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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 2018March 31, 2019
Commission file number 1-9924
Citigroup Inc.
(Exact name of registrant as specified in its charter)
Delaware
(State or other jurisdiction of incorporation or organization)
 
52-1568099
(I.R.S. Employer Identification No.)
388 Greenwich Street, New York, NY
(Address of principal executive offices)
 
10013
(Zip code)
(212) 559-1000
(Registrant's telephone number, including area code)




Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x    No o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x  No o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer x
 
Accelerated filer o
 
Non-accelerated filer o
 (Do not check if a smaller reporting company)
 
Smaller reporting company o
Emerging growth company o
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. Yes o
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o    No x
Number of shares of Citigroup Inc. common stock outstanding on June 30, 2018: 2,516,605,412March 31, 2019: 2,312,467,721


Available on the web at www.citigroup.com
 














CITIGROUP’S SECONDFIRST QUARTER 2018—2019—FORM 10-Q
OVERVIEW
1
MANAGEMENT'S DISCUSSION AND
  ANALYSIS OF FINANCIAL CONDITION AND
  RESULTS OF OPERATIONS
3
Executive Summary
3
Summary of Selected Financial Data
6
SEGMENT AND BUSINESS—INCOME (LOSS)
  AND REVENUES
8
SEGMENT BALANCE SHEET
109
Global Consumer Banking (GCB)
1210
North America GCB
1412
Latin America GCB
1614
Asia GCB
1816
Institutional Clients Group
2018
Corporate/Other
2521
OFF-BALANCE SHEET
  ARRANGEMENTS
2622
CAPITAL RESOURCES
2723
MANAGING GLOBAL RISK TABLE OF
  CONTENTS
4034
MANAGING GLOBAL RISK
4135
INCOME TAXES
7766
FUTURE APPLICATION OF ACCOUNTING
  STANDARDS
7867
DISCLOSURE CONTROLS AND
  PROCEDURES
7968
DISCLOSURE PURSUANT TO SECTION 219 OF
  THE IRAN THREAT REDUCTION AND SYRIA
  HUMAN RIGHTS ACT
7968
FORWARD-LOOKING STATEMENTS
8069
FINANCIAL STATEMENTS AND NOTES
  TABLE OF CONTENTS
8371
CONSOLIDATED FINANCIAL STATEMENTS
8472
NOTES TO CONSOLIDATED FINANCIAL
  STATEMENTS (UNAUDITED)
9179
UNREGISTERED SALES OF EQUITY SECURITIES,
  PURCHASES OF EQUITY SECURITIES AND
  DIVIDENDS
208176






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, 2017 (20172018 (2018 Annual Report on Form 10-K) and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2018 (First Quarter of 2018 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 free of charge through Citi’s website by clicking on the “Investors” page and selecting “All SEC Filings.” The SEC’s website also contains current reports on Form 8-K, and other information regarding Citi at www.sec.gov.
Certain reclassifications, including a realignment of certain businesses, have been made to the prior periods’ financial statements and disclosures to conform to the current period’s presentation. For additional information on certain recent reclassifications, see Notes 1 and 3 to the Consolidated Financial Statements below and Notes 1 and 3 to the Consolidated Financial Statements in Citi’s 20172018 Annual Report on Form 10-K.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.








Citigroup is managed pursuant to two business segments: Global Consumer Banking and Institutional Clients Group, with the remaining operations in Corporate/Other.Other.
citisegmentsq218.jpgacitisegmentsq119chart.jpg
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.
citiregions18q1.jpg


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




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


EXECUTIVE SUMMARY


SecondFirst Quarter of 2018—Solid Operating 2019—Results andDemonstrated Continued MomentumProgress
As described further throughout this Executive Summary, Citi reported solid operating resultsmade steady progress in the secondfirst quarter of 2018, reflecting continued momentum across businesses2019 toward improving its profitability and geographies, including in many of the areas where Citi has been making ongoing investments.
returns. During the second quarter, of 2018, Citi had revenue growth and positive operating leverage in the Institutional Clients Group (ICG) and across products and regionsevery region in Global Consumer Banking (GCB), with particular strengthexcluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation) as well as the gain on sale of the Hilton portfolio in international GCB,the prior-year period in North America GCB. (Citi’s results of operations excluding the gain on sale as well as the impact of FX translation are non-GAAP financial measures.) Citi also showed continued momentum across treasury and trade solutions, securities services, investment banking and corporate lending in Institutional Clients Group (ICG), while equity markets securities services and the private bankrevenues were impacted by a weaker market environment.
Citi also continued to demonstrate strong expense and credit discipline, resulting in the tenth consecutive quarter of positive operating leverageleverage. Citi also had growth in deposits and an improvementoverall loan growth in pretax earnings.GCB and ICG, while credit quality remained broadly stable.
In addition, Citi continued to return capital to its shareholders. In the quarter, Citi returned $3.1$5.1 billion in the form of common stock repurchases and dividends. Citi repurchased approximately 3366 million common shares, during the quarter and over 200 million over the last 12 months, resultingcontributing to a 9% reduction in an 8% reduction inaverage outstanding common shares from the prior-year period. Despite the continued progress in returning capital to shareholders during the quarter, each of Citi’s key regulatory capital metrics remained strong (see “Capital” below).
During the quarter, the Federal Reserve Board advised Citi that it did not object to the capital plan submitted by Citi as part of the 2018 Comprehensive Capital Analysis and Review (CCAR). Accordingly, Citi intends to return $22.0 billion of capital to its common shareholders over the next four quarters, beginning in the third quarter of 2018 (for additional information, see “Equity Security Repurchases” and “Dividends” below).
While global economic growth has continued and the macroeconomic environment remains largely positive, global economic growth forecasts for 2019 have been lowered and there continue to be various economic, political and other risks and uncertainties that could create a more volatile operating environment and impact Citi’s businesses and future results. For a discussion of the risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition during the remainder of 2018,2019, see each respective business’s results of operations and “Forward-Looking Statements” below, as well as each respective business’s results of operations and the “Managing Global Risk” and “Risk Factors” sections in Citi’s 20172018 Annual Report on Form 10-K.


SecondFirst Quarter of 20182019 Results Summary Results


Citigroup
Citigroup reported net income of $4.5$4.7 billion, or $1.63$1.87 per share, compared to net income of $3.9$4.6 billion, or $1.28$1.68 per share, in the prior-year period. The 16% increase in netNet income wasincreased 2% from the prior-year period, primarily driven by higher revenueslower expenses and a lower effective tax rate, due to the impact of the Tax Cuts and Jobs Act (Tax
Reform), partially offset by lower revenues and higher cost of credit. Earnings per share increased 27% due to11%,
primarily reflecting the growth in net income and the 8%9% reduction in average shares outstanding driven by the common stock repurchases.repurchases, as well as growth in net income.
Citigroup revenues of $18.5$18.6 billion in the secondfirst quarter of 2018 increased2019 decreased 2%, driven by 3% aggregate growth from the prior-year period, including the impact of the $150 million gain on the sale of the Hilton portfolio inGCB and ICG, partially offset by a 20% decrease in Corporate/Other, primarily due to the continued wind-down of legacy assets.
Citigroup’s end-of-period loans increased 4% to $671 billion versus the prior-year period. Excluding the impact of foreign currency translationgain on sale, revenues decreased 1%, primarily reflecting lower equity markets revenues as well as mark-to-market losses on loan hedges, both in U.S. dollars for reporting purposes (FX translation)ICG, Citigroup’s end-of-period loans grew 5%, as 6% aggregate growth in GCB and ICG was partially offset by the continued wind-down of legacy assets in Corporate/Other (Citi’s results of operations excluding the impact of FX translation are non-GAAP financial measures).
Citigroup’s end-of-period depositsloans increased 4%1% to $997$682 billion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s end-of-period loans grew 3%, as 5% aggregate growth in GCB and ICG was partially offset by the continued wind-down of legacy assets in Corporate/Other. Citigroup’s end-of-period deposits were also up 4%increased 3% to $1.0 trillion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s deposits increased 5%, primarily driven by a 9% increase8% growth in ICG deposits while as well as 2% growth in GCB deposits were largely unchanged..


Expenses
Citigroup operating expenses of $10.7$10.6 billion were largely unchangeddecreased 3% versus the prior-year period, as the impact of higher volume-related expenses and ongoing investments were offset by efficiency savings and the wind-down of legacy assets.assets were partially offset by continued investments. Year-over-year, GCB and ICG operating expenses were up 4%both down 1% and GCB Corporate/Other operating expenses increased 3%, while Corporate/Other operating expenses declined 40%, all versus the prior-year period.decreased 26%.


Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims of $1.8$2.0 billion increased 6%7% from the prior-year period. The increase was mostlyprimarily driven by higher net credit losses in both Citi-branded cards and Citi retail services in North America GCB as well as a net loss reserve build of $87 million, compared to alower net loan loss reserve release of $16 million in the prior-year period. The increase reflected volume growth and seasoning in the North America and international cards portfolios, the absence of a prior-year release in Asia GCB and the wind-down of legacy assets in Corporate/OtherICG.
Net credit losses of $1.7$1.9 billion were largely unchangedincreased 4% versus the prior-year period. Consumer net credit losses of $1.9 billion increased 4% to $1.7 billion, mostly7% from the prior-year period, primarily reflecting volume growth and seasoning in the North America and internationalcards portfolios. The increase in consumer net credit losses was partially offset by the continued wind-down of legacy assets in Corporate/Other. Corporate net credit losses decreased from $77$96 million in the prior-year period to a net recovery of $2$56 million.
For additional information on Citi’s consumer and corporate credit costs and allowance for loan losses, see each respective business’s results of operations and “Credit Risk” below.




Capital
Citigroup’s Common Equity Tier 1 (CET1) Capital and Tier 1 Capital ratios on a fully implemented basis, were 12.1%11.9% and 13.8%13.5% as of June 30, 2018,March 31, 2019, respectively, compared to 13.1%12.1% and 14.7%13.7% as of June 30, 2017,March 31, 2018, both based on the Basel III Standardized Approach for determining risk-weighted assets. The decline in regulatory capital ratios primarily reflected the return of capital to common shareholders, and the previously disclosed approximate $6 billion reduction in CET1 Capital in the fourth quarter of 2017 due to the impact of Tax Reform, partially offset by net income.


Citigroup’s Supplementary Leverage ratio as of June 30, 2018, on a fully implemented basis,March 31, 2019 was 6.6%6.4%, compared to 7.2%6.7% as of June 30, 2017.March 31, 2018. For additional information on Citi’s capital ratios and related components, including the impact of Tax Reform on its capital ratios, see “Capital Resources” below.


Global Consumer Banking
GCB net income of $1.3$1.4 billion increased 14%, as higher revenues across regions and a lower effective tax rate were partially offset by higher expenses and higher cost of credit. Operating expenses were $4.7 billion, up 3%, as efficiency savings across regions were more than offset by higher volume-related expenses and continued investments, as well as a provision of approximately $50 million for an industry-wide legal matter in North America GCB.
GCB revenues of $8.3 billion increased 2% versus the prior-year period, and 3% excluding4%. Excluding the impact of FX translation and the gain on the sale of the Hilton portfolio in the prior-year period (approximately $115 million after-tax), net income increased 14%, driven by growth across all regions. North America GCB revenues increased 1% to $5.0 billion, drivenprimarily by higher revenues, in retail banking and Citi retail services, partially offset by lower revenues in Citi-branded cards. Citi-branded cards higher cost of credit. GCB operating expenses of $4.6 billion decreased 1%. Excluding the impact of FX translation, expenses were largely unchanged, as investments and volume-driven expenses were offset by efficiency savings.
GCB revenues of $2.1$8.5 billion were down 1%largely unchanged versus the prior-year period. Excluding the impact of FX translation and the previously disclosedgain on the sale of the Hilton portfolio sale, Citi-branded cardin the prior-year period, revenues increased 4%, driven by growth in all three regions. North America GCB revenues of $5.2 billion increased 1%, asor 4% excluding the gain on the sale of the Hilton portfolio, with growth in all three businesses. In North America GCB, Citi-branded cards revenues of $2.2 billion increased 5%, excluding the gain on the sale of the Hilton portfolio, primarily driven by growth in interest-earning balances and a gain of approximately $45 million related to the sale of Visa B shares were partially offset by the impact of additional partnership terms and repricing actions related to APR re-evaluations under the CARD Act.balances. Citi retail servicesrevenues of $1.6$1.7 billion increased 1%3% versus the prior-year period, primarily reflecting continuedorganic loan growth.growth and the benefit of the L.L.Bean portfolio acquisition. Retail banking revenues increased 4%1% from the prior-year period to $1.3 billion. Excluding mortgage revenues, retail banking revenues of $1.2 billion were up 9%2% from the prior-year period, driven by continued growth in deposit margins and investments,spreads as well as increased commercial banking activity.modest growth in deposit volumes.
North America GCB average deposits of $180$182 billion decreased 3%increased 1% year-over-year, primarily driven by a reduction in money market balances, reflecting transfers to investments. North America GCB average retail loans of $56$57 billion were largely unchangedincreased 3% year-over-year and assets under management of $61$66 billion grew 8%9%. Average Citi-branded card loans of $87$88 billion increased 4%,1% compared to the first quarter of 2018, which represented the peak level of promotional balances in 2018, as Citi has now optimized its mix of interest-earning to non-interest earning balances, while Citi-branded card purchase sales of $86$84 billion increased 7%6% versus the prior-year period. Average Citi retail services loans of $47$50 billion increased 5%7% versus the prior-year period, while Citi retail services purchase sales of $22$19 billion were up 5%also increased 7%. For additional information on the results of operations of North
America GCB for the secondfirst quarter of 2018,2019, see “Global Consumer Banking—North America GCB” below.
International GCB revenues (consisting of Latin America GCB and Asia GCB (which includes the results of operations in certain EMEA countries)) increased 4%of $3.3 billion were largely unchanged versus the prior-year period to $3.2 billion.period. Excluding the impact of FX translation, international GCB revenues increased 6%3% versus the prior-year period. On this basis, Latin America GCB revenues increased 11%6% versus the prior-year period, reflectingincluding the impact of the sale of an asset management business in Mexico in 2018. The impact was a net benefit in the current quarter, as Citi recorded a small residual gain on the sale, partially offset by the absence of related revenues.
Excluding this impact, Latin America GCB revenues increased 5%,primarily driven by continued deposit growth in cards revenues as well as volume growth across retail loans and deposits. improved deposit spreads. Asia GCB revenues increased 2%. Excluding a modest one-time gain1%, as continued growth in cards in the prior-year period, Asia GCB deposit, lending and insurance revenues increased 4% year-over-year, primarily reflecting an increase in wealth management and cards revenues.was largely offset by lower investment revenues due to weaker market sentiment. For additional information on the results of operations of Latin America GCB and Asia GCB for the secondfirst quarter of 2018,2019, including the impact of FX translation,see “Global Consumer Banking—Latin America GCB” and “Global Consumer Banking—Asia GCB” below.
Year-over-year, international GCB average deposits of $126$128 billion increased 3%, average retail loans of $90$89 billion increased 3%2%, assets under management of $102$106 billion increased 9%7%, average card loans of $24$25 billion increased 2%3% and card purchase sales of $26 billion increased 6%, all excluding the impact of FX translation.


Institutional Clients Group
ICG net income of $3.2$3.3 billionincreased 17%, driven by higher revenues,was largely unchanged, as a decrease in expenses and a lower effective tax rate were offset by lower revenues and lowerhigher cost of credit, partially offset by higher operating expenses. credit. ICG operating expenses increased 4%decreased 1% to $5.5$5.4 billion, driven by an increase in compensation costs,as efficiency savings more than offset investments and volume-related expenses and investments, partially offset by efficiency savings.expenses.
ICG revenues were $9.7 billion in the secondfirst quarter of 2018, up 3%2019, down 2% from the prior-year period, primarily drivenas a 2% increase in Banking revenues was more than offset by a 6% increase in Banking revenues, partially offset by a 1% decrease in Markets and securities services.revenue. The increase in Banking revenues included the impact of $23$231 million of gainslosses on loan hedges within corporate lending, compared to gains of $9$23 million in the prior-year period.
Banking revenues of $5.2 billion (excluding the impact of gains (losses) on loan hedges within corporate lending) increased 6%8%, driven by solid growth in treasury and trade solutions, private bankinvestment banking and corporate lending, partially offset by lower revenues in investment banking.private bank. Investment banking revenues of $1.4 billion decreased 7%increased 20% versus the prior-year period, as growth in advisory and equityinvestment-grade debt underwriting was more than offset by a strong prior-year period comparisondecline in debt underwriting.equity underwriting, largely reflecting a lower market wallet. Advisory revenues increased 14%76% to $361$378 million, equity underwriting revenues increased 8%decreased 20% to $335$172 million and debt underwriting revenues decreased 20%increased 15% to $726$804 million, all versus the prior-year period.
Treasury and trade solutions revenues of $2.3$2.4 billion increased 11%6% versus the prior-year period, and 10% excluding the impact of FX translation, reflecting volume growth and improved deposit spreads, withcontinued growth in both net interest and fee income. Private bank revenues increased 7% to $848 million versus the prior-year period, driven by growth in clients, loans and investments,deposits as well as improved deposit spreads. Private bank revenues decreased 3% to $880 million compared to a strong prior-year period, reflecting lower managed investment revenues and higher funding costs. Corporate lending revenues increased 25%decreased 38% to $612


$338 million. Excluding the impact of gains (losses) on loan hedges, corporate lending revenues increased 22%9% versus the prior-year period, primarily driven by loan growth and lower hedging costs.spread expansion.
Markets and securities services revenues of $4.5 billion decreased 1% from the prior-year period, as strong revenue growth in equity marketsand securities serviceswas more than offset by a decline in fixed income markets revenues. Fixed income markets revenues of $3.1$4.7 billion decreased 6% from the prior-year period, drivenas lower equity markets revenues more than offset modest revenue growth in fixed income.Fixed income markets revenues of $3.5 billion increased 1% from the prior-year period, as strength in rates


and spread products was largely offset by weakness in FX, as a more challenging market environment and a comparisonresult of low currency volatility in the current quarter, while corporate client activity remained stable. Equity markets revenues of $842 million decreased 24%, compared to a strong prior-year period, in G10 ratesreflecting lower market volumes and securitized products. Equity markets revenues of $864 million increased 19% from the prior-year period, with growth across all products, reflecting the benefit of continued higher market volatility as well as continued momentum with investor clients.client financing balances. Securities services revenues of $665$638 million were largely unchanged, and increased 12%,5% excluding the impact of FX translation, driven by continued growth in client volumes and higher net interest revenue. For additional information on the results of operations of ICG for the secondfirst quarter of 2018,2019, see “Institutional Clients Group” below.


Corporate/Other
Corporate/Other net loss was $13$38 million in the secondfirst quarter of 2018,2019, compared to a net loss of $14$87 million in the prior-year period. Operating expenses of $599$549 million declined 40%26% from the prior-year period, largely reflecting the wind-down of legacy assets as well as lower legal and infrastructure costs.
assets. Corporate/Other revenues were $528$431 million, down 20%27% from the prior-year period, primarily reflecting the continued wind-down of legacy assets.
For additional information on the results of operations of Corporate/Other for the secondfirst quarter of 2018,2019, see “Corporate/Other” below.




























RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1
Citigroup Inc. and Consolidated Subsidiaries
Second Quarter Six Months First Quarter 
In millions of dollars, except per-share amounts and ratios20182017% Change20182017% Change20192018% Change
Net interest revenue$11,665
$11,258
4 %$22,837
$22,213
3 %$11,759
$11,172
5 %
Non-interest revenue6,804
6,897
(1)14,504
14,308
1
6,817
7,700
(11)
Revenues, net of interest expense$18,469
$18,155
2 %$37,341
$36,521
2 %$18,576
$18,872
(2)%
Operating expenses10,712
10,760
—
21,637
21,483
1
10,584
10,925
(3)
Provisions for credit losses and for benefits and claims1,812
1,717
6
3,669
3,379
9
1,980
1,857
7
Income from continuing operations before income taxes$5,945
$5,678
5 %$12,035
$11,659
3 %$6,012
$6,090
(1)%
Income taxes(1)
1,444
1,795
(20)2,885
3,658
(21)1,275
1,441
(12)
Income from continuing operations$4,501
$3,883
16 %$9,150
$8,001
14 %$4,737
$4,649
2 %
Income (loss) from discontinued operations,
net of taxes(2)(1)
15
21
(29)8
3
NM
(2)(7)71
Net income before attribution of noncontrolling
interests
$4,516
$3,904
16 %$9,158
$8,004
14 %$4,735
$4,642
2 %
Net income attributable to noncontrolling interests26
32
(19)48
42
14
25
22
14
Citigroup’s net income$4,490
$3,872
16 %$9,110
$7,962
14 %$4,710
$4,620
2 %
Less: 

    

Preferred dividends—Basic$318
$320
(1)%$590
$621
(5)%$262
$272
(4)%
Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS49
48
2
90
103
(13)59
51
16
Income allocated to unrestricted common shareholders
for basic and diluted EPS
$4,123
$3,504
18 %$8,430
$7,238
16 %$4,389
$4,297
2 %
Earnings per share 

  
  

Basic 

  
  

Income from continuing operations$1.62
$1.27
28 %$3.30
$2.63
25 %$1.88
$1.68
12 %
Net income1.63
1.28
27
3.31
2.63
26
1.88
1.68
12
Diluted 

    

Income from continuing operations$1.62
$1.27
28 %$3.30
$2.63
25 %$1.87
$1.68
11 %
Net income1.63
1.28
27
3.31
2.63
26
1.87
1.68
11
Dividends declared per common share0.32
0.16
100
0.64
0.32
100
0.45
0.32
41


Table continues on the next page, including footnotes.





SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2
Citigroup Inc. and Consolidated Subsidiaries
Second Quarter Six Months First Quarter 
In millions of dollars, except per-share amounts, ratios and direct staff20182017% Change20182017% Change20192018% Change
At June 30:     
At March 31:  
Total assets$1,912,334
$1,864,063
3 %   $1,958,413
$1,922,104
2 %
Total deposits996,730
958,743
4
   1,030,355
1,001,219
3
Long-term debt236,822
225,179
5
   243,566
237,938
2
Citigroup common stockholders’ equity(1)
181,059
210,766
(14)   178,272
182,759
(2)
Total Citigroup stockholders’ equity(1)
200,094
230,019
(13)   196,252
201,915
(3)
Direct staff (in thousands)
205
214
(4)   203
209
(3)
Performance metrics 

    

Return on average assets0.94%0.83%

0.96%0.87% 0.98%0.98%

Return on average common stockholders’ equity(3)(2)
9.2
6.8


9.5
7.1
 10.2
9.7


Return on average total stockholders’ equity(3)(2)
9.0
6.8


9.2
7.1
 9.8
9.3


Efficiency ratio (total operating expenses/total revenues)58.0
59.3


57.9
58.8
 57.0
57.9


Basel III ratios—full implementation(1)
     
Basel III ratios  
Common Equity Tier 1 Capital(5)(3)
12.14%13.06%    11.91%12.05% 
Tier 1 Capital(5)(3)
13.77
14.74
    13.47
13.67
 
Total Capital(5)(3)
16.31
16.93
    16.44
16.01
 
Supplementary Leverage ratio(5)
6.60
7.24
    6.44
6.71
 
Citigroup common stockholders’ equity to assets(1)
9.47%11.31% 

  9.10%9.51% 
Total Citigroup stockholders’ equity to assets(1)
10.46
12.34
 

  10.02
10.50
 
Dividend payout ratio(6)(4)
19.6
12.5
 19.3%12.2% 24
19
 
Total payout ratio(7)(5)
74.9
62.6
 73.1
60.7
 115
71
 
Book value per common share(1)
$71.95
$77.36
(7)%

  $77.09
$71.67
8 %
Tangible book value (TBV) per share(1)(6)
61.29
67.32
(9)   65.55
61.02
7
Ratio of earnings to fixed charges and preferred stock dividends1.93x
2.28x
 2.01x
2.39x
 
(1)The second quarter and six months of 2018 reflect the impact of Tax Reform. For additional information on Tax Reform, including the impact on Citi’s fourth quarter and full-year 2017 results, see Citi’s 2017 Annual Report on Form 10-K.
(2)See Note 2 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K for additional information on Citi’s discontinued operations.
(3)(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.
(4)(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, and Citi’swhereas the reportable Total Capital ratios wereratio was the lower derived under the U.S. Basel III Advanced Approaches for both periods presented.framework. 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.
(5)Citi’s risk-based capital and leverage ratios as of June 30, 2017 are non-GAAP financial measures, which reflect full implementation of regulatory capital adjustments and deductions prior to the effective date of January 1, 2018.
(6)(4)Dividends declared per common share as a percentage of net income per diluted share.
(7)(5)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.
(8)(6)For information on TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity” below.
NM Not meaningful








SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
Second Quarter Six Months First Quarter 
In millions of dollars20182017% Change20182017% Change20192018% Change
Income from continuing operations       
Global Consumer Banking       
North America$719
$657
9 %$1,557
$1,271
23 %$769
$838
(8)%
Latin America200
141
42
383
276
39
252
179
41
Asia(1)
360
330
9
733
579
27
416
373
12
Total$1,279
$1,128
13 %$2,673
$2,126
26 %$1,437
$1,390
3 %
Institutional Clients Group

 



 



 

North America$1,028
$1,088
(6)%$1,885
$2,165
(13)%$714
$858
(17)%
EMEA987
786
26
2,100
1,648
27
1,125
1,113
1
Latin America514
341
51
1,005
823
22
503
494
2
Asia708
565
25
1,576
1,155
36
980
869
13
Total$3,237
$2,780
16 %$6,566
$5,791
13 %$3,322
$3,334
— %
Corporate/Other(15)(25)40
(89)84
NM
(22)(75)71
Income from continuing operations$4,501
$3,883
16 %$9,150
$8,001
14 %$4,737
$4,649
2 %
Discontinued operations$15
$21
(29)%$8
$3
NM
$(2)$(7)71 %
Net income attributable to noncontrolling interests26
32
(19)48
42
14 %
Less: Net income attributable to noncontrolling interests25
22
14
Citigroup’s net income$4,490
$3,872
16 %$9,110
$7,962
14 %$4,710
$4,620
2 %


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




CITIGROUP REVENUES
Second Quarter Six Months First Quarter 
In millions of dollars20182017% Change20182017% Change20192018% Change
Global Consumer Banking       
North America$5,004
$4,946
1 %$10,161
$9,891
3 %$5,185
$5,157
1 %
Latin America1,381
1,308
6
2,728
2,475
10
1,381
1,340
3
Asia(1)
1,865
1,819
3
3,794
3,553
7
1,885
1,929
(2)
Total$8,250
$8,073
2 %$16,683
$15,919
5 %$8,451
$8,426
— %
Institutional Clients Group

 

  



 

North America$3,511
$3,646
(4)%$6,776
$7,168
(5)%$3,119
$3,266
(5)%
EMEA3,043
2,881
6
6,210
5,735
8
3,170
3,167
—
Latin America1,162
1,086
7
2,372
2,255
5
1,160
1,216
(5)
Asia1,975
1,808
9
4,181
3,582
17
2,245
2,206
2
Total$9,691
$9,421
3 %$19,539
$18,740
4 %$9,694
$9,855
(2)%
Corporate/Other528
661
(20)1,119
1,862
(40)431
591
(27)
Total Citigroup net revenues$18,469
$18,155
2 %$37,341
$36,521
2 %$18,576
$18,872
(2)%
(1)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.










SEGMENT BALANCE SHEET(1) 
In millions of dollars
Global
Consumer
Banking
Institutional
Clients
Group
Corporate/Other
and
consolidating
eliminations(2)
Citigroup
parent company-
issued long-term
debt and
stockholders’
equity(3)
Total
Citigroup
consolidated
Global
Consumer
Banking
Institutional
Clients
Group
Corporate/Other
and
consolidating
eliminations(2)
Citigroup
parent company-
issued long-term
debt and
stockholders’
equity(3)
Total
Citigroup
consolidated
Assets        
Cash and deposits with banks$8,043
$59,897
$132,962
$—
$200,902
$8,747
64,506
$132,640
$—
$205,893
Federal funds sold and securities
borrowed or purchased under
agreements to resell
143
265,140
243
—
265,526
Federal funds sold and securities
borrowed and purchased under
agreements to resell
—
264,264
231
—
264,495
Trading account assets684
255,114
7,151
—
262,949
843
275,309
10,359
—
286,511
Investments1,209
113,405
235,102
—
349,716
1,173
117,776
230,332
—
349,281
Loans, net of unearned income and
allowance for loan losses

296,636
345,125
17,293
—
659,054
297,630
360,156
12,231
—
670,017
Other assets36,796
102,526
34,865
—
174,187
37,544
103,212
41,460
—
182,216
Net inter-segment liquid assets(4)
78,024
256,004
(334,028)—
—
79,746
240,275
(320,021)—
—
Total assets$421,535
$1,397,211
$93,588
$—
$1,912,334
$425,683
$1,425,498
$107,232
$—
$1,958,413
Liabilities and equity      
Total deposits$307,935
$675,634
$13,161
$—
$996,730
$315,547
$701,544
$13,264
$—
$1,030,355
Federal funds purchased and
securities loaned or sold under
agreements to repurchase
4,229
173,578
21
—
177,828
Federal funds purchased and
securities loaned and sold under
agreements to repurchase
3,967
186,335
70
—
190,372
Trading account liabilities174
140,213
358
—
140,745
195
135,864
333
—
136,392
Short-term borrowings359
21,623
15,251
—
37,233
485
25,490
13,347
—
39,322
Long-term debt(3)
1,839
40,356
46,026
148,601
236,822
1,817
48,509
43,410
149,830
243,566
Other liabilities17,597
89,495
14,916
—
122,008
19,386
83,420
18,585
—
121,391
Net inter-segment funding (lending)(3)
89,402
256,312
2,981
(348,695)—
84,286
244,336
17,460
(346,082)—
Total liabilities$421,535
$1,397,211
$92,714
$(200,094)$1,711,366
$425,683
$1,425,498
$106,469
$(196,252)$1,761,398
Total stockholders’ equity(5)
—
—
874
200,094
200,968
—
—
763
196,252
197,015
Total liabilities and equity$421,535
$1,397,211
$93,588
$—
$1,912,334
$425,683
$1,425,498
$107,232
$—
$1,958,413


(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of June 30, 2018.March 31, 2019. The respective segment information depicts the assets and liabilities managed by each segment as of such date.
(2)
Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within Corporate/Other.
(3)The total stockholders’ equity and the majority of long-term debt of Citigroup reside in the Citigroup parent company Consolidated Balance Sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)Represents the attribution of Citigroup’s 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.













































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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 Citi retail services (for additional information on these businesses, see “Citigroup Segments” above). GCB is focused on its priority markets in the U.S., Mexico and Asia with 2,4282,404 branches in 19 countries and jurisdictions as of June 30, 2018.March 31, 2019. At June 30, 2018, March 31, 2019, GCB had approximately $422$426 billion in assets and $308$316 billion in deposits.
GCB’s overall strategy is to leverage Citi’s global footprint and be the pre-eminent bank for the emerging affluent and emerging affluent consumers in large urban centers. In credit cards and in certain retail markets (including commercial banking), Citi serves customers in a somewhat broader set of segments and geographies.


Second Quarter Six Months First Quarter 
In millions of dollars except as otherwise noted20182017% Change20182017% Change
In millions of dollars, except as otherwise noted20192018% Change
Net interest revenue$7,019
$6,760
4 %$13,999
$13,339
5 %$7,253
$6,980
4 %
Non-interest revenue1,231
1,313
(6)2,684
2,580
4
1,198
1,446
(17)
Total revenues, net of interest expense$8,250
$8,073
2 %$16,683
$15,919
5 %$8,451
$8,426
— %
Total operating expenses$4,655
$4,537
3 %$9,336
$8,988
4 %$4,608
$4,677
(1)%
Net credit losses$1,726
$1,615
7 %$3,462
$3,218
8 %$1,891
$1,736
9 %
Credit reserve build (release)154
125
23
298
302
(1)76
144
(47)
Provision (release) for unfunded lending commitments3
(1)NM
2
5
(60)5
(1)NM
Provision for benefits and claims22
23
(4)48
52
(8)12
26
(54)
Provisions for credit losses and for benefits and claims (LLR & PBC)$1,905
$1,762
8 %$3,810
$3,577
7 %$1,984
$1,905
4 %
Income from continuing operations before taxes$1,690
$1,774
(5)%$3,537
$3,354
5 %$1,859
$1,844
1 %
Income taxes411
646
(36)864
1,228
(30)422
454
(7)
Income from continuing operations$1,279
$1,128
13 %$2,673
$2,126
26 %$1,437
$1,390
3 %
Noncontrolling interests1
4
(75)3
5
(40)—
2
(100)
Net income$1,278
$1,124
14 %$2,670
$2,121
26 %$1,437
$1,388
4 %
Balance Sheet data (in billions of dollars)


 

  

Balance Sheet data and ratios (in billions of dollars)


 

Total EOP assets$422
$418
1 %  

$426
$423
1 %
Average assets417
414
1
$420
$412
2 %426
423
1
Return on average assets1.23%1.09%

1.28%1.04%

1.37%1.33%

Efficiency ratio56
56


56
56


55
56


Average deposits$306
$307
—
$307
$305
1
$310
$309
—
Net credit losses as a percentage of average loans2.28%2.20%

2.29%2.22%

2.48%2.30%

Revenue by business

 

  



 

Retail banking$3,489
$3,328
5 %$6,960
$6,503
7 %$3,467
$3,464
— %
Cards(1)
4,761
4,745
—
9,723
9,416
3
4,984
4,962
—
Total$8,250
$8,073
2 %$16,683
$15,919
5 %$8,451
$8,426
— %
Income from continuing operations by business

 

  



 

Retail banking$580
$419
38 %$1,104
$752
47 %$526
$520
1 %
Cards(1)
699
709
(1)1,569
1,374
14
911
870
5
Total$1,279
$1,128
13 %$2,673
$2,126
26 %$1,437
$1,390
3 %
Table continues on the next page, including footnotes.





Foreign currency (FX) translation impact 

    

Total revenue—as reported$8,250
$8,073
2%$16,683
$15,919
5%$8,451
$8,426
— %
Impact of FX translation(2)
—
(51)

—
92


—
(113)

Total revenues—ex-FX(3)
$8,250
$8,022
3%$16,683
$16,011
4%$8,451
$8,313
2 %
Total operating expenses—as reported$4,655
$4,537
3%$9,336
$8,988
4%$4,608
$4,677
(1)%
Impact of FX translation(2)
—
(20)

—
70


—
(70)

Total operating expenses—ex-FX(3)
$4,655
$4,517
3%$9,336
$9,058
3%$4,608
$4,607
— %
Total provisions for LLR & PBC—as reported$1,905
$1,762
8%$3,810
$3,577
7%$1,984
$1,905
4 %
Impact of FX translation(2)
—
(15)

—
13


—
(19)

Total provisions for LLR & PBC—ex-FX(3)
$1,905
$1,747
9%$3,810
$3,590
6%$1,984
$1,886
5 %
Net income—as reported$1,278
$1,124
14%$2,670
$2,121
26%$1,437
$1,388
4 %
Impact of FX translation(2)
—
(9)

—
8


—
(13)

Net income—ex-FX(3)
$1,278
$1,115
15%$2,670
$2,129
25%$1,437
$1,375
5 %
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the secondfirst quarter of 2018 and year-to-date 20182019 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful






NORTH AMERICA GCB
North America GCB provides traditional retail banking, including commercial banking, and its Citi-branded cards and Citi retail services card products to retail customers and small to mid-size businesses, as applicable, in the U.S. North America GCB’s U.S. cards product portfolio includes its proprietary portfolio (including the Citi Double Cash, Thank You and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within Citi-branded cards as well as its co-brand and private label relationships (including, among others, Sears, The Home Depot, Best Buy and Macy’s) within Citi retail services.
As of June 30, 2018, March 31, 2019, North America GCB’s 693689 retail bank branches are concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also as of June 30, 2018, March 31, 2019, North America GCB had approximately 9.1 million retail banking customer accounts, $55.7$57.3 billion in retail banking loans and $181.7$185.4 billion in deposits. In addition, North America GCB had approximately 119.2119.4 million Citi-branded and Citi retail services credit card accounts with $136.7$135.9 billion in outstanding card loan balances, including the newly acquired $1.5 billion L.L.Bean portfolio.

balances.
Second Quarter Six Months First Quarter 
In millions of dollars, except as otherwise noted20182017% Change20182017% Change20192018% Change
Net interest revenue$4,780
$4,632
3 %$9,530
$9,249
3 %$5,058
$4,750
6 %
Non-interest revenue224
314
(29)631
642
(2)127
407
(69)
Total revenues, net of interest expense$5,004
$4,946
1 %$10,161
$9,891
3 %$5,185
$5,157
1 %
Total operating expenses$2,666
$2,598
3 %$5,311
$5,195
2 %$2,669
$2,645
1 %
Net credit losses$1,278
$1,181
8 %$2,574
$2,371
9 %$1,429
$1,296
10 %
Credit reserve build (release)115
101
14
238
253
(6)98
123
(20)
Provision for unfunded lending commitments2
2
—
(2)9
NM
Provision (release) for unfunded lending commitments5
(4)NM
Provision for benefits and claims5
8
(38)11
14
(21)6
6
—
Provisions for credit losses and for benefits and claims$1,400
$1,292
8 %$2,821
$2,647
7 %$1,538
$1,421
8 %
Income from continuing operations before taxes$938
$1,056
(11)%$2,029
$2,049
(1)%$978
$1,091
(10)%
Income taxes219
399
(45)472
778
(39)209
253
(17)
Income from continuing operations$719
$657
9 %$1,557
$1,271
23 %$769
$838
(8)%
Noncontrolling interests—
—
—
—
—
—
—
—
—
Net income$719
$657
9 %$1,557
$1,271
23 %$769
$838
(8)%
Balance Sheet data (in billions of dollars)


 

  


Balance Sheet data and ratios (in billions of dollars)


 

Average assets$244
$244
— %$246
$245
— %$250
$248
1 %
Return on average assets1.18%1.08%

1.28%1.05%

1.25%1.37%

Efficiency ratio53
53


52
53


51
51


Average deposits$179.9
$185.1
(3)$180.4
$184.9
(2)$182.3
$180.9
1
Net credit losses as a percentage of average loans2.72%2.58%

2.74%2.61%

2.97%2.77%

Revenue by business

 

  




 

Retail banking$1,348
$1,293
4 %$2,655
$2,550
4 %$1,316
$1,307
1 %
Citi-branded cards2,062
2,079
(1)4,294
4,175
3
2,195
2,232
(2)
Citi retail services1,594
1,574
1
3,212
3,166
1
1,674
1,618
3
Total$5,004
$4,946
1 %$10,161
$9,891
3 %$5,185
$5,157
1 %
Income from continuing operations by business

 

  




 

Retail banking$161
$130
24 %$301
$202
49 %$83
$140
(41)%
Citi-branded cards309
302
2
734
548
34
382
425
(10)
Citi retail services249
225
11
522
521
—
304
273
11
Total$719
$657
9 %$1,557
$1,271
23 %$769
$838
(8)%


NM Not meaningful



2Q181Q19 vs. 2Q171Q18
Net income increased 9% decreased 8%, due to higher revenuescost of credit and higher expenses, partially offset by a lower effective tax rate due to the impact of Tax Reform, partially offset by higher expenses and higher cost of credit.revenues.
Revenues increased 1%, reflectingas higher revenues in retail banking and Citi retail services partiallyand retail banking were largely offset by lower revenues in Citi-branded cards.cards, including the impact of the $150 million gain on the sale of the Hilton portfolio in the prior-year period. Excluding the gain on sale, revenues increased 4%, reflecting growth in all three businesses.
Retail banking revenues increased 4%1%. Excluding mortgage revenues (decline of 25%12%), retail banking revenues were up 9%2%, driven by continued growth in deposit margins, growth in investments, withspreads as well as modest deposit growth. Average deposits increased 1% and assets under management up 8%, and increased commercial banking activity.9%. The decline in mortgage revenues was driven by lower origination activity and higher cost of funds, reflecting the higher interest rate environment.
Cards revenues were largely unchanged. Excluding the gain on sale, revenues were up 5%. In Citi-branded cards, revenues decreased 1%. Excluding2%, including the impact of the Hilton portfoliogain on sale (closed in the prior-year period. Excluding the gain on sale, Citi-branded cards revenues increased 5%, primarily driven by continued growth in interest-earning balances. Average loans increased 1%, compared to the first quarter of 2018), Citi-branded cards revenues increased 1%,2018, which represented the peak level of promotional balances in 2018, as the benefitCiti has now optimized its mix of higher interest-earning balances and a gain of approximately $45 million related to the sale of Visa B shares were partially offset by the impact of previously disclosed items, including partnership terms and repricing actions related to APR rate re-evaluations under the CARD Act. For the full year 2018, Citi expects the impact of these repricing actions to negatively impact revenues by approximately $50 million. Average loans increased 4% and purchasenon-interest earning balances. Purchase sales increased 6%, or 7%. excluding Hilton.
Citi retail services revenues increased 1%3%, primarily reflecting continuedorganic loan growth.growth and the benefit of the L.L.Bean portfolio acquisition. Average loans and purchase sales both increased 5%7%.
Expenses increased 3%, including a provision of approximately $50 million for an industry-wide legal matter. Excluding the impact of this provision, expenses increased 1%, as higher volume-related expensesvolume growth and investments were largely offset by efficiency savings.
Provisions increased 8% from the prior-year period, primarily driven by higher net credit losses, andpartially offset by a higherlower net loan loss reserve build.
Net credit losses increased 8% to $1.3 billion, largely10%, primarily driven by higher net credit losses in Citi-branded cards (up 8% to $657$706 million) and Citi retail services (up 11%10% to $589$663 million). The increase in net credit losses primarily reflected volume growth and seasoning in both cards portfolios.
The net loan loss reserve build in the secondcurrent quarter of 2018 was $117$103 million (compared to a build of $103$119 million in the prior-year period), primarily due toreflecting volume growth and seasoning in both cards portfolios.
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 on Citi retail services’ co-brand and private label credit card products with Sears, see “Forward-Looking Statements” below and “North America GCB” and “Risk Factors—Strategic Risks” in Citi’s 2018 Annual Report on Form 10-K.



