
|
| Futures and forwards | 139 |
| 182 |
| 158,757 |
| 142,530 |
| — |
| — |
|
| Written options | — |
| — |
| 76,663 |
| 74,627 |
| — |
| — |
|
| Purchased options | — |
| — |
| 74,620 |
| 69,629 |
| — |
| — |
|
| Total commodity and other contract notionals | $ | 139 |
| $ | 182 |
| $ | 391,248 |
| $ | 357,560 |
| $ | — |
| $ | — |
|
Credit derivatives(4) | | | | | | |
| Protection sold | $ | — |
| $ | — |
| $ | 872,476 |
| $ | 859,420 |
| $ | 98 |
| $ | — |
|
| Protection purchased | — |
| — |
| 900,866 |
| 883,003 |
| 13,201 |
| 19,470 |
|
| Total credit derivatives | $ | — |
| $ | — |
| $ | 1,773,342 |
| $ | 1,742,423 |
| $ | 13,299 |
| $ | 19,470 |
|
| Total derivative notionals | $ | 270,947 |
| $ | 227,616 |
| $ | 52,139,112 |
| $ | 45,753,242 |
| $ | 104,211 |
| $ | 135,802 |
|
167
| |
(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 $63 million and $1,825 million at September 30, 2017 and December 31, 2016, respectively. |
| |
(2) | Derivatives in hedge accounting relationships accounted for under ASC 815 are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities on the Consolidated Balance Sheet.
|
| |
(3) | Management hedges represent derivative instruments used to mitigate certain economic risks, but for which hedge accounting is not applied. These derivatives are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities on the Consolidated Balance Sheet.
|
| |
(4) | Credit derivatives are arrangements designed to allow one party (protection buyer) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The Company enters into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk. |
The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of SeptemberJune 30, 20172021 and December 31, 2016.2020. 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 September 30, 2017 reflectsfollowing tables reflect rule changes adopted by clearing organizations that require or allow entities to elect to treat certain derivative assets, liabilities and the related variation margin as settlement of the related derivative fair values for legal and accounting purposes, as
opposed to presenting gross derivative assets and liabilities that are subject to collateral, whereby the counterparties would also record a related collateral payable or receivable. As a result, the table for September 30, 2017 reflectstables reflect a reduction of approximately $100$275 billion and $280 billion as of June 30, 2021 and December 31, 2020, respectively, of derivative assets and derivative liabilities that previously would have been reported on a gross basis, but are now legally settled and not subject to collateral. The table for December 31, 2016 presents derivative assets and liabilities as gross amounts subject to variation margin collateral that were netted under enforceable master netting agreements. Therefore the net presentation of the affected items on the consolidated balance sheet is consistent for all periods. The tables also 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 has occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.
Derivative Mark-to-Market (MTM) Receivables/Payables
| | | | | | | | |
| In millions of dollars at June 30, 2021 | Derivatives classified in
Trading account assets/liabilities(1)(2) |
| Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities |
| Over-the-counter | $ | 1,331 | | $ | 38 | |
| Cleared | 88 | | 148 | |
| | |
| Interest rate contracts | $ | 1,419 | | $ | 186 | |
| Over-the-counter | $ | 879 | | $ | 1,342 | |
| Cleared | 0 | | 3 | |
| | |
| Foreign exchange contracts | $ | 879 | | $ | 1,345 | |
| | |
| | |
| | |
| | |
| Total derivatives instruments designated as ASC 815 hedges | $ | 2,298 | | $ | 1,531 | |
| Derivatives instruments not designated as ASC 815 hedges | | |
| Over-the-counter | $ | 172,044 | | $ | 157,764 | |
| Cleared | 12,425 | | 10,770 | |
| Exchange traded | 89 | | 21 | |
| Interest rate contracts | $ | 184,558 | | $ | 168,555 | |
| Over-the-counter | $ | 117,330 | | $ | 115,100 | |
| Cleared | 362 | | 290 | |
| | |
| Foreign exchange contracts | $ | 117,692 | | $ | 115,390 | |
| Over-the-counter | $ | 28,687 | | $ | 40,156 | |
| Cleared | 0 | | 1 | |
| Exchange traded | 19,828 | | 19,770 | |
| Equity contracts | $ | 48,515 | | $ | 59,927 | |
| Over-the-counter | $ | 23,419 | | $ | 25,917 | |
| | |
| Exchange traded | 1,778 | | 2,269 | |
| Commodity and other contracts | $ | 25,197 | | $ | 28,186 | |
| Over-the-counter | $ | 7,108 | | $ | 7,206 | |
| Cleared | 2,744 | | 3,271 | |
| | |
| Credit derivatives | $ | 9,852 | | $ | 10,477 | |
| Total derivatives instruments not designated as ASC 815 hedges | $ | 385,814 | | $ | 382,535 | |
| Total derivatives | $ | 388,112 | | $ | 384,066 | |
Cash collateral paid/received(3) | $ | 22,104 | | $ | 17,965 | |
Less: Netting agreements(4) | (293,047) | | (293,047) | |
Less: Netting cash collateral received/paid(5) | (43,554) | | (48,079) | |
Net receivables/payables included on the Consolidated Balance Sheet(6) | $ | 73,615 | | $ | 60,905 | |
| Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | | |
| | |
| Less: Cash collateral received/paid | $ | (982) | | $ | (1,586) | |
| Less: Non-cash collateral received/paid | (6,800) | | (13,639) | |
Total net receivables/payables(6) | $ | 65,833 | | $ | 45,680 | |
|
| | | | | | | | | | | | |
| In millions of dollars at September 30, 2017 | Derivatives classified in Trading account assets / liabilities(1)(2)(3) | Derivatives classified in Other assets / liabilities(2)(3) |
| Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities | Assets | Liabilities |
| Over-the-counter | $ | 440 |
| $ | 107 |
| $ | 1,291 |
| $ | 30 |
|
| Cleared | 29 |
| 29 |
| 35 |
| 69 |
|
| Interest rate contracts | $ | 469 |
| $ | 136 |
| $ | 1,326 |
| $ | 99 |
|
| Over-the-counter | $ | 936 |
| $ | 676 |
| $ | 771 |
| $ | 147 |
|
| Foreign exchange contracts | $ | 936 |
| $ | 676 |
| $ | 771 |
| $ | 147 |
|
| Total derivatives instruments designated as ASC 815 hedges | $ | 1,405 |
| $ | 812 |
| $ | 2,097 |
| $ | 246 |
|
| Derivatives instruments not designated as ASC 815 hedges |
|
|
|
|
| Over-the-counter | $ | 200,554 |
| $ | 179,000 |
| $ | 35 |
| $ | 1 |
|
| Cleared | 6,843 |
| 8,520 |
| 73 |
| 105 |
|
| Exchange traded | 116 |
| 93 |
| — |
| — |
|
| Interest rate contracts | $ | 207,513 |
| $ | 187,613 |
| $ | 108 |
| $ | 106 |
|
| Over-the-counter | $ | 130,399 |
| $ | 129,096 |
| $ | — |
| $ | — |
|
| Cleared | 3,180 |
| 3,312 |
| — |
| — |
|
| Exchange traded | 58 |
| 52 |
| — |
| — |
|
| Foreign exchange contracts | $ | 133,637 |
| $ | 132,460 |
| $ | — |
| $ | — |
|
| Over-the-counter | $ | 18,736 |
| $ | 24,317 |
| $ | — |
| $ | — |
|
| Cleared | 16 |
| 20 |
| — |
| — |
|
| Exchange traded | 8,532 |
| 8,179 |
| — |
| — |
|
| Equity contracts | $ | 27,284 |
| $ | 32,516 |
| $ | — |
| $ | — |
|
| Over-the-counter | $ | 11,444 |
| $ | 14,541 |
| $ | — |
| $ | — |
|
| Exchange traded | 745 |
| 703 |
| — |
| — |
|
| Commodity and other contracts | $ | 12,189 |
| $ | 15,244 |
| $ | — |
| $ | — |
|
| Over-the-counter | $ | 15,169 |
| $ | 15,592 |
| $ | 23 |
| $ | 68 |
|
| Cleared | 8,042 |
| 9,593 |
| 22 |
| 297 |
|
Credit derivatives(4) | $ | 23,211 |
| $ | 25,185 |
| $ | 45 |
| $ | 365 |
|
| Total derivatives instruments not designated as ASC 815 hedges | $ | 403,834 |
| $ | 393,018 |
| $ | 153 |
| $ | 471 |
|
| Total derivatives | $ | 405,239 |
| $ | 393,830 |
| $ | 2,250 |
| $ | 717 |
|
Cash collateral paid/received(5)(6) | $ | 13,991 |
| $ | 15,848 |
| $ | — |
| $ | 9 |
|
Less: Netting agreements(7) | (325,424 | ) | (325,424 | ) | — |
| — |
|
Less: Netting cash collateral received/paid(8) | (37,876 | ) | (32,390 | ) | (1,005 | ) | (17 | ) |
Net receivables/payables included on the Consolidated Balance Sheet(9) | $ | 55,930 |
| $ | 51,864 |
| $ | 1,245 |
| $ | 709 |
|
| Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | | | | |
| Less: Cash collateral received/paid | $ | (861 | ) | $ | (61 | ) | $ | — |
| $ | — |
|
| Less: Non-cash collateral received/paid | (11,864 | ) | (9,798 | ) | (294 | ) | — |
|
Total net receivables/payables(9) | $ | 43,205 |
| $ | 42,005 |
| $ | 951 |
| $ | 709 |
|
| |
(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 either Other assets/Other liabilities or Trading account assets/Trading account liabilities.
|
| |
(3) | (1)The derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements. (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 assets comprise $5,076 million related to protection purchased and $18,180 million related to protection sold as of September 30, 2017. The credit derivatives liabilities comprise $20,616 million related to protection purchased and $4,934 million related to protection sold as of September 30, 2017. |
| |
(5) | For the trading account assets/liabilities, reflects the net amount of the $46,381 million and $53,724 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $32,390 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $37,876 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 $17 million of gross cash collateral paid, of which $17 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 $1,014 million of gross cash collateral received, of which $1,005 million is netted against non-trading derivative positions within Other assets.
|
| |
(7) | Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $301 billion, $15 billion and $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) | Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively. |
| |
(9) | The net receivables/payables include approximately $5 billion of derivative asset and $6 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) |
| Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities | Assets | Liabilities |
| Over-the-counter | $ | 716 |
| $ | 171 |
| $ | 1,927 |
| $ | 22 |
|
| Cleared | 3,530 |
| 2,154 |
| 47 |
| 82 |
|
| Interest rate contracts | $ | 4,246 |
| $ | 2,325 |
| $ | 1,974 |
| $ | 104 |
|
| Over-the-counter | $ | 2,494 |
| $ | 393 |
| $ | 747 |
| $ | 645 |
|
| Foreign exchange contracts | $ | 2,494 |
| $ | 393 |
| $ | 747 |
| $ | 645 |
|
| Total derivatives instruments designated as ASC 815 hedges | $ | 6,740 |
| $ | 2,718 |
| $ | 2,721 |
| $ | 749 |
|
| Derivatives instruments not designated as ASC 815 hedges |
|
|
|
|
| Over-the-counter | $ | 244,072 |
| $ | 221,534 |
| $ | 225 |
| $ | 5 |
|
| Cleared | 120,920 |
| 130,855 |
| 240 |
| 349 |
|
| Exchange traded | 87 |
| 47 |
| — |
| — |
|
| Interest rate contracts | $ | 365,079 |
| $ | 352,436 |
| $ | 465 |
| $ | 354 |
|
| Over-the-counter | $ | 182,659 |
| $ | 186,867 |
| $ | — |
| $ | 60 |
|
| Cleared | 482 |
| 470 |
| — |
| — |
|
| Exchange traded | 27 |
| 31 |
| — |
| — |
|
| Foreign exchange contracts | $ | 183,168 |
| $ | 187,368 |
| $ | — |
| $ | 60 |
|
| Over-the-counter | $ | 15,625 |
| $ | 19,119 |
| $ | — |
| $ | — |
|
| Cleared | 1 |
| 21 |
| — |
| — |
|
| Exchange traded | 8,484 |
| 7,376 |
| — |
| — |
|
| Equity contracts | $ | 24,110 |
| $ | 26,516 |
| $ | — |
| $ | — |
|
| Over-the-counter | $ | 13,046 |
| $ | 14,234 |
| $ | — |
| $ | — |
|
| Exchange traded | 719 |
| 798 |
| — |
| — |
|
| Commodity and other contracts | $ | 13,765 |
| $ | 15,032 |
| $ | — |
| $ | — |
|
| Over-the-counter | $ | 19,033 |
| $ | 19,563 |
| $ | 159 |
| $ | 78 |
|
| Cleared | 5,582 |
| 5,874 |
| 47 |
| 310 |
|
Credit derivatives(4) | $ | 24,615 |
| $ | 25,437 |
| $ | 206 |
| $ | 388 |
|
| Total derivatives instruments not designated as ASC 815 hedges | $ | 610,737 |
| $ | 606,789 |
| $ | 671 |
| $ | 802 |
|
| Total derivatives | $ | 617,477 |
| $ | 609,507 |
| $ | 3,392 |
| $ | 1,551 |
|
Cash collateral paid/received(5)(6) | $ | 11,188 |
| $ | 15,731 |
| $ | 8 |
| $ | 1 |
|
Less: Netting agreements(7) | (519,000 | ) | (519,000 | ) | — |
| — |
|
Less: Netting cash collateral received/paid(8) | (45,912 | ) | (49,811 | ) | (1,345 | ) | (53 | ) |
Net receivables/payables included on the Consolidated Balance Sheet(9) | $ | 63,753 |
| $ | 56,427 |
| $ | 2,055 |
| $ | 1,499 |
|
| Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | | | | |
| Less: Cash collateral received/paid | $ | (819 | ) | $ | (19 | ) | $ | — |
| $ | — |
|
| Less: Non-cash collateral received/paid | (11,767 | ) | (5,883 | ) | (530 | ) | — |
|
Total net receivables/payables(9) | $ | 51,167 |
| $ | 50,525 |
| $ | 1,525 |
| $ | 1,499 |
|
| |
(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 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 tradedExchange-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) | For the trading account assets/liabilities, reflects the net amount of the $60,999 million and $61,643 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $49,811 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $45,912 million was used to offset trading derivative assets. |
| |
(6) | For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $61 million of 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) | Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $383 billion, $128 billion and $8 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively. |
| |
(8) | Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively. |
| |
(9) | The net receivables/payables include approximately $7 billion of derivative asset and $9 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively. |
(3)Reflects the net amount of the $70,183 million and $61,519 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $48,079 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $43,554 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $262 billion, $12 billion and $19 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(5)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)The net receivables/payables include approximately $12 billion of derivative asset and $13 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
| | | | | | | | |
| In millions of dollars at December 31, 2020 | Derivatives classified in
Trading account assets/liabilities(1)(2) |
| Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities |
| Over-the-counter | $ | 1,781 | | $ | 161 | |
| Cleared | 74 | | 319 | |
| | |
| Interest rate contracts | $ | 1,855 | | $ | 480 | |
| Over-the-counter | $ | 2,037 | | $ | 2,042 | |
| | |
| | |
| Foreign exchange contracts | $ | 2,037 | | $ | 2,042 | |
| | |
| | |
| | |
| | |
| Total derivatives instruments designated as ASC 815 hedges | $ | 3,892 | | $ | 2,522 | |
| Derivatives instruments not designated as ASC 815 hedges | | |
| Over-the-counter | $ | 228,519 | | $ | 209,330 | |
| Cleared | 11,041 | | 12,563 | |
| Exchange traded | 46 | | 38 | |
| Interest rate contracts | $ | 239,606 | | $ | 221,931 | |
| Over-the-counter | $ | 153,791 | | $ | 152,784 | |
| Cleared | 842 | | 1,239 | |
| Exchange traded | 0 | | 1 | |
| Foreign exchange contracts | $ | 154,633 | | $ | 154,024 | |
| Over-the-counter | $ | 29,244 | | $ | 41,036 | |
| Cleared | 1 | | 18 | |
| Exchange traded | 21,274 | | 22,515 | |
| Equity contracts | $ | 50,519 | | $ | 63,569 | |
| Over-the-counter | $ | 13,659 | | $ | 17,076 | |
| | |
| Exchange traded | 879 | | 1,017 | |
| Commodity and other contracts | $ | 14,538 | | $ | 18,093 | |
| Over-the-counter | $ | 7,826 | | $ | 7,951 | |
| Cleared | 1,963 | | 2,178 | |
| | |
| Credit derivatives | $ | 9,789 | | $ | 10,129 | |
| Total derivatives instruments not designated as ASC 815 hedges | $ | 469,085 | | $ | 467,746 | |
| Total derivatives | $ | 472,977 | | $ | 470,268 | |
Cash collateral paid/received(3) | $ | 32,778 | | $ | 8,196 | |
Less: Netting agreements(4) | (364,879) | | (364,879) | |
Less: Netting cash collateral received/paid(5) | (63,915) | | (45,628) | |
Net receivables/payables included on the Consolidated Balance Sheet(6) | $ | 76,961 | | $ | 67,957 | |
| Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | | |
| | |
| Less: Cash collateral received/paid | $ | (1,567) | | $ | (473) | |
| Less: Non-cash collateral received/paid | (7,408) | | (13,087) | |
Total net receivables/payables(6) | $ | 67,986 | | $ | 54,397 | |
(1)The derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements.
(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.
(3)Reflects the net amount of the $78,406 million and $72,111 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $45,628 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $63,915 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $336 billion, $9 billion and $20 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(5)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)The net receivables/payables include approximately $6 billion of derivative asset and $8 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
For the three and ninesix months ended SeptemberJune 30, 20172021 and 2016, the2020, amounts recognized in Principal transactions in the Consolidated Statement of Income related toinclude certain 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.relationship. 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 how these portfolios are risk managed. See Note 6 to the Consolidated Financial Statements for further information.
The amounts recognized in Other revenue in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains/lossesgains (losses) on the economically hedged items to the extent that such amounts are also recorded in Other revenue.
|
| | | | | | | | | | | | |
| | Gains (losses) included in
Other revenue |
| Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Interest rate contracts | $ | (9 | ) | $ | (28 | ) | $ | (44 | ) | $ | (2 | ) |
| Foreign exchange | — |
| 11 |
| 26 |
| 26 |
|
| Credit derivatives | (109 | ) | (399 | ) | (452 | ) | (960 | ) |
| Total Citigroup | $ | (118 | ) | $ | (416 | ) | $ | (470 | ) | $ | (936 | ) |
| | | | | | | | | | | | | | |
| | Gains (losses) included in
Other revenue |
| Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Interest rate contracts | $ | (15) | | $ | 19 | | $ | (75) | | $ | 174 | |
| Foreign exchange | (13) | | (61) | | (34) | | (37) | |
| Total | $ | (28) | | $ | (42) | | $ | (109) | | $ | 137 | |
Fair Value Hedges
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 debt 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 are presented within Interest revenue or Interest expense based on whether the hedged item is an asset or a liability.
Citigroup has executed a last-of-layer hedge, which permits an entity to hedge the interest rate risk of a stated portion of a closed portfolio of prepayable financial assets that are expected to remain outstanding for the designated tenor of the hedge. In accordance with ASC 815, an entity may exclude prepayment risk when measuring the change in fair value of the hedged item attributable to interest rate risk under the last-of-layer approach. Similar to other fair value hedges, where the hedged item is an asset, the fair value of the hedged item attributable to interest rate risk will be presented in Interest revenue along with the change in the fair value of the hedging instrument.
Hedging of Foreign Exchange Risk
Citigroup hedges the change in fair value attributable to foreign exchange rate movements in available-for-sale debt securities and long-term debt that are denominated in currencies other than the functional currency of the entity holding the securities or issuing the debt. The hedging instrument is generally 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 is generally reflected directly in earnings over the life of the hedge. Citi also 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 inventories. 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 it is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in forward rates from the assessment of hedge effectiveness and records it in Other comprehensive income.
The following table summarizes the gains (losses) on the Company’s fair value hedges:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Gains (losses) on fair value hedges(1) |
| Three Months Ended June 30, | Six Months Ended June 30, |
| 2021 | 2020 | 2021 | 2020 |
| In millions of dollars | Other revenue | Net interest revenue | Other revenue | Net interest revenue | Other
revenue | Net interest revenue | Other revenue | Net interest revenue |
| Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | | | | | | | | |
| Interest rate hedges | $ | 0 | | $ | 454 | | $ | 0 | | $ | 239 | | $ | 0 | | $ | (3,481) | | $ | 0 | | $ | 7,086 | |
| Foreign exchange hedges | 220 | | 0 | | 434 | | 0 | | 10 | | 0 | | (1,477) | | 0 | |
| Commodity hedges | (277) | | 0 | | (381) | | 0 | | (566) | | 0 | | (91) | | 0 | |
| Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | $ | (57) | | $ | 454 | | $ | 53 | | $ | 239 | | $ | (556) | | $ | (3,481) | | $ | (1,568) | | $ | 7,086 | |
| Gain (loss) on the hedged item in designated and qualifying fair value hedges | | | | | | | | |
| Interest rate hedges | $ | 0 | | $ | (559) | | $ | 0 | | $ | (313) | | $ | 0 | | $ | 3,267 | | $ | 0 | | $ | (7,128) | |
| Foreign exchange hedges | (220) | | 0 | | (434) | | 0 | | (10) | | 0 | | 1,477 | | 0 | |
| Commodity hedges | 277 | | 0 | | 381 | | 0 | | 566 | | 0 | | 91 | | 0 | |
| Total gain (loss) on the hedged item in designated and qualifying fair value hedges | $ | 57 | | $ | (559) | | $ | (53) | | $ | (313) | | $ | 556 | | $ | 3,267 | | $ | 1,568 | | $ | (7,128) | |
Net gain (loss) on the hedging derivatives excluded from
assessment of the effectiveness of fair value hedges | | | | | | | | |
| Interest rate hedges | $ | 0 | | $ | 1 | | $ | 0 | | $ | (18) | | $ | 0 | | $ | (3) | | $ | 0 | | $ | (23) | |
Foreign exchange hedges(2) | 13 | | 0 | | 17 | | 0 | | 17 | | 0 | | (41) | | 0 | |
| Commodity hedges | (53) | | 0 | | 15 | | 0 | | (75) | | 0 | | (10) | | 0 | |
| Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges | $ | (40) | | $ | 1 | | $ | 32 | | $ | (18) | | $ | (58) | | $ | (3) | | $ | (51) | | $ | (23) | |
(1)Gain (loss) amounts for interest rate risk hedges are included in Interest income/Interest expense. The accrued interest income on fair value hedges is recorded in Net interest revenue and is excluded from this table.
(2)Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings. Amounts related to cross-currency basis, which are recognized in AOCI, are not reflected in the table above. The amount of cross-currency basis included in AOCI was $(13) million and $(26) million for the three and six months ended June 30, 2021 and $16 million and $49 million for the three and six months ended June 30, 2020, respectively.
|
| | | | | | | | | | | | |
| | Gains (losses) on fair value hedges(1) |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Gain (loss) on the derivatives in designated and qualifying fair value hedges | | | | |
| Interest rate contracts | $ | (194 | ) | $ | (450 | ) | $ | (570 | ) | $ | 2,747 |
|
| Foreign exchange contracts | (166 | ) | (602 | ) | (803 | ) | (2,360 | ) |
| Commodity contracts | (11 | ) | (57 | ) | (20 | ) | 381 |
|
| Total gain (loss) on the derivatives in designated and qualifying fair value hedges | $ | (371 | ) | $ | (1,109 | ) | $ | (1,393 | ) | $ | 768 |
|
| Gain (loss) on the hedged item in designated and qualifying fair value hedges | | | | |
| Interest rate hedges | $ | 189 |
| $ | 442 |
| $ | 532 |
| $ | (2,701 | ) |
| Foreign exchange hedges | 144 |
| 664 |
| 910 |
| 2,425 |
|
| Commodity hedges | 12 |
| 59 |
| 22 |
| (374 | ) |
| Total gain (loss) on the hedged item in designated and qualifying fair value hedges | $ | 345 |
| $ | 1,165 |
| $ | 1,464 |
| $ | (650 | ) |
| Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges | | | | |
| Interest rate hedges | $ | (5 | ) | $ | (11 | ) | $ | (31 | ) | $ | 48 |
|
| Foreign exchange hedges | (17 | ) | (3 | ) | 32 |
| (53 | ) |
| Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges | $ | (22 | ) | $ | (14 | ) | $ | 1 |
| $ | (5 | ) |
| Net gain (loss) excluded from assessment of the effectiveness of fair value hedges | | | | |
| Interest rate contracts | $ | — |
| $ | 3 |
| $ | (7 | ) | $ | (2 | ) |
Foreign exchange contracts(2) | (5 | ) | 65 |
| 75 |
| 118 |
|
| Commodity hedges | 1 |
| 2 |
| 2 |
| 7 |
|
| Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges | $ | (4 | ) | $ | 70 |
| $ | 70 |
| $ | 123 |
|
172
| |
(1) | Amounts are included in Other revenue on the Consolidated Statement of Income. The accrued interest income on fair value hedges is recorded in Net interest revenue and is excluded from this table.
|
| |
(2) | Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates). These amounts are excluded from the assessment of hedge effectiveness and are reflected directly in earnings. |
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 changes in the hedged risk. This cumulative hedge basis adjustment becomes part of the carrying value of the hedged item until the hedged item is derecognized from the balance sheet. The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at June 30, 2021 and December 31, 2020, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities, that would reverse through earnings in future periods.
| | | | | | | | | | | |
| In millions of dollars |
| Balance sheet line item in which hedged item is recorded | Carrying amount of hedged asset/ liability | Cumulative fair value hedging adjustment increasing (decreasing) the carrying amount |
| Active | De-designated |
| As of June 30, 2021 | | |
Debt securities AFS(1)(3) | $ | 78,108 | | $ | 59 | | $ | 126 | |
| Long-term debt | 159,712 | | 2,563 | | 4,177 | |
| As of December 31, 2020 | | |
Debt securities AFS(2)(3) | $ | 81,082 | | $ | 28 | | $ | 342 | |
| Long-term debt | 169,026 | | 5,554 | | 4,989 | |
(1)These amounts include a cumulative basis adjustment of $111 million for active hedges and $(131) million for de-designated hedges as of June 30, 2021, related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $7 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $33 billion as of June 30, 2021) in a last-of-layer hedging relationship.
(2)These amounts include a cumulative basis adjustment of $(18) million for active hedges and $62 million for de-designated hedges as of December 31, 2020, related to certain prepayable financial assets designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $3 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $19 billion as of December 31, 2020) in a last-of-layer hedging relationship.
(3)Carrying amount represents the amortized cost.
Cash Flow Hedges
The amountCitigroup hedges the variability of hedge ineffectiveness on theforecasted cash flows due to changes in contractually specified interest rates associated with floating-rate assets/liabilities and other forecasted transactions. These cash flow hedges recognized in earnings forhedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the threehedging relationships are highly effective at inception and nine months ended September 30, 2017 and 2016 is not significant. The pretax change in AOCI from cash flow hedges is presented below:on an ongoing basis.
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Effective portion of cash flow hedges included in AOCI | | | | |
| Interest rate contracts | $ | (36 | ) | $ | (187 | ) | $ | 103 |
| $ | 448 |
|
| Foreign exchange contracts | (7 | ) | (29 | ) | (7 | ) | (26 | ) |
| Total effective portion of cash flow hedges included in AOCI | $ | (43 | ) | $ | (216 | ) | $ | 96 |
| $ | 422 |
|
| Effective portion of cash flow hedges reclassified from AOCI to earnings |
|
| | |
| Interest rate contracts | $ | (48 | ) | $ | (39 | ) | $ | (94 | ) | $ | (96 | ) |
| Foreign exchange contracts | (7 | ) | (46 | ) | (8 | ) | (89 | ) |
Total effective portion of cash flow hedges reclassified from AOCI to earnings(1) | $ | (55 | ) | $ | (85 | ) | $ | (102 | ) | $ | (185 | ) |
| |
(1) | Included primarily in Other revenue and Net interest revenue on the Consolidated Income Statement.
|
For cash flow hedges, the changesentire change in the fair value of the hedging derivative remainis recognized in AOCI on the Consolidated Balance Sheet and will be includedthen reclassified to earnings in the earnings of future periods to offsetsame period that the variability of theforecasted hedged cash flows when such cash flows affectimpact earnings. The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCIwithin 12 months of SeptemberJune 30, 20172021 is approximately $(277) million.$1 billion. The maximum length of time over which forecasted cash flows are hedged is 10 years.
The pretax change in AOCI from cash flow hedges is presented below. The after-tax impact of cash flow hedges on AOCI is shown in Note 17 to the Consolidated Financial Statements.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
Amount of gain (loss) recognized in AOCI on derivatives | | | | |
| Interest rate contracts | $ | 39 | | $ | 294 | | $ | (416) | | $ | 2,791 | |
| Foreign exchange contracts | (3) | | (5) | | 0 | | (16) | |
Total gain (loss) recognized in AOCI | $ | 36 | | $ | 289 | | $ | (416) | | $ | 2,775 | |
| Other
revenue | Net interest
revenue | Other
revenue |
Net interest
revenue | Other
revenue | Net interest
revenue | Other
revenue | Net interest
revenue |
Amount of gain (loss) reclassified from AOCI to earnings(1) | | | | | | | | |
| Interest rate contracts | $ | 0 | | $ | 266 | | $ | 0 | | $ | 200 | | $ | 0 | | $ | 544 | | $ | 0 | | $ | 203 | |
| Foreign exchange contracts | (1) | | 0 | | (1) | | 0 | | (2) | | 0 | | (2) | | 0 | |
Total gain (loss) reclassified from AOCI into earnings | $ | (1) | | $ | 266 | | $ | (1) | | $ | 200 | | $ | (2) | | $ | 544 | | $ | (2) | | $ | 203 | |
Net pretax change in cash flow hedges included within AOCI | | $ | (229) | | | $ | 90 | | | $ | (958) | | | $ | 2,574 | |
(1)All amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest revenue). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest revenue in the Consolidated Statement of Income.
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 $(245)was ($426) million and $(1,993)$131 million for the three and ninesix months ended SeptemberJune 30, 20172021 and $(371)$(741) million and $(1,791)$1,419 million for the three and ninesix months ended SeptemberJune 30, 2016,2020, respectively.
Credit Derivatives
The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:
| | | | | | | | | | | | | | |
| Fair values | Notionals |
| In millions of dollars at June 30, 2021 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold |
| By industry of counterparty | | | | |
| Banks | $ | 2,498 | | $ | 3,167 | | $ | 107,848 | | $ | 103,288 | |
| Broker-dealers | 1,817 | | 1,124 | | 45,629 | | 41,188 | |
| Non-financial | 119 | | 79 | | 6,089 | | 2,774 | |
Insurance and other financial
institutions | 5,418 | | 6,107 | | 472,875 | | 416,656 | |
| Total by industry of counterparty | $ | 9,852 | | $ | 10,477 | | $ | 632,441 | | $ | 563,906 | |
| By instrument | | | | |
| Credit default swaps and options | $ | 9,170 | | $ | 9,784 | | $ | 615,504 | | $ | 556,760 | |
| Total return swaps and other | 682 | | 693 | | 16,937 | | 7,146 | |
| Total by instrument | $ | 9,852 | | $ | 10,477 | | $ | 632,441 | | $ | 563,906 | |
| By rating of reference entity | | | | |
| Investment grade | $ | 4,192 | | $ | 4,036 | | $ | 477,097 | | $ | 421,549 | |
| Non-investment grade | 5,660 | | 6,441 | | 155,344 | | 142,357 | |
| Total by rating of reference entity | $ | 9,852 | | $ | 10,477 | | $ | 632,441 | | $ | 563,906 | |
| By maturity | | | | |
| Within 1 year | $ | 937 | | $ | 1,479 | | $ | 132,426 | | $ | 123,092 | |
| From 1 to 5 years | 6,157 | | 6,323 | | 441,620 | | 396,219 | |
| After 5 years | 2,758 | | 2,675 | | 58,395 | | 44,595 | |
| Total by maturity | $ | 9,852 | | $ | 10,477 | | $ | 632,441 | | $ | 563,906 | |
|
| | | | | | | | | | | | |
| | Fair values | Notionals |
| In millions of dollars at September 30, 2017 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold |
| By industry/counterparty |
|
|
|
|
| Banks | $ | 9,114 |
| $ | 8,454 |
| $ | 320,482 |
| $ | 338,723 |
|
| Broker-dealers | 2,882 |
| 2,805 |
| 89,352 |
| 100,408 |
|
| Non-financial | 28 |
| 93 |
| 2,154 |
| 1,501 |
|
| Insurance and other financial institutions | 11,232 |
| 14,198 |
| 502,079 |
| 431,942 |
|
| Total by industry/counterparty | $ | 23,256 |
| $ | 25,550 |
| $ | 914,067 |
| $ | 872,574 |
|
| By instrument |
|
|
|
|
| Credit default swaps and options | $ | 23,013 |
| $ | 24,365 |
| $ | 890,913 |
| $ | 862,753 |
|
| Total return swaps and other | 243 |
| 1,185 |
| 23,154 |
| 9,821 |
|
| Total by instrument | $ | 23,256 |
| $ | 25,550 |
| $ | 914,067 |
| $ | 872,574 |
|
| By rating |
|
|
|
|
| Investment grade | $ | 13,045 |
| $ | 13,758 |
| $ | 696,474 |
| $ | 665,764 |
|
| Non-investment grade | 10,211 |
| 11,792 |
| 217,593 |
| 206,810 |
|
| Total by rating | $ | 23,256 |
| $ | 25,550 |
| $ | 914,067 |
| $ | 872,574 |
|
| By maturity |
|
|
|
|
| Within 1 year | $ | 2,520 |
| $ | 3,225 |
| $ | 279,201 |
| $ | 267,863 |
|
| From 1 to 5 years | 17,459 |
| 18,823 |
| 547,675 |
| 522,437 |
|
| After 5 years | 3,277 |
| 3,502 |
| 87,191 |
| 82,274 |
|
| Total by maturity | $ | 23,256 |
| $ | 25,550 |
| $ | 914,067 |
| $ | 872,574 |
|
| |
(1) | The fair value amount receivable is composed of $5,076 million under protection purchased and $18,180 million under protection sold. |
| |
(2) | The fair value amount payable is composed of $20,616 million under protection purchased and $4,934 million under protection sold. |
(1)The fair value amount receivable is composed of $3,376 million under protection purchased and $6,476 million under protection sold. |
| | | | | | | | | | | | |
| | Fair values | Notionals |
| 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-dealers | 3,536 |
| 3,952 |
| 115,013 |
| 119,810 |
|
| Non-financial | 82 |
| 99 |
| 4,014 |
| 2,061 |
|
| Insurance and other financial institutions | 9,308 |
| 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 other | 319 |
| 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 grade | 15,216 |
| 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 years | 17,735 |
| 17,986 |
| 551,155 |
| 523,371 |
|
| After 5 years | 2,973 |
| 2,998 |
| 58,259 |
| 48,787 |
|
| Total by maturity | $ | 24,821 |
| $ | 25,825 |
| $ | 902,473 |
| $ | 859,420 |
|
| |
(1) | The fair value amount receivable is composed of $9,077 million under protection purchased and $15,744 million under protection sold. |
| |
(2) | The fair value amount payable is composed of $17,110 million under protection purchased and $8,715 million under protection sold. |
(2)The fair value amount payable is composed of $7,228 million under protection purchased and $3,249 million under protection sold.
| | | | | | | | | | | | | | |
| | Fair values | Notionals |
| In millions of dollars at December 31, 2020 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold |
| By industry of counterparty | | | | |
| Banks | $ | 2,902 | | $ | 3,187 | | $ | 117,685 | | $ | 120,739 | |
| Broker-dealers | 1,770 | | 1,215 | | 46,928 | | 44,692 | |
| Non-financial | 109 | | 90 | | 5,740 | | 2,217 | |
Insurance and other financial
institutions | 5,008 | | 5,637 | | 442,417 | | 375,959 | |
| Total by industry of counterparty | $ | 9,789 | | $ | 10,129 | | $ | 612,770 | | $ | 543,607 | |
| By instrument | | | | |
| Credit default swaps and options | $ | 9,254 | | $ | 9,254 | | $ | 599,633 | | $ | 538,426 | |
| Total return swaps and other | 535 | | 875 | | 13,137 | | 5,181 | |
| Total by instrument | $ | 9,789 | | $ | 10,129 | | $ | 612,770 | | $ | 543,607 | |
| By rating of reference entity | | | | |
| Investment grade | $ | 4,136 | | $ | 4,037 | | $ | 478,643 | | $ | 418,147 | |
| Non-investment grade | 5,653 | | 6,092 | | 134,127 | | 125,460 | |
| Total by rating of reference entity | $ | 9,789 | | $ | 10,129 | | $ | 612,770 | | $ | 543,607 | |
| By maturity | | | | |
| Within 1 year | $ | 914 | | $ | 1,355 | | $ | 134,080 | | $ | 125,464 | |
| From 1 to 5 years | 6,022 | | 5,991 | | 421,682 | | 374,376 | |
| After 5 years | 2,853 | | 2,783 | | 57,008 | | 43,767 | |
| Total by maturity | $ | 9,789 | | $ | 10,129 | | $ | 612,770 | | $ | 543,607 | |
(1) The fair value amount receivable is composed of $3,514 million under protection purchased and $6,275 million under protection sold.