 
2018 YTD vs. 2017 YTD
Year-to-date, North America GCB has experienced similar trends to those described above. Net income increased 23%, driven by higher revenues and a lower effective tax rate due to the impact of Tax Reform, partially offset by higher expenses and higher cost of credit.
Revenues increased 3%, reflecting higher revenues across retail banking, Citi retail services and Citi-branded cards, which included the impact of the Hilton portfolio sale in the first quarter of 2018. Retail banking revenues increased 4%. Excluding mortgage revenues (decline of 22%), retail banking revenues increased 8%, driven by the same factors described above. Cards revenues increased 2%. In Citi-branded cards, revenues increased 3%, driven by the sale of the Hilton portfolio, which resulted in a gain of approximately $150 million in the first quarter of 2018, partially offset by the loss of operating revenues. Excluding the impact of the Hilton portfolio sale, revenues increased 1%, driven by the same factors described above. Citi retail services revenues increased 1%, driven by the same factors described above.
Expenses increased 2%, driven by the same factors described above.
Provisions increased 7%, as a 9% increase in net credit losses was partially offset by a 10% decline in the net loan loss reserve build.











LATIN AMERICA GCB
Latin America GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses in Mexico through Citibanamex, one of Mexico’s largest banks.
At June 30, 2018, March 31, 2019, Latin America GCB had 1,4621,464 retail branches in Mexico, with approximately 28.930.0 million retail banking customer accounts, $20.1$19.7 billion in retail banking loans and $28.4 billion in deposits. In addition, the business had approximately 5.75.5 million Citi-branded card accounts with $5.4$5.6 billion in outstanding card loan balances.


Second Quarter Six Months% ChangeFirst Quarter 
In millions of dollars, except as otherwise noted20182017% Change2018201720192018% Change
Net interest revenue$1,013
$967
5 %$2,010
$1,815
11 %$975
$997
(2)%
Non-interest revenue368
341
8
718
660
9
406
343
18
Total revenues, net of interest expense$1,381
$1,308
6 %$2,728
$2,475
10 %$1,381
$1,340
3 %
Total operating expenses$782
$745
5 %$1,541
$1,412
9 %$735
$755
(3)%
Net credit losses$278
$277
— %$556
$530
5 %$298
$278
7 %
Credit reserve build (release)33
50
(34)75
62
21
Credit reserve build(7)42
NM
Provision (release) for unfunded lending commitments—
(1)100
1
(1)NM
—
1
(100)
Provision for benefits and claims17
15
13
37
38
(3)6
20
(70)
Provisions for credit losses and for benefits and claims (LLR & PBC)$328
$341
(4)%$669
$629
6 %$297
$341
(13)%
Income from continuing operations before taxes$271
$222
22 %$518
$434
19 %$349
$244
43 %
Income taxes71
81
(12)135
158
(15)97
65
49
Income from continuing operations$200
$141
42 %$383
$276
39 %$252
$179
41 %
Noncontrolling interests—
2
(100)—
3
(100)—
—
—
Net income$200
$139
44 %$383
$273
40 %$252
$179
41 %
Balance Sheet data (in billions of dollars)


 

  


Balance Sheet data and ratios (in billions of dollars)


 

Average assets$43
$45
(4)%$44
$44
— %$44
$44
— %
Return on average assets1.87%1.24%

1.76%1.25%

2.32%1.65%

Efficiency ratio57
57


56
57


53
56


Average deposits$28.3
$27.8
2
$28.6
$26.6
8
$28.6
$28.9
(1)
Net credit losses as a percentage of average loans4.37%4.36%

4.33%4.38%

4.72%4.29%

Revenue by business

 

  



 

Retail banking$999
$939
6 %$1,965
$1,789
10 %$1,008
$959
5 %
Citi-branded cards382
369
4
763
686
11
373
381
(2)
Total$1,381
$1,308
6 %$2,728
$2,475
10 %$1,381
$1,340
3 %
Income from continuing operations by business

 

  




 

Retail banking$155
$91
70 %$293
$181
62 %$197
$134
47 %
Citi-branded cards45
50
(10)90
95
(5)55
45
22 %
Total$200
$141
42 %$383
$276
39 %$252
$179
41 %



FX translation impact

 

  




 

Total revenues—as reported$1,381
$1,308
6 %$2,728
$2,475
10 %$1,381
$1,340
3 %
Impact of FX translation(1)
—
(60)

—
18


—
(43)

Total revenues—ex-FX(2)
$1,381
$1,248
11 %$2,728
$2,493
9 %$1,381
$1,297
6 %
Total operating expenses—as reported$782
$745
5 %$1,541
$1,412
9 %$735
$755
(3)%
Impact of FX translation(1)
—
(29)

—
10


—
(21)

Total operating expenses—ex-FX(2)
$782
$716
9 %$1,541
$1,422
8 %$735
$734
— %
Provisions for LLR & PBC—as reported$328
$341
(4)%$669
$629
6 %$297
$341
(13)%
Impact of FX translation(1)
—
(16)

—
6


—
(11)

Provisions for LLR & PBC—ex-FX(2)
$328
$325
1 %$669
$635
5 %$297
$330
(10)%
Net income—as reported$200
$139
44 %$383
$273
40 %$252
$179
41 %
Impact of FX translation(1)
—
(10)

—
2


—
(7)

Net income—ex-FX(2)
$200
$129
55 %$383
$275
39 %$252
$172
47 %
(1)Reflects the impact of FX translation into U.S. dollars at the secondfirst quarter of 2018 and year-to-date 20182019 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.


2Q181Q19 vs. 2Q171Q18
Net incomeincreased 55%47%, reflecting higher revenues and lower cost of credit, partially offset by a lowerhigher effective tax rate, while expenses were largely unchanged.
Revenues increased 6%, including the impact of the sale of an asset management business in Mexico in 2018. The impact was a net benefit in the current quarter, as Citi recorded a result of Tax Reform,small residual gain on the sale, partially offset by higher expenses and costthe absence of credit.
Revenuesrelated revenues. Excluding this impact, Latin America GCB revenues increased 11%5%, largely driven by higher revenues in
both retail banking and cards.revenues.
Retail banking revenues increased 12%9% (7% excluding the impact), reflecting continued growth in volumes (average loans up 4%, average deposits up 6% and assets under management up 6%), largely driven by the commercial banking business,continued deposit growth, as well as improved deposit spreads driven bydue to higher interest rates. Average deposits and assets under management both grew 1%. Average loans declined 2%, due in part to a slowdown in commercial banking activity where client sentiment has become more cautious. Cards revenues increased 9%1%, due to continued volume growth, reflecting continued growth inhigher purchase sales (up 11%8%) and full-rate revolving loans.loans, partially offset by lower fees revenue. Average cards loans grew 7%5%.
Expenses increased 9%, as volume-driven Although consumer confidence remained strong in Mexico in the current quarter, Latin America GCB has begun to see a slowdown in overall economic growth and industry lending volumes in Mexico.
Expenses were largely unchanged, as ongoing investment spending and volume-driven growth were partially offset by efficiency savings.
Provisions increased 1% decreased 10%, as higher net credit losses were largelymore than offset by a lowernet loan loss release compared to a net loan loss reserve build.build in the prior-year period. The increase in net credit loss increaselosses was primarily driven by volume growth and seasoning in cards.the cards portfolio.
For additional information on LatinAmerica GCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.

 


2018 YTD vs. 2017 YTD
Year-to-date, Latin America GCB has experienced similar trends to those described above. Net income increased 39%, driven by the same factors described above.
Revenues increased 9%, reflecting higher revenues in retail banking and cards. Retail banking revenues increased 9%, driven by the same factors described above. Cards revenues increased 10%, driven by the same factors described above as well as a favorable comparison to the first quarter of 2017.
Expenses increased 8%, driven by the same factors described above.
Provisions increased 5%, driven by higher net credit losses and a higher net loan loss reserve build, due to volume growth and seasoning in cards.








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 secondfirst quarter of 2018, 2019, Asia GCB’s most significant revenues in Asia were from Singapore, Hong Kong, Singapore, Korea, India, Australia, Taiwan, Thailand, Philippines, Indonesia and Malaysia. Included within Asia GCB, traditional retail banking and Citi-branded card products are also provided to retail customers in certain EMEA countries, primarily Poland, Russia and the United Arab Emirates.
At June 30, 2018,March 31, 2019, on a combined basis, the businesses had 273251 retail branches, approximately 15.9 million retail banking customer accounts, $69.3$70.0 billion in retail banking loans and $97.8$101.7 billion in deposits. In addition, the businesses had approximately 15.315.2 million Citi-branded card accounts with $18.8 billion in outstanding card loan balances.


Second Quarter Six Months% ChangeFirst Quarter 
In millions of dollars, except as otherwise noted (1)
20182017% Change2018201720192018% Change
Net interest revenue$1,226
$1,161
6 %$2,459
$2,275
8 %$1,220
$1,233
(1)%
Non-interest revenue639
658
(3)1,335
1,278
4
665
696
(4)
Total revenues, net of interest expense$1,865
$1,819
3 %$3,794
$3,553
7 %$1,885
$1,929
(2)%
Total operating expenses$1,207
$1,194
1 %$2,484
$2,381
4 %$1,204
$1,277
(6)%
Net credit losses$170
$157
8 %$332
$317
5 %$164
$162
1 %
Credit reserve build (release)6
(26)NM
(15)(13)(15)(15)(21)29
Provision (release) for unfunded lending commitments1
(2)NM
3
(3)NM
—
2
(100)
Provisions for credit losses$177
$129
37 %$320
$301
6 %$149
$143
4 %
Income from continuing operations before taxes$481
$496
(3)%$990
$871
14 %$532
$509
5 %
Income taxes121
166
(27)257
292
(12)116
136
(15)
Income from continuing operations$360
$330
9 %$733
$579
27 %$416
$373
12 %
Noncontrolling interests1
2
(50)3
2
50
—
2
(100)
Net income$359
$328
9 %$730
$577
27 %$416
$371
12 %
Balance Sheet data (in billions of dollars)






  


Balance Sheet data and ratios (in billions of dollars)






Average assets$130
$125
4 %$131
$124
6 %$132
$131
1 %
Return on average assets1.11%1.05%

1.12%0.94%

1.28%1.15%

Efficiency ratio65
66
 65
67


64
66
 
Average deposits$97.6
$94.3
3
$98.4
$93.5
5
$99.3
$99.1
—
Net credit losses as a percentage of average loans0.77%0.74%

0.75%0.76%

0.75%0.73%

Revenue by business    

  
Retail banking$1,142
$1,096
4 %$2,340
$2,164
8 %$1,143
$1,198
(5)%
Citi-branded cards723
723
—
1,454
1,389
5
742
731
2
Total$1,865
$1,819
3 %$3,794
$3,553
7 %$1,885
$1,929
(2)%
Income from continuing operations by business





  







Retail banking$264
$198
33 %$510
$369
38 %$246
$246
— %
Citi-branded cards96
132
(27)223
210
6
170
127
34
Total$360
$330
9 %$733
$579
27 %$416
$373
12 %



FX translation impact

  



Total revenues—as reported$1,865
$1,819
3 %$3,794
$3,553
7 %$1,885
$1,929
(2)%
Impact of FX translation(2)
—
9


—
74


—
(70)

Total revenues—ex-FX(3)
$1,865
$1,828
2 %$3,794
$3,627
5 %$1,885
$1,859
1 %
Total operating expenses—as reported$1,207
$1,194
1 %$2,484
$2,381
4 %$1,204
$1,277
(6)%
Impact of FX translation(2)
—
9


—
60


—
(49)

Total operating expenses—ex-FX(3)
$1,207
$1,203
— %$2,484
$2,441
2 %$1,204
$1,228
(2)%
Provisions for loan losses—as reported$177
$129
37 %$320
$301
6 %$149
$143
4 %
Impact of FX translation(2)
—
1


—
7


—
(8)

Provisions for loan losses—ex-FX(3)
$177
$130
36 %$320
$308
4 %$149
$135
10 %
Net income—as reported$359
$328
9 %$730
$577
27 %$416
$371
12 %
Impact of FX translation(2)
—
1


—
6


—
(6)

Net income—ex-FX(3)
$359
$329
9 %$730
$583
25 %$416
$365
14 %


(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 secondfirst quarter of 2018 and year-to-date 20182019 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.


2Q181Q19 vs. 2Q171Q18
Net income increased 9%14%, reflecting higher revenues, lower expenses and a lower effective tax rate, as a result of Tax Reform, partially offset by higher cost of credit.
Revenues increased 2%. Excluding the benefit of a modest one-time gain in cards in the prior-year period, revenues increased 4%1%, driven by growth inhigher cards revenues, partially offset by lower retail banking and cards.revenues.
Retail banking revenues decreased 1% compared to the prior-year period, which included a modest one-time gain. Excluding the gain, retail banking revenues increased 4%1%, largely reflectingas continued growth in in the wealth management franchise. While investmentdeposit and insurance revenues declined in the second quarter of 2018 reflecting weaker market conditions, these werewas more than offset by revenue growth in FX products, insurance and deposits. In addition,lower investment revenues due to weaker market sentiment. Investment sales decreased 24%, while assets under management grew 11%. Average10%, average deposits increased 2%4% and average loans increased 3%. Retail lending revenues modestly improved (updeclined 1%), as an increasecontinued growth in volumes (averagepersonal loans up 3%) was largelymore than offset by lower mortgage revenues due to spread compression.
Cards revenues were largely unchanged. Excluding the benefit of the modest one-time gain, revenues increased 4%6%, driven by continued growth in average loans (up 1%3%) and purchase sales (up 5%), as well as a modest one-time gain. Excluding the gain, cards revenues grew 1%.
Expenses were largely unchanged, decreased 2%, as volumeefficiency savings more than offset volume-driven growth and ongoing investment spending were offset by efficiency savings.spending.
Provisions increased 36%10%, primarily driven by ahigher net loan loss reserve build compared to a net loan loss reserve release in the prior-year period.credit losses. Net credit losses increased 7%, primarily reflecting volume growth and seasoning. Overall credit quality continued to remain stable in the region.
For additional information on AsiaGCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.




 


2018 YTD vs. 2017 YTD
Year-to-date, Asia GCB has experienced similar trends to
those described above. Net income increased 25% due to higher revenues and the lower effective tax rate, partially offset by higher expenses and a higher cost of credit.
Revenues increased 5%, primarily due to an increase in retail banking revenues (up 6%) and card revenues (up 2%). The increase in both retail banking and cards revenues was driven by the same factors described above.
Expenses increased 2%, driven by the same factors described above.
Provisions were up 4%, primarily driven by modestly higher net credit losses related to volume growth and seasoning.















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 with transactional services and clearing, providing brokerage and investment banking services and other such activities. Such fees are recognized at the point in time when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the trade/execution date or closing of a transaction. Revenue generated from these activities is recorded in Commissions and fees and Investment banking. Revenue is also generated from assets under custody and administration, which is recognized as/when the associated promised service is satisfied, which normally occurs at the point in time the service is requested by the customer and provided by Citi. Revenue generated from these activities is primarily recorded in Administration and other fiduciary fees. For additionalmore information on these various types of revenues,ICG’s business activities, see Note 5 to the Consolidated Financial Statements.“Institutional Clients Group” in Citi’s 2018 Annual Report on Form 10-K.
In addition, as a market maker, ICG facilitates transactions, including holding product inventory to meet client demand, and earns the differential between the price at which it buys and sells the products. These price differentials and the unrealized gains and losses on the inventory are recorded in Principal transactions(for additional information on Principal transactions revenue, see Note 6 to the Consolidated Financial Statements). Other primarily includes mark-to-market gains and losses on certain credit derivatives, gains and losses on available-for-sale (AFS) debt securities, gains and losses on equity securities not held in trading accounts, and other non-recurring gains and losses. Interest income earned on assets held, less interest paid to customers on deposits and long- and short-term debt, is recorded as Net interest revenue.

The amount and types of Markets revenues are impacted by a variety of interrelated factors, including market liquidity; changes in market variables such as interest rates, foreign exchange rates, equity prices, commodity prices and credit spreads, as well as their implied volatilities; investor confidence; and other macroeconomic conditions. Assuming all other market conditions do not change, increases in client activity levels or bid/offer spreads generally result in increases in revenues. However, changes in market conditions can significantly impact client activity levels, bid/offer spreads and the fair value of product inventory. For example, a decrease in market liquidity may increase bid/offer spreads, decrease client activity levels and widen credit spreads on product inventory positions.
ICG’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 98 countries and jurisdictions. At June 30, 2018, March 31, 2019, ICG had approximately $1.4 trillion of assets and $676$702 billion of deposits, while two of its businesses—securities services and issuer services—managed approximately $17.8$18.3 trillion of assets under custody compared to $16.5$17.7 trillion at the end of the prior-year period.

 First Quarter 
In millions of dollars, except as otherwise noted20192018% Change
Commissions and fees$1,121
$1,213
(8)%
Administration and other fiduciary fees670
694
(3)
Investment banking1,112
985
13
Principal transactions2,631
2,844
(7)
Other285
465
(39)
Total non-interest revenue$5,819
$6,201
(6)%
Net interest revenue (including dividends)3,875
3,654
6
Total revenues, net of interest expense$9,694
$9,855
(2)%
Total operating expenses$5,427
$5,506
(1)%
Net credit losses$55
$105
(48)%
Credit reserve build (release)(54)(175)69
Provision (release) for unfunded lending commitments20
29
(31)
Provisions for credit losses$21
$(41)NM
Income from continuing operations before taxes$4,246
$4,390
(3)%
Income taxes924
1,056
(13)
Income from continuing operations$3,322
$3,334
— %
Noncontrolling interests11
15
(27)
Net income$3,311
$3,319
— %
EOP assets (in billions of dollars)
$1,425
$1,407
1 %
Average assets (in billions of dollars)
1,414
1,388
2
Return on average assets0.95%0.97%

Efficiency ratio56
56


Revenues by region  

North America$3,119
$3,266
(5)%
EMEA3,170
3,167
—
Latin America1,160
1,216
(5)
Asia2,245
2,206
2
Total$9,694
$9,855
(2)%
Income from continuing operations by region  

North America$714
$858
(17)%
EMEA1,125
1,113
1
Latin America503
494
2
Asia980
869
13
Total$3,322
$3,334
— %

 Second Quarter Six Months% Change
In millions of dollars, except as otherwise noted20182017% Change20182017
Commissions and fees$1,127
$1,106
2 %$2,340
$2,130
10 %
Administration and other fiduciary fees713
674
6
1,407
1,309
7
Investment banking1,246
1,243
—
2,231
2,353
(5)
Principal transactions2,358
2,151
10
5,242
4,882
7
Other154
246
(37)572
247
NM
Total non-interest revenue$5,598
$5,420
3 %$11,792
$10,921
8 %
Net interest revenue (including dividends)4,093
4,001
2
7,747
7,819
(1)
Total revenues, net of interest expense$9,691
$9,421
3 %$19,539
$18,740
4 %
Total operating expenses$5,458
$5,227
4 %$10,961
$10,365
6 %
Net credit losses$(1)$71
NM
$104
$96
8 %
Credit reserve build (release)32
(15)NM
(143)(191)25
Provision (release) for unfunded lending commitments(6)31
NM
23
(23)NM
Provisions for credit losses$25
$87
(71)%$(16)$(118)86 %
Income from continuing operations before taxes$4,208
$4,107
2 %$8,594
$8,493
1 %
Income taxes971
1,327
(27)2,028
2,702
(25)
Income from continuing operations$3,237
$2,780
16 %$6,566
$5,791
13 %
Noncontrolling interests12
18
(33)27
33
(18)
Net income$3,225
$2,762
17 %$6,539
$5,758
14 %
EOP assets (in billions of dollars)
$1,397
$1,353
3 %   
Average assets (in billions of dollars)
1,406
1,360
3
$1,397
$1,339
4 %
Return on average assets0.92%0.81%

0.94%0.87%

Efficiency ratio56
55


56
55


Revenues by region  

  

North America$3,511
$3,646
(4)%$6,776
$7,168
(5)%
EMEA3,043
2,881
6
6,210
5,735
8
Latin America1,162
1,086
7
2,372
2,255
5
Asia1,975
1,808
9
4,181
3,582
17
Total$9,691
$9,421
3 %$19,539
$18,740
4 %
Income from continuing operations by region  

  


North America$1,028
$1,088
(6)%$1,885
$2,165
(13)%
EMEA987
786
26
2,100
1,648
27
Latin America514
341
51
1,005
823
22
Asia708
565
25
1,576
1,155
36
Total$3,237
$2,780
16 %$6,566
$5,791
13 %
Average loans by region (in billions of dollars)
  

  


North America$165
$150
10 %$162
$148
9 %
EMEA80
67
19
79
66
20
Latin America33
35
(6)34
35
(3)
Asia68
61
11
68
59
15
Total$346
$313
11 %$343
$308
11 %
EOP deposits by business (in billions of dollars)
     

Treasury and trade solutions$459
$421
9 %  

All other ICG businesses
217
203
7






Total$676
$624
8 %





Average loans by region (in billions of dollars)
  

North America$176
$160
10 %
EMEA84
78
8
Latin America34
34
—
Asia63
67
(6)
Total$357
$339
5 %
EOP deposits by business (in billions of dollars)
   
Treasury and trade solutions$475
$449
6 %
All other ICG businesses
227
217
5
Total$702
$666
5 %


NM Not meaningful



ICG Revenue Details—Excluding Gains (Losses) on Loan HedgesDetails
Second Quarter Six Months% ChangeFirst Quarter 
In millions of dollars20182017% Change2018201720192018% Change
Investment banking revenue details
       
Advisory$361
$318
14 %$576
$567
2 %$378
$215
76 %
Equity underwriting335
309
8
551
559
(1)172
216
(20)
Debt underwriting726
908
(20)1,425
1,671
(15)804
699
15
Total investment banking$1,422
$1,535
(7)%$2,552
$2,797
(9)%$1,354
$1,130
20 %
Treasury and trade solutions2,336
2,106
11
4,604
4,214
9
2,395
2,268
6
Corporate lending—excluding gains (losses) on loan hedges(1)
589
481
22
1,110
919
21
569
521
9
Private bank848
793
7
1,752
1,542
14
880
904
(3)
Total banking revenues (ex-gains (losses) on loan hedges)$5,195
$4,915
6 %$10,018
$9,472
6 %$5,198
$4,823
8 %
Corporate lending—gains (losses) on loan hedges(1)
$23
$9
NM
$46
$(106)NM
$(231)$23
NM
Total banking revenues (including gains (losses) on loan hedges)$5,218
$4,924
6 %$10,064
$9,366
7 %
Total banking revenues (including gains (losses) on loan hedges), net of interest expense$4,967
$4,846
2 %
Fixed income markets$3,076
$3,274
(6)%$6,494
$6,952
(7)%$3,452
$3,425
1 %
Equity markets864
725
19
1,967
1,527
29
842
1,103
(24)
Securities services665
594
12
1,306
1,146
14
638
641
—
Other(132)(96)(38)(292)(251)(16)(205)(160)(28)
Total markets and securities services revenues$4,473
$4,497
(1)%$9,475
$9,374
1 %
Total markets and securities services revenues, net of interest expense$4,727
$5,009
(6)%
Total revenues, net of interest expense$9,691
$9,421
3 %$19,539
$18,740
4 %$9,694
$9,855
(2)%
Commissions and fees$182
$158
15 %$358
$300
19 %$174
$175
(1)%
Principal transactions(2)
2,108
1,935
9
4,292
4,295
—
2,377
2,192
8
Other28
183
(85)304
334
(9)150
275
(45)
Total non-interest revenue$2,318
$2,276
2 %$4,954
$4,929
1 %$2,701
$2,642
2 %
Net interest revenue758
998
(24)1,540
2,023
(24)751
783
(4)
Total fixed income markets$3,076
$3,274
(6)%$6,494
$6,952
(7)%$3,452
$3,425
1 %
Rates and currencies$2,235
$2,254
(1)%$4,705
$4,784
(2)%$2,402
$2,477
(3)%
Spread products/other fixed income841
1,020
(18)1,789
2,168
(17)1,050
948
11
Total fixed income markets$3,076
$3,274
(6)%$6,494
$6,952
(7)%$3,452
$3,425
1 %
Commissions and fees$308
$323
(5)%$669
$649
3 %$293
$361
(19)%
Principal transactions(2)
101
(1)NM
638
188
NM
396
537
(26)
Other20
(6)NM
100
3
NM
7
80
(91)
Total non-interest revenue$429
$316
36 %$1,407
$840
68 %$696
$978
(29)%
Net interest revenue435
409
6
560
687
(18)146
125
17
Total equity markets$864
$725
19 %$1,967
$1,527
29 %$842
$1,103
(24)%


(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 include the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.
(2) Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
(2)
Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
NM Not meaningful


The discussion of the results of operations for ICG below excludes (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.



1Q19 vs. 1Q18
2Q18 vs. 2Q17
Net income increased 17%, driven was largely unchanged, as lower revenues and a higher cost of credit were offset by higher revenues,lower expenses and a lower effective tax rate due to the impact of Tax Reformrate.

•
Revenues decreased 2%, as a 2% increase in Banking (including gains (losses) on loan hedges) was more than offset by a 6% decrease in Markets and securities services, largely driven by lower revenues in equity markets. Excluding the impact of the gains (losses) on loan hedges, Banking revenues increased 8%, primarily driven by growth in investment banking, treasury and trade solutions and corporate lending, partially offset by a decline in private bank.

Within Banking:

•
Investment banking revenues increased 20%, as strong growth in advisory and investment-grade debt underwriting more than offset a decline in equity underwriting. Advisory revenues increased 76%, reflecting gains in wallet share and strong performance in North America and EMEA. Debt underwriting revenues increased 15%, reflecting wallet share gains, with strength in North America. Equity underwriting revenues decreased 20%, driven by declines in both market wallet and wallet share.
•
Treasury and trade solutions revenues increased 6%. Excluding the impact of FX translation, revenues increased 10%, reflecting strength in all regions. Revenue growth in the cash business was primarily driven by continued growth in deposit balances and improved deposit spreads. Trade revenue growth was driven primarily by improved loan spreads, partially offset by lower episodic fees. Average deposit balances increased 7% (10% excluding the impact of FX translation), with strong growth across regions. Average trade loans decreased 4% (a decrease of 1% excluding the impact of FX translation), as growth in EMEA and Latin America was more than offset by North America and Asia, as the businesses maintained strong origination volumes, while reducing lower spread assets and increasing asset sales to optimize returns.
•
Corporate lending revenues decreased from $544 million to $338 million. Excluding the impact of gains (losses) on loan hedges, revenues increased 9%, driven by higher loan volumes and spread expansion. Average loans increased 1% (4% excluding the impact of FX translation).
•
Private bank revenues decreased 3% from a strong prior-year period, primarily due to higher mortgage funding costs and lower managed investments revenue, partially offset by higher volumes.


Within Markets and lower cost of credit, partially offset by higher expenses.securities services:


•
Fixed income markets revenues increased 1%, primarily due to higher revenues in EMEA and Asia. The increase in
Revenues increased 3%,revenues was largely driven by higher revenues in Banking (increase of 6%),non-interest revenue, partially offset by lower revenues in Markets and securities services (decrease of 1%). The increase in Banking revenues was driven by improved performance in treasury and trade solutions, the private bank and corporate lending, partially offset by investment banking. Markets and securities services revenues declined 1%, as an increase in equity markets revenues and securities services revenues was more than offset by a decrease in fixed income markets revenues. Citi expects Markets and securities services revenue will likely continue to reflect the overall market environment, including normal seasonal trends during the second half of 2018, as well as a comparison to the third quarter of 2017 that included a $580 million gain on sale of a fixed income analytics business.

Within Banking:

Investment banking revenues declined 7%, as strength in advisory and equity underwriting was more than offset by a strong prior-year comparison in debt underwriting and a lower industry-wide market wallet. Advisory revenues increased 14%, reflecting strong performance in North America despite the impact from the decline in market wallet. Equity underwriting revenues increased 8%, driven by North America and Asia. Debt underwriting revenues declined 20%, primarily reflecting a decline in wallet share as well as the strong prior-year period comparison.
Treasury and trade solutions revenues increased 11%. Excluding the impact of FX translation, revenues increased 12%, reflecting strength in all regions, driven by growth across both net interest and fee income. Revenue growth in the cash business was primarily driven by continued growth in deposit balances and improved deposit spreads, as well as higher transaction volumes from both new and existing clients. Growth in the trade business was driven by an ongoing focus on high-quality loan growth, partially offset by an industry-wide tightening of loan spreads. Average deposit balances increased 6% (5% excluding the impact of FX translation). Average loans increased 5%, driven by strong loan growth in Asia and EMEA.
Corporate lending revenues increased 25%. Excluding the gains on loan hedges, revenues increased 22%, driven by EMEA. The increase in revenues was primarily due to higher loan volumes and lower hedging costs. Average loans increased 11% from the prior-year period.
Private bank revenues increased 7%, driven by North America and EMEA, reflecting growth in clients, loans and investments, as well as improved deposit spreads.



Within Markets and securities services:

Fixed income markets revenues decreased 6%, driven by lower revenues in North America as well as Asia. The decline in revenues was largely due to lower net interest revenue (a decrease of 24%) in both rates and currencies and spread products, mainly reflecting a change in the mix of trading positions in support of client activity as well asdue to higher funding costs, given the higher interest rate environment. The declineincrease in net interest revenuenon-interest revenues was partially offsetprimarily driven by higher principal transactiontransactions revenues, (an increase of 9%), driven by G10 FX and local marketsreflecting higher investor client activity in a more favorable market environment than the prior-year period, particularly in rates and currencies.
spread products.
Rates and currencies revenues decreased 1%3%, primarily due to loweras strength in G10 rates was more than offset by lower FX revenues, reflecting a more challenging environment,primarily in EMEA and Latin America. The lower FX revenues were driven by declining currency volatility, while corporate client activity remained stable. The increase in rates was driven by strong client activity as well as a comparison to a strong prior-year period in EMEA. This decline was largely offset by an increase in G10 FX revenues that benefited from a continuation of volatilityless favorable environment in the FX markets. G10 FX and local markets rates and currencies also benefited from strong corporate and investor client activity.prior-year period.
Spread products and other fixed income revenues decreased 18%increased 11%, primarily driven by higher revenues in flow trading, notably corporate bonds and agency mortgage-backed securities (MBS) in North America and EMEAdue to lower revenues in securitized products in North America due to the more challenging market environment and strong prior-year period comparison, partially offset by higher municipals revenues.
Equity markets revenues increased 19%, with growth across all products and regions, with particular strength in North America. The increase in revenues reflected the benefit of continued higher market volatility and increased investor and corporate client activity. Equity derivatives revenues increased across all regions, with particular strength in North America and Asia, benefiting from both overall market conditions and continued client momentum. The increase in equity markets revenues was also driven by growth in cash equities and higher balances in prime finance. Principal transactions revenues also increased, reflecting continued client facilitation gains driven by a favorable trading environment.
Securities services revenues increased 12%, reflecting growth in all regions. TheThis increase in revenues was drivenpartially offset by higher fee revenues,weakness in structured products in North America, reflecting growth in both client volumes and assets under custody, as well as higher net interest revenue driven by higher deposit volume and higher interest rates.a more challenging market environment.
•
Equity markets revenues decreased 24%, compared to a strong prior-year period that benefited from a more favorable market environment with higher volatility. Equity derivatives revenues declined, primarily in North America and Asia, reflecting the less favorable market environment. The decrease in equity markets revenues was also driven by lower market volumes globally, and lower client financing balances. Non-interest revenues decreased, primarily driven by lower principal transactions revenues, reflecting a less favorable market environment, as well as lower commissions and fees revenues.
•
Securities services revenues were largely unchanged. Excluding the impact of FX translation, revenues increased 5%, driven by higher client volumes and an increase in interest revenues from higher interest rates.


Expenses increased 4% decreased 1%, driven by an increase in compensation costs, volume-related expensesas efficiency savings and investments,a benefit from FX translation were partially offset by efficiency savings.investments and higher volume-related expenses.
Provisions decreased increased $62 million, primarily due to $25 million, driven by lower net credit losses ($72 million) and lower provisions for unfunded lending commitments ($37 million), partially offset by a highersmaller benefit from net loan loss reserve build ($47 million).  The improvementreleases in costthe current quarter of credit reflects$34 million, compared to a greater benefit from ratings upgrades as compared toof $146 million in the prior-year period, partially offset by lower net credit losses. Provisions of $21 million in the current quarter were driven by volume-related reserve builds. The continued stability in commodity prices and macroeconomic

factors have resulted in modest cost of credit across the broader portfolio.

2018 YTD vs. 2017 YTD
Net income increased 14%, primarily driven by higher revenues and a lower effective tax rate due to the impact of Tax Reform,builds, partially offset by higher expenses and higher credit costs.

Revenues increased 4%, reflecting higher revenues in both Banking (increaseloan-specific reserve releases, including the paydown of 7%; increase of 6% excluding the gains (losses) on loan hedges) and higher revenues in Markets and securities services (increase of 1%).

Within Banking:

Investment banking revenues declined 9% due to a lower market wallet across all major products, particularly impacting debt underwriting revenues. Advisory revenues increased 2%, reflecting gains in wallet share despite a decline in overall market wallet. Equity underwriting revenues were modestly lower than the prior-year period. Debt underwriting revenues declined 15%, reflecting the lower market wallet and a decline in wallet share.
Treasury and trade solutions revenues increased 9%, reflecting growth across both net interest and fee income, driven by continued growth in deposit and loan volumes, improved deposit spreads and strong fee growth across most cash products.
Corporate lending revenues increased 42%. Excluding the impact of gains (losses) on loan hedges, revenues increased 21%, driven by higher loan volumes and lower hedging costs.
Private bank revenues increased 14%, driven by strong client activity across all regions. The increase in revenues primarily reflected higher deposit spreads, higher managed investments revenues, increased capital markets activity and higher loan volumes.

Within Markets and securities services:

Fixed income markets revenues declined 7%, primarily due to lower revenues in North America. Rates and currencies revenues decreased 2%, driven by lower G10 rates revenues due to lower client activity reflecting the more challenging environment, as well as the comparison to a strong period-year period, particularly in EMEA. This decrease was partially offset by higher G10 FX revenues that benefited from the return of volatility in the FX markets, as well as strong corporate and investor client activity. Spread products and other fixed income revenues decreased 17%, driven by North America, largely due to lower investor client activity, reflecting the more challenging market environment, as well as a comparison to a strong prior-year period.
Equity markets revenues increased 29% with growth across products, reflecting strength in Asia, North America and EMEA, due to a more favorable operating environment with higher market volatility and increased investor client activity.
certain non-accrual loans.
 

Securities services revenues increased 14%, primarily driven by growth in fee revenues, reflecting the growth in both client volumes and assets under custody, as well as higher net interest revenue in EMEA and Asia, driven by the higher deposit volumes and higher interest rates.


Expenses increased 6%, driven by the same factors described above.
Provisions increased $102 million to a benefit of $16 million, primarily due to lower releases in the current period ($120 million compared to $214 million in the prior-year period).








CORPORATE/OTHER
Corporate/Other includes certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as Corporate Treasury, certain North America legacy consumer loan portfolios, other legacy assets and discontinued operations (for additional information on Corporate/Other, see “Citigroup Segments” above). At June 30, 2018, March 31, 2019, Corporate/Other had $93$107 billion in assets, largely unchangedup $15 billion year-over-year.


Second Quarter Six Months% ChangeFirst Quarter 
In millions of dollars20182017% Change2018201720192018% Change
Net interest revenue$553
$497
11 %$1,091
$1,055
3 %$631
$538
17 %
Non-interest revenue(25)164
NM
28
807
(97)(200)53
NM
Total revenues, net of interest expense$528
$661
(20)%$1,119
$1,862
(40)%$431
$591
(27)%
Total operating expenses$599
$996
(40)%$1,340
$2,130
(37)%$549
$742
(26)%
Net credit losses$(21)$24
NM
$5
$105
(95)%$2
$26
(92)%
Credit reserve build (release)(95)(154)38
(128)(189)32
(26)(33)21
Provision (release) for unfunded lending commitments(1)(2)50
(1)3
NM
(1)—
—
Provision for benefits and claims(1)—
NM
(1)1
NM
—
—
NM
Provisions for credit losses and for benefits and claims$(118)$(132)11 %$(125)$(80)(56)%$(25)$(7)NM
Income (loss) from continuing operations before taxes$47
$(203)NM
$(96)$(188)49 %$(93)$(144)35 %
Income taxes (benefits)62
(178)NM
(7)(272)97
(71)(69)(3)
Income (loss) from continuing operations$(15)$(25)40 %$(89)$84
NM
$(22)$(75)71 %
Income (loss) from discontinued operations, net of taxes15
21
(29)8
3
NM
(2)(7)71
Net income (loss) before attribution of noncontrolling interests$—
$(4)100 %$(81)$87
NM
$(24)$(82)71 %
Noncontrolling interests13
10
30
18
4
NM
14
5
NM
Net income (loss)$(13)$(14)7 %$(99)$83
NM
$(38)$(87)56 %
NM Not meaningful


2Q181Q19 vs. 2Q171Q18
The net loss was $13$38 million, compared to a net loss of $14$87 million in the prior-year period. The lower net loss in the current period was largely driven by a higher effective tax rate.lower expenses and lower cost of credit, partially offset by lower revenues.
Revenues decreased 20%27%, primarily driven by the continued wind-down of legacy assets.
Expenses decreased 40%26%, primarily driven by the wind-down of legacy assets and lower legal and infrastructure costs.assets.
Provisions increased $14 decreased $18 million to a net benefit of $118$25 million, as lower net credit losses were more thanpartially offset by a lower net loan loss reserve release. The decline in net credit losses reflected the impact of ongoing divestiture activity,
including the impact of the continued wind-down in the legacy North America mortgage portfolio, including related net recoveries.portfolio.






2018 YTD vs. 2017 YTD
The net loss was $99 million, compared to net income of $83 million in the prior-year period, reflecting lower revenues and a lower effective tax rate, partially offset by lower expenses and lower cost of credit.
Revenues decreased 40%, primarily driven by the same factors described above.
Expenses decreased 37%, driven by the same factors described above.
Provisions decreased $45 million to a net benefit of $125 million, driven by lower net credit losses, partially offset by a lower net loan loss reserve release. Net credit losses declined 95% to $5 million, reflecting the impact of ongoing divestiture activity, including the continued wind-down in the legacy North America mortgage portfolio.




OFF-BALANCE SHEET ARRANGEMENTS


The table below shows where a discussion of Citi’s various off-balance sheet arrangements in this Form 10-Q may be found. For additional information, see “Off-Balance Sheet Arrangements” and Notes 1, 21 and 26 to the Consolidated Financial Statements in Citigroup’s 20172018 Annual Report on Form 10-K.
Types of Off-Balance Sheet Arrangements Disclosures in this Form 10-Q
Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEsSee Note 18 to the Consolidated Financial Statements.
Letters of credit, and lending and other commitmentsSee Note 22 to the Consolidated Financial Statements.
GuaranteesSee Note 22 to the Consolidated Financial Statements.




CAPITAL RESOURCES
Overview
Capital is used principally to support assetsFor additional information about capital resources, including Citi’s capital management, the stress testing component of capital planning, current regulatory capital standards, and regulatory capital standards developments, see “Capital Resources” and “Risk Factors” 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 events2018 Annual Report on Citi’s business results, such as changes in interest and foreign exchange rates, as well as business and asset dispositions.Form 10-K.
During the secondfirst quarter of 2018,2019, Citi returned a total of $3.1$5.1 billion of capital to common shareholders in the form of share repurchases (approximately 3366 million common shares) and dividends.
Capital Management
Citi’s capital management framework is designed to ensure that Citigroup and its principal subsidiaries maintain sufficient capital consistent with each entity’s respective risk profile, management targets and all applicable regulatory standards and guidelines. Based on Citigroup’s current regulatory capital requirements, as well as consideration of potential future changes to the U.S. Basel III rules, management currently believes that a targeted Common Equity Tier 1 Capital ratio of approximately 11.5% represents the amount necessary to prudently operate and invest in Citi’s franchise, including when considering future growth plans, capital return projections and other factors that may impact Citi’s businesses. However, management may revise Citigroup’s targeted Common Equity Tier 1 Capital ratio in response to changing regulatory capital requirements as well as other relevant factors. For additional information regarding Citi’s capital management, see “Capital Resources—Capital Management” in Citigroup’s 2017 Annual Report on Form 10-K.

Stress Testing Component of Capital Planning
Citi is subject to an annual assessment by the Federal Reserve Board as to whether Citigroup has effective capital planning processes as well as sufficient regulatory capital to absorb losses during stressful economic and financial conditions, while also meeting obligations to creditors and counterparties and continuing to serve as a credit intermediary. This annual assessment includes two related programs: the Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST). For additional information regarding the stress testing component of capital planning, see “Forward-Looking Statements” below and “Capital Resources—Current Regulatory Capital Standards—Stress Testing Component of Capital Planning” and “Risk Factors—Strategic Risks”
in Citigroup’s 2017 Annual Report on Form 10-K. For additional information regarding a recent proposed rulemaking and other potential changes in Citi’s regulatory capital requirements and future CCAR processes, see “Regulatory Capital Standards Developments” in the First Quarter of 2018 Form 10-Q.

Current Regulatory Capital Standards
Citi is subject to regulatory capital standards issued by the Federal Reserve Board, which constitute the U.S. Basel III rules. These rules establish an integrated capital adequacy framework, encompassing both risk-based capital ratios and leverage ratios. For additional information regarding the risk-based capital ratios, Tier 1 Leverage ratio and Supplementary Leverage ratio, see “Capital Resources—Current Regulatory Capital Standards” in Citigroup’s 2017 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. GSIBs, including Citi. Citi’s GSIB surcharge effective for 2018 remains unchanged from 2017 at 3.0%. 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 2017 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”). Moreover, the GSIB surcharge, Capital Conservation Buffer, and any Countercyclical Capital Buffer (currently 0%), commenced phase-in on January 1, 2016, becoming fully effective on January 1, 2019. With the exception of the non-grandfathered trust preferred securities, which do not fully phase-out until January 1, 2022, and the capital buffers and GSIB surcharge, which do not fully phase-in until January 1, 2019, all other transition provisions are entirely reflected in Citi’s regulatory capital ratios beginning January 1, 2018. Accordingly, commencing with the first quarter of 2018, Citi is presenting a single set of regulatory capital components and ratios, reflecting current regulatory capital standards in effect throughout 2018. Citi previously disclosed its Basel III risk-based capital and leverage ratios and related components reflecting Basel III Transition Arrangements with respect to regulatory capital adjustments and deductions, as well as Full Implementation, in Citi’s 2017 Annual Report on Form 10-K and Quarterly Reports on Form 10-Q; however, beginning January 1, 2018, that distinction is no longer relevant.
For additional information regarding the transition provisions under the U.S. Basel III rules, including with respect to the GSIB surcharge, see “Capital Resources—


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

Citigroup’s Capital Resources
Citi is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6.0% and 8.0%, respectively.
Citi’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2018, inclusive of the 75% phase-in of both the 2.5% Capital Conservation Buffer and the 3.0% GSIB surcharge (all of which is to be composed of Common Equity Tier 1 Capital), are 8.625%, 10.125% and 12.125%, respectively. Citi’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2017, inclusive of the 50% phase-in of both the 2.5% Capital Conservation Buffer and the 3.0% GSIB surcharge (all of which is to be composed of Common Equity Tier 1 Capital), were 7.25%, 8.75% and 10.75%, respectively.
Citi currently estimates that its effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratio requirements during 2019, inclusive of the 2.5% Capital Conservation Buffer and the Countercyclical Capital Buffer at its current level of 0%, as well as a 3.0% GSIB surcharge, may be 10.0%, 11.5% and 13.5%, respectively.
Furthermore, to be “well capitalized” under current federal bank regulatory agency definitions, a bank holding
company must have a Tier 1 Capital ratio of at least 6.0%, a Total Capital ratio of at least 10.0%, and not be subject to a Federal Reserve Board directive to maintain higher capital levels.
Under the U.S. Basel III rules, Citi must comply with a 4.0% minimum Tier 1 Leverage ratio requirement. Effective January 1, 2018, Citi must also comply with an effective 5.0% minimum Supplementary Leverage ratio requirement.
The following tables set forth theCiti’s capital tiers, total risk-weighted assetscomponents and underlying risk components, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios for Citi as of June 30, 2018 and December 31, 2017.ratios:


Citigroup Capital Components and Ratios
June 30, 2018December 31, 2017March 31, 2019December 31, 2018
In millions of dollars, except ratiosAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach
Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach
Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$142,868
$142,868
$142,822
$142,822
 $140,355
$140,355
 $139,252
$139,252
Tier 1 Capital162,002
162,002
162,377
162,377
 158,712
158,712
 158,122
158,122
Total Capital (Tier 1 Capital + Tier 2 Capital)187,240
198,964
187,877
199,989
 184,418
196,452
 183,144
195,440
Total Risk-Weighted Assets1,147,865
1,176,863
1,152,644
1,155,099
 1,121,645
1,178,628
 1,131,933
1,174,448
Credit Risk$769,279
$1,112,883
$767,102
$1,089,372
 $752,804
$1,118,057
 $758,887
$1,109,007
Market Risk63,087
63,980
65,003
65,727
 59,200
60,571
 63,987
65,441
Operational Risk315,499
—
320,539
—
 309,641
—
 309,059
—
Common Equity Tier 1 Capital ratio(1)(2)
12.45%12.14%12.39%12.36%
Tier 1 Capital ratio(1)(2)
14.11
13.77
14.09
14.06
Total Capital ratio(1)(2)
16.31
16.91
16.30
17.31
Common Equity Tier 1 Capital ratio(2)
10.0%12.51%11.91%8.625%12.30%11.86%
Tier 1 Capital ratio(2)
11.5
14.15
13.47
10.125
13.97
13.46
Total Capital ratio(2)
13.5
16.44
16.67
12.125
16.18
16.64
In millions of dollars, except ratiosJune 30, 2018December 31, 2017Effective Minimum RequirementMarch 31, 2019December 31, 2018
Quarterly Adjusted Average Total Assets(3)
 $1,876,240
 $1,868,326
  $1,899,790
 $1,896,959
Total Leverage Exposure(4)
 2,453,497
 2,432,491
  2,463,958
 2,465,641
Tier 1 Leverage ratio(2)
 8.63% 8.69%4.0% 8.35% 8.34%
Supplementary Leverage ratio(2)
 6.60
 6.68
5.0
 6.44
 6.41


(1)Citi’s effective minimum risk-based capital requirements during 2019 and 2018 are inclusive of the 100% and 75% phase-in, respectively, of both the 2.5% Capital Conservation Buffer and the 3.0% GSIB surcharge (all of which must be composed of Common Equity Tier 1 Capital).
(2)As of June 30, 2018March 31, 2019 and December 31, 2017,2018, 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.
(2)Citi’s risk-based capital and leverage ratios and related components as of December 31, 2017 are non-GAAP financial measures, which reflect full implementation of regulatory capital adjustments and deductions prior to the effective date of January 1, 2018.
(3)Tier 1 Leverage ratio denominator.
(4)Supplementary Leverage ratio denominator.




As indicated in the table above, Citigroup’s risk-based capital ratios at June 30, 2018March 31, 2019 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citi was also “well capitalized” under current federal bank regulatory agency definitions as of June 30, 2018.March 31, 2019.




Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 12.1% at June 30, 2018, compared to 12.1%11.9% at March 31, 2018 and 12.4% at December 31, 2017. The ratio remained2019, unchanged from the first quarter of 2018,quarter-over-quarter, as quarterly net income of $4.5$4.7 billion as well as decreasesand beneficial net movements in credit and market risk-weighted assets,Accumulated other comprehensive income (AOCI) were offset by adverse movements in Accumulated other comprehensive income (AOCI) and the return of $3.1$5.1 billion of capital to common shareholders. Citi’s Common Equity Tier 1 Capital ratio declined from year-end 2017 primarily due to the return of $6.2 billion of capital to common shareholders, adverse net movements in AOCI, and an increase in credit risk-weighted assets, partially offset by year-to-date net income of $9.1 billion.



Components of Citigroup Capital
In millions of dollarsJune 30,
2018		December 31, 2017March 31,
2019		December 31, 2018
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$181,243
$181,671
$178,427
$177,928
Add: Qualifying noncontrolling interests145
153
144
147
Regulatory Capital Adjustments and Deductions:  
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(2)
(1,021)(698)(442)(728)
Less: Cumulative unrealized net loss related to changes in fair value of
financial liabilities attributable to own creditworthiness, net of tax(3)
(162)(721)
Less: Cumulative unrealized net gain (loss) related to changes in fair value of
financial liabilities attributable to own creditworthiness, net of tax
(67)580
Less: Intangible assets:  
Goodwill, net of related DTLs(4)(2)
21,809
22,052
21,768
21,778
Identifiable intangible assets other than MSRs, net of related DTLs
4,461
4,401
4,390
4,402
Less: Defined benefit pension plan net assets882
896
811
806
Less: DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards(5)(3)
12,551
13,072
11,756
11,985
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$142,868
$142,822
$140,355
$139,252
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$18,851
$19,069
$17,825
$18,292
Qualifying trust preferred securities(6)(4)
1,380
1,377
1,386
1,384
Qualifying noncontrolling interests62
61
45
55
Regulatory Capital Deductions:  
Less: Permitted ownership interests in covered funds(7)(5)
1,109
900
848
806
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(8)(6)
50
52
51
55
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$19,134
$19,555
$18,357
$18,870
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
(Standardized Approach and Advanced Approaches)
$162,002
$162,377
$158,712
$158,122
Tier 2 Capital  
Qualifying subordinated debt$23,234
$23,673
$23,704
$23,324
Qualifying trust preferred securities(9)(7)
326
329
324
321
Qualifying noncontrolling interests49
50
44
47
Eligible allowance for credit losses(10)
13,403
13,612
Eligible allowance for credit losses(8)
13,719
13,681
Regulatory Capital Deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(8)(6)
50
52
51
55
Total Tier 2 Capital (Standardized Approach)$36,962
$37,612
$37,740
$37,318
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$198,964
$199,989
$196,452
$195,440
Adjustment for excess of eligible credit reserves over expected credit losses(10)
$(11,724)$(12,112)
Adjustment for excess of eligible credit reserves over expected credit losses(8)
$(12,034)$(12,296)
Total Tier 2 Capital (Advanced Approaches)

$25,238
$25,500
$25,706
$25,022
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$187,240
$187,877
$184,418
$183,144


(1)Issuance costs of $184$155 million as of March 31, 2019 and $168 million as of December 31, 2018 are related to outstanding noncumulative perpetual preferred stock, outstanding at June 30, 2018 and December 31, 2017which are excluded from common stockholders’ equity and netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)Common Equity Tier 1 Capital is adjusted for accumulated net unrealized gains (losses) on cash flow hedges included in AOCI that relate to the hedging of items not recognized at fair value on the balance sheet.
(3)The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected, and own-credit valuation adjustments on derivatives, are excluded from Common Equity Tier 1 Capital, in accordance with the U.S. Basel III rules.
(4)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.






Footnotes continue on the following page.



(5)(3)Of Citi’s $22.9$22.8 billion of net DTAs at June 30, 2018, $11.2March 31, 2019, $12.0 billion werewas includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $11.7$10.8 billion werewas excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of June 30, 2018March 31, 2019 was $12.6$11.8 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards, which was reduced by $0.9$1.0 billion of net DTLs primarily associated with goodwill and certain other intangible assets. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital. DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards are required to be entirely deducted from Common Equity Tier 1 Capital under the U.S. Basel III rules. Commencing on December 31, 2017, Citi’s DTAs arising from temporary differences wereare less than the 10% limitation under the U.S. Basel III rules and therefore not subject to deduction from Common Equity Tier 1 Capital, but are subject to risk-weighting at 250%.
(6)(4)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.

Footnotes continue on the following page.



(7)(5)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Accordingly, Citi is required by the Volcker Rule to deduct from Tier 1 Capital all permitted ownership interests in covered funds that were acquired after December 31, 2013.funds.
(8)(6)50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.
(9)(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.
(10)(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 $1.7 billion and $1.5$1.4 billion at June 30, 2018March 31, 2019 and December 31, 2017,2018, respectively.



Citigroup Capital Rollforward
In millions of dollarsThree Months Ended 
 June 30, 2018		Six Months Ended  
  June 30, 2018		Three Months Ended 
 March 31, 2019
Common Equity Tier 1 Capital, beginning of period$144,128
$142,822
$139,252
Net income4,490
9,110
4,710
Common and preferred stock dividends declared(1,142)(2,240)
Common and preferred dividends declared(1,337)
Net increase in treasury stock(2,298)(4,104)(3,491)
Net change in common stock and additional paid-in capital127
(282)
Net increase in foreign currency translation adjustment net of hedges, net of tax(2,867)(1,747)
Net increase in unrealized losses on debt securities AFS, net of tax(498)(1,559)
Net decrease in defined benefit plans liability adjustment, net of tax301
389
Net change in adjustment related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax
(18)(113)
Net decrease in ASC 815—excluded Component of Fair Value Hedges(28)(32)
Net decrease in common stock and additional paid-in capital(384)
Net increase in foreign currency translation gains net of hedges, net of tax58
Net decrease in unrealized losses on debt securities AFS, net of tax1,135
Net increase in defined benefit plans liability adjustment, net of tax(64)
Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax76
Net increase in ASC 815—excluded component of fair value hedges18
Net decrease in goodwill, net of related DTLs673
243
10
Net increase in identifiable intangible assets other than MSRs, net of related DTLs(252)(60)
Net change in defined benefit pension plan net assets(11)14
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs12
Net increase in defined benefit pension plan net assets(5)
Net decrease in DTAs arising from net operating loss, foreign tax credit and
general business credit carry-forwards
260
521
229
Other3
(94)136
Net change in Common Equity Tier 1 Capital$(1,260)$46
Net increase in Common Equity Tier 1 Capital$1,103
Common Equity Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$142,868
$142,868
$140,355
Additional Tier 1 Capital, beginning of period$19,362
$19,555
$18,870
Net decrease in qualifying perpetual preferred stock(121)(218)(467)
Net increase in qualifying trust preferred securities1
3
2
Net increase in permitted ownership interests in covered funds(112)(209)
Net increase in permitted ownership interest in covered funds(42)
Other4
3
(6)
Net decrease in Additional Tier 1 Capital$(228)$(421)$(513)
Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$162,002
$162,002
$158,712
Tier 2 Capital, beginning of period (Standardized Approach)$37,402
$37,612
$37,318
Net decrease in qualifying subordinated debt(196)(439)
Net decrease in eligible allowance for credit losses(235)(209)
Net increase in qualifying subordinated debt380
Net increase in eligible allowance for credit losses38
Other(9)(2)4
Net decrease in Tier 2 Capital (Standardized Approach)$(440)$(650)
Net increase in Tier 2 Capital (Standardized Approach)$422
Tier 2 Capital, end of period (Standardized Approach)$36,962
$36,962
$37,740
Total Capital, end of period (Standardized Approach)$198,964
$198,964
$196,452
Tier 2 Capital, beginning of period (Advanced Approaches)$25,178
$25,500
$25,022
Net decrease in qualifying subordinated debt(196)(439)
Net increase in qualifying subordinated debt380
Net increase in excess of eligible credit reserves over expected credit losses265
179
300
Other(9)(2)4
Net change in Tier 2 Capital (Advanced Approaches)$60
$(262)
Net increase in Tier 2 Capital (Advanced Approaches)$684
Tier 2 Capital, end of period (Advanced Approaches)$25,238
$25,238
$25,706
Total Capital, end of period (Advanced Approaches)$187,240
$187,240
$184,418






Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach)
In millions of dollarsThree Months Ended 
 June 30, 2018		Six Months Ended  
June 30, 2018
 Total Risk-Weighted Assets, beginning of period$1,195,981
$1,155,099
Changes in Credit Risk-Weighted Assets  
Net change in general credit risk exposures(1)
1,238
(15)
Net change in repo-style transactions(2)
(6,392)1,861
Net change in securitization exposures(981)846
Net increase in equity exposures662
1,540
Net increase in over-the-counter (OTC) derivatives(3)
291
10,723
Net change in other exposures(4)
(5,634)2,319
Net change in off-balance sheet exposures(5)
(1,903)6,237
Net change in Credit Risk-Weighted Assets$(12,719)$23,511
Changes in Market Risk-Weighted Assets  
Net change in risk levels(6)
$(1,302)$5,930
Net decrease due to model and methodology updates(7)
(5,097)(7,677)
Net decrease in Market Risk-Weighted Assets$(6,399)$(1,747)
Total Risk-Weighted Assets, end of period$1,176,863
$1,176,863
In millions of dollarsThree Months Ended 
 March 31, 2019
 Total Risk-Weighted Assets, beginning of period$1,174,448
Changes in Credit Risk-Weighted Assets 
General credit risk exposures(1)
(7,072)
Repo-style transactions(2)
7,730
Securitization exposures(3)
7,331
Equity exposures1,839
Over-the-counter (OTC) derivatives66
Other exposures(4)
5,909
Off-balance sheet exposures(5)
(6,753)
Net increase in Credit Risk-Weighted Assets$9,050
Changes in Market Risk-Weighted Assets 
Risk levels(6)
$(4,513)
Model and methodology updates(357)
Net decrease in Market Risk-Weighted Assets$(4,870)
Total Risk-Weighted Assets, end of period$1,178,628


(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increaseddecreased during the three months ended June 30, 2018March 31, 2019 primarily due to growth in corporate loans held-for-sale.seasonal holiday spending repayments.
(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
(3)OTC derivativesSecuritization exposures increased during the sixthree months ended June 30, 2018March 31, 2019 primarily due to increased notional amounts for bilateral trades resultingexposures from increased seasonal business activity.new deals.
(4)
Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures decreasedincreased during the three months ended June 30, 2018March 31, 2019 primarily due to decreasesthe recognition of right-of-use (ROU) assets in default fund contributions and notional amounts for centrally cleared exposures, as well as a decrease in DTAs arising from temporary differences. Other exposures increased duringaccordance with the six months ended June 30, 2018 primarily due to additional DTAs arising from temporary differences, which are subject to risk-weighting at 250%.adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019.
(5)Off-balance sheet exposures decreased during the three months ended June 30, 2018March 31, 2019 primarily due to the risk-weighting benefits of purchased credit protection, as well as a declinedecrease in corporate loan commitments. Off-balance sheet exposures increased during the six months ended June 30, 2018 primarily due to an increase in commitments to extend credit that will drive future corporate loan growth.
(6)Risk levels decreased during the three months ended June 30, 2018March 31, 2019 primarily due to a decrease in positions subject to standard specific risk charges. Risk levels increased during the six months ended June 30, 2018 primarily due to increasesdecreases in exposure levels subject to Stressed Value at Risk and Value at Risk.
(7)Risk-weighted assets declined during the three and six months ended June 30, 2018 primarily due to changes in model inputs regarding volatility and the correlation between market risk factors. Further contributing to the six-month decline were methodology changes for standard specific risk charges.






Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
In millions of dollarsThree Months Ended 
 June 30, 2018		Six Months Ended  
  June 30, 2018
 Total Risk-Weighted Assets, beginning of period$1,178,127
$1,152,644
Changes in Credit Risk-Weighted Assets  
Net decrease in retail exposures(1)
(7,106)(16,511)
Net change in wholesale exposures(2)
(1,013)8,275
Net change in repo-style transactions(3)
(2,893)1,296
Net change in securitization exposures(956)1,024
Net increase in equity exposures529
1,558
Net change in over-the-counter (OTC) derivatives(4)
(1,104)1,943
Net change in derivatives CVA(5)
(3,922)3,198
Net change in other exposures(6)
(3,744)1,452
Net decrease in supervisory 6% multiplier(7)
(978)(58)
Net change in Credit Risk-Weighted Assets$(21,187)$2,177
Changes in Market Risk-Weighted Assets  
Net change in risk levels(8)
$(1,393)$5,761
Net decrease due to model and methodology updates(9)
(5,097)(7,677)
Net decrease in Market Risk-Weighted Assets$(6,490)$(1,916)
Net decrease in Operational Risk-Weighted Assets(10)
$(2,585)$(5,040)
Total Risk-Weighted Assets, end of period$1,147,865
$1,147,865
In millions of dollarsThree Months Ended 
 March 31, 2019
 Total Risk-Weighted Assets, beginning of period$1,131,933
Changes in Credit Risk-Weighted Assets 
Retail exposures(1,512)
Wholesale exposures(1)
(12,307)
Repo-style transactions(970)
Securitization exposures(2)
3,861
Equity exposures1,694
Over-the-counter (OTC) derivatives908
Derivatives CVA(14)
Other exposures(3)
2,601
Supervisory 6% multiplier(344)
Net decrease in Credit Risk-Weighted Assets$(6,083)
Changes in Market Risk-Weighted Assets 
Risk levels(4)
$(4,430)
Model and methodology updates(357)
Net decrease in Market Risk-Weighted Assets$(4,787)
Net increase in Operational Risk-Weighted Assets$582
Total Risk-Weighted Assets, end of period$1,121,645


(1)RetailWholesale exposures decreased during the three months ended June 30, 2018March 31, 2019 primarily due to residential mortgage loan sales and repayments, as well asannual model parameter updates to model parameters. Retail exposures decreased during the six months ended June 30, 2018 primarily due to reductions in qualifying revolving (cards) exposures attributable to seasonal holiday spending repayments, as well as residential mortgage loan sales and repayments.reflecting Citi’s loss experience.
(2)WholesaleSecuritization exposures increased during the sixthree months ended June 30, 2018 primarilyMarch 31, 2019 mainly due to increases in commercial loans and loan commitments.increased exposures from new deals.
(3)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
(4)OTC derivatives increased during the six months ended June 30, 2018 primarily due to increases in potential future exposure and fair value.
(5)Derivatives CVA decreased during the three months ended June 30, 2018 primarily due to decreases in exposures. Derivatives CVA increased during the six months ended June 30, 2018 primarily due to increased exposures and changes in credit spreads.
(6)
Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures decreasedincreased during the three months ended June 30, 2018March 31, 2019 primarily due to a decreasethe recognition of right-of-use (ROU) assets in DTAs arising from temporary differences, as well as a decrease in default fund contributions. Other exposures increased duringaccordance with the six months ended June 30, 2018 primarily due to additional DTAs arising from temporary differences, which are subject to risk-weighting at 250%.adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019.
(7)Supervisory 6% multiplier does not apply to derivatives CVA.
(8)(4)Risk levels decreased during the three months ended June 30, 2018March 31, 2019 primarily due to a decrease in positions subject to standard specific risk charges. Risk levels increased during the six months ended June 30, 2018 primarily due to increasesdecreases in exposure levels subject to Stressed Value at Risk and Value at Risk.
(9)Risk-weighted assets declined during the three and six months ended June 30, 2018 primarily due to changes in model inputs regarding volatility and the correlation between market risk factors. Further contributing to the six-month decline were methodology changes for standard specific risk charges.
(10)Operational risk-weighted assets decreased during the three and six months ended June 30, 2018 primarily due to changes in operational loss severity and frequency.


As set forth in the table above, total risk-weighted assets under the Basel III Standardized Approach increased from year-end 20172018 primarily due to higher credit risk-weighted assets, partially offset by a decrease in market risk-weighted assets. The increase in credit risk-weighted assets was primarily due to increased OTC derivative trade activityincreases in securitization exposures and an increase in corporate loan commitments.
Total risk-weighted assets under the Basel III Advanced Approaches decreased from year-end 2017,repo-style transactions, as lower operational and market risk-weighted assets were partially offset by an increase in credit risk-weighted assets. The decline in operational risk-weighed assets was primarily due to changes in operational loss severity and frequency. The decline in market risk-weighted assets was primarily due to changes in model inputs regarding volatility and the correlation between market risk factors, as
well as methodology changes for standard specific risk charges, partially offset by exposure levels subjectthe recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019. At adoption, Citi recognized an ROU asset of approximately $4.4 billion on the Consolidated Balance Sheet related to Stressed Value at Risk and Value at Risk.its future lease commitments as lessee under operating leases. For additional information, see Note 1 to the Consolidated Financial Statements. The increase in credit risk-weighted assets was primarily due to increases in commercial loans and loan commitments, changes in OTC derivative trade activity and portfolio credit quality, and additional temporary difference DTAs subject to risk weighting, partially offset by a decline in retail exposures due to reductions in qualifying revolving (cards) exposures attributable to seasonal holiday spending repayments as well as residential mortgagea decrease in loan salescommitments.
As set forth in the table above, total risk-weighted assets under the Basel III Advanced Approaches decreased from year-end 2018, driven by lower credit and repayments.market risk-weighted assets, slightly offset by an increase in operational risk-weighted assets. The decrease in credit risk-weighted assets was primarily due to annual wholesale parameter updates, partially offset by the recognition of ROU assets in accordance with the adoption of ASU 2016-02.
Market risk-weighted assets decreased under both the Basel III Standardized Approach and Basel III Advanced Approaches primarily due to decreases in exposure levels subject to Stressed Value at Risk and Value at Risk.



Supplementary Leverage Ratio
As set forth in the table below, Citigroup’s Supplementary Leverage ratio was 6.6% for the second quarter of 2018, compared to 6.7%6.4% for the first quarter of 2018 and 6.7% for2019, unchanged from the fourth quarter of 2017. The decline in the ratio quarter-over-quarter was principally driven by the return2018, as net income of capital to common shareholders, detrimental$4.7 billion, beneficial net movements in AOCI and an increasea slight decrease in Total Leverage Exposure primarily due to growth in average on-balance sheet assets, partiallywere offset by quarterly net income of $4.5 billion. The ratio decreased from the fourth quarter of 2017, principally
driven by the return of $5.1 billion of capital to common shareholders, detrimental net movements in AOCI, and an increase in Total Leverage Exposure primarily due to growth in off-balance sheet commitments, partially offset by year-to-date net income.shareholders.
The following table sets forth Citi’s Supplementary Leverage ratio and related components for the three months ended June 30, 2018 and December 31, 2017.components:




Citigroup Basel III Supplementary Leverage Ratio and Related Components

In millions of dollars, except ratiosJune 30, 2018December 31, 2017March 31, 2019December 31, 2018
Tier 1 Capital$162,002
$162,377
$158,712
$158,122
Total Leverage Exposure (TLE) 
Total Leverage Exposure 
On-balance sheet assets(1)
$1,917,102
$1,909,699
$1,939,414
$1,936,791
Certain off-balance sheet exposures:(2)
  
Potential future exposure on derivative contracts189,465
191,555
184,115
187,130
Effective notional of sold credit derivatives, net(3)
54,456
59,207
44,506
49,402
Counterparty credit risk for repo-style transactions(4)
25,732
27,005
20,696
23,715
Unconditionally cancellable commitments67,896
67,644
70,252
69,630
Other off-balance sheet exposures239,708
218,754
244,599
238,805
Total of certain off-balance sheet exposures$577,257
$564,165
$564,168
$568,682
Less: Tier 1 Capital deductions40,862
41,373
(39,624)(39,832)
Total Leverage Exposure$2,453,497
$2,432,491
$2,463,958
$2,465,641
Supplementary Leverage ratio6.60%6.68%6.44%6.41%


(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 TLETotal Leverage Exposure the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.
(4)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.







Capital Resources of Citigroup’s Subsidiary U.S. Depository Institutions
Citigroup’s subsidiary U.S. depository institutions, including Citibank, are also subject to regulatory capital standards issued by their respective primary federal bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.
During 2018, Citi’s primary subsidiary U.S. depository institution, Citibank, N.A. (Citibank), is subject to effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios, inclusive of the 75% phase-in of the 2.5% Capital Conservation Buffer, of 6.375%, 7.875% and 9.875%, respectively. Citibank’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2017, inclusive of the 50% phase-in of
the 2.5% Capital Conservation Buffer, were 5.75%, 7.25% and 9.25%, respectively. Citibank is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6% and 8%, respectively.
The following tables set forth theCitibank’s capital tiers, total risk-weighted assetscomponents and underlying risk components, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios for Citibank, Citi’s primary subsidiary U.S. depository institution, as of June 30, 2018 and December 31, 2017.ratios:


Citibank Capital Components and Ratios
June 30, 2018December 31, 2017March 31, 2019December 31, 2018
In millions of dollars, except ratiosAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach
Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach
Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$128,820
$128,820
$122,848
$122,848
 $130,051
$130,051
 $129,091
$129,091
Tier 1 Capital130,928
130,928
124,952
124,952
 132,169
132,169
 131,215
131,215
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
144,418
154,654
138,008
148,946
Total Capital
(Tier 1 Capital + Tier 2 Capital)(2)
 145,516
156,132
 144,358
155,154
Total Risk-Weighted Assets948,803
1,033,050
965,435
1,024,502
 926,758
1,041,251
 926,229
1,032,809
Credit Risk$667,530
$994,787
$674,659
$980,324
 $651,979
$1,001,334
 $654,962
$994,294
Market Risk37,869
38,263
43,300
44,178
 39,463
39,917
 38,144
38,515
Operational Risk243,404
—
247,476
—
 235,316
—
 233,123
—
Common Equity Tier 1 Capital ratio(2)(3)(4)
13.58%12.47%12.72%11.99%
Tier 1 Capital ratio(2)(3)(4)
13.80
12.67
12.94
12.20
Total Capital ratio(2)(3)(4)
15.22
14.97
14.29
14.54
Common Equity Tier 1 Capital ratio(3)(4)
7.0%14.03%12.49%6.375%13.94%12.50%
Tier 1 Capital ratio(3)(4)
8.5
14.26
12.69
7.875
14.17
12.70
Total Capital ratio(3)(4)
10.5
15.70
14.99
9.875
15.59
15.02
In millions of dollars, except ratiosJune 30, 2018December 31, 2017Effective Minimum RequirementMarch 31, 2019December 31, 2018
Quarterly Adjusted Average Total Assets(5)
 $1,375,919
 $1,401,187
  $1,397,703
 $1,398,875
Total Leverage Exposure(6)
 1,893,607
 1,900,641
  1,909,587
 1,914,663
Tier 1 Leverage ratio(2)(4)
 9.52% 8.92%
Supplementary Leverage ratio(2)(4)
 6.91
 6.57
Tier 1 Leverage ratio(4)
4.0% 9.46% 9.38%
Supplementary Leverage ratio(4)
6.0
 6.92
 6.85


(1)Citibank’s effective minimum risk-based capital requirements during 2019 and 2018 are inclusive of the 100% and 75% phase-in, respectively, of the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).
(2)Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets.
(2)Citibank’s risk-based capital and leverage ratios and related components as of December 31, 2017 are non-GAAP financial measures, which reflect full implementation of regulatory capital adjustments and deductions prior to the effective date of January 1, 2018.
(3)As of June 30,March 31, 2019 and December 31, 2018, Citibank’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Standardized Approach. As of December 31, 2017, Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework.
(4)Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. Effective January 1, 2018, Citibank must also maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.” For additional information, see “Capital Resources—Current Regulatory Capital Standards—Prompt Corrective Action Framework” in Citigroup’s 20172018 Annual Report on Form 10-K.
(5)Tier 1 Leverage ratio denominator.
(6)Supplementary Leverage ratio denominator.


As indicated in the table above, Citibank’s capital ratios at June 30, 2018March 31, 2019 were in excess of the stated and effective minimum requirements under the U.S. Basel III


rules. In addition, Citibank was also “well capitalized” as of June 30, 2018March 31, 2019 under the revised PCA regulations.





Impact of Changes on Citigroup and Citibank Capital Ratios
The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to changes of $100 million in Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in
Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of June 30, 2018.March 31, 2019. This information is provided for the purpose
of analyzing the impact that a change in Citigroup’s or Citibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, quarterly adjusted average total assets or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.



Impact of Changes on Citigroup and Citibank Risk-Based Capital Ratios
Common Equity
Tier 1 Capital ratio
Tier 1 Capital ratioTotal Capital ratio
Common Equity
Tier 1 Capital ratio
Tier 1 Capital ratioTotal Capital ratio
In basis points
Impact of
$100 million
change in
Common Equity
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Total Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Common Equity
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Total Capital
Impact of
$1 billion
change in risk-
weighted assets
Citigroup            
Advanced Approaches0.91.10.91.20.91.40.91.10.91.30.91.5
Standardized Approach0.81.00.81.20.81.40.81.00.81.10.81.4
Citibank            
Advanced Approaches1.11.41.11.51.11.61.11.51.11.51.11.7
Standardized Approach1.01.21.01.21.01.51.01.21.01.21.01.4

Impact of Changes on Citigroup and Citibank Leverage Ratios
Tier 1 Leverage ratioSupplementary Leverage ratioTier 1 Leverage ratioSupplementary Leverage ratio
In basis points
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Citigroup0.50.50.40.30.50.40.40.3
Citibank0.70.70.50.40.70.70.50.4



Citigroup Broker-Dealer Subsidiaries
At June 30, 2018,March 31, 2019, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of $10.2$9.6 billion, which exceeded the minimum requirement by $7.8$6.9 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 $20.8$20.9 billion at June 30, 2018,March 31, 2019, 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, 2018.
March 31, 2019.



Regulatory Capital Standards Developments


Countercyclical Capital Buffer
In March 2019, the Federal Reserve Board voted to affirm the Countercyclical Capital Buffer at the current level of 0%.

Total Loss-Absorbing Capacity (TLAC) Holdings
In April 2019, the U.S. banking agencies released a proposal that would create a new regulatory capital deduction applicable to Advanced Approaches banking organizations for certain investments in covered debt instruments issued by GSIBs. The proposed rule is intended to reduce systemic risk by creating an incentive for Advanced Approaches banking organizations to limit their exposure to GSIBs.
Under the U.S. Basel III rules, investments in the capital of unconsolidated financial institutions are subject to deduction to the extent that they exceed certain thresholds. Under the proposed rule, an investment in a “covered debt instrument” would be treated as an investment in a Tier 2 capital instrument and, therefore, would be subject to deduction from the Advanced Approaches banking organization’s own Tier 2 Capital in accordance with the existing rules for investments in unconsolidated financial institutions. Covered debt instruments would include unsecured debt instruments that are “eligible debt securities” for purposes of the TLAC rule, or that are pari passu or subordinated to such securities, in addition to certain unsecured debt instruments issued by foreign GSIBs.
To support a deep and liquid market for covered debt instruments, the proposed rule provides an exception from the approach described above for covered debt instruments held for 30 days or less for market-making purposes, if the aggregate amount of such debt instruments does not exceed 5% of the banking organization’s Common Equity Tier 1 Capital.
The proposed rule does not specify a proposed effective date for the new regulatory capital deduction. If adopted as proposed, Citi does not expect the proposed rule to have a material impact on its regulatory capital.

Revisions to the Securitization FrameworkSupplementary Leverage Ratio for Custody Banks
In May 2018,April 2019, the Basel Committee on Banking Supervision (Basel Committee) issued two standards: oneU.S. banking agencies released a proposal to implement certain provisions of the Economic Growth, Regulatory Relief, and Consumer Protection Act, which establishes criteria for identifying “simple, transparent, and comparable” (STC) short-term securitizations, and anotherwas signed into law in 2018. The proposal would apply to “custodial banking organizations,” which provides for an alternative, and potentially preferential, regulatory capital treatment for short-term securitizations identified as STC. The Basel Committee had previously issued criteria solely for identifying STC securitizations in July 2015, and also previously issued an alternative regulatory capital treatment for STC securitizations in July 2016. The May 2018 standards, however, introduce identification criteria and regulatory capital treatments that are uniquely tailored to short-term securitizations, with a focus on exposures related to asset-backed commercial paper conduits.
does not include Citi. The U.S. banking agencies may establish specific regulatory capital treatment for STC short-term securitizations in the future, based upon the revisions adopted by the Basel Committee.

Revised Assessment Framework for Global Systemically Important Banks
In July 2018, the Basel Committeepreviously issued a standard which revisesproposal in April 2018 that would have modified the framework for assessing the global systemic importance of banks, beginning with the 2021 assessment. The current framework employed by the Basel Committee asenhanced Supplementary Leverage ratio standards applicable to the identification ofall U.S. GSIBs and the assessment of a surcharge is based primarily on quantitative measurement indicators underlying five equally weighted broad categories of systemic importance: (i) size, (ii) interconnectedness, (iii) crossjurisdictional activity, (iv) substitutability/financial institution infrastructure, and (v) complexity. With the exception of size, each of the other categories is composed of multiple indicators, amounting to 12 indicators in total.
The standard, which reflects the results of the Basel Committee’s planned initial review, sets forth several modifications to its GSIB framework, including the introduction within the substitutability/financial institution infrastructure category of a trading volume indicator, accompanied by an equivalent reduction in the current weighting of the existing underwriting indicator. However, because the Basel Committee did not proceed with its proposed removal of the existing cap on the substitutability/financial institution infrastructure category, the revisions to these two indicators would not impact Citi. Moreover, the Basel Committee’s requirement to expand the scope of consolidation to include exposures of insurance subsidiaries within the size, interconnectedness, and complexity categories would raise the global aggregate of these respective measures of systemic importance to which all GSIBs are subject. As a result, it is estimated that Citi would benefit on a relative basis vis-a-vis certain other GSIBs, given that its insurance subsidiaries are presently consolidated under U.S. generally accepted accounting principles and for regulatory purposes.
In contrast, a U.S. bank holding company that is designated a GSIB under the Federal Reserve Board’s rule is required, on an annual basis, to calculate a surcharge using two methods, and is subject to the higher of the resulting two surcharges. The first method (“method 1”) is based on the same five broad categories of systemic importance resident under the Basel Committee’s framework to identify a GSIB and derive a surcharge. Under the second method (“method 2”), the substitutability category is replaced with a quantitative measure intended to assess the extent of a GSIB’s reliance on short-term wholesale funding.
Accordingly, if thetheir Federal Reserve Board were to adoptor OCC-regulated insured depository institution subsidiaries. It is currently unclear how this latest proposal may impact or interact with the Basel Committee’s revisions with respect to the U.S. GSIB framework, Citi’s estimated method 1 GSIB surcharge and method 2 GSIB surcharge would remain unchanged. Although method 2 remains Citi’s binding constraint for the GSIB surcharge, Citi’s method 1 GSIB surcharge will be used to determine certain of Citi’s Total Loss-Absorbing Capacity requirements in the future.proposed rulemaking from April 2018.






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



In millions of dollars or shares, except per share amountsJune 30,
2018		December 31,
2017		March 31,
2019		December 31,
2018
Total Citigroup stockholders’ equity$200,094
$200,740
$196,252
$196,220
Less: Preferred stock19,035
19,253
17,980
18,460
Common stockholders’ equity$181,059
$181,487
$178,272
$177,760
Less:  
Goodwill22,058
22,256
22,037
22,046
Identifiable intangible assets (other than MSRs)4,729
4,588
4,645
4,636
Goodwill and identifiable intangible assets (other than MSRs) related to
assets held-for-sale (HFS)
32
32
Tangible common equity (TCE)$154,240
$154,611
$151,590
$151,078
Common shares outstanding (CSO)2,516.6
2,569.9
2,312.5
2,368.5
Book value per share (common equity/CSO)$71.95
$70.62
$77.09
$75.05
Tangible book value per share (TCE/CSO)61.29
60.16
65.55
63.79




In millions of dollarsThree Months Ended June 30, 2018Three Months Ended June 30, 2017Six Months Ended June 30, 2018Six Months Ended June 30, 2017Three Months Ended March 31, 2019Three Months Ended March 31, 2018
Net income available to common shareholders$4,172
$3,552
$8,520
$7,341
$4,448
$4,348
Average common stockholders’ equity(1)
$181,229
$209,693
$176,670
$208,298
$177,485
$181,628
Average TCE$154,921
$182,404
$154,818
$181,276
$151,334
$155,107
Return on average common stockholders’ equity9.2%6.8%9.7%7.1%10.2%9.7%
Return on average TCE (ROTCE)(2)(1)
10.8
7.8
11.1
8.2
11.9
11.4


(1)Average common stockholders’ equity for the 2018 periods include the $22.6 billion impact from Tax Reform recorded at the end of the fourth quarter of 2017.
(2)ROTCE represents annualized net income available to common shareholders as a percentage of average TCE.






Managing Global Risk Table of Contents


MANAGING GLOBAL RISK 
4135


CREDIT RISK(1)
 
4135


Consumer Credit 
4135


Corporate Credit 
4841


Additional Consumer and Corporate Credit Details 
5043


 Loans Outstanding 
5043


 Details of Credit Loss Experience 
5144


     Allowance for Loan Losses 5245

     Non-Accrual Loans and Assets and Renegotiated Loans 
5346


LIQUIDITY RISK 
5749


High-Quality Liquid Assets (HQLA) 
5749


Liquidity Coverage Ratio (LCR)
49

Loans 5850

Deposits 5850

Long-Term Debt 5951

Secured Funding Transactions and Short-Term Borrowings 6153
Liquidity Coverage Ratio (LCR)61

Credit Ratings 6254

MARKET RISK(1)
 
6456


Market Risk of Non-Trading Portfolios 
6456


Market Risk of Trading Portfolios 
7363


COUNTRYSTRATEGIC RISK 
7565


Country Risk
65

Potential Exit of U.K. from EU
66



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






MANAGING GLOBAL RISK


For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to identify, monitor, evaluate and manage the principal risks it assumes in conducting its activities. Specifically, the activities that Citi engages in, and the risks those activities generate, must be consistent with Citi’s mission and value proposition, the key principles that guide it and Citi's risk appetite.
For more information on Citi’s management of global risk, including its three lines of defense, see “Managing Global Risk” in Citi’s 20172018 Annual Report on Form 10-K.
 
 




CREDIT RISK


For additional 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 20172018 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 pre-eminent bank for the affluent and emerging affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies. GCB’s commercial banking business focuses on small to mid-sized businesses.

Consumer Credit Portfolio
The following table shows Citi’s quarterly end-of-period consumer loans:(1) 
In billions of dollars2Q’173Q’174Q’171Q’182Q’181Q’182Q’183Q’184Q’181Q’19
Retail banking:    
Mortgages$81.4
$81.4
$81.7
$82.1
$80.5
$82.1
$80.5
$80.9
$80.6
$80.8
Commercial banking34.8
35.5
36.3
36.8
36.5
36.8
36.5
37.2
36.3
37.1
Personal and other27.2
27.3
27.9
28.5
28.1
28.5
28.1
28.7
28.8
29.1
Total retail banking$143.4
$144.2
$145.9
$147.4
$145.1
$147.4
$145.1
$146.8
$145.7
$147.0
Cards:  
Citi-branded cards$109.9
$110.7
$115.7
$110.6
$112.3
$110.6
$112.3
$112.8
$116.8
$111.4
Citi retail services45.2
45.9
49.2
46.0
48.6
46.0
48.6
49.4
52.7
48.9
Total cards$155.1
$156.6
$164.9
$156.6
$160.9
$156.6
$160.9
$162.2
$169.5
$160.3
Total GCB
$298.5
$300.8
$310.8
$304.0
$306.0
$304.0
$306.0
$309.0
$315.2
$307.3
GCB regional distribution:
  
North America62%62%63%61%63%61%63%62%64%63%
Latin America9
9
8
9
8
9
8
9
8
8
Asia(2)
29
29
29
30
29
30
29
29
28
29
Total GCB
100%100%100%100%100%100%100%100%100%100%
Corporate/Other(3)
$26.8
$24.8
$22.9
$21.1
$17.6
$21.1
$17.6
$16.5
$15.3
$12.6
Total consumer loans$325.3
$325.6
$333.7
$325.1
$323.6
$325.1
$323.6
$325.5
$330.5
$319.9


(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.