(2) The fair value amount payable is composed of $7,037 million under protection purchased and $3,092 million under protection sold.
Credit Risk-Related Contingent Features in Derivatives
Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates.
The fair value (excluding CVA) of all derivative instruments with credit-risk-relatedcredit risk-related contingent features that were in a net liability position at both SeptemberJune 30, 20172021 and December 31, 20162020 was $28$21 billion and $26$25 billion, respectively. The Company posted $25$19 billion and $26$22 billion as collateral for this exposure in the normal course of business as of SeptemberJune 30, 20172021 and December 31, 2016,2020, 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 three3 major rating agencies as of SeptemberJune 30, 2017,2021, the Company could be required to post an additional $1.2 billion as either collateral or settlement of the derivative transactions. Additionally,In addition, 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 $1.5$1.4 billion.
Derivatives Accompanied by Financial Asset Transfers
For transfers of financial assets accounted for as a sale by the Company, whereand for which the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed with the same counterparty in contemplation of the initial sale with the same counterparty and(and still outstanding as of September 30, 2017,outstanding), both the asset carrying amounts derecognized and the gross cash proceeds received as of the date of derecognition were $2.4 billion. $3.9 billion and $2.0 billion as of June 30, 2021 and December 31, 2020, respectively.
At SeptemberJune 30, 2017,2021, the fair value of these previously derecognized assets was $2.4$3.9 billion. The fair value of the total return swaps as of June 30, 2021 was $28$62 million recorded as gross derivative assets and $47$21 million recorded as gross derivative liabilities. At December 31, 2020, the fair value of these previously derecognized assets was $2.2 billion, and the fair value of the total return swaps was $135 million recorded as gross derivative assets and $7 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 20162020 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 SeptemberJune 30, 20172021 and December 31, 2016:2020:
| | | | | | | | |
| | Credit and funding valuation adjustments
contra-liability (contra-asset) |
| In millions of dollars | June 30,
2021 | December 31,
2020 |
| Counterparty CVA | $ | (617) | | $ | (800) | |
| Asset FVA | (434) | | (525) | |
| Citigroup (own credit) CVA | 335 | | 403 | |
| Liability FVA | 78 | | 67 | |
| Total CVA—derivative instruments | $ | (638) | | $ | (855) | |
|
| | | | | | |
| | Credit and funding valuation adjustments contra-liability (contra-asset) |
| In millions of dollars | September 30,
2017 | December 31,
2016 |
| Counterparty CVA | $ | (1,114 | ) | $ | (1,488 | ) |
| Asset FVA | (462 | ) | (536 | ) |
| Citigroup (own-credit) CVA | 318 |
| 459 |
|
| Liability FVA | 51 |
| 62 |
|
Total CVA—derivative instruments(1) | $ | (1,207 | ) | $ | (1,503 | ) |
| |
(1) | FVA is included with CVA for presentation purposes. |
The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:
| | | | | | | | | | | | | | |
| | Credit/funding/debt valuation
adjustments gain (loss) |
| Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Counterparty CVA | $ | 34 | | $ | 45 | | $ | 43 | | $ | (238) | |
| Asset FVA | 25 | | 632 | | 94 | | (421) | |
| Own credit CVA | (41) | | (271) | | (78) | | 262 | |
| Liability FVA | (13) | | (214) | | 11 | | 123 | |
| Total CVA—derivative instruments | $ | 5 | | $ | 192 | | $ | 70 | | $ | (274) | |
DVA related to own FVO liabilities(1) | $ | (110) | | $ | (2,935) | | $ | (148) | | $ | 1,253 | |
| Total CVA and DVA | $ | (105) | | $ | (2,743) | | $ | (78) | | $ | 979 | |
(1) See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
|
| | | | | | | | | | | | |
| | Credit/funding/debt valuation adjustments gain (loss) |
| | Three Months Ended September 30, | Nine Months Ended
September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Counterparty CVA | $ | 27 |
| $ | 112 |
| $ | 197 |
| $ | 19 |
|
| Asset FVA | (5 | ) | 37 |
| 74 |
| (59 | ) |
| Own-credit CVA | (2 | ) | (60 | ) | (127 | ) | 65 |
|
| Liability FVA | (16 | ) | (59 | ) | (10 | ) | (11 | ) |
| Total CVA—derivative instruments | $ | 4 |
| $ | 30 |
| $ | 134 |
| $ | 14 |
|
DVA related to own FVO liabilities (1) | $ | (195 | ) | $ | (319 | ) | $ | (422 | ) | $ | 8 |
|
Total CVA and DVA(2) | $ | (191 | ) | $ | (289 | ) | $ | (288 | ) | $ | 22 |
|
| |
(1) | See Note 1 and Note 17 to the Consolidated Financial Statements. |
| |
(2) | FVA is included with CVA for presentation purposes. |
Fair Value Hierarchy
ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:
•Level 1: Quoted prices for identical instruments in active markets.
•Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. These include quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active and model-derived valuations in which all significant inputs and significant value drivers are observable in the market.
•Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.
As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible. The frequency of transactions, the size of the bid/ask spread and the amount of adjustment necessary when comparing similar transactions are all factors in determining the relevance of observed prices in those markets.
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 SeptemberJune 30, 20172021 and December 31, 2016.2020. 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.2. The effects of these hedges are presented gross in the following tables:
|
| | | | | | | | | | | | | | | | | | |
| In millions of dollars at September 30, 2017 | Level 1(1) | Level 2(1) | Level 3 | Gross
inventory | Netting(2) | Net
balance |
| Assets | | | | | | |
| Federal funds sold and securities borrowed or purchased under agreements to resell | $ | — |
| $ | 205,951 |
| $ | 664 |
| $ | 206,615 |
| $ | (50,283 | ) | $ | 156,332 |
|
| Trading non-derivative assets | | | | | | |
| Trading mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | — |
| 21,991 |
| 309 |
| 22,300 |
| — |
| 22,300 |
|
| Residential | — |
| 529 |
| 351 |
| 880 |
| — |
| 880 |
|
| Commercial | — |
| 1,061 |
| 112 |
| 1,173 |
| — |
| 1,173 |
|
| Total trading mortgage-backed securities | $ | — |
| $ | 23,581 |
| $ | 772 |
| $ | 24,353 |
| $ | — |
| $ | 24,353 |
|
| U.S. Treasury and federal agency securities | $ | 22,398 |
| $ | 2,999 |
| $ | — |
| $ | 25,397 |
| $ | — |
| $ | 25,397 |
|
| State and municipal | — |
| 2,429 |
| 270 |
| 2,699 |
| — |
| 2,699 |
|
| Foreign government | 45,503 |
| 18,525 |
| 95 |
| 64,123 |
| — |
| 64,123 |
|
| Corporate | 247 |
| 14,924 |
| 391 |
| 15,562 |
| — |
| 15,562 |
|
| Equity securities | 47,941 |
| 7,427 |
| 236 |
| 55,604 |
| — |
| 55,604 |
|
| Asset-backed securities | — |
| 1,347 |
| 1,704 |
| 3,051 |
| — |
| 3,051 |
|
Other trading assets(3) | 3 |
| 10,034 |
| 2,151 |
| 12,188 |
| — |
| 12,188 |
|
| Total trading non-derivative assets | $ | 116,092 |
| $ | 81,266 |
| $ | 5,619 |
| $ | 202,977 |
| $ | — |
| $ | 202,977 |
|
| Trading derivatives |
|
|
|
| | |
| Interest rate contracts | $ | 147 |
| $ | 206,086 |
| $ | 1,749 |
| $ | 207,982 |
| | |
| Foreign exchange contracts | 42 |
| 133,963 |
| 568 |
| 134,573 |
| | |
| Equity contracts | 2,110 |
| 24,606 |
| 568 |
| 27,284 |
| | |
| Commodity contracts | 280 |
| 11,598 |
| 311 |
| 12,189 |
| | |
| Credit derivatives | — |
| 22,113 |
| 1,098 |
| 23,211 |
| | |
| Total trading derivatives | $ | 2,579 |
| $ | 398,366 |
| $ | 4,294 |
| $ | 405,239 |
| | |
Cash collateral paid(4) | | | | $ | 13,991 |
| | |
| Netting agreements | | | | | $ | (325,424 | ) | |
| Netting of cash collateral received | | | | | (37,876 | ) | |
| Total trading derivatives | $ | 2,579 |
| $ | 398,366 |
| $ | 4,294 |
| $ | 419,230 |
| $ | (363,300 | ) | $ | 55,930 |
|
| Investments | | | | | | |
| Mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | — |
| $ | 42,257 |
| $ | 57 |
| $ | 42,314 |
| $ | — |
| $ | 42,314 |
|
| Residential | — |
| 2,992 |
| — |
| 2,992 |
| — |
| 2,992 |
|
| Commercial | — |
| 341 |
| 3 |
| 344 |
| — |
| 344 |
|
| Total investment mortgage-backed securities | $ | — |
| $ | 45,590 |
| $ | 60 |
| $ | 45,650 |
| $ | — |
| $ | 45,650 |
|
| U.S. Treasury and federal agency securities | $ | 107,085 |
| $ | 11,241 |
| $ | — |
| $ | 118,326 |
| $ | — |
| $ | 118,326 |
|
| State and municipal | — |
| 7,918 |
| 1,272 |
| 9,190 |
| — |
| 9,190 |
|
| Foreign government | 58,869 |
| 41,577 |
| 301 |
| 100,747 |
| — |
| 100,747 |
|
| Corporate | 2,342 |
| 12,997 |
| 120 |
| 15,459 |
| — |
| 15,459 |
|
| Equity securities | 287 |
| 14 |
| 3 |
| 304 |
| — |
| 304 |
|
| Asset-backed securities | — |
| 4,461 |
| 830 |
| 5,291 |
| — |
| 5,291 |
|
| Other debt securities | — |
| 338 |
| 10 |
| 348 |
| — |
| 348 |
|
Non-marketable equity securities(5) | — |
| 66 |
| 829 |
| 895 |
| — |
| 895 |
|
| Total investments | $ | 168,583 |
| $ | 124,202 |
| $ | 3,425 |
| $ | 296,210 |
| $ | — |
| $ | 296,210 |
|
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars at June 30, 2021 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Assets | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | 0 | | $ | 275,313 | | $ | 211 | | $ | 275,524 | | $ | (87,648) | | $ | 187,876 | |
| Trading non-derivative assets | | | | | | |
| Trading mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | 0 | | 31,998 | | 376 | | 32,374 | | — | | 32,374 | |
| Residential | 0 | | 368 | | 95 | | 463 | | — | | 463 | |
| Commercial | 0 | | 900 | | 87 | | 987 | | — | | 987 | |
| Total trading mortgage-backed securities | $ | 0 | | $ | 33,266 | | $ | 558 | | $ | 33,824 | | $ | — | | $ | 33,824 | |
| U.S. Treasury and federal agency securities | $ | 60,491 | | $ | 3,004 | | $ | 0 | | $ | 63,495 | | $ | — | | $ | 63,495 | |
| State and municipal | 0 | | 1,540 | | 70 | | 1,610 | | — | | 1,610 | |
| Foreign government | 60,726 | | 30,205 | | 141 | | 91,072 | | — | | 91,072 | |
| Corporate | 1,939 | | 18,840 | | 823 | | 21,602 | | — | | 21,602 | |
| Equity securities | 55,141 | | 13,038 | | 147 | | 68,326 | | — | | 68,326 | |
| Asset-backed securities | 0 | | 1,016 | | 692 | | 1,708 | | — | | 1,708 | |
Other trading assets(2) | 305 | | 14,838 | | 555 | | 15,698 | | — | | 15,698 | |
| Total trading non-derivative assets | $ | 178,602 | | $ | 115,747 | | $ | 2,986 | | $ | 297,335 | | $ | — | | $ | 297,335 | |
| Trading derivatives | | | | | | |
| Interest rate contracts | $ | 61 | | $ | 183,139 | | $ | 2,777 | | $ | 185,977 | | | |
| Foreign exchange contracts | 0 | | 118,018 | | 553 | | 118,571 | | | |
| Equity contracts | 0 | | 46,973 | | 1,542 | | 48,515 | | | |
| Commodity contracts | 0 | | 24,306 | | 891 | | 25,197 | | | |
| Credit derivatives | 0 | | 8,994 | | 858 | | 9,852 | | | |
| Total trading derivatives—before netting and collateral | $ | 61 | | $ | 381,430 | | $ | 6,621 | | $ | 388,112 | | | |
Cash collateral paid(3) | | | | $ | 22,104 | | | |
| Netting agreements | | | | | $ | (293,047) | | |
| Netting of cash collateral received | | | | | (43,554) | | |
| Total trading derivatives—after netting and collateral | $ | 61 | | $ | 381,430 | | $ | 6,621 | | $ | 410,216 | | $ | (336,601) | | $ | 73,615 | |
| Investments | | | | | | |
| Mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 0 | | $ | 39,258 | | $ | 52 | | $ | 39,310 | | $ | — | | $ | 39,310 | |
| Residential | 0 | | 404 | | 0 | | 404 | | — | | 404 | |
| Commercial | 0 | | 43 | | 0 | | 43 | | — | | 43 | |
| Total investment mortgage-backed securities | $ | 0 | | $ | 39,705 | | $ | 52 | | $ | 39,757 | | $ | — | | $ | 39,757 | |
| U.S. Treasury and federal agency securities | $ | 126,147 | | $ | 0 | | $ | 0 | | $ | 126,147 | | $ | — | | $ | 126,147 | |
| State and municipal | 0 | | 2,331 | | 748 | | 3,079 | | — | | 3,079 | |
| Foreign government | 66,557 | | 52,703 | | 957 | | 120,217 | | — | | 120,217 | |
| Corporate | 4,358 | | 3,441 | | 104 | | 7,903 | | — | | 7,903 | |
| Marketable equity securities | 129 | | 66 | | 0 | | 195 | | — | | 195 | |
| Asset-backed securities | 0 | | 208 | | 3 | | 211 | | — | | 211 | |
| Other debt securities | 0 | | 5,663 | | 0 | | 5,663 | | — | | 5,663 | |
Non-marketable equity securities(4) | 0 | | 69 | | 382 | | 451 | | — | | 451 | |
| Total investments | $ | 197,191 | | $ | 104,186 | | $ | 2,246 | | $ | 303,623 | | $ | — | | $ | 303,623 | |
Table continues on the next page.
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars at June 30, 2021 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Loans | $ | 0 | $ | 7,278 | $ | 429 | $ | 7,707 | | $ | — | | $ | 7,707 | |
| Mortgage servicing rights | 0 | 0 | 419 | 419 | | — | | 419 | |
| | | | | | |
| | | | | | |
| | | | | | |
| Non-trading derivatives and other financial assets measured on a recurring basis | $ | 3,457 | $ | 7,571 | $ | 55 | $ | 11,083 | | $ | 0 | | $ | 11,083 | |
| Total assets | $ | 379,311 | $ | 891,525 | $ | 12,967 | $ | 1,305,907 | | $ | (424,249) | | $ | 881,658 | |
Total as a percentage of gross assets(5) | 29.5% | 69.4% | 1.0% | | | |
| Liabilities | | | | | | |
| Interest-bearing deposits | $ | 0 | $ | 2,595 | $ | 154 | $ | 2,749 | | $ | — | | $ | 2,749 | |
| Securities loaned and sold under agreements to repurchase | 0 | 157,088 | 488 | 157,576 | | (80,871) | | 76,705 | |
| Trading account liabilities | | | | | | |
| Securities sold, not yet purchased | 91,879 | 21,740 | 168 | 113,787 | | — | | 113,787 | |
| Other trading liabilities | 0 | 13 | 1 | 14 | | — | | 14 | |
| Total trading liabilities | $ | 91,879 | $ | 21,753 | $ | 169 | $ | 113,801 | | $ | — | | $ | 113,801 | |
| Trading derivatives | | | | | | |
| Interest rate contracts | $ | 42 | $ | 167,686 | $ | 1,013 | $ | 168,741 | | | |
| Foreign exchange contracts | 2 | 115,996 | 737 | 116,735 | | | |
| Equity contracts | 0 | 55,835 | 4,092 | 59,927 | | | |
| Commodity contracts | 0 | 27,437 | 749 | 28,186 | | | |
| Credit derivatives | 0 | 9,578 | 899 | 10,477 | | | |
| Total trading derivatives—before netting and collateral | $ | 44 | $ | 376,532 | $ | 7,490 | $ | 384,066 | | | |
Cash collateral received(6) | | | | $ | 17,965 | | | |
| Netting agreements | | | | | $ | (293,047) | | |
| Netting of cash collateral paid | | | | | (48,079) | | |
| Total trading derivatives—after netting and collateral | $ | 44 | $ | 376,532 | $ | 7,490 | $ | 402,031 | | $ | (341,126) | | $ | 60,905 | |
| Short-term borrowings | $ | 0 | $ | 7,317 | $ | 41 | $ | 7,358 | | $ | — | | $ | 7,358 | |
| Long-term debt | 0 | 51,307 | 25,068 | 76,375 | | — | | 76,375 | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| Total non-trading derivatives and other financial liabilities measured on a recurring basis | $ | 3,152 | $ | 123 | $ | 4 | $ | 3,279 | | 0 | $ | 3,279 | |
| Total liabilities | $ | 95,075 | $ | 616,715 | $ | 33,414 | $ | 763,169 | | $ | (421,997) | | $ | 341,172 | |
Total as a percentage of gross liabilities(5) | 12.8 | % | 82.8 | % | 4.5 | % | | | |
(1)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)Reflects the net amount of $70,183 million of gross cash collateral paid, of which $48,079 million was used to offset trading derivative liabilities.
(4)Amounts exclude $0.1 billion of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)Reflects the net amount of $61,519 million of gross cash collateral received, of which $43,554 million was used to offset trading derivative assets.
|
| | | | | | | | | | | | | | | | | | |
| In millions of dollars at September 30, 2017 | Level 1(1) | Level 2(1) | Level 3 | Gross
inventory | Netting(2) | Net
balance |
| Loans | $ | — |
| $ | 3,764 |
| $ | 544 |
| $ | 4,308 |
| $ | — |
| $ | 4,308 |
|
| Mortgage servicing rights | — |
| — |
| 553 |
| 553 |
| — |
| 553 |
|
| Non-trading derivatives and other financial assets measured on a recurring basis, gross | $ | 14,434 |
| $ | 6,981 |
| $ | 14 |
| $ | 21,429 |
| | |
Cash collateral paid(6) | | | | — |
| | |
| Netting of cash collateral received | | | | | $ | (1,005 | ) | |
| Non-trading derivatives and other financial assets measured on a recurring basis | $ | 14,434 |
| $ | 6,981 |
| $ | 14 |
| $ | 21,429 |
| $ | (1,005 | ) | $ | 20,424 |
|
| Total assets | $ | 301,688 |
| $ | 820,530 |
| $ | 15,113 |
| $ | 1,151,322 |
| $ | (414,588 | ) | $ | 736,734 |
|
Total as a percentage of gross assets(7) | 26.5 | % | 72.1 | % | 1.3 | % |
|
|
|
|
|
|
| Liabilities | | | | | | |
| Interest-bearing deposits | $ | — |
| $ | 1,197 |
| $ | 300 |
| $ | 1,497 |
| $ | — |
| $ | 1,497 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase | — |
| 94,843 |
| 765 |
| 95,608 |
| (50,283 | ) | 45,325 |
|
| Trading account liabilities | | | | | | |
| Securities sold, not yet purchased | 73,549 |
| 9,688 |
| 684 |
| 83,921 |
| — |
| 83,921 |
|
| Other trading liabilities | — |
| 3,035 |
| — |
| 3,035 |
| — |
| 3,035 |
|
| Total trading liabilities | $ | 73,549 |
| $ | 12,723 |
| $ | 684 |
| $ | 86,956 |
| $ | — |
| $ | 86,956 |
|
| Trading derivatives | | | | | | |
| Interest rate contracts | $ | 118 |
| $ | 185,681 |
| $ | 1,950 |
| $ | 187,749 |
| | |
| Foreign exchange contracts | 50 |
| 132,666 |
| 420 |
| 133,136 |
| | |
| Equity contracts | 2,116 |
| 27,984 |
| 2,416 |
| 32,516 |
| | |
| Commodity contracts | 166 |
| 12,428 |
| 2,650 |
| 15,244 |
| | |
| Credit derivatives | — |
| 23,146 |
| 2,039 |
| 25,185 |
| | |
| Total trading derivatives | $ | 2,450 |
| $ | 381,905 |
| $ | 9,475 |
| $ | 393,830 |
| | |
Cash collateral received(8) | | | | $ | 15,848 |
| | |
| Netting agreements | | | | | $ | (325,424 | ) | |
| Netting of cash collateral paid | | | | | (32,390 | ) | |
| Total trading derivatives | $ | 2,450 |
| $ | 381,905 |
| $ | 9,475 |
| $ | 409,678 |
| $ | (357,814 | ) | $ | 51,864 |
|
| Short-term borrowings | $ | — |
| $ | 4,771 |
| $ | 56 |
| $ | 4,827 |
| $ | — |
| $ | 4,827 |
|
| Long-term debt | — |
| 19,505 |
| 11,321 |
| 30,826 |
| — |
| 30,826 |
|
| Non-trading derivatives and other financial liabilities measured on a recurring basis, gross | $ | 14,434 |
| $ | 716 |
| $ | 2 |
| $ | 15,152 |
| | |
Cash collateral received(9) | | | | 9 |
| | |
| Netting of cash collateral paid | | | | | $ | (17 | ) | |
| Total non-trading derivatives and other financial liabilities measured on a recurring basis | $ | 14,434 |
| $ | 716 |
| $ | 2 |
| $ | 15,161 |
| $ | (17 | ) | $ | 15,144 |
|
| Total liabilities | $ | 90,433 |
| $ | 515,660 |
| $ | 22,603 |
| $ | 644,553 |
| $ | (408,114 | ) | $ | 236,439 |
|
Total as a percentage of gross liabilities(7) | 14.4 | % | 82.0 | % | 3.6 | % | | | |
| |
(1) | For the three and nine months ended September 30, 2017, the Company transferred assets of approximately $0.6 billion and $3.6 billion from Level 1 to Level 2, primarily related to foreign government securities and equity securities not traded in active markets. During the three and nine months ended September 30, 2017, the Company transferred assets of approximately $0.9 billion and $3.1 billion from Level 2 to Level 1, primarily related to foreign government bonds traded with sufficient frequency to constitute an active market. For the three and nine months ended September 30, 2017, the Company transferred liabilities of approximately $0.2 billion and $0.3 billion from Level 1 to Level 2. During the three and nine months ended September 30, 2017, the Company transferred liabilities of approximately $0.1 billion and $0.2 billion from Level 2 to Level 1.
|
| |
(2) | Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; 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 $46,381 million gross cash collateral paid, of which $32,390 million was used to offset trading derivative liabilities. |
| |
(5) | Amounts exclude $0.4 billion investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
|
| |
(6) | Reflects the net amount of $17 million of gross cash collateral paid, all of which was used to offset non-trading derivative liabilities. |
| |
(7) | Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives. |
| |
(8) | Reflects the net amount $53,724 million of gross cash collateral received, of which $37,876 million was used to offset trading derivative assets. |
| |
(9) | Reflects the net amount of $1,014 million of gross cash collateral received, of which $1,005 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 3 | Gross
inventory | Netting(2) | Net
balance | |
| In millions of dollars at December 31, 2020 | | In millions of dollars at December 31, 2020 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Assets | | | Assets | | |
| Federal funds sold and securities borrowed or purchased under agreements to resell | $ | — |
| $ | 172,394 |
| $ | 1,496 |
| $ | 173,890 |
| $ | (40,686 | ) | $ | 133,204 |
| |
| Securities borrowed and purchased under agreements to resell | | Securities borrowed and purchased under agreements to resell | $ | 0 | | $ | 335,073 | | $ | 320 | | $ | 335,393 | | $ | (150,189) | | $ | 185,204 | |
| Trading non-derivative assets | | | Trading non-derivative assets | | |
| Trading mortgage-backed securities | | | Trading mortgage-backed securities | | |
| U.S. government-sponsored agency guaranteed | — |
| 22,718 |
| 176 |
| 22,894 |
| — |
| 22,894 |
| U.S. government-sponsored agency guaranteed | 0 | | 42,903 | | 27 | | 42,930 | | — | | 42,930 | |
| Residential | — |
| 291 |
| 399 |
| 690 |
| — |
| 690 |
| Residential | 0 | | 391 | | 340 | | 731 | | — | | 731 | |
| Commercial | — |
| 1,000 |
| 206 |
| 1,206 |
| — |
| 1,206 |
| Commercial | 0 | | 893 | | 136 | | 1,029 | | — | | 1,029 | |
| Total trading mortgage-backed securities | $ | — |
| $ | 24,009 |
| $ | 781 |
| $ | 24,790 |
| $ | — |
| $ | 24,790 |
| Total trading mortgage-backed securities | $ | 0 | | $ | 44,187 | | $ | 503 | | $ | 44,690 | | $ | — | | $ | 44,690 | |
| U.S. Treasury and federal agency securities | $ | 16,368 |
| $ | 4,811 |
| $ | 1 |
| $ | 21,180 |
| $ | — |
| $ | 21,180 |
| U.S. Treasury and federal agency securities | $ | 64,529 | | $ | 2,269 | | $ | 0 | | $ | 66,798 | | $ | — | | $ | 66,798 | |
| State and municipal | — |
| 3,780 |
| 296 |
| 4,076 |
| — |
| 4,076 |
| State and municipal | 0 | | 1,224 | | 94 | | 1,318 | | — | | 1,318 | |
| Foreign government | 32,164 |
| 17,492 |
| 40 |
| 49,696 |
| — |
| 49,696 |
| Foreign government | 68,195 | | 15,143 | | 51 | | 83,389 | | — | | 83,389 | |
| Corporate | 424 |
| 14,199 |
| 324 |
| 14,947 |
| — |
| 14,947 |
| Corporate | 1,607 | | 18,840 | | 375 | | 20,822 | | — | | 20,822 | |
| Equity securities | 45,056 |
| 5,260 |
| 127 |
| 50,443 |
| — |
| 50,443 |
| Equity securities | 54,117 | | 12,289 | | 73 | | 66,479 | | — | | 66,479 | |
| Asset-backed securities | — |
| 892 |
| 1,868 |
| 2,760 |
| — |
| 2,760 |
| Asset-backed securities | 0 | | 776 | | 1,606 | | 2,382 | | — | | 2,382 | |
Other trading assets(3) | — |
| 9,466 |
| 2,814 |
| 12,280 |
| — |
| 12,280 |
| |
Other trading assets(2) | | Other trading assets(2) | 0 | | 11,295 | | 945 | | 12,240 | | — | | 12,240 | |
| Total trading non-derivative assets | $ | 94,012 |
| $ | 79,909 |
| $ | 6,251 |
| $ | 180,172 |
| $ | — |
| $ | 180,172 |
| Total trading non-derivative assets | $ | 188,448 | | $ | 106,023 | | $ | 3,647 | | $ | 298,118 | | $ | — | | $ | 298,118 | |
| Trading derivatives | | | Trading derivatives | | |
| Interest rate contracts | $ | 105 |
| $ | 366,995 |
| $ | 2,225 |
| $ | 369,325 |
| | | Interest rate contracts | $ | 42 | | $ | 238,026 | | $ | 3,393 | | $ | 241,461 | | | |
| Foreign exchange contracts | 53 |
| 184,776 |
| 833 |
| 185,662 |
| | | Foreign exchange contracts | 2 | | 155,994 | | 674 | | 156,670 | | | |
| Equity contracts | 2,306 |
| 21,209 |
| 595 |
| 24,110 |
| | | Equity contracts | 66 | | 48,362 | | 2,091 | | 50,519 | | | |
| Commodity contracts | 261 |
| 12,999 |
| 505 |
| 13,765 |
| | | Commodity contracts | 0 | | 13,546 | | 992 | | 14,538 | | | |
| Credit derivatives | — |
| 23,021 |
| 1,594 |
| 24,615 |
| | | Credit derivatives | 0 | | 8,634 | | 1,155 | | 9,789 | | | |
| Total trading derivatives | $ | 2,725 |
| $ | 609,000 |
| $ | 5,752 |
| $ | 617,477 |
| | | |
Cash collateral paid(4) | | $ | 11,188 |
| | | |
| Total trading derivatives—before netting and collateral | | Total trading derivatives—before netting and collateral | $ | 110 | | $ | 464,562 | | $ | 8,305 | | $ | 472,977 | | | |
Cash collateral paid(3) | | Cash collateral paid(3) | | $ | 32,778 | | | |
| Netting agreements | | $ | (519,000 | ) | | Netting agreements | | $ | (364,879) | | |
| Netting of cash collateral received | | (45,912 | ) | | Netting of cash collateral received | | (63,915) | | |
| Total trading derivatives | $ | 2,725 |
| $ | 609,000 |
| $ | 5,752 |
| $ | 628,665 |
| $ | (564,912 | ) | $ | 63,753 |
| |
| Total trading derivatives—after netting and collateral | | Total trading derivatives—after netting and collateral | $ | 110 | | $ | 464,562 | | $ | 8,305 | | $ | 505,755 | | $ | (428,794) | | $ | 76,961 | |
| Investments | | | Investments | | |
| Mortgage-backed securities | | | Mortgage-backed securities | | |
| U.S. government-sponsored agency guaranteed | $ | — |
| $ | 38,304 |
| $ | 101 |
| $ | 38,405 |
| $ | — |
| $ | 38,405 |
| U.S. government-sponsored agency guaranteed | $ | 0 | | $ | 43,888 | | $ | 30 | | $ | 43,918 | | $ | — | | $ | 43,918 | |
| Residential | — |
| 3,860 |
| 50 |
| 3,910 |
| — |
| 3,910 |
| Residential | 0 | | 571 | | 0 | | 571 | | — | | 571 | |
| Commercial | — |
| 358 |
| — |
| 358 |
| — |
| 358 |
| Commercial | 0 | | 50 | | 0 | | 50 | | — | | 50 | |
| Total investment mortgage-backed securities | $ | — |
| $ | 42,522 |
| $ | 151 |
| $ | 42,673 |
| $ | — |
| $ | 42,673 |
| Total investment mortgage-backed securities | $ | 0 | | $ | 44,509 | | $ | 30 | | $ | 44,539 | | $ | — | | $ | 44,539 | |
| U.S. Treasury and federal agency securities | $ | 112,916 |
| $ | 10,753 |
| $ | 2 |
| $ | 123,671 |
| $ | — |
| $ | 123,671 |
| U.S. Treasury and federal agency securities | $ | 146,032 | | $ | 172 | | $ | 0 | | $ | 146,204 | | $ | — | | $ | 146,204 | |
| State and municipal | — |
| 8,909 |
| 1,211 |
| 10,120 |
| — |
| 10,120 |
| State and municipal | 0 | | 2,885 | | 834 | | 3,719 | | — | | 3,719 | |
| Foreign government | 54,028 |
| 43,934 |
| 186 |
| 98,148 |
| — |
| 98,148 |
| Foreign government | 77,056 | | 47,644 | | 268 | | 124,968 | | — | | 124,968 | |
| Corporate | 3,215 |
| 13,598 |
| 311 |
| 17,124 |
| — |
| 17,124 |
| Corporate | 6,326 | | 4,114 | | 60 | | 10,500 | | — | | 10,500 | |
| Equity securities | 336 |
| 46 |
| 9 |
| 391 |
| — |
| 391 |
| |
| Marketable equity securities | | Marketable equity securities | 287 | | 228 | | 0 | | 515 | | — | | 515 | |
| Asset-backed securities | — |
| 6,134 |
| 660 |
| 6,794 |
| — |
| 6,794 |
| Asset-backed securities | 0 | | 277 | | 1 | | 278 | | — | | 278 | |
| Other debt securities | — |
| 503 |
| — |
| 503 |
| — |
| 503 |
| Other debt securities | 0 | | 4,876 | | 0 | | 4,876 | | — | | 4,876 | |
Non-marketable equity securities(5) | — |
| 35 |
| 1,331 |
| 1,366 |
| — |
| 1,366 |
| |
Non-marketable equity securities(4) | | Non-marketable equity securities(4) | 0 | | 50 | | 349 | | 399 | | — | | 399 | |
| Total investments | $ | 170,495 |
| $ | 126,434 |
| $ | 3,861 |
| $ | 300,790 |
| $ | — |
| $ | 300,790 |
| Total investments | $ | 229,701 | | $ | 104,755 | | $ | 1,542 | | $ | 335,998 | | $ | — | | $ | 335,998 | |
Table continues on the next page.
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars at December 31, 2020 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(2) | Net
balance |
| Loans | $ | 0 | $ | 4,869 | $ | 1,985 | $ | 6,854 | | $ | — | | $ | 6,854 | |
| Mortgage servicing rights | 0 | 0 | 336 | 336 | | — | | 336 | |
| | | | | | |
| | | | | | |
| | | | | | |
| Non-trading derivatives and other financial assets measured on a recurring basis | $ | 6,230 | $ | 8,383 | $ | 0 | $ | 14,613 | | $ | 0 | | $ | 14,613 | |
| Total assets | $ | 424,489 | $ | 1,023,665 | $ | 16,135 | $ | 1,497,067 | | $ | (578,983) | | $ | 918,084 | |
Total as a percentage of gross assets(5) | 29.0% | 69.9% | 1.1% | | | |
| Liabilities | | | | | | |
| Interest-bearing deposits | $ | 0 | $ | 1,752 | $ | 206 | $ | 1,958 | | $ | — | | $ | 1,958 | |
| Securities loaned and sold under agreements to repurchase | 0 | 156,644 | 631 | 157,275 | | (97,069) | | 60,206 | |
| Trading account liabilities | | | | | | |
| Securities sold, not yet purchased | 85,353 | 14,477 | 214 | 100,044 | | — | | 100,044 | |
| Other trading liabilities | 0 | 0 | 26 | 26 | | — | | 26 | |
| Total trading liabilities | $ | 85,353 | $ | 14,477 | $ | 240 | $ | 100,070 | | $ | — | | $ | 100,070 | |
| Trading account derivatives | | | | | | |
| Interest rate contracts | $ | 25 | $ | 220,607 | $ | 1,779 | $ | 222,411 | | | |
| Foreign exchange contracts | 3 | 155,441 | 622 | 156,066 | | | |
| Equity contracts | 53 | 58,212 | 5,304 | 63,569 | | | |
| Commodity contracts | 0 | 17,393 | 700 | 18,093 | | | |
| Credit derivatives | 0 | 9,022 | 1,107 | 10,129 | | | |
| Total trading derivatives—before netting and collateral | $ | 81 | $ | 460,675 | $ | 9,512 | $ | 470,268 | | | |
Cash collateral received(6) | | | | $ | 8,196 | | | |
| Netting agreements | | | | | $ | (364,879) | | |
| Netting of cash collateral paid | | | | | (45,628) | | |
| Total trading derivatives—after netting and collateral | $ | 81 | $ | 460,675 | $ | 9,512 | $ | 478,464 | | $ | (410,507) | | $ | 67,957 | |
| Short-term borrowings | $ | 0 | $ | 4,464 | $ | 219 | $ | 4,683 | | $ | — | | $ | 4,683 | |
| Long-term debt | 0 | 41,853 | 25,210 | 67,063 | | — | | 67,063 | |
| | | | | | |
| | | | | | |
| | | | | | |
| Non-trading derivatives and other financial liabilities measured on a recurring basis | $ | 6,762 | $ | 72 | $ | 1 | $ | 6,835 | | $ | 0 | | $ | 6,835 | |
| Total liabilities | $ | 92,196 | $ | 679,937 | $ | 36,019 | $ | 816,348 | | $ | (507,576) | | $ | 308,772 | |
Total as a percentage of gross liabilities(5) | 11.4 | % | 84.1 | % | 4.5 | % | | | |
(1)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)Reflects the net amount of $78,406 million of gross cash collateral paid, of which $45,628 million was used to offset trading derivative liabilities.