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



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


Global Consumer Banking
legenda21.jpga2q18gcb.jpg
cctglobala02.jpg
North America GCB
legenda22.jpga2q18nagcb.jpg

cctnagcba03.jpg
As of March 31, 2019, approximately 70% of North America GCBprovides mortgages, home equity loans, personal loans and commercial banking products through Citi’s retail banking network and card products through Citi-branded cards and Citi retail services businesses. The retail bank is concentrated in six major metropolitan cities in the United States (for additional information on the U.S. retail bank, see “North America GCB” above).
As of June 30, 2018, approximately 71% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which generally drives the overall credit performance of North America GCB (for additional information on North America GCB’s cards portfolios, including delinquency and net credit loss rates, see “Credit Card Trends” below).
As shown in the chart above, quarter-over-quarter net credit loss andthe 90+ days past due delinquency rates decreased,rate was broadly stable quarter-over-quarter in North America GCB. The net credit loss rate increased quarter-over-quarter, primarily due to seasonality in both cards portfolios. Year-over-year,portfolios as well as an episodic charge-off in the commercial portfolio.
The delinquency rate increased year-over-year, primarily due to seasoning in North America cards and higher net flow rates in the later delinquency buckets in Citi retail services. The net credit loss and delinquency ratesrate increased driven byyear-over-year due to seasoning in bothNorth America cards, portfolios, as well as an increase in net flow rates in later delinquency buckets in Citi retail services.services and the previously referenced episodic charge-off in the commercial portfolio.



 
Latin America GCB
legenda19.jpga2q18latamgcb.jpg
Latin America GCB operates in Mexico through Citibanamex, one of Mexico’s largest banks, and provides credit cards, consumer mortgages, personal loans and commercial banking products. Latin America GCB serves a more mass market segment in Mexico and focuses on developing multi-product relationships with customers.cctlatamgcba01.jpg

As set forthshown in the chart above, the 90+ days past due delinquency rate increaseddecreased quarter-over-quarter primarily driven by seasonality in the cards portfolio.Latin America GCB due to seasonality. The increase in the quarter-over-quarter net credit loss rate increased quarter-over-quarter also due to seasonality as well as the impact of lower overall volume growth. The delinquency rate was broadly stable year-over-year, while the net credit loss rate increased year-over-year, primarily driven by seasoning in the commercial portfolio. On a year-over-year basis, both loss and delinquency rates were broadly stable.cards portfolio as well as the impact of the lower overall volume growth.


Asia(1) GCB
legenda23.jpga2q18asiagcba01.jpg

cctasiagcba01.jpg
(1)
Asia includes GCB activities in certain EMEA countries for all periods presented.


Asia GCB operates in 17 countries in Asia and EMEA and provides credit cards, consumer mortgages, personal loans and commercial banking products.
As shown in the chart above, the 90+ days past due delinquency and net credit loss rates were largelybroadly stable in Asia GCB quarter-over-quarter and year-over-year as of the second quarter of 2018.year-over-year. This stability reflects the strong credit profiles in Asia GCB’s target customer segments. In addition, regulatory changes in many markets in Asia over the past few years have resulted in stable portfolio credit quality.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see each respective business’s results of operations above and Note 13 to the Consolidated Financial Statements.







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

Global Cards
legenda19.jpga2q18cards.jpg

ccglobalcardsa01.jpg
North America Citi-Branded Cards
legenda16.jpga2q18nacitibrandcards.jpg

ccnabcardsa02.jpg
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 was stable quarter-over-quarter while the 90+ days past due delinquency rate decreasedand net credit loss rates increased quarter-over-quarter, primarily due to seasonality. Year-over-yearseasonality, while the increases in loss and delinquency ratesyear-over-year were driven by portfolio seasoning.primarily due to seasoning of the portfolio.





North America Citi Retail Services
legenda18.jpg
a2q18nacitiretailcardsa01.jpg

Citi retail services partners directly with more than 20 retailers and dealers to offer private-label and co-branded consumer and commercial cards. Citi retail services’ target market is focused on select industry segments such as home improvement, specialty retail, consumer electronics and fuel. Citi retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.ccnarscardsa01.jpg
As shown in the chart above, Citi retail services’ 90+ days past due delinquency and net credit loss rates decreasedincreased quarter-over-quarter, mainlyprimarily due to seasonality.seasonality as well as an increase in net flow rates in later delinquency buckets. The delinquency and net credit loss rates increased year-over-year, primarily due to seasoning and an increase in net flow rates in later delinquency buckets and seasoning.buckets.

Latin America Citi-Branded Cards
legenda20.jpg
a2q18latamcardsa01.jpgcclatambcardsa02.jpg

As shown in the chart above, the 90+ days past due delinquency rate decreased, while the net credit loss rate increased quarter-over-quarter, both primarily due to seasonality. The delinquency and net credit loss rates both increased year-over-year, primarily due to seasoning.
Latin America GCB issues proprietary and co-branded cards.
Asia Citi-Branded Cards(1)
legenda17.jpg
ccasiabcardsa04.jpg
(1)
Asia includes loans and leases in certain EMEA countries for all periods presented.

As set forth in the chart above, quarter-over-quarter, the net credit loss rate decreased, while the 90+ days past due delinquency rate increased, both primarily due to seasonality. The net credit loss and delinquency rates increased year-over-year primarily due to portfolio seasoning.





Asia Citi-Branded Cards(1)
legenda17.jpg
a2q18asiacards.jpg

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

Asia GCB issues proprietary and co-branded cards. As set forth in the chart above, 90+ days past due delinquency rates have remained broadly stable quarter-over-quarter and year-over-year, driven by the mature and well-diversified cards portfolios. The increase in bothnet credit loss rate increased quarter-over-quarter, primarily due to seasonality, while the quarter-over-quarter andrate increased year-over-year, loss rates was primarily driven byreflecting the conversionnormalization of an acquired portfolio in Australia.overall credit across the region.
For additional information on cost of credit, delinquency and other information for Citi’s cards portfolios, see each respective business’s results of operations above and Note 13 to the Consolidated Financial Statements.





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


Citi-Branded
    
FICO distributionJune 30, 2018March 31, 2018
June 30,
2017
March 31, 2019December 31, 2018March 31, 2018
> 76043%41%43%41%43%41%
680 - 76040
42
42
680–76041
40
42
< 68017
17
15
18
17
17
Total100%100%100%100%100%100%


Citi Retail Services
    
FICO distributionJune 30, 2018March 31, 2018
June 30,
2017
March 31, 2019December 31, 2018March 31, 2018
> 76024%22%23%23%25%22%
680 - 76043
43
43
680–76043
42
43
< 68033
35
34
34
33
35
Total100%100%100%100%100%100%


The percentageFICO distribution of loans outstanding with borrowers with
FICO scores greater than 760 increased sequentially due to
seasonality in both cards portfolios remained broadly stable, compared to the prior year and the impact of the L.L.Bean portfolio acquisition in Citi retail services. The portfolios continued to demonstrateprior quarter, demonstrating strong underlying credit quality. For additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.

















North America Consumer Mortgage Lending
Citi’s 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 dollars2Q’173Q’174Q’171Q’182Q’18
GCB:
     
Residential firsts$40.2
$40.1
$40.1
$40.1
$40.3
Home equity4.1
4.1
4.2
4.1
4.1
Total GCB
$44.3
$44.2
$44.3
$44.2
$44.4
Corporate/Other:
     
Residential firsts$11.0
$10.1
$9.3
$8.1
$7.6
Home equity12.4
11.5
10.6
9.9
8.8
Total Corporate/
  Other
$23.4
$21.6
$19.9
$18.0
$16.4
Total Citigroup—
  North America
$67.7
$65.8
$64.2
$62.2
$60.8

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 $12.9 billion of home equity loans as of June 30, 2018, of which $2.8 billion were fixed-rate home equity loans and $10.1 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 June 30, 2018, $6.4 billion had reset (compared to $6.6 billion at March 31, 2018) and $3.7 billion were still within their revolving period and had not reset (compared to $4.1 billion at March 31, 2018). The following chart indicates the FICO and combined loan-to-value (CLTV) characteristics of Citi’s Revolving HELOCs portfolio and the year in which they reset:


North America Home Equity Lines of Credit Amortization – Citigroup
Total ENR by Reset Year
In billions of dollars as of June 30, 2018
a2q18consumercreditgraph.jpg
Note: Totals may not sum due to rounding.

Approximately 63% of Citi’s total Revolving HELOCs portfolio had reset as of June 30, 2018 (compared to 62% as of March 31, 2018). Of the remaining Revolving HELOCs portfolio, approximately 10% will commence amortization during the remainder of 2018. Citi’s customers with Revolving HELOCs that reset could experience “payment shock” due to the higher required payments on the loans. Citi currently estimates that the monthly loan payment for its Revolving HELOCs that reset during the remainder of 2018 could increase on average by approximately $266, or 99%. 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 5.3% of the Revolving HELOCs that have reset as of June 30, 2018 were 30+ days past due, compared to 3.6% of the total outstanding home equity loan portfolio (amortizing and non-amortizing). This compared to 5.4% and 3.6%, respectively, as of March 31, 2018. As newly amortizing loans continue to season, the delinquency rate of Citi’s total home equity loan portfolio could increase. In addition, resets to date have generally occurred during a period of historically low interest rates, which Citi believes has likely reduced the overall “payment shock” to the borrower.
Citi monitors this reset risk closely and will continue to consider any potential impact in determining its allowance for loan loss reserves. In addition, management continues to review and take additional actions to offset potential reset risk, such as a borrower outreach program to provide reset risk education and proactively working with high-risk borrowers through a specialized single point of contact unit.










Additional Consumer Credit Details


Consumer Loan Delinquency Amounts and Ratios
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
In millions of dollars,
except EOP loan amounts in billions		June 30,
2018		June 30,
2018		March 31,
2018		June 30,
2017		June 30,
2018		March 31,
2018		June 30,
2017		March 31,
2019		March 31,
2019		December 31,
2018		March 31,
2018		March 31,
2019		December 31,
2018		March 31,
2018
Global Consumer Banking(3)(4)
        
Total$306.0
$2,345
$2,379
$2,183
$2,558
$2,710
$2,498
$307.3
$2,585
$2,619
$2,379
$2,776
$2,902
$2,710
Ratio 0.77%0.78%0.73%0.84%0.89%0.84% 0.84%0.83%0.78%0.91%0.92%0.89%
Retail banking          
Total$145.1
$500
$493
$477
$754
$830
$747
$147.0
$474
$485
$493
$769
$790
$830
Ratio 0.35%0.34%0.33%0.52%0.57%0.52% 0.32%0.33%0.34%0.53%0.54%0.57%
North America55.7
179
184
155
252
227
191
57.3
179
180
184
269
282
227
Ratio 0.33%0.34%0.28%0.46%0.41%0.35% 0.32%0.32%0.34%0.47%0.50%0.41%
Latin America20.1
132
128
150
183
248
216
19.7
114
127
128
201
201
248
Ratio 0.66%0.60%0.71%0.91%1.17%1.03% 0.58%0.64%0.60%1.02%1.02%1.17%
Asia(5)
69.3
189
181
172
319
355
340
70.0
181
178
181
299
307
355
Ratio 0.27%0.26%0.26%0.46%0.50%0.51% 0.26%0.26%0.26%0.43%0.44%0.50%
Cards          
Total$160.9
$1,845
$1,886
$1,706
$1,804
$1,880
$1,751
$160.3
$2,111
$2,134
$1,886
$2,007
$2,112
$1,880
Ratio 1.15%1.20%1.10%1.12%1.20%1.13% 1.32%1.26%1.20%1.25%1.25%1.20%
North America—Citi-branded
88.1
712
731
659
627
669
619
87.0
828
812
731
731
755
669
Ratio 0.81%0.85%0.77%0.71%0.78%0.72% 0.95%0.88%0.85%0.84%0.82%0.78%
North America—Citi retail services
48.6
781
797
693
761
791
730
48.9
918
952
797
859
932
791
Ratio 1.61%1.73%1.53%1.57%1.72%1.62% 1.88%1.81%1.73%1.76%1.77%1.72%
Latin America5.4
160
160
161
156
160
151
5.6
165
171
160
161
170
160
Ratio 2.96%2.81%2.93%2.89%2.81%2.75% 2.95%3.00%2.81%2.88%2.98%2.81%
Asia(5)
18.8
192
198
193
260
260
251
18.8
200
199
198
256
255
260
Ratio 1.02%1.03%1.03%1.38%1.35%1.34% 1.06%1.03%1.03%1.36%1.32%1.35%
Corporate/Other—Consumer(6)
          
Total$17.6
$415
$478
$601
$355
$393
$554
$12.6
$354
$382
$478
$348
$362
$393
Ratio 2.49%2.38%2.37%2.13%1.96%2.18% 2.97%2.62%2.38%2.92%2.48%1.96%
International—
—
32
63
—
44
44
—
—
—
32
—
—
44
Ratio —
1.88%3.50%—
2.59%2.44% —%—%1.88%—%—%2.59%
North America17.6
415
446
538
355
349
510
12.6
354
382
446
348
362
349
Ratio 2.49%2.42%2.28%2.13%1.90%2.16% 2.97%2.62%2.42%2.92%2.48%1.90%
Total Citigroup$323.6
$2,760
$2,857
$2,784
$2,913
$3,103
$3,052
$319.9
$2,939
$3,001
$2,857
$3,124
$3,264
$3,103
Ratio 0.86%0.88%0.86%0.90%0.96%0.94% 0.92%0.91%0.88%0.98%0.99%0.96%
(1)End-of-period (EOP) loans include interest and fees on credit cards.
(2)The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(3)
The 90+ days past due balances for North America—Citi-brandedand North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(4)
The 90+ days past due and 30–89 days past due and related ratios for GCB North America GCB 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 $244$163 million ($0.70.6 billion), $201 million ($0.6 billion) and $272 million ($0.7 billion) and $295 million ($0.8 billion) at June 30, 2018,as of March 31, 2019, December 31, 2018 and June 30, 2017,March 31, 2018, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans have the same adjustment as above)loans) were $87$71 million ($0.6 billion), $78 million ($0.6 billion) and $92 million ($0.7 billion) as of March 31, 2019, December 31, 2018 and $84 million at June 30, 2018, March 31, 2018, and June 30, 2017, respectively.
(5)
Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(6)
The loans 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 entitiesagencies since the potential loss predominantly resides withinwith the U.S. government-sponsored entities.agencies. The amounts excluded for loans 90+ days past due (and EOPand (EOP loans) for each period were $0.4$0.3 billion ($0.90.7 billion), $0.3 billion ($0.7 billion) and $0.5 billion ($0.9 billion) and $0.7 billion ($1.3 billion) at June 30, 2018,as of March 31, 2019, December 31, 2018 and June 30, 2017,March 31, 2018, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans have the same adjustment as above)loans) for each period were $0.1 billion ($0.7 billion), $0.1 billion ($0.7 billion) and $0.2$0.1 billion at June 30,($0.9 billion) as of March 31, 2019, December 31, 2018 and March 31, 2018, and June 30, 2017, respectively.






Consumer Loan Net Credit Losses and Ratios
Average
loans(1)
Net credit losses(2)(3)
Average
loans(1)
Net credit losses(2)
In millions of dollars, except average loan amounts in billions2Q181Q182Q171Q194Q181Q18
Global Consumer Banking     
Total$303.1
$1,726
$1,736
$1,615
$309.2
$1,891
$1,744
$1,736
Ratio 2.28 %2.30%2.20% 2.48%2.24%2.30%
Retail banking    
Total$145.6
$228
$232
$244
$146.5
$256
$246
$232
Ratio 0.63 %0.64%0.69% 0.71%0.67%0.64%
North America55.6
32
43
39
57.1
60
31
43
Ratio 0.23 %0.31%0.28% 0.43%0.22%0.31%
Latin America20.1
138
132
151
19.9
138
144
132
Ratio 2.75 %2.59%3.00% 2.81%2.91%2.59%
Asia(4)(3)
69.9
58
57
54
69.5
58
71
57
Ratio 0.33 %0.33%0.33% 0.34%0.41%0.33%
Cards    
Total$157.5
$1,498
$1,504
$1,371
$162.7
$1,635
$1,498
$1,504
Ratio 3.81 %3.83%3.63% 4.08%3.64%3.83%
North America—Citi-branded
86.6
657
651
611
87.7
706
650
651
Ratio 3.04 %3.04%2.94% 3.26%2.90%3.04%
North America—Citi retail services
46.6
589
602
531
50.2
663
600
602
Ratio 5.07 %5.18%4.79% 5.36%4.72%5.18%
Latin America5.4
140
146
126
5.7
160
146
146
Ratio 10.40 %10.57%9.54% 11.38%10.53%10.57%
Asia(4)(3)
18.9
112
105
103
19.1
106
102
105
Ratio 2.38 %2.17%2.25% 2.25%2.16%2.17%
Corporate/Other—Consumer(3)
    
Total$19.5
$(20)$35
$18
$13.6
$1
$—
$35
Ratio (0.41)%0.64%0.26% 0.03%—%0.64%
International1.1
19
23
24
—
—
—
23
Ratio 6.93 %5.49%5.07% —%—%5.49%
North America18.4
(39)12
(6)13.6
1
—
12
Ratio (0.85)%0.24%0.09% 0.03%—%0.24%
Other

—
—
—
—
—
(3)—
Total Citigroup$322.6
$1,706
$1,771
$1,633
$322.8
$1,892
$1,741
$1,771
Ratio 2.12 %2.19%2.04% 2.38%2.12%2.19%
(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 an agreement to sell Citi’s Brazil consumer banking business. The sale was completed at the end of the fourth quarter 2017. As a result of HFS accounting treatment, approximately $34 million of net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) during the second quarter of 2017. Accordingly, these NCLs are not included in this table. Loans classified as HFS are excluded from this table as they are recorded in Other assets.
(4)
Asia includes NCLs and average loans in certain EMEA countries for all periods presented.










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

Corporate Credit Portfolio
The following table sets forth Citi’s corporate credit portfolio within ICG (excluding private bank), before consideration of collateral or hedges, by remaining tenor for the periods indicated:
At June 30, 2018March 31, 2018December 31, 2017At March 31, 2019December 31, 2018
In billions of dollars
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Direct outstandings (on-balance sheet)(1)
$133
$103
$19
$255
$135
$101
$21
$257
$127
$96
$22
$245
$135
$109
$20
$264
$128
$110
$20
$258
Unfunded lending commitments (off-balance sheet)(2)
127
235
20
382
121
238
23
382
111
222
20
353
121
240
23
384
106
246
19
370
Total exposure$260
$338
$39
$637
$256
$339
$44
$639
$238
$318
$42
$598
$256
$349
$43
$648
$234
$356
$39
$628


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


Portfolio Mix—Geography, Counterparty and Industry
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region based on Citi’s internal management geography:
June 30,
2018		March 31,
2018		December 31,
2017		March 31,
2019		December 31,
2018
North America54%53%54%54%55%
EMEA27
28
27
28
27
Asia12
12
12
11
11
Latin America7
7
7
7
7
Total100%100%100%100%100%


The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived primarily through the use of validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position,
regulatory environment and commodity prices. Facility risk ratings are assigned that reflect the probability of default of
the obligor and factors that affect the loss-given-default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are
considered investment grade, while those below are considered non-investment grade.
Citigroup also has incorporated environmental factors like climate risk assessment and reporting criteria for certain obligors, as necessary. Factors evaluated include consideration of climate risk to an obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.


The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:

Total exposureTotal exposure
June 30,
2018		March 31,
2018		December 31,
2017		March 31,
2019		December 31,
2018
AAA/AA/A49%48%49%49%49%
BBB34
34
34
35
34
BB/B16
17
16
15
16
CCC or below1
1
1
1
1
Total100%100%100%100%100%


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


Citi’s corporate credit portfolio is also diversified by industry. The following table shows the allocation of Citi’s total corporate credit portfolio by industry:
Total exposureTotal exposure
June 30,
2018		March 31,
2018		December 31,
2017		March 31,
2019		December 31,
2018
Transportation and industrial22%22%22%21%21%
Consumer retail and health16
17
16
15
15
Technology, media and telecom13
13
12
11
13
Power, chemicals, metals and mining10
10
10
11
10
Energy and commodities8
8
8
8
8
Banks/broker-dealers/finance companies8
8
8
8
8
Real estate7
7
8
9
8
Public sector5
5
5
4
5
Insurance and special purpose entities4
5
5
4
4
Hedge funds4
4
4
4
4
Other industries3
1
2
5
4
Total100%100%100%100%100%



For additional information on Citi’s corporate credit portfolio, see Note 12 to the Consolidated Financial Statements.

Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Other revenue in the Consolidated Statement of Income.
At June 30, 2018, March 31, 20182019 and December 31, 2017, $27.4 billion, $17.02018, $30.4 billion, and $16.3$30.8 billion, respectively, of the corporate credit portfolio was economically hedged. Citigroup’s expected loss model used in the calculation of its loan loss reserve does not include the favorable impact of credit derivatives and other mitigants that are marked to market. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. The credit protection was economically hedging underlying corporate credit portfolio exposures with the following risk rating distribution:


Rating of Hedged Exposure
June 30,
2018		March 31,
2018		December 31,
2017		March 31,
2019		December 31,
2018
AAA/AA/A34%26%23%36%35%
BBB46
43
43
48
50
BB/B18
28
31
15
14
CCC or below2
3
3
1
1
Total100%100%100%100%100%


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


Industry of Hedged Exposure
 March 31,
2019		December 31,
2018
Transportation and industrial22%23%
Technology, media and telecom18
17
Consumer retail and health16
16
Power, chemicals, metals and mining15
15
Energy and commodities10
11
Insurance and special purpose entities6
6
Banks/broker-dealers/finance companies4
4
Public Sector4
3
Real Estate4
4
Other industries1
1
Total100%100%
 June 30,
2018		March 31,
2018		December 31,
2017
Transportation and industrial25%28%27%
Consumer retail and health15
9
10
Technology, media and telecom15
14
12
Power, chemicals, metals and mining14
13
14
Energy and commodities11
12
15
Public sector7
11
12
Insurance and special purpose entities5
4
2
Banks/broker-dealers4
6
6
Other industries4
3
2
Total100%100%100%






ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS


Loans Outstanding
2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.
In millions of dollars20182018201720192018
Consumer loans


In U.S. offices

Mortgage and real estate(1)
$61,692
$63,412
$65,467
$67,131
$69,022
$57,461
$60,127
$61,048
$61,692
$63,412
Installment, revolving credit and other3,759
3,306
3,398
3,191
3,190
3,257
3,398
3,515
3,759
3,306
Cards135,968
131,081
139,006
131,476
130,181
135,206
143,788
137,051
135,968
131,081
Commercial and industrial7,459
7,493
7,840
7,619
7,404
8,859
8,256
7,686
7,459
7,493
Total$208,878
$205,292
$215,711
$209,417
$209,797
$204,783
$215,569
$209,300
$208,878
$205,292
In offices outside the U.S.  
Mortgage and real estate(1)
$43,056
$44,833
$44,081
$43,723
$43,821
$43,184
$43,379
$43,714
$43,056
$44,833
Installment, revolving credit and other27,254
27,651
26,556
26,153
26,480
27,525
27,609
27,899
27,254
27,651
Cards24,712
25,993
26,257
25,443
25,376
24,763
25,400
24,971
24,712
25,993
Commercial and industrial18,966
20,526
20,238
20,015
18,956
18,884
17,773
18,821
18,966
20,526
Lease financing55
62
76
77
81
47
49
52
55
62
Total$114,043
$119,065
$117,208
$115,411
$114,714
$114,403
$114,210
$115,457
$114,043
$119,065
Total consumer loans$322,921
$324,357
$332,919
$324,828
$324,511
$319,186
$329,779
$324,757
$322,921
$324,357
Unearned income(2)
711
727
737
748
750
701
708
712
711
727
Consumer loans, net of unearned income$323,632
$325,084
$333,656
$325,576
$325,261
$319,887
$330,487
$325,469
$323,632
$325,084
Corporate loans

In U.S. offices

Commercial and industrial$53,260
$54,005
$51,319
$51,679
$50,341
$56,698
$52,063
$51,365
$53,260
$54,005
Financial institutions42,867
40,472
39,128
37,203
36,953
49,985
48,447
46,255
42,867
40,472
Mortgage and real estate(1)
46,310
45,581
44,683
43,274
42,041
49,746
50,124
47,629
46,310
45,581
Installment, revolving credit and other32,663
32,866
33,181
32,464
31,611
32,768
33,247
32,201
32,663
32,866
Lease financing1,445
1,463
1,470
1,493
1,467
1,405
1,429
1,445
1,445
1,463
Total$176,545
$174,387
$169,781
$166,113
$162,413
$190,602
$185,310
$178,895
$176,545
$174,387
In offices outside the U.S.

Commercial and industrial$98,068
$101,368
$93,750
$93,107
$91,131
$97,844
$94,701
$98,281
$98,068
$101,368
Financial institutions38,312
35,659
35,273
33,050
34,844
39,155
36,837
37,851
38,312
35,659
Mortgage and real estate(1)
7,261
7,543
7,309
6,383
6,783
7,005
7,376
7,344
7,261
7,543
Installment, revolving credit and other22,755
23,338
22,638
23,830
19,200
24,868
25,684
22,827
22,755
23,338
Lease financing139
167
190
216
234
95
103
131
139
167
Governments and official institutions5,270
6,170
5,200
5,628
5,518
3,698
4,520
4,898
5,270
6,170
Total$171,805
$174,245
$164,360
$162,214
$157,710
$172,665
$169,221
$171,332
$171,805
$174,245
Total corporate loans$348,350
$348,632
$334,141
$328,327
$320,123
$363,267
$354,531
$350,227
$348,350
$348,632
Unearned income(3)
(802)(778)(763)(720)(689)(808)(822)(787)(802)(778)
Corporate loans, net of unearned income$347,548
$347,854
$333,378
$327,607
$319,434
$362,459
$353,709
$349,440
$347,548
$347,854
Total loans—net of unearned income$671,180
$672,938
$667,034
$653,183
$644,695
$682,346
$684,196
$674,909
$671,180
$672,938
Allowance for loan losses—on drawn exposures(12,126)(12,354)(12,355)(12,366)(12,025)(12,329)(12,315)(12,336)(12,126)(12,354)
Total loans—net of unearned income
and allowance for credit losses		$659,054
$660,584
$654,679
$640,817
$632,670
$670,017
$671,881
$662,573
$659,054
$660,584
Allowance for loan losses as a percentage of total loans—
net of unearned income(4)
1.81%1.85%1.87%1.91%1.88%1.82%1.81%1.84%1.81%1.85%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(4)
3.03%3.09%2.96%3.04%2.93%3.13%3.01%3.07%3.03%3.09%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(4)
0.68%0.67%0.76%0.77%0.80%0.64%0.67%0.68%0.68%0.67%
(1)Loans secured primarily by real estate.
(2)Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(3)Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a 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.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.
In millions of dollars20182018201720192018
Allowance for loan losses at beginning of period$12,354
$12,355
$12,366
$12,025
$12,030
$12,315
$12,336
$12,126
$12,354
$12,355
Provision for loan losses  
Consumer$1,764
$1,881
$1,785
$2,142
$1,620
$1,942
$1,774
$1,869
$1,764
$1,881
Corporate31
(78)231
4
46
2
76
37
31
(78)
Total$1,795
$1,803
$2,016
$2,146
$1,666
$1,944
$1,850
$1,906
$1,795
$1,803
Gross credit losses  
Consumer  
In U.S. offices$1,490
$1,542
$1,426
$1,429
$1,437
$1,670
$1,495
$1,462
$1,490
$1,542
In offices outside the U.S. 599
615
611
642
597
602
595
596
599
615
Corporate  
In U.S. offices5
65
21
15
72
33
23
15
5
65
In offices outside the U.S. 15
74
221
34
24
40
53
21
15
74
Total$2,109
$2,296
$2,279
$2,120
$2,130
$2,345
$2,166
$2,094
$2,109
$2,296
Credit recoveries(1)
  
Consumer  
In U.S. offices$255
$238
$228
$167
$266
$246
$217
$212
$255
$238
In offices outside the U.S. 128
148
151
170
135
134
132
120
128
148
Corporate  
In U.S. offices5
13
4
2
15
3
24
1
5
13
In offices outside the U.S. 17
30
16
4
4
14
7
5
17
30
Total$405
$429
$399
$343
$420
$397
$380
$338
$405
$429
Net credit losses  
In U.S. offices$1,235
$1,356
$1,215
$1,275
$1,228
$1,454
$1,277
$1,264
$1,235
$1,356
In offices outside the U.S. 469
511
665
502
482
494
509
492
469
511
Total$1,704
$1,867
$1,880
$1,777
$1,710
$1,948
$1,786
$1,756
$1,704
$1,867
Other—net(2)(3)(4)(5)(6)(7)
$(319)$63
$(147)$(28)$39
$18
$(85)$60
$(319)$63
Allowance for loan losses at end of period$12,126
$12,354
$12,355
$12,366
$12,025
$12,329
$12,315
$12,336
$12,126
$12,354
Allowance for loan losses as a percentage of total loans(8)
1.81%1.85%1.87%1.91%1.88%1.82%1.81%1.84%1.81%1.85%
Allowance for unfunded lending commitments(9)
$1,278
$1,290
$1,258
$1,232
$1,406
$1,391
$1,367
$1,321
$1,278
$1,290
Total allowance for loan losses and unfunded lending commitments$13,404
$13,644
$13,613
$13,598
$13,431
$13,720
$13,682
$13,657
$13,404
$13,644
Net consumer credit losses$1,706
$1,771
$1,658
$1,734
$1,633
$1,892
$1,741
$1,726
$1,706
$1,771
As a percentage of average consumer loans2.12%2.19%2.02%2.11%2.04%2.38%2.13%2.11%2.12%2.19%
Net corporate credit losses (recoveries)$(2)$96
$222
$43
$77
$56
$45
$30
$(2)$96
As a percentage of average corporate loans—%0.11%0.27%0.05%0.10%0.07%0.06%0.03%—%0.11%
Allowance by type at end of period(10)
  
Consumer$9,796
$10,039
$9,869
$9,892
$9,515
$10,026
$9,950
$9,997
$9,796
$10,039
Corporate2,330
2,315
2,486
2,474
2,510
2,303
2,365
2,339
2,330
2,315
Total$12,126
$12,354
$12,355
$12,366
$12,025
$12,329
$12,315
$12,336
$12,126
$12,354
(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.
(3)The first quarter of 2019 includes an increase of approximately $26 million related to FX translation.
(4)The fourth quarter of 2018 includes a reduction of approximately $4 million related to the sale or transfers to held-for-sale (HFS) of various loan portfolios, including a reduction of $3 million related to the transfers of a real estate loan portfolio to HFS. Additionally, the fourth quarter includes a decrease of approximately $76 million related to FX translation.
(5)The third quarter of 2018 includes a reduction of approximately $5 million related to the sale or transfers to HFS of various loan portfolios, including a reduction of $2 million related to the transfers of a real estate loan portfolio to HFS. Additionally, the third quarter includes an increase of approximately $62 million related to FX translation.


(6)The second quarter of 2018 includes a reduction of approximately $137 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $33 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the second quarter includes a decrease of approximately $164 million related to FX translation.
(4)(7)The first quarter of 2018 includes a reduction of approximately $55 million related to the sale or transfer to held-for-sale (HFS)HFS of various loan portfolios, including a reduction of $53 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the first quarter includes an increase of approximately $118 million related to FX translation.
(5)(8)The fourth quarterMarch 31, 2019, December 31, 2018, September 30, 2018, June 30, 2018 and March 31, 2018 exclude $3.9 billion, $3.2 billion, $4.2 billion, $3.0 billion and $4.5 billion, respectively, of 2017 includes a reduction of approximately $47 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $22 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the fourth quarter includes a decrease of approximately $106 million related to FX translation.loans which are carried at fair value.


(6)The third quarter of 2017 includes a reduction of approximately $34 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $28 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the third quarter includes an increase of approximately $7 million related to FX translation.
(7)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.
(8) June 30, 2018, March 31, 2018, December 31, 2017, September 30, 2017 and June 30, 2017 exclude $3.0 billion, $4.5 billion, $4.9 billion, $4.3 billion and $4.2 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 20172018 Annual Report on Form 10-K. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.




Allowance for Loan Losses
The following tables detail information on Citi’s allowance for loan losses, loans and coverage ratios:
June 30, 2018March 31, 2019
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$6.3
$136.7
4.6%$6.6
$135.9
4.9%
North America mortgages(3)
0.5
60.8
0.8
0.4
56.3
0.7
North America other
0.3
12.6
2.4
0.3
13.7
2.2
International cards1.3
24.1
5.4
0.6
24.3
2.5
International other(4)
1.4
89.4
1.6
2.1
89.7
2.3
Total consumer$9.8
$323.6
3.0%$10.0
$319.9
3.1%
Total corporate2.3
347.6
0.7
2.3
362.4
0.6
Total Citigroup$12.1
$671.2
1.8%$12.3
$682.3
1.8%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $6.3$6.6 billion of loan loss reserves represented approximately 1514 months of coincident net credit loss coverage.
(3)
Of the $0.5$0.4 billion, approximately $0.4$0.3 billion was allocated to North America mortgages in Corporate/Other. Of the $0.5 billion, approximately $0.2including $0.1 billion and $0.3 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $60.8$56.3 billion in loans, approximately $57.8$53.7 billion and $2.9$2.5 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.


December 31, 2017December 31, 2018
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$6.1
$139.7
4.4%$6.5
$144.6
4.5%
North America mortgages(3)
0.7
64.2
1.1
0.4
58.9
0.7
North America other
0.3
13.0
2.3
0.3
13.2
2.3
International cards1.3
25.7
5.1
0.7
24.9
2.8
International other(4)
1.5
91.1
1.6
2.0
88.9
2.2
Total consumer$9.9
$333.7
3.0%$9.9
$330.5
3.0%
Total corporate2.5
333.3
0.8
2.4
353.7
0.7
Total Citigroup$12.4
$667.0
1.9%$12.3
$684.2
1.8%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $6.1$6.5 billion of loan loss reserves represented approximately 16 months of coincident net credit loss coverage.
(3)
Of the $0.7$0.4 billion, approximately $0.6 billionnearly all of it was allocated to North America mortgages in Corporate/Other. Of the $0.7 billion, approximately $0.2, including $0.1 billion and $0.5$0.3 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $64.2$58.9 billion in loans, approximately $60.4$56.3 billion and $3.7$2.5 billion of the loans arewere evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 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:

Non-Accrualloans, see “Non-Accrual Loans and Assets: and Renegotiated Loans” in Citi’s 2018 Annual Report on Form 10-K.
Corporate and consumer (including commercial banking) non-accrual status is based on the determination that payment of interest or principal is doubtful.
A corporate loan may be classified as non-accrual and still be performing under the terms of the loan structure. Payments received on corporate non-accrual loans are generally applied to loan principal and not reflected as interest income. Approximately 68%, 65% and 74% of Citi’s corporate non-accrual loans were performing at June 30, 2018, March 31, 2018 and December 31, 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 of contractual delinquency.
Renegotiated Loans:
Includes both corporate and consumer loans whose terms have been modified in a troubled debt restructuring (TDR).
Includes both accrual and non-accrual TDRs.



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






Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,
In millions of dollars20182018201720192018
Corporate non-accrual loans(1)(2)
  
North America$784
$817
$784
$915
$944
$922
$483
$679
$784
$817
EMEA391
561
849
681
727
317
375
362
391
561
Latin America204
263
280
312
281
225
230
266
204
263
Asia244
27
29
146
146
18
223
233
244
27
Total corporate non-accrual loans$1,623
$1,668
$1,942
$2,054
$2,098
$1,482
$1,311
$1,540
$1,623
$1,668
Consumer non-accrual loans(1)
  
North America$1,373
$1,500
$1,650
$1,721
$1,754
$1,230
$1,241
$1,323
$1,373
$1,500
Latin America726
791
756
791
793
694
715
764
726
791
Asia(2)(3)
284
284
284
271
301
281
270
287
284
284
Total consumer non-accrual loans$2,383
$2,575
$2,690
$2,783
$2,848
$2,205
$2,226
$2,374
$2,383
$2,575
Total non-accrual loans$4,006
$4,243
$4,632
$4,837
$4,946
$3,687
$3,537
$3,914
$4,006
$4,243
(1)Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $125 million at March 31, 2019, $128 million at December 31, 2018, $131 million at September 30, 2018, $149 million at June 30, 2018 and $126 million at March 31, 2018, $167 million2018.
(2)Approximately 46%, 55% and 65% of Citi’s corporate non-accrual loans were performing at March 31, 2019, December 31, 2017, $177 million at September 30, 20172018 and $183 million at June 30, 2017.March 31, 2018, respectively.
(3)
Asia GCB includes balances in certain EMEA countries for all periods presented.
(2) Asia GCB includes balances in certain EMEA countries for all periods presented.



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


Three Months EndedThree Months EndedThree Months EndedThree Months Ended
June 30, 2018June 30, 2017March 31, 2019March 31, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$1,668
$2,575
$4,243
$2,339
$2,955
$5,294
$1,311
$2,226
$3,537
$1,942
$2,690
$4,632
Additions628
791
1,419
311
697
1,008
723
722
1,445
825
861
1,686
Sales and transfers to HFS(8)(68)(76)(46)(82)(128)(5)(34)(39)(20)(85)(105)
Returned to performing(36)(146)(182)(3)(166)(169)(28)(142)(170)(68)(208)(276)
Paydowns/settlements(613)(327)(940)(464)(285)(749)(485)(174)(659)(884)(270)(1,154)
Charge-offs(14)(372)(386)(15)(318)(333)(35)(402)(437)(106)(454)(560)
Other(2)(70)(72)(24)47
23
1
9
10
(21)41
20
Ending balance$1,623
$2,383
$4,006
$2,098
$2,848
$4,946
$1,482
$2,205
$3,687
$1,668
$2,575
$4,243














 Six Months EndedSix Months Ended
 June 30, 2018June 30, 2017
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$1,942
$2,690
$4,632
$2,421
$3,158
$5,579
Additions1,453
1,652
3,105
564
1,521
2,085
Sales and transfers to held-for-sale(28)(153)(181)(82)(216)(298)
Returned to performing(104)(354)(458)(40)(329)(369)
Paydowns/settlements(1,497)(597)(2,094)(647)(565)(1,212)
Charge-offs(120)(826)(946)(69)(842)(911)
Other(23)(29)(52)(49)121
72
Ending balance$1,623
$2,383
$4,006
$2,098
$2,848
$4,946



The table below summarizes Citigroup’s other real estate owned (OREO) assets as of the periods indicated. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:
Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,
In millions of dollars20182018201720192018
OREO  
North America$66
$70
$89
$97
$128
$63
$64
$76
$66
$70
EMEA1
—
2
1
1
1
1
1
1
—
Latin America24
29
35
30
31
13
12
25
24
29
Asia10
15
18
15
8
21
22
7
10
15
Total OREO$101
$114
$144
$143
$168
$98
$99
$109
$101
$114
Non-accrual assets
 
 
Corporate non-accrual loans$1,623
$1,668
$1,942
$2,054
$2,098
$1,482
$1,311
$1,540
$1,623
$1,668
Consumer non-accrual loans2,383
2,575
2,690
2,783
2,848
2,205
2,226
2,374
2,383
2,575
Non-accrual loans (NAL)$4,006
$4,243
$4,632
$4,837
$4,946
$3,687
$3,537
$3,914
$4,006
$4,243
OREO$101
$114
$144
$143
$168
$98
$99
$109
$101
$114
Non-accrual assets (NAA)$4,107
$4,357
$4,776
$4,980
$5,114
$3,785
$3,636
$4,023
$4,107
$4,357
NAL as a percentage of total loans0.60%0.63%0.69%0.74%0.77%0.54%0.52%0.58%0.60%0.63%
NAA as a percentage of total assets0.21
0.23
0.26
0.26
0.27
0.19
0.19
0.21
0.21
0.23
Allowance for loan losses as a percentage of NAL(1)
303
291
267
256
243
334
348
315
303
291


(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 dollarsJun. 30, 2018Dec. 31, 2017Mar. 31, 2019Dec. 31, 2018
Corporate renegotiated loans(1)
    
In U.S. offices   
Commercial and industrial(2)
$205
$225
$190
$188
Mortgage and real estate78
90
91
111
Financial institutions25
33
4
16
Other37
45
4
2
Total$345
$393
$289
$317
In offices outside the U.S.   
Commercial and industrial(2)
$235
$392
$220
$226
Mortgage and real estate9
11
21
12
Financial institutions9
15
9
9
Other—
7
—
—
Total$253
$425
$250
$247
Total corporate renegotiated loans$598
$818
$539
$564
Consumer renegotiated loans(3)(4)(5)
   
In U.S. offices   
Mortgage and real estate(6)
$2,919
$3,709
$2,452
$2,520
Cards1,273
1,246
1,383
1,338
Installment and other101
169
137
86
Total$4,293
$5,124
$3,972
$3,944
In offices outside the U.S.   
Mortgage and real estate$322
$345
$325
$311
Cards522
541
477
480
Installment and other414
427
415
415
Total$1,258
$1,313
$1,217
$1,206
Total consumer renegotiated loans$5,551
$6,437
$5,189
$5,150
(1)Includes $489$444 million and $715$466 million of non-accrual loans included in the non-accrual loans table above at June 30, 2018March 31, 2019 and December 31, 2017,2018, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at June 30, 2018,March 31, 2019, Citi also modified $18$32 million of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices outside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession.
(3)Includes $1,160$1,039 million and $1,376$1,015 million of non-accrual loans included in the non-accrual loans table above at June 30, 2018March 31, 2019 and December 31, 2017,2018, respectively. The remaining loans are accruing interest.
(4)Includes $22$20 million and $26$17 million of commercial real estate loans at June 30, 2018March 31, 2019 and December 31, 2017,2018, respectively.
(5)Includes $110$155 million and $165$101 million of other commercial loans at June 30, 2018March 31, 2019 and December 31, 2017,2018, respectively.
(6)Reduction in the six months ended June 30, 2018 compared with December 31, 2017 includes $641 million related to TDRs sold or transferred to HFS.







LIQUIDITY RISK


For additional information on funding and liquidity at Citigroup, including its objectives, management and measurement, see “Liquidity Risk” and “Risk Factors” in Citi’s 20172018 Annual Report on Form 10-K.
 
 








High-Quality Liquid Assets (HQLA)
CitibankNon-Bank and OtherTotalCitibankNon-Bank and OtherTotal
In billions of dollarsJun. 30, 2018Mar. 31, 2018Jun. 30, 2017Jun. 30, 2018Mar. 31, 2018Jun. 30, 2017Jun. 30, 2018Mar. 31, 2018Jun. 30, 2017Mar. 31, 2019Dec. 31, 2018Mar. 31, 2018Mar. 31, 2019Dec. 31, 2018Mar. 31, 2018Mar. 31, 2019Dec. 31, 2018Mar. 31, 2018
Available cash$97.3
$94.9
$87.0
$27.4
$24.9
$28.1
$124.7
$119.9
$115.1
$94.7
$97.1
$94.9
$34.9
$27.6
$24.9
$129.6
$124.7
$119.9
U.S. sovereign101.4
114.6
111.4
28.7
28.9
24.4
130.1
143.4
135.8
94.9
103.2
114.6
29.5
24.0
28.9
124.4
127.2
143.4
U.S. agency/agency MBS59.5
74.3
59.6
6.7
5.6
0.8
66.2
79.9
60.4
59.3
60.0
74.3
5.3
5.8
5.6
64.6
65.8
79.9
Foreign government debt(1)
73.5
69.2
95.7
10.9
12.9
15.9
84.4
82.1
111.6
67.7
76.8
69.2
3.5
6.3
12.9
71.2
83.2
82.1
Other investment grade0.1
0.3
0.3
1.0
1.3
1.1
1.2
1.6
1.5
3.6
1.5
0.3
1.5
1.3
1.3
5.1
2.8
1.6
Total HQLA (AVG)$331.8
$353.3
$354.0
$74.8
$73.6
$70.3
$406.6
$426.9
$424.4
$320.1
$338.6
$353.3
$74.8
$65.1
$73.6
$394.9
$403.7
$426.9


Note: The amounts set forth in the table above are presented on an average basis and reflect assets, including, as discussed below, HQLA held at Citigroup’s operating entities, which are eligible for inclusion in the calculation of Citigroup’s consolidated HQLA, pursuant to the U.S. LCR rules.basis. For securities, the amounts represent the liquidity value that potentially could be realized and, therefore, exclude any securities that are encumbered and incorporate any haircuts that would be required for securities financing transactions.
(1)Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt securities are held largely to support local liquidity requirements and Citi’s local franchises and principally include government bonds from Hong Kong, Singapore, Korea, Taiwan, India, Mexico and Brazil.


The table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the calculation of Citigroup’s consolidated LCR.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 Citigroup. While available liquidity resources at thesethe operating entities increased,remained largely unchanged, the amountsamount of HQLA included in the table above declined in the current quarterboth year-over-year and sequentially, as less HQLA in the operating entities was eligible for inclusion in the consolidated metric.
Citi’s HQLA as set forth above does not include Citi’s available borrowing capacity from the Federal Home Loan Banks (FHLBs) of which Citi is a member, which was approximately $21$25 billion as of June 30,March 31, 2019 (compared to $29 billion as of December 31, 2018 (compared toand $22 billion as of March 31, 2018 and $18 billion as of June 30, 2017)2018) and maintained by eligible collateral pledged to such banks. The HQLA also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or other central banks, which would be in addition to the resources noted above.
In general, Citi’s liquidity is fungible across legal entities within its bank group. Citi’s bank subsidiaries, including Citibank, can lend to the Citi parent and broker-dealer entities in accordance with Section 23A of the Federal Reserve Act. As of June 30, 2018,March 31, 2019, the capacity available for lending to these entities under Section 23A was approximately $16 billion, compared to $15 billion unchanged fromas of both December 31, 2018 and March 31, 2018, and June 30, 2017, subject to certain eligible non-cash collateral requirements.



Liquidity Coverage Ratio
In addition to internal 30-day liquidity stress testing performed for each of Citi’s major entities, operating subsidiaries and/or countries, Citi also monitors its liquidity by reference to the LCR, as calculated pursuant to the U.S. LCR rules. 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 dollarsMar. 31, 2019Dec. 31, 2018Mar. 31, 2018
HQLA$394.9
$403.7
$426.9
Net outflows331.6334.8
355.2
LCR119%121%120%
HQLA in excess of net outflows$63.3$68.9
$71.7

Note: The amounts are presented on an average basis.

Citi’s average LCR decreased both year-over-year and sequentially, as the decline in Citi’s HQLA was only partially offset by a decline in modeled net outflows.




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 dollarsJun. 30, 2018Mar. 31, 2018Jun. 30, 2017Mar. 31, 2019Dec. 31, 2018Mar. 31, 2018
Global Consumer Banking  
North America$188.8
$189.7
$183.4
$195.0
$195.7
$189.7
Latin America25.5
26.3
25.5
25.6
25.1
26.3
Asia(1)
88.8
90.3
84.9
88.6
87.6
90.3
Total$303.1
$306.3
$293.8
$309.2
$308.4
$306.3
Institutional Clients Group  
Corporate lending$135.5
$131.6
$121.5
$133.1
$130.0
$131.6
Treasury and trade solutions (TTS)77.7
78.2
73.7
75.1
77.0
78.2
Private Bank90.7
88.9
79.3
Private bank97.2
94.7
88.9
Markets and securities services
and other
43.0
40.7
37.9
51.1
49.3
40.7
Total$346.9
$339.4
$312.4
$356.5
$351.0
$339.4
Total Corporate/Other
$19.7
$22.2
$28.1
$13.5
$16.1
$22.2
Total Citigroup loans (AVG)$669.7
$667.9
$634.3
$679.2
$675.5
$667.9
Total Citigroup loans (EOP)$671.2
$672.9
$644.7
$682.3
$684.2
$672.9


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


As set forth in the table above, end-of-periodEnd-of-period loans increased 4%1% year-over-year and wereremained largely unchanged sequentially. On an average basis, loans increased 6%2% year-over-year and were largely unchanged1% sequentially.
Excluding the impact of FX translation, average loans increased 5%4% year-over-year and 7%5% in aggregate across GCB and ICG. Average GCB loans grew 3% year-over-year, driven by continued growth across all regions.in North America GCB and Asia GCB. Average loans in Latin America GCB remained largely unchanged year-over-year, due in part to a slowdown in activity in Citi’s commercial banking business, reflecting more cautious client sentiment under the current presidential administration.
Average ICG loans increased 7% year-over-year, as a modest decline in TTS loans was more than offset by continued growth in the rest of Citi’s franchise. TTS loans declined 1% year-over-year, despite strong growth in origination volumes, as Citi continued to utilize its distribution capabilities to optimize the balance sheet and drive returns. Corporate lending growth moderated to 4% year-over-year, reflecting the episodic nature of clients’ strategic financing needs, as well as an active quarter in debt capital markets origination. Private bank loans increased 10% year-over-year, driven by both new client onboarding, as well as the deepening of relationships with existing high net worth clients. Finally, continued client engagement across businesses, including in TTS, the private bankstrong year-over-year Markets and corporate lending.securities services loan growth was driven primarily by real-estate related warehouse lending activities.
Average Corporate/Other loans decreased 30% year-over-year,continued to decline (down 39%), driven by the continued wind-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 dollarsJun. 30, 2018Mar. 31, 2018Jun. 30, 2017Mar. 31, 2019
Dec. 31, 2018

Mar. 31, 2018

Global Consumer Banking  
North America$179.9
$180.9
$185.1
$182.3
$180.6
$180.9
Latin America28.3
28.9
27.8
28.6
28.2
28.9
Asia(1)
97.6
99.1
94.3
99.3
97.7
99.1
Total$305.8
$308.9
$307.2
$310.2
$306.5
$308.9
Institutional Clients Group  
Treasury and trade solutions (TTS)$448.7
$440.3
$423.9
$472.4
$470.8
$440.3
Banking ex-TTS125.5
128.2
122.1
130.2
128.4
128.2
Markets and securities services88.2
84.1
84.3
90.0
86.7
84.1
Total$662.4
$652.6
$630.3
$692.6
$685.9
$652.6
Corporate/Other$18.0
$20.4
$22.5
$14.4
$13.3
$20.4
Total Citigroup deposits (AVG)$986.2
$981.9
$960.0
$1,017.2
$1,005.7
$981.9
Total Citigroup deposits (EOP)$996.7
$1,001.2
$958.7
$1,030.4
$1,013.2
$1,001.2
(1)
Includes deposits in certain EMEA countriesfor all periods presented.


End-of-period deposits increased 4%3% year-over-year and were largely unchanged2% sequentially. On an average basis, deposits increased 3%4% year-over-year and were largely unchanged1% sequentially.
Excluding the impact of FX translation, average deposits grew 2%6% from the prior-year period. In GCB, deposits declined 1% asincreased 2%, driven by growth in Asia GCB and Latin America GCB was offset by a 3% decline in across all regions. In North America GCB, primarily driven by a reductiondeposits increased 1%, reflecting growth in money market balances as clients transferred cash into investment accounts.both branch-based deposits and digital channels.
Within ICG, average deposits grew 4%9% year-over-year, primarily driven by continued high-quality deposit growth in TTS.TTS.









Long-Term Debt
The weighted-average maturity of unsecured long-term debt issued by Citigroup and its affiliates (including Citibank) with a remaining life greater than one year was approximately 6.58.6 years as of June 30, 2018, a declineMarch 31, 2019, an increase from both the prior-year period (6.9(8.5 years) and unchanged from the prior quarter (6.7 years).quarter. The weighted-average maturity is calculated based on the contractual maturity of each security, except for securities which are redeemable prior to maturity at the option of the holder and calculated based on the earliest date an option becomes exercisable.
Citi’s long-term debt outstanding at the Citigroup parent company includes senior and subordinated debt and what Citi refers to as customer-related debt, consisting of structured notes, such as equity- and credit-linked notes, as well as non-structured notes. Citi’s issuance of customer-related debt is generally driven by customer demand and supplementscomplements benchmark debt issuance as a source of funding for Citi’s non-bank entities. Citi’s long-term debt at the bank also includes benchmark senior debt, FHLB advances and securitizations.


 
Long-Term Debt Outstanding
The following table sets forth Citi’s end-of-period total long-term debt outstanding for each of the dates indicated:
In billions of dollarsJun. 30, 2018Mar. 31, 2017Jun. 30, 2017Mar. 31, 2019Dec. 31, 2018Mar. 31, 2018
Parent and other(1)












Benchmark debt:  
Senior debt$107.8
$112.0
$105.9
$109.7
$104.6
$112.0
Subordinated debt25.3
25.5
26.8
24.9
24.5
25.5
Trust preferred1.7
1.7
1.7
1.7
1.7
1.7
Customer-related debt:34.3
32.4
28.4
Customer-related debt42.4
37.1
32.4
Local country and other(2)
3.8
1.6
2.1
3.3
2.9
1.6
Total parent and other$172.9
$173.2
$164.9
$182.0
$170.8
$173.2
Bank











FHLB borrowings$13.7
$15.7
$20.3
$10.5
$10.5
$15.7
Securitizations(3)
28.5
30.2
28.2
25.9
28.4
30.2
CBNA benchmark senior debt18.5
15.0
7.2
Citibank benchmark senior debt21.4
18.8
15.0
Local country and other(2)
3.2
3.8
4.5
3.8
3.5
3.8
Total bank$64.0
$64.8
$60.2
$61.5
$61.2
$64.8
Total long-term debt$236.8
$237.9
$225.2
$243.6
$232.0
$237.9
Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet which, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
(1)“Parent and other” includes long-term debt issued to third parties by the parent holding company (Citigroup) and Citi’s non-bank subsidiaries (including broker-dealer subsidiaries) that are consolidated into Citigroup. As of June 30, 2018,March 31, 2019, “parent and other” included $24.3$32.2 billion of long-term debt issued by Citi’s broker-dealer subsidiaries.
(2)Local country debt includes debt issued by Citi’s affiliates in support of their local operations.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.


Citi’s total long-term debt outstanding increased year-over-year, primarily driven by the issuance of customer-related debt at the Citigroup parent company and unsecured senior benchmark debt at the bank, partially offset by a decline in FHLB advances and securitizations. Sequentially, Citi’s total long-term debt outstanding increased, primarily driven by the issuance of unsecured senior benchmark debt and customer-related debt at the Citigroup parent company, partiallyas growth in unsecured senior benchmark debt at the bank was offset by declines in FHLB advances. Sequentially, Citi’s total long-term debt outstanding remained largely unchanged.securitizations.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such repurchases help reduce Citi’s overall funding costs and assist it in meeting regulatory changes and requirements.costs. During the secondfirst quarter of 2018,2019, Citi repurchased and called an aggregate of approximately $0.8 $1.0billion of its outstanding long-term debt, including early redemptionexcluding the exercise of FHLB advances.call options on securities with a remaining life of three months or less.











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:
2Q181Q182Q171Q194Q181Q18
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent and other























Benchmark debt:          
Senior debt$7.2
$4.9
$3.5
$5.4
$2.0
$6.3
$0.2
$4.6
$3.5
$—
$3.5
$5.4
Subordinated debt0.3
0.3
1.6
0.2
—
0.2
—
—
1.0
—
1.6
0.2
Trust preferred—
—
—
—
—
—
—
—
—
—
—
—
Customer-related debt1.5
4.7
2.5
4.9
2.3
3.6
1.0
5.2
1.5
4.4
2.5
4.9
Local country and other0.2
2.1
0.1
0.1
0.1
—
—
0.3
0.7
—
0.1
0.1
Total parent and other$9.1
$12.0
$7.7
$10.7
$4.3
$10.2
$1.2
$10.1
$6.7
$4.4
$7.7
$10.7
Bank























FHLB borrowings$4.5
$2.5
$6.5
$3.9
$1.5
$1.5
$—
$—
$1.5
$1.5
$6.5
$3.9
Securitizations2.7
1.1
2.9
2.8
0.9
5.1
2.6
—
0.1
1.0
2.9
2.8
CBNA benchmark senior debt—
3.5
—
2.5
—
4.7
Citibank benchmark senior debt2.5
5.0
2.3
—
—
2.5
Local country and other0.9
0.9
0.8
0.8
0.7
0.3
0.3
0.5
0.4
0.7
0.8
0.8
Total bank$8.1
$8.0
$10.2
$10.1
$3.0
$11.6
$5.4
$5.5
$4.2
$3.2
$10.2
$10.1
Total$17.2
$20.0
$17.9
$20.8
$7.4
$21.8
$6.6
$15.6
$10.9
$7.6
$17.9
$20.8


The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2018,during the first quarter of 2019, as well as its aggregate expected annual long-term debt maturities as of June 30, 2018:March 31, 2019:
Maturities 2018 YTDMaturities1Q19Maturities
In billions of dollars201820192020202120222023ThereafterTotal201920202021202220232024ThereafterTotal
Parent and other



































Benchmark debt:   
   
Senior debt$10.7
$7.8
$14.4
$8.8
$14.1
$7.9
$12.4
$42.3
$107.8
$0.2
$13.9
$8.8
$14.2
$9.3
$12.5
$7.0
$44.0
$109.7
Subordinated debt1.8
1.0
—
—
—
0.7
1.1
22.5
25.3
—
—
—
—
0.7
1.1
0.8
22.2
$24.9
Trust preferred—
—
—
—
—
—
—
1.7
1.7
—
—
—
—
—
—
—
1.7
1.7
Customer-related debt4.0
1.1
3.8
4.7
2.8
2.3
1.5
18.1
34.3
1.0
0.6
5.1
6.2
3.9
3.5
3.1
20.1
42.4
Local country and other0.2
2.3
0.4
0.1
0.3
—
—
0.5
3.8
—
1.4
0.5
—
0.1
0.1
—
1.2
3.3
Total parent and other$16.8
$12.2
$18.6
$13.6
$17.3
$11.0
$15.0
$85.2
$172.9
$1.2
$15.9
$14.4
$20.4
$13.9
$17.2
$10.9
$89.3
$182.0
Bank



































FHLB borrowings$11.0
$4.8
$5.6
$3.4
$—
$—
$—
$—
$13.7
$—
$5.6
$4.9
$—
$—
$—
$—
$—
$10.5
Securitizations5.6
3.0
7.9
5.5
5.7
1.2
2.5
2.6
28.5
2.6
5.3
4.5
7.2
2.2
2.5
1.2
2.9
25.9
CBNA benchmark debt—
2.2
4.7
8.7
2.5
—
—
0.3
18.5
Citibank benchmark debt2.5
2.2
8.7
6.1
1.8
—
2.6
—
21.4
Local country and other1.7
0.2
0.9
1.3
0.1
0.3
0.2
0.3
3.2
0.3
0.3
0.8
1.7
0.3
0.3
0.1
0.4
3.8
Total bank$18.3
$10.2
$19.1
$18.9
$8.4
$1.5
$2.7
$3.2
$64.0
$5.4
$13.4
$18.9
$14.9
$4.3
$2.7
$3.9
$3.3
$61.5
Total long-term debt$35.1
$22.4
$37.7
$32.5
$25.7
$12.5
$17.7
$88.4
$236.8
$6.6
$29.3
$33.3
$35.3
$18.2
$19.9
$14.8
$92.6
$243.6



















 




















Secured Funding Transactions and Other Short-Term Borrowings
Citi supplements its primary sources of funding with short-term borrowings. Short-term borrowings generally include (i) secured funding transactions (securities loaned or sold under agreements to repurchase, or repos) and (ii) to a lesser extent, short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participantsparticipants.
Outside of secured funding transactions, Citi’s short-term borrowings of $39 billion increased 9% from $36 billion year-over-year and 22% from $32 billion sequentially. The increase year-over-year and sequential increases were driven by Citi’s commercial paper programs, including the introduction of a commercial paper program in Citi’s broker-dealer. Sequentially, the increase was also driven by FHLB advances (see Note 16 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).
Outside of secured funding transactions, Citi’s short-term borrowings modestly increased 2% year-over-year and 3% sequentially, driven primarily by an increase in commercial paper.

Secured Funding
Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to fund efficiently both secured lending activity and a portion of the securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which is typically collateralized by foreign government debt securities. Generally, daily changes in the level of Citi’s secured funding are primarily due to fluctuations in secured lending activity in the matched book (as described below) and securities inventory.
Secured funding of $178$190 billion as of June 30, 2018March 31, 2019 increased 15%11% from the prior-year period and 4%7% sequentially.Excluding the impact of FX translation, secured funding increased 15%16% from the prior-year period and 7% sequentially, both driven by normal business activity. Average balances for secured funding were approximately $171$184 billion for the quarter ended June 30, 2018.March 31, 2019.
The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less-liquid securities, including equity securities, corporate bonds and asset-backed securities. The tenor of Citi’s matched book liabilities is generally equal to or longer than the tenor of the corresponding matched book assets.
The remainder of the secured funding activity in the broker-dealer subsidiaries serves to fund securities inventory held in the context of market making and customer activities. To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral and stipulating financing tenor. The weighted average maturity of Citi’s secured funding of less-liquid securities inventory was greater than 110 days as of June 30, 2018.March 31, 2019.
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. Additionally, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty
reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.


Liquidity Coverage Ratio (LCR)
In addition to internal liquidity stress metrics that Citi has developed for a 30-day stress scenario, Citi also monitors its liquidity by reference to the LCR, as calculated pursuant to the U.S. LCR rules. The table below sets forth the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:

In billions of dollarsJun. 30, 2018Mar. 31, 2018Jun. 30, 2017
HQLA$406.6
$426.9
$424.4
Net outflows341.5
355.2
338.2
LCR119%120%125%
HQLA in excess of net outflows$65.1
$71.7
$86.2



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 decreased year-over-year, driven by both a decline in average HQLA and a modest increase in modeled net outflows. Sequentially, Citi’s average LCR decreased slightly, as a decline in modeled net outflows, which was driven by Citi’s continued focus on its deposit quality and its optimization of its funding tenor, was more than offset by a decline in the HQLA.
























Credit Ratings
The table below sets forth the ratings for Citigroup and Citibank as of June 30, 2018. While not included in the table below, the long- and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were BBB+/A-2 at Standard & Poor’s and A/F1 at Fitch as of June 30, 2018.March 31, 2019.
 




Ratings as of March 31, 2019
 Citigroup Inc.Citibank, N.A.
 
Senior
debt
Commercial
paper
Outlook
Long-
term
Short-
term
Outlook
Fitch Ratings (Fitch)AF1StableA+F1Stable
Moody’s Investors Service (Moody’s)Baa1A3P-2PositiveStableA1Aa3P-1PositiveStable
Standard & Poor’s (S&P)BBB+A-2StableA+A-1Stable


Potential Impacts of Ratings Downgrades
Ratings downgrades by Moody’s, Fitch or S&P could negatively impact Citigroup’s and/or Citibank’s funding and liquidity due to reduced funding capacity, including derivative triggers, which could take the form of cash obligations and collateral requirements.
The following information is provided for the purpose of analyzing the potential funding and liquidity impact to Citigroup and Citibank of a hypothetical, simultaneous
ratings downgrade across all three major rating agencies. This analysis is subject to certain estimates, estimation methodologies, judgments and uncertainties. Uncertainties include potential ratings limitations that certain entities may have with respect to permissible counterparties, as well as general subjective counterparty behavior. For example, certain corporate customers and markets counterparties could re-evaluate their business relationships with Citi and limit transactions in certain contracts or market instruments with Citi. Changes in counterparty behavior could impact Citi’s funding and liquidity, as well as the results of operations of certain of its businesses. The actual impact to Citigroup or Citibank is unpredictable and may differ materially from the potential funding and liquidity impacts described below. For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors— Liquidity Risks” in Citi’s 20172018 Annual Report on Form 10-K.


 


Citigroup Inc. and Citibank—Potential Derivative Triggers
As of June 30, 2018,March 31, 2019, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $0.4$0.3 billion, unchanged from Marchcompared to $0.2 billion as of December 31, 2018. Other funding sources, such as secured financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As of June 30, 2018,March 31, 2019, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity by approximately $0.9$0.5 billion, compared to $0.4 billion as of Marchunchanged from December 31, 2018.
In total, Citi estimates that a one-notch downgrade of Citigroup and Citibank, across all three major rating agencies, could result in increased aggregate cash obligations and collateral requirements of approximately $1.2$0.8 billion, compared to $0.8$0.7 billion as of MarchDecember 31, 2018 (see also Note 19 to the Consolidated Financial Statements). As set forthdetailed under “High-Quality Liquid Assets” above, the liquidity resources whichthat are eligible for inclusion in the calculation of Citi’s consolidated HQLA waswere approximately $332$320 billion for Citibank and approximately $75 billion for Citi’s non-bank and other entities, for a total of approximately $407$395 billion for the quarter ended June 30, 2018.March 31, 2019. These liquidity resources are available in part as a contingency for the potential events described above.
In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending and adjusting the size of select trading books and collateralized borrowings from certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising additional deposits or borrowing from the FHLB or central banks. Citi believes these mitigating actions could


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



Citibank—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential one-notch downgrade of Citibank’s senior debt/long-term rating by S&Pacross any of the three major rating agencies could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of June 30, 2018,March 31, 2019, Citibank had liquidity commitments of approximately $12.0$13.1 billion to consolidated asset-backed commercial paper conduits, compared to $10.0$13.2 billion as of MarchDecember 31, 2018 (as referenced in Note 18 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of certain Citibank and Citibanamex entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.




MARKET RISK


Market risk emanates from both Citi’s trading and non-trading portfolios. For additional information on market risk and market risk management at Citi, see “Market Risk” and “Risk���Risk Factors” in Citi’s 20172018 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 2017 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 bpsbasis point (bps) increase in interest rates:
In millions of dollars (unless otherwise noted)Jun. 30, 2018Mar. 31, 2018Jun. 30, 2017
In millions of dollars, except as otherwise notedMar. 31, 2019Dec. 31, 2018Mar. 31, 2018
Estimated annualized impact to net interest revenue    
U.S. dollar(1)
$1,046
$1,243
$1,435
$527
$758
$1,243
All other currencies635
651
589
677
661
651
Total$1,681
$1,894
$2,024
$1,204
$1,419
$1,894
As a percentage of average interest-earning assets0.10%0.11%0.12%0.07%0.08%0.11%
Estimated initial impact to AOCI (after-tax)(2)
$(4,713)$(4,955)$(4,258)$(3,828)$(3,920)$(4,955)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3)
(32)(33)(49)(25)(28)(33)


(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 $(218)$(204) million for a 100 basis pointbps instantaneous increase in interest rates as of June 30, 2018.March 31, 2019.
(2)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
(3)Results as of June 30, 2018 and March 31, 2018 reflect the impact of Tax Reform, including the lower expected effective tax rate and the impact to Citi’s DTA position. Results as of June 30, 2017 have not been restated.

The estimated impact to net interest revenue decreased on a sequential basis, reflecting changes in balance sheet composition, including increased sensitivity in deposits combined with loan growth.Citi Treasury positioning. The decrease in the estimated impact to AOCI primarily reflected changes to the positioning of Citi Treasury’s investment securities and related interest rate derivatives portfolio.
In the event of an unanticipated parallel instantaneous 100 bps increase in interest rates, Citi expects that the negative impact to AOCI would be offset in stockholders’ equity through the combination of expected incremental net interest
revenue and the expected recovery of the impact on AOCI through accretion of Citi’s investment portfolio over a period of time. As of June 30, 2018,March 31, 2019, Citi expects that the negative $4.7$3.8 billion impact to AOCI in such a scenario could potentially be offset over approximately 1921 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 monitors the impact of a parallel decrease in interest rates, a 100 bps decrease in short-term rates is not meaningful, as it would imply negative interest rates in many of Citi's markets.



In millions of dollars (unless otherwise noted)Scenario 1Scenario 2Scenario 3Scenario 4
In millions of dollars, except as otherwise notedScenario 1Scenario 2Scenario 3Scenario 4Scenario 5
Overnight rate change (bps)100
100
—
—
100
100
—
—
(100)
10-year rate change (bps)100
—
100
(100)100
—
100
(100)(100)
Estimated annualized impact to net interest revenue
  
U.S. dollar$1,046
$1,043
$57
$(66)$527
$481
$35
$(52)$(810)
All other currencies635
595
37
(37)677
628
39
(39)(532)
Total$1,681
$1,638
$94
$(103)$1,204
$1,109
$74
$(91)$(1,342)
Estimated initial impact to AOCI (after-tax)(1)
$(4,713)$(2,713)$(2,176)$1,688
$(3,828)$(2,312)$(1,620)$1,116
$3,141
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(32)(18)(16)11
(25)(15)(11)7
19
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.




As shown in the table above, the magnitude of the impact to Citi’s net interest revenue and AOCI is greater under scenario 2 as compared to scenario 3. This is because the combination of changes to Citi’s investment portfolio, partially offset by changes related to Citi’s pension liabilities, results in a net position that is more sensitive to rates at shorter- and intermediate-term maturities.
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 2017 Annual Reporting on Form 10-K).


Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of June 30, 2018,March 31, 2019, 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$1.5 billion, or 1.0%, as a result of changes to Citi’s foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, the Euro and the Australian dollar.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-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further affect the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.
The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio are shown in the table below. For additional information on the changes in AOCI, see Note 17 to the Consolidated Financial Statements.















For the quarter endedFor the quarter ended
In millions of dollars (unless otherwise noted)Jun. 30, 2018Mar. 31, 2018Jun. 30, 2017
In millions of dollars, except as otherwise notedMar. 31, 2019Dec. 31, 2018Mar. 31, 2018
Change in FX spot rate(1)
(5.8)%2.5%1.9%0.4%(1.6)%2.5%
Change in TCE due to FX translation, net of hedges$(2,241)$676
$478
$65
$(491)$676
As a percentage of TCE(1.5)%0.4%0.3%—%(0.3)%0.4%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
to changes in FX translation, net of hedges (bps)
—
(2)(3)—
(1)(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)
abs2q20.jpga1q19chartforwdesk.jpg
2nd Qtr. 1st Qtr. 2nd Qtr. Change1st Qtr. 4th Qtr. 1st Qtr. Change
In millions of dollars, except as otherwise noted2018 2018 2017 2Q18 vs. 2Q172019 2018 2018 1Q19 vs. 1Q18
Interest revenue(1)
$17,613
 $16,396
 $15,416
 14% $19,140
 $18,845
 $16,396
 17% 
Interest expense(2)
5,885
 5,160
 4,036
 46
 7,317
 6,853
 5,160
 42
 
Net interest revenue$11,728
 $11,236
 $11,380
 3% $11,823
 $11,992
 $11,236
 5% 
Interest revenue—average rate(3)4.05% 3.85% 3.72% 33
bps4.40% 4.26% 3.85% 55
bps
Interest expense—average rate1.73
 1.56
 1.26
 47
bps2.10
 1.95
 1.56
 54
bps
Net interest margin(3)
2.70
 2.64
 2.75
 (5)bps
Net interest margin(3)(4)
2.72
 2.71
 2.64
 8
bps
Interest-rate benchmarks                
Two-year U.S. Treasury note—average rate2.48% 2.16% 1.30% 118
bps2.49% 2.80% 2.16% 33
bps
10-year U.S. Treasury note—average rate2.92
 2.76
 2.26
 66
bps2.65
 3.04
 2.76
 (11)bps
10-year vs. two-year spread44
bps60
bps96
bps 
 16
bps24
bps60
bps 
 
Note: All interest expense amounts include FDIC, as well as other similar deposit insurance assessments outside of the U.S. As of the fourth quarter of 2018, Citi’s FDIC surcharge was eliminated (approximately $130 million per quarter).
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rates of 21% in 20182019 and 35% in 2017)2018) of $63 million, $64 million, $69 million and $122$64 million for the three months ended June 30,March 31, 2019, December 31, 2018 and March 31, 2018, and June 30, 2017, respectively.
(2)
Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated StatementsStatement 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 on “Average Balances and Interest Rates—Assets” below.
(4)Citi’s net interest margin (NIM) is calculated by dividing grossnet interest revenue less gross interest expense by average interest-earning assets.


Citi’s net interest revenue in the secondfirst quarter of 20182019 increased 4%5% to $11.7$11.8 billion (as set forth in the table above, up 3%5% on a taxable equivalent basis) versus the prior-year period. Excluding the impact of FX translation, net interest revenue also increased 4%8%, or approximately $490$860 million. This increase was primarily due to higher net interest revenue ($11.1 billion, up approximately 10% or $1.0 billion) from Citi’s core accrual activities, which are mainly driven by its deposit and lending businesses. The increase in core accrual net interest revenue was partially offset by lower trading-related net interest revenue ($0.4 billion, down approximately 54% or $0.5 billion) and lower net interest revenue associated with the wind-down of legacy assets in Corporate/Other ($0.2 billion, down approximately 28% or $0.1 billion). The
increase in the core accrual net interest revenue was driven mainly by higher interest rates, loan growth and an improveda favorable loan mix.mix as well as the impact of elimination of the FDIC surcharge. The increase was partially offset by a modest decrease from the lower trading-related net interest revenue and the continued wind-down of legacy assets.
As set forth above, Citi’s NIM was 2.70%2.72% on a taxable equivalent basis in the secondfirst quarter of 2018, a decrease of 5 bps from the prior- year period, driven primarily by lower trading-related NIM. Citi’s core accrual NIM was 3.60%,2019, an increase of 13 bps versus1 basis point from the prior-year period, primarily driven byprior quarter. The increase reflected higher interest rates. (Citi’s core accrual net interest revenuerates and core accrual NIM are non-GAAP financial measures.)


improved loan mix.



Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3) 
Taxable Equivalent Basis
Average volumeInterest revenue% Average rateAverage volumeInterest revenue% Average rate
2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.
In millions of dollars, except rates20182018201720182018201720182018201720192018201820192018201820192018
Assets                
Deposits with banks(4)
$176,151
$170,867
$166,023
$493
$432
$375
1.12%1.03%0.91%$171,369
$175,251
$170,867
$607
$649
$432
1.44%1.47%1.03%
Federal funds sold and securities
borrowed or purchased under
agreements to resell(5)
      




     


In U.S. offices$153,273
$140,357
$144,483
$838
$713
$472
2.19%2.06%1.31%$152,530
$151,760
$140,357
$1,262
$1,202
$713
3.36%3.14%2.06%
In offices outside the U.S.(4)
118,098
113,920
104,780
498
326
357
1.69
1.16
1.37
123,109
124,372
113,920
528
490
326
1.74
1.56
1.16
Total$271,371
$254,277
$249,263
$1,336
$1,039
$829
1.97%1.66%1.33%$275,639
$276,132
$254,277
$1,790
$1,692
$1,039
2.63%2.43%1.66%
Trading account assets(6)(7)
     




    


In U.S. offices$92,791
$97,558
$100,080
$851
$869
$877
3.68%3.61%3.51%$95,904
$93,877
$97,558
$940
$938
$869
3.98%3.96%3.61%
In offices outside the U.S.(4)
117,840
118,603
103,581
922
512
646
3.14
1.75
2.50
124,673
112,983
118,603
752
567
512
2.45
1.99
1.75
Total$210,631
$216,161
$203,661
$1,773
$1,381
$1,523
3.38%2.59%3.00%$220,577
$206,860
$216,161
$1,692
$1,505
$1,381
3.11%2.89%2.59%
Investments     




    


In U.S. offices    




    


Taxable$225,886
$229,407
$224,021
$1,315
$1,224
$1,086
2.34%2.16%1.94%$225,733
$232,169
$229,407
$1,509
$1,449
$1,224
2.71%2.48%2.16%
Exempt from U.S. income tax17,339
17,531
18,466
180
170
197
4.16
3.93
4.28
16,287
16,838
17,531
129
181
170
3.21
4.26
3.93
In offices outside the U.S.(4)
104,562
105,307
106,758
913
877
830
3.50
3.38
3.12
108,988
103,144
105,307
940
907
877
3.50
3.49
3.38
Total$347,787
$352,245
$349,245
$2,408
$2,271
$2,113
2.78%2.61%2.43%$351,008
$352,151
$352,245
$2,578
$2,537
$2,271
2.98%2.86%2.61%
Loans (net of unearned income)(8)
      




     


In U.S. offices$382,972
$380,357
$369,342
$6,958
$6,732
$6,393
7.29%7.18%6.94%$393,398
$392,460
$380,357
$7,649
$7,606
$6,732
7.89%7.69%7.18%
In offices outside the U.S.(4)
286,772
287,568
264,986
4,251
4,177
3,925
5.95
5.89
5.94
285,811
283,014
287,568
4,341
4,375
4,177
6.16
6.13
5.89
Total$669,744
$667,925
$634,328
$11,209
$10,909
$10,318
6.71%6.62%6.52%$679,209
$675,474
$667,925
$11,990
$11,981
$10,909
7.16%7.04%6.62%
Other interest-earning assets(9)
$69,341
$66,761
$60,107
$394
$364
$258
2.28%2.21%1.72%$66,925
$69,243
$66,761
$483
$481
$364
2.93%2.76%2.21%
Total interest-earning assets$1,745,025
$1,728,236
$1,662,627
$17,613
$16,396
$15,416
4.05%3.85%3.72%$1,764,727
$1,755,111
$1,728,236
$19,140
$18,845
$16,396
4.40%4.26%3.85%
Non-interest-earning assets(6)
$172,077
$175,987
$206,581
      $174,687
$181,680
$175,987
      
Total assets$1,917,102
$1,904,223
$1,869,208
   $1,939,414
$1,936,791
$1,904,223
   
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rates of 21% in 20182019 and 35% in 2017)2018) of $63 million, $64 million, $69 million and $122$64 million for the three months ended June 30,March 31, 2019, December 31, 2018 and March 31, 2018, and June 30, 2017, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.
(6)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(7)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(8)Includes cash-basis loans.
(9)Includes brokerage receivables.



Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3) 
Taxable Equivalent Basis
Average volumeInterest expense% Average rateAverage volumeInterest expense% Average rate
2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.
In millions of dollars, except rates20182018201720182018201720182018201720192018201820192018201820192018
Liabilities                
Deposits              
In U.S. offices(4)
$332,595
$323,355
$311,758
$1,041
$897
$593
1.26%1.13%0.76%$366,247
$354,613
$323,355
$1,489
$1,331
$897
1.65%1.49%1.13%
In offices outside the U.S.(5)
453,025
446,416
439,807
1,203
1,100
1,010
1.07
1.00
0.92
473,142
463,533
446,416
1,538
1,464
1,100
1.32
1.25
1.00
Total$785,620
$769,771
$751,565
$2,244
$1,997
$1,603
1.15%1.05%0.86%$839,389
$818,146
$769,771
$3,027
$2,795
$1,997
1.46%1.36%1.05%
Federal funds purchased and
securities loaned or sold under
agreements to repurchase(6)
      





     





In U.S. offices$102,517
$99,015
$101,623
$796
$604
$396
3.11%2.47%1.56%$111,033
$104,647
$99,015
$1,107
$1,048
$604
4.04%3.97%2.47%
In offices outside the U.S.(5)
68,556
65,450
59,354
428
345
280
2.50
2.14
1.89
72,904
72,411
65,450
482
418
345
2.68
2.29
2.14
Total$171,073
$164,465
$160,977
$1,224
$949
$676
2.87%2.34%1.68%$183,937
$177,058
$164,465
$1,589
$1,466
$949
3.50%3.28%2.34%
Trading account liabilities(7)(8)
      





     





In U.S. offices$36,103
$33,996
$34,287
$140
$127
$81
1.56%1.52%0.95%$40,163
$40,735
$33,996
$196
$178
$127
1.98%1.73%1.52%
In offices outside the U.S.(5)
61,048
57,725
56,731
96
88
65
0.63
0.62
0.46
55,127
59,157
57,725
131
99
88
0.96
0.66
0.62
Total$97,151
$91,721
$91,018
$236
$215
$146
0.97%0.95%0.64%$95,290
$99,892
$91,721
$327
$277
$215
1.39%1.10%0.95%
Short-term borrowings(9)
     





     





In U.S. offices$84,338
$89,202
$68,486
$439
$389
$103
2.09%1.77%0.60%$75,440
$80,903
$89,202
$571
$555
$389
3.07%2.72%1.77%
In offices outside the U.S.(5)
23,854
23,482
23,070
84
82
99
1.41
1.42
1.72
23,740
23,693
23,482
81
82
82
1.38
1.37
1.42
Total$108,192
$112,684
$91,556
$523
$471
$202
1.94%1.70%0.88%$99,180
$104,596
$112,684
$652
$637
$471
2.67%2.42%1.70%
Long-term debt(10)
      





    





In U.S. offices$198,291
$199,924
$187,610
$1,620
$1,482
$1,361
3.28%3.01%2.91%$191,903
$193,317
$199,924
$1,685
$1,637
$1,482
3.56%3.36%3.01%
In offices outside the U.S.(5)
4,980
4,353
4,534
38
46
48
3.06
4.29
4.25
5,060
4,857
4,353
37
41
46
2.97
3.35
4.29
Total$203,271
$204,277
$192,144
$1,658
$1,528
$1,409
3.27%3.03%2.94%$196,963
$198,174
$204,277
$1,722
$1,678
$1,528
3.55%3.36%3.03%
Total interest-bearing liabilities$1,365,307
$1,342,918
$1,287,260
$5,885
$5,160
$4,036
1.73%1.56%1.26%$1,414,759
$1,397,866
$1,342,918
$7,317
$6,853
$5,160
2.10%1.95%1.56%
Demand deposits in U.S. offices$33,737
$35,528
$38,772
    $26,893
$32,629
$35,528
    
Other non-interest-bearing liabilities(7)
316,907
324,002
313,227
   301,259
310,369
324,002
   
Total liabilities$1,715,951
$1,702,448
$1,639,259
   $1,742,911
$1,740,864
$1,702,448
   
Citigroup stockholders’ equity$200,295
$200,833
$228,946
   $195,705
$195,101
$200,833
   
Noncontrolling interest856
942
1,003
   798
827
942
   
Total equity$201,151
$201,775
$229,949
   $196,503
$195,928
$201,775
   
Total liabilities and stockholders’ equity$1,917,102
$1,904,223
$1,869,208
   $1,939,414
$1,936,792
$1,904,223
   
Net interest revenue as a percentage of average interest-earning assets(11)
            
In U.S. offices$983,786
$973,752
$956,968
$6,710
$6,717
$6,777
2.74%2.80%2.84%$996,567
$1,007,400
$973,752
$7,232
$7,423
$6,717
2.94%2.92%2.80%
In offices outside the U.S.(6)
761,239
754,484
705,659
5,018
4,519
4,603
2.64
2.43
2.62
768,160
747,711
754,484
4,591
4,569
4,519
2.42
2.42
2.43
Total$1,745,025
$1,728,236
$1,662,627
$11,728
$11,236
$11,380
2.70%2.64%2.75%$1,764,727
$1,755,111
$1,728,236
$11,823
$11,992
$11,236
2.72%2.71%2.64%
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rates of 21% in 20182019 and 35% in 2017)2018) of $63 million, $64 million, $69 million and $122$64 million for the three months ended June 30,March 31, 2019, December 31, 2018 and March 31, 2018, and June 30, 2017, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.
(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)
Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45. However, Interest expense excludes the impact of ASC 210-20-45.
(7)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.