(4)Amounts exclude $0.2 billion of investments measured at NAV in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)Reflects the net amount of $72,111 million of gross cash collateral received, of which $63,915 million was used to offset trading derivative assets.
|
| | | | | | | | | | | | | | | | | | |
| In millions of dollars at December 31, 2016 | Level 1(1) | Level 2(1) | Level 3 | Gross
inventory | Netting(2) | Net
balance |
| Loans | $ | — |
| $ | 2,918 |
| $ | 568 |
| $ | 3,486 |
| $ | — |
| $ | 3,486 |
|
| Mortgage servicing rights | — |
| — |
| 1,564 |
| 1,564 |
| — |
| 1,564 |
|
| 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 |
|
| Total assets | $ | 276,532 |
| $ | 998,387 |
| $ | 19,526 |
| $ | 1,305,641 |
| $ | (606,943 | ) | $ | 698,698 |
|
Total as a percentage of gross assets(7) | 21.4 | % | 77.1 | % | 1.5 | % | | | |
| Liabilities | | | | | | |
| Interest-bearing deposits | $ | — |
| $ | 919 |
| $ | 293 |
| $ | 1,212 |
| $ | — |
| $ | 1,212 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase | — |
| 73,500 |
| 849 |
| 74,349 |
| (40,686 | ) | 33,663 |
|
| Trading account liabilities | | | | | | |
| Securities sold, not yet purchased | 67,429 |
| 12,184 |
| 1,177 |
| 80,790 |
| — |
| 80,790 |
|
| Other trading liabilities | — |
| 1,827 |
| 1 |
| 1,828 |
| — |
| 1,828 |
|
| Total trading liabilities | $ | 67,429 |
| $ | 14,011 |
| $ | 1,178 |
| $ | 82,618 |
| $ | — |
| $ | 82,618 |
|
| Trading account derivatives | | | | | | |
| Interest rate contracts | $ | 107 |
| $ | 351,766 |
| $ | 2,888 |
| $ | 354,761 |
| | |
| Foreign exchange contracts | 13 |
| 187,328 |
| 420 |
| 187,761 |
| | |
| Equity contracts | 2,245 |
| 22,119 |
| 2,152 |
| 26,516 |
| | |
| Commodity contracts | 196 |
| 12,386 |
| 2,450 |
| 15,032 |
| | |
| Credit derivatives | — |
| 22,842 |
| 2,595 |
| 25,437 |
| | |
| Total trading derivatives | $ | 2,561 |
| $ | 596,441 |
| $ | 10,505 |
| $ | 609,507 |
| | |
Cash collateral received(8) | | | | $ | 15,731 |
| | |
| Netting agreements | | | | | $ | (519,000 | ) | |
| Netting of cash collateral paid | | | | | (49,811 | ) | |
| Total trading derivatives | $ | 2,561 |
| $ | 596,441 |
| $ | 10,505 |
| $ | 625,238 |
| $ | (568,811 | ) | $ | 56,427 |
|
| Short-term borrowings | $ | — |
| $ | 2,658 |
| $ | 42 |
| $ | 2,700 |
| $ | — |
| $ | 2,700 |
|
| Long-term debt | — |
| 16,510 |
| 9,744 |
| 26,254 |
| — |
| 26,254 |
|
| 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 |
|
| Total liabilities | $ | 79,290 |
| $ | 705,579 |
| $ | 22,619 |
| $ | 823,220 |
| $ | (609,550 | ) | $ | 213,670 |
|
Total as a percentage of gross liabilities(7) | 9.8 | % | 87.4 | % | 2.8 | % | | | |
| |
(1) | In 2016, the Company transferred assets of approximately $2.6 billion from Level 1 to Level 2, primarily related to foreign government securities and equity securities not traded in active markets. In 2016, 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, the Company transferred liabilities of approximately $0.4 billion from Level 2 to Level 1. In 2016, the Company transferred liabilities of approximately $0.3 billion from Level 1 to Level 2. |
| |
(2) | Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; 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 million of gross cash collateral paid, of which $49,811 million was used to offset trading derivative liabilities. |
| |
(5) | Amounts exclude $0.4 billion investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
|
| |
(6) | Reflects the net amount of $61 million of gross cash collateral paid, of which $53 million was used to offset non-trading derivative liabilities.
|
| |
(7) | Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives. |
| |
(8) | Reflects the net amount of $61,643 million of gross cash collateral received, of which $45,912 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 and ninesix months ended SeptemberJune 30, 20172021 and 2016.2020. 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(1) | Transfers | | | Unrealized
gains (losses)
still held(3) |
| In millions of dollars | Jun. 30, 2017 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2017 | In millions of dollars | Mar. 31, 2021 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2021 |
| Assets | | | | Assets | | | |
Federal funds sold and securities borrowed or purchased under agreements to resell | $ | 1,002 |
| $ | (338 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 664 |
| $ | (338 | ) | |
| Securities borrowed and purchased under agreements to resell | | Securities borrowed and purchased under agreements to resell | $ | 262 | | $ | (2) | | $ | 0 | | $ | 0 | | $ | (49) | | $ | 43 | | $ | 0 | | $ | 0 | | $ | (43) | | $ | 211 | | $ | 1 | |
| Trading non-derivative assets | | | | Trading non-derivative assets | | | | |
Trading mortgage- backed securities | | | | |
| Trading mortgage-backed securities | | Trading mortgage-backed securities | | | |
| U.S. government-sponsored agency guaranteed | 204 |
| — |
| — |
| 75 |
| (21 | ) | 174 |
| — |
| (123 | ) | — |
| 309 |
| — |
| U.S. government-sponsored agency guaranteed | 38 | | 2 | | 0 | | 238 | | (7) | | 113 | | 0 | | (8) | | 0 | | 376 | | (12) | |
| Residential | 327 |
| 24 |
| — |
| 41 |
| (9 | ) | 39 |
| — |
| (71 | ) | — |
| 351 |
| 12 |
| Residential | 268 | | (1) | | 0 | | 41 | | (65) | | 57 | | 0 | | (205) | | 0 | | 95 | | 2 | |
| Commercial | 318 |
| 10 |
| — |
| 22 |
| (17 | ) | 11 |
| — |
| (232 | ) | — |
| 112 |
| 5 |
| Commercial | 59 | | 16 | | 0 | | 60 | | (8) | | 11 | | 0 | | (51) | | 0 | | 87 | | 3 | |
Total trading mortgage- backed securities | $ | 849 |
| $ | 34 |
| $ | — |
| $ | 138 |
| $ | (47 | ) | $ | 224 |
| $ | — |
| $ | (426 | ) | $ | — |
| $ | 772 |
| $ | 17 |
| |
| Total trading mortgage-backed securities | | Total trading mortgage-backed securities | $ | 365 | | $ | 17 | | $ | 0 | | $ | 339 | | $ | (80) | | $ | 181 | | $ | 0 | | $ | (264) | | $ | 0 | | $ | 558 | | $ | (7) | |
| U.S. Treasury and federal agency securities | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| U.S. Treasury and federal agency securities | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| State and municipal | 284 |
| (2 | ) | — |
| — |
| — |
| 49 |
| — |
| (61 | ) | — |
| 270 |
| (1 | ) | State and municipal | 94 | | 0 | | 0 | | 0 | | (29) | | 5 | | 0 | | 0 | | 0 | | 70 | | 0 | |
| Foreign government | 108 |
| (5 | ) | — |
| 4 |
| (114 | ) | 161 |
| — |
| (59 | ) | — |
| 95 |
| (2 | ) | Foreign government | 81 | | 4 | | 0 | | 125 | | (28) | | 14 | | 0 | | (55) | | 0 | | 141 | | 1 | |
| Corporate | 401 |
| 105 |
| — |
| 16 |
| (11 | ) | 148 |
| — |
| (268 | ) | — |
| 391 |
| 103 |
| Corporate | 290 | | (15) | | 0 | | 312 | | (50) | | 408 | | 0 | | (122) | | 0 | | 823 | | (36) | |
| Equity securities | 240 |
| 183 |
| — |
| 3 |
| (41 | ) | 29 |
| — |
| (178 | ) | — |
| 236 |
| 6 |
| |
| Marketable equity securities | | Marketable equity securities | 89 | | 2 | | 0 | | 80 | | (40) | | 23 | | 0 | | (7) | | 0 | | 147 | | 15 | |
| Asset-backed securities | 1,570 |
| 114 |
| — |
| 5 |
| (6 | ) | 481 |
| — |
| (460 | ) | — |
| 1,704 |
| 26 |
| Asset-backed securities | 1,208 | | 209 | | 0 | | 17 | | (148) | | 352 | | 0 | | (946) | | 0 | | 692 | | 22 | |
| Other trading assets | 1,803 |
| (38 | ) | — |
| 38 |
| (607 | ) | 1,349 |
| 4 |
| (394 | ) | (4 | ) | 2,151 |
| 29 |
| Other trading assets | 571 | | 62 | | 0 | | 31 | | (121) | | 201 | | 0 | | (189) | | 0 | | 555 | | 4 | |
Total trading non- derivative assets | $ | 5,255 |
| $ | 391 |
| $ | — |
| $ | 204 |
| $ | (826 | ) | $ | 2,441 |
| $ | 4 |
| $ | (1,846 | ) | $ | (4 | ) | $ | 5,619 |
| $ | 178 |
| |
| Total trading non-derivative assets | | Total trading non-derivative assets | $ | 2,698 | | $ | 279 | | $ | 0 | | $ | 904 | | $ | (496) | | $ | 1,184 | | $ | 0 | | $ | (1,583) | | $ | 0 | | $ | 2,986 | | $ | (1) | |
Trading derivatives, net(4) | | | | Trading derivatives, net(4) | | | |
| Interest rate contracts | $ | (288 | ) | $ | 196 |
| $ | — |
| $ | 4 |
| $ | (4 | ) | $ | 25 |
| $ | — |
| $ | (20 | ) | $ | (114 | ) | $ | (201 | ) | $ | 120 |
| Interest rate contracts | $ | 1,229 | | $ | (126) | | $ | 0 | | $ | 218 | | $ | 321 | | $ | 2 | | $ | 0 | | $ | 0 | | $ | 120 | | $ | 1,764 | | $ | (70) | |
| Foreign exchange contracts | 184 |
| (92 | ) | — |
| 1 |
| (4 | ) | (6 | ) | — |
| (3 | ) | 68 |
| 148 |
| (92 | ) | Foreign exchange contracts | (86) | | 59 | | 0 | | 0 | | 4 | | 111 | | 0 | | (282) | | 10 | | (184) | | (28) | |
| Equity contracts | (1,647 | ) | 201 |
| — |
| (52 | ) | (34 | ) | 31 |
| — |
| (126 | ) | (221 | ) | (1,848 | ) | (10 | ) | Equity contracts | (2,876) | | 309 | | 0 | | (634) | | 892 | | 85 | | 0 | | (94) | | (232) | | (2,550) | | 349 | |
| Commodity contracts | (2,024 | ) | (248 | ) | — |
| (29 | ) | (10 | ) | — |
| — |
| (3 | ) | (25 | ) | (2,339 | ) | (255 | ) | Commodity contracts | 732 | | 236 | | 0 | | (148) | | (612) | | 28 | | 0 | | (45) | | (49) | | 142 | | (194) | |
| Credit derivatives | (1,339 | ) | (150 | ) | — |
| 25 |
| 115 |
| 7 |
| — |
| — |
| 401 |
| (941 | ) | (185 | ) | Credit derivatives | 71 | | (57) | | 0 | | (52) | | (74) | | 0 | | 0 | | 0 | | 71 | | (41) | | (107) | |
Total trading derivatives, net(4) | $ | (5,114 | ) | $ | (93 | ) | $ | — |
| $ | (51 | ) | $ | 63 |
| $ | 57 |
| $ | — |
| $ | (152 | ) | $ | 109 |
| $ | (5,181 | ) | $ | (422 | ) | Total trading derivatives, net(4) | $ | (930) | | $ | 421 | | $ | 0 | | $ | (616) | | $ | 531 | | $ | 226 | | $ | 0 | | $ | (421) | | $ | (80) | | $ | (869) | | $ | (50) | |
Table continues on the next page.
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized
gains (losses) incl. in | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Jun. 30, 2017 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2017 |
| Investments | | | | | | | | | | | |
| Mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 50 |
| $ | — |
| $ | 12 |
| $ | — |
| $ | (5 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 57 |
| $ | 28 |
|
| Residential | — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
|
| Commercial | — |
| — |
| — |
| 3 |
| — |
| — |
| — |
| — |
| — |
| 3 |
| — |
|
| Total investment mortgage-backed securities | $ | 50 |
| $ | — |
| $ | 12 |
| $ | 3 |
| $ | (5 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 60 |
| $ | 28 |
|
| U.S. Treasury and federal agency securities | $ | 1 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (1 | ) | $ | — |
| $ | — |
| $ | — |
|
| State and municipal | 1,285 |
| — |
| (2 | ) | 21 |
| (3 | ) | 16 |
| — |
| (45 | ) | — |
| 1,272 |
| 17 |
|
| Foreign government | 358 |
| — |
| (58 | ) | — |
| (18 | ) | 122 |
| — |
| (103 | ) | — |
| 301 |
| (7 | ) |
| Corporate | 156 |
| — |
| 146 |
| 10 |
| (2 | ) | 41 |
| — |
| (231 | ) | — |
| 120 |
| — |
|
| Equity securities | 9 |
| — |
| (1 | ) | — |
| — |
| — |
| — |
| (5 | ) | — |
| 3 |
| — |
|
| Asset-backed securities | 1,028 |
| — |
| (280 | ) | 2 |
| (7 | ) | 504 |
| — |
| (417 | ) | — |
| 830 |
| (134 | ) |
| Other debt securities | 10 |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 10 |
| — |
|
| Non-marketable equity securities | 939 |
| — |
| (61 | ) | — |
| — |
| 1 |
| — |
| (1 | ) | (49 | ) | 829 |
| (18 | ) |
| Total investments | $ | 3,836 |
| $ | — |
| $ | (244 | ) | $ | 36 |
| $ | (35 | ) | $ | 684 |
| $ | — |
| $ | (803 | ) | $ | (49 | ) | $ | 3,425 |
| $ | (114 | ) |
| Loans | $ | 577 |
| $ | — |
| $ | 73 |
| $ | — |
| $ | — |
| $ | 131 |
| $ | — |
| $ | (236 | ) | $ | (1 | ) | $ | 544 |
| $ | 264 |
|
| Mortgage servicing rights | 560 |
| — |
| (6 | ) | — |
| — |
| — |
| 19 |
| — |
| (20 | ) | 553 |
| 3 |
|
| Other financial assets measured on a recurring basis | 17 |
| — |
| 13 |
| — |
| — |
| 1 |
| 43 |
| (4 | ) | (56 | ) | 14 |
| 17 |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
| Interest-bearing deposits | $ | 300 |
| $ | — |
| $ | (2 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (2 | ) | $ | 300 |
| $ | 6 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase | 807 |
| (1 | ) | — |
| — |
| — |
| — |
| — |
| — |
| (43 | ) | 765 |
| 4 |
|
| Trading account liabilities |
|
|
|
|
|
|
|
|
|
|
|
| Securities sold, not yet purchased | 1,143 |
| 496 |
| — |
| 5 |
| (10 | ) | — |
| — |
| 88 |
| (46 | ) | 684 |
| 24 |
|
| Other trading liabilities | — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
|
| Short-term borrowings | 29 |
| (13 | ) | — |
| 3 |
| (1 | ) | — |
| 12 |
| — |
| — |
| 56 |
| 7 |
|
| Long-term debt | 11,831 |
| 1,057 |
| — |
| 181 |
| (490 | ) | — |
| 419 |
| — |
| 437 |
| 11,321 |
| 716 |
|
| Other financial liabilities measured on a recurring basis | 2 |
| — |
| — |
| — |
| — |
| — |
| 1 |
| — |
| (1 | ) | 2 |
| (1 | ) |
| |
(1) | Changes in fair value for available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.
|
| |
(2) | Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.
|
| |
(3) | Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at September 30, 2017. |
| |
(4) | Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized
gains (losses)
still held(3) |
| In millions of dollars | Mar. 31, 2021 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2021 |
| Investments | | | | | | | | | | | |
| Mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 30 | | $ | 0 | | $ | 2 | | $ | 22 | | $ | 0 | | $ | 3 | | $ | 0 | | $ | (5) | | $ | 0 | | $ | 52 | | $ | (21) | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| Total investment mortgage-backed securities | $ | 30 | | $ | 0 | | $ | 2 | | $ | 22 | | $ | 0 | | $ | 3 | | $ | 0 | | $ | (5) | | $ | 0 | | $ | 52 | | $ | (21) | |
| U.S. Treasury and federal agency securities | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| State and municipal | 794 | | 0 | | 8 | | 54 | | (108) | | 2 | | 0 | | (2) | | 0 | | 748 | | 6 | |
| Foreign government | 523 | | 0 | | 3 | | 440 | | (289) | | 315 | | 0 | | (35) | | 0 | | 957 | | 3 | |
| Corporate | 56 | | 0 | | (7) | | 32 | | 0 | | 30 | | 0 | | (7) | | 0 | | 104 | | (1) | |
| | | | | | | | | | | |
| Asset-backed securities | 4 | | 0 | | (21) | | 33 | | 0 | | 0 | | 0 | | (13) | | 0 | | 3 | | 1 | |
| | | | | | | | | | | |
| Non-marketable equity securities | 352 | | 0 | | 30 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 382 | | 2 | |
| Total investments | $ | 1,759 | | $ | 0 | | $ | 15 | | $ | 581 | | $ | (397) | | $ | 350 | | $ | 0 | | $ | (62) | | $ | 0 | | $ | 2,246 | | $ | (10) | |
| Loans | $ | 1,944 | | $ | 0 | | $ | 476 | | $ | 60 | | $ | (2,051) | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 429 | | $ | 169 | |
| Mortgage servicing rights | 433 | | 0 | | (21) | | 0 | | 0 | | 0 | | 25 | | 0 | | (18) | | 419 | | (21) | |
| Other financial assets measured on a recurring basis | 0 | | 0 | | 0 | | 55 | | 0 | | 0 | | 0 | | 0 | | 0 | | 55 | | 0 | |
| Liabilities | | | | | | | | | | | |
| Interest-bearing deposits | $ | 199 | | $ | 0 | | $ | 2 | | $ | 0 | | $ | (44) | | $ | 0 | | $ | 11 | | $ | 0 | | $ | (10) | | $ | 154 | | $ | 0 | |
| Securities loaned and sold under agreements to repurchase | 977 | | 22 | | 0 | | 0 | | (483) | | 80 | | 0 | | 0 | | (64) | | 488 | | 0 | |
| Trading account liabilities | | | | | | | | | | | |
| Securities sold, not yet purchased | 167 | | 7 | | 0 | | 54 | | (21) | | 10 | | 0 | | 0 | | (35) | | 168 | | 26 | |
| Other trading liabilities | 6 | | 5 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 1 | | 4 | |
| Short-term borrowings | 49 | | 33 | | 0 | | 40 | | (32) | | 0 | | 17 | | 0 | | 0 | | 41 | | 17 | |
| Long-term debt | 26,337 | | (849) | | 0 | | 3,937 | | (5,966) | | 0 | | 1,825 | | 0 | | (1,914) | | 25,068 | | (699) | |
| Other financial liabilities measured on a recurring basis | 8 | | 0 | | 0 | | 0 | | (4) | | 0 | | 0 | | 0 | 0 | | 4 | | 0 | |
| | | | | | | | | | | |
(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in 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 debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2021.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.
| | | | | Net realized/unrealized
gains (losses) incl. in | Transfers | | Unrealized
gains
(losses)
still held(3) | | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Dec. 31, 2016 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2017 | In millions of dollars | Dec. 31, 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2021 |
| Assets | | | | Assets | | | |
| Federal funds sold and securities borrowed or purchased under agreements to resell | $ | 1,496 |
| $ | (340 | ) | $ | — |
| $ | — |
| $ | (491 | ) | $ | — |
| $ | — |
| $ | — |
| $ | (1 | ) | $ | 664 |
| $ | — |
| |
| Securities borrowed and purchased under agreements to resell | | Securities borrowed and purchased under agreements to resell | $ | 320 | | $ | (11) | | $ | 0 | | $ | 0 | | $ | (49) | | $ | 276 | | $ | 0 | | $ | 0 | | $ | (325) | | $ | 211 | | $ | 1 | |
| Trading non-derivative assets | | | | Trading non-derivative assets | | | |
| Trading mortgage-backed securities | | | | Trading mortgage-backed securities | | | |
| U.S. government-sponsored agency guaranteed | 176 |
| 4 |
| — |
| 154 |
| (86 | ) | 438 |
| — |
| (377 | ) | — |
| 309 |
| 1 |
| U.S. government-sponsored agency guaranteed | 27 | | 1 | | 0 | | 252 | | (8) | | 114 | | 0 | | (10) | | 0 | | 376 | | 16 | |
| Residential | 399 |
| 61 |
| — |
| 88 |
| (58 | ) | 105 |
| — |
| (244 | ) | — |
| 351 |
| 35 |
| Residential | 340 | | 22 | | 0 | | 69 | | (68) | | 201 | | 0 | | (469) | | 0 | | 95 | | 18 | |
| Commercial | 206 |
| 7 |
| — |
| 66 |
| (46 | ) | 445 |
| — |
| (566 | ) | — |
| 112 |
| (5 | ) | Commercial | 136 | | 21 | | 0 | | 76 | | (41) | | 24 | | 0 | | (129) | | 0 | | 87 | | 2 | |
| Total trading mortgage-backed securities | $ | 781 |
| $ | 72 |
| $ | — |
| $ | 308 |
| $ | (190 | ) | $ | 988 |
| $ | — |
| $ | (1,187 | ) | $ | — |
| $ | 772 |
| $ | 31 |
| Total trading mortgage-backed securities | $ | 503 | | $ | 44 | | $ | 0 | | $ | 397 | | $ | (117) | | $ | 339 | | $ | 0 | | $ | (608) | | $ | 0 | | $ | 558 | | $ | 36 | |
| U.S. Treasury and federal agency securities | $ | 1 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (1 | ) | $ | — |
| $ | — |
| $ | — |
| U.S. Treasury and federal agency securities | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| State and municipal | 296 |
| 3 |
| — |
| 24 |
| (48 | ) | 137 |
| — |
| (142 | ) | — |
| 270 |
| (1 | ) | State and municipal | 94 | | 0 | | 0 | | 0 | | (29) | | 5 | | 0 | | 0 | | 0 | | 70 | | 1 | |
| Foreign government | 40 |
| 2 |
| — |
| 88 |
| (204 | ) | 288 |
| — |
| (119 | ) | — |
| 95 |
| (1 | ) | Foreign government | 51 | | 5 | | 0 | | 136 | | (28) | | 71 | | 0 | | (94) | | 0 | | 141 | | (6) | |
| Corporate | 324 |
| 320 |
| — |
| 132 |
| (84 | ) | 424 |
| — |
| (725 | ) | — |
| 391 |
| 167 |
| Corporate | 375 | | 75 | | 0 | | 318 | | (168) | | 475 | | 0 | | (252) | | 0 | | 823 | | (7) | |
| Equity securities | 127 |
| 212 |
| — |
| 135 |
| (54 | ) | 38 |
| — |
| (222 | ) | — |
| 236 |
| 20 |
| |
| Marketable equity securities | | Marketable equity securities | 73 | | 47 | | 0 | | 84 | | (42) | | 35 | | 0 | | (50) | | 0 | | 147 | | 32 | |
| Asset-backed securities | 1,868 |
| 251 |
| — |
| 28 |
| (87 | ) | 1,185 |
| — |
| (1,541 | ) | — |
| 1,704 |
| 34 |
| Asset-backed securities | 1,606 | | 248 | | 0 | | 35 | | (198) | | 934 | | 0 | | (1,933) | | 0 | | 692 | | 8 | |
| Other trading assets | 2,814 |
| (88 | ) | — |
| 470 |
| (1,381 | ) | 2,002 |
| 5 |
| (1,652 | ) | (19 | ) | 2,151 |
| 29 |
| Other trading assets | 945 | | 18 | | 0 | | 61 | | (129) | | 348 | | 4 | | (688) | | (4) | | 555 | | (5) | |
| Total trading non-derivative assets | $ | 6,251 |
| $ | 772 |
| $ | — |
| $ | 1,185 |
| $ | (2,048 | ) | $ | 5,062 |
| $ | 5 |
| $ | (5,589 | ) | $ | (19 | ) | $ | 5,619 |
| $ | 279 |
| Total trading non-derivative assets | $ | 3,647 | | $ | 437 | | $ | 0 | | $ | 1,031 | | $ | (711) | | $ | 2,207 | | $ | 4 | | $ | (3,625) | | $ | (4) | | $ | 2,986 | | $ | 59 | |
Trading derivatives, net(4) | | | | Trading derivatives, net(4) | | | |
| Interest rate contracts | $ | (663 | ) | $ | 4 |
| $ | — |
| $ | (24 | ) | $ | 647 |
| $ | 90 |
| $ | — |
| $ | (225 | ) | $ | (30 | ) | $ | (201 | ) | $ | 65 |
| Interest rate contracts | $ | 1,614 | | $ | (298) | | $ | 0 | | $ | 173 | | $ | 321 | | $ | 2 | | $ | (84) | | $ | 0 | | $ | 36 | | $ | 1,764 | | $ | (197) | |
| Foreign exchange contracts | 413 |
| (389 | ) | — |
| 54 |
| (63 | ) | 32 |
| — |
| (37 | ) | 138 |
| 148 |
| (134 | ) | Foreign exchange contracts | 52 | | (79) | | 0 | | 8 | | 4 | | 134 | | 0 | | (297) | | (6) | | (184) | | (57) | |
| Equity contracts | (1,557 | ) | 98 |
| — |
| (34 | ) | (8 | ) | 180 |
| — |
| (263 | ) | (264 | ) | (1,848 | ) | (22 | ) | Equity contracts | (3,213) | | 612 | | 0 | | (598) | | 898 | | 109 | | 0 | | (117) | | (241) | | (2,550) | | 213 | |
| Commodity contracts | (1,945 | ) | (576 | ) | — |
| 29 |
| 39 |
| — |
| — |
| (3 | ) | 117 |
| (2,339 | ) | (255 | ) | Commodity contracts | 292 | | 550 | | 0 | | 10 | | (617) | | 94 | | 0 | | (155) | | (32) | | 142 | | 280 | |
| Credit derivatives | (1,001 | ) | (535 | ) | — |
| (43 | ) | 91 |
| 5 |
| — |
| 2 |
| 540 |
| (941 | ) | (197 | ) | Credit derivatives | 48 | | (121) | | 0 | | 15 | | (71) | | 0 | | 0 | | — | | 88 | | (41) | | (198) | |
Total trading derivatives, net(4) | $ | (4,753 | ) | $ | (1,398 | ) | $ | — |
| $ | (18 | ) | $ | 706 |
| $ | 307 |
| $ | — |
| $ | (526 | ) | $ | 501 |
| $ | (5,181 | ) | $ | (543 | ) | Total trading derivatives, net(4) | $ | (1,207) | | $ | 664 | | $ | 0 | | $ | (392) | | $ | 535 | | $ | 339 | | $ | (84) | | $ | (569) | | $ | (155) | | $ | (869) | | $ | 41 | |
| Investments | | | | Investments | | | |
| Mortgage-backed securities | | | | Mortgage-backed securities | | | |
| U.S. government-sponsored agency guaranteed | $ | 101 |
| $ | — |
| $ | 15 |
| $ | 1 |
| $ | (60 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 57 |
| $ | 30 |
| U.S. government-sponsored agency guaranteed | $ | 30 | | $ | 0 | | $ | 2 | | $ | 22 | | $ | 0 | | $ | 3 | | $ | 0 | | $ | (5) | | $ | 0 | | $ | 52 | | $ | (42) | |
| Residential | 50 |
| — |
| 2 |
| — |
| (47 | ) | — |
| — |
| (5 | ) | — |
| — |
| — |
| |
| Commercial | — |
| — |
| — |
| 3 |
| — |
| 8 |
| — |
| (8 | ) | — |
| 3 |
| — |
| |
| | Total investment mortgage-backed securities | $ | 151 |
| $ | — |
| $ | 17 |
| $ | 4 |
| $ | (107 | ) | $ | 8 |
| $ | — |
| $ | (13 | ) | $ | — |
| $ | 60 |
| $ | 30 |
| Total investment mortgage-backed securities | $ | 30 | | $ | 0 | | $ | 2 | | $ | 22 | | $ | 0 | | $ | 3 | | $ | 0 | | $ | (5) | | $ | 0 | | $ | 52 | | $ | (42) | |
| U.S. Treasury and federal agency securities | $ | 2 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (2 | ) | $ | — |
| $ | — |
| $ | — |
| U.S. Treasury and federal agency securities | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| State and municipal | 1,211 |
| — |
| 37 |
| 70 |
| (36 | ) | 92 |
| — |
| (102 | ) | — |
| 1,272 |
| 35 |
| State and municipal | 834 | | 0 | | (10) | | 58 | | (108) | | 3 | | 0 | | (29) | | 0 | | 748 | | (8) | |
| Foreign government | 186 |
| — |
| (47 | ) | 2 |
| (37 | ) | 455 |
| — |
| (258 | ) | — |
| 301 |
| (5 | ) | Foreign government | 268 | | 0 | | 1 | | 440 | | (289) | | 645 | | 0 | | (108) | | 0 | | 957 | | 3 | |
| Corporate | 311 |
| — |
| 11 |
| 74 |
| (6 | ) | 224 |
| — |
| (494 | ) | — |
| 120 |
| — |
| Corporate | 60 | | 0 | | (11) | | 32 | | 0 | | 30 | | 0 | | (7) | | 0 | | 104 | | (1) | |
| Equity securities | 9 |
| — |
| (1 | ) | — |
| — |
| — |
| — |
| (5 | ) | — |
| 3 |
| — |
| |
| | Asset-backed securities | 660 |
| — |
| (98 | ) | 23 |
| (20 | ) | 864 |
| — |
| (599 | ) | — |
| 830 |
| (134 | ) | Asset-backed securities | 1 | | 0 | | (21) | | 36 | | 0 | | 0 | | 0 | | (13) | | 0 | | 3 | | (37) | |
| Other debt securities | — |
| — |
| — |
| — |
| — |
| 21 |
| — |
| (11 | ) | — |
| 10 |
| — |
| |
| | Non-marketable equity securities | 1,331 |
| — |
| (124 | ) | 2 |
| — |
| 10 |
| — |
| (228 | ) | (162 | ) | 829 |
| 49 |
| Non-marketable equity securities | 349 | | 0 | | 40 | | 1 | | 0 | | 0 | | 0 | | (8) | | 0 | | 382 | | 2 | |
| Total investments | $ | 3,861 |
| $ | — |
| $ | (205 | ) | $ | 175 |
| $ | (206 | ) | $ | 1,674 |
| $ | — |
| $ | (1,712 | ) | $ | (162 | ) | $ | 3,425 |
| $ | (25 | ) | Total investments | $ | 1,542 | | $ | 0 | | $ | 1 | | $ | 589 | | $ | (397) | | $ | 681 | | $ | 0 | | $ | (170) | | $ | 0 | | $ | 2,246 | | $ | (83) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Dec. 31 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2021 |
| Loans | $ | 1,985 | | $ | 0 | | $ | 348 | | $ | 271 | | $ | (2,051) | | $ | 0 | | $ | 1 | | $ | 0 | | $ | (125) | | $ | 429 | | $ | 100 | |
| Mortgage servicing rights | 336 | | 0 | | 52 | | 0 | | 0 | | 0 | | 68 | | 0 | | (37) | | 419 | | 59 | |
| Other financial assets measured on a recurring basis | 0 | | 0 | | 0 | | 55 | | 0 | | 0 | | 0 | | 0 | | 0 | | 55 | | 0 | |
| Liabilities | | | | | | | | | | | |
| Interest-bearing deposits | $ | 206 | | $ | 0 | | $ | 18 | | $ | 0 | | $ | (44) | | $ | 0 | | $ | 20 | | $ | 0 | | $ | (10) | | $ | 154 | | $ | (45) | |
| Securities loaned and sold under agreements to repurchase | 631 | | 7 | | 0 | | 0 | | (483) | | 488 | | 0 | | 0 | | (141) | | $ | 488 | | 19 | |
| Trading account liabilities | | | | | | | | | | | |
| Securities sold, not yet purchased | 214 | | 61 | | 0 | | 62 | | (25) | | 20 | | 0 | | 0 | | (42) | | $ | 168 | | (2) | |
| Other trading liabilities | 26 | | 25 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | $ | 1 | | 0 | |
| Short-term borrowings | 219 | | 32 | | 0 | | 42 | | (44) | | 0 | | 25 | | 0 | | (169) | | $ | 41 | | 17 | |
| Long-term debt | 25,210 | | 1,773 | | 0 | | 4,869 | | (5,968) | | 0 | | 7,545 | | 0 | | (4,815) | | $ | 25,068 | | 791 | |
| Other financial liabilities measured on a recurring basis | 1 | | 0 | | (3) | | 0 | | (4) | | 0 | | 14 | | 0 | | (10) | | $ | 4 | | 0 | |
| | | | | | | | | | | |
(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt 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 in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in 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 debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2021.