(8)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(9)Includes brokerage payables.
(10)
Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as 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 Balances and Interest Rates—Assets(1)(2)(3)(4)
Taxable Equivalent Basis
 Average volumeInterest revenue% Average rate
 Six MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix Months
In millions of dollars, except rates201820172018201720182017
Assets      
Deposits with banks(5)
$173,509
$160,394
$925
$670
1.08%0.84%
Federal funds sold and securities borrowed or purchased under agreements to resell(6)
      
In U.S. offices$146,816
$144,243
$1,551
$840
2.13%1.17%
In offices outside the U.S.(5)
116,009
103,906
824
650
1.43
1.26
Total$262,825
$248,149
$2,375
$1,490
1.82%1.21%
Trading account assets(7)(8)
      
In U.S. offices$95,175
$100,958
$1,720
$1,761
3.64%3.52%
In offices outside the U.S.(5)
118,222
98,798
1,434
1,069
2.45
2.18
Total$213,397
$199,756
$3,154
$2,830
2.98%2.86%
Investments      
In U.S. offices      
Taxable$227,647
$222,736
$2,539
$2,120
2.25%1.92%
Exempt from U.S. income tax17,435
18,573
350
393
4.05
4.27
In offices outside the U.S.(5)
104,935
106,992
1,790
1,619
3.44
3.05
Total$350,017
$348,301
$4,679
$4,132
2.70%2.39%
Loans (net of unearned income)(9)
      
In U.S. offices$381,665
$368,370
$13,690
$12,666
7.23%6.93%
In offices outside the U.S.(5)
287,170
260,464
8,428
7,720
5.92
5.98
Total$668,835
$628,834
$22,118
$20,386
6.67%6.54%
Other interest-earning assets(10)
$68,051
$58,420
$758
$552
2.25%1.91%
Total interest-earning assets$1,736,634
$1,643,854
$34,009
$30,060
3.95%3.69%
Non-interest-earning assets(7)
$174,032
$206,029
 
 
 
 
Total assets$1,910,666
$1,849,883
 
 
 
 
(1)
Net interestrevenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rates of 21% in 2018 and 35% in 2017) of $127 million and $245 million for the six months ended June 30, 2018 and 2017, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest revenue excludes the impact of FIN 41 (ASC 210-20-45).
(7)
The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities.
(8)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(9)Includes cash-basis loans.
(10)Includes brokerage receivables.




Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3)(4)
Taxable Equivalent Basis
 Average volumeInterest expense% Average rate
 Six MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix Months
In millions of dollars, except rates201820172018201720182017
Liabilities      
Deposits      
In U.S. offices(5)
$327,974
$307,026
$1,938
$1,100
1.19%0.72%
In offices outside the U.S.(6)
449,721
434,275
2,303
1,918
1.03
0.89
Total$777,695
$741,301
$4,241
$3,018
1.10%0.82%
Federal funds purchased and securities loaned
  or sold under agreements to repurchase(7)
      
In U.S. offices$100,766
$98,042
$1,400
$678
2.80%1.39%
In offices outside the U.S.(6)
67,003
56,890
773
491
2.33
1.74
Total$167,769
$154,932
$2,173
$1,169
2.61%1.52%
Trading account liabilities(8)(9)
      
In U.S. offices$35,050
$33,251
$267
$165
1.54%1.00%
In offices outside the U.S.(6)
59,387
58,199
184
128
0.62
0.44
Total$94,437
$91,450
$451
$293
0.96%0.65%
Short-term borrowings(10)
      
In U.S. offices$86,770
$70,047
$828
$188
1.92%0.54%
In offices outside the U.S.(6)
23,668
23,538
166
213
1.41
1.82
Total$110,438
$93,585
$994
$401
1.82%0.86%
Long-term debt(11)
      
In U.S. offices$199,108
$183,133
$3,102
$2,616
3.14%2.88%
In offices outside the U.S.(6)
4,667
4,924
84
105
3.63
4.30
Total$203,775
$188,057
$3,186
$2,721
3.15%2.92%
Total interest-bearing liabilities$1,354,114
$1,269,325
$11,045
$7,602
1.64%1.21%
Demand deposits in U.S. offices$34,633
$38,260
 
 
 
 
Other non-interest-bearing liabilities(8)
320,455
311,376
 
 
 
 
Total liabilities$1,709,202
$1,618,961
 
 
 
 
Citigroup stockholders’ equity(12)
$200,564
$229,918
 
 
 
 
Noncontrolling interest899
1,002
 
 
 
 
Total equity(12)
$201,463
$230,920
 
 
 
 
Total liabilities and stockholders’ equity$1,910,665
$1,849,881
 
 
 
 
Net interest revenue as a percentage of average interest-earning assets      
In U.S. offices$978,772
$958,043
$13,427
$13,540
2.77%2.85%
In offices outside the U.S.(6)
757,862
685,811
9,537
8,918
2.54
2.62
Total$1,736,634
$1,643,854
$22,964
$22,458
2.67%2.76%
(1)
Net interestrevenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rates of 21% in 2018 and 35% in 2017) of $127 million and $245 million for the six months ended June 30, 2018 and 2017, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(5)Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts, and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance fees and charges.
(6)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(7)
Average volumes of securities loaned or sold under agreements to repurchase are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest expense excludes the impact of FIN 41 (ASC 210-20-45).
(8)
The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities.
(9)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(10)
Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as these obligations are accounted for in changes in fair value recorded in Principal transactions.
(11)Includes stockholders' equity from discontinued operations.
(12)Includes allocations for capital and funding costs based on the location of the asset.


Analysis of Changes in Interest Revenue(1)(2)(3) 
2nd Qtr. 2018 vs. 1st Qtr. 20182nd Qtr. 2018 vs. 2nd Qtr. 20171st Qtr. 2019 vs. 4th Qtr. 20181st Qtr. 2019 vs. 1st Qtr. 2018
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits with banks(4)
$14
$47
$61
$24
$94
$118
$(14)$(28)$(42)$1
$174
$175
Federal funds sold and securities borrowed or
purchased under agreements to resell
      
In U.S. offices$68
$57
$125
$30
$336
$366
$6
$54
$60
$67
$482
$549
In offices outside the U.S.(4)
12
160
172
49
92
141
(5)43
38
28
174
202
Total$80
$217
$297
$79
$428
$507
$1
$97
$98
$95
$656
$751
Trading account assets(5)
      
In U.S. offices$(43)$25
$(18)$(66)$40
$(26)$20
$(18)$2
$(15)$86
$71
In offices outside the U.S.(4)
(3)413
410
97
179
276
63
122
185
27
213
240
Total$(46)$438
$392
$31
$219
$250
$83
$104
$187
$12
$299
$311
Investments(1)
      
In U.S. offices$(21)$122
$101
$4
$208
$212
$(46)$54
$8
$(28)$272
$244
In offices outside the U.S.(4)
(6)42
36
(17)100
83
51
(18)33
31
32
63
Total$(27)$164
$137
$(13)$308
$295
$5
$36
$41
$3
$304
$307
Loans (net of unearned income)(6)
      
In U.S. offices$47
$179
$226
$241
$324
$565
$18
$25
$43
$237
$680
$917
In offices outside the U.S.(4)
(12)86
74
323
3
326
43
(77)(34)(26)190
164
Total$35
$265
$300
$564
$327
$891
$61
$(52)$9
$211
$870
$1,081
Other interest-earning assets(7)
$14
$16
$30
$44
$92
$136
$(16)$18
$2
$1
$118
$119
Total interest revenue$70
$1,147
$1,217
$729
$1,468
$2,197
$120
$175
$295
$323
$2,421
$2,744
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rates of 21% in 20182019 and 35% in 20172018 and is included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(4)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(6)Includes cash-basis loans.
(7)Includes brokerage receivables.



Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3) 
2nd Qtr. 2018 vs. 1st Qtr. 20182nd Qtr. 2018 vs. 2nd Qtr. 20171st Qtr. 2019 vs. 4th Qtr. 20181st Qtr. 2019 vs. 1st Qtr. 2018
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits      
In U.S. offices$26
$118
$144
$42
$406
$448
$45
$113
$158
$131
$461
$592
In offices outside the U.S.(4)
16
87
103
31
162
193
31
43
74
69
369
438
Total$42
$205
$247
$73
$568
$641
$76
$156
$232
$200
$830
$1,030
Federal funds purchased and securities loaned
or sold under agreements to repurchase		        
In U.S. offices$22
$170
$192
$4
$396
$400
$64
$(5)$59
$81
$422
$503
In offices outside the U.S.(4)
17
66
83
48
100
148
3
61
64
42
95
137
Total$39
$236
$275
$52
$496
$548
$67
$56
$123
$123
$517
$640
Trading account liabilities(5)
      
In U.S. offices$8
$5
$13
$5
$54
$59
$(3)$21
$18
$26
$43
$69
In offices outside the U.S.(4)
5
3
8
5
26
31
(7)39
32
(4)47
43
Total$13
$8
$21
$10
$80
$90
$(10)$60
$50
$22
$90
$112
Short-term borrowings(6)
      
In U.S. offices$(22)$72
$50
$29
$307
$336
$(39)$55
$16
$(68)$250
$182
In offices outside the U.S.(4)
1
1
2
3
(18)(15)—
(1)(1)1
(2)(1)
Total$(21)$73
$52
$32
$289
$321
$(39)$54
$15
$(67)$248
$181
Long-term debt      
In U.S. offices$(12)$150
$138
$81
$178
$259
$(12)$60
$48
$(61)$264
$203
In offices outside the U.S.(4)
6
(14)(8)4
(14)(10)2
(6)(4)7
(16)(9)
Total$(6)$136
$130
$85
$164
$249
$(10)$54
$44
$(54)$248
$194
Total interest expense$67
$658
$725
$252
$1,597
$1,849
$84
$380
$464
$224
$1,933
$2,157
Net interest revenue$3
$489
$492
$476
$(128)$348
$36
$(205)$(169)$100
$487
$587
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rates of 21% in 20182019 and 35% in 20172018 and is included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(4)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(6)Includes brokerage payables.




Market Risk of Trading Portfolios
For additional information on Citi’s market risk of trading portfolios, see “Market Risk—Market Risk of Trading Portfolios” in Citi’s 2017 Annual Report on Form 10-K.


Value at Risk
As of June 30, 2018,March 31, 2019, Citi estimates that the conservative features of its VAR calibration contributed an approximate 25%26% add-on to what would be a VAR estimated under the assumption of stable and perfectly normal distributed markets. As of MarchDecember 31, 2018, the add-on was 17%20%.
As set forth in the table below, Citi's average trading VAR as of June 30, 2018March 31, 2019 decreased compared to MarchDecember 31, 2018. The decrease was primarilymainly due to lower interest rate and credit spread risk in the Markets businesses within ICG. The decrease of average trading and credit portfolio VAR was in line with the decrease ofin average trading VAR. The average incremental impact of the credit portfolio was mostly unchanged from March 31, 2018 to June 30, 2018.


Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
 Second Quarter First Quarter Second Quarter First Quarter Fourth Quarter First Quarter
In millions of dollarsJune 30, 20182018 AverageMarch 31, 20182018 AverageJune 30, 20172017 AverageMarch 31, 20192019 AverageDecember 31, 20182018 AverageMarch 31, 20182018 Average
Interest rate$60
$61
$84
$68
$48
$52
$32
$37
$48
$54
$84
$68
Credit spread46
47
52
49
52
$49
43
48
55
51
52
49
Covariance adjustment(1)
(25)(26)(24)(25)(15)(15)(21)(23)(23)(22)(24)(25)
Fully diversified interest rate and credit spread(2)
$81
$82
$112
$92
$85
$86
$54
$62
$80
$83
$112
$92
Foreign exchange29
30
33
30
23
23
15
26
18
21
33
30
Equity23
20
20
22
15
15
20
17
25
23
20
22
Commodity16
17
19
20
20
21
30
28
23
20
19
20
Covariance adjustment(1)
(74)(69)(73)(71)(53)(59)(66)(67)(66)(65)(73)(71)
Total trading VAR—all market risk factors, including
general and specific risk (excluding credit portfolios)(2)
$75
$80
$111
$93
$90
$86
$53
$66
$80
$82
$111
$93
Specific risk-only component(3)
$2
$3
$3
$3
$1
$1
$2
$3
$4
$78
$3
$3
Total trading VAR—general market risk factors only
(excluding credit portfolios)
$73
$77
$108
$90
$89
$85
$51
$63
$76
$4
$108
$90
Incremental impact of the credit portfolio(4)
$16
$10
$5
$9
$5
$10
$14
$15
$18
$13
$5
$9
Total trading and credit portfolio VAR$91
$90
$116
$102
$95
$96
$67
$81
$98
$95
$116
$102


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






 

The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:
Second QuarterFirst QuarterSecond QuarterFirst QuarterFourth QuarterFirst Quarter
20182018201720192018
In millions of dollarsLowHighLowHighLowHighLowHighLowHighLowHigh
Interest rate$38
$91
$50
$89
$33
$72
$30
$58
$34
$81
$50
$89
Credit spread43
52
45
53
47
53
41
55
45
53
45
53
Fully diversified interest rate and credit spread$59
$118
$78
$117
$67
$107
$51
$89
$61
$106
$78
$117
Foreign exchange20
44
24
44
17
28
15
34
15
26
24
44
Equity15
26
16
32
10
24
10
29
17
33
16
32
Commodity13
22
16
23
14
30
19
43
17
23
16
23
Total trading$57
$120
$79
$118
$67
$116
$53
$87
$62
$102
$79
$118
Total trading and credit portfolio69
123
88
124
78
123
62
103
74
112
88
124
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 dollarsJun. 30, 2018Mar. 31, 2019
Total—all market risk factors, including
general and specific risk
  
Average—during quarter$78
$65
High—during quarter120
86
Low—during quarter55
53


Regulatory VAR Back-testing
In accordance with Basel III, Citi is required to perform back-testing to evaluate the effectiveness of its Regulatory VAR model. Regulatory VAR back-testing is the process in which the daily one-day VAR, at a 99% confidence interval, is compared to the buy-and-hold profit and loss (i.e., the profit and loss impact if the portfolio is held constant at the end of the day and re-priced the following day). Buy-and-hold profit and loss represents the daily mark-to-market profit and loss attributable to price movements in covered positions from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, fees and commissions, intra-day trading profit and loss and changes in reserves.
Based on a 99% confidence level, Citi would expect two to three days in any one year where buy-and-hold losses exceeded the Regulatory VAR. Given the conservative calibration of Citi’s VAR model (as a result of taking the greater of short- and long-term volatilities and fat-tail scaling of volatilities), Citi would expect fewer exceptions under normal and stable market conditions. Periods of unstable market conditions could increase the number of back-testing exceptions.
As of June 30, 2018,March 31, 2019, there was one back-testing exception observed for Citi’s Regulatory VAR for the prior 12 months. On May 29, 2018, the G10 rates business in ICG experienced large lossesmonths, due to exceptional market moves triggered by political turmoilevents in Italy.





STRATEGIC RISK
For additional information on strategic risk at Citi, see “Strategic Risk” in Citi’s 2018 Annual Report on Form 10-K.

Country Risk

For additional information on country risk at Citi, see “Country Risk” in Citi’s 2017 Annual Report on Form 10-K.


Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by
country (excluding the U.S.) as of June 30, 2018.March 31, 2019. The total exposure as of June 30, 2018March 31, 2019 to the top 25 countries disclosed below in combination with the U.S., would represent approximately 95%96% of Citi’s exposure to all countries. For purposes of the table, loan amounts are reflected in the country where the loan is booked, which is generally based on the domicile of the borrower. For example, a loan to a Chinese subsidiary of a Switzerland-based corporation will generally be categorized as a loan in China. In addition, Citi has
developed regional booking centers in certain countries, most significantly in the United Kingdom (U.K.) and Ireland,
in order to more efficiently serve its corporate customers. As an
example, with respect to the U.K., only 27%31% of corporate
loans presented in the table below are to U.K. domiciled
entities (27%(33% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 84% of the total U.K. funded loans and 90%91% of
the total U.K. unfunded commitments were investment grade
as of June 30, 2018.March 31, 2019. Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.
For a discussion of uncertainties arising as a result of the terms and other uncertainties resulting from the U.K.’s potential exit from the EU, see “Risk Factors—Strategic Risks” in Citigroup’s 2017 Annual Report on Form 10-K.
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
2Q18
Total
as of
1Q18
Total
as of
2Q17
Total as a % of Citi as of 2Q18
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
1Q19
Total
as of
4Q18
Total
as of
1Q18
Total as a % of Citi as of 1Q19
United Kingdom$38.5
$—
$10.5
$62.4
$12.4
$(3.5)$6.4
$(0.9)$125.8
$125.7
$111.8
7.9%$41.1
$—
$4.9
$62.9
$16.5
$(4.4)$4.9
$(3.6)$122.3
$111.6
$125.7
7.5%
Mexico(7)
9.6
25.5
0.4
7.6
0.5
(0.6)13.2
4.0
60.2
63.9
61.3
3.8
10.0
25.2
0.3
8.1
0.5
(0.7)13.7
6.3
63.4
59.6
63.9
3.9
Hong Kong18.8
11.8
0.9
6.3
1.2
(0.2)5.3
1.0
45.1
45.9
39.7
2.8
17.7
13.2
0.8
8.2
1.1
(0.4)7.1
2.6
50.3
48.1
45.9
3.1
Singapore13.7
12.3
0.3
4.8
1.1
(0.2)8.7
0.5
41.2
43.0
41.2
2.6
12.2
12.7
0.2
4.7
1.1
(0.2)8.6
1.7
41.0
40.7
43.0
2.5
Korea2.2
19.0
0.2
2.9
1.6
(1.2)8.9
1.4
35.0
35.8
35.1
2.2
1.9
18.1
0.2
2.4
1.5
(0.4)9.5
0.5
33.7
33.8
35.8
2.1
Ireland12.7
—
1.1
16.4
0.4
—
—
0.7
31.3
32.6
28.9
2.0
13.3
—
0.8
18.2
0.4
—
—
0.8
33.5
33.7
32.6
2.1
India4.1
6.8
0.7
5.4
1.3
(0.8)8.7
1.4
27.6
31.7
33.4
1.7
4.8
7.1
0.8
5.7
2.1
(0.7)9.5
2.7
32.0
30.2
31.7
2.0
Brazil11.6
—
0.1
3.0
5.0
(1.4)3.0
3.1
24.4
26.9
27.3
1.5
12.7
—
—
2.9
5.3
(0.9)3.5
3.3
26.8
26.0
26.9
1.7
Australia4.7
10.4
—
6.2
0.8
(0.4)1.9
(0.4)23.2
24.6
23.7
1.5
5.6
9.9
0.2
6.8
1.2
(0.4)1.5
(1.9)22.9
23.5
24.6
1.4
Germany0.4
—
0.1
6.1
3.6
(3.4)9.1
6.3
22.2
17.4
14.7
1.4
Taiwan5.1
8.8
0.1
1.1
0.5
(0.1)1.2
0.9
17.6
17.4
20.3
1.1
China8.0
4.8
0.3
1.8
2.4
(0.6)2.4
0.4
19.5
19.8
19.4
1.2
6.4
4.7
0.4
1.7
0.8
(0.4)4.4
(0.6)17.4
18.0
19.8
1.1
Taiwan5.3
8.9
0.2
1.2
1.2
—
1.1
1.1
19.0
20.3
18.4
1.2
Germany0.1
—
0.1
4.5
3.4
(3.4)9.4
2.7
16.8
14.7
19.5
1.1
Japan2.9
0.1
0.1
2.3
4.0
(1.3)4.9
2.9
15.9
18.4
18.6
1.0
Canada1.9
0.7
0.5
7.1
2.2
(0.3)3.3
0.4
15.8
15.6
16.3
1.0
2.3
0.6
0.4
6.8
2.4
(0.4)2.7
0.5
15.3
16.0
15.6
0.9
Poland3.6
1.9
0.1
2.9
0.1
(0.1)4.0
0.5
13.0
14.7
13.1
0.8
3.8
1.9
0.1
3.9
0.1
(0.1)4.3
1.3
15.3
13.2
14.7
0.9
Japan2.6
—
0.1
2.7
3.7
(1.5)6.2
0.6
14.4
17.6
18.4
0.9
United Arab Emirates5.6
1.5
0.1
2.8
0.3
(0.1)—
—
10.2
11.0
6.2
0.6
7.1
1.5
0.1
3.5
0.2
(0.1)—
0.1
12.4
9.6
11.0
0.8
Malaysia1.8
4.6
0.3
1.2
0.1
(0.1)1.4
0.7
10.0
10.0
10.0
0.6
Jersey6.9
—
0.4
2.5
0.2
—
—
—
10.0
9.0
4.1
0.6
7.0
—
0.3
2.7
0.1
(0.2)—
—
9.9
10.4
9.0
0.6
Malaysia1.7
4.8
0.3
1.3
0.1
(0.1)1.2
0.4
9.7
10.0
9.0
0.6
Thailand1.2
2.3
—
1.5
0.1
—
1.4
0.4
6.9
7.4
7.0
0.4
0.8
2.5
0.1
1.6
—
—
1.4
0.4
6.8
7.4
7.4
0.4
Indonesia2.3
1.1
—
1.4
0.1
(0.1)1.2
0.2
6.2
6.5
5.7
0.4
2.3
1.0
—
1.5
—
(0.1)1.2
0.2
6.1
6.3
6.5
0.4
Philippines0.6
1.3
0.1
0.4
1.3
—
1.8
0.4
5.9
5.3
4.3
0.4
Russia2.1
0.9
—
0.8
0.4
(0.1)0.7
(0.1)4.7
4.6
5.5
0.3
Luxembourg—
—
—
—
0.8
(0.3)3.2
0.3
4.0
4.9
5.7
0.2
South Africa1.8
—
—
1.3
0.4
(0.1)2.0
(0.1)5.3
4.7
3.9
0.3
1.2
—
0.1
0.9
0.2
(0.1)1.6
—
3.9
4.5
4.7
0.2
Philippines0.8
1.2
0.1
0.4
1.3
(0.1)1.4
0.1
5.2
4.3
3.6
0.3
Luxembourg—
—
—
—
0.5
(0.3)4.3
0.4
4.9
5.7
5.8
0.3
Russia1.9
0.9
—
0.8
0.2
(0.1)0.7
0.2
4.6
5.5
4.7
0.3
Argentina1.8
—
—
0.1
1.0
(0.4)0.2
1.0
3.7
4.3
3.0
0.2
1.7
—
—
0.1
0.6
—
—
0.9
3.3
3.4
4.3
0.2
Total  36.3%  36.7%


(1)
ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of June 30, 2018,March 31, 2019, private bank loans in the table above totaled $24.5$26.5 billion, concentrated in Hong Kong ($7.38.2 billion), Singapore ($6.8 billion) and the U.K. ($5.56.4 billion).                     


(2)
Other funded includes other direct exposure such as accounts receivable, loans HFS, other loans in Corporate/Other and investments accounted for under the equity method.                                        
(3)Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.            


(4)Net mark-to-market counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.
(5)Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost.    
(6)Trading account assets are shown on a net basis and include issuer risk on cash products and derivative exposure where the underlying reference entity/issuer is located in that country.
(7)The decrease in total exposures in Mexico from 1Q18 was primarily due to FX translation. For additional information, see Note 17 to the Consolidated Financial Statements.
    



Venezuela
Argentina
Citi continues to monitor the political and economic environment and uncertainties in Venezuela. As of June 30,December 31, 2018, Citi’s net investment in its Argentineon-shore Venezuelan operations was approximately $740 million, compared to $954 million at December 31, 2017.
For all periods up to and including the second quarter of 2018, Citi used the Argentine peso as the functional currency$40 million. In addition, in Argentina and translated the financial statements of its Argentine operations into U.S. dollars using the official exchange rate published byearly 2015, the Central Bank of Argentina.Venezuela (BCV) sold gold held at the Bank of England to a Citi entity in the U.K., giving Citi ownership and full legal title to the gold for $1.6 billion. Simultaneously, the BCV entered into forward purchase agreements (collectively, the Agreements) with Citi, requiring the BCV to purchase the same quantity of gold from Citi on predetermined dates. The impactnext and final such date will be in April 2020 at which time the BCV will be required to purchase the remaining amount of devaluationsgold from Citi under the terms of the Argentine pesoAgreements. Citi believes it is protected against market and credit risk related to the Agreements. The Agreements were accounted for as a financing on Citi’s net investment in Argentina, netbooks under ASC 470-40.

Potential Exit of hedges, was reported as a translation loss in AOCI.
Citi continued to monitor the inflation trends in Argentina during the second quarter of 2018 to assess whether the Argentine economy should be considered highly inflationary, which is defined in U.S. GAAP as the period in which the three-year cumulative inflation rate in the country exceeds 100%. The determination that Argentina has a highly inflationary economy would require a change in the functional currency of Citi’s Argentine operations to the U.S. dollar in the quarterly period following when the economy was deemed to be highly inflationary.
While there has been uncertainty in recent periods about the three-year cumulative inflation rate given the unavailability and inconsistency of certain historical inflation data in Argentina, as of June 30, 2018, all available inflation statistics published by the Argentine Central Bank had exceeded a three-year cumulative rate of 100%. The Argentine economy was deemed to be highly inflationary as of the second quarter of 2018 and, as a result, Citi was required to change the functional currency of its Argentine operations to the U.S. dollar, effective as of July 1, 2018.U.K. from EU
As widely reported, the change was made effectiveU.K. and EU agreed to extend the U.K.’s scheduled exit from the EU to October 31, 2019. For additional information regarding the U.K’s potential exit from the EU, see “Risk Factors—Strategic Risk” and “Strategic Risk—Potential Exit from U.K. from EU” in JulyCiti’s 2018 there was no financial impact to Citi in the second quarter of 2018. Furthermore, a change in the functional currency to the U.S. dollar does not result in any immediate gains or losses to Citi. However, prospective changes in the translation of Citi’s Argentine peso-denominated assets and liabilities into U.S. dollars at spot exchange rates and prospective changes in the fair value of Citi’s derivative positions used to economically hedge the investment in Argentina will be recorded in earnings instead of AOCI.Annual Report on Form 10-K.






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 Notes 1 and 9 to the Consolidated Financial Statements in Citi’s 20172018 Annual Report on Form 10-K.
At June 30, 2018,March 31, 2019, Citigroup had recorded net DTAs of approximately $22.9$22.8 billion, a decrease of $0.2 billion from March 31, 2018 and an increase of $0.4$0.1 billion from December 31, 2017.2018. The decrease for the quarter was primarily driven by the generation of earnings and the increase for the six months was primarily driven by lossesgains in Other comprehensive income and adoption of ASU 2016-16 (see Note 1 to the Consolidated Financial Statements), partially offset by earnings..
The following table below summarizes Citi’s net DTAs balance. balance:
Jurisdiction/ComponentDTAs balance
In billions of dollarsMarch 31,
2019		December 31, 2018
Total U.S.$20.6
$20.7
Total foreign2.2
2.2
Total$22.8
$22.9

Of Citi’s total net DTAs of $22.8 billion as of June 30, 2018, those arising fromMarch 31, 2019, $10.8 billion (primarily relating to net operating losses, foreign tax creditcredits and general business credit carry-forwards, ($11.7 billion) are 100%which Citi reduced by $0.2 billion in the current quarter) was deducted in calculating Citi’s regulatory capital, whilecapital. Net DTAs arisingresulting from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations ($0 billion)(see “Capital Resources” above).
Despite a $0.4 billion increase in net DTAs from December For the quarter ended March 31, 2017,2019, Citi was able to reducedid not have any such DTAs. Accordingly, the amount of DTAs arising from net operating losses, foreign tax credits and general business credit carry-forwards by $0.5 billion, thereby reducing the amount of DTAs that were excluded from Common Equity Tier 1 Capital from $12.3 billion to $11.7 billion as of June 30, 2018. Thus, approximately $11.2remaining $12.0 billion of net DTAs wereas of March 31, 2019 was not deducted in calculating regulatory capital pursuant to Basel III standards, as of June 30, 2018 and werewas appropriately risk weighted as perunder those rules.
Jurisdiction/ComponentDTAs balance
In billions of dollarsJune 30,
2018		December 31, 2017
Total U.S.$20.3
$19.9
Total foreign2.6
2.6
Total$22.9
$22.5





Effective Tax Rate
Citi’s effective tax rate for the secondfirst quarter of 20182019 was 24.3%21.2%, as compared with 31.6%to 23.7% in the second quarter of 2017.prior-year period. The decrease in21.2% was lower than the roughly 23% expected effective tax rate was primarilyfor 2019 due to thecertain discrete items.The 23% expected 2019 rate is slightly lower U.S. federal statutory tax rate pursuantthan 2018 due to Tax Reform.changes in Citi’s earnings mix.


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










FUTURE APPLICATION OF ACCOUNTING STANDARDS


Accounting for Financial Instruments—Credit Losses
In June 2016, the Financial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments-CreditInstruments—Credit Losses(Topic 326). The ASU introduces a new credit loss methodology, the Current Expected Credit Losses (CECL) methodology, which requires earlier recognition of credit losses, while also providing additional transparency about credit risk.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities and other receivables measured at amortized cost at the time the financial asset is originated or acquired. The expectedallowance for credit losses (ECL) areis adjusted each period for changes in expected lifetime credit losses. This methodology replaces the multiple existing impairment methods in current GAAP, which generally require that a loss be incurred before it is recognized. Within the life cycle of a loan or other financial asset, the ASU will generally result in the earlier recognition of the provision for credit losses and the related allowance for credit losses than current practice. For available-for-sale debt securities that Citi intends to hold and where fair value is less than cost, credit-related impairment, if any, will be recognized through an allowance for credit losses and adjusted each period for changes in credit risk.
The CECL methodology represents a significant change from existing GAAP and may result in material changes to the Company’s accounting for financial instruments. The Company is evaluating the effect that ASU 2016-13 will have on its Consolidated Financial Statements and related disclosures. The impact of the ASU will, among other things, depend upon the state of the economy, forecasted macroeconomic conditions and the nature of Citi’s portfolios at the date of adoption. Based on aan updated preliminary analysis performed in 2018the first quarter of 2019 and the environmentforecasts of macroeconomic conditions and portfoliosexposures at that time, the overall impact was estimated to be an approximate 10%20% to 20%30% increase in credit reserves as of that time. Moreover, there are still some implementation questions recently discussed by the FASB’s Transition Resource Group, including whether a reserve for accrued interest on credit cards is required and whether partial discounting of inputs to expected credit loss models is permitted, that will need to be resolved by the FASB and that could affect the estimated impact.reserves. The ASU will be effective for Citi as of January 1, 2020. This increase would be reflected as a decrease to opening Retained earnings, net of income taxes, at January 1, 2020.
Implementation efforts are underway, including model development, fulfillment of additional data needs for new disclosures and reporting requirements, and drafting of accounting policies. Substantial progress has been made in model development. Model validations and user acceptance testing commenced in the first quarter of 2019, with parallel runs to begin in the third quarter of 2019. The Company intends to utilize a single macroeconomic scenario in estimating expected credit losses. Reasonable and supportable forecast periods and methods to revert to historical averages to arrive at lifetime expected credit losses vary by product.
For additional information on regulatory capital treatment, see “Capital Resources—Regulatory Capital Standards Developments-Regulatory Capital Treatment—Implementation and Transition of the Current Expected Credit


Losses (CECL) Methodology” in the First Quarter ofCiti’s 2018 Annual Report on Form 10-Q.10-K.

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. 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 $140 million increase in retained earnings due to the cumulative effect of recognizing previously deferred gains on sale/leaseback transactions.


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

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







DISCLOSURE CONTROLS AND PROCEDURES
Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of June 30, 2018March 31, 2019 and, based on that evaluation, the CEO and CFO have concluded that at that date, Citigroup’s disclosure controls and procedures were effective.


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


Pursuant to Section 219 of the Iran Threat Reduction and Syria Human Rights Act of 2012, which added Section 13(r) to the Securities Exchange Act of 1934, as amended, Citi is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with individuals or entities that are subject to sanctions under U.S. law. Disclosure is generally required even where the activities, transactions or dealings were conducted in compliance with applicable law.
Between November 2017 and February 2018,During the first quarter of 2019, as a result of an operational error, the Hungarian branch of Citibank N.A., India (branch),Europe plc, a subsidiary of Citibank, acting as the remittingbeneficiary bank, inadvertently processed fivea domestic local currency, non-U.S. dollar transactions on behalf of its clientspayment within Hungary for a fee related to IRISL India PVT, Ltd,  a subsidiarythe operating expenses of the Islamic RepublicIranian Embassy in Budapest.  The aggregate value of Iran Shipping Lines (IRISL)the payment was HUF 135,636.00 (approximately USD 489.79).  The total value of these payments was approximately USD 2,156.00 (INR 147,979.22). The transactionstransaction did not result in any revenue for Citi. These payments were identified duringThe transaction was voluntarily self-disclosed to the second quarter of 2018 through Citi’s sanctions screening capabilities, even though neither IRISL nor its subsidiary is identified as a Government of Iran entity by the U.S. Department of Treasury’s Office of Foreign AssetsAsset Control (OFAC). These transactions were reported to OFAC.








 










FORWARD-LOOKING STATEMENTS


Certain statements in this Form 10-Q, including but not limited to statements included within the Management’s Discussion and Analysis of Financial Condition and Results of Operations, are “forward-looking statements” within the meaning of the rules and regulations of the SEC. In addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the SEC, and its management may make forward-looking statements orally to analysts, investors, representatives of the media and others.
Generally, forward-looking statements are not based on historical facts but instead represent Citigroup’s and its management’s beliefs regarding future events. Such statements may be identified by words such as believe, expect, anticipate, intend, estimate, may increase, may fluctuate, target, illustrative, and similar expressions or future or conditional verbs such as will, should, would and could.
Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results and capital and other financial conditions may differ materially from those included in these statements due to a variety of factors, including without limitation (i) the precautionary statements included within each individual business’s discussion and analysis of its results of operations above and in Citi’s 20172018 Annual Report on Form 10-K and First Quarter of 2018 Form 10-Q;10-K; (ii) the factors listed and described under “Risk Factors” in Citi’s 20172018 Annual Report on Form 10-K; and (iii) the risks and uncertainties summarized below:


the potential impact on Citi’s ability to return capital to common shareholders, consistent with its capital optimizationplanning efforts and targets, due to, among other things, regulatory approval, Citi’s results of operations, Citi’s ability to effectively managefinancial condition and effectiveness in managing its level of risk weightedrisk-weighted assets and GSIB surcharge, potential changes to the regulatory capital framework, the CCAR process and the results of regulatory stress tests, or any changes to the stress testing and CCAR requirements or process, such as the proposed integration of the annual stress testing requirements with ongoing regulatory capital requirements, including introduction of a firm-specific “stress capital buffer” (SCB), including as a result ofand any resulting year-to-year variability resulting fromin the SCB, and the impact on Citi’s estimated management buffer;buffer and the impact of incorporating CECL in future stress testing requirements;
the ongoing regulatory and other uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, including, among others,such as potential policy and/orfiscal, monetary and regulatory changes arising from a newthe U.S. Presidential administration in Mexico, uncertainties and Congress, potential changes to various aspects of the regulatory capital framework and the terms of and other uncertainties resulting from the U.K.’s potential exit from the European Union, and the potential impact these uncertainties and changes could have on Citi’s businesses, results of operations, financial condition, strategy or organizational structure and compliance risks and costs;
Citi’s ability to utilize its remaining DTAs (including the foreign tax credit component of its DTAs) and thus reduce the
negative impact of the DTAs on Citi’s regulatory capital, including as a result of its ability to generate U.S.
taxable income and by the provisions of and guidance issued in connection with Tax Reform;
the potential impact to Citi if its interpretation or application of the complex tax laws to which it is subject, such as withholding tax obligations and stamp and other transactional taxes, differs from those of the relevant governmental authorities;
Citi’s ability to achieve theits expected returns onresults from its ongoingcontinued investments in its businesses and efficiency initiatives, such as revenue growth and expense savings, as part of itsCiti’s operational and financial objectives and targets, including as a result of factors that Citi cannot control;
the potential impact from declining sales and revenuesa deterioration in or other difficulties of any retailer or merchant with whom Citi has afailure to maintain Citi’s co-branding or private label credit card relationship, termination of a particular relationship,for example Sears, due to, among other things, external factors outside the control of either party to the relationship, such asincluding the general economic environment, declining sales and revenues or other operational difficulties of the retailer or merchant, termination of a particular relationship, or other factors, includingsuch as bankruptcies, liquidations, restructurings, consolidations andor other similar events, and the potential negative impact such an event could have on Citi, including as a result of loss of revenues, higher cost of credit, impairment of purchased credit card relationships and contract-related intangibles or other losses;events;
the potential impact to Citi’s businesses, credit costs, deposits, revenues or other results of operations and financial condition as a result of macroeconomic and geopolitical challenges and uncertainties and volatility, including, the further pursuit of protectionist trade or other related policies byamong others, weakening economic conditions in the U.S. and/or Citi’s other target markets, changes in U.S. trade policies and resulting retaliatory measures from other countries, geopolitical tensions and conflicts, changes in governmental fiscal and monetary actions, or expected actions, such as changes in the federal fundsinterest rate and any balance sheet normalization program implemented byother policies, and the Federal Reserve Boardterms or other central banks,conditions regarding the process for the U.K. to withdraw’s potential withdrawal from the European Union, or geopolitical disputes or other instabilities, including those in Asia, the Middle East, Latin America or elsewhere;
Union;
the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, sovereign volatility, regulatory changes and political events, foreign exchange controls, limitations on foreign investment, sociopolitical instability (including from hyper-inflation)hyperinflation), fraud, nationalization or loss of licenses, business restrictions, sanctions or asset freezes, potential criminal charges, closure of branches or subsidiaries and confiscation of assets, as well as the resulting increased compliance, regulatory and legal risks and costs;
Citi’s ability in its resolution plan submissions to address any deficiencies identified or future guidance, including any final 2019 resolution plan guidance, provided by the Federal Reserve Board and FDIC;
the potential impact on Citi’s performance and the performance of its individual businesses, including its competitive position and ability to effectively manage its businesses and continue to execute its strategies, if Citi is unable to hireattract, retain and retainmotivate highly qualified employees for any reason;employees;
Citi’s ability to effectively compete with U.S. and non-U.S. financial services companies and others;others, including as a result of emerging technologies;



the possible discontinuance of LIBOR or any other interest rate benchmark and the adverse consequences it could have for market participants, including Citi;
the potential impact of credit risk and concentrations of risk such as credit and market risk arising from the size and volume of Citi’s transactions with counterparties in the public sector, including the U.S. government and its agencies, or in the financial services industry, on Citi’s results of operations;operations, whether due to a default of or deterioration involving consumer, corporate or public sector counterparties in the U.S. or in various countries and jurisdictions globally;
the potential impacts on Citi’s liquidity and/or costs of funding as a result of external factors, including, among others, the competitive environment for U.S. retail deposits, market disruptions and governmental fiscal and monetary policies as well as regulatory changes or negative investor perceptions of Citi’s creditworthiness;
the impact of ratings downgrades of Citi or one or more of its more significant subsidiaries or issuing entities on Citi’s funding and liquidity as well as the results of operations of certain of its businesses;
the potential impact to Citi from a disruption of its operational systems, including as a result of, among other things, human error, fraud or malice, accidental technological failure, electrical or telecommunication outages or failure of computer servers, or other similar damage to Citi’s property or assets, or failures by third parties with whom Citi does business, as well as disruptions in the operations of Citi’s clients, customers or other third parties;
the increasing risk of continually evolving, sophisticated cybersecurity risksactivities faced by financial institutions and others, including Citi and third parties with whom it does business, and others (suchsuch as, theft of funds oramong other things, theft, loss, misuse or disclosure of confidential or proprietary client, customer corporate or networkcorporate information or assets and other attempts by unauthorized parties to disrupta disruption of computer andor network systems),systems, and the potential impact from such risks, including, among others, reputational damage, with clients, customers and others, lostregulatory penalties, loss of revenues, additional costs (including credit, remediation and other costs), regulatory penalties and inquiries, legal exposure to litigation 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, on how Citi records and reports its financial condition and results of operations;
the potential impact to Citi’s results of operations and/or regulatory capital and capital ratios if Citi’s risk management process,and mitigation processes, strategies or models, including those related to its ability to manage and aggregate data, are deficient or ineffective, require refinement, modification or enhancement or any related approval is withdrawn by Citi’s U.S. banking regulators;
the potential impact to Citi of ongoing implementation and interpretation of regulatory changes and requirements in the U.S. and globally, such asincluding on Citi’s compliance risks and costs, including reputational and legal risks as well as the impact of any remediation and other financial costs, such as penalties and fines; and
 
the potential outcomes of the extensive legal and regulatory proceedings, as well as regulatory examinations, investigations and other inquiries, to which Citi is or may be subject at any given time, particularly given the increased focus on conduct risk and the severity of the remedies sought and potential collateral consequences to Citi arising from such outcomes.