(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(1) | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Mar. 31, 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2020 |
| Assets | | | | | | | | | | | |
| Securities borrowed or purchased under agreements to resell | $ | 300 | | $ | 34 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 42 | | $ | 0 | | $ | 0 | | $ | (50) | | $ | 326 | | $ | 36 | |
| Trading non-derivative assets | | | | | | | | | | | |
| Trading mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 85 | | 1 | | 0 | | 4 | | (6) | | 67 | | 0 | | (55) | | 0 | | 96 | | 4 | |
| Residential | 304 | | 14 | | 0 | | 144 | | (39) | | 96 | | 0 | | (86) | | 0 | | 433 | | 7 | |
| Commercial | 44 | | 4 | | 0 | | 140 | | (14) | | 62 | | 0 | | (19) | | 0 | | 217 | | 11 | |
| Total trading mortgage-backed securities | $ | 433 | | $ | 19 | | $ | 0 | | $ | 288 | | $ | (59) | | $ | 225 | | $ | 0 | | $ | (160) | | $ | 0 | | $ | 746 | | $ | 22 | |
| U.S. Treasury and federal agency securities | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| State and municipal | 92 | | 0 | | 0 | | 5 | | (1) | | 41 | | 0 | | (20) | | 0 | | 117 | | 0 | |
| Foreign government | 39 | | 57 | | 0 | | 2 | | (2) | | 18 | | 0 | | (88) | | 0 | | 26 | | 54 | |
| Corporate | 412 | | (12) | | 0 | | 64 | | (78) | | 204 | | 0 | | (185) | | (6) | | 399 | | (71) | |
| Equity securities | 143 | | 9 | | 0 | | 10 | | 0 | | 174 | | 0 | | (244) | | 0 | | 92 | | (3) | |
| Asset-backed securities | 1,561 | | 67 | | 0 | | 257 | | (56) | | 272 | | 0 | | (316) | | 0 | | 1,785 | | 46 | |
| Other trading assets | 639 | | 27 | | 0 | | 153 | | (15) | | 126 | | 6 | | (134) | | (5) | | 797 | | 1 | |
| Total trading non-derivative assets | $ | 3,319 | | $ | 167 | | $ | 0 | | $ | 779 | | $ | (211) | | $ | 1,060 | | $ | 6 | | $ | (1,147) | | $ | (11) | | $ | 3,962 | | $ | 49 | |
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | 1,755 | | $ | 24 | | $ | 0 | | $ | 231 | | $ | 20 | | $ | 1 | | $ | 0 | | $ | 0 | | $ | (63) | | $ | 1,968 | | $ | 7 | |
| Foreign exchange contracts | 2 | | (37) | | 0 | | (8) | | 2 | | 5 | | 0 | | (5) | | 15 | | (26) | | (47) | |
| Equity contracts | (1,836) | | (354) | | 0 | | (104) | | 12 | | 21 | | 0 | | (5) | | 31 | | (2,235) | | (349) | |
| Commodity contracts | (542) | | 253 | | 0 | | (1) | | (14) | | 20 | | 0 | | (10) | | 16 | | (278) | | 241 | |
| Credit derivatives | 816 | | (367) | | 0 | | 17 | | (72) | | 0 | | 0 | | 0 | | 8 | | 402 | | (367) | |
Total trading derivatives, net(4) | $ | 195 | | $ | (481) | | $ | 0 | | $ | 135 | | $ | (52) | | $ | 47 | | $ | 0 | | $ | (20) | | $ | 7 | | $ | (169) | | $ | (515) | |
| Investments | | | | | | | | | | | |
| Mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 47 | | $ | 0 | | $ | (19) | | $ | 1 | | $ | 0 | | $ | 1 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 30 | | $ | (36) | |
| Residential | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Commercial | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Total investment mortgage-backed securities | $ | 47 | | $ | 0 | | $ | (19) | | $ | 1 | | $ | 0 | | $ | 1 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 30 | | $ | (36) | |
| U.S. Treasury and federal agency securities | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| State and municipal | 687 | | 0 | | 24 | | 172 | | (131) | | 95 | | 0 | | (22) | | 0 | | 825 | | 21 | |
| Foreign government | 225 | | 0 | | 7 | | 0 | | (64) | | 61 | | 0 | | (33) | | 0 | | 196 | | 6 | |
| Corporate | 238 | | 0 | | 10 | | 0 | | (152) | | 10 | | 0 | | 0 | | 0 | | 106 | | 0 | |
| Equity securities | 0 | | 0 | | 0 | | 1 | | 0 | | 0 | | 0 | | 0 | | 0 | | 1 | | 0 | |
| Asset-backed securities | 16 | | 0 | | (2) | | 0 | | 0 | | 0 | | 0 | | (8) | | 0 | | 6 | | 0 | |
| Other debt securities | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Non-marketable equity securities | 354 | | 0 | | 21 | | 0 | | 0 | | 2 | | 0 | | 0 | | (45) | | 332 | | 25 | |
| Total investments | $ | 1,567 | | $ | 0 | | $ | 41 | | $ | 174 | | $ | (347) | | $ | 169 | | $ | 0 | | $ | (63) | | $ | (45) | | $ | 1,496 | | $ | 16 | |
Table continues on the next page.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Mar. 31, 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2020 |
| Loans | $ | 537 | | $ | 0 | | $ | 447 | | $ | 0 | | $ | (5) | | $ | 0 | | $ | 0 | | $ | 0 | | $ | (1) | | $ | 978 | | $ | 355 | |
| Mortgage servicing rights | 367 | | 0 | | (26) | | 0 | | 0 | | 0 | | 24 | | 0 | | (20) | | 345 | | (14) | |
| Other financial assets measured on a recurring basis | 0 | | 0 | | 14 | | 0 | | 0 | | 0 | | (6) | | (4) | | (4) | | 0 | | 2 | |
| Liabilities | | | | | | | | | | | |
| Interest-bearing deposits | $ | 491 | | $ | 0 | | $ | (5) | | $ | 0 | | $ | (151) | | $ | 0 | | $ | 30 | | $ | 0 | | $ | (138) | | $ | 237 | | $ | (27) | |
| Securities loaned or sold under agreements to repurchase | 730 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | (105) | | 625 | | 0 | |
| Trading account liabilities | | | | | | | | | | | |
| Securities sold, not yet purchased | 200 | | (28) | | 0 | | 43 | | (8) | | 0 | | 0 | | 0 | | (159) | | 104 | | 24 | |
| Other trading liabilities | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Short-term borrowings | 52 | | 9 | | 0 | | 75 | | (6) | | 0 | | 23 | | 0 | | (7) | | 128 | | 16 | |
| Long-term debt | 19,269 | | (1,691) | | 0 | | 1,875 | | (1,475) | | 0 | | 2,527 | | 0 | | (2,254) | | 21,633 | | (1,518) | |
| Other financial liabilities measured on a recurring basis | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale investments are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in 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 debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2020.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized
gains (losses) incl. in | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Dec. 31, 2016 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2017 |
| Loans | $ | 568 |
| $ | — |
| $ | 57 |
| $ | 80 |
| $ | (16 | ) | $ | 173 |
| $ | — |
| $ | (312 | ) | $ | (6 | ) | $ | 544 |
| $ | 266 |
|
| Mortgage servicing rights | 1,564 |
| — |
| 50 |
| — |
| — |
| — |
| 75 |
| (1,046 | ) | (90 | ) | 553 |
| (40 | ) |
| Other financial assets measured on a recurring basis | 34 |
| — |
| (147 | ) | 3 |
| (8 | ) | 1 |
| 303 |
| (8 | ) | (164 | ) | 14 |
| (68 | ) |
| Liabilities | | | | | | | | | | | |
| Interest-bearing deposits | $ | 293 |
| $ | — |
| $ | 9 |
| $ | 40 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (24 | ) | $ | 300 |
| $ | 6 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase | 849 |
| 7 |
| — |
| — |
| — |
| — |
| — |
| — |
| (77 | ) | 765 |
| 4 |
|
| Trading account liabilities | | | | | | | | | | | |
| Securities sold, not yet purchased | 1,177 |
| 490 |
| — |
| 18 |
| (53 | ) | — |
| — |
| 265 |
| (233 | ) | 684 |
| 24 |
|
| Other trading liabilities | — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
|
| Short-term borrowings | 42 |
| 18 |
| — |
| 4 |
| (1 | ) | — |
| 31 |
| — |
| (2 | ) | 56 |
| 7 |
|
| Long-term debt | 9,744 |
| 456 |
| — |
| 702 |
| (1,457 | ) | — |
| 2,701 |
| — |
| 87 |
| 11,321 |
| 708 |
|
| Other financial liabilities measured on a recurring basis | 8 |
| — |
| — |
| — |
| — |
| — |
| 3 |
| (1 | ) | (8 | ) | 2 |
| (1 | ) |
| |
(1)
| Changes in fair value of available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.
|
| |
(2) | Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.
|
| |
(3) | Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at September 30, 2017. |
| |
(4) | Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized
gains (losses)
still held(3) |
| In millions of dollars | Dec. 31, 2019 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2020 |
| Assets | | | | | | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | 303 | | $ | 14 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 108 | | $ | 0 | | $ | 0 | | $ | (99) | | $ | 326 | | $ | 39 | |
| Trading non-derivative assets | | | | | | | | | | | |
| Trading mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 10 | | (74) | | 0 | | 16 | | (9) | | 208 | | 0 | | (55) | | 0 | | 96 | | 5 | |
| Residential | 123 | | 6 | | 0 | | 204 | | (43) | | 274 | | 0 | | (131) | | 0 | | 433 | | 0 | |
| Commercial | 61 | | 4 | | 0 | | 143 | | (17) | | 89 | | 0 | | (63) | | 0 | | 217 | | (10) | |
| Total trading mortgage-backed securities | $ | 194 | | $ | (64) | | $ | 0 | | $ | 363 | | $ | (69) | | $ | 571 | | $ | 0 | | $ | (249) | | $ | 0 | | $ | 746 | | $ | (5) | |
| U.S. Treasury and federal agency securities | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| State and municipal | 64 | | 2 | | 0 | | 15 | | (3) | | 62 | | 0 | | (23) | | 0 | | 117 | | 1 | |
| Foreign government | 52 | | (28) | | 0 | | 2 | | (2) | | 104 | | 0 | | (102) | | 0 | | 26 | | 52 | |
| Corporate | 313 | | 290 | | 0 | | 86 | | (70) | | 419 | | 0 | | (633) | | (6) | | 399 | | (87) | |
| Marketable equity securities | 100 | | 9 | | 0 | | 38 | | (3) | | 206 | | 0 | | (258) | | 0 | | 92 | | (19) | |
| Asset-backed securities | 1,117 | | (102) | | 0 | | 496 | | (60) | | 740 | | 0 | | (466) | | 0 | | 1,785 | | (222) | |
| Other trading assets | 555 | | 220 | | 0 | | 181 | | (152) | | 231 | | 14 | | (237) | | (15) | | 797 | | (23) | |
| Total trading non-derivative assets | $ | 2,455 | | $ | 327 | | $ | 0 | | $ | 1,181 | | $ | (359) | | $ | 2,333 | | $ | 14 | | $ | (1,968) | | $ | (21) | | $ | 3,962 | | $ | (303) | |
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | 1 | | $ | 375 | | $ | 0 | | $ | 1,614 | | $ | (2) | | $ | 2 | | $ | 56 | | $ | 13 | | $ | (91) | | $ | 1,968 | | $ | 387 | |
| Foreign exchange contracts | (5) | | (52) | | 0 | | (33) | | 11 | | 49 | | 0 | | (13) | | 17 | | (26) | | 104 | |
| Equity contracts | (1,596) | | (564) | | 0 | | (391) | | 236 | | 24 | | 0 | | (6) | | 62 | | (2,235) | | (663) | |
| Commodity contracts | (59) | | (206) | | 0 | | 37 | | (70) | | 66 | | 0 | | (44) | | (2) | | (278) | | (211) | |
| Credit derivatives | (56) | | 579 | | 0 | | 171 | | (358) | | 0 | | 0 | | 0 | | 66 | | 402 | | 372 | |
Total trading derivatives, net(4) | $ | (1,715) | | $ | 132 | | $ | 0 | | $ | 1,398 | | $ | (183) | | $ | 141 | | $ | 56 | | $ | (50) | | $ | 52 | | $ | (169) | | $ | (11) | |
| Investments | | | | | | | | | | | |
| Mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 32 | | $ | 0 | | $ | (5) | | $ | 1 | | $ | 1 | | $ | 1 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 30 | | $ | (23) | |
| Residential | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Commercial | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Total investment mortgage-backed securities | $ | 32 | | $ | 0 | | $ | (5) | | $ | 1 | | $ | 1 | | $ | 1 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 30 | | $ | (23) | |
| U.S. Treasury and federal agency securities | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| State and municipal | 623 | | 0 | | (7) | | 310 | | (131) | | 95 | | 0 | | (65) | | 0 | | 825 | | 25 | |
| Foreign government | 96 | | 0 | | 5 | | 27 | | (64) | | 208 | | 0 | | (76) | | 0 | | 196 | | (9) | |
| Corporate | 45 | | 0 | | 2 | | 49 | | (152) | | 162 | | 0 | | 0 | | 0 | | 106 | | 0 | |
| Marketable equity securities | 0 | | 0 | | 0 | | 1 | | 0 | | 0 | | 0 | | 0 | | 0 | | 1 | | 0 | |
| Asset-backed securities | 22 | | 0 | | 3 | | 0 | | 0 | | 0 | | 0 | | (19) | | 0 | | 6 | | 34 | |
| Other debt securities | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Non-marketable equity securities | 441 | | 0 | | (53) | | 0 | | 0 | | 2 | | 0 | | (3) | | (55) | | 332 | | 22 | |
| Total investments | $ | 1,259 | | $ | 0 | | $ | (55) | | $ | 388 | | $ | (346) | | $ | 468 | | $ | 0 | | $ | (163) | | $ | (55) | | $ | 1,496 | | $ | 49 | |
Table continues on the next page.
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized
gains (losses) incl. in | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Jun. 30, 2016 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2016 |
| Assets | | | | | | | | | | | |
| Federal funds sold and securities borrowed or purchased under agreements to resell | $ | 1,819 |
| $ | (6 | ) | $ | — |
| $ | ��� |
| $ | — |
| $ | 5 |
| $ | — |
| $ | — |
| $ | (505 | ) | $ | 1,313 |
| $ | (3 | ) |
| Trading non-derivative assets | | | | | | | | | | | |
| Trading mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 730 |
| 1 |
| — |
| 67 |
| (387 | ) | 96 |
| — |
| (286 | ) | 7 |
| 228 |
| — |
|
| Residential | 801 |
| 116 |
| — |
| 5 |
| (66 | ) | 18 |
| — |
| (433 | ) | — |
| 441 |
| (58 | ) |
| Commercial | 390 |
| 2 |
| — |
| 1 |
| (107 | ) | 309 |
| — |
| (151 | ) | — |
| 444 |
| 6 |
|
| Total trading mortgage-backed securities | $ | 1,921 |
| $ | 119 |
| $ | — |
| $ | 73 |
| $ | (560 | ) | $ | 423 |
| $ | — |
| $ | (870 | ) | $ | 7 |
| $ | 1,113 |
| $ | (52 | ) |
| U.S. Treasury and federal agency securities | $ | 3 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (2 | ) | $ | — |
| $ | 1 |
| $ | — |
|
| State and municipal | 117 |
| 18 |
| — |
| 118 |
| (37 | ) | 56 |
| — |
| (115 | ) | — |
| 157 |
| (1 | ) |
| Foreign government | 81 |
| (19 | ) | — |
| — |
| — |
| 24 |
| — |
| (23 | ) | — |
| 63 |
| 1 |
|
| Corporate | 405 |
| 39 |
| — |
| 49 |
| (26 | ) | 414 |
| — |
| (208 | ) | 12 |
| 685 |
| (31 | ) |
| Equity securities | 3,970 |
| 348 |
| — |
| 12 |
| (811 | ) | 102 |
| — |
| (61 | ) | — |
| 3,560 |
| (371 | ) |
| Asset-backed securities | 2,670 |
| 47 |
| — |
| 38 |
| (42 | ) | 783 |
| — |
| (747 | ) | — |
| 2,749 |
| (58 | ) |
| Other trading assets | 2,839 |
| 12 |
| — |
| 296 |
| (897 | ) | 966 |
| 9 |
| (628 | ) | (17 | ) | 2,580 |
| (63 | ) |
| Total trading non-derivative assets | $ | 12,006 |
| $ | 564 |
| $ | — |
| $ | 586 |
| $ | (2,373 | ) | $ | 2,768 |
| $ | 9 |
| $ | (2,654 | ) | $ | 2 |
| $ | 10,908 |
| $ | (575 | ) |
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | (374 | ) | $ | (82 | ) | $ | — |
| $ | (59 | ) | $ | 77 |
| $ | 5 |
| $ | — |
| $ | (37 | ) | $ | (93 | ) | $ | (563 | ) | $ | (143 | ) |
| Foreign exchange contracts | (29 | ) | 10 |
| — |
| 69 |
| (13 | ) | 52 |
| — |
| (50 | ) | 50 |
| 89 |
| 149 |
|
| Equity contracts | (1,071 | ) | 29 |
| — |
| 14 |
| 123 |
| 17 |
| — |
| (28 | ) | (51 | ) | (967 | ) | (189 | ) |
| Commodity contracts | (2,017 | ) | (76 | ) | — |
| (379 | ) | 74 |
| 3 |
| — |
| 5 |
| 91 |
| (2,299 | ) | (285 | ) |
| Credit derivatives | (754 | ) | (651 | ) | — |
| 32 |
| 26 |
| (4 | ) | — |
| (35 | ) | 367 |
| (1,019 | ) | 450 |
|
Total trading derivatives, net(4) | $ | (4,245 | ) | $ | (770 | ) | $ | — |
| $ | (323 | ) | $ | 287 |
| $ | 73 |
| $ | — |
| $ | (145 | ) | $ | 364 |
| $ | (4,759 | ) | $ | (18 | ) |
| Investments | | | | | | | | | | | |
| Mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 94 |
| $ | — |
| $ | (4 | ) | $ | 3 |
| $ | (10 | ) | $ | 6 |
| $ | — |
| $ | — |
| $ | — |
| $ | 89 |
| $ | (1 | ) |
| Residential | 25 |
| — |
| 1 |
| 49 |
| — |
| 1 |
| — |
| (23 | ) | — |
| 53 |
| — |
|
| Commercial | 5 |
| — |
| (1 | ) | — |
| (4 | ) | — |
| — |
| — |
| — |
| — |
| — |
|
| Total investment mortgage-backed securities | $ | 124 |
| $ | — |
| $ | (4 | ) | $ | 52 |
| $ | (14 | ) | $ | 7 |
| $ | — |
| $ | (23 | ) | $ | — |
| $ | 142 |
| $ | (1 | ) |
| U.S. Treasury and federal agency securities | $ | 3 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (1 | ) | $ | — |
| $ | 2 |
| $ | — |
|
| State and municipal | 2,016 |
| — |
| (54 | ) | 5 |
| (338 | ) | 60 |
| — |
| (33 | ) | — |
| 1,656 |
| 40 |
|
| Foreign government | 141 |
| — |
| (14 | ) | 5 |
| — |
| 42 |
| — |
| (29 | ) | — |
| 145 |
| (5 | ) |
| Corporate | 460 |
| — |
| 42 |
| 1 |
| (18 | ) | 412 |
| — |
| (8 | ) | (365 | ) | 524 |
| (1 | ) |
| Equity securities | 128 |
| — |
| 11 |
| — |
| — |
| — |
| — |
| (129 | ) | — |
| 10 |
| — |
|
| Asset-backed securities | 597 |
| — |
| (88 | ) | 3 |
| (25 | ) | 121 |
| — |
| (7 | ) | 81 |
| 682 |
| 88 |
|
| Other debt securities | 5 |
| — |
| — |
| 10 |
| — |
| 1 |
| — |
| (5 | ) | — |
| 11 |
| — |
|
| Non-marketable equity securities | 1,139 |
| — |
| 54 |
| 53 |
| (23 | ) | 1 |
| — |
| (14 | ) | (29 | ) | 1,181 |
| (9 | ) |
| Total investments | $ | 4,613 |
| $ | — |
| $ | (53 | ) | $ | 129 |
| $ | (418 | ) | $ | 644 |
| $ | — |
| $ | (249 | ) | $ | (313 | ) | $ | 4,353 |
| $ | 112 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Dec. 31, 2019 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2020 |
| Loans | $ | 402 | | $ | 0 | | $ | 368 | | $ | 217 | | $ | (6) | | $ | 0 | | $ | 0 | | $ | 0 | | $ | (3) | | $ | 978 | | $ | 509 | |
| Mortgage servicing rights | 495 | | 0 | | (169) | | 0 | | 0 | | 0 | | 56 | | 0 | | (37) | | 345 | | (147) | |
| Other financial assets measured on a recurring basis | 1 | | 0 | | 14 | | 0 | | 0 | | 0 | | (6) | | (5) | | (4) | | 0 | | 16 | |
| Liabilities | | | | | | | | | | | |
| Interest-bearing deposits | $ | 215 | | $ | 0 | | $ | (11) | | $ | 278 | | $ | (151) | | $ | 0 | | $ | 30 | | $ | 0 | | $ | (146) | | $ | 237 | | $ | (6) | |
| Securities loaned and sold under agreements to repurchase | 757 | | 27 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | (105) | | 625 | | (33) | |
| Trading account liabilities | | | | | | | | | | | |
| Securities sold, not yet purchased | 48 | | (129) | | 0 | | 117 | | (18) | | 0 | | 9 | | 0 | | (181) | | 104 | | (7) | |
| Other trading liabilities | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Short-term borrowings | 13 | | 19 | | 0 | | 86 | | (6) | | 0 | | 61 | | 0 | | (7) | | 128 | | 21 | |
| Long-term debt | 17,169 | | (380) | | 0 | | 5,063 | | (4,168) | | 0 | | 6,788 | | 0 | | (3,600) | | 21,633 | | (746) | |
| Other financial liabilities measured on a recurring basis | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 2 | | 0 | | (2) | | 0 | | 0 | |
| | | | | | | | | | | |
(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in 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 debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2020.
(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 dollars | Jun. 30, 2016 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2016 |
| Loans | $ | 1,234 |
| $ | — |
| $ | 89 |
| $ | 24 |
| $ | (196 | ) | $ | 93 |
| $ | — |
| $ | (137 | ) | $ | (25 | ) | $ | 1,082 |
| $ | (179 | ) |
| Mortgage servicing rights | 1,324 |
| — |
| 13 |
| — |
| — |
| — |
| 43 |
| (32 | ) | (78 | ) | 1,270 |
| 15 |
|
| Other financial assets measured on a recurring basis | 111 |
| — |
| 31 |
| 1 |
| (41 | ) | 1 |
| 72 |
| (4 | ) | (105 | ) | 66 |
| (69 | ) |
| Liabilities | | | | | | | | | | | |
| Interest-bearing deposits | $ | 433 |
| $ | — |
| $ | 41 |
| $ | — |
| $ | (100 | ) | $ | — |
| $ | — |
| $ | — |
| $ | (32 | ) | $ | 260 |
| $ | 42 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase | 1,107 |
| 10 |
| — |
| — |
| (150 | ) | — |
| — |
| 11 |
| (35 | ) | 923 |
| 8 |
|
| Trading account liabilities | | | | | | | | | | | |
| Securities sold, not yet purchased | 12 |
| (30 | ) | — |
| 21 |
| (42 | ) | (9 | ) | — |
| 142 |
| 5 |
| 159 |
| (30 | ) |
| Other Trading Liabilities | — |
| — |
| — |
| 1 |
| — |
| — |
| — |
| — |
| — |
| 1 |
| — |
|
| Short-term borrowings | 53 |
| (9 | ) | — |
| 1 |
| (32 | ) | — |
| 15 |
| — |
| (14 | ) | 32 |
| 2 |
|
| Long-term debt | 9,138 |
| (191 | ) | — |
| 947 |
| (1,550 | ) | — |
| 1,719 |
| — |
| (1,263 | ) | 9,182 |
| (191 | ) |
| Other financial liabilities measured on a recurring basis | 5 |
| — |
| (26 | ) | 2 |
| — |
| (1 | ) | — |
| — |
| — |
| 32 |
| (2 | ) |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized
gains (losses) incl. in | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Dec. 31, 2015 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2016 |
| Assets | | | | | | | | | | | |
| Federal funds sold and securities borrowed or purchased under agreements to resell | $ | 1,337 |
| $ | 2 |
| $ | — |
| $ | — |
| $ | (28 | ) | $ | 508 |
| $ | — |
| $ | — |
| $ | (506 | ) | $ | 1,313 |
| $ | 3 |
|
| Trading non-derivative assets | | | | | | | | | | | |
| Trading mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 744 |
| 13 |
| — |
| 485 |
| (969 | ) | 857 |
| — |
| (920 | ) | 18 |
| 228 |
| 4 |
|
| Residential | 1,326 |
| 104 |
| — |
| 134 |
| (153 | ) | 275 |
| — |
| (1,239 | ) | (6 | ) | 441 |
| 23 |
|
| Commercial | 517 |
| 15 |
| — |
| 180 |
| (209 | ) | 661 |
| — |
| (720 | ) | — |
| 444 |
| (23 | ) |
| Total trading mortgage-backed securities | $ | 2,587 |
| $ | 132 |
| $ | — |
| $ | 799 |
| $ | (1,331 | ) | $ | 1,793 |
| $ | — |
| $ | (2,879 | ) | $ | 12 |
| $ | 1,113 |
| $ | 4 |
|
| U.S. Treasury and federal agency securities | $ | 1 |
| $ | — |
| $ | — |
| $ | 2 |
| $ | — |
| $ | — |
| $ | — |
| $ | (2 | ) | $ | — |
| $ | 1 |
| $ | — |
|
| State and municipal | 351 |
| 26 |
| — |
| 136 |
| (253 | ) | 224 |
| — |
| (327 | ) | — |
| 157 |
| — |
|
| Foreign government | 197 |
| (27 | ) | — |
| 2 |
| (17 | ) | 99 |
| — |
| (191 | ) | — |
| 63 |
| (2 | ) |
| Corporate | 376 |
| 323 |
| — |
| 129 |
| (102 | ) | 748 |
| — |
| (796 | ) | 7 |
| 685 |
| 58 |
|
| Equity securities | 3,684 |
| (187 | ) | — |
| 279 |
| (871 | ) | 851 |
| — |
| (196 | ) | — |
| 3,560 |
| (125 | ) |
| Asset-backed securities | 2,739 |
| 181 |
| — |
| 195 |
| (237 | ) | 1,969 |
| — |
| (2,098 | ) | — |
| 2,749 |
| 87 |
|
| Other trading assets | 2,483 |
| (104 | ) | — |
| 1,754 |
| (2,379 | ) | 2,323 |
| 7 |
| (1,468 | ) | (36 | ) | 2,580 |
| 136 |
|
| Total trading non-derivative assets | $ | 12,418 |
| $ | 344 |
| $ | — |
| $ | 3,296 |
| $ | (5,190 | ) | $ | 8,007 |
| $ | 7 |
| $ | (7,957 | ) | $ | (17 | ) | $ | 10,908 |
| $ | 158 |
|
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | (495 | ) | $ | (408 | ) | $ | — |
| $ | 250 |
| $ | 116 |
| $ | 147 |
| $ | (18 | ) | $ | (140 | ) | $ | (15 | ) | $ | (563 | ) | $ | 84 |
|
| Foreign exchange contracts | 620 |
| (667 | ) | — |
| 73 |
| (73 | ) | 158 |
| — |
| (141 | ) | 119 |
| 89 |
| (428 | ) |
| Equity contracts | (800 | ) | 137 |
| — |
| 78 |
| (305 | ) | 63 |
| 38 |
| (99 | ) | (79 | ) | (967 | ) | 191 |
|
| Commodity contracts | (1,861 | ) | (357 | ) | — |
| (428 | ) | 48 |
| 359 |
| — |
| (347 | ) | 287 |
| (2,299 | ) | 11 |
|
| Credit derivatives | 307 |
| (1,803 | ) | — |
| (82 | ) | 3 |
| 38 |
| — |
| (35 | ) | 553 |
| (1,019 | ) | (1,272 | ) |
Total trading derivatives, net(4) | $ | (2,229 | ) | $ | (3,098 | ) | $ | — |
| $ | (109 | ) | $ | (211 | ) | $ | 765 |
| $ | 20 |
| $ | (762 | ) | $ | 865 |
| $ | (4,759 | ) | $ | (1,414 | ) |
| Investments | | | | | | | | | | | |
| Mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 139 |
| $ | — |
| $ | (29 | ) | $ | 15 |
| $ | (72 | ) | $ | 46 |
| $ | — |
| $ | (9 | ) | $ | (1 | ) | $ | 89 |
| $ | 49 |
|
| Residential | 4 |
| — |
| 2 |
| 49 |
| — |
| 26 |
| — |
| (28 | ) | — |
| 53 |
| 1 |
|
| Commercial | 2 |
| — |
| (1 | ) | 6 |
| (7 | ) | — |
| — |
| — |
| — |
| — |
| — |
|
| Total investment mortgage-backed securities | $ | 145 |
| $ | — |
| $ | (28 | ) | $ | 70 |
| $ | (79 | ) | $ | 72 |
| $ | — |
| $ | (37 | ) | $ | (1 | ) | $ | 142 |
| $ | 50 |
|
| U.S. Treasury and federal agency securities | $ | 4 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (2 | ) | $ | — |
| $ | 2 |
| $ | — |
|
| State and municipal | 2,192 |
| — |
| 108 |
| 396 |
| (1,121 | ) | 300 |
| — |
| (219 | ) | — |
| 1,656 |
| 45 |
|
| Foreign government | 260 |
| — |
| 5 |
| 38 |
| — |
| 145 |
| — |
| (300 | ) | (3 | ) | 145 |
| 1 |
|
| Corporate | 603 |
| — |
| 87 |
| 6 |
| (63 | ) | 506 |
| — |
| (250 | ) | (365 | ) | 524 |
| 1 |
|
| Equity securities | 124 |
| — |
| 11 |
| 4 |
| — |
| — |
| — |
| (129 | ) | — |
| 10 |
| — |
|
| Asset-backed securities | 596 |
| — |
| (53 | ) | 3 |
| (48 | ) | 325 |
| — |
| (222 | ) | 81 |
| 682 |
| (35 | ) |
| Other debt securities | — |
| — |
| — |
| 10 |
| — |
| 6 |
| — |
| (5 | ) | — |
| 11 |
| — |
|
| Non-marketable equity securities | 1,135 |
| — |
| 78 |
| 104 |
| (23 | ) | 19 |
| — |
| (14 | ) | (118 | ) | 1,181 |
| 29 |
|
| Total investments | $ | 5,059 |
| $ | — |
| $ | 208 |
| $ | 631 |
| $ | (1,334 | ) | $ | 1,373 |
| $ | — |
| $ | (1,178 | ) | $ | (406 | ) | $ | 4,353 |
| $ | 91 |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized
gains (losses) incl. in | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Dec. 31, 2015 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2016 |
| Loans | $ | 2,166 |
| $ | — |
| $ | 31 |
| $ | 113 |
| $ | (734 | ) | $ | 663 |
| $ | 219 |
| $ | (812 | ) | $ | (564 | ) | $ | 1,082 |
| $ | 383 |
|
| Mortgage servicing rights | 1,781 |
| — |
| (349 | ) | — |
| — |
| — |
| 111 |
| (18 | ) | (255 | ) | 1,270 |
| (154 | ) |
| Other financial assets measured on a recurring basis | 180 |
| — |
| 64 |
| 41 |
| (46 | ) | 1 |
| 202 |
| (128 | ) | (248 | ) | 66 |
| (260 | ) |
| Liabilities | | | | | | | | | | | |
| Interest-bearing deposits | $ | 434 |
| $ | — |
| $ | 76 |
| $ | 322 |
| $ | (309 | ) | $ | — |
| $ | 5 |
| $ | — |
| $ | (116 | ) | $ | 260 |
| $ | 42 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase | 1,247 |
| (11 | ) | — |
| — |
| (150 | ) | — |
| — |
| 27 |
| (212 | ) | 923 |
| (24 | ) |
| Trading account liabilities | | | | | | | | | | | |
| Securities sold, not yet purchased | 199 |
| (16 | ) | — |
| 118 |
| (85 | ) | (70 | ) | (41 | ) | 212 |
| (190 | ) | 159 |
| (61 | ) |
| Other Trading Liabilities | — |
| — |
| — |
| 1 |
| — |
| — |
| — |
| — |
| — |
| 1 |
| — |
|
| Short-term borrowings | 9 |
| (36 | ) | — |
| 18 |
| (36 | ) | — |
| 56 |
| — |
| (51 | ) | 32 |
| 2 |
|
| Long-term debt | 7,543 |
| (217 | ) | — |
| 2,168 |
| (3,393 | ) | — |
| 4,591 |
| 61 |
| (2,005 | ) | 9,182 |
| (277 | ) |
| Other financial liabilities measured on a recurring basis | 14 |
| — |
| (33 | ) | 2 |
| (10 | ) | (7 | ) | 2 |
| — |
| (2 | ) | 32 |
| (7 | ) |
| |
(1) | Changes in fair value of available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.
|
| |
(2) | Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.
|
| |
(3) | Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at September 30, 2016. |
| |
(4) | Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only. |
Level 3 Fair Value Rollforward
There were no significant Level 3 transfers for the period June 30, 2017 to September 30, 2017:
The following were the significant Level 3 transfers for the period December 31, 20162020 to SeptemberJune 30, 2017:2021:
Transfers•During the three and six months ended June 30, 2021, transfers of Long-term debtLoans of $0.7 billion from Level 2 to Level 3, and of $1.5$2.1 billion from Level 3 to Level 2 mainly relatedwere primarily driven by equity forward and volatility inputs that have been assessed as not significant to structuredthe overall valuation of certain hybrid loan instruments, including equity options and long dated equity call spreads.
•During the three and six months ended June 30, 2021, transfers of Long-term debt reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.
Transfers of Other trading assets of $0.5 were $3.9 billion and $4.9 billion, respectively, from Level 2 to Level 3,3. Of the $4.9 billion transfer in the six months ended June 30, 2021, approximately $4.0 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $0.8 billion related to equity volatility inputs (in addition to other volatility inputs, e.g., interest rate volatility inputs) becoming unobservable and/or significant to their overall valuation. In other instances, market changes have resulted in some inputs becoming more observable, and some unobservable inputs becoming less significant to the overall valuation of $1.4the instruments (e.g., when an option becomes deep-in or deep-out of the money). This has primarily resulted in $6.0 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 related to trading loans, reflecting changes induring the volume of market quotationsthree and significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.six months ended June 30, 2021.
The following were the significant Level 3 transfers for the period December 31, 2019 to June 30, 2016 to September2020:
•During the six months ended June 30, 2016.
Transfers2020, transfers ofOther trading assets Interest rate contracts of $0.3 billion from Level 2 to Level 3, and of $0.9 billion from Level 3 to Level 2, related to trading loans, reflecting changes in volume of market quotations.
Transfers of Long-term debt of $0.9 billion from Level 2 to Level 3, and of $1.6 billion from Level 3 to Level 2, mainly related to structured debt,
reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.
The following were the significant Level 3 transfers for the period from December 31, 2015 to September 30, 2016:
Transfers of Trading mortgage-backed securities of $0.8$1.6 billion from Level 2 to Level 3 were due to interest rate option volatility becoming an unobservable and/or significant input relative to the overall valuation of the related interest rate derivatives.
•During the three and six months ended June 30, 2020, $1.9 billion and $5.1 billion of $1.3Long-term debt containing embedded derivatives was transferred from Level 2 to Level 3, as a result of interest rate option volatility, equity correlation and credit derivative inputs becoming unobservable and/or significant relative to the overall valuation of certain structured long-term debt products. In other instances, market changes resulted in unobservable volatility inputs becoming insignificant to the overall valuation of the instrument (e.g., when an option becomes deep-in or deep-out of the money). This has resulted in $1.5 billion and $4.2 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 related to Agency Guaranteed MBS securities, reflecting changes induring the volume of market quotations.three and six months ended June 30, 2020, respectively.
Transfers of Other trading assets of $1.8 billion from Level 2 to Level 3, and of $2.4 billion from Level 3 to Level 2, related to trading loans, reflecting changes in the volume of market quotations.Transfers of Long-term debt of $2.2 billionfrom Level 2 to Level 3, and of $3.4 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.
Transfers of State and municipalinvestments of $1.1 billion from Level 3 to Level 2, mainly related to changes in the volume of market quotations.
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.
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| As of September 30, 2017 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| Assets | | | | | | |
| Federal funds sold and securities borrowed or purchased under agreements to resell | $ | 664 |
| Model-based | IR Normal Volatility | 26.85 | % | 77.79 | % | 64.45 | % |
| Mortgage-backed securities | $ | 480 |
| Price-based | Price | $ | 5.90 |
| $ | 102.90 |
| $73.64 |
| | 339 |
| Yield Analysis | Yield | 1.55 | % | 13.72 | % | 4.96 | % |
| Non-mortgage debt securities | $ | 2,830 |
| Price-based | Price | $ | 21.03 |
| $ | 108.46 |
| $ | 88.99 |
|
| | $ | 1,535 |
| Model-based | Credit Spread | 35 bps |
| 375 bps |
| 233 bps |
|
| | | | Yield | 2.17 | % | 16.04 | % | 5.92 | % |
Equity securities(5) | $ | 156 |
| Price-based | Price | $ | 0.09 |
| $ | 1,402.80 |
| $ | 640.33 |
|
| | $ | 80 |
| Model-based | |
|
|
|
|
| Asset-backed securities | $ | 2,387 |
| Price-based | Price | $ | 36.50 |
| $ | 100.00 |
| $ | 85.34 |
|
| Non-marketable equity | $ | 502 |
| Comparable Analysis | EBITDA Multiples | 7.30 | x | 13.3 | x | 8.94 | x |
| | 283 |
| Price-based | Discount to price | — | % | 100.00 | % | 9.71 | % |
| | | | Price to book ratio | 0.05 | x | 1.12 | x | 0.85 | x |
Derivatives—gross(6) | | | | | | |
| Interest rate contracts (gross) | $ | 3,679 |
| Model-based | IR Normal Volatility | 10.36 | % | 79.60 | % | 59.26 | % |
| | | | Mean Reversion | 1.00 | % | 20.00 | % | 10.50 | % |
| Foreign exchange contracts (gross) | $ | 906 |
| Model-based | FX Volatility | 5.98 | % | 20.23 | % | 10.45 | % |
| |
|
| | IR Basis | (0.99 | )% | 0.38 | % | (0.04 | )% |
| | | | Credit Spread | 0.00 bps |
| 602 bps |
| 168 bps |
|
| | | | IR-IR Correlation | (51.00 | )% | 40.00 | % | 35.65 | % |
| | | | IR-FX Correlation | (10.09 | )% | 60.00 | % | 49.13 | % |
| Equity contracts (gross) | $ | 2,977 |
| Model-based | Equity Volatility | 3.00 | % | 54.00 | % | 24.61 | % |
| | | | Forward Price | 69.30 | % | 114.48 | % | 94.45 | % |
| Commodity and other contracts (gross) | $ | 2,939 |
| Model-based | Forward Price | 41.12 | % | 405.15 | % | 141.97 | % |
| | | | Commodity Volatility | 8.99 | % | 49.49 | % | 27.04 | % |
| | | | Commodity Correlation | (38.81 | )% | 90.59 | % | 37.73 | % |
| Credit derivatives (gross) | $ | 2,187 |
| Model-based | Recovery Rate | 12.22 | % | 55.00 | % | 36.93 | % |
| | 949 |
| Price-based | Credit Correlation | 10.00 | % | 85.00 | % | 42.46 | % |
| | | | Upfront Points | 10.94 | % | 99.00 | % | 68.80 | % |
| | | | Credit Spread | 2 bps |
| 1,407 bps |
| 112 bps |
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| As of September 30, 2017 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (Gross) | $ | 16 |
| Model-based | Redemption Rate | 10.70 | % | 99.50 | % | 74.48 | % |
| Loans and leases | $ | 388 |
| Model-based | Price | $ | 29.16 |
| $ | 146.83 |
| $ | 137.53 |
|
| | 150 |
| Price-based | Yield | 2.53 | % | 3.09 | % | 3.02 | % |
| Mortgage servicing rights | $ | 465 |
| Cash flow | Yield | 8.00 | % | 18.96 | % | 12.59 | % |
| | 88 |
| Model-based | WAL | 4.06 years |
| 7.30 years |
| 6.02 years |
|
| Liabilities | | | | | | |
| Interest-bearing deposits | $ | 300 |
| Model-based | Mean Reversion | 1.00 | % | 20.00 | % | 10.50 | % |
| | | | Forward Price | 99.08 | % | 99.65 | % | 99.13 | % |
| Federal funds purchased and securities loaned or sold under agreement to repurchase | $ | 765 |
| Model-based | Interest Rate | 1.11 | % | 2.17 | % | 2.00 | % |
| Trading account liabilities | | | | | | |
| Securities sold, not yet purchased | $ | 612 |
| Model-based | IR Normal Volatility | 26.85 | % | 77.79 | % | 64.45 | % |
| Short-term borrowings and long-term debt | $ | 11,377 |
| Model-based | Forward Price | 69.30 | % | 193.63 | % | 105.10 | % |
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| As of December 31, 2016 | Fair value(1) (in millions) | Methodology | Input | 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-based | IR Log-Normal Volatility | 12.86 | % | 75.50 | % | 61.73 | % |
| | | | Interest Rate | (0.51 | )% | 5.76 | % | 2.80 | % |
| Mortgage-backed securities | $ | 509 |
| Price-based | Price | $ | 5.50 |
| $ | 113.48 |
| $ | 61.74 |
|
| | 368 |
| Yield analysis | Yield | 1.90 | % | 14.54 | % | 4.34 | % |
| State and municipal, foreign government, corporate and other debt securities | $ | 3,308 |
| Price-based | Price | $ | 15.00 |
| $ | 103.60 |
| $ | 89.93 |
|
| | 1,513 |
| Cash flow | Credit Spread | 35 bps |
| 600 bps |
| 230 bps |
|
Equity securities(5) | $ | 69 |
| Model-based | Price | $ | 0.48 |
| $ | 104.00 |
| $ | 22.19 |
|
| | 58 |
| Price-based | |
|
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|
|
|
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| Asset-backed securities | $ | 2,454 |
| Price-based | Price | $ | 4.00 |
| $ | 100.00 |
| $ | 71.51 |
|
| Non-marketable equity | $ | 726 |
| Price-based | Discount to Price | — | % | 90.00 | % | 13.36 | % |
| | 565 |
| Comparables analysis | EBITDA Multiples | 6.80 | x | 10.10 | x | 8.62 | x |
| | | | Price-to-Book Ratio | 0.32 | x | 1.03 | x | 0.87 | x |
| | | | Price | $ | — |
| $ | 113.23 |
| $ | 54.40 |
|
Derivatives—gross(6) | | | | | | |
| Interest rate contracts (gross) | $ | 4,897 |
| Model-based | IR Log-Normal Volatility | 1.00 | % | 93.97 | % | 62.72 | % |
| | | | Mean Reversion | 1.00 | % | 20.00 | % | 10.50 | % |
| Foreign exchange contracts (gross) | $ | 1,110 |
| Model-based | Foreign Exchange (FX) Volatility | 1.39 | % | 26.85 | % | 15.18 | % |
| | 134 |
| Cash flow | IR Basis | (0.85 | )% | (0.49 | )% | (0.84 | )% |
| | | | Credit Spread | 4 bps |
| 657 bps |
| 266 bps |
|
| | | | IR-IR Correlation | 40.00 | % | 50.00 | % | 41.27 | % |
| | | | IR-FX Correlation | 16.41 | % | 60.00 | % | 49.52 | % |
Equity contracts (gross)(7) | $ | 2,701 |
| Model-based | Equity Volatility | 3.00 | % | 97.78 | % | 29.52 | % |
| | | | Forward Price | 69.05 | % | 144.61 | % | 94.28 | % |
| | | | Equity-FX Correlation | (60.70 | )% | 28.20 | % | (26.28 | )% |
| | | | Equity-IR Correlation | (35.00 | )% | 41.00 | % | (15.65 | )% |
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| As of December 31, 2016 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| | | | Yield Volatility | 3.55 | % | 14.77 | % | 9.29 | % |
| | | | Equity-Equity Correlation | (87.70 | )% | 96.50 | % | 67.45 | % |
| Commodity contracts (gross) | $ | 2,955 |
| Model-based | Forward Price | 35.74 | % | 235.35 | % | 119.99 | % |
| | | | Commodity Volatility | 2.00 | % | 32.19 | % | 17.07 | % |
| | | | Commodity Correlation | (41.61 | )% | 90.42 | % | 52.85 | % |
| Credit derivatives (gross) | $ | 2,786 |
| Model-based | Recovery Rate | 20.00 | % | 75.00 | % | 39.75 | % |
| | 1,403 |
| Price-based | Credit Correlation | 5.00 | % | 90.00 | % | 34.27 | % |
| | | | Upfront Points | 6.00 | % | 99.90 | % | 72.89 | % |
| | | | Price | $ | 1.00 |
| $ | 167.00 |
| $ | 77.35 |
|
| | | | Credit Spread | 3 bps |
| 1,515 bps |
| 256 bps |
|
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6) | $ | 42 |
| Model-based | Recovery Rate | 40.00 | % | 40.00 | % | 40.00 | % |
| | | | Redemption Rate | 3.92 | % | 99.58 | % | 74.69 | % |
| | | | Upfront Points | 16.00 | % | 20.50 | % | 18.78 | % |
| Loans | $ | 258 |
| Price-based | Price | $ | 31.55 |
| $ | 105.74 |
| $ | 56.46 |
|
| | 221 |
| Yield analysis | Yield | 2.75 | % | 20.00 | % | 11.09 | % |
| | 79 |
| Model-based | | | | |
| Mortgage servicing rights | $ | 1,473 |
| Cash flow | Yield | 4.20 | % | 20.56 | % | 9.32 | % |
| | | | WAL | 3.53 years |
| 7.24 years |
| 5.83 years |
|
| Liabilities | | | | | | |
| Interest-bearing deposits | $ | 293 |
| Model-based | Mean Reversion | 1.00 | % | 20.00 | % | 10.50 | % |
| | | | Forward Price | 98.79 | % | 104.07 | % | 100.19 | % |
| Federal funds purchased and securities loaned or sold under agreements to repurchase | $ | 849 |
| Model-based | Interest Rate | 0.62 | % | 2.19 | % | 1.99 | % |
| Trading account liabilities | | | | | | |
| Securities sold, not yet purchased | $ | 1,056 |
| Model-based | IR Normal Volatility | 12.86 | % | 75.50 | % | 61.73 | % |
| Short-term borrowings and long-term debt | $ | 9,774 |
| Model-based | Mean Reversion | 1.00 | % | 20.00 | % | 10.50 | % |
| | | | Commodity Correlation | (41.61 | )% | 90.42 | % | 52.85 | % |
| | | | Commodity Volatility | 2.00 | % | 32.19 | % | 17.07 | % |
| | | | Forward Price | 69.05 | % | 235.35 | % | 103.28 | % |
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(1) | The fair value amounts presented in these tables represent the primary valuation technique or techniques for each class of assets or liabilities. |
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(2) | Some inputs are shown as zero due to rounding. |
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(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. |
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(4) | Weighted averages are calculated based on the fair values of the instruments. |
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(5) | For equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount. |
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(6) | Both trading and nontrading account derivatives—assets and liabilities—are presented on a gross absolute value basis. |
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(7) | Includes hybrid products. |
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| As of June 30, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| Assets | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | 211 | | Model-based | Credit spread | 15 bps | 15 bps | 15 bps |
| | | Interest rate | 0.30 | % | 0.30 | % | 0.30 | % |
| Mortgage-backed securities | $ | 452 | | Yield analysis | Yield | 1.64 | % | 17.78 | % | 7.31 | % |
| 136 | | Price-based | Price | $ | 4.00 | | $ | 120.68 | | $ | 91.67 | |
| State and municipal, foreign government, corporate and other debt securities | $ | 2,069 | | Price-based | Price | $ | 5.24 | $ | 1,027.67 | $ | 213.01 |
| 973 | | Model-based | Credit spread | 35 bps | 583 bps | 246 bps |
Marketable equity securities(5) | $ | 139 | | Price-based | Price | $ | 0 | $ | 97,500.00 | $ | 25,976.84 |
| 0 | | Illiquidity discount | 24.70 | % | 25.00 | % | 24.87 | % |
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| Asset-backed securities | $ | 418 | | Price-based | Price | $ | 2.08 | $ | 166.03 | $ | 68.96 |
| 211 | | Yield analysis | Yield | 2.29 | % | 15.40 | % | 6.35 | % |
| Non-marketable equities | $ | 248 | | Comparables analysis | Illiquidity discount | 10.00 | % | 35.00 | % | 21.53 | % |
| 97 | | Price-based | PE ratio | 12.00x | 31.00x | 18.52x |
| | | Adjustment factor | 0.18x | 0.80x | 0.47x |
| | | Price | $ | 11.03 | $ | 1,610.00 | $ | 1,269.53 |
| | | EBITDA multiples | 5.70x | 19.40x | 13.18x |
| | | Revenue multiple | 10.20x | 15.30x | 13.58x |
Derivatives—gross(6) | | | | | | |
| Interest rate contracts (gross) | $ | 3,740 | | Model-based | IR Normal volatility | 0.10 | % | 0.75 | % | 0.55 | % |
| | | Inflation volatility | 0.28 | % | 2.58 | % | 1.47 | % |
| Foreign exchange contracts (gross) | $ | 1,240 | | Model-based | IR Normal volatility | 0.11 | % | 0.58 | % | 0.51 | % |
| | | IR basis | (0.70) | % | 1.07 | % | 0.10 | % |
| | | FX volatility | 5.00 | % | 28.55 | % | 9.94 | % |
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Equity contracts (gross)(7) | $ | 5,608 | | Model-based | Equity volatility | 0 | % | 299.00 | % | 50.26 | % |
| | | Equity forward | 57.00 | % | 125.00 | % | 89.82 | % |
| Commodity and other contracts (gross) | $ | 1,640 | | Model-based | Commodity correlation | (49.00) | % | 92.00 | % | 18.34 | % |
| | | Commodity volatility | 10.00 | % | 69.00 | % | 24.91 | % |
| | | Forward price | 9.99 | % | 421.06 | % | 110.04 | % |
| Credit derivatives (gross) | $ | 1,283 | | Model-based | Credit spread | 4 bps | 600 bps | 52 bps |
| 466 | | Price-based | Recovery rate | 25.00 | % | 75.00 | % | 46.24 | % |
| | | Upfront points | 5.05 | % | 100.00 | % | 58.73 | % |
| | | Price | $ | 15.06 | $ | 103.63 | $ | 72.48 |
| Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross) | $ | 17 | | Price-based | Price | $ | 4.96 | $ | 44.50 | $ | 39.76 |
| Loans and leases | $ | 335 | | Model-based | Equity volatility | 22.06 | % | 63.96 | % | 30.76 | % |
| 87 | | Price-based | Price | $ | 35.23 | | $ | 409.11 | | $ | 111.37 | |
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| Mortgage servicing rights | $ | 339 | | Cash flow | Yield | 2.00 | % | 15.00 | % | 6.74 | % |
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| As of June 30, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| 80 | | Model-based | WAL | 3.15 years | 6.32 years | 5.49 years |
| Liabilities | | | | | | |
| Interest-bearing deposits | $ | 154 | | Model-based | IR Normal volatility | 0.13 | % | 0.75 | % | 0.61 | % |
| Securities loaned and sold under agreements to repurchase | $ | 488 | | Model-based | Interest rate | 0.06 | % | 2.04 | % | 1.25 | % |
| Trading account liabilities | | | | | | |
| Securities sold, not yet purchased and other trading liabilities | $ | 116 | | Model-based | IR Lognormal volatility | 55.87 | % | 139.01 | % | 106.26 | % |
| 52 | | Price-based | Price | $ | 0 | $ | 12,351.44 | $ | 2,184.24 |
| | | Interest rate | 0.17 | % | 0.23 | % | 0.20 | % |
| | | | | | |
| Short-term borrowings and long-term debt | $ | 24,881 | | Model-based | IR Normal volatility | 0.11 | % | 0.75 | % | 0.55 | % |
| | | Equity volatility | 0.07 | % | 299.00 | % | 64.51 | % |
| | | Equity forward | 57.00 | % | 125.00 | % | 89.78 | % |
| | | Equity-FX correlation | (81.00) | % | 80.00 | % | (12.54) | % |
| | | FX volatility | 0 | % | 37.00 | % | 10.12 | % |
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| As of December 31, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| Assets | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | 320 | | Model-based | Credit spread | 15 bps | 15 bps | 15 bps |
| | | Interest rate | 0.30 | % | 0.35 | % | 0.32 | % |
| Mortgage-backed securities | $ | 344 | | Price-based | Price | $ | 30 | | $ | 111 | | $ | 80 | |
| 168 | | Yield analysis | Yield | 2.63 | % | 21.80 | % | 10.13 | % |
| State and municipal, foreign government, corporate and other debt securities | $ | 1,566 | | Price-based | Price | $ | 0 | | $ | 2,265 | | $ | 90 | |
| 852 | | Model-based | Credit spread | 35 bps | 375 bps | 226 bps |
Marketable equity securities(5) | $ | 36 | | Model-based | Price | $ | 0 | | $ | 31,000 | | $ | 5,132 | |
| 36 | | Price-based | WAL | 1.48 years | 1.48 years | 1.48 years |
| | | Recovery (in millions) | $ | 5,733 | | $ | 5,733 | | $ | 5,733 | |
| Asset-backed securities | $ | 863 | | Price-based | Price | $ | 2 | | $ | 157 | | $ | 59 | |
| 744 | | Yield analysis | Yield | 3.77 | % | 21.77 | % | 9.01 | % |
| Non-marketable equities | $ | 205 | | Comparables analysis | Illiquidity discount | 10.00 | % | 45.00 | % | 25.29 | % |
| | | PE ratio | 13.60x | 28.00x | 22.83x |
| 142 | | Price-based | Price | $ | 136 | | $ | 2,041 | | $ | 1,647 | |
| | | EBITDA multiples | 3.30x | 36.70x | 15.10x |
| | | Adjustment factor | 0.20x | 0.61x | 0.25x |
| | | Appraised value (in thousands) | $ | 287 | | $ | 39,745 | | $ | 21,754 | |
| | | Revenue multiple | 2.70x | 28.00x | 8.92x |
Derivatives—gross(6) | | | | | | |
| Interest rate contracts (gross) | $ | 5,143 | | Model-based | Inflation volatility | 0.27 | % | 2.36 | % | 0.78 | % |
| | | IR normal volatility | 0.11 | % | 0.73 | % | 0.52 | % |
| Foreign exchange contracts (gross) | $ | 1,296 | | Model-based | FX volatility | 1.70 | % | 12.63 | % | 5.41 | % |
| | | Contingent event | 100.00 | % | 100.00 | % | 100.00 | % |
| | | Interest rate | 0.84 | % | 84.09 | % | 17.55 | % |
| | | IR normal volatility | 0.11 | % | 0.52 | % | 0.46 | % |
| | | IR-FX correlation | 40.00 | % | 60.00 | % | 50.00 | % |
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| As of December 31, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| | | IR-IR correlation | (21.71) | % | 40.00 | % | 38.09 | % |
Equity contracts (gross)(7) | $ | 7,330 | | Model-based | Equity volatility | 5.00 | % | 91.43 | % | 42.74 | % |
| | | Forward price | 65.88 | % | 105.20 | % | 91.82 | % |
| Commodity and other contracts (gross) | $ | 1,636 | | Model-based | Commodity correlation | (44.92) | % | 95.91 | % | 70.60 | % |
| | | Commodity volatility | 0.16 | % | 80.17 | % | 23.72 | % |
| | | Forward price | 15.40 | % | 262.00 | % | 98.53 | % |
| Credit derivatives (gross) | $ | 1,854 | | Model-based | Credit spread | 3.50 bps | 352.35 bps | 99.89 bps |
| 408 | | Price-based | Recovery rate | 20.00 | % | 60.00 | % | 41.60 | % |
| | | Credit correlation | 25.00 | % | 80.00 | % | 43.36 | % |
| | | Upfront points | 0 | % | 107.20 | % | 48.10 | % |
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| | | | | | |
| Loans and leases | $ | 1,804 | | Model-based | Equity volatility | 24.65 | % | 83.09 | % | 58.23 | % |
| | | | | | |
| Mortgage servicing rights | $ | 258 | | Cash flow | Yield | 2.86 | % | 16.00 | % | 6.32 | % |
| 78 | | Model-based | WAL | 2.66 years | 5.40 years | 4.46 years |
| Liabilities | | | | | | |
| Interest-bearing deposits | $ | 206 | | Model-based | IR Normal volatility | 0.11 | % | 0.73 | % | 0.54 | % |
| | | | | | |
| Securities loaned and sold under agreements to repurchase | $ | 631 | | Model-based | Interest rate | 0.08 | % | 1.86 | % | 0.71 | % |
| Trading account liabilities | | | | | | |
| Securities sold, not yet purchased | $ | 178 | | Model-based | IR lognormal volatility | 52.06 | % | 128.87 | % | 89.82 | % |
| 62 | | Price-based | Price | $ | 0 | | $ | 866 | | $ | 80 | |
| | | Interest rate | 10.03 | % | 20.07 | % | 13.70 | % |
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| | | | | | |
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Short-term borrowings and
long-term debt | $ | 24,827 | | Model-based | IR Normal volatility | 0.11 | % | 0.73 | % | 0.51 | % |
| | | Forward price | 15.40 | % | 262.00 | % | 92.48 | % |
(1)The tables above include the fair values for the items listed and may not foot to the total population for each category.
(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 inputs are expressed on an absolute basis, not as a percentage of the notional amount.
(6)Both trading and non-trading 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 securities that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for an identical or similar investment in 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 presentstables present the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded:
| | | | | | | | | | | |
| In millions of dollars | Fair value | Level 2 | Level 3 |
| June 30, 2021 | | | |
Loans HFS(1) | $ | 587 | | $ | 212 | | $ | 375 | |
| Other real estate owned | 22 | | 0 | | 22 | |
Loans(2) | 354 | | 0 | | 354 | |
| | | |
| Non-marketable equity securities measured using the measurement alternative | 487 | | 152 | | 335 | |
| Total assets at fair value on a nonrecurring basis | $ | 1,450 | | $ | 364 | | $ | 1,086 | |
| | | | | | | | | | | |
| In millions of dollars | Fair value | Level 2 | Level 3 |
| December 31, 2020 | | | |
Loans HFS(1) | $ | 3,375 | | $ | 478 | | $ | 2,897 | |
| Other real estate owned | 17 | | 4 | | 13 | |
Loans(2) | 1,015 | | 679 | | 336 | |
| Non-marketable equity securities measured using the measurement alternative | 315 | | 312 | | 3 | |
| Total assets at fair value on a nonrecurring basis | $ | 4,722 | | $ | 1,473 | | $ | 3,249 | |
(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.
|
| | | | | | | | | |
| In millions of dollars | Fair value | Level 2 | Level 3 |
| September 30, 2017 | | | |
Loans held-for-sale(1) | $ | 3,211 |
| $ | 1,039 |
| $ | 2,172 |
|
| Other real estate owned | 52 |
| 9 |
| 43 |
|
Loans(2) | 718 |
| 267 |
| 451 |
|
| Total assets at fair value on a nonrecurring basis | $ | 3,981 |
| $ | 1,315 |
| $ | 2,666 |
|
|
| | | | | | | | | |
| In millions of dollars | Fair value | Level 2 | Level 3 |
| December 31, 2016 | | | |
Loans held-for-sale(1) | $ | 5,802 |
| $ | 3,389 |
| $ | 2,413 |
|
| Other real estate owned | 75 |
| 15 |
| 60 |
|
Loans(2) | 1,376 |
| 586 |
| 790 |
|
| Total assets at fair value on a nonrecurring basis | $ | 7,253 |
| $ | 3,990 |
| $ | 3,263 |
|
| |
(1) | Net of fair value amounts on the unfunded portion of loans held-for-sale, recognized 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. |
193
Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements
The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements:
| | | | | | | | | | | | | | | | | | | | |
| As of June 30, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) |
| Loans held-for-sale | $ | 375 | | Price-based | Price | $ | 90.32 | | $ | 100.00 | | $ | 96.68 | |
| Other real estate owned | $ | 13 | | Recovery analysis | Appraised value(4) | $ | 20,000 | | $ | 1,800,000 | | $ | 599,971 | |
Loans (5) | $ | 224 | | Recovery analysis | Appraised value(4) | $ | 4,000 | | $ | 21,240,661 | | $ | 4,002,656 | |
| 128 | | Price-based | Price | 2.55 | | 60.00 | | $ | 29.10 | |
| Non-marketable equity securities measured using the measurement alternative | $ | 331 | | Price-based | Price | $ | 5.41 | | $ | 1,592.82 | | $ | 468.68 | |
| | | As of September 30, 2017 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) | |
| As of December 31, 2020 | | As of December 31, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) |
| Loans held-for-sale | $ | 2,114 |
| Price-based | Price | $ | 87.73 |
| $ | 100.00 |
| $ | 98.96 |
| Loans held-for-sale | $ | 2,683 | | Price-based | Price | $ | 79 | | $ | 100 | | $ | 98 | |
| Other real estate owned | $ | 41 |
| Price-based | Appraised Value | $ | 20,291 |
| $ | 4,491,044 |
| $ | 1,967,435 |
| Other real estate owned | $ | 7 | | Price-based | Appraised value(4) | $ | 3,110,711 | | $ | 4,241,357 | | $ | 3,586,975 | |
| | | 4 | | Recovery analysis | Price | 51 | | 51 | | 51 | |
| | | | Discount to price | 34.00 | % | 34.00 | % | 34.00 | % | |
| | | | Price | $ | 30.00 |
| $ | 54.49 |
| $ | 53.48 |
| |
Loans(5) | $ | 231 |
| Recovery Analysis | Recovery Rate | 48.00 | % | 91.97 | % | 65.20 | % | Loans(5) | $ | 147 | | Price-based | Price | $ | 2 | | $ | 49 | | $ | 23 | |
| | 155 |
| Cashflow | Appraised Value | $ | 70.00 |
| $ | 88.05 |
| $ | 79.61 |
| | 73 | | Recovery analysis | Recovery rate | 0.99 | % | 78.00 | % | 13.37 | % |
| | 50 |
| Price-based | Price | $ | 2.75 |
| $ | 100.00 |
| $ | 128.92 |
| | Appraised value(4) | $ | 34 | | $ | 43,646,426 | | $ | 17,762,950 | |
|
|
| | | | | | | | | | | | | | |
| As of December 31, 2016 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) |
| Loans held-for-sale | $ | 2,413 |
| Price-based | Price | $ | — |
| $ | 100.00 |
| $ | 93.08 |
|
| Other real estate owned | $ | 59 |
| Price-based | Discount to price(4) | 0.34 | % | 13.00 | % | 3.10 | % |
| |
|
| | Price | $ | 64.65 |
| $ | 74.39 |
| $ | 66.21 |
|
Loans(5) | $ | 431 |
| Cash flow | Price | $ | 3.25 |
| $ | 105.00 |
| $ | 59.61 |
|
| | 197 |
| Recovery analysis | Forward price | $ | 2.90 |
| $ | 210.00 |
| $ | 156.78 |
|
| | 135 |
| Price-based | Discount to price(4) | 0.25 | % | 13.00 | % | 8.34 | % |
| |
|
| | Appraised value | $ | 25.80 |
| $ | 26,400,000 |
| $ | 6,462,735 |
|
| |
(1) | The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities. |
| |
(2) | Some inputs are shown as zero due to rounding. |
| |
(3) | Weighted averages are calculated based on the fair values of the instruments. |
| |
(4) | Includes estimated costs to sell. |
| |
(5) | Represents impaired loans held for investment whose carrying amounts are based on the fair value of the underlying collateral, primarily real estate. |
(2)Some inputs are shown as zero due to rounding.
(3)Weighted averages are calculated based on the fair values of the instruments.
(4)Appraised values are disclosed in whole dollars.
(5)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.
Nonrecurring Fair Value Changes
The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:
| | | | | | | | | | | | | | |
| Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Loans HFS | $ | (15) | | $ | 32 | | $ | (17) | | $ | (198) | |
| Other real estate owned | 0 | | (1) | | 0 | | (1) | |
Loans(1) | 49 | | (266) | | 60 | | (189) | |
| Non-marketable equity securities measured using the measurement alternative | 211 | | (52) | | 291 | | (29) | |
| | | | |
| Total nonrecurring fair value gains (losses) | $ | 245 | | $ | (287) | | $ | 334 | | $ | (417) | |
|
| | | | | | |
| | Three Months Ended September 30, |
| In millions of dollars | 2017 | 2016 |
| Loans held-for-sale | $ | 10 |
| $ | (17 | ) |
| Other real estate owned | (4 | ) | (4 | ) |
Loans(1) | (66 | ) | (42 | ) |
| Total nonrecurring fair value gains (losses) | $ | (60 | ) | $ | (63 | ) |
| |
(1) | Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate. |
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.
|
| | | | | | |
| | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 |
| Loans held-for-sale | $ | 11 |
| $ | (15 | ) |
| Other real estate owned | (4 | ) | (6 | ) |
Loans(1) | (80 | ) | (110 | ) |
| Total nonrecurring fair value gains (losses) | $ | (73 | ) | $ | (131 | ) |
| |
(1) | Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate. |
194
Estimated Fair Value of Financial Instruments Not Carried at Fair Value
The following table presentstables present the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The tabletables below therefore excludesexclude items measured at fair value on a recurring basis presented in the tables above.
| | | | September 30, 2017 | Estimated fair value | | June 30, 2021 | Estimated fair value |
| | Carrying value | Estimated fair value | | | Carrying
value | Estimated
fair value | |
| In billions of dollars | Level 1 | Level 2 | Level 3 | In billions of dollars | Level 1 | Level 2 | Level 3 |
| Assets | | Assets | | | | |
| Investments | $ | 58.1 |
| $ | 58.6 |
| $ | 0.3 |
| $ | 56.3 |
| $ | 2.0 |
| |
| Federal funds sold and securities borrowed or purchased under agreements to resell | 96.3 |
| 96.3 |
| — |
| 90.7 |
| 5.6 |
| |
| Investments, net of allowance | | Investments, net of allowance | $ | 181.9 | | $ | 183.4 | | $ | 73.8 | | $ | 106.9 | | $ | 2.7 | |
| Securities borrowed and purchased under agreements to resell | | Securities borrowed and purchased under agreements to resell | 121.2 | | 121.2 | | 0 | | 120.9 | | 0.3 | |
Loans(1)(2) | 634.7 |
| 635.8 |
| — |
| 5.8 |
| 630.0 |
| Loans(1)(2) | 649.3 | | 665.2 | | 0 | | 0 | | 665.2 | |
Other financial assets(2)(3) | 251.2 |
| 251.7 |
| 7.2 |
| 179.2 |
| 65.3 |
| Other financial assets(2)(3) | 397.9 | | 397.9 | | 279.3 | | 19.9 | | 98.7 | |
| Liabilities | | Liabilities | | | |
| Deposits | $ | 962.5 |
| $ | 960.3 |
| $ | — |
| $ | 819.1 |
| $ | 141.2 |
| Deposits | $ | 1,307.5 | | $ | 1,308.3 | | $ | 0 | | $ | 1,138.6 | | $ | 169.7 | |
| Federal funds purchased and securities loaned or sold under agreements to repurchase | 116.0 |
| 116.0 |
| — |
| 116.0 |
| — |
| |
| Securities loaned and sold under agreements to repurchase | | Securities loaned and sold under agreements to repurchase | 145.1 | | 145.1 | | 0 | | 145.0 | | 0.1 | |
Long-term debt(4) | 201.8 |
| 210.5 |
| — |
| 178.8 |
| 31.7 |
| Long-term debt(4) | 188.2 | | 203.1 | | 0 | | 184.0 | | 19.1 | |
Other financial liabilities(5) | 128.3 |
| 128.3 |
| — |
| 15.4 |
| 112.9 |
| Other financial liabilities(5) | 114.8 | | 114.8 | | 0 | | 19.6 | | 95.2 | |
| | | | | | | | | | | | | | | | | |
| | December 31, 2020 | Estimated fair value |
| | Carrying
value | Estimated
fair value | | | |
| In billions of dollars | Level 1 | Level 2 | Level 3 |
| Assets | | | | | |
| Investments, net of allowance | $ | 110.3 | | $ | 113.2 | | $ | 23.3 | | $ | 87.0 | | $ | 2.9 | |
| Securities borrowed and purchased under agreements to resell | 109.5 | | 109.5 | | 0 | | 109.5 | | 0 | |
Loans(1)(2) | 643.3 | | 663.9 | | 0 | | 0.6 | | 663.3 | |
Other financial assets(2)(3) | 383.2 | | 383.2 | | 291.5 | | 18.1 | | 73.6 | |
| Liabilities | | | | | |
| Deposits | $ | 1,278.7 | | $ | 1,278.8 | | $ | 0 | | $ | 1,093.3 | | $ | 185.5 | |
| Securities loaned and sold under agreements to repurchase | 139.3 | | 139.3 | | 0 | | 139.3 | | 0 | |
Long-term debt(4) | 204.6 | | 221.2 | | 0 | | 197.8 | | 23.4 | |
Other financial liabilities(5) | 102.4 | | 102.4 | | 0 | | 19.2 | | 83.2 | |
(1)The carrying value of loans is net of the Allowance for credit losses on loans of $19.2 billion for June 30, 2021 and $25.0 billion for December 31, 2020. In addition, the carrying values exclude $0.6 billion and $0.7 billion of lease finance receivables at June 30, 2021 and December 31, 2020, 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 recoverables 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.
|
| | | | | | | | | | | | | | | |
| | December 31, 2016 | Estimated fair value |
| | Carrying value | Estimated fair value | | | |
| In billions of dollars | Level 1 | Level 2 | Level 3 |
| Assets | | | | | |
| Investments | $ | 52.1 |
| $ | 52.0 |
| $ | 0.8 |
| $ | 48.6 |
| $ | 2.6 |
|
| Federal funds sold and securities borrowed or purchased under agreements to resell | 103.6 |
| 103.6 |
| — |
| 98.5 |
| 5.1 |
|
Loans(1)(2) | 607.0 |
| 607.3 |
| — |
| 7.0 |
| 600.3 |
|
Other financial assets(2)(3) | 215.2 |
| 215.9 |
| 8.2 |
| 153.6 |
| 54.1 |
|
| Liabilities | | | | | |
| Deposits | $ | 928.2 |
| $ | 927.6 |
| $ | — |
| $ | 789.7 |
| $ | 137.9 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase | 108.2 |
| 108.2 |
| — |
| 107.8 |
| 0.4 |
|
Long-term debt(4) | 179.9 |
| 185.5 |
| — |
| 156.5 |
| 29.0 |
|
Other financial liabilities(5) | 115.3 |
| 115.3 |
| — |
| 16.2 |
| 99.1 |
|
| |
(1) | The carrying value of loans is net of the Allowance for loan losses of $12.4 billion for September 30, 2017 and $12.1 billion for December 31, 2016. In addition, the carrying values exclude $1.8 billion and $1.9 billion of lease finance receivables at September 30, 2017 and December 31, 2016, respectively.
|
| |
(2) | Includes items measured at fair value on a nonrecurring basis. |
| |
(3) | Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables 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 SeptemberJune 30, 20172021 and December 31, 20162020 were off-balance liabilities of $2.7$6.7 billion and $5.2$7.3 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 otherwise be revoked once an election is made. The
changes in fair value are recorded in current earnings, other thanearnings. Movements in DVA are reported as a component of AOCI. Additional discussion regarding the applicable areas in which from January 1, 2016fair value elections were made is reportedpresented in AOCI.Note 20 to the Consolidated Financial Statements.
The Company has elected fair value accounting for its mortgage servicing rights.rights (MSRs). See Note 18 to the Consolidated Financial Statements for further discussions regarding the accounting and reporting ofadditional details on Citi’s 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) |
| | Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Assets | | | | |
| Securities borrowed and purchased under agreements to resell | $ | (8) | | $ | (48) | | $ | (36) | | $ | 44 | |
| Trading account assets | 52 | | 373 | | 153 | | (461) | |
| Loans | | | | |
| Certain corporate loans | 539 | | (154) | | 668 | | (1,017) | |
| Certain consumer loans | 0 | | (1) | | 0 | | 0 | |
| Total loans | $ | 539 | | $ | (155) | | $ | 668 | | $ | (1,017) | |
| Other assets | | | | |
| MSRs | $ | (21) | | $ | (26) | | $ | 52 | | $ | (169) | |
Certain mortgage loans HFS(1) | 47 | | 72 | | 44 | | 134 | |
| Total other assets | $ | 26 | | $ | 46 | | $ | 96 | | $ | (35) | |
| Total assets | $ | 609 | | $ | 216 | | $ | 881 | | $ | (1,469) | |
| Liabilities | | | | |
| Interest-bearing deposits | $ | (130) | | $ | (164) | | $ | (93) | | $ | (52) | |
| Securities loaned and sold under agreements to repurchase | 5 | | 196 | | 18 | | (92) | |
| Trading account liabilities | 8 | | 44 | | 10 | | (17) | |
Short-term borrowings(2) | 327 | | (259) | | 192 | | 997 | |
Long-term debt(2) | (2,441) | | (5,402) | | (433) | | 1,963 | |
| Total liabilities | $ | (2,231) | | $ | (5,585) | | $ | (306) | | $ | 2,799 | |
(1)Includes gains (losses) associated with interest rate lock commitments for those loans that have been originated and elected under the fair value option.
(2)Includes DVA that is included in AOCI. See Notes 17 and 20 to the Consolidated Financial Statements.
|
| | | | | | | | | | | | |
| | Changes in fair value—gains (losses) |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Assets | | | | |
| Federal funds sold and securities borrowed or purchased under agreements to resell—selected portfolios | $ | (17 | ) | $ | (54 | ) | $ | (108 | ) | $ | (7 | ) |
| Trading account assets | 581 |
| 571 |
| 1,243 |
| 509 |
|
| Investments | — |
| (4 | ) | (3 | ) | (25 | ) |
| Loans | | |
|
|
Certain corporate loans(1) | (61 | ) | 5 |
| (42 | ) | 65 |
|
Certain consumer loans(1) | 1 |
| 1 |
| 3 |
| — |
|
| Total loans | $ | (60 | ) | $ | 6 |
| $ | (39 | ) | $ | 65 |
|
| Other assets | | |
|
|
| MSRs | $ | (6 | ) | $ | 13 |
| $ | 50 |
| $ | (349 | ) |
Certain mortgage loans held-for-sale(2) | 34 |
| 100 |
| 115 |
| 271 |
|
| Other assets | — |
| 6 |
| — |
| 376 |
|
| Total other assets | $ | 28 |
| $ | 119 |
| $ | 165 |
| $ | 298 |
|
| Total assets | $ | 532 |
| $ | 638 |
| $ | 1,258 |
| $ | 840 |
|
| Liabilities | | | | |
| Interest-bearing deposits | $ | (16 | ) | $ | (16 | ) | $ | (60 | ) | $ | (84 | ) |
| Federal funds purchased and securities loaned or sold under agreements to repurchase—selected portfolios | 97 |
| 32 |
| 183 |
| 24 |
|
| Trading account liabilities | 19 |
| 4 |
| 70 |
| 101 |
|
| Short-term borrowings | (30 | ) | (173 | ) | (110 | ) | (207 | ) |
| Long-term debt | (198 | ) | (305 | ) | (669 | ) | (845 | ) |
| Total liabilities | $ | (128 | ) | $ | (458 | ) | $ | (586 | ) | $ | (1,011 | ) |
196
| |
(1) | Includes mortgage loans held by consolidated mortgage loan securitization VIEs. |
| |
(2) | Includes gains (losses) associated with interest rate lock 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. Effective January 1, 2016, changesChanges 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.AOCI.
Among other variables, the fair value of liabilities for which the fair value option has been elected (other than non-recourse debt and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads.
The estimated changechanges in the fair value of these non-derivative liabilities due to such changes in the Company’s own credit spread (or instrument-specific credit risk) waswere a loss of $195$110 million and $319a loss of $2,935 million for the three months ended SeptemberJune 30, 20172021 and 2016,2020, and a loss of $422$148 million and a gain of $8$1,253 million for the ninesix months ended SeptemberJune 30, 20172021 and 2016,2020, 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-CollateralizedUncollateralized 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-collateralizeduncollateralized short-term borrowings held primarily by broker-dealer entities in the United States, the United Kingdom and Japan. In each case, the election was made because the related interest rate risk is managed on a portfolio basis, primarily with offsetting derivative instruments that are accounted for at fair value through earnings.
Changes in fair value for transactions in these portfolios are recorded in Principal transactions. The related interest revenue and interest expense are measured based on the contractual rates specified in the transactions and are reported as 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:
| | | | | | | | | | | | | | |
| | June 30, 2021 | December 31, 2020 |
| In millions of dollars | Trading assets | Loans | Trading assets | Loans |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 8,594 | | $ | 7,707 | | $ | 8,063 | | $ | 6,854 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | (203) | | (197) | | (915) | | (14) | |
| Balance of non-accrual loans or loans more than 90 days past due | 0 | | 17 | | 0 | | 4 | |
| Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due | 0 | | (15) | | 0 | | 0 | |
|
| | | | | | | | | | | | |
| | September 30, 2017 | December 31, 2016 |
| In millions of dollars | Trading assets | Loans | Trading assets | Loans |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 8,926 |
| $ | 4,308 |
| $ | 9,824 |
| $ | 3,486 |
|
| Aggregate unpaid principal balance in excess of fair value | 518 |
| 82 |
| 758 |
| 18 |
|
| Balance of non-accrual loans or loans more than 90 days past due | — |
| 1 |
| — |
| 1 |
|
| Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due | — |
| — |
| — |
| 1 |
|
In addition to the amounts reported above, $653$763 million and $1,828$1,068 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of SeptemberJune 30, 20172021 and December 31, 2016,2020, 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 ninesix months ended SeptemberJune 30, 20172021 and 20162020 due to instrument-specific credit risk totaled to a gainlosses of $57$2 million and $83$40 million, respectively.
Certain Investments in Unallocated Precious Metals
Citigroup invests in unallocated precious metals accounts (gold, silver, platinum and palladium) as part of its commodity and foreign currency trading activities or to economically hedge certain exposures from issuing structured liabilities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity forward derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the debt host contract within Trading account assets on the Company’s Consolidated Balance Sheet. The total carrying amount of debt host contracts across unallocated precious metals accounts was approximately $0.8$0.4 billion and $0.6$0.5 billion at SeptemberJune 30, 20172021 and December 31, 2016,2020, 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 SeptemberJune 30, 2017,2021, there were approximately $14.4$5.0 billion and $8.8$5.0 billion of notional amounts of such forward purchase and forward sale derivative contracts outstanding, respectively.
Certain Investments in Private Equity and
Real Estate Ventures and Certain Equity Method and Other Investments
Citigroup invests in private equity and real estate ventures for the purpose of earning investment returns and for capital appreciation. The Company has elected the fair value option for certain of these ventures, because such investments are considered similar to many private equity or hedge fund activities in Citi’s investment companies, which are reported at fair value. The fair value option brings consistency in the accounting and evaluation of these investments. All investments (debt and equity) in such private equity and real estate entities are accounted for at fair value. These investments are classified as Investments on Citigroup’s Consolidated Balance Sheet.