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




























































































































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FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS 
Consolidated Statement of Income (Unaudited)—
For the Three and Six Months Ended June 30,March 31, 2019 and 2018 and 2017
8472
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three and Six Months Ended June 30,March 31, 2019 and 2018 and 2017
8573
Consolidated Balance Sheet—June 30, 2018March 31, 2019 (Unaudited) and December 31, 20172018
8674
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the SixThree Months Ended June 30,March 31, 2019 and 2018 and 2017
8876
Consolidated Statement of Cash Flows (Unaudited)—
For the SixThree Months Ended June 30,March 31, 2019 and 2018 and 2017
8977


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) 
Note 1—Basis of Presentation and Accounting Changes
9179
Note 2—Discontinued Operations and Significant Disposals
9480
Note 3—Business Segments
9581
Note 4—Interest Revenue and Expense
9682
Note 5—Commissions and Fees; Administration and Other
                 Fiduciary Fees
9783
Note 6—Principal Transactions
10085
Note 7—Incentive Plans
10186
Note 8—Retirement Benefits
10186
Note 9—Earnings per Share
10690
Note 10—Federal Funds, Securities Borrowed, Loaned and

Subject to Repurchase Agreements
10791
Note 11—Brokerage Receivables and Brokerage Payables
11094
Note 12—Investments
11195
 




  
Note 13—Loans
124107
Note 14—Allowance for Credit Losses
137118
Note 15—Goodwill and Intangible Assets
139120
Note 16—Debt
141121
Note 17—Changes in Accumulated Other Comprehensive

Income (Loss) (AOCI)
142122
Note 18—Securitizations and Variable Interest Entities
148126
Note 19—Derivatives Activities
157133
Note 20—Fair Value Measurement
168143
Note 21—Fair Value Elections
188157
Note 22—Guarantees, Leases and Commitments
192161
Note 23—Contingencies
197167
Note 24—Condensed Consolidating Financial Statements
199169








CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED) Citigroup Inc. and Subsidiaries
 
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended March 31,
In millions of dollars, except per share amounts201820172018201720192018
Revenues   
 
 
Interest revenue$17,550
$15,294
$33,882
$29,815
$19,076
$16,332
Interest expense5,885
4,036
11,045
7,602
7,317
5,160
Net interest revenue$11,665
$11,258
$22,837
$22,213
$11,759
$11,172
Commissions and fees$3,111
$3,256
$6,141
$6,311
$2,926
$3,030
Principal transactions2,151
2,643
5,440
5,737
2,804
3,242
Administration and other fiduciary fees934
909
1,839
1,743
839
905
Realized gains on sales of investments, net102
221
272
413
130
170
Impairment losses on investments   
 
 
Gross impairment losses(15)(20)(43)(32)(8)(28)
Less: Impairments recognized in AOCI—
—
—
—
Net impairment losses recognized in earnings$(15)$(20)$(43)$(32)$(8)$(28)
Other revenue$521
$(112)$855
$136
$126
$381
Total non-interest revenues$6,804
$6,897
$14,504
$14,308
$6,817
$7,700
Total revenues, net of interest expense$18,469
$18,155
$37,341
$36,521
$18,576
$18,872
Provisions for credit losses and for benefits and claims   
 
 
Provision for loan losses$1,795
$1,666
$3,598
$3,341
$1,944
$1,803
Policyholder benefits and claims21
23
47
53
12
26
Provision (release) for unfunded lending commitments(4)28
24
(15)
Provision for unfunded lending commitments24
28
Total provisions for credit losses and for benefits and claims$1,812
$1,717
$3,669
$3,379
$1,980
$1,857
Operating expenses   
 
 
Compensation and benefits$5,452
$5,463
$11,259
$10,997
$5,658
$5,807
Premises and equipment570
604
1,163
1,224
564
593
Technology/communication1,797
1,695
3,555
3,358
1,720
1,758
Advertising and marketing411
432
792
805
359
381
Other operating2,482
2,566
4,868
5,099
2,283
2,386
Total operating expenses$10,712
$10,760
$21,637
$21,483
$10,584
$10,925
Income from continuing operations before income taxes$5,945
$5,678
$12,035
$11,659
$6,012
$6,090
Provision for income taxes1,444
1,795
2,885
3,658
1,275
1,441
Income from continuing operations$4,501
$3,883
$9,150
$8,001
$4,737
$4,649
Discontinued operations   
 
 
Income (loss) from discontinued operations$(2)$33
$(9)$5
Provision (benefit) for income taxes(17)12
(17)2
Income from discontinued operations, net of taxes$15
$21
$8
$3
Loss from discontinued operations$(2)$(7)
Loss from discontinued operations, net of taxes$(2)$(7)
Net income before attribution of noncontrolling interests$4,516
$3,904
$9,158
$8,004
$4,735
$4,642
Noncontrolling interests26
32
48
42
25
22
Citigroup’s net income$4,490
$3,872
$9,110
$7,962
$4,710
$4,620
Basic earnings per share(1)
   
 
 
Income from continuing operations$1.62
$1.27
$3.30
$2.63
$1.88
$1.68
Income from discontinued operations, net of taxes0.01
0.01
0.01
—
—
—
Net income$1.63
$1.28
$3.31
$2.63
$1.88
$1.68
Weighted average common shares outstanding (in millions)
2,530.9
2,739.1
2,546.2
2,752.2
2,340.4
2,561.6
Diluted earnings per share(1)
 
Income from continuing operations$1.87
$1.68
Income (loss) from discontinued operations, net of taxes—
—
Net income$1.87
$1.68
Adjusted weighted average common shares outstanding
(in millions)
2,342.4
2,563.0


Diluted earnings per share(1)
   
 
Income from continuing operations$1.62
$1.27
$3.30
$2.63
Income (loss) from discontinued operations, net of taxes0.01
0.01
0.01
—
Net income$1.63
$1.28
$3.31
$2.63
Adjusted weighted average common shares outstanding
  (in millions)
2,532.3
2,739.2
2,547.6
2,752.3

(1)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.






CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME Citigroup Inc. and Subsidiaries
(UNAUDITED)  
 Three Months Ended March 31,
In millions of dollars20192018
Citigroup’s net income$4,710
$4,620
Add: Citigroup's other comprehensive income   
Net change in unrealized gains and losses on debt securities, net of taxes(1)
$1,135
$(1,058)
Net change in debt valuation adjustment (DVA), net of taxes(1)
(571)128
Net change in cash flow hedges, net of taxes286
(222)
Benefit plans liability adjustment, net of taxes(64)88
Net change in foreign currency translation adjustment, net of taxes and hedges58
1,120
Net change in excluded component of fair value hedges, net of taxes

18
(4)
Citigroup’s total other comprehensive income$862
$52
Citigroup’s total comprehensive income$5,572
$4,672
Add: Other comprehensive income (loss) attributable to
  noncontrolling interests
$(13)$14
Add: Net income attributable to noncontrolling interests25
22
Total comprehensive income$5,584
$4,708
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2018201720182017
Citigroup’s net income$4,490
$3,872
$9,110
$7,962
Add: Citigroup's other comprehensive income   
  
Net change in unrealized gains and losses on investment
  securities, net of taxes(1)(2)
$(498)$(27)$(1,556)$193
Net change in debt valuation adjustment (DVA), net of taxes(1)
318
(84)446
(144)
Net change in cash flow hedges, net of taxes(101)117
(323)115
Benefit plans liability adjustment, net of taxes301
(135)389
(147)
Net change in foreign currency translation adjustment, net of taxes
  and hedges
(2,867)643
(1,747)1,961
Net change in excluded component of fair value hedges, net of
  taxes

(28)—
(32)—
Citigroup’s total other comprehensive income$(2,875)$514
$(2,823)$1,978
Citigroup’s total comprehensive income$1,615
$4,386
$6,287
$9,940
Add: Other comprehensive income attributable to
  noncontrolling interests
$(57)$39
$(43)$70
Add: Net income attributable to noncontrolling interests26
32
48
42
Total comprehensive income$1,584
$4,457
$6,292
$10,052

(1)See Note 1 to the Consolidated Financial Statements.
(2)For the three and six months ended June 30,Statements in Citi’s 2018 respectively, amount represents the net change in unrealized gains and lossesAnnual Report on available-for-sale (AFS) debt securities. Effective January 1, 2018, the AFS category is eliminated for equity securities under ASU 2016-01.Form 10-K.



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






CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries
June 30, March 31, 
2018December 31,2019December 31,
In millions of dollars(Unaudited)2017(Unaudited)2018
Assets 
 
 
 
Cash and due from banks (including segregated cash and other deposits)$21,077
$23,775
$24,448
$23,645
Deposits with banks179,825
156,741
181,445
164,460
Federal funds sold and securities borrowed or purchased under agreements to resell (including $169,113 and $132,949 as of June 30, 2018 and December 31, 2017, respectively, at fair value)265,526
232,478
Federal funds sold and securities borrowed and purchased under agreements to resell (including $162,116 and $147,701 as of March 31, 2019 and December 31, 2018, respectively, at fair value)264,495
270,684
Brokerage receivables36,977
38,384
44,500
35,450
Trading account assets (including $113,280 and $99,460 pledged to creditors at June 30, 2018 and December 31, 2017, respectively)262,949
252,790
Trading account assets (including $125,102 and $112,932 pledged to creditors at March 31, 2019 and December 31, 2018, respectively)286,511
256,117
Investments:  
Available-for-sale debt securities (including $7,901 and $9,493 pledged to creditors as of June 30, 2018 and December 31, 2017, respectively)289,031
290,725
Held-to-maturity debt securities (including $1,094 and $435 pledged to creditors as of June 30, 2018 and December 31, 2017, respectively)52,897
53,320
Equity securities (including $1,432 and $1,395 at fair value as of June 30, 2018 and December 31, 2017, respectively, of which $189 was available for sale as of December 31, 2017)7,788
8,245
Available-for-sale debt securities (including $13,140 and $9,289 pledged to creditors as of March 31, 2019 and December 31, 2018, respectively)275,132
288,038
Held-to-maturity debt securities (including $986 and $971 pledged to creditors as of March 31, 2019 and December 31, 2018, respectively)66,842
63,357
Equity securities (including $1,012 and $1,109 at fair value as of March 31, 2019 and December 31, 2018, respectively)7,307
7,212
Total investments$349,716
$352,290
$349,281
$358,607
Loans: 
 
 
 
Consumer (including $22 and $25 as of June 30, 2018 and December 31, 2017, respectively, at fair value)323,632
333,656
Corporate (including $2,978 and $4,349 as of June 30, 2018 and December 31, 2017, respectively, at fair value)347,548
333,378
Consumer (including $20 and $20 as of March 31, 2019 and December 31, 2018, respectively, at fair value)319,887
330,487
Corporate (including $3,854 and $3,203 as of March 31, 2019 and December 31, 2018, respectively, at fair value)362,459
353,709
Loans, net of unearned income$671,180
$667,034
$682,346
$684,196
Allowance for loan losses(12,126)(12,355)(12,329)(12,315)
Total loans, net$659,054
$654,679
$670,017
$671,881
Goodwill22,058
22,256
22,037
22,046
Intangible assets (other than MSRs)4,729
4,588
Mortgage servicing rights (MSRs)596
558
Other assets (including $21,703 and $18,559 as of June 30, 2018 and December 31, 2017, respectively, at fair value)109,827
103,926
Intangible assets (including MSRs of $551 and $584 as of March 31, 2019 and December 31, 2018, at fair value)5,196
5,220
Other assets (including $19,818 and $20,788 as of March 31, 2019 and December 31, 2018, respectively, at fair value)110,483
109,273
Total assets$1,912,334
$1,842,465
$1,958,413
$1,917,383


The following table presents certain assets of consolidated variable interest entities (VIEs), which are included in the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. Additionally, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
June 30, March 31, 
2018December 31,2019December 31,
In millions of dollars(Unaudited)2017(Unaudited)2018
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
 
 
Cash and due from banks$46
$52
$105
$270
Trading account assets745
1,129
1,706
917
Investments2,462
2,498
1,805
1,796
Loans, net of unearned income 
 
  
Consumer50,042
54,656
45,885
49,403
Corporate19,075
19,835
17,995
19,259
Loans, net of unearned income$69,117
$74,491
$63,880
$68,662
Allowance for loan losses(1,903)(1,930)(1,858)(1,852)
Total loans, net$67,214
$72,561
$62,022
$66,810
Other assets171
154
140
151
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$70,638
$76,394
$65,778
$69,944
Statement continues on the next page.



CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
(Continued)
June 30, March 31, 
2018December 31,2019December 31,
In millions of dollars, except shares and per share amounts(Unaudited)2017(Unaudited)2018
Liabilities 
 
 
 
Non-interest-bearing deposits in U.S. offices$117,473
$126,880
$101,354
$105,836
Interest-bearing deposits in U.S. offices (including $334 and $303 as of June 30, 2018 and December 31, 2017, respectively, at fair value)337,228
318,613
Interest-bearing deposits in U.S. offices (including $1,408 and $717 as of March 31, 2019 and December 31, 2018, respectively, at fair value)373,339
361,573
Non-interest-bearing deposits in offices outside the U.S.86,241
87,440
80,594
80,648
Interest-bearing deposits in offices outside the U.S. (including $1,294 and $1,162 as of June 30, 2018 and December 31, 2017, respectively, at fair value)455,788
426,889
Interest-bearing deposits in offices outside the U.S. (including $936 and $758 as of March 31, 2019 and December 31, 2018, respectively, at fair value)475,068
465,113
Total deposits$996,730
$959,822
$1,030,355
$1,013,170
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $49,246 and $40,638 as of June 30, 2018 and December 31, 2017, respectively, at fair value)177,828
156,277
Federal funds purchased and securities loaned and sold under agreements to repurchase (including $46,241 and $44,510 as of March 31, 2019 and December 31, 2018, respectively, at fair value)190,372
177,768
Brokerage payables67,672
61,342
62,656
64,571
Trading account liabilities140,745
125,170
136,392
144,305
Short-term borrowings (including $4,093 and $4,627 as of June 30, 2018 and December 31, 2017, respectively, at fair value)37,233
44,452
Long-term debt (including $35,462 and $31,392 as of June 30, 2018 and December 31, 2017, respectively, at fair value)236,822
236,709
Other liabilities (including $17,819 and $13,961 as of June 30, 2018 and December 31, 2017, respectively, at fair value)54,336
57,021
Short-term borrowings (including $5,172 and $4,483 as of March 31, 2019 and December 31, 2018, respectively, at fair value)39,322
32,346
Long-term debt (including $44,088 and $38,229 as of March 31, 2019 and December 31, 2018, respectively, at fair value)243,566
231,999
Other liabilities (including $14,577 and $15,906 as of March 31, 2019 and December 31, 2018, respectively, at fair value)58,735
56,150
Total liabilities$1,711,366
$1,640,793
$1,761,398
$1,720,309
Stockholders’ equity 
 
 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of June 30, 2018—761,400 and as of December 31, 2017—770,120, at aggregate liquidation value
$19,035
$19,253
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of June 30, 2018—3,099,558,751 and as of December 31, 2017—3,099,523,273
31
31
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of March 31, 2019— 719,200 and as of December 31, 2018—738,400, at aggregate liquidation value
$17,980
$18,460
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of March 31, 2019—3,099,601,505 and as of December 31, 2018—3,099,567,177
31
31
Additional paid-in capital107,724
108,008
107,551
107,922
Retained earnings145,211
138,425
154,859
151,347
Treasury stock, at cost: June 30, 2018—582,953,339 shares and December 31, 2017—529,614,728 shares
(34,413)(30,309)
Treasury stock, at cost: March 31, 2019—787,133,784 shares and
December 31, 2018—731,099,833 shares
(47,861)(44,370)
Accumulated other comprehensive income (loss) (AOCI)(37,494)(34,668)(36,308)(37,170)
Total Citigroup stockholders’ equity$200,094
$200,740
$196,252
$196,220
Noncontrolling interest874
932
763
854
Total equity$200,968
$201,672
$197,015
$197,074
Total liabilities and equity$1,912,334
$1,842,465
$1,958,413
$1,917,383


The following table presents certain liabilities of consolidated VIEs, which are included in the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.
June 30, March 31, 
2018December 31,2019December 31,
In millions of dollars(Unaudited)2017(Unaudited)2018
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup
 
 
 
 
Short-term borrowings$12,293
$10,142
$13,071
$13,134
Long-term debt28,727
30,492
25,952
28,514
Other liabilities834
611
940
697
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup
$41,854
$41,245
$39,963
$42,345
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.




CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY Citigroup Inc. and Subsidiaries
(UNAUDITED)  
Six Months Ended June 30,Three Months Ended March 31,
In millions of dollars2018201720192018
Preferred stock at aggregate liquidation value 
 
 
 
Balance, beginning of period$19,253
$19,253
$18,460
$19,253
Redemption of preferred stock(218)—
(480)(97)
Balance, end of period$19,035
$19,253
$17,980
$19,156
Common stock and additional paid-in capital 
 
 
 
Balance, beginning of period$108,039
$108,073
$107,953
$108,039
Employee benefit plans(285)(239)(382)(405)
Other1
(5)11
(4)
Balance, end of period$107,755
$107,829
$107,582
$107,630
Retained earnings 
 
 
 
Balance, beginning of period$138,425
$146,477
$151,347
$138,425
Adjustment to opening balance, net of taxes(1)
(84)(660)151
(84)
Adjusted balance, beginning of period$138,341
$145,817
$151,498
$138,341
Citigroup’s net income9,110
7,962
4,710
4,620
Common dividends(2)
(1,650)(890)(1,075)(826)
Preferred dividends(590)(621)(262)(272)
Other(3)
—
(90)(12)—
Balance, end of period$145,211
$152,178
$154,859
$141,863
Treasury stock, at cost 
 
 
 
Balance, beginning of period$(30,309)$(16,302)$(44,370)$(30,309)
Employee benefit plans(4)
471
523
564
469
Treasury stock acquired(5)
(4,575)(3,563)(4,055)(2,275)
Balance, end of period$(34,413)$(19,342)$(47,861)$(32,115)
Citigroup’s accumulated other comprehensive income (loss) 
 
 
 
Balance, beginning of period$(34,668)$(32,381)$(37,170)$(34,668)
Adjustment to opening balance, net of taxes(1)
(3)504
—
(3)
Adjusted balance, beginning of period$(34,671)$(31,877)$(37,170)$(34,671)
Citigroup’s total other comprehensive income (loss)(2,823)1,978
Citigroup’s total other comprehensive income862
52
Balance, end of period$(37,494)$(29,899)$(36,308)$(34,619)
Total Citigroup common stockholders’ equity$181,059
$210,766
$178,272
$182,759
Total Citigroup stockholders’ equity$200,094
$230,019
$196,252
$201,915
Noncontrolling interests 
 
 
 
Balance, beginning of period$932
$1,023
$854
$932
Transactions between Citigroup and the noncontrolling-interest shareholders(16)6
(99)(15)
Net income attributable to noncontrolling-interest shareholders48
42
25
22
Distributions paid to noncontrolling-interest shareholders(36)—
(4)—
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
(43)70
(13)14
Other(11)(53)—
(2)
Net change in noncontrolling interests$(58)$65
$(91)$19
Balance, end of period$874
$1,088
$763
$951
Total equity$200,968
$231,107
$197,015
$202,866


(1)See Note 1 to the Consolidated Financial Statements for additional details.
(2)Common dividends declared were $0.32$0.45 per share in the first quarter of 2019 and second quarters of 2018 and $0.16 per share in$0.32 for the first and second quartersquarter of 2017.2018.
(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)Primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.
(5) For the six months ended June 30, 2018 and 2017, primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.


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




CONSOLIDATED STATEMENT OF CASH FLOWS Citigroup Inc. and Subsidiaries
(UNAUDITED)  
Six Months Ended June 30,Three Months Ended March 31,
In millions of dollars2018201720192018
Cash flows from operating activities of continuing operations 
 
 
 
Net income before attribution of noncontrolling interests$9,158
$8,004
$4,735
$4,642
Net income attributable to noncontrolling interests48
42
25
22
Citigroup’s net income$9,110
$7,962
$4,710
$4,620
Income from discontinued operations, net of taxes8
3
Loss from discontinued operations, net of taxes(2)(7)
Income from continuing operations—excluding noncontrolling interests$9,102
$7,959
$4,712
$4,627
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
 
 
Net gains on significant disposals(1)
—
(19)
Depreciation and amortization1,855
1,797
931
926
Provision for loan losses3,598
3,341
1,944
1,803
Realized gains from sales of investments(272)(413)(130)(170)
Net impairment losses on investments, goodwill and intangible assets43
60
8
28
Change in trading account assets(10,235)(14,741)(30,427)(16,054)
Change in trading account liabilities15,575
(2,847)(7,913)18,791
Change in brokerage receivables net of brokerage payables7,737
(5,805)(10,965)155
Change in loans HFS(147)(515)1,439
1,627
Change in other assets(5,799)(4,480)(2,961)(3,503)
Change in other liabilities(2,685)(2,975)2,585
1,561
Other, net(10,453)(2,975)3,161
(2,835)
Total adjustments$(783)$(29,572)$(42,328)$2,329
Net cash provided by (used in) operating activities of continuing operations$8,319
$(21,613)$(37,616)$6,956
Cash flows from investing activities of continuing operations 
 
 
 
Change in federal funds sold and securities borrowed or purchased under agreements to resell$(33,048)$2,748
Change in federal funds sold and securities borrowed and purchased under agreements to resell$6,189
$(25,409)
Change in loans(10,132)(29,952)(892)(8,717)
Proceeds from sales and securitizations of loans3,217
6,256
2,062
1,654
Purchases of investments(85,871)(96,925)(69,673)(41,030)
Proceeds from sales of investments41,808
56,728
31,436
20,688
Proceeds from maturities of investments48,846
47,785
47,363
21,509
Proceeds from significant disposals(1)
—
2,732
Capital expenditures on premises and equipment and capitalized software(1,690)(1,647)(518)(969)
Proceeds from sales of premises and equipment, subsidiaries and affiliates
and repossessed assets
143
215
38
101
Other, net98
102
38
49
Net cash used in investing activities of continuing operations$(36,629)$(11,958)
Net cash provided by (used in) investing activities of continuing operations$16,043
$(32,124)
Cash flows from financing activities of continuing operations 
 
 
 
Dividends paid$(2,232)$(1,504)$(1,320)$(1,095)
Redemption of preferred stock(218)—
(480)(97)
Treasury stock acquired(4,686)(3,635)(4,055)(2,378)
Stock tendered for payment of withholding taxes(475)(401)(358)(475)
Change in federal funds purchased and securities loaned or sold under agreements to repurchase21,551
12,959
Change in federal funds purchased and securities loaned and sold under agreements to repurchase12,604
15,482
Issuance of long-term debt40,757
37,679
15,552
20,769
Payments and redemptions of long-term debt(35,087)(21,317)(6,568)(17,882)
Change in deposits36,908
29,337
17,186
41,397
Change in short-term borrowings(7,219)5,818
6,976
(8,358)



CONSOLIDATED STATEMENT OF CASH FLOWS  
(UNAUDITED) (Continued)Six Months Ended June 30,Three Months Ended March 31,
In millions of dollars2018201720192018
Net cash provided by financing activities of continuing operations$49,299
$58,936
$39,537
$47,363
Effect of exchange rate changes on cash and due from banks$(603)$223
$(176)$(7)
Change in cash and due from banks and deposits with banks(2)
$20,386
$25,588
$17,788
$22,188
Cash, due from banks and deposits with banks at beginning of period(2)
180,516
160,494
188,105
180,516
Cash, due from banks and deposits with banks at end of period(2)
$200,902
$186,082
$205,893
$202,704
Cash and due from banks$21,077
$20,940
$24,448
$21,850
Deposits with banks179,825
165,142
181,445
180,854
Cash, due from banks and deposits with banks at end of period$200,902
$186,082
$205,893
$202,704
Supplemental disclosure of cash flow information for continuing operations 
 
 
 
Cash paid during the period for income taxes$2,239
$1,975
$1,325
$738
Cash paid during the period for interest9,957
7,329
6,931
4,586
Non-cash investing activities 
  
 
Transfers to loans HFS from loans$2,900
$3,300
$2,000
$900
Transfers to OREO and other repossessed assets55
58
36
26


(1)    See Note 2 to the Consolidated Financial Statements for further information on significant disposals.
(2) Includes the impact of ASU 2016-18, Restricted Cash. See Notes 1 and 22 to the Consolidated Financial Statements.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.




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


Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of June 30, 2018March 31, 2019 and for the three- and six-monththree-month periods ended June 30,March 31, 2019 and 2018 and 2017 include the accounts of Citigroup Inc. and its consolidated subsidiaries.
In the opinion of management, all adjustments, consisting of normal recurring adjustments, necessary for a fair presentation have been reflected. The accompanying unaudited Consolidated Financial Statements should be read in conjunction with the Consolidated Financial Statements and related notes included in Citigroup’s Annual Report on Form 10-K for the fiscal year ended December 31, 2017 (20172018 (2018 Annual Report on Form 10-K) and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2018 (First Quarter of 2018 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 Consolidated Financial Statements are unaudited.
Throughout these Notes, “Citigroup,” “Citi” and the “Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Certain reclassifications have been made to the prior periods’ financial statements and notes to conform to the current period’s presentation.


ACCOUNTING CHANGES


Revenue RecognitionLease Accounting
In May 2014, the Financial Accounting Standards Board (FASB) issued ASU 2014-09, Revenue from Contracts with Customers (Revenue Recognition), which outlines a single comprehensive model for entities to use in accounting for revenue arising from contracts with customers. The core principle of the revenue model is that an entity recognizes revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. The ASU defines the promised good or service as the performance obligation under the contract.
While the guidance replaces most existing revenue recognition guidance in GAAP, the ASU is not applicable to financial instruments and, therefore, does not impact a majority of the Company’s revenues, including net interest income, loan fees, gains on sales and mark-to-market accounting.
In accordance with the new revenue recognition standard, Citi has identified the specific performance obligation (promised services) associated with the contract with the customer and has determined when that specific performance obligation has been satisfied, which may be at a point in time or over time depending on how the performance obligation is defined. The contracts with customers also contain the transaction price, which consists of fixed consideration and/or consideration that may vary (variable consideration), and is defined as the amount of consideration an entity expects to be entitled to when or as the performance obligation is satisfied, excluding amounts collected on behalf of third parties (including transaction taxes). The amounts recognized at the point in time the performance obligation is satisfied may differ from the ultimate transaction price associated with that performance obligation when a portion of it is based on variable consideration. For example, some consideration is based on the client’s month-end balance or market values which are unknown at the time the contract is executed. The remaining transaction price amount, if any, will be recognized as the variable consideration becomes determinable. In certain transactions, the performance obligation is considered satisfied at a point in time in the future. In this instance, Citi defers revenue on the balance sheet that will only be recognized upon completion of the performance obligation.
The new revenue recognition standard further clarified the guidance related to reporting revenue gross as principal versus net as an agent. In many cases, Citi outsources a component of its performance obligations to third parties. The Company has determined that it acts as principal in the majority of these transactions and therefore presents the amounts paid to these third parties gross within operating expenses.
The Company has retrospectively adopted this standard as of January 1, 2018 and as a result was required to report amounts paid to third parties where Citi is principal to the contract within Operating expenses. The adoption resulted in an increase in both revenue and expenses of approximately $250 million for the three-month period ended March 31, 2018 and approximately $500 million for the six-month period ended June 30, 2018, respectively, while increasing approximately $1 billion for the year ended December 31, 2017 with similar amounts for prior periods. Prior to adoption, these expense amounts were reported as contra revenue primarily within Commissions and fees and Administration and other fiduciary fees revenue. Accordingly, prior periods have been reclassified to conform to the new presentation.
See Note 5 to the Consolidated Financial Statements for a description of the Company’s revenue recognition policies for Commissions and fees and Administration and other fiduciary fees.



Income Tax Impact of Intra-Entity Transfers of Assets
In OctoberFebruary 2016, the FASB issued ASU No. 2016-16, Income Taxes—Intra-Entity Transfers of Assets Other Than Inventory2016-02, Leases (Topic 842), which increases the transparency and comparability of accounting for lease transactions. The ASU requires an entitylessees to recognize liabilities for operating leases and offsetting right-of-use (ROU) assets on the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs.balance sheet. The ASU was effectivealso requires quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessee accounting for finance leases, as well as lessor accounting, are largely unchanged.
Effective January 1, 2018 and was2019, the Company prospectively adopted asthe provisions of that date. The impact of this standard was an increase of DTAs by approximately $300 million,the ASU. At adoption, Citi recognized a decrease of retained earnings by approximately $80 millionlease liability and a decreasecorresponding ROU asset of prepaid tax assets by approximately $380 million. 

Clarifying$4.4 billion on the DefinitionConsolidated Balance Sheet related to its future lease payments as a lessee under operating leases. Additionally, the Company recorded a $151 million increase in Retained Earnings for the cumulative effect of a Business
In January 2017, the FASB issued ASU No. 2017-01, Business Combinations (Topic 805): Clarifying the Definition of a Business. The definition of a business directly and indirectly affects many areas of accounting (e.g., acquisitions, disposals, goodwill and consolidation). The ASU narrows the definition of a business by introducing a quantitative screen as the first step, such that if substantially all of the fair value of the gross assets acquired is concentrated in a single identifiable asset or a group of similar identifiable assets, then the set of transferred assets and activities is not a business. If the set is not scoped out from the quantitative screen, the entity then evaluates whether the set meets the requirement that a business include, at a minimum, an input and a substantive process that together significantly contribute to the ability to create outputs.
The ASU was effective for public entities, including Citi, as of January 1, 2018 with prospective application. The ongoing impactrecognizing previously deferred gains on sale/leaseback transactions. Adoption of the ASU will depend upon the acquisition and disposal activities of Citi. If fewer transactions qualify as a business, there could be less initial recognition of goodwill, but also less goodwill allocated to disposals.

Changes in Accounting for Pension and Postretirement (Benefit) Expense
In March 2017, the FASB issued ASU No. 2017-07, Compensation—Retirement Benefits (Topic 715): Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost,which changes the income statement presentation of net benefit expense and requires restating the Company’s financial statements for each of the earlier periods presented in Citi’s annual and interim financial statements. The change in presentation was effective for annual and interim periods starting January 1, 2018. The ASU requires that only the service cost component of net benefit expense be included in Compensation and benefits on the income statement.  The other components of net benefit expense are required to be presented outside of Compensation and benefits and are presented in Other operating expense.  Since both of these income statement line items are part of Operating expenses, total Operating expenses and Net income will not change. This change in presentation did not have a material effectimpact on Compensationthe Consolidated Income Statement. See Notes 13 and benefits and Other operating expenses and is applied prospectively. The components of22 for additional details.
 
the net benefit expense are currently disclosedThe Company has elected not to separate lease and non-lease components in Note 8its lease contracts and accounts for them as a single lease component. Citi has also elected not to record a ROU asset for short-term leases that have a term of 12 months or less and do not contain purchase options that Citi is reasonably certain to exercise. The cost of short-term leases is recognized in the Consolidated Financial Statements.Statement of Income on a straight-line basis over the lease term. Additionally, Citi applies the portfolio approach to account for certain equipment leases with nearly identical contractual terms.
 The new standard also changes the components of net benefit expense that
Lessee accounting
Operating lease ROU assets and lease liabilities are eligible for capitalization when employee costs are capitalizedincluded in connection with various activities, such as internally developed software, construction-in-progress,Other Assets and loan origination costs. Prospectively from January 1, 2018, only the service cost component of net benefit expense may be capitalized.  Existing capitalized balances are not affected. This change in amounts eligible for capitalization does not have a material effectOther Liabilities, respectively, on the Company’s Consolidated Financial StatementsBalance Sheet. Finance lease assets and related disclosures.

Hedging
In August 2017,liabilities are included in Other Assets and Long-term Debt, respectively, on the FASB issued ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities, which better aligns an entity’s risk management activities and financial reporting for hedging relationships through changes to the designation and measurement guidance for qualifying hedging relationships and the presentation of hedge results.Consolidated Balance Sheet. The ASU requires the changeCompany uses its incremental borrowing rate, factoring in the fairlease term, to determine the lease liability, which is measured at the present value of the hedging instrument to be presented in the same income statement line as the hedged item and also requires expanded disclosures. Citi adopted this standard on January 1, 2018 and transferred approximately $4 billion of pre-payable mortgage backed securities and municipal bonds from held-to-maturity (HTM) into available-for-sale (AFS) securities classification as permitted as a one-time transfer uponfuture lease payments. The ROU asset, at adoption of the standard,ASU, is recorded at the amount of the lease liability plus any prepaid rent and initial direct costs, less any lease incentives and acrrued rent. The lease terms include periods covered by options to extend or terminate the lease depending on whether Citi is reasonably certain to exercise such options.

Lessor accounting
Lessor accounting is largely unchanged under the ASU. Citi acts as thesea lessor for power, railcar, shipping and aircraft assets, were deemedwhere the Company has executed operating, direct financing, and leveraged leasing arrangements. In a direct financing or a leveraged lease, Citi derecognizes the leased asset and records a lease financing receivable at lease commencement in Loans. Upon lease termination, Citi may obtain control of the asset, which is then recorded in Other assets on the consolidated balance sheet and any remaining receivable for the asset’s residual value is derecognized. Under the ASU, leveraged lease accounting is grandfathered and may continue to be eligible toapplied until the leveraged lease is terminated or modified. Upon modification, the lease must be hedged under the last of layer hedge strategy. The impact to opening retained earnings was immaterial. See Note 19 to the Consolidated Financial Statements for more information.

Recognition and Measurement of Financial Assets and Financial Liabilities
In January 2016, the FASB issued ASU No. 2016-01, Financial Instruments—Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities, which addresses certain aspects of recognition, measurement, presentation and disclosure of financial instruments. In February 2018, the FASB issued ASU No. 2018-03, Technical Corrections and Improvements to Financial Instruments—Overall (Subtopic 825-10), to clarify certain provisions in ASU 2016-01.
The ASUs require entities to present separately in AOCI the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair valueclassified as an operating, direct finance, or sales-type lease in accordance with the fair value option for financial instruments. It also requires equity investments (except those accounted for under the equity methodASU.
Separately, as part of accounting or those that result in consolidation of the investee) to be measured at fair value with changes in fair value recognized in net income, thus eliminating the AFS category for equity investments. However, Federal Reserve Bank and Federal Home Loan Bank stock,managing its real estate footprint, Citi subleases excess real estate space via operating lease arrangements, while retaining its obligation as well as certain exchange seats, will continue to be presented at cost. The ASUs also providea lessee.




an instrument-by-instrument election to measure non-marketable equity investments using a measurement alternative. Under the measurement alternative, the investment is carried at cost plus or minus changes resulting from observable prices in orderly transactions for the identical or a similar investment of the same issuer. In addition, equity securities under the measurement alternative are also assessed for impairment. Finally, the ASUs require that fair value disclosures for financial instruments not measured at fair value on the balance sheet be presented at their exit prices (e.g., held-for-investment loans).
Citi early adopted the provisions of ASU 2016-01
related to presentation of the change in fair value of liabilities for which the fair value option was elected, related to changes in Citigroup’s own credit spreads in Accumulated other comprehensive income (loss) (AOCI) effective January 1, 2016. Accordingly, since the first quarter of 2016, these amounts have been reflected as a component of AOCI, whereas these amounts were previously recognized in Citigroup’s revenues and net income. The impact of adopting this amendment resulted in a cumulative catch-up reclassification from retained earnings to AOCI of an accumulated after-tax loss of approximately $15 million at January 1, 2016. Financial statements for periods prior to 2016 were not subject to restatement under the provisions of this ASU. For additional information, see Notes 17, 20 and 21 to the Consolidated Financial Statements.
The other provisions of ASU 2016-01, as discussed above, was effective January 1, 2018. Citi has adopted both ASU 2016-01 and ASU 2018-03 as of January 1, 2018. Accordingly, as of the first quarter of 2018, the changes to accounting for equity securities and fair value disclosures have been reflected in Citigroup’s financial statements. The impact of adopting the change to AFS equity securities resulted in a cumulative catch-up reclassification from AOCI to retained earnings of an accumulated after-tax gain of approximately $3 million at January 1, 2018. Citi elected the measurement alternative for all non-marketable equity investments that no longer qualify for cost measurement under the ASUs. This provision in the ASUs was adopted prospectively. Financial statements for periods prior to 2018 were not subject to restatement under the provisions of the ASUs. For additional information, see Notes 12, 17 and 20to the Consolidated Financial Statements.

Statement of Cash Flows
In November 2016, the FASB issued ASU No. 2016-18, Restricted Cash,which requires that companies present cash, cash equivalents and amounts generally described as restricted cash or restricted cash equivalents (restricted cash) when reconciling beginning-of-period and end-of-period totals on the Statement of Cash Flows. In connection with the adoption of the ASU, Citigroup also changed its definition of cash and cash equivalents to include all of Cash and due from banks and predominately all of Deposits with banks. The Company has retrospectively adopted this ASU as of January 1, 2018 and as a result Net cash provided by investing activities of continuing operations on the
Statement of Cash Flows increased by $27.7 billion for the six months ended June 30, 2017.
In August 2016, the FASB issued ASU No. 2016-15, Classification of Certain Cash Receipts and Cash Payments,which provides guidance on the classification and presentation of certain cash receipts and payments on the Statement of Cash Flows. The Company has retrospectively adopted this ASU as of January 1, 2018 which resulted in immaterial changes to Citi’s Consolidated Statement of Cash Flows.

Premium Amortization on Purchased Callable Debt Securities
In March 2017, the 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.
Citi early adopted the ASU in the second quarter of 2017, with an effective date of January 1, 2017. Adoption of the ASU is on a modified retrospective basis through a cumulative effect adjustment to retained earnings as of the beginning of the year of adoption.  Adoption of the ASU primarily affected Citi’s AFS and HTM portfolios of callable state and municipal debt securities. The ASU adoption resulted in a net reduction to total stockholders’ equity of $156 million (after tax), effective as of January 1, 2017.  This amount is composed of a reduction of approximately $660 million to retained earnings for the incremental amortization of purchase premiums and cumulative hedge adjustments generated under fair value hedges of these callable debt securities, offset by an increase to AOCI of $504 million related to the cumulative fair value hedge adjustments reclassified to retained earnings for AFS debt securities.




2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS


SummaryThe Company’s Discontinued operations consisted of Discontinued Operations
Citi sold its German retail banking operations andresidual activities related to the sale of the Egg Banking plc credit card businessCredit Card Business in 2008 and 2011, respectively. Residual items from these disposals mainly related to reversal of reserves associated with agreed tax settlement and expirations of certain warranties and indemnifications, resulted in income from Discontinued operations, net of taxes, as summarized below.2011. All Discontinued operations results are recorded within Corporate/Other.
The following summarizes financial information for allDiscontinued operations:
discontinued operations:
 
Three Months Ended
March 31,
In millions of dollars20192018
Total revenues, net of interest expense$—
$—
Loss from discontinued operations$(2)$(7)
Benefit for income taxes—
—
Loss from discontinued operations, net of taxes$(2)$(7)

 
Three Months Ended
June 30,
Six Months Ended
June 30,
In millions of dollars2018201720182017
Total revenues, net of interest expense$—
$—
$—
$—
(Loss) income from discontinued operations$(2)$33
$(9)$5
(Benefit) provision for income taxes(17)12
(17)2
Income from discontinued operations, net of taxes$15
$21
$8
$3


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

Significant Disposals
There were no new significant disposal transactions during the three and six months ended June 30, 2018. For a description of the Company’s significant disposal transactions and financial impact, see Note 2 to the Consolidated Financial Statements in Citi’s 20172018 Annual Report on Form 10-K.







 

























3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through the following business segments: Global Consumer Banking (GCB) (GCB) and ICGInstitutional Clients Group (ICG). In addition, Corporate/Other includes activities not assigned to a specific business segment, as well as certain North America and international loan portfolios, discontinued operations and other legacy assets.
The prior-period balances reflect reclassifications to conform the presentation for all periods to the current period’s presentation. Effective January 1, 2018,2019, financial data was reclassified to reflect:


adoption of ASU No. 2014-09, Revenue Recognition, which occurred on January 1, 2018 on a retrospective basis. See “Accounting Changes” in Note 1 to the Consolidated Financial Statements;
the re-attribution of certain costs between Corporate/Other and GCB and ICG; and
•
the re-attribution of certain costs between Corporate/Other and GCB and ICG; and
certain other immaterial reclassifications.


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


For additional information regarding Citigroup’s business segments, see Note 3 to the Consolidated Financial Statements in Citi’s 20172018 Annual Report on Form 10-K.
The following table presents certain information regarding the Company’s continuing operations by segment:




























Three Months Ended June 30, Three Months Ended March 31, 
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Identifiable assets
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Identifiable assets
In millions of dollars, except identifiable assets in billions201820172018201720182017June 30,
2018		December 31, 2017201920182019201820192018March 31,
2019		December 31, 2018
Global Consumer Banking$8,250
$8,073
$411
$646
$1,279
$1,128
$422
$428
$8,451
$8,426
$422
$454
$1,437
$1,390
$426
$432
Institutional Clients Group9,691
9,421
971
1,327
3,237
2,780
1,397
1,336
9,694
9,855
924
1,056
3,322
3,334
1,425
1,394
Corporate/Other528
661
62
(178)(15)(25)93
78
431
591
(71)(69)(22)(75)107
91
Total$18,469
$18,155
$1,444
$1,795
$4,501
$3,883
$1,912
$1,842
$18,576
$18,872
$1,275
$1,441
$4,737
$4,649
$1,958
$1,917
(1)
Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $8.6$8.3 billion and $8.6$8.2 billion; in EMEA of $3.0$3.2 billion and $2.9$3.2 billion; in Latin America of $2.5 billion and $2.4$2.6 billion; and in Asia of $3.8$4.1 billion and $3.6$4.1 billion for the three months ended June 30,March 31, 2019 and 2018, and 2017, respectively. These regional numbers exclude Corporate/Other, which largely operates within the U.S.
(2)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $1.9$2.0 billion and $1.8$1.9 billion; in the ICG results of $25$21 million and $87$(41) million; and in the Corporate/Other results of $(118)$(25) million and $(132)$(7) million for the three months ended June 30,March 31, 2019 and 2018, and 2017, respectively.