Changes in the fair values of these investments are classified in Other revenue in the Company’s Consolidated Statement of Income.
Citigroup also elects the fair value option for certain non-marketable equity securities whose risk is managed with derivative instruments that are accounted for at fair value through earnings. These securities are classified as Trading account assets on Citigroup’s Consolidated Balance Sheet. Changes in the fair value of these securities and the related derivative instruments are recorded in Principal transactions.
Certain Mortgage Loans Held-for-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 dollars | June 30,
2021 | December 31, 2020 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 1,681 | | $ | 1,742 | |
| Aggregate fair value in excess of (less than) unpaid principal balance | 52 | | 91 | |
| Balance of non-accrual loans or loans more than 90 days past due | 0 | | 0 | |
| Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due | 0 | | 0 | |
|
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31, 2016 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 448 |
| $ | 915 |
|
| Aggregate fair value in excess of unpaid principal balance | 15 |
| 8 |
|
| Balance of non-accrual loans or loans more than 90 days past due | — |
| — |
|
| Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due | — |
| — |
|
The changes in the fair values of these mortgage loans are reported in Other revenue in the Company’s Consolidated Statement of Income. There was no net change in fair value during the ninesix months ended SeptemberJune 30, 20172021 and 20162020 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 StructuredDebt 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.debt liabilities. The Company elected the fair value option because these exposures are considered to be trading-related positions and, therefore, they are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives (classified as 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 carried at fair value, disaggregated by type of embedded derivative instrument:risk:
| | | In billions of dollars | September 30, 2017 | December 31, 2016 | In billions of dollars | June 30, 2021 | December 31, 2020 |
| Interest rate linked | $ | 13.1 |
| $ | 10.6 |
| Interest rate linked | $ | 38.9 | | $ | 34.5 | |
| Foreign exchange linked | 0.3 |
| 0.2 |
| Foreign exchange linked | 0.6 | | 1.2 | |
| Equity linked | 11.9 |
| 12.3 |
| Equity linked | 31.3 | | 27.3 | |
| Commodity linked | 1.2 |
| 0.3 |
| Commodity linked | 2.9 | | 1.4 | |
| Credit linked | 2.3 |
| 0.9 |
| Credit linked | 2.7 | | 2.6 | |
| Total | $ | 28.8 |
| $ | 24.3 |
| Total | $ | 76.4 | | $ | 67.0 | |
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
The portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value will continue to beare 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 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) is reflected as a component of AOCI while all other changes in fair value will continue to be reported in Principal transactions.
Interest expense on non-structured liabilities is measured based on the contractual interest rates and reported as Interest expense in the Consolidated Statement of Income.
The following table provides information about long-term debt carried at fair value:
| | | In millions of dollars | September 30, 2017 | December 31, 2016 | In millions of dollars | June 30, 2021 | December 31, 2020 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 30,826 |
| $ | 26,254 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 76,375 | | $ | 67,063 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | 12 |
| (128 | ) | Aggregate unpaid principal balance in excess of (less than) fair value | (4,638) | | (5,130) | |
The following table provides information about short-term borrowings carried at fair value:
| | | | | | | | |
| In millions of dollars | June 30, 2021 | December 31, 2020 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 7,358 | | $ | 4,683 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | 0 | | 68 | |
|
| | | | | | |
| In millions of dollars | September 30, 2017 | December 31, 2016 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 4,827 |
| $ | 2,700 |
|
| Aggregate unpaid principal balance in excess of (less than) fair value | 21 |
| (61 | ) |
22. GUARANTEES, LEASES 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 thethese tables, below, see Note 26 to the Consolidated Financial Statements in Citi’s 20162020 Annual Report on Form 10-K.
The following tables present information about Citi’s guarantees at SeptemberJune 30, 20172021 and December 31, 2016:
2020:
| | | | | | | | | | | | | | |
| Maximum potential amount of future payments | |
| In billions of dollars at June 30, 2021 | Expire within
1 year | Expire after
1 year | Total amount
outstanding | Carrying value (in millions of dollars) |
| Financial standby letters of credit | $ | 24.3 | | $ | 68.2 | | $ | 92.5 | | $ | 882 | |
| Performance guarantees | 6.8 | | 5.9 | | 12.7 | | 48 | |
| Derivative instruments considered to be guarantees | 16.1 | | 58.5 | | 74.6 | | 304 | |
| Loans sold with recourse | 0 | | 1.7 | | 1.7 | | 16 | |
Securities lending indemnifications(1) | 134.4 | | 0 | | 134.4 | | 0 | |
Credit card merchant processing(2) | 110.9 | | 0 | | 110.9 | | 4 | |
| Credit card arrangements with partners | 0 | | 0.8 | | 0.8 | | 7 | |
| Custody indemnifications and other | 0 | | 24.2 | | 24.2 | | 37 | |
| Total | $ | 292.5 | | $ | 159.3 | | $ | 451.8 | | $ | 1,298 | |
| | | | | | | | | | | | | | |
| | Maximum potential amount of future payments | |
| In billions of dollars at December 31, 2020 | Expire within
1 year | Expire after
1 year | Total amount
outstanding | Carrying value (in millions of dollars) |
| Financial standby letters of credit | $ | 25.3 | | $ | 68.4 | | $ | 93.7 | | $ | 1,407 | |
| Performance guarantees | 7.3 | | 6.0 | | 13.3 | | 72 | |
| Derivative instruments considered to be guarantees | 20.0 | | 60.9 | | 80.9 | | 671 | |
| Loans sold with recourse | 0 | | 1.2 | | 1.2 | | 9 | |
Securities lending indemnifications(1) | 112.2 | | 0 | | 112.2 | | 0 | |
Credit card merchant processing(2) | 101.9 | | 0 | | 101.9 | | 3 | |
| Credit card arrangements with partners | 0.2 | | 0.8 | | 1.0 | | 7 | |
| Custody indemnifications and other | 0 | | 37.3 | | 37.3 | | 35 | |
| Total | $ | 266.9 | | $ | 174.6 | | $ | 441.5 | | $ | 2,204 | |
(1)The carrying values of securities lending indemnifications were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)At June 30, 2021 and December 31, 2020, this maximum potential exposure was estimated to be $111 billion and $102 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.
|
| | | | | | | | | | | | |
| | Maximum potential amount of future payments | |
| In billions of dollars at September 30, 2017 except carrying value in millions | Expire within 1 year | Expire after 1 year | Total amount outstanding | Carrying value (in millions of dollars) |
| Financial standby letters of credit | $ | 27.0 |
| $ | 66.2 |
| $ | 93.2 |
| $ | 166 |
|
| Performance guarantees | 8.0 |
| 3.0 |
| 11.0 |
| 20 |
|
| Derivative instruments considered to be guarantees | 13.8 |
| 86.7 |
| 100.5 |
| 676 |
|
| Loans sold with recourse | — |
| 0.2 |
| 0.2 |
| 9 |
|
Securities lending indemnifications(1) | 106.4 |
| — |
| 106.4 |
| — |
|
Credit card merchant processing(1)(2) | 82.6 |
| — |
| 82.6 |
| — |
|
| Credit card arrangements with partners | 0.1 |
| 1.3 |
| 1.4 |
| 205 |
|
| Custody indemnifications and other | — |
| 54.6 |
| 54.6 |
| 59 |
|
| Total | $ | 237.9 |
| $ | 212.0 |
| $ | 449.9 |
| $ | 1,135 |
|
|
| | | | | | | | | | | | |
| | 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) |
| Financial standby letters of credit | $ | 26.0 |
| $ | 67.1 |
| $ | 93.1 |
| $ | 141 |
|
| Performance guarantees | 7.5 |
| 3.6 |
| 11.1 |
| 19 |
|
| Derivative instruments considered to be guarantees | 7.2 |
| 80.0 |
| 87.2 |
| 747 |
|
| Loans sold with recourse | — |
| 0.2 |
| 0.2 |
| 12 |
|
Securities lending indemnifications(1) | 80.3 |
| — |
| 80.3 |
| — |
|
Credit card merchant processing(1)(2) | 86.4 |
| — |
| 86.4 |
| — |
|
| Credit card arrangements with partners | — |
| 1.5 |
| 1.5 |
| 206 |
|
| Custody indemnifications and other | — |
| 45.4 |
| 45.4 |
| 58 |
|
| Total | $ | 207.4 |
| $ | 197.8 |
| $ | 405.2 |
| $ | 1,183 |
|
| |
(1) | The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal. |
| |
(2) | At September 30, 2017 and December 31, 2016, this maximum potential exposure was estimated to be $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 soldSold with recourseRecourse
Loans sold with recourse represent Citi’s obligations to
reimburse the buyers for loan losses under certain
circumstances. Recourse refers to the clause in a sales
agreement under which a seller/lender will fully reimburse
the buyer/investor for any losses resulting from the
purchased loans. This may be accomplished by the seller
sellers 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) agencies and, to a lesser extent, private investors.
The repurchase reserve was approximately $72$32 million and
$107 $31 million at SeptemberJune 30, 20172021 and December 31, 2016,
2020, respectively, and these amounts are included in Other
liabilities on the Consolidated Balance Sheet.
Credit card arrangementsCard Arrangements with partnersPartners
Citi, in certainone of its credit card partner arrangements,
provides guarantees to the partner regarding the volume of
certain customer originations during the term of the
agreement. To the extent that such origination targets are not met,
the guarantees serve to compensate the partner for certain
payments that otherwise would have been generated in
connection with such originations.
Other guaranteesGuarantees and indemnificationsIndemnifications
Credit Card Protection Programs
Citi, through its credit card businesses, provides various
cardholder protection programs on several of its card
products, including programs that provide insurance
coverage for rental cars, coverage for certain losses
associated with purchased products, price protection for
certain purchases and protection for lost luggage. These
guarantees are not included in the table, since the total
outstanding amount of the guarantees and Citi’s maximum
exposure to loss cannot be quantified. The protection is
limited to certain types of purchases and losses, and it is not
possible to quantify the purchases that would qualify for
these benefits at any given time. Citi assesses the probability
and amount of its potential liability related to these programs
based on the extent and nature of its historical loss
experience. At SeptemberJune 30, 20172021 and December 31, 2016,2020, the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were
immaterial.
Value-Transfer Networks (Including Exchanges and Clearing Houses) (VTNs)
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 limitedcertain narrow cases, to the obligation may be unlimited.full pro rata share. The maximum exposure cannot be estimatedis difficult to estimate as this
this
would require an assessment of future claims that have
not yet occurred.occurred; however, 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 SeptemberJune 30, 20172021 or
December 31, 20162020 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 GE’s 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 $7.4 billion at September 30, 2017, compared to $7.0 billion at December 31, 2016)UFLIC that 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 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 its insolvency or the failure of UFLIC to perform under its reinsurance contract or GE to perform under the capital maintenance agreement, and (ii) the assets inof the two trusts2 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 no0 liability reflected inon the Consolidated Balance Sheet as of SeptemberJune 30, 20172021 and December 31, 20162020 related to this indemnification. However, if both events become reasonably possible (meaning more than remote but less than probable), Citi will be required to estimate and disclose a reasonably possible loss or range of loss to the extent that such an estimate could be made. In addition, if both events become probable, Citi will be required to accrue for such liability in accordance with applicable accounting principles.
Citi continues to closely monitor its potential exposure under this indemnification obligation.obligation, given GE’s 2018 LTC and other charges and the September 2019 AM Best credit ratings downgrade for the Genworth subsidiaries.
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 clearingOver-the-Counter Derivatives Clearing
Citi provides clearing services on central clearing parties (CCP) for clients that need to clear exchange-traded and over-the-counter (OTC) derivativesderivative 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-traded and OTC-cleared derivativesderivative 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;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$16.8 billion and $9.4$16.6 billion as of SeptemberJune 30, 20172021 and December 31, 2016,2020, 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 nonperformancenon-performance by clients (e.g., failure of a client to post
variation margin to the CCP for negative changes in the
value of the client’s derivative contracts). In the event of
non-performance by a client, Citi would move to close out
the client’s positions. The CCP would typically utilize initial
margin posted by the client and held by the CCP, with any
remaining shortfalls required to be paid by Citi as clearing
member. Citi generally holds incremental cash or securities
margin posted by the client, which would typically be
expected to be sufficient to mitigate Citi’s credit risk in the
event 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 SeptemberJune 30, 20172021 and December 31, 2016,2020, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted
to approximately $1.1$1.3 billion and $1.2$2.2 billion, respectively. The carrying value of financial and performance guarantees is included in Other liabilities. For loans sold with recourse, the carrying value of the liability is included in Other liabilities.
Collateral
Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $65$64.6 billion and $48$51.6 billion at SeptemberJune 30, 20172021 and December 31, 2016,2020, respectively. Securities and other marketable assets held as collateral amounted to $53$94.1 billion and $41$80.1 billion at SeptemberJune 30, 20172021 and December 31, 2016,2020, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. Additionally,In addition, letters of credit in favor of Citi held as collateral amounted to $5.4$4.5 billion and $6.6 billion at both SeptemberJune 30, 20172021 and December 31, 2016.2020, respectively. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined.
Performance riskRisk
Presented in the tables below are the maximum potential amounts of future payments that are classified based uponon 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 payments |
| | Maximum potential amount of future payments | |
| In billions of dollars at September 30, 2017 | Investment grade | Non-investment grade | Not rated | Total | |
| In billions of dollars at June 30, 2021 | | In billions of dollars at June 30, 2021 | Investment
grade | Non-investment
grade | Not
rated | Total |
| Financial standby letters of credit | $ | 65.9 |
| $ | 13.2 |
| $ | 14.1 |
| $ | 93.2 |
| Financial standby letters of credit | $ | 77.7 | | $ | 14.7 | | $ | 0.1 | | $ | 92.5 | |
| Performance guarantees | 7.2 |
| 3.0 |
| 0.8 |
| 11.0 |
| Performance guarantees | 10.1 | | 2.6 | | 0 | | 12.7 | |
| Derivative instruments deemed to be guarantees | — |
| — |
| 100.5 |
| 100.5 |
| Derivative instruments deemed to be guarantees | 0 | | 0 | | 74.6 | | 74.6 | |
| Loans sold with recourse | — |
| — |
| 0.2 |
| 0.2 |
| Loans sold with recourse | 0 | | 0 | | 1.7 | | 1.7 | |
| Securities lending indemnifications | — |
| — |
| 106.4 |
| 106.4 |
| Securities lending indemnifications | 0 | | 0 | | 134.4 | | 134.4 | |
| Credit card merchant processing | — |
| — |
| 82.6 |
| 82.6 |
| Credit card merchant processing | 0 | | 0 | | 110.9 | | 110.9 | |
| Credit card arrangements with partners | — |
| — |
| 1.4 |
| 1.4 |
| Credit card arrangements with partners | 0 | | 0 | | 0.8 | | 0.8 | |
| Custody indemnifications and other | 54.3 |
| 0.3 |
| — |
| 54.6 |
| Custody indemnifications and other | 11.6 | | 12.6 | | 0 | | 24.2 | |
| Total | $ | 127.4 |
| $ | 16.5 |
| $ | 306.0 |
| $ | 449.9 |
| Total | $ | 99.4 | | $ | 29.9 | | $ | 322.5 | | $ | 451.8 | |
| | | | | | | | | | | | | | |
| | Maximum potential amount of future payments |
| In billions of dollars at December 31, 2020 | Investment
grade | Non-investment
grade | Not
rated | Total |
| Financial standby letters of credit | $ | 78.5 | | $ | 14.6 | | $ | 0.6 | | $ | 93.7 | |
| Performance guarantees | 9.8 | | 3.0 | | 0.5 | | 13.3 | |
| Derivative instruments deemed to be guarantees | 0 | | 0 | | 80.9 | | 80.9 | |
| Loans sold with recourse | 0 | | 0 | | 1.2 | | 1.2 | |
| Securities lending indemnifications | 0 | | 0 | | 112.2 | | 112.2 | |
| Credit card merchant processing | 0 | | 0 | | 101.9 | | 101.9 | |
| Credit card arrangements with partners | 0 | | 0 | | 1.0 | | 1.0 | |
| Custody indemnifications and other | 24.9 | | 12.4 | | 0 | | 37.3 | |
| Total | $ | 113.2 | | $ | 30.0 | | $ | 298.3 | | $ | 441.5 | |
Leases
The Company’s operating leases, where Citi is a lessee, include real estate such as office space and branches and various types of equipment. These leases have a weighted-average remaining lease term of approximately six years as of June 30, 2021. The operating lease ROU asset and lease liability were $2.8 billion and $3.0 billion, respectively, as of June 30, 2021, compared to an operating lease ROU asset of $2.8 billion and lease liability of $3.1 billion as of December 31, 2020. The Company recognizes fixed lease costs on a straight-line basis throughout the lease term in the Consolidated Statement of Income. In addition, variable lease costs are recognized in the period in which the obligation for those payments is incurred.
|
| | | | | | | | | | | | |
| | Maximum potential amount of future payments |
| In billions of dollars at December 31, 2016 | Investment grade | Non-investment grade | Not rated | Total |
| Financial standby letters of credit | $ | 66.8 |
| $ | 13.4 |
| $ | 12.9 |
| $ | 93.1 |
|
| Performance guarantees | 6.3 |
| 4.0 |
| 0.8 |
| 11.1 |
|
| Derivative instruments deemed to be guarantees | — |
| — |
| 87.2 |
| 87.2 |
|
| Loans sold with recourse | — |
| — |
| 0.2 |
| 0.2 |
|
| Securities lending indemnifications | — |
| — |
| 80.3 |
| 80.3 |
|
| Credit card merchant processing | — |
| — |
| 86.4 |
| 86.4 |
|
| Credit card arrangements with partners | — |
| — |
| 1.5 |
| 1.5 |
|
| Custody indemnifications and other | 45.3 |
| 0.1 |
| — |
| 45.4 |
|
| Total | $ | 118.4 |
| $ | 17.5 |
| $ | 269.3 |
| $ | 405.2 |
|
Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments:
| | | In millions of dollars | U.S. | Outside of U.S. | September 30,
2017 | December 31, 2016 | In millions of dollars | U.S. | Outside of
U.S. | June 30,
2021 | December 31,
2020 |
| Commercial and similar letters of credit | $ | 756 |
| $ | 4,297 |
| $ | 5,053 |
| $ | 5,736 |
| Commercial and similar letters of credit | $ | 929 | | $ | 4,840 | | $ | 5,769 | | $ | 5,221 | |
| One- to four-family residential mortgages | 1,352 |
| 1,831 |
| 3,183 |
| 2,838 |
| One- to four-family residential mortgages | 1,823 | | 2,520 | | 4,343 | | 5,002 | |
| Revolving open-end loans secured by one- to four-family residential properties | 11,137 |
| 1,508 |
| 12,645 |
| 13,405 |
| Revolving open-end loans secured by one- to four-family residential properties | 7,687 | | 1,154 | | 8,841 | | 9,626 | |
| Commercial real estate, construction and land development | 9,166 |
| 1,973 |
| 11,139 |
| 10,781 |
| Commercial real estate, construction and land development | 14,959 | | 1,507 | | 16,466 | | 12,867 | |
| Credit card lines | 579,285 |
| 100,624 |
| 679,909 |
| 664,335 |
| Credit card lines | 605,944 | | 102,007 | | 707,951 | | 710,399 | |
| Commercial and other consumer loan commitments | 167,736 |
| 95,939 |
| 263,675 |
| 259,934 |
| Commercial and other consumer loan commitments | 214,023 | | 120,988 | | 335,011 | | 322,458 | |
| Other commitments and contingencies | 2,115 |
| 1,325 |
| 3,440 |
| 3,202 |
| Other commitments and contingencies | 5,278 | | 524 | | 5,802 | | 5,715 | |
| Total | $ | 771,547 |
| $ | 207,497 |
| $ | 979,044 |
| $ | 960,231 |
| Total | $ | 850,643 | | $ | 233,540 | | $ | 1,084,183 | | $ | 1,071,288 | |
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 commitmentsCommitments and contingenciesContingencies
Other commitments and contingencies include all other transactions related to commitments and contingencies not reported on the lines above.
Unsettled reverse repurchaseReverse Repurchase and securities lending agreementsSecurities Borrowing Agreements and unsettled repurchaseUnsettled Repurchase and securities borrowing agreementsSecurities Lending 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 SeptemberJune 30, 2017,2021 and December 31, 2016,2020, Citigroup had $44.8approximately $92.4 billion and $43.1$71.8 billion of unsettled reverse repurchase and securities borrowing agreements, respectively, and $23.9approximately $38.2 billion and $14.9$62.5 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 10.10 to the Consolidated Financial Statements.
Restricted Cash
Citigroup defines restricted cash (as cash subject to withdrawal restrictions) to include cash deposited with central banks that must be maintained to meet minimum regulatory requirements, and cash set aside for the benefit of customers or for other purposes such as compensating balance arrangements or debt retirement. Restricted cash includes minimum reserve requirements with the Federal Reserve Bank and certain other central banks and cash segregated to satisfy rules regarding the protection of customer assets as required by Citigroup broker-dealers’ primary regulators, including the United States Securities and Exchange Commission (SEC), the Commodity Futures Trading Commission and the United Kingdom’s Prudential Regulation Authority.
Restricted cash is included on the Consolidated Balance Sheet within the following balance sheet lines:
| | | | | | | | |
| In millions of dollars | June 30,
2021 | December 31,
2020 |
| Cash and due from banks | $ | 4,001 | | $ | 3,774 | |
| Deposits with banks, net of allowance | 13,750 | | 14,203 | |
| Total | $ | 17,751 | | $ | 17,977 | |
In response to the COVID-19 pandemic, the Federal Reserve Bank and certain other central banks eased regulations related to minimum required cash deposited with central banks.
23. CONTINGENCIES
The following information supplements and amends, as applicable, the disclosuresdisclosure in Note 23 to the Consolidated Financial Statements of each of Citigroup’sin Citi’s First Quarter of 2017 Form 10-Q and Second Quarter of 20172021 Form 10-Q and Note 27 to the Consolidated Financial Statements of Citigroup’s 2016in Citi’s 2020 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 theany litigation, and regulatory, or tax 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 but not probable, 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 tofor which an estimate can be made. At SeptemberJune 30, 2017, Citigroup’s estimate of2021, Citigroup estimates that the reasonably possible unaccrued loss for these matters was materially unchanged from the estimate ofranges up to approximately $1.5$1.4 billion in the aggregate as of June 30, 2017.aggregate.
As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosures involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation, and regulatory, proceedingstax, or other matters are subject to particular uncertainties. For example, at the time of making an estimate, Citigroup may only have only preliminary incomplete or inaccurateincomplete 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, regulators, or regulators,tax authorities 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'sCitigroup’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'sCitigroup’s accounting and disclosure framework for contingencies, including for any litigation, regulatory, and regulatorytax matters disclosed herein, see Note 27 to the Consolidated Financial Statements of Citigroup’s 2016in Citi’s 2020 Annual Report on Form 10-K.
Credit Crisis-Related Litigation and Other Matters
Mortgage-Related Litigation and Other Matters
Mortgage-Backed Securities Trustee Actions:On July 28, 2017, Citibank filed an appeal with the New York State Supreme Court Appellate Division, First Department, appealing the portions of the June 27, 2017 New York State Supreme Court decision in FIXED INCOME SHARES: SERIES M, ET AL. v. CITIBANK, N.A. denying its motion to dismiss. Additional information concerning this action is publicly available in court filings under the docket number 653891/2015 (N.Y. Sup. Ct.) (Ramos, J.).
Lehman Brothers Bankruptcy Proceedings
On September 29, 2017, Lehman Brothers Holdings Inc. (LBHI) filed a motion for approval of a global settlement in LEHMAN BROTHERS HOLDINGS INC. ET AL. v. CITIBANK, N.A. ET AL. As part of the global settlement, Citibank will retain $350 million from LBHI’s deposit at Citibank and return to LBHI and its affiliates all of the remaining deposited funds. In addition, LBHI will withdraw its remaining objections to the bankruptcy claims filed by Citibank and its affiliates. Additional information concerning this action is publicly available in court filings under the docket numbers 12-01044 and 08-13555 (Bankr. S.D.N.Y.) (Chapman, J.).
Foreign Exchange Matters
Antitrust and Other Litigation: On August 3, 2017,May 21, 2021, in NYPLALLIANZ GLOBAL INVESTORS GMBH AND OTHERS v. JPMORGAN CHASE & CO., ET AL., the court ruled that plaintiffs sufficiently alleged in their proposed amended complaint that they suffered antitrust injuryBARCLAYS BANK PLC AND OTHERS, Citigroup, Citibank, and are appropriate plaintiffs to bring the suit. On August 10, 2017, plaintiffs filed an amended complaint. On August 24, 2017,other defendants filed a renewed motion to dismiss or to certify the court’s ruling for interlocutory appeal. Additional information concerning this action is publicly available in court filings under the docket numbers 15 Civ. 2290 (N.D. Cal.) (Chhabria, J.) and 15 Civ. 9300 (S.D.N.Y.) (Schofield, J.).
On August 11, 2017, defendants filed a motion to dismiss plaintiffs’ consolidated amended complaints in CONTANT ET AL. v. BANK OF AMERICA CORPORATION ET AL. and LAVENDER ET AL. v. BANK OF AMERICA CORPORATION ET AL. 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.).
On August 18, 2017, in NEGRETE v. CITIBANK, N.A., the parties stipulated to voluntary dismissal of plaintiffs’ sole remaining claim that was not dismissed in the court’s February 27, 2017 order. On September 7, 2017, plaintiffs filed a notice of appeal to the United States Court of Appeals for the Second Circuit. Additional information concerning this action is publicly available in court filings under the docket numbers 15 Civ. 7250 (S.D.N.Y.) (Sweet, J.) and 17-2783 (2d Cir.).
On September 11, 2017, in ALPARI (US), LLC v. CITIGROUP INC. AND CITIBANK, N.A., plaintiff filed a notice of dismissal, dismissing its case against Citigroup and Citibank in its entirety without prejudice. The court approved the dismissal on September 12, 2017 and ordered the case closed.defenses. Additional information concerning this action is publicly available in court filings under the docket number 17 Civ. 5269 (S.D.N.Y.).CL-2018-000840.
Interbank Offered Rates-RelatedRates–Related Litigation and Other Matters
Antitrust and Other Litigation:On August 31, 2017, the court granted preliminary approval to a $130 million settlement with Citigroup and Citibank and the largest plaintiffs’ classMarch 24, 2021, in IN RE LIBOR-BASED FINANCIAL INSTRUMENTSICE LIBOR ANTITRUST LITIGATION, which consiststhe United States Court of investors who purchased over-the-counter (OTC) derivatives from USD LIBOR panel banks. On October 11, 2017,Appeals for the second largest plaintiffs’ class, made upSecond Circuit granted DYJ Holdings, LLC’s motion to intervene as a plaintiff and denied defendants’ motion to dismiss for lack of investors who traded Eurodollar futures and options on exchanges, filed a motion for preliminary approval of settlements with certain defendants, including Citigroup and Citibank.subject matter jurisdiction. Additional information concerning these actions and related actions and appealsthis action is publicly available in court filings under the docket numbers 11 MD 2262number 19 Civ. 439 (S.D.N.Y.) (Buchwald,(Daniels, J.) and 17-156920-1492 (2d Cir.).
On August 18, 2017,May 24, 2021, in FRONTPOINT ASIAN EVENT DRIVEN FUND, LTDMCCARTHY, ET AL. v. CITIBANK, N.A.INTERCONTINENTAL EXCHANGE, INC., ET AL., plaintiffs filed a motion for an order to show cause why an injunction should not issue in connection with the LIBOR setting process. On June 3, 2021, the court granted in part theissued an order denying defendants’ motion to dismiss. Thetransfer the case to the United States District Court for the Southern District of New York. Additional information concerning this action is publicly available in court dismissed all claims against foreign bankfilings under the docket number 20 Civ. 5832 (N.D. Cal.) (Donato, J.).
Revlon-related Wire Transfer Litigation
On May 12, 2021, the district court denied Citibank’s motion to extend the temporary restraining orders pending appeal but extended the temporary restraining orders to allow for Citibank to file a motion for an injunction with the United States Court of Appeals for the Second Circuit, which Citibank did on May 19, 2021. Additional information concerning this action is publicly available in court filings under docket numbers 20-CV-6539 (S.D.N.Y.) (Furman, J.) and 21-487 (2d Cir.).
Shareholder Derivative and Securities Litigation
On June 4, 2021, defendants antitrust claims asserted by one ofmoved to dismiss the two namedconsolidated amended complaint, in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-9132 (S.D.N.Y.) (Nathan, J.).
Sovereign Securities Matters
Antitrust and Other Litigation: On May 14, 2021, in IN RE TREASURY SECURITIES AUCTION ANTITRUST LITIGATION, plaintiffs and all RICO, implied covenant, and unjust enrichment claims. The court allowed one antitrust claim to proceed against the U.S. bankfiled an amended consolidated complaint. On June 14, 2021, certain defendants, including Citigroup and Citibank. Plaintiffs filed an amended complaint on September 18, 2017. On October 18, 2017, defendants filed a motionGlobal Markets Inc., moved to dismiss the amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 1615-MD-2673 (S.D.N.Y.) (Gardephe, J.).
On April 21, 2021, in STATE OF LOUISIANA v. BANK OF AMERICA, N.A., ET AL., CITY OF BATON ROUGE, ET AL. v. BANK OF AMERICA, N.A., ET AL., LOUISIANA ASSET MANAGEMENT POOL v. BANK OF AMERICA CORPORATION, ET AL., and CITY OF NEW ORLEANS, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., plaintiffs filed notices of settlement, and on June 9, 2021, the parties filed stipulations of dismissal and the court dismissed the actions with prejudice. Additional information concerning these actions is publicly available in court filings under the docket numbers 19 Civ. 5263 (S.D.N.Y.638 (M.D. La.) (Hellerstein, J.(Dick, C.J.), 19 Civ. 725 (M.D. La.) (Dick, C.J.), 21 Civ. 0003 (M.D. La.) (Dick, C.J.), and 21 Civ. 147 (M.D. La.) (Dick, C.J.).
Sovereign Securities Matters
Antitrust and Other Litigation: InOn May 20, 2021, in IN RE TREASURY SECURITIES AUCTIONMEXICAN GOVERNMENT BONDS ANTITRUST LITIGATION, pursuantplaintiffs moved for reconsideration of the court’s order granting defendants’ motion to a court-ordered stipulation, plaintiffs will file a consolidated amended complaint by November 15, 2017.dismiss for lack of personal jurisdiction. Additional information concerning this action is publicly available in court filings under the docket number 15 MD 267318 Civ. 2830 (S.D.N.Y.) (Gardephe,(Oetken, J.).
Variable Rate Demand Obligation Litigations
On October 6, 2017, plaintiffs in IN RE SSA BONDS ANTITRUST LITIGATIONJune 2, 2021, the Board of Directors of the San Diego Association of Governments, acting as the San Diego County Regional Transportation Commission, filed a motion for leaveputative class action similar to amend their complaint, along with a proposed second amended complaint.and against the same defendants named in the already pending nationwide consolidated class action captioned CITY OF PHILADELPHIA v. BANK OF AMERICA CORP., ET AL. and MAYOR AND CITY COUNCIL OF BALTIMORE v. BANK OF AMERICA CORP., ET AL. Additional information concerning this actionthese actions is publicly available in court filings under the docket number 16 Civ. 03711numbers 21-CV-4893 (S.D.N.Y.) (Ramos,(Furman, J.), 19-CV-1608 (S.D.N.Y.) (Furman, J.), and 19-CV-2667 (S.D.N.Y.) (Furman, J.).
Wind Farm Litigations
On April 8, 2021, the motion for a preliminary injunction filed by the Stephens Ranch plaintiffs was denied. On April 19, 2021, plaintiffs filed a notice of appeal of that decision. On May 20, 2021, temporary injunction motions were denied in the actions commenced by the Shannon, Flat Top, and Midway projects, and on June 29, 2021, defendants filed motions to dismiss the complaints. Additional information concerning these actions is publicly available in court filings under docket numbers 652078/2021 (Sup. Ct. N.Y. Cnty.) (Reed, J.), 2021-01387 (1st Dep’t), 652312/2021 (Sup. Ct. N.Y. Cnty.) (Reed, J.), and 2021-23588 (District Court Harris County TX) (Schaffer, J.).
Settlement Payments
Payments required in settlement agreements described above have been made or are covered by existing litigation or other accruals.
24. CONDENSED CONSOLIDATING FINANCIAL STATEMENTS
Citigroup previously amended its Registration Statement on Form S-3 on file with the SEC (File No. 33-192302) to add, which added its wholly owned subsidiary, Citigroup Global Markets Holdings Inc. (CGMHI), as a co-registrant. Any securities issued by CGMHI under the Form S-3 will be fully and unconditionally guaranteed by Citigroup.
The following are the Condensed Consolidating Statements of Income and Comprehensive Income for the three and ninesix months ended SeptemberJune 30, 20172021 and 2016,2020, Condensed Consolidating Balance Sheet as of SeptemberJune 30, 20172021 and December 31, 20162020 and Condensed Consolidating Statement of Cash Flows for the ninesix months ended SeptemberJune 30, 20172021 and 20162020 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 September 30, 2017 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Revenues | | | | | | | | | |
| Dividends from subsidiaries | $ | 5,360 |
| | $ | — |
| | $ | — |
| | $ | (5,360 | ) | | $ | — |
|
| Interest revenue | — |
| | 1,439 |
| | 14,382 |
| | — |
| | 15,821 |
|
| Interest revenue—intercompany | 1,040 |
| | 313 |
| | (1,353 | ) | | — |
| | — |
|
| Interest expense | 1,195 |
| | 642 |
| | 2,542 |
| | — |
| | 4,379 |
|
| Interest expense—intercompany | 240 |
| | 581 |
| | (821 | ) | | — |
| | — |
|
| Net interest revenue | $ | (395 | ) | | $ | 529 |
| | $ | 11,308 |
| | $ | — |
| | $ | 11,442 |
|
| Commissions and fees | $ | — |
| | $ | 1,284 |
| | $ | 1,647 |
| | $ | — |
| | $ | 2,931 |
|
| Commissions and fees—intercompany | — |
| | 13 |
| | (13 | ) | | — |
| | — |
|
| Principal transactions | 610 |
| | 688 |
| | 872 |
| | — |
| | 2,170 |
|
| Principal transactions—intercompany | 168 |
| | (249 | ) | | 81 |
| | — |
| | — |
|
| Other income | (860 | ) | | 649 |
| | 1,841 |
| | — |
| | 1,630 |
|
| Other income—intercompany | 33 |
| | (21 | ) | | (12 | ) | | — |
| | — |
|
| Total non-interest revenues | $ | (49 | ) | | $ | 2,364 |
| | $ | 4,416 |
| | $ | — |
| | $ | 6,731 |
|
| Total revenues, net of interest expense | $ | 4,916 |
| | $ | 2,893 |
| | $ | 15,724 |
| | $ | (5,360 | ) | | $ | 18,173 |
|
| Provisions for credit losses and for benefits and claims | $ | — |
| | $ | (1 | ) | | $ | 2,000 |
| | $ | — |
| | $ | 1,999 |
|
| Operating expenses |
| |
| |
| |
| |
|
| Compensation and benefits | $ | (3 | ) | | $ | 1,104 |
| | $ | 4,203 |
| | $ | — |
| | $ | 5,304 |
|
| Compensation and benefits—intercompany | 46 |
| | — |
| | (46 | ) | | — |
| | — |
|
| Other operating | (17 | ) | | 457 |
| | 4,427 |
| | — |
| | 4,867 |
|
| Other operating—intercompany | 8 |
| | 517 |
| | (525 | ) | | — |
| | — |
|
| Total operating expenses | $ | 34 |
| | $ | 2,078 |
| | $ | 8,059 |
| | $ | — |
| | $ | 10,171 |
|
| Equity in undistributed income of subsidiaries | $ | (1,015 | ) | | $ | — |
| | $ | — |
| | $ | 1,015 |
| | $ | — |
|
| Income (loss) from continuing operations before income taxes | $ | 3,867 |
| | $ | 816 |
| | $ | 5,665 |
| | $ | (4,345 | ) | | $ | 6,003 |
|
| Provision (benefit) for income taxes | (266 | ) | | 324 |
| | 1,808 |
| | — |
| | 1,866 |
|
| Income (loss) from continuing operations | $ | 4,133 |
| | $ | 492 |
| | $ | 3,857 |
| | $ | (4,345 | ) | | $ | 4,137 |
|
| Loss from discontinued operations, net of taxes | — |
| | — |
| | (5 | ) | | — |
| | (5 | ) |
| Net income before attribution of noncontrolling interests | $ | 4,133 |
| | $ | 492 |
| | $ | 3,852 |
| | $ | (4,345 | ) | | $ | 4,132 |
|
| Noncontrolling interests | — |
| | — |
| | (1 | ) | | — |
| | (1 | ) |
| Net income (loss) | $ | 4,133 |
| | $ | 492 |
| | $ | 3,853 |
| | $ | (4,345 | ) | | $ | 4,133 |
|
| Comprehensive income |
|
| |
|
| |
|
| |
|
| |
|
|
| Add: Other comprehensive income (loss) | $ | 8 |
| | $ | (84 | ) | | $ | (762 | ) | | $ | 846 |
| | $ | 8 |
|
| Total Citigroup comprehensive income (loss) | $ | 4,141 |
| | $ | 408 |
| | $ | 3,091 |
| | $ | (3,499 | ) | | $ | 4,141 |
|
| Add: Other comprehensive income attributable to noncontrolling interests | $ | — |
|
| $ | — |
|
| $ | 12 |
| | $ | — |
| | $ | 12 |
|
| Add: Net income attributable to noncontrolling interests | — |
|
| — |
|
| (1 | ) | | — |
| | (1 | ) |
| Total comprehensive income (loss) | $ | 4,141 |
| | $ | 408 |
| | $ | 3,102 |
| | $ | (3,499 | ) | | $ | 4,152 |
|
Condensed Consolidating Statements of Income and Comprehensive Income
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2021 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Revenues | | | | | | | | | |
| Dividends from subsidiaries | $ | 3,700 | | | $ | 0 | | | $ | 0 | | | $ | (3,700) | | | $ | 0 | |
| Interest revenue | 0 | | | 1,014 | | | 11,449 | | | 0 | | | 12,463 | |
| Interest revenue—intercompany | 954 | | | 136 | | | (1,090) | | | 0 | | | 0 | |
| Interest expense | 1,209 | | | 221 | | | 834 | | | 0 | | | 2,264 | |
| Interest expense—intercompany | 94 | | | 330 | | | (424) | | | 0 | | | 0 | |
| Net interest revenue | $ | (349) | | | $ | 599 | | | $ | 9,949 | | | $ | 0 | | | $ | 10,199 | |
| Commissions and fees | $ | 0 | | | $ | 1,836 | | | $ | 1,538 | | | $ | 0 | | | $ | 3,374 | |
| Commissions and fees—intercompany | (1) | | | 88 | | | (87) | | | 0 | | | 0 | |
| Principal transactions | (892) | | | 919 | | | 2,277 | | | 0 | | | 2,304 | |
| Principal transactions—intercompany | 910 | | | (110) | | | (800) | | | 0 | | | 0 | |
| Other revenue | (4) | | | 139 | | | 1,462 | | | 0 | | | 1,597 | |
| Other revenue—intercompany | 3 | | | (8) | | | 5 | | | 0 | | | 0 | |
| Total non-interest revenues | $ | 16 | | | $ | 2,864 | | | $ | 4,395 | | | $ | 0 | | | $ | 7,275 | |
| Total revenues, net of interest expense | $ | 3,367 | | | $ | 3,463 | | | $ | 14,344 | | | $ | (3,700) | | | $ | 17,474 | |
| Provisions for credit losses and for benefits and claims | $ | 2 | | | $ | 3 | | | $ | (1,071) | | | $ | 0 | | | $ | (1,066) | |
| Operating expenses | | | | | | | | | |
| Compensation and benefits | $ | 0 | | | $ | 1,303 | | | $ | 4,679 | | | $ | 0 | | | $ | 5,982 | |
| Compensation and benefits—intercompany | 24 | | | 0 | | | (24) | | | 0 | | | 0 | |
| Other operating | 14 | | | 680 | | | 4,516 | | | 0 | | | 5,210 | |
| Other operating—intercompany | 3 | | | 808 | | | (811) | | | 0 | | | 0 | |
| Total operating expenses | $ | 41 | | | $ | 2,791 | | | $ | 8,360 | | | $ | 0 | | | $ | 11,192 | |
| Equity in undistributed income of subsidiaries | $ | 2,567 | | | $ | 0 | | | $ | 0 | | | $ | (2,567) | | | $ | 0 | |
| Income (loss) from continuing operations before income taxes | $ | 5,891 | | | $ | 669 | | | $ | 7,055 | | | $ | (6,267) | | | $ | 7,348 | |
| Provision (benefit) for income taxes | (302) | | | (119) | | | 1,576 | | | 0 | | | 1,155 | |
| Income (loss) from continuing operations | $ | 6,193 | | | $ | 788 | | | $ | 5,479 | | | $ | (6,267) | | | $ | 6,193 | |
| Income (loss) from discontinued operations, net of taxes | 0 | | | 0 | | | 10 | | | 0 | | | 10 | |
| Net income before attribution of noncontrolling interests | $ | 6,193 | | | $ | 788 | | | $ | 5,489 | | | $ | (6,267) | | | $ | 6,203 | |
| Noncontrolling interests | 0 | | | 0 | | | 10 | | | 0 | | | 10 | |
| Net income (loss) | $ | 6,193 | | | $ | 788 | | | $ | 5,479 | | | $ | (6,267) | | | $ | 6,193 | |
| Comprehensive income | | | | | | | | | |
| Add: Other comprehensive income (loss) | $ | (109) | | | $ | 7 | | | $ | (1,966) | | | $ | 1,959 | | | $ | (109) | |
| Total Citigroup comprehensive income (loss) | $ | 6,084 | | | $ | 795 | | | $ | 3,513 | | | $ | (4,308) | | | $ | 6,084 | |
| Add: Other comprehensive income attributable to noncontrolling interests | $ | 0 | | | $ | 0 | | | $ | 18 | | | $ | 0 | | | $ | 18 | |
| Add: Net income attributable to noncontrolling interests | 0 | | | 0 | | | 10 | | | 0 | | | 10 | |
| Total comprehensive income (loss) | $ | 6,084 | | | $ | 795 | | | $ | 3,541 | | | $ | (4,308) | | | $ | 6,112 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | Condensed Consolidating Statements of Income and Comprehensive Income | | Condensed Consolidating Statements of Income and Comprehensive Income |
| | Three Months Ended September 30, 2016 | | Six Months Ended June 30, 2021 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Revenues | | | | | | | | | | Revenues | | |
| Dividends from subsidiaries | $ | 4,000 |
| | $ | — |
| | $ | — |
| | $ | (4,000 | ) | | $ | — |
| Dividends from subsidiaries | $ | 3,800 | | | $ | 0 | | | $ | 0 | | | $ | (3,800) | | | $ | 0 | |
| Interest revenue | 2 |
| | 1,158 |
| | 13,493 |
| | — |
| | 14,653 |
| Interest revenue | 0 | | | 1,985 | | | 23,012 | | | 0 | | | 24,997 | |
| Interest revenue—intercompany | 695 |
| | 148 |
| | (843 | ) | | — |
| | — |
| Interest revenue—intercompany | 1,912 | | | 281 | | | (2,193) | | | 0 | | | 0 | |
| Interest expense | 1,102 |
| | 345 |
| | 1,727 |
| | — |
| | 3,174 |
| Interest expense | 2,421 | | | 444 | | | 1,767 | | | 0 | | | 4,632 | |
| Interest expense—intercompany | 61 |
| | 401 |
| | (462 | ) | | — |
| | — |
| Interest expense—intercompany | 178 | | | 659 | | | (837) | | | 0 | | | 0 | |
| Net interest revenue | $ | (466 | ) | | $ | 560 |
| | $ | 11,385 |
| | $ | — |
| | $ | 11,479 |
| Net interest revenue | $ | (687) | | | $ | 1,163 | | | $ | 19,889 | | | $ | 0 | | | $ | 20,365 | |
| Commissions and fees | $ | — |
| | $ | 1,062 |
| | $ | 1,582 |
| | $ | — |
| | $ | 2,644 |
| Commissions and fees | $ | 0 | | | $ | 3,997 | | | $ | 3,047 | | | $ | 0 | | | $ | 7,044 | |
| Commissions and fees—intercompany | — |
| | 63 |
| | (63 | ) | | — |
| | — |
| Commissions and fees—intercompany | (27) | | | 135 | | | (108) | | | 0 | | | 0 | |
| Principal transactions | (1,103 | ) | | 1,600 |
| | 1,741 |
| | — |
| | 2,238 |
| Principal transactions | 877 | | | 6,577 | | | (1,237) | | | 0 | | | 6,217 | |
| Principal transactions—intercompany | 977 |
| | (470 | ) | | (507 | ) | | — |
| | — |
| Principal transactions—intercompany | (968) | | | (4,348) | | | 5,316 | | | 0 | | | 0 | |
| Other income | 482 |
| | 51 |
| | 866 |
| | — |
| | 1,399 |
| |
| Other income—intercompany | (501 | ) | | 51 |
| | 450 |
| | — |
| | — |
| |
| Other revenue | | Other revenue | 51 | | | 242 | | | 2,882 | | | 0 | | | 3,175 | |
| Other revenue—intercompany | | Other revenue—intercompany | (61) | | | (28) | | | 89 | | | 0 | | | 0 | |
| Total non-interest revenues | $ | (145 | ) | | $ | 2,357 |
| | $ | 4,069 |
| | $ | — |
| | $ | 6,281 |
| Total non-interest revenues | $ | (128) | | | $ | 6,575 | | | $ | 9,989 | | | $ | 0 | | | $ | 16,436 | |
| Total revenues, net of interest expense | $ | 3,389 |
| | $ | 2,917 |
| | $ | 15,454 |
| | $ | (4,000 | ) | | $ | 17,760 |
| Total revenues, net of interest expense | $ | 2,985 | | | $ | 7,738 | | | $ | 29,878 | | | $ | (3,800) | | | $ | 36,801 | |
| Provisions for credit losses and for benefits and claims | $ | — |
| | $ | — |
| | $ | 1,736 |
| | $ | — |
| | $ | 1,736 |
| Provisions for credit losses and for benefits and claims | $ | 2 | | | $ | 7 | | | $ | (3,130) | | | $ | 0 | | | $ | (3,121) | |
| Operating expenses |
| |
| |
| |
| |
| Operating expenses | | |
| Compensation and benefits | $ | 26 |
| | $ | 1,150 |
| | $ | 4,027 |
| | $ | — |
| | $ | 5,203 |
| Compensation and benefits | $ | 28 | | | $ | 2,637 | | | $ | 9,318 | | | $ | 0 | | | $ | 11,983 | |
| Compensation and benefits—intercompany | 8 |
| | — |
| | (8 | ) | | — |
| | — |
| Compensation and benefits—intercompany | 48 | | | 0 | | | (48) | | | 0 | | | 0 | |
| Other operating | (103 | ) | | 444 |
| | 4,860 |
| | — |
| | 5,201 |
| Other operating | 25 | | | 1,322 | | | 8,935 | | | 0 | | | 10,282 | |
| Other operating—intercompany | 133 |
| | 379 |
| | (512 | ) | | — |
| | — |
| Other operating—intercompany | 6 | | | 1,488 | | | (1,494) | | | 0 | | | 0 | |
| Total operating expenses | $ | 64 |
| | $ | 1,973 |
| | $ | 8,367 |
| | $ | — |
| | $ | 10,404 |
| Total operating expenses | $ | 107 | | | $ | 5,447 | | | $ | 16,711 | | | $ | 0 | | | $ | 22,265 | |
| Equity in undistributed income of subsidiaries | $ | 120 |
| | $ | — |
| | $ | — |
| | $ | (120 | ) | | $ | — |
| Equity in undistributed income of subsidiaries | $ | 10,740 | | | $ | 0 | | | $ | 0 | | | $ | (10,740) | | | $ | 0 | |
Income (loss) from continuing operations before income taxes | $ | 3,445 |
| | $ | 944 |
| | $ | 5,351 |
| | $ | (4,120 | ) | | $ | 5,620 |
| Income (loss) from continuing operations before income taxes | $ | 13,616 | | | $ | 2,284 | | | $ | 16,297 | | | $ | (14,540) | | | $ | 17,657 | |
| Provision (benefit) for income taxes | (395 | ) | | 345 |
| | 1,783 |
| | — |
| | 1,733 |
| Provision (benefit) for income taxes | (519) | | | 333 | | | 3,673 | | | 0 | | | 3,487 | |
| Income (loss) from continuing operations | $ | 3,840 |
| | $ | 599 |
| | $ | 3,568 |
| | $ | (4,120 | ) | | $ | 3,887 |
| Income (loss) from continuing operations | $ | 14,135 | | | $ | 1,951 | | | $ | 12,624 | | | $ | (14,540) | | | $ | 14,170 | |
| Loss from discontinued operations, net of taxes | — |
| | — |
| | (30 | ) | | — |
| | (30 | ) | |
| Net income (loss) before attribution of noncontrolling interests | $ | 3,840 |
| | $ | 599 |
| | $ | 3,538 |
| | $ | (4,120 | ) | | $ | 3,857 |
| |
| Income (loss) from discontinued operations, net of taxes | | Income (loss) from discontinued operations, net of taxes | 0 | | | 0 | | | 8 | | | 0 | | | 8 | |
| Net income before attribution of noncontrolling interests | | Net income before attribution of noncontrolling interests | $ | 14,135 | | | $ | 1,951 | | | $ | 12,632 | | | $ | (14,540) | | | $ | 14,178 | |
| Noncontrolling interests | — |
| | (9 | ) | | 26 |
| | — |
| | 17 |
| Noncontrolling interests | 0 | | | 0 | | | 43 | | | 0 | | | 43 | |
| Net income (loss) | $ | 3,840 |
| | $ | 608 |
| | $ | 3,512 |
| | $ | (4,120 | ) | | $ | 3,840 |
| Net income (loss) | $ | 14,135 | | | $ | 1,951 | | | $ | 12,589 | | | $ | (14,540) | | | $ | 14,135 | |
| Comprehensive income |
|
| |
|
| |
|
| |
|
| |
|
| Comprehensive income | | |
| Add: Other comprehensive income (loss) | $ | (1,078 | ) | | $ | (133 | ) | | $ | (1,003 | ) | | $ | 1,136 |
| | $ | (1,078 | ) | Add: Other comprehensive income (loss) | $ | (3,062) | | | $ | (43) | | | $ | (1,429) | | | $ | 1,472 | | | $ | (3,062) | |
| Total Citigroup comprehensive income (loss) | $ | 2,762 |
|
| $ | 475 |
|
|
| $ | 2,509 |
| | $ | (2,984 | ) | | $ | 2,762 |
| Total Citigroup comprehensive income (loss) | $ | 11,073 | | | $ | 1,908 | | | $ | 11,160 | | | $ | (13,068) | | | $ | 11,073 | |
| Add: Other comprehensive income attributable to noncontrolling interests | $ | — |
| | $ | — |
| — |
| $ | 10 |
| | $ | — |
| | $ | 10 |
| Add: Other comprehensive income attributable to noncontrolling interests | $ | 0 | | | $ | 0 | | | $ | (40) | | | $ | 0 | | | $ | (40) | |
| Add: Net income attributable to noncontrolling interests | — |
| | (9 | ) |
|
| 26 |
| | — |
| | 17 |
| Add: Net income attributable to noncontrolling interests | 0 | | | 0 | | | 43 | | | 0 | | | 43 | |
| Total comprehensive income (loss) | $ | 2,762 |
|
| $ | 466 |
|
|
| $ | 2,545 |
| | $ | (2,984 | ) | | $ | 2,789 |
| Total comprehensive income (loss) | $ | 11,073 | | | $ | 1,908 | | | $ | 11,163 | | | $ | (13,068) | | | $ | 11,076 | |
| |
Condensed Consolidating Statements of Income and Comprehensive Income209
|
| | | | | | | | | | | | | | | | | | | |
| | Nine Months Ended September 30, 2017 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Revenues | | | | | | | | | |
| Dividends from subsidiaries | $ | 11,625 |
| | $ | — |
| | $ | — |
| | $ | (11,625 | ) | | $ | — |
|
| Interest revenue | — |
| | 3,870 |
| | 41,575 |
| | — |
| | 45,445 |
|
| Interest revenue—intercompany | 2,909 |
| | 847 |
| | (3,756 | ) | | — |
| | — |
|
| Interest expense | 3,549 |
| | 1,584 |
| | 6,848 |
| | — |
| | 11,981 |
|
| Interest expense—intercompany | 593 |
| | 1,660 |
| | (2,253 | ) | | — |
| | — |
|
| Net interest revenue | $ | (1,233 | ) | | $ | 1,473 |
| | $ | 33,224 |
| | $ | — |
| | $ | 33,464 |
|
| Commissions and fees | $ | — |
| | $ | 3,818 |
| | $ | 4,809 |
| | $ | — |
| | $ | 8,627 |
|
| Commissions and fees—intercompany | (1 | ) | | 123 |
| | (122 | ) | | — |
| | — |
|
| Principal transactions | 1,569 |
| | 2,692 |
| | 3,493 |
| | — |
| | 7,754 |
|
| Principal transactions—intercompany | 768 |
| | (641 | ) | | (127 | ) | | — |
| | — |
|
| Other income | (2,500 | ) | | 810 |
| | 6,039 |
| | — |
| | 4,349 |
|
| Other income—intercompany | 71 |
| | 6 |
| | (77 | ) | | — |
| | — |
|
| Total non-interest revenues | $ | (93 | ) | | $ | 6,808 |
| | $ | 14,015 |
| | $ | — |
| | $ | 20,730 |
|
| Total revenues, net of interest expense | $ | 10,299 |
| | $ | 8,281 |
| | $ | 47,239 |
| | $ | (11,625 | ) | | $ | 54,194 |
|
| Provisions for credit losses and for benefits and claims | $ | — |
| | $ | — |
| | $ | 5,378 |
| | $ | — |
| | $ | 5,378 |
|
| Operating expenses | | | | | | | | | |
| Compensation and benefits | $ | (18 | ) | | $ | 3,578 |
| | $ | 12,741 |
| | $ | — |
| | $ | 16,301 |
|
| Compensation and benefits—intercompany | 97 |
| | — |
| | (97 | ) | | — |
| | — |
|
| Other operating | (333 | ) | | 1,306 |
| | 13,880 |
| | — |
| | 14,853 |
|
| Other operating—intercompany | (41 | ) | | 1,487 |
| | (1,446 | ) | | — |
| | — |
|
| Total operating expenses | $ | (295 | ) | | $ | 6,371 |
| | $ | 25,078 |
| | $ | — |
| | $ | 31,154 |
|
| Equity in undistributed income of subsidiaries | $ | 755 |
| | $ | — |
| | $ | — |
| | $ | (755 | ) | | $ | — |
|
Income (loss) from continuing operations before income taxes
| $ | 11,349 |
| | $ | 1,910 |
| | $ | 16,783 |
| | $ | (12,380 | ) | | $ | 17,662 |
|
| Provision (benefit) for income taxes | (746 | ) | | 800 |
| | 5,470 |
| | — |
| | 5,524 |
|
| Income (loss) from continuing operations | $ | 12,095 |
| | $ | 1,110 |
| | $ | 11,313 |
| | $ | (12,380 | ) | | $ | 12,138 |
|
| Loss from discontinued operations, net of taxes | — |
| | — |
| | (2 | ) | | — |
| | (2 | ) |
| Net income (loss) before attribution of noncontrolling interests | $ | 12,095 |
| | $ | 1,110 |
| | $ | 11,311 |
| | $ | (12,380 | ) | | $ | 12,136 |
|
| Noncontrolling interests | — |
| | — |
| | 41 |
| | — |
| | 41 |
|
| Net income (loss) | $ | 12,095 |
| | $ | 1,110 |
| | $ | 11,270 |
| | $ | (12,380 | ) | | $ | 12,095 |
|
| Comprehensive income | | | | | | | | | |
| Add: Other comprehensive income (loss) | $ | 1,986 |
| | $ | (142 | ) | | $ | (4,638 | ) | | $ | 4,780 |
| | $ | 1,986 |
|
| Total Citigroup comprehensive income (loss) | $ | 14,081 |
| | $ | 968 |
| | $ | 6,632 |
| | $ | (7,600 | ) | | $ | 14,081 |
|
| Add: other comprehensive income attributable to noncontrolling interests | $ | — |
| | $ | — |
| | $ | 82 |
| | $ | — |
| | $ | 82 |
|
| Add: Net income attributable to noncontrolling interests | — |
| | — |
| | 41 |
| | — |
| | 41 |
|
| Total comprehensive income (loss) | $ | 14,081 |
| | $ | 968 |
| | $ | 6,755 |
| | $ | (7,600 | ) | | $ | 14,204 |
|
Condensed Consolidating Statements of Income and Comprehensive Income
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2020 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Revenues | | | | | | | | | |
| Dividends from subsidiaries | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| Interest revenue | 0 | | | 1,309 | | | 13,280 | | | 0 | | | 14,589 | |
| Interest revenue—intercompany | 1,067 | | | 282 | | | (1,349) | | | 0 | | | 0 | |
| Interest expense | 1,265 | | | 380 | | | 1,864 | | | 0 | | | 3,509 | |
| Interest expense—intercompany | 142 | | | 621 | | | (763) | | | 0 | | | 0 | |
| Net interest revenue | $ | (340) | | | $ | 590 | | | $ | 10,830 | | | $ | 0 | | | $ | 11,080 | |
| Commissions and fees | $ | 0 | | | $ | 1,771 | | | $ | 1,162 | | | $ | 0 | | | $ | 2,933 | |
| Commissions and fees—intercompany | 0 | | | 73 | | | (73) | | | 0 | | | 0 | |
| Principal transactions | (258) | | | (2,993) | | | 7,408 | | | 0 | | | 4,157 | |
| Principal transactions—intercompany | 62 | | | 4,890 | | | (4,952) | | | 0 | | | 0 | |
| Other revenue | (14) | | | 211 | | | 1,399 | | | 0 | | | 1,596 | |
| Other revenue—intercompany | 8 | | | 13 | | | (21) | | | 0 | | | 0 | |
| Total non-interest revenues | $ | (202) | | | $ | 3,965 | | | $ | 4,923 | | | $ | 0 | | | $ | 8,686 | |
| Total revenues, net of interest expense | $ | (542) | | | $ | 4,555 | | | $ | 15,753 | | | $ | 0 | | | $ | 19,766 | |
| Provisions for credit losses and for benefits and claims | $ | 0 | | | $ | 1 | | | $ | 8,196 | | | $ | 0 | | | $ | 8,197 | |
| Operating expenses | | | | | | | | | |
| Compensation and benefits | $ | 105 | | | $ | 1,345 | | | $ | 4,174 | | | $ | 0 | | | $ | 5,624 | |
| Compensation and benefits—intercompany | 1 | | | 0 | | | (1) | | | 0 | | | 0 | |
| Other operating | 9 | | | 594 | | | 4,233 | | | 0 | | | 4,836 | |
| Other operating—intercompany | 4 | | | 375 | | | (379) | | | 0 | | | 0 | |
| Total operating expenses | $ | 119 | | | $ | 2,314 | | | $ | 8,027 | | | $ | 0 | | | $ | 10,460 | |
| Equity in undistributed income of subsidiaries | $ | 1,847 | | | $ | 0 | | | $ | 0 | | | $ | (1,847) | | | $ | 0 | |
Income (loss) from continuing operations before income
taxes | $ | 1,186 | | | $ | 2,240 | | | $ | (470) | | | $ | (1,847) | | | $ | 1,109 | |
| Provision (benefit) for income taxes | 130 | | | 715 | | | (793) | | | 0 | | | 52 | |
| Income (loss) from continuing operations | $ | 1,056 | | | $ | 1,525 | | | $ | 323 | | | $ | (1,847) | | | $ | 1,057 | |
| Income (loss) from discontinued operations, net of taxes | 0 | | | 0 | | | (1) | | | 0 | | | (1) | |
| Net income (loss) before attribution of noncontrolling interests | $ | 1,056 | | | $ | 1,525 | | | $ | 322 | | | $ | (1,847) | | | $ | 1,056 | |
| Noncontrolling interests | 0 | | | 0 | | | 0 | | | 0 | | | 0 | |
| Net income (loss) | $ | 1,056 | | | $ | 1,525 | | | $ | 322 | | | $ | (1,847) | | | $ | 1,056 | |
| Comprehensive income | | | | | | | | | |
| Add: Other comprehensive income (loss) | $ | (824) | | | $ | (1,429) | | | $ | (1,223) | | | $ | 2,652 | | | $ | (824) | |
| Total Citigroup comprehensive income (loss) | $ | 232 | | | $ | 96 | | | $ | (901) | | | $ | 805 | | | $ | 232 | |
| Add: Other comprehensive income attributable to noncontrolling interests | $ | 0 | | | $ | 0 | | | $ | 39 | | | $ | 0 | | | $ | 39 | |
| Add: Net income attributable to noncontrolling interests | 0 | | | 0 | | | 0 | | | 0 | | | 0 | |
| Total comprehensive income (loss) | $ | 232 | | | $ | 96 | | | $ | (862) | | | $ | 805 | | | $ | 271 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | Condensed Consolidating Statements of Income and Comprehensive Income | | Condensed Consolidating Statements of Income and Comprehensive Income |
| | Nine Months Ended September 30, 2016 | | Six Months Ended June 30, 2020 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Revenues | | | | | | | | | | Revenues | | |
| Dividends from subsidiaries | $ | 9,700 |
| | $ | — |
| | $ | — |
| | $ | (9,700 | ) | | $ | — |
| Dividends from subsidiaries | $ | 105 | | | $ | 0 | | | $ | 0 | | | $ | (105) | | | $ | 0 | |
| Interest revenue | 5 |
| | 3,555 |
| | 39,616 |
| | — |
| | 43,176 |
| Interest revenue | 0 | | | 3,212 | | | 28,516 | | | 0 | | | 31,728 | |
| Interest revenue—intercompany | 2,235 |
| | 423 |
| | (2,658 | ) | | — |
| | — |
| Interest revenue—intercompany | 2,211 | | | 623 | | | (2,834) | | | 0 | | | 0 | |
| Interest expense | 3,266 |
| | 1,110 |
| | 4,858 |
| | — |
| | 9,234 |
| Interest expense | 2,408 | | | 1,521 | | | 5,227 | | | 0 | | | 9,156 | |
| Interest expense—intercompany | 140 |
| | 1,246 |
| | (1,386 | ) | | — |
| | — |
| Interest expense—intercompany | 390 | | | 1,403 | | | (1,793) | | | 0 | | | 0 | |
| Net interest revenue | $ | (1,166 | ) | | $ | 1,622 |
| | $ | 33,486 |
| | $ | — |
| | $ | 33,942 |
| Net interest revenue | $ | (587) | | | $ | 911 | | | $ | 22,248 | | | $ | 0 | | | $ | 22,572 | |
| Commissions and fees | $ | — |
| | $ | 3,141 |
| | $ | 4,691 |
| | $ | — |
| | $ | 7,832 |
| Commissions and fees | $ | 0 | | | $ | 3,321 | | | $ | 2,633 | | | $ | 0 | | | $ | 5,954 | |
| Commissions and fees—intercompany | (19 | ) | | 33 |
| | (14 | ) | | — |
| | — |
| Commissions and fees—intercompany | (19) | | | 237 | | | (218) | | | 0 | | | 0 | |
| Principal transactions | (1,498 | ) | | 3,857 |
| | 3,535 |
| | — |
| | 5,894 |
| Principal transactions | (930) | | | 3,261 | | | 7,087 | | | 0 | | | 9,418 | |
| Principal transactions—intercompany | 1,018 |
| | (1,513 | ) | | 495 |
| | — |
| | — |
| Principal transactions—intercompany | 564 | | | 499 | | | (1,063) | | | 0 | | | 0 | |
| Other income | (3,197 | ) | | 178 |
| | 8,214 |
| | — |
| | 5,195 |
| |
| Other income—intercompany | 3,495 |
| | 250 |
| | (3,745 | ) | | — |
| | — |
| |
| Other revenue | | Other revenue | 66 | | | 260 | | | 2,227 | | | 0 | | | 2,553 | |
| Other revenue—intercompany | | Other revenue—intercompany | (62) | | | 26 | | | 36 | | | 0 | | | 0 | |
| Total non-interest revenues | $ | (201 | ) | | $ | 5,946 |
| | $ | 13,176 |
| | $ | — |
| | $ | 18,921 |
| Total non-interest revenues | $ | (381) | | | $ | 7,604 | | | $ | 10,702 | | | $ | 0 | | | $ | 17,925 | |
| Total revenues, net of interest expense | $ | 8,333 |
| | $ | 7,568 |
| | $ | 46,662 |
| | $ | (9,700 | ) | | $ | 52,863 |
| Total revenues, net of interest expense | $ | (863) | | | $ | 8,515 | | | $ | 32,950 | | | $ | (105) | | | $ | 40,497 | |
| Provisions for credit losses and for benefits and claims | $ | — |
| | $ | — |
| | $ | 5,190 |
| | $ | — |
| | $ | 5,190 |
| Provisions for credit losses and for benefits and claims | $ | 0 | | | $ | 0 | | | $ | 15,157 | | | $ | 0 | | | $ | 15,157 | |
| Operating expenses |
| |
| |
| |
| |
| Operating expenses | | |
| Compensation and benefits | $ | 18 |
| | $ | 3,641 |
| | $ | 12,329 |
| | $ | — |
| | $ | 15,988 |
| Compensation and benefits | $ | 133 | | | $ | 2,641 | | | $ | 8,504 | | | $ | 0 | | | $ | 11,278 | |
| Compensation and benefits—intercompany | 34 |
| | — |
| | (34 | ) | | — |
| | — |
| Compensation and benefits—intercompany | 75 | | | 0 | | | (75) | | | 0 | | | 0 | |
| Other operating | 377 |
| | 1,242 |
| | 13,689 |
| | — |
| | 15,308 |
| Other operating | 32 | | | 1,192 | | | 8,601 | | | 0 | | | 9,825 | |
| Other operating—intercompany | 213 |
| | 1,008 |
| | (1,221 | ) | | — |
| | — |
| Other operating—intercompany | 8 | | | 857 | | | (865) | | | 0 | | | 0 | |
| Total operating expenses | $ | 642 |
| | $ | 5,891 |
| | $ | 24,763 |
| | $ | — |
| | $ | 31,296 |
| Total operating expenses | $ | 248 | | | $ | 4,690 | | | $ | 16,165 | | | $ | 0 | | | $ | 21,103 | |
| Equity in undistributed income of subsidiaries | $ | 2,773 |
| | $ | — |
| | $ | — |
| | $ | (2,773 | ) | | $ | — |
| Equity in undistributed income of subsidiaries | $ | 4,229 | | | $ | 0 | | | $ | 0 | | | $ | (4,229) | | | $ | 0 | |
| Income (loss) from continuing operations before income taxes | $ | 10,464 |
| | $ | 1,677 |
| | $ | 16,709 |
| | $ | (12,473 | ) | | $ | 16,377 |
| Income (loss) from continuing operations before income
taxes | $ | 3,118 | | | $ | 3,825 | | | $ | 1,628 | | | $ | (4,334) | | | $ | 4,237 | |
| Provision (benefit) for income taxes | (875 | ) | | 539 |
| | 5,271 |
| | — |
| | 4,935 |
| Provision (benefit) for income taxes | (474) | | | 1,052 | | | 54 | | | 0 | | | 632 | |
| Income (loss) from continuing operations | $ | 11,339 |
| | $ | 1,138 |
| | $ | 11,438 |
| | $ | (12,473 | ) | | $ | 11,442 |
| Income (loss) from continuing operations | $ | 3,592 | | | $ | 2,773 | | | $ | 1,574 | | | $ | (4,334) | | | $ | 3,605 | |
| Loss from discontinued operations, net of taxes | — |
| | — |
| | (55 | ) | | — |
| | (55 | ) | |
| Income (loss) from discontinued operations, net of taxes | | Income (loss) from discontinued operations, net of taxes | 0 | | | 0 | | | (19) | | | 0 | | | (19) | |
| Net income (loss) before attribution of noncontrolling interests | $ | 11,339 |
| | $ | 1,138 |
| | $ | 11,383 |
| | $ | (12,473 | ) | | $ | 11,387 |
| Net income (loss) before attribution of noncontrolling interests | $ | 3,592 | | | $ | 2,773 | | | $ | 1,555 | | | $ | (4,334) | | | $ | 3,586 | |
| Noncontrolling interests | — |
| | (10 | ) | | 58 |
| | — |
| | 48 |
| Noncontrolling interests | 0 | | | 0 | | | (6) | | | 0 | | | (6) | |
| Net income (loss) | $ | 11,339 |
| | $ | 1,148 |
| | $ | 11,325 |
| | $ | (12,473 | ) | | $ | 11,339 |
| Net income (loss) | $ | 3,592 | | | $ | 2,773 | | | $ | 1,561 | | | $ | (4,334) | | | $ | 3,592 | |
| Comprehensive income |
|
| |
|
| |
|
| |
|
| |
|
| Comprehensive income | | |
| Add: Other comprehensive income (loss) | $ | 2,166 |
| | $ | (28 | ) | | $ | 171 |
| | $ | (143 | ) | | $ | 2,166 |
| Add: Other comprehensive income (loss) | $ | 2,973 | | | $ | 328 | | | $ | 12,236 | | | $ | (12,564) | | | $ | 2,973 | |
| Total Citigroup comprehensive income (loss) | $ | 13,505 |
| | $ | 1,120 |
| | $ | 11,496 |
| | $ | (12,616 | ) | | $ | 13,505 |
| Total Citigroup comprehensive income (loss) | $ | 6,565 | | | $ | 3,101 | | | $ | 13,797 | | | $ | (16,898) | | | $ | 6,565 | |
| Add: Other comprehensive income attributable to noncontrolling interests | $ | — |
| | $ | — |
| | $ | (13 | ) | | $ | — |
| | $ | (13 | ) | Add: Other comprehensive income attributable to noncontrolling interests | $ | 0 | | | $ | 0 | | | $ | (12) | | | $ | 0 | | | $ | (12) | |
| Add: Net income attributable to noncontrolling interests | — |
| | (10 | ) | | 58 |
| | — |
| | 48 |
| Add: Net income attributable to noncontrolling interests | 0 | | | 0 | | | (6) | | | 0 | | | (6) | |
| Total comprehensive income (loss) | $ | 13,505 |
| | $ | 1,110 |
| | $ | 11,541 |
| | $ | (12,616 | ) | | $ | 13,540 |
| Total comprehensive income (loss) | $ | 6,565 | | | $ | 3,101 | | | $ | 13,779 | | | $ | (16,898) | | | $ | 6,547 | |
Condensed Consolidating Balance Sheet
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| June 30, 2021 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Assets | | | | | | | | | |
| Cash and due from banks | $ | 0 | | | $ | 723 | | | $ | 26,394 | | | $ | 0 | | | $ | 27,117 | |
| Cash and due from banks—intercompany | 16 | | | 5,919 | | | (5,935) | | | 0 | | | 0 | |
| Deposits with banks, net of allowance | 0 | | | 7,398 | | | 264,723 | | | 0 | | | 272,121 | |
| Deposits with banks—intercompany | 3,000 | | | 8,915 | | | (11,915) | | | 0 | | | 0 | |
| Securities borrowed and purchased under resale agreements | 0 | | | 251,864 | | | 57,183 | | | 0 | | | 309,047 | |
| Securities borrowed and purchased under resale agreements—intercompany | 0 | | | 25,247 | | | (25,247) | | | 0 | | | 0 | |
| Trading account assets | 264 | | | 222,808 | | | 147,878 | | | 0 | | | 370,950 | |
| Trading account assets—intercompany | 1,069 | | | 9,759 | | | (10,828) | | | 0 | | | 0 | |
| Investments, net of allowance | 1 | | | 265 | | | 486,797 | | | 0 | | | 487,063 | |
| Loans, net of unearned income | 0 | | | 3,135 | | | 673,699 | | | 0 | | | 676,834 | |
| Loans, net of unearned income—intercompany | 0 | | | 0 | | | 0 | | | 0 | | | 0 | |
| Allowance for credit losses on loans (ACLL) | 0 | | | 0 | | | (19,238) | | | 0 | | | (19,238) | |
| Total loans, net | $ | 0 | | | $ | 3,135 | | | $ | 654,461 | | | $ | 0 | | | $ | 657,596 | |
| Advances to subsidiaries | $ | 153,845 | | | $ | 0 | | | $ | (153,845) | | | $ | 0 | | | $ | 0 | |
| Investments in subsidiaries | 220,810 | | | 0 | | | 0 | | | (220,810) | | | 0 | |
Other assets, net of allowance(1) | 11,302 | | | 74,398 | | | 118,274 | | | 0 | | | 203,974 | |
| Other assets—intercompany | 3,354 | | | 58,861 | | | (62,215) | | | 0 | | | 0 | |
| Total assets | $ | 393,661 | | | $ | 669,292 | | | $ | 1,485,725 | | | $ | (220,810) | | | $ | 2,327,868 | |
| Liabilities and equity | | | | | | | | | |
| Deposits | $ | 0 | | | $ | 0 | | | $ | 1,310,281 | | | $ | 0 | | | $ | 1,310,281 | |
| Deposits—intercompany | 0 | | | 0 | | | 0 | | | 0 | | | 0 | |
| Securities loaned and sold under repurchase agreements | 0 | | | 203,715 | | | 18,102 | | | 0 | | | 221,817 | |
| Securities loaned and sold under repurchase agreements—intercompany | 0 | | | 48,508 | | | (48,508) | | | 0 | | | 0 | |
| Trading account liabilities | 19 | | | 125,785 | | | 48,902 | | | 0 | | | 174,706 | |
| Trading account liabilities—intercompany | 564 | | | 8,578 | | | (9,142) | | | 0 | | | 0 | |
| Short-term borrowings | 0 | | | 15,681 | | | 15,781 | | | 0 | | | 31,462 | |
| Short-term borrowings—intercompany | 0 | | | 18,337 | | | (18,337) | | | 0 | | | 0 | |
| Long-term debt | 174,366 | | | 56,087 | | | 34,122 | | | 0 | | | 264,575 | |
| Long-term debt—intercompany | 0 | | | 77,668 | | | (77,668) | | | 0 | | | 0 | |
| Advances from subsidiaries | 13,747 | | | 0 | | | (13,747) | | | 0 | | | 0 | |
| Other liabilities, including allowance | 2,806 | | | 61,526 | | | 57,785 | | | 0 | | | 122,117 | |
| Other liabilities—intercompany | 0 | | | 16,004 | | | (16,004) | | | 0 | | | 0 | |
| Stockholders’ equity | 202,159 | | | 37,403 | | | 184,158 | | | (220,810) | | | 202,910 | |
| Total liabilities and equity | $ | 393,661 | | | $ | 669,292 | | | $ | 1,485,725 | | | $ | (220,810) | | | $ | 2,327,868 | |
(1)Other assets for Citigroup parent company at June 30, 2021 included $42.0 billion of placements to Citibank and its branches, of which $31.8 billion had a remaining term of less than 30 days.
|
| | | | | | | | | | | | | | | | | | | |
| | September 30, 2017 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Assets | | | | | | | | | |
| Cash and due from banks | $ | — |
| | $ | 728 |
| | $ | 21,876 |
| | $ | — |
| | $ | 22,604 |
|
| Cash and due from banks—intercompany | 179 |
| | 3,791 |
| | (3,970 | ) | | — |
| | — |
|
| Federal funds sold and resale agreements | — |
| | 202,366 |
| | 50,242 |
| | — |
| | 252,608 |
|
| Federal funds sold and resale agreements—intercompany | — |
| | 14,980 |
| | (14,980 | ) | | — |
| | — |
|
| Trading account assets | — |
| | 137,196 |
| | 121,711 |
| | — |
| | 258,907 |
|
| Trading account assets—intercompany | 215 |
| | 1,208 |
| | (1,423 | ) | | — |
| | — |
|
| Investments | 28 |
| | 162 |
| | 354,484 |
| | — |
| | 354,674 |
|
| Loans, net of unearned income | — |
| | 1,364 |
| | 651,819 |
| | — |
| | 653,183 |
|
| Loans, net of unearned income—intercompany | — |
| | — |
| | — |
| | — |
| | — |
|
| Allowance for loan losses | — |
| | — |
| | (12,366 | ) | | — |
| | (12,366 | ) |
| Total loans, net | $ | — |
| | $ | 1,364 |
| | $ | 639,453 |
| | $ | — |
| | $ | 640,817 |
|
| Advances to subsidiaries | $ | 132,197 |
| | $ | — |
| | $ | (132,197 | ) | | $ | — |
| | $ | — |
|
| Investments in subsidiaries | 229,142 |
| | — |
| | — |
| | (229,142 | ) | | — |
|
Other assets (1) | 24,032 |
| | 58,665 |
| | 276,826 |
| | — |
| | 359,523 |
|
| Other assets—intercompany | 15,541 |
| | 49,032 |
| | (64,573 | ) | | — |
| | — |
|
| Total assets | $ | 401,334 |
| | $ | 469,492 |
| | $ | 1,247,449 |
| | $ | (229,142 | ) | | $ | 1,889,133 |
|
| Liabilities and equity |
|
| |
| |
| |
| |
|
| Deposits | $ | — |
| | $ | — |
| | $ | 964,038 |
| | $ | — |
| | $ | 964,038 |
|
| Deposits—intercompany | — |
| | — |
| | — |
| | — |
| | — |
|
| Federal funds purchased and securities loaned or sold | — |
| | 135,520 |
| | 25,762 |
| | — |
| | 161,282 |
|
| Federal funds purchased and securities loaned or sold—intercompany | — |
| | 19,127 |
| | (19,127 | ) | | — |
| | — |
|
| Trading account liabilities | — |
| | 91,058 |
| | 47,762 |
| | — |
| | 138,820 |
|
| Trading account liabilities—intercompany | 18 |
| | 1,071 |
| | (1,089 | ) | | — |
| | — |
|
| Short-term borrowings | 246 |
| | 3,221 |
| | 34,682 |
| | — |
| | 38,149 |
|
| Short-term borrowings—intercompany | — |
| | 63,197 |
| | (63,197 | ) | | — |
| | — |
|
| Long-term debt | 151,914 |
| | 17,758 |
| | 63,001 |
| | — |
| | 232,673 |
|
| Long-term debt—intercompany | — |
| | 30,609 |
| | (30,609 | ) | | — |
| | — |
|
| Advances from subsidiaries | 17,947 |
| | — |
| | (17,947 | ) | | — |
| | — |
|
| Other liabilities | 2,790 |
| | 62,950 |
| | 59,809 |
| | — |
| | 125,549 |
|
| Other liabilities—intercompany | 785 |
| | 11,281 |
| | (12,066 | ) | | — |
| | — |
|
| Stockholders’ equity | 227,634 |
| | 33,700 |
| | 196,430 |
| | (229,142 | ) | | 228,622 |
|
| Total liabilities and equity | $ | 401,334 |
| | $ | 469,492 |
| | $ | 1,247,449 |
| | $ | (229,142 | ) | | $ | 1,889,133 |
|
| |
(1) | Other assets for Citigroup parent company at September 30, 2017 included $17.8 billion of placements to Citibank and its branches, of which $16.0 billion had a remaining term of less than 30 days.
|
Condensed Consolidating Balance Sheet
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| December 31, 2020 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Assets | | | | | | | | | |
| Cash and due from banks | $ | 0 | | | $ | 628 | | | $ | 25,721 | | | $ | 0 | | | $ | 26,349 | |
| Cash and due from banks—intercompany | 16 | | | 6,081 | | | (6,097) | | | 0 | | | 0 | |
| Deposits with banks, net of allowance | 0 | | | 5,224 | | | 278,042 | | | 0 | | | 283,266 | |
| Deposits with banks—intercompany | 4,500 | | | 8,179 | | | (12,679) | | | 0 | | | 0 | |
| Securities borrowed and purchased under resale agreements | 0 | | | 238,718 | | | 55,994 | | | 0 | | | 294,712 | |
| Securities borrowed and purchased under resale agreements—intercompany | 0 | | | 24,309 | | | (24,309) | | | 0 | | | 0 | |
| Trading account assets | 307 | | | 222,278 | | | 152,494 | | | 0 | | | 375,079 | |
| Trading account assets—intercompany | 723 | | | 9,400 | | | (10,123) | | | 0 | | | 0 | |
| Investments, net of allowance | 1 | | | 374 | | | 446,984 | | | 0 | | | 447,359 | |
| Loans, net of unearned income | 0 | | | 2,524 | | | 673,359 | | | 0 | | | 675,883 | |
| Loans, net of unearned income—intercompany | 0 | | | 0 | | | 0 | | | 0 | | | 0 | |
| Allowance for credit losses on loans (ACLL) | 0 | | | 0 | | | (24,956) | | | 0 | | | (24,956) | |
| Total loans, net | $ | 0 | | | $ | 2,524 | | | $ | 648,403 | | | $ | 0 | | | $ | 650,927 | |
| Advances to subsidiaries | $ | 152,383 | | | $ | 0 | | | $ | (152,383) | | | $ | 0 | | | $ | 0 | |
| Investments in subsidiaries | 213,267 | | | 0 | | | 0 | | | (213,267) | | | 0 | |
Other assets, net of allowance(1) | 12,156 | | | 60,273 | | | 109,969 | | | 0 | | | 182,398 | |
| Other assets—intercompany | 2,781 | | | 51,489 | | | (54,270) | | | 0 | | | 0 | |
| Total assets | $ | 386,134 | | | $ | 629,477 | | | $ | 1,457,746 | | | $ | (213,267) | | | $ | 2,260,090 | |
| Liabilities and equity | | | | | | | | | |
| Deposits | $ | 0 | | | $ | 0 | | | $ | 1,280,671 | | | $ | 0 | | | $ | 1,280,671 | |
| Deposits—intercompany | 0 | | | 0 | | | 0 | | | 0 | | | 0 | |
| Securities loaned and sold under repurchase agreements | 0 | | | 184,786 | | | 14,739 | | | 0 | | | 199,525 | |
| Securities loaned and sold under repurchase agreements—intercompany | 0 | | | 76,590 | | | (76,590) | | | 0 | | | 0 | |
| Trading account liabilities | 0 | | | 113,100 | | | 54,927 | | | 0 | | | 168,027 | |
| Trading account liabilities—intercompany | 397 | | | 8,591 | | | (8,988) | | | 0 | | | 0 | |
| Short-term borrowings | 0 | | | 12,323 | | | 17,191 | | | 0 | | | 29,514 | |
| Short-term borrowings—intercompany | 0 | | | 12,757 | | | (12,757) | | | 0 | | | 0 | |
| Long-term debt | 170,563 | | | 47,732 | | | 53,391 | | | 0 | | | 271,686 | |
| Long-term debt—intercompany | 0 | | | 67,322 | | | (67,322) | | | 0 | | | 0 | |
| Advances from subsidiaries | 12,975 | | | 0 | | | (12,975) | | | 0 | | | 0 | |
| Other liabilities, including allowance | 2,692 | | | 55,217 | | | 52,558 | | | 0 | | | 110,467 | |
| Other liabilities—intercompany | 65 | | | 15,378 | | | (15,443) | | | 0 | | | 0 | |
| Stockholders’ equity | 199,442 | | | 35,681 | | | 178,344 | | | (213,267) | | | 200,200 | |
| Total liabilities and equity | $ | 386,134 | | | $ | 629,477 | | | $ | 1,457,746 | | | $ | (213,267) | | | $ | 2,260,090 | |
(1)Other assets for Citigroup parent company at December 31, 2020 included $29.5 billion of placements to Citibank and its branches, of which $24.3 billion had a remaining term of less than 30 days.
|
| | | | | | | | | | | | | | | | | | | |
| | December 31, 2016 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Assets | | | | | | | | | |
| Cash and due from banks | $ | — |
| | $ | 870 |
| | $ | 22,173 |
| | $ | — |
| | $ | 23,043 |
|
| Cash and due from banks—intercompany | 142 |
| | 3,820 |
| | (3,962 | ) | | — |
| | — |
|
| Federal funds sold and resale agreements | — |
| | 196,236 |
| | 40,577 |
| | — |
| | 236,813 |
|
| Federal funds sold and resale agreements—intercompany | — |
| | 12,270 |
| | (12,270 | ) | | — |
| | — |
|
| Trading account assets | 6 |
| | 121,484 |
| | 122,435 |
| | — |
| | 243,925 |
|
| Trading account assets—intercompany | 1,173 |
| | 907 |
| | (2,080 | ) | | — |
| | — |
|
| Investments | 173 |
| | 335 |
| | 352,796 |
| | — |
| | 353,304 |
|
| Loans, net of unearned income | — |
| | 575 |
| | 623,794 |
| | — |
| | 624,369 |
|
| Loans, net of unearned income—intercompany | — |
| | — |
| | — |
| | — |
| | — |
|
| Allowance for loan losses | — |
| | — |
| | (12,060 | ) | | — |
| | (12,060 | ) |
| Total loans, net | $ | — |
| | $ | 575 |
| | $ | 611,734 |
| | $ | — |
| | $ | 612,309 |
|
| Advances to subsidiaries | $ | 143,154 |
| | $ | — |
| | $ | (143,154 | ) | | $ | — |
| | $ | — |
|
| Investments in subsidiaries | 226,279 |
| | — |
| | — |
| | (226,279 | ) | | — |
|
Other assets(1) | 23,734 |
| | 46,095 |
| | 252,854 |
| | — |
| | 322,683 |
|
| Other assets—intercompany | 27,845 |
| | 38,207 |
| | (66,052 | ) | | — |
| | — |
|
| Total assets | $ | 422,506 |
| | $ | 420,799 |
| | $ | 1,175,051 |
| | $ | (226,279 | ) | | $ | 1,792,077 |
|
| Liabilities and equity |
| |
| |
| |
| |
|
|
| Deposits | $ | — |
| | $ | — |
| | $ | 929,406 |
| | $ | — |
| | $ | 929,406 |
|
| Deposits—intercompany | — |
| | — |
| | — |
| | — |
| | — |
|
| Federal funds purchased and securities loaned or sold | — |
| | 122,320 |
| | 19,501 |
| | — |
| | 141,821 |
|
| Federal funds purchased and securities loaned or sold—intercompany | — |
| | 25,417 |
| | (25,417 | ) | | — |
| | — |
|
| Trading account liabilities | — |
| | 87,714 |
| | 51,331 |
| | — |
| | 139,045 |
|
| Trading account liabilities—intercompany | 1,006 |
| | 868 |
| | (1,874 | ) | | — |
| | — |
|
| Short-term borrowings | — |
| | 1,356 |
| | 29,345 |
| | — |
| | 30,701 |
|
| Short-term borrowings—intercompany | — |
| | 35,596 |
| | (35,596 | ) | | — |
| | — |
|
| Long-term debt | 147,333 |
| | 8,128 |
| | 50,717 |
| | — |
| | 206,178 |
|
| Long-term debt—intercompany | — |
| | 41,287 |
| | (41,287 | ) | | — |
| | — |
|
| Advances from subsidiaries | 41,258 |
| | — |
| | (41,258 | ) | | — |
| | — |
|
| Other liabilities | 3,466 |
| | 57,430 |
| | 57,887 |
| | — |
| | 118,783 |
|
| Other liabilities—intercompany | 4,323 |
| | 7,894 |
| | (12,217 | ) | | — |
| | — |
|
| Stockholders’ equity | 225,120 |
| | 32,789 |
| | 194,513 |
| | (226,279 | ) | | 226,143 |
|
| Total liabilities and equity | $ | 422,506 |
| | $ | 420,799 |
| | $ | 1,175,051 |
| | $ | (226,279 | ) | | $ | 1,792,077 |
|
| |
(1) | Other assets for Citigroup parent company at December 31, 2016 included $20.7 billion of placements to Citibank and its branches, of which $6.8 billion had a remaining term of less than 30 days.
|
Condensed Consolidating Statement of Cash Flows
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Six Months Ended June 30, 2021 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Net cash provided by operating activities of continuing operations | $ | 1,429 | | | $ | 5,912 | | | $ | 16,222 | | | $ | 0 | | | $ | 23,563 | |
| Cash flows from investing activities of continuing operations | | | | | | | | | |
| Purchases of investments | $ | 0 | | | $ | 0 | | | $ | (201,567) | | | $ | 0 | | | $ | (201,567) | |
| Proceeds from sales of investments | 0 | | | 0 | | | 66,477 | | | 0 | | | 66,477 | |
| Proceeds from maturities of investments | 0 | | | 0 | | | 75,195 | | | 0 | | | 75,195 | |
| | | | | | | | | |
| Change in loans | 0 | | | 0 | | | (3,088) | | | 0 | | | (3,088) | |
| Proceeds from sales and securitizations of loans | 0 | | | 0 | | | 869 | | | 0 | | | 869 | |
| | | | | | | | | |
| | | | | | | | | |
| Change in securities borrowed and purchased under agreements to resell | 0 | | | (14,084) | | | (251) | | | 0 | | | (14,335) | |
| Changes in investments and advances—intercompany | (2,424) | | | (7,360) | | | 9,784 | | | 0 | | | 0 | |
| Other investing activities | 0 | | | (15) | | | (1,647) | | | 0 | | | (1,662) | |
| Net cash used in investing activities of continuing operations | $ | (2,424) | | | $ | (21,459) | | | $ | (54,228) | | | $ | 0 | | | $ | (78,111) | |
| Cash flows from financing activities of continuing operations | | | | | | | | | |
| Dividends paid | $ | (2,663) | | | $ | (187) | | | $ | 187 | | | $ | 0 | | | $ | (2,663) | |
| Issuance of preferred stock | 2,300 | | | 0 | | | 0 | | | 0 | | | 2,300 | |
| Redemption of preferred stock | (3,785) | | | 0 | | | 0 | | | 0 | | | (3,785) | |
| Treasury stock acquired | (4,381) | | | 0 | | | 0 | | | 0 | | | (4,381) | |
| Proceeds (repayments) from issuance of long-term debt, net | 7,576 | | | 8,446 | | | (16,405) | | | 0 | | | (383) | |
| Proceeds (repayments) from issuance of long-term debt—intercompany, net | 0 | | | 11,040 | | | (11,040) | | | 0 | | | 0 | |
| Change in deposits | 0 | | | 0 | | | 29,610 | | | 0 | | | 29,610 | |
| Change in securities loaned and sold under agreements to repurchase | 0 | | | (9,152) | | | 31,444 | | | 0 | | | 22,292 | |
| Change in short-term borrowings | 0 | | | 3,358 | | | (1,410) | | | 0 | | | 1,948 | |
| Net change in short-term borrowings and other advances—intercompany | 772 | | | 4,885 | | | (5,657) | | | 0 | | | 0 | |
| | | | | | | | | |
| Other financing activities | (324) | | | 0 | | | 0 | | | 0 | | | (324) | |
| Net cash provided by (used in) financing activities of continuing operations | $ | (505) | | | $ | 18,390 | | | $ | 26,729 | | | $ | 0 | | | $ | 44,614 | |
| Effect of exchange rate changes on cash and due from banks | $ | 0 | | | $ | 0 | | | $ | (443) | | | $ | 0 | | | $ | (443) | |
| | | | | | | | | |
| | | | | | | | | |
| Change in cash and due from banks and deposits with banks | $ | (1,500) | | | $ | 2,843 | | | $ | (11,720) | | | $ | 0 | | | $ | (10,377) | |
| Cash and due from banks and deposits with banks at beginning of period | 4,516 | | | 20,112 | | | 284,987 | | | 0 | | | 309,615 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,016 | | | $ | 22,955 | | | $ | 273,267 | | | $ | 0 | | | $ | 299,238 | |
| Cash and due from banks | $ | 16 | | | $ | 6,642 | | | $ | 20,459 | | | $ | 0 | | | $ | 27,117 | |
| Deposits with banks, net of allowance | 3,000 | | | 16,313 | | | 252,808 | | | 0 | | | 272,121 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,016 | | | $ | 22,955 | | | $ | 273,267 | | | $ | 0 | | | $ | 299,238 | |
| Supplemental disclosure of cash flow information for continuing operations | | | | | | | | | |
| Cash paid (received) during the period for income taxes | $ | (1,437) | | | $ | 649 | | | $ | 2,964 | | | $ | 0 | | | $ | 2,176 | |
| Cash paid during the period for interest | 1,287 | | | 1,197 | | | 2,061 | | | 0 | | | 4,545 | |
| Non-cash investing activities | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| Transfers to loans HFS from loans | $ | 0 | | | $ | 0 | | | $ | 961 | | | $ | 0 | | | $ | 961 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
|
| | | | | | | | | | | | | | | | | | | |
| | Nine Months Ended September 30, 2017 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Net cash provided by (used in) operating activities of continuing operations | $ | 15,381 |
| | $ | (15,237 | ) | | $ | (3,449 | ) | | $ | — |
| | $ | (3,305 | ) |
| Cash flows from investing activities of continuing operations | | | | | | | | | |
| Purchases of investments | $ | — |
| | $ | — |
| | $ | (151,362 | ) | | $ | — |
| | $ | (151,362 | ) |
| Proceeds from sales of investments | 132 |
| | — |
| | 89,592 |
| | — |
| | 89,724 |
|
| Proceeds from maturities of investments | — |
| | — |
| | 67,166 |
| | — |
| | 67,166 |
|
| Change in deposits with banks | — |
| | 10,972 |
| | (37,026 | ) | | — |
| | (26,054 | ) |
| Change in loans | — |
| | — |
| | (41,569 | ) | | — |
| | (41,569 | ) |
| Proceeds from sales and securitizations of loans | — |
| | — |
| | 7,019 |
| | — |
| | 7,019 |
|
| Proceeds from significant disposals | — |
| | — |
| | 3,411 |
| | — |
| | 3,411 |
|
| Change in federal funds sold and resales | — |
| | (8,840 | ) | | (6,955 | ) | | — |
| | (15,795 | ) |
| Changes in investments and advances—intercompany | 13,269 |
| | (5,439 | ) | | (7,830 | ) | | — |
| | — |
|
| Other investing activities | — |
| | — |
| | (2,210 | ) | | — |
| | (2,210 | ) |
| Net cash provided by (used in) investing activities of continuing operations | $ | 13,401 |
| | $ | (3,307 | ) | | $ | (79,764 | ) | | $ | — |
| | $ | (69,670 | ) |
| Cash flows from financing activities of continuing operations | | | | | | | | | |
| Dividends paid | $ | (2,639 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | (2,639 | ) |
| Treasury stock acquired | (9,071 | ) | | — |
| | — |
| | — |
| | (9,071 | ) |
| Proceeds (repayments) from issuance of long-term debt, net | 6,665 |
| | 4,385 |
| | 11,458 |
| | — |
| | 22,508 |
|
| Proceeds (repayments) from issuance of long-term debt—intercompany, net | — |
| | (1,300 | ) | | 1,300 |
| | — |
| | — |
|
| Change in deposits | — |
| | — |
| | 34,632 |
| | — |
| | 34,632 |
|
| Change in federal funds purchased and repos | — |
| | 6,910 |
| | 12,551 |
| | — |
| | 19,461 |
|
| Change in short-term borrowings | 44 |
| | 1,865 |
| | 5,539 |
| | — |
| | 7,448 |
|
| Net change in short-term borrowings and other advances—intercompany | (23,342 | ) | | 6,573 |
| | 16,769 |
| | — |
| | — |
|
| Capital contributions from parent | — |
| | (60 | ) | | 60 |
| | — |
| | — |
|
| Other financing activities | (402 | ) | | — |
| | — |
| | — |
| | (402 | ) |
| Net cash provided by (used in) financing activities of continuing operations | $ | (28,745 | ) | | $ | 18,373 |
| | $ | 82,309 |
| | $ | — |
| | $ | 71,937 |
|
| Effect of exchange rate changes on cash and due from banks | $ | — |
| | $ | — |
| | $ | 599 |
| | $ | — |
| | $ | 599 |
|
| Change in cash and due from banks | $ | 37 |
| | $ | (171 | ) | | $ | (305 | ) | | $ | — |
| | $ | (439 | ) |
| Cash and due from banks at beginning of period | 142 |
| | 4,690 |
| | 18,211 |
| | — |
| | 23,043 |
|
| Cash and due from banks at end of period | $ | 179 |
| | $ | 4,519 |
| | $ | 17,906 |
| | $ | — |
| | $ | 22,604 |
|
| Supplemental disclosure of cash flow information for continuing operations |
|
| |
|
| |
|
| |
|
| |
|
|
| Cash paid (received) during the year for income taxes | $ | (772 | ) | | $ | 470 |
| | $ | 3,016 |
| | $ | — |
| | $ | 2,714 |
|
| Cash paid during the year for interest | 3,319 |
| | 3,175 |
| | 5,110 |
| | — |
| | 11,604 |
|
| Non-cash investing activities |
|
| |
|
| |
|
| |
|
| |
|
|
| Transfers to loans HFS from loans | $ | — |
| | $ | — |
| | $ | 3,800 |
| | $ | — |
| | $ | 3,800 |
|
| Transfers to OREO and other repossessed assets | — |
| | — |
| | 85 |
| | — |
| | 85 |
|
Condensed Consolidating Statement of Cash Flows
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Six Months Ended June 30, 2020 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Net cash provided by (used in) operating activities of continuing operations | $ | 2,857 | | | $ | (53,782) | | | $ | 31,717 | | | $ | 0 | | | $ | (19,208) | |
| Cash flows from investing activities of continuing operations | | | | | | | | | |
| Purchases of investments | $ | 0 | | | $ | 0 | | | $ | (207,701) | | | $ | 0 | | | $ | (207,701) | |
| Proceeds from sales of investments | 0 | | | 0 | | | 86,191 | | | 0 | | | 86,191 | |
| Proceeds from maturities of investments | 0 | | | 0 | | | 53,909 | | | 0 | | | 53,909 | |
| Change in loans | 0 | | | 0 | | | 7,943 | | | 0 | | | 7,943 | |
| Proceeds from sales and securitizations of loans | 0 | | | 0 | | | 826 | | | 0 | | | 826 | |
| | | | | | | | | |
| | | | | | | | | |
| Change in securities borrowed and purchased under agreements to resell | 0 | | | (29,475) | | | (2,120) | | | 0 | | | (31,595) | |
| Changes in investments and advances—intercompany | (7,371) | | | (4,890) | | | 12,261 | | | 0 | | | 0 | |
| Other investing activities | 0 | | | 0 | | | (1,262) | | | 0 | | | (1,262) | |
| Net cash used in investing activities of continuing operations | $ | (7,371) | | | $ | (34,365) | | | $ | (49,953) | | | $ | 0 | | | $ | (91,689) | |
| Cash flows from financing activities of continuing operations | | | | | | | | | |
| Dividends paid | $ | (2,679) | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (2,679) | |
| Issuance of preferred stock | 1,500 | | | 0 | | | 0 | | | 0 | | | 1,500 | |
| Redemption of preferred stock | (1,500) | | | 0 | | | 0 | | | 0 | | | (1,500) | |
| Treasury stock acquired | (2,925) | | | 0 | | | 0 | | | 0 | | | (2,925) | |
| Proceeds (repayments) from issuance of long-term debt, net | 17,353 | | | 8,907 | | | (86) | | | 0 | | | 26,174 | |
| Proceeds (repayments) from issuance of long-term debt—intercompany, net | 0 | | | 6,815 | | | (6,815) | | | 0 | | | 0 | |
| Change in deposits | 0 | | | 0 | | | 163,070 | | | 0 | | | 163,070 | |
| Change in securities loaned and sold under agreements to repurchase | 0 | | | 68,650 | | | (19,267) | | | 0 | | | 49,383 | |
| Change in short-term borrowings | 0 | | | 1,074 | | | (5,967) | | | 0 | | | (4,893) | |
| Net change in short-term borrowings and other advances—intercompany | (6,826) | | | 3,035 | | | 3,791 | | | 0 | | | 0 | |
| | | | | | | | | |
| Other financing activities | (407) | | | (118) | | | 118 | | | 0 | | | (407) | |
| Net cash provided by financing activities of continuing operations | $ | 4,516 | | | $ | 88,363 | | | $ | 134,844 | | | $ | 0 | | | $ | 227,723 | |
| Effect of exchange rate changes on cash and due from banks | $ | 0 | | | $ | 0 | | | $ | (972) | | | $ | 0 | | | $ | (972) | |
| | | | | | | | | |
| | | | | | | | | |
| Change in cash and due from banks and deposits with banks | $ | 2 | | | $ | 216 | | | $ | 115,636 | | | $ | 0 | | | $ | 115,854 | |
| Cash and due from banks and deposits with banks at beginning of period | 3,021 | | | 16,441 | | | 174,457 | | | 0 | | | 193,919 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,023 | | | $ | 16,657 | | | $ | 290,093 | | | $ | 0 | | | $ | 309,773 | |
| Cash and due from banks | $ | 23 | | | $ | 3,728 | | | $ | 19,138 | | | $ | 0 | | | $ | 22,889 | |
| Deposits with banks, net of allowance | 3,000 | | | 12,929 | | | 270,955 | | | 0 | | | 286,884 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,023 | | | $ | 16,657 | | | $ | 290,093 | | | $ | 0 | | | $ | 309,773 | |
| Supplemental disclosure of cash flow information for continuing operations | | | | | | | | | |
| Cash paid during the period for income taxes | $ | 39 | | | $ | 174 | | | $ | 2,330 | | | $ | 0 | | | $ | 2,543 | |
| Cash paid during the period for interest | 1,757 | | | 3,006 | | | 3,988 | | | 0 | | | 8,751 | |
| Non-cash investing activities | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| Transfers to loans HFS from loans | $ | 0 | | | $ | 0 | | | $ | 1,036 | | | $ | 0 | | | $ | 1,036 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
|
| | | | | | | | | | | | | | | | | | | |
| | Nine Months Ended September 30, 2016 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Net cash provided by (used in) operating activities of continuing operations | $ | 16,685 |
| | $ | 5,285 |
| | $ | 6,364 |
| | $ | — |
| | $ | 28,334 |
|
| Cash flows from investing activities of continuing operations | | | | | | | | | |
| Purchases of investments | $ | — |
| | $ | — |
| | $ | (155,804 | ) | | $ | — |
| | $ | (155,804 | ) |
| Proceeds from sales of investments | 229 |
| | — |
| | 98,943 |
| | — |
| | 99,172 |
|
| Proceeds from maturities of investments | 61 |
| | — |
| | 52,546 |
| | — |
| | 52,607 |
|
| Change in deposits with banks | — |
| | (1,464 | ) | | (18,910 | ) | | — |
| | (20,374 | ) |
| Change in loans | — |
| | — |
| | (42,163 | ) | | — |
| | (42,163 | ) |
| Proceeds from sales and securitizations of loans | — |
| | — |
| | 12,676 |
| | — |
| | 12,676 |
|
| Proceeds from significant disposals | — |
| | — |
| | 265 |
| | — |
| | 265 |
|
| Change in federal funds sold and resales | — |
| | (12,398 | ) | | (3,972 | ) | | — |
| | (16,370 | ) |
| Changes in investments and advances—intercompany | (14,378 | ) | | (23 | ) | | 14,401 |
| | — |
| | — |
|
| Other investing activities | 2,962 |
| | — |
| | (4,587 | ) | | — |
| | (1,625 | ) |
| Net cash used in investing activities of continuing operations | $ | (11,126 | ) | | $ | (13,885 | ) | | $ | (46,605 | ) | | $ | — |
| | $ | (71,616 | ) |
| Cash flows from financing activities of continuing operations | | | | | | | | | |
| Dividends paid | $ | (1,517 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | (1,517 | ) |
| Issuance of preferred stock | 2,498 |
| | — |
| | — |
| | — |
| | 2,498 |
|
| Treasury stock acquired | (5,167 | ) | | — |
| | — |
| | — |
| | (5,167 | ) |
| Proceeds (repayments) from issuance of long-term debt, net | 1,613 |
| | 4,196 |
| | (2,806 | ) | | — |
| | 3,003 |
|
| Proceeds (repayments) from issuance of long-term debt—intercompany, net | — |
| | (12,533 | ) | | 12,533 |
| | — |
| | — |
|
| Change in deposits | — |
| | — |
| | 32,365 |
| | — |
| | 32,365 |
|
| Change in federal funds purchased and repos | — |
| | 12,251 |
| | (5,623 | ) | | — |
| | 6,628 |
|
| Change in short-term borrowings | (163 | ) | | 1,251 |
| | 7,360 |
| | — |
| | 8,448 |
|
| Net change in short-term borrowings and other advances—intercompany | (2,503 | ) | | (726 | ) | | 3,229 |
| | — |
| | — |
|
| Capital contributions from parent | — |
| | 5,000 |
| | (5,000 | ) | | — |
| | — |
|
| Other financing activities | (313 | ) | | — |
| | — |
| | — |
| | (313 | ) |
| Net cash provided by (used in) financing activities of continuing operations | $ | (5,552 | ) | | $ | 9,439 |
| | $ | 42,058 |
| | $ | — |
| | $ | 45,945 |
|
| Effect of exchange rate changes on cash and due from banks | $ | — |
| | $ | — |
| | $ | (144 | ) | | $ | — |
| | $ | (144 | ) |
| Change in cash and due from banks | $ | 7 |
| | $ | 839 |
| | $ | 1,673 |
| | $ | — |
| | $ | 2,519 |
|
| Cash and due from banks at beginning of period | 124 |
| | 1,995 |
| | 18,781 |
| | — |
| | 20,900 |
|
| Cash and due from banks at end of period | $ | 131 |
| | $ | 2,834 |
| | $ | 20,454 |
| | $ | — |
| | $ | 23,419 |
|
| Supplemental disclosure of cash flow information for continuing operations |
|
| |
|
| |
|
| |
|
| |
|
|
| Cash paid (refund) during the year for income taxes | $ | (265 | ) | | $ | 81 |
| | $ | 3,039 |
| | $ | — |
| | $ | 2,855 |
|
| Cash paid during the year for interest | 3,402 |
| | 2,378 |
| | 3,980 |
| | — |
| | 9,760 |
|
| Non-cash investing activities |
|
| |
|
| |
|
| |
|
| |
|
|
| Transfers to loans HFS from loans | $ | — |
| | $ | — |
| | $ | 8,600 |
| | $ | — |
| | $ | 8,600 |
|
| Transfers to OREO and other repossessed assets | — |
| | — |
| | 138 |
| | — |
| | 138 |
|
UNREGISTERED SALES OF EQUITY SECURITIES, PURCHASESREPURCHASES OF EQUITY SECURITIES AND DIVIDENDS
Unregistered Sales of Equity Securities
None.
Equity Security Repurchases
Based on measures announced by the Federal Reserve Board in March 2021, Citi and other large U.S. banks were permitted to repurchase shares during the second quarter of 2021, subject to the average of net income for the four preceding calendar quarters, in addition to common dividends paid. These limitations on capital distributions were lifted by the Federal Reserve Board, commencing as of the third quarter of 2021. All large banks, including Citi, remain subject to limitations on capital distributions in the event of a breach of any regulatory capital buffers, including the Stress Capital Buffer, with the degree of such restrictions based upon the extent to which the buffers are breached. For additional information, see “Capital Resources—Regulatory Capital Buffers” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
Citi repurchased an aggregate of $3.0 billion during the second quarter of 2021, as indicated in the table below. All shares repurchased were added to treasury stock.
The following table summarizes Citi’s equity security repurchases, which consisted entirelycommon share repurchases:
| | | | | | | | | |
| In millions, except per share amounts | Total shares purchased | Average
price paid
per share | |
| April 2021 | | | |
| Open market repurchases | — | | $ | — | | |
Employee transactions(1) | — | | — | | |
| May 2021 | | | |
| Open market repurchases | 14.3 | | 76.79 | | |
Employee transactions(1) | — | | — | | |
| June 2021 | | | |
| Open market repurchases | 26.1 | | 72.88 | | |
Employee transactions(1) | — | | — | | |
| Total for 2Q21 | 40.4 | | $ | 74.26 | | |
(1) During the second quarter, pursuant to Citigroup’s Board of Directors’ authorization, Citi withheld 7,003 shares (at an average price of $64.91) of common stock, repurchases:added to treasury stock, related to activity on employee stock programs to satisfy the employee tax requirements.
|
| | | | | | | | |
| 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 |
| July 2017 | | | |
Open market repurchases(1) | 25.5 |
| $ | 67.33 |
| $ | 13,884 |
|
Employee transactions(2) | — |
| — |
| N/A |
|
| August 2017 | | | |
Open market repurchases(1) | 31.0 |
| 67.84 |
| 11,782 |
|
Employee transactions(2) | — |
| — |
| N/A |
|
| September 2017 | | | |
Open market repurchases(1) | 24.1 |
| 69.26 |
| 10,110 |
|
Employee transactions(2) | — |
| — |
| N/A |
|
| Total for 3Q17 and remaining program balance as of September 30, 2017 | 80.6 |
| $ | 68.10 |
| $ | 10,110 |
|
| |
(1) | Represents repurchases under the $15.6 billion 2017 common stock repurchase program (2017 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on June 28, 2017. The 2017 Repurchase Program was part of the planned capital actions included by Citi in its 2017 Comprehensive Capital Analysis and Review (CCAR). Shares repurchased under the 2017 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 additionConsistent with the regulatory capital framework, Citi declared common dividends of $0.51 per share for the third quarter of 2021 on July 22, 2021. As previously announced, Citi intends to maintain its planned capital actions, which include a quarterly common dividend of at least $0.51 per share, subject to financial and macroeconomic conditions as well as Board of Directors’ approval,approval.
As discussed above, Citi’s ability to pay common stock dividends substantially dependsalso remains subject to limitations on capital distributions in the event of a breach of any regulatory approval,capital buffers, including an annual regulatory reviewthe Stress Capital Buffer, with the degree of
such restrictions based upon the results ofextent to which the CCAR process required by the Federal Reserve Board and the supervisory stress tests required under the Dodd-Frank Act.buffers are breached. For additional information, regarding Citi’s capital planning and stress testing, see “Capital Resources—Current Regulatory Capital Standards—Capital Planning and Stress Testing”Buffers” and “Risk Factors—Strategic Risks” in Citi’s 20162020 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 toon 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 20162020 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 31st4th day of October, 2017.August, 2021.
CITIGROUP INC.
(Registrant)
By /s/ John C. GerspachMark A. L. Mason
John C. GerspachMark A. L. Mason
Chief Financial Officer
(Principal Financial Officer)
By /s/ Jeffrey R. WalshJohnbull E. Okpara
Jeffrey R. WalshJohnbull E. Okpara
Controller and Chief Accounting Officer
(Principal Accounting Officer)
EXHIBIT INDEX
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Number | | Description of Exhibit |
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| 101.01+ | | Financial statements from the Quarterly Report on Form 10-Q of the CompanyCitigroup for the quarter ended SeptemberJune 30, 2017,2021, filed on October 31, 2017,August 4, 2021, formatted in Inline XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Shareholders’ Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to the Consolidated Financial Statements. |
| | |
| 104 | | See the cover page of this Quarterly Report on Form 10-Q, formatted in Inline XBRL. |
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.