 Six Months Ended June 30,
 
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
In millions of dollars201820172018201720182017
Global Consumer Banking$16,683
$15,919
$864
$1,228
$2,673
$2,126
Institutional Clients Group19,539
18,740
2,028
2,702
6,566
5,791
Corporate/Other1,119
1,862
(7)(272)(89)84
Total$37,341
$36,521
$2,885
$3,658
$9,150
$8,001


4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
 Three Months Ended March 31,
In millions of dollars20192018
Interest revenue  
Loan interest, including fees$11,969
$10,892
Deposits with banks607
432
Federal funds sold and securities borrowed or purchased under agreements to resell1,783
1,039
Investments, including dividends2,548
2,234
Trading account assets(1)
1,686
1,371
Other interest483
364
Total interest revenue$19,076
$16,332
Interest expense  
Deposits(2)
$3,027
$1,997
Federal funds purchased and securities loaned or sold under agreements to repurchase1,589
949
Trading account liabilities(1)
327
215
Short-term borrowings652
471
Long-term debt1,722
1,528
Total interest expense$7,317
$5,160
Net interest revenue$11,759
$11,172
Provision for loan losses1,944
1,803
Net interest revenue after provision for loan losses$9,815
$9,369

(1)
Includes total revenues, net of interest expense, in North America of $16.9 billion and $17.2 billion; in EMEA of $6.2 billion and $5.7 billion; in Latin America of $5.1 billion and $4.7 billion; and in Asia of $8.0 billion and $7.1 billion for the six months ended June 30, 2018 and 2017, 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 $3.8 billion and $3.6 billion; in the ICG results of $(16) million and $(118) million; and in Corporate/Other results of $(125) million and $(80) million for the six months ended June 30, 2018 and 2017, 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 dollars2018201720182017
Interest revenue    
Loan interest, including fees$11,190
$10,293
$22,082
$20,338
Deposits with banks493
375
925
670
Federal funds sold and securities borrowed or purchased under agreements to resell1,336
829
2,375
1,490
Investments, including dividends2,374
2,058
4,608
4,018
Trading account assets(1)
1,763
1,481
3,134
2,747
Other interest394
258
758
552
Total interest revenue$17,550
$15,294
$33,882
$29,815
Interest expense    
Deposits(2)
$2,244
$1,603
$4,241
$3,018
Federal funds purchased and securities loaned or sold under agreements to repurchase1,224
676
2,173
1,169
Trading account liabilities(1)
236
146
451
293
Short-term borrowings523
202
994
401
Long-term debt1,658
1,409
3,186
2,721
Total interest expense$5,885
$4,036
$11,045
$7,602
Net interest revenue$11,665
$11,258
$22,837
$22,213
Provision for loan losses1,795
1,666
3,598
3,341
Net interest revenue after provision for loan losses$9,870
$9,592
$19,239
$18,872
(1)
Interest expense on Trading account liabilities is reported as a reduction of interest revenue from Trading account assets.
(2)Includes deposit insurance fees and charges of $319$193 million and $329$376 million for the three months ended June 30,March 31, 2019 and 2018, and 2017, respectively, and $695 million and $634 million for the six months ended June 30, 2018 and 2017, respectively.










5.  COMMISSIONS AND FEES; ADMINISTRATION
AND OTHER FIDUCIARY FEES


The primary components of For additional information on Citi’s Commissions and fees revenue are investment banking fees, brokerage commissions, credit-Fees; Administration and bank-card income and deposit-related fees.
Investment banking fees are substantially composed of underwriting and advisory revenues. Such fees are recognized at the point in time when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the closing of a transaction. Reimbursed expenses related to these transactions are recorded as revenue and are included within investment banking fees. In certain instances for advisory contracts, Citi will receive amounts in advance of the deal’s closing. In these instances, the amounts received will be recognized as a liability and not recognized in revenue until the transaction closes. The contract liability amount for the periods presented was negligible. Out-of-pocket expenses associated with underwriting activity are deferred and recognized at the time the related revenue is recognized, while out-of-pocket expenses associated with advisory arrangements are expensed as incurred. In general, expenses incurred related to investment banking transactions, whether consummated or not, are recorded in Other operating expenses. The Company has determined that it acts as principal in the majority of these transactions and therefore presents expenses gross within Other operating expenses.
Brokerage commissions primarily include commissions and fees from the following: executing transactions for clients on exchanges and over-the-counter markets; sales of mutual funds and other annuity products; and assisting clients in clearing transactions, providing brokerage services and other such activities. Brokerage commissions are recognized in Commissions and fees at the point in time the associated service is fulfilled, generally on trade-execution date. Gains or losses, if any, on these transactions are included in Principal transactions (seeFiduciary Fees, see Note 65 to the Consolidated Financial Statements). Sales of certain investment products include a portion of variable consideration associated with the underlying product. In these instances, a portion of the revenue associated with the sale of the product is not recognized until the variable consideration becomes fixed. The Company recognized $124 million and $99 million of revenue related to such variable consideration for the three months ended June 30,Statements in Citi’s 2018 and 2017, respectively, and $272 million and $195 million for the six months ended June 30, 2018 and 2017, respectively. These amounts primarily relate to performance obligations satisfied in prior periods.
Annual Report on Form 10-K.

Credit- and bank-card income is primarily composed of interchange fees, which are earned by card issuers based on purchase sales, and certain card fees, including annual fees. Costs related to customer reward programs and certain payments to partners (primarily based on program sales, profitability and customer acquisitions) are recorded as a reduction of credit- and bank-card income. Interchange revenues are recognized as earned on a daily basis when Citi's performance obligation to transmit funds to the payment networks has been satisfied. Annual card fees, net of origination costs, are deferred and amortized on a straight-line basis over a 12-month period. Costs related to card reward programs are recognized when the rewards are earned by the cardholders. Payments to partners are recognized when incurred.
Deposit-related fees consist of service charges on deposit accounts and fees earned from performing cash management activities and other deposit account services. Such fees are recognized in the period in which the related service is provided.
Transactional service fees primarily consist of fees charged for processing services such as cash management, global payments, clearing, international funds transfer, and other trade services. Such fees are recognized as/when the associated service is satisfied, which normally occurs at the point in time the service is requested by the customer and provided by Citi.
Insurance distribution revenue consists of commissions earned from third-party insurance companies for marketing and selling insurance policies on behalf of such entities. Such commissions are recognized in Commissions and fees at the point in time the associated service is fulfilled, generally when the insurance policy is sold to the policyholder. Sales of certain insurance products include a portion of variable consideration associated with the underlying product. In these instances, a portion of the revenue associated with the sale of the policy is not recognized until the variable consideration becomes determinable. The Company recognized $101 million and $107 million for the three months ended June 30, 2018 and 2017, respectively, and $204 million and $227 million for the six months ended June 30, 2018 and June 30, 2017, respectively. These amounts primarily relate to performance obligations in prior periods.
Insurance premiums consist of premium income from insurance policies which Citi has underwritten and sold to policyholders.


The following tables present Commissions and fees revenue:
 Three Months Ended March 31,
 2019
In millions of dollarsICGGCBCorporate/OtherTotal
Investment banking$910
$4
$—
$914
Brokerage commissions471
186
—
657
Credit- and bank-card income   

     Interchange fees278
1,984
—
2,262
     Card-related loan fees13
160
—
173
     Card rewards and partner payments(153)(2,061)—
(2,214)
Deposit-related fees(1)
245
139
—
384
Transactional service fees195
35
—
230
Corporate finance(2)
178
1
—
179
Insurance distribution revenue(3)
4
132
—
136
Insurance premiums(3)
—
29
(1)28
Loan servicing42
30
6
78
Other17
81
1
99
Total commissions and fees(4)
$2,200
$720
$6
$2,926


 Three Months Ended June 30,Six Months Ended June 30,
 20182018
In millions of dollarsICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotal
Investment banking$1,012
$—
$—
$1,012
$1,839
$—
$—
$1,839
Brokerage commissions491
206
—
697
1,057
455
—
1,512
Credit- and bank-card income   

    
     Interchange fees276
2,025
5
2,306
536
3,900
10
4,446
     Card-related loan fees17
147
6
170
31
302
12
345
     Card rewards and partner payments(126)(2,065)(6)(2,197)(250)(3,940)(11)(4,201)
Deposit-related fees(1)
236
160
1
397
472
343
1
816
Transactional service fees182
21
1
204
372
42
3
417
Corporate finance(2)
219
1
—
220
361
3
—
364
Insurance distribution revenue(3)
5
142
5
152
10
285
10
305
Insurance premiums(3)
—
32
(1)31
—
65
(2)63
Loan servicing38
40
11
89
76
62
23
161
Other(5)34
1
30
10
61
3
74
Total commissions and fees(4)
$2,345
$743
$23
$3,111
$4,514
$1,578
$49
$6,141

Three Months Ended June 30,Six Months Ended June 30,Three Months Ended March 31,
20172018
In millions of dollarsICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotal
Investment banking$967
$—
$—
$967
$1,879
$—
$—
$1,879
$822
$5
$—
$827
Brokerage commissions490
199
1
690
972
393
2
1,367
566
248
—
814
Credit- and bank-card income         
Interchange fees241
1,892
23
2,156
463
3,595
63
4,121
260
1,874
5
2,139
Card-related loan fees14
187
12
213
26
354
28
408
14
155
6
175
Card rewards and partner payments(109)(1,844)(14)(1,967)(211)(3,530)(41)(3,782)(124)(1,874)(5)(2,003)
Deposit-related fees(1)
239
181
4
424
447
366
8
821
236
183
1
420
Transactional service fees197
26
9
232
371
53
33
457
190
21
2
213
Corporate finance(2)
249
1
—
250
433
2
—
435
142
1
—
143
Insurance distribution revenue(3)
2
138
17
157
5
283
41
329
5
143
5
153
Insurance premiums(3)
—
32
(1)31
—
65
(3)62
—
33
(1)32
Loan servicing36
28
32
96
71
54
64
189
38
22
12
72
Other(16)20
3
7
(38)39
24
25
15
28
2
45
Total commissions and fees(4)
$2,310
$860
$86
$3,256
$4,418
$1,674
$219
$6,311
$2,164
$839
$27
$3,030
(1)Includes overdraft fees of $30$31 million and $33$32 million for the three months ended June 30,March 31, 2019 and 2018, and 2017, respectively, and $62 million and $66 million for the six months ended June 30, 2018 and 2017, respectively. Overdraft fees are accounted for under ASC 310.
(2)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
(3)Previously reported as insurance premiums onin the Consolidated Statement of Income.
(4)
Commissions and fees includes $(1,648)$(1,721) million and $(1,347)$(1,545) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended June 30, 2018March 31, 2019 and 2017, respectively, and $(3,193) million and $(2,625) million for the six months ended June 30, 2018 and 2017, respectively.2018. 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.







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

Three Months Ended June 30,Six Months Ended June 30,Three Months Ended March 31,
20182019
In millions of dollarsICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotal
Custody fees$399
$45
$17
$461
$767
$92
$32
$891
$364
$3
$16
$383
Fiduciary fees165
150
12
327
332
297
19
648
152
146
12
310
Guarantee fees130
14
2
146
267
29
4
300
130
14
2
146
Total administration and other fiduciary fees(1)
$694
$209
$31
$934
$1,366
$418
$55
$1,839
$646
$163
$30
$839
 Three Months Ended March 31,
 2018
In millions of dollarsICGGCBCorporate/OtherTotal
Custody fees$368
$47
$16
$431
Fiduciary fees167
147
7
321
Guarantee fees137
14
2
153
Total administration and other fiduciary fees(1)
$672
$208
$25
$905
 Three Months Ended June 30,Six Months Ended June 30,
 20172017
In millions of dollarsICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotal
Custody fees$382
$41
$14
$437
$510
$54
$16
$580
Fiduciary fees147
142
30
319
289
274
41
604
Guarantee fees138
13
2
153
494
50
15
559
Total administration and other fiduciary fees(1)
$667
$196
$46
$909
$1,293
$378
$72
$1,743

(1)
Administration and other fiduciary fees includes $146 million and $153 million for the three months ended June 30,March 31, 2019 and 2018, and 2017, respectively, and $299 million and $296 million for the six months ended June 30, 2018 and 2017, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amounts include guarantee fees.






6. PRINCIPAL TRANSACTIONS
Principal transactions revenue consists of realized and unrealized gains and losses from trading activities. Trading activities include revenues from fixed income, equities, credit and commodities products and foreign exchange transactions whichthat are managed on a portfolio basis characterized by primary risk. Not included in the table below is the impact of net interest revenue related to trading activities, which is an
integral part of trading activities’ profitability. See Note 4 to the Consolidated Financial Statements for information about net interest revenue related to trading activities. Principal transactions include CVA (credit valuation adjustments on derivatives)adjustments) and FVA (funding valuation adjustments) on over-the-counter derivatives.derivatives, and gains (losses) on certain economic hedges on loans in 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 transactions
revenue:

























Three Months Ended June 30,Six Months Ended June 30,Three Months Ended March 31,
In millions of dollars201820172018201720192018
Global Consumer Banking$143
$152
$293
$307
Institutional Clients Group2,358
2,151
5,242
4,882
Corporate/Other(350)340
(95)548
Total Citigroup$2,151
$2,643
$5,440
$5,737
Interest rate risks(1)
$1,551
$1,495
$3,173
$3,241
$1,718
$1,566
Foreign exchange risks(2)
175
757
920
1,336
473
730
Equity risks(3)
120
74
686
286
456
589
Commodity and other risks(4)
208
169
300
322
119
101
Credit products and risks(5)
97
148
361
552
38
256
Total$2,151
$2,643
$5,440
$5,737
$2,804
$3,242
(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.




7. INCENTIVE PLANS
For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 20172018 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 20172018 Annual Report on Form 10-K.


Net (Benefit) Expense
The following table summarizes the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s pension and postretirement plans for Significant Plans and All Other Plans:
Three Months Ended June 30,Three Months Ended March 31,
Pension plansPostretirement benefit plansPension plansPostretirement benefit plans
U.S. plansNon-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars2018201720182017201820172018201720192018201920182019201820192018
Benefits earned during the period$—
$—
$38
$38
$—
$—
$3
$2
$—
$1
$36
$38
$—
$—
$2
$2
Interest cost on benefit obligation126
136
72
74
7
8
25
25
130
123
75
75
7
6
26
26
Expected return on plan assets(211)(217)(72)(76)(3)(2)(22)(22)(203)(213)(68)(78)(5)(3)(21)(23)
Amortization of unrecognized 
  
 
 
 
 
 
Prior service benefit—
1
(1)(1)—
—
(3)(3)
Amortization of unrecognized: 
  
 
 
 
 
 
Prior service cost (benefit)1
—
(1)(1)—
—
(2)(2)
Net actuarial loss42
40
14
15
—
1
8
9
44
47
15
13
—
—
5
7
Curtailment loss (1)
1
3
—
—
—
—
—
—
Settlement loss(1)
—
—
1
4
—
—
—
—
—
—
—
4
—
—
—
—
Total net (benefit) expense$(42)$(37)$52
$54
$4
$7
$11
$11
$(28)$(42)$57
$51
$2
$3
$10
$10

 














































(1)Losses due to curtailment and 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 dollars20182017 20182017 20182017 20182017
Benefits earned during the period$1
$1
 $76
$74
 $—
$—
 $5
$4
Interest cost on benefit obligation249
275
 147
145
 13
14
 51
49
Expected return on plan assets(424)(433) (150)(146) (6)(3) (45)(43)
Amortization of unrecognized    
 
   
  
 
Prior service benefit—
1
 (2)(2) —
—
 (5)(5)
Net actuarial loss89
84
 27
31
 —
—
 15
17
Curtailment loss (1)
1
3
 —
—
 —
—
 —
—
Settlement loss (1)
—
—
 5
4
 —
—
 —
—
Total net (benefit) expense$(84)$(69) $103
$106
 $7
$11
 $21
$22

(1)Losses 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, 2018Three Months Ended March 31, 2019
Pension plansPostretirement benefit plansPension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
Change in projected benefit obligation 
 
 
 
 
 
 
 
Projected benefit obligation at beginning of year$14,040
$7,433
$699
$1,261
$12,655
$7,149
$662
$1,159
Plans measured annually(28)(1,987)—
(334)(25)(1,862)—
(307)
Projected benefit obligation at beginning of year—Significant Plans$14,012
$5,446
$699
$927
$12,630
$5,287
$662
$852
First quarter activity(576)151
(32)89
Projected benefit obligation at March 31, 2018—Significant Plans$13,436
$5,597
$667
$1,016
Benefits earned during the period—
22
—
2
—
20
—
1
Interest cost on benefit obligation126
60
7
22
130
63
7
23
Actuarial (gain) loss(516)(96)8
(1)
Actuarial loss493
252
13
38
Benefits paid, net of participants’ contributions and government subsidy(206)(74)(15)(15)(215)(55)(7)(11)
Curtailment loss (1)
1
—
—
—
Foreign exchange impact and other—
(256)—
(73)—
13
—
11
Projected benefit obligation at period end—Significant Plans$12,841
$5,253
$667
$951
$13,038
$5,580
$675
$914

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





 Three Months Ended March 31, 2019
 Pension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
Change in plan assets 
 
 
 
Plan assets at fair value at beginning of year$11,490
$6,699
$345
$1,036
Plans measured annually—
(1,248)—
(9)
Plan assets at fair value at beginning of year—Significant Plans
$11,490
$5,451
$345
$1,027
Actual return on plan assets688
273
15
29
Company contributions, net of reimbursements14
14
(6)—
Benefits paid, net of participants’ contributions and government subsidy

(215)(55)(7)(11)
Foreign exchange impact and other—
25
—
14
Plan assets at fair value at period end—Significant Plans$11,977
$5,708
$347
$1,059
Funded status of the Significant Plans    
Qualified plans(1)
$(391)$128
$(328)$145
Nonqualified plans(670)—
—
—
Funded status of the plans at period end—Significant Plans$(1,061)$128
$(328)$145
Net amount recognized at period end 
 
 
 
Benefit asset$—
$766
$—
$145
Benefit liability(1,061)(638)(328)—
Net amount recognized on the balance sheet—Significant Plans$(1,061)$128
$(328)$145
Amounts recognized in AOCI at period end 
 
 
Prior service benefit$—
$15
$—
$73
Net actuarial (loss) gain(6,848)(978)50
(314)
Net amount recognized in equity (pretax)—Significant Plans$(6,848)$(963)$50
$(241)
Accumulated benefit obligation at period end—Significant Plans$13,029
$5,302
$675
$914
 Six Months Ended June 30, 2018
 Pension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
Change in plan assets 
 
 
 
Plan assets at fair value at beginning of year$12,725
$7,128
$262
$1,119
Plans measured annually—
(1,305)—
(10)
Plan assets at fair value at beginning of year—Significant Plans$12,725
$5,823
$262
$1,109
First quarter activity(349)115
$(21)58
Plan assets at fair value at March 31, 2018—Significant Plans
$12,376
$5,938
$241
$1,167
Actual return on plan assets(27)(22)—
20
Company contributions, net of reimbursements13
21
11
—
Benefits paid, net of participants’ contributions and government subsidy

(206)(74)(15)(15)
Foreign exchange impact and other—
(253)—
(83)
Plan assets at fair value at period end—Significant Plans$12,156
$5,610
$237
$1,089
Funded status of the Significant Plans    
Qualified plans(1)
$(18)$357
$(430)$138
Nonqualified plans(667)—
—
—
Funded status of the plans at period end—Significant Plans$(685)$357
$(430)$138
Net amount recognized at period end 
 
 
 
Benefit asset$—
$847
$—
$(380)
Benefit liability(685)(490)(430)518
Net amount recognized on the balance sheet—Significant Plans$(685)$357
$(430)$138
Amounts recognized in AOCI at period end 
 
 
Prior service benefit$—
$25
$—
$78
Net actuarial (loss) gain(6,324)(801)79
(334)
Net amount recognized in equity (pretax)—Significant Plans$(6,324)$(776)$79
$(256)
     
Accumulated benefit obligation at period end—Significant Plans$12,833
$4,992
$667
$951

(1)The U.S. qualified pension plan is fully funded pursuant to the Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 20182019 and no minimum required funding is expected for 2018.2019.




The following table shows the change in AOCI related to the Company’s pension, postretirement and post employment plans:
In millions of dollarsThree Months Ended 
 June 30, 2018
Six Months Ended
June 30, 2018
Three Months Ended 
 March 31, 2019		For Year Ended December 31, 2018
Beginning of period balance, net of tax(1)(2)
$(6,095)$(6,183)$(6,257)$(6,183)
Actuarial assumptions changes and plan experience603
1,119
(795)1,288
Net asset (loss) gain due to difference between actual and expected returns(328)(779)
Net asset gain (loss) due to difference between actual and expected returns690
(1,732)
Net amortization54
112
62
214
Prior service cost—
6
—
(7)
Curtailment/settlement gain(3)
2
—
—
7
Foreign exchange impact and other72
36
(25)136
Change in deferred taxes, net(102)(105)4
20
Change, net of tax$301
$389
$(64)$(74)
End of period balance, net of tax(1)(2)
$(5,794)$(5,794)$(6,321)$(6,257)


(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 curtailmentCurtailment 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 periodThree Months Ended
Mar. 31, 2019Dec. 31, 2018
U.S. plans  
Qualified pension4.25%4.30%
Nonqualified pension4.254.30
Postretirement4.204.20
Non-U.S. plans  
Pension0.75-10.750.95-10.75
Weighted average5.095.08
Postretirement10.7510.10

Net (benefit) expense assumed discount rates during the periodThree Months Ended
Jun. 30, 2018Jun. 30, 2017
U.S. plans  
Qualified pension3.95%3.60%
Nonqualified pension3.953.60
Postretirement3.903.50
Non-U.S. plans  
Pension0.75 -9.900.6-10.20
Weighted average4.864.75
Postretirement9.509.55


The discount rates utilized at period-end in determining the pension and postretirement benefit obligations for the Significant Plans are as follows:
Plan obligations assumed discount rates at period endedJun. 30, 2018Mar. 31, 2018Dec. 31,
2017
U.S. plans   
Qualified pension4.25%3.95%3.60%
Nonqualified pension4.253.953.60
Postretirement4.203.903.50
Non-U.S. plans   
Pension0.80-10.700.75 -9.900.6-10.20
Weighted average4.884.864.75
Postretirement9.509.509.55
 
Plan obligations assumed discount rates at period endedMar. 31, 2019Dec. 31, 2018Mar. 31, 2018
U.S. plans   
Qualified pension3.85%4.25%3.95%
Nonqualified pension3.904.253.95
Postretirement3.804.203.90
Non-U.S. plans   
Pension0.45-10.300.75-10.750.75-9.90
Weighted average4.745.094.88
Postretirement10.3010.759.50
Sensitivities of Certain Key Assumptions
The following table summarizes the estimated effect on the Company’s Significant Plans quarterly expense of a one-percentage-point change in the discount rate:
 Three Months Ended March 31, 2019
In millions of dollarsOne-percentage-point increaseOne-percentage-point decrease
Pension  
   U.S. plans$5
$(8)
   Non-U.S. plans(2)6
Postretirement  
   U.S. plans—
(1)
   Non-U.S. plans(2)2

 Three Months Ended June 30, 2018
In millions of dollarsOne-percentage-point increaseOne-percentage-point decrease
Pension  
   U.S. plans$6
$(9)
   Non-U.S. plans(3)5
Postretirement  
   U.S. plans—
(1)
   Non-U.S. plans(2)2









Contributions
For the U.S. pension plans, there were no required minimum cash contributions during the first sixthree months of 2018.2019.


The following table summarizes the Company’s actual contributions for the sixthree months ended June 30,March 31, 2019 and 2018, and 2017, as well as estimated expected Company contributions for the remainder of 20182019 and the actual contributions made for the remainder of 2017.2018:
 Pension plans Postretirement plans 
 
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20182017201820172018201720182017
Company contributions(2) for the six months ended June 30
$28
$26
$112
$58
$7
$19
$5
$3
Company contributions made or expected to be made
  during the remainder of the year
29
79
67
68
2
157
5
6
 Pension plans Postretirement plans 
 
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20192018201920182019201820192018
Company contributions(2) for the three months ended
  March 31
$14
$14
$34
$29
$—
$—
$3
$3
Company contributions made during the remainder
  of the year
—
41
—
153
—
150
—
6
Company contributions expected to be made during
  the remainder of the year
43
—
107
—
—
—
7
—


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













Defined Contribution Plans
The following table summarizes the Company’s contributions
for the defined contribution plans:
 Three Months Ended March 31,
In millions of dollars20192018
   U.S. plans$99
$104
   Non-U.S. plans68
76

 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2018201720182017
   U.S. plans$99
$100
$203
$198
   Non-U.S. plans72
66
148
135



Post Employment Plans
The following table summarizes the components of net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:
 Three Months Ended March 31,
In millions of dollars20192018
Service-related expense



Interest cost on benefit obligation$—
$—
Expected return on plan assets—
—
Amortization of unrecognized:



     Prior service benefit—
(8)
     Net actuarial loss1
1
Total service-related benefit$1
$(7)
Non-service-related expense$4
$6
Total net (benefit) expense$5
$(1)

 Three Months Ended June 30,Six Months Ended 
 June 30,
In millions of dollars2018201720182017
Interest cost on benefit obligation$1
$1
$1
$1
Expected return on plan assets(1)—
(1)—
Amortization of unrecognized







     Prior service
       benefit
(7)(7)(15)(15)
     Net actuarial
       loss
—
—
1
1
Total service-
  related benefit
$(7)$(6)$(14)$(13)
Non-service-
  related expense
$(3)$4
$3
$12
Total net
 (benefit) expense

$(10)$(2)$(11)$(1)








































9.   EARNINGS PER SHARE
The following table reconciles the income and share data used in the basic and diluted earnings per share (EPS) computations:
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended March 31,
In millions of dollars, except per share amounts201820172018201720192018
Income from continuing operations before attribution of noncontrolling interests$4,501
$3,883
$9,150
$8,001
$4,737
$4,649
Less: Noncontrolling interests from continuing operations26
32
48
42
25
22
Net income from continuing operations (for EPS purposes)$4,475
$3,851
$9,102
$7,959
$4,712
$4,627
Income (loss) from discontinued operations, net of taxes15
21
8
3
Loss from discontinued operations, net of taxes(2)(7)
Citigroup's net income$4,490
$3,872
$9,110
$7,962
$4,710
$4,620
Less: Preferred dividends(1)
318
320
590
621
262
272
Net income available to common shareholders$4,172
$3,552
$8,520
$7,341
$4,448
$4,348
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS49
48
90
103
59
51
Net income allocated to common shareholders for basic EPS$4,123
$3,504
$8,430
$7,238
Net income allocated to common shareholders for diluted EPS4,123
3,504
8,430
7,238
Net income allocated to common shareholders for basic and diluted EPS4,389
4,297
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,530.9
2,739.1
2,546.2
2,752.2
2,340.4
2,561.6
Effect of dilutive securities(2)
   
 
Options(3)
0.1
0.1
0.1
0.1
Effect of dilutive securities 
Options(2)
0.1
0.1
Other employee plans1.3
—
1.3
—
1.9
1.3
Adjusted weighted-average common shares outstanding applicable to diluted EPS(4)
2,532.3
2,739.2
2,547.6
2,752.3
Basic earnings per share(5)
   
  
Adjusted weighted-average common shares outstanding applicable to diluted EPS(3)
2,342.4
2,563.0
Basic earnings per share(4)
 
Income from continuing operations$1.62
$1.27
$3.30
$2.63
$1.88
$1.68
Discontinued operations0.01
0.01
0.01
—
—
—
Net income$1.63
$1.28
$3.31
$2.63
$1.88
$1.68
Diluted earnings per share(5)
     
Diluted earnings per share(4)
 
Income from continuing operations$1.62
$1.27
$3.30
$2.63
$1.87
$1.68
Discontinued operations0.01
0.01
0.01
—
—
—
Net income$1.63
$1.28
$3.31
$2.63
$1.87
$1.68
(1)As of June 30, 2018,March 31, 2019, Citi estimates it will distribute preferred dividends of approximately $583$846 million during the remainder of 2018,2019, assuming such dividends are declared by the Citi Board of Directors. During the first six monthsquarter of 2018,2019, Citi redeemed all of its 3.819.2 million Series AAL preferred shares for $96.8$480 million and all of its 4.9 million Series E preferred shares for $121.3 million. All preferred shares were redeemed at par value.in February 2019.
(2)Warrants issuedDuring the first quarter of 2019, no significant options 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 $104.33 per share for approximately 21.0 million and 25.5 millionpurchase shares of Citigroup common stock respectively. Both warrants were not included in the computation of earnings per share in the three and six months ended June 30, 2018 and 2017 because they were anti-dilutive.
(3)outstanding. During the second quartersfirst quarter of 2018, and 2017, weighted-average options to purchase 0.5 million and 0.8 million shares of common stock respectively, were outstanding but not included in the computation of earnings per share because the weighted-average exercise pricesprice of $148.77 and $204.80$149.41 per share respectively, werewas anti-dilutive.
(4)(3)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)(4)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 20172018 Annual Report on Form 10-K.
Federal funds sold and securities borrowed orand purchased under agreements to resell, at their respective carrying values, consisted of the following:
In millions of dollarsMarch 31,
2019		December 31, 2018
Federal funds sold$—
$—
Securities purchased under agreements to resell163,382
159,364
Deposits paid for securities borrowed101,113
111,320
Total(1)
$264,495
$270,684

In millions of dollarsJune 30,
2018		December 31, 2017
Federal funds sold$—
$—
Securities purchased under agreements to resell142,627
130,984
Deposits paid for securities borrowed122,899
101,494
Total(1)
$265,526
$232,478


Federal funds purchased and securities loaned orand sold under agreements to repurchase, at their respective carrying values, consisted of the following:
In millions of dollarsMarch 31,
2019		December 31, 2018
Federal funds purchased$—
$—
Securities sold under agreements to repurchase172,231
166,090
Deposits received for securities loaned18,141
11,678
Total(1)
$190,372
$177,768
In millions of dollarsJune 30,
2018		December 31, 2017
Federal funds purchased$118
$326
Securities sold under agreements to repurchase162,555
142,646
Deposits received for securities loaned15,155
13,305
Total(1)
$177,828
$156,277

(1)
The above tables do not include securities-for-securities lending transactions of $17.8$14.6 billion and $14.0$15.9 billion at June 30, 2018March 31, 2019 and December 31, 2017,2018, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.
 


It is the Company’s policy to take possession of the underlying collateral, monitor its market value relative to the amounts due under the agreements and, when necessary, require prompt transfer of additional collateral in order to maintain contractual margin protection. For resale and repurchase agreements, when necessary, the Company posts additional collateral in order to maintain contractual margin protection.
A substantial portion of the resale and repurchase agreements is recorded at fair value, as described in Notes 20 and 21 to the Consolidated Financial Statements. The remaining portion is carried at the amount of cash initially advanced or received, plus accrued interest, as specified in the respective agreements.
A substantial portion of securities borrowing and lending agreements is recorded at the amount of cash advanced or received. The remaining portion is recorded at fair value as the Company elected the fair value option for certain securities borrowed and loaned portfolios, as described in Note 21 to the Consolidated Financial Statements. With respect to securities loaned, the Company receives cash collateral in an amount generally in excess of the market value of the securities loaned. The Company monitors the market value of securities borrowed and securities loaned on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
The following tables present the gross and net resale and repurchase agreements and securities borrowing and lending
agreements and the related offsetting amount permitted under ASC 210-20-45. The tables also include amounts related to financial instruments that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default occurred and a legal opinion supporting enforceability of the offsetting rights has been obtained. Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.
As of June 30, 2018As of March 31, 2019
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities purchased under agreements to resell$223,470
$80,843
$142,627
$111,150
$31,477
$268,095
$104,713
$163,382
$129,911
$33,471
Deposits paid for securities borrowed122,899
—
122,899
26,497
96,402
101,113
—
101,113
28,040
73,073
Total$346,369
$80,843
$265,526
$137,647
$127,879
$369,208
$104,713
$264,495
$157,951
$106,544





In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities sold under agreements to repurchase$276,944
$104,713
$172,231
$91,923
$80,308
Deposits received for securities loaned18,141
—
18,141
5,351
12,790
Total$295,085
$104,713
$190,372
$97,274
$93,098


As of December 31, 2018
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
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 sold under agreements to repurchase$243,398
$80,843
$162,555
$89,609
$72,946
Deposits received for securities loaned15,155
—
15,155
4,341
10,814
Securities purchased under agreements to resell$246,788
$87,424
$159,364
$124,557
$34,807
Deposits paid for securities borrowed111,320
—
111,320
35,766
75,554
Total$258,553
$80,843
$177,710
$93,950
$83,760
$358,108
$87,424
$270,684
$160,323
$110,361
 As of December 31, 2017
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities purchased under agreements to resell$204,460
$73,476
$130,984
$103,022
$27,962
Deposits paid for securities borrowed101,494
—
101,494
22,271
79,223
Total$305,954
$73,476
$232,478
$125,293
$107,185
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities sold under agreements to repurchase$216,122
$73,476
$142,646
$73,716
$68,930
$253,514
$87,424
$166,090
$82,823
$83,267
Deposits received for securities loaned13,305
—
13,305
4,079
9,226
11,678
—
11,678
3,415
8,263
Total$229,427
$73,476
$155,951
$77,795
$78,156
$265,192
$87,424
$177,768
$86,238
$91,530
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(2)The total of this column for each period excludes federal funds sold/purchased. See tables above.
(3)Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.
(4)Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.


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


As of June 30, 2018As of March 31, 2019
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotalOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$114,766
$55,286
$26,266
$47,080
$243,398
$140,262
$60,664
$33,724
$42,294
$276,944
Deposits received for securities loaned10,431
207
2,527
1,990
15,155
12,567
459
2,691
2,424
18,141
Total$125,197
$55,493
$28,793
$49,070
$258,553
$152,829
$61,123
$36,415
$44,718
$295,085




As of December 31, 2017As of December 31, 2018
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotalOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$82,073
$68,372
$33,846
$31,831
$216,122
$108,405
$70,850
$29,898
$44,361
$253,514
Deposits received for securities loaned9,946
266
1,912
1,181
13,305
6,296
774
2,626
1,982
11,678
Total$92,019
$68,638
$35,758
$33,012
$229,427
$114,701
$71,624
$32,524
$46,343
$265,192



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


As of June 30, 2018As of March 31, 2019
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotalRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$85,479
$86
$85,565
$101,780
$—
$101,780
State and municipal securities2,168
—
2,168
1,644
—
1,644
Foreign government securities92,604
584
93,188
106,764
565
107,329
Corporate bonds21,843
612
22,455
22,264
660
22,924
Equity securities16,492
13,648
30,140
14,616
16,570
31,186
Mortgage-backed securities14,342
—
14,342
20,112
—
20,112
Asset-backed securities6,441
—
6,441
5,861
—
5,861
Other4,029
225
4,254
3,903
346
4,249
Total$243,398
$15,155
$258,553
$276,944
$18,141
$295,085


 As of December 31, 2018
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$86,785
$41
$86,826
State and municipal securities2,605
—
2,605
Foreign government securities99,131
179
99,310
Corporate bonds21,719
749
22,468
Equity securities12,920
10,664
23,584
Mortgage-backed securities19,421
—
19,421
Asset-backed securities6,207
—
6,207
Other4,726
45
4,771
Total$253,514
$11,678
$265,192



 As of December 31, 2017
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$58,774
$—
$58,774
State and municipal securities1,605
—
1,605
Foreign government securities89,576
105
89,681
Corporate bonds20,194
657
20,851
Equity securities20,724
11,907
32,631
Mortgage-backed securities17,791
—
17,791
Asset-backed securities5,479
—
5,479
Other1,979
636
2,615
Total$216,122
$13,305
$229,427




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 20172018 Annual Report on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
In millions of dollarsJune 30,
2018		December 31, 2017March 31,
2019		December 31, 2018
Receivables from customers$16,208
$19,215
$14,945
$14,415
Receivables from brokers, dealers and clearing organizations20,769
19,169
29,555
21,035
Total brokerage receivables(1)
$36,977
$38,384
$44,500
$35,450
Payables to customers$40,408
$38,741
$37,240
$40,273
Payables to brokers, dealers and clearing organizations27,264
22,601
25,416
24,298
Total brokerage payables(1)
$67,672
$61,342
$62,656
$64,571


(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 20172018 Annual Report on Form 10-K.

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























The following tables presenttable presents Citi’s investments by category:
 In millions of dollarsJune 30,
2018
 
 Debt securities available-for-sale (AFS)$289,031
 
Debt securities held-to-maturity (HTM)(1)
52,897
 
Marketable equity securities carried at fair value(2)
204
 
Non-marketable equity securities carried at fair value(2)
1,228
 
Non-marketable equity securities measured using the measurement alternative(3)


415
 
Non-marketable equity securities carried at cost(4)
5,941
 Total investments$349,716
 In millions of dollarsMarch 31,
2019		December 31,
2018
 
 Debt securities available-for-sale (AFS)$275,132
$288,038
 
Debt securities held-to-maturity (HTM)(1)
66,842
63,357
 
Marketable equity securities carried at fair value(2)
208
220
 
Non-marketable equity securities carried at fair value(2)
804
889
 
Non-marketable equity securities measured using the measurement alternative(3)


630
538
 
Non-marketable equity securities carried at cost(4)
5,665
5,565
 Total investments$349,281
$358,607

 In millions of dollarsDecember 31,
2017
 
 Securities available-for-sale (AFS)$290,914
 
Debt securities held-to-maturity (HTM)(1)
53,320
 
Non-marketable equity securities carried at fair value(2)
1,206
 
Non-marketable equity securities carried at cost(4)
6,850
 Total investments$352,290

(1)Carried at adjusted amortized cost basis, net of any credit-related impairment.
(2)Unrealized gains and losses are recognized in earnings.
(3)Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings.
(4)Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.
(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 March 31,
In millions of dollars20192018
Taxable interest$2,372
$2,042
Interest exempt from U.S. federal income tax127
130
Dividend income49
62
Total interest and dividend income$2,548
$2,234

 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2018201720182017
Taxable interest$2,158
$1,859
$4,200
$3,623
Interest exempt from U.S. federal income tax132
141
262
283
Dividend income84
58
146
112
Total interest and dividend income$2,374
$2,058
$4,608
$4,018




The following table presents realized gains and losses on the sales of investments, which excludesexclude OTTI losses:
 Three Months Ended March 31,
In millions of dollars20192018
Gross realized investment gains$168
$345
Gross realized investment losses(38)(175)
Net realized gains on sale of investments$130
$170
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2018201720182017
Gross realized investment gains$170
$258
$396
$546
Gross realized investment losses(68)(37)(124)(133)
Net realized gains on sale of investments$102
$221
$272
$413



 





Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
June 30, 2018December 31, 2017March 31, 2019December 31, 2018
In millions of dollars
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Securities AFS   
Debt securities AFS   
Mortgage-backed securities(1)
      
U.S. government-sponsored agency guaranteed$43,825
$141
$994
$42,972
$42,116
$125
$500
$41,741
$39,228
$539
$434
$39,333
$43,504
$241
$725
$43,020
Prime—
—
—
—
11
6
—
17
Alt-A1
—
—
1
26
90
—
116
1
—
—
1
1
—
—
1
Non-U.S. residential1,851
7
1
1,857
2,744
13
6
2,751
1,117
4
1
1,120
1,310
4
2
1,312
Commercial281
1
3
279
334
—
2
332
138
1
1
138
173
1
2
172
Total mortgage-backed securities$45,958
$149
$998
$45,109
$45,231
$234
$508
$44,957
$40,484
$544
$436
$40,592
$44,988
$246
$729
$44,505
U.S. Treasury and federal agency securities        
U.S. Treasury$108,616
$53
$1,772
$106,897
$108,344
$77
$971
$107,450
$100,267
$25
$1,003
$99,289
$109,376
$33
$1,339
$108,070
Agency obligations11,557
7
190
11,374
10,813
7
124
10,696
8,472
2
90
8,384
9,283
1
132
9,152
Total U.S. Treasury and federal agency securities$120,173
$60
$1,962
$118,271
$119,157
$84
$1,095
$118,146
$108,739
$27
$1,093
$107,673
$118,659
$34
$1,471
$117,222
State and municipal(2)
$9,885
$123
$244
$9,764
$8,870
$140
$245
$8,765
State and municipal$8,012
$162
$65
$8,109
$9,372
$96
$262
$9,206
Foreign government98,172
385
732
97,825
100,615
508
590
100,533
101,296
455
395
101,356
100,872
415
596
100,691
Corporate12,694
37
130
12,601
14,144
51
86
14,109
12,366
59
115
12,310
11,714
42
157
11,599
Asset-backed securities(1)
1,868
5
3
1,870
3,906
14
2
3,918
1,421
1
2
1,420
845
2
4
843
Other debt securities3,590
1
—
3,591
297
—
—
297
3,671
1
—
3,672
3,973
—
1
3,972
Total debt securities AFS$292,340
$760
$4,069
$289,031
$292,220
$1,031
$2,526
$290,725
$275,989
$1,249
$2,106
$275,132
$290,423
$835
$3,220
$288,038
Marketable equity securities AFS(3)
$—
$—
$—
$—
$186
$4
$1
$189
Total securities AFS$292,340
$760
$4,069
$289,031
$292,406
$1,035
$2,527
$290,914
(1)The Company invests in mortgage-backedmortgage- 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-backedmortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.
(2)
In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of purchase premiums and cumulative fair value hedge adjustments on callable state and municipal debt securities.  For additional information, see Note 1 to the Consolidated Financial Statements.

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



The following table shows the fair value of AFS debt securities that have been in an unrealized loss position:
Less than 12 months12 months or longerTotalLess than 12 months12 months or longerTotal
In millions of dollars
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
June 30, 2018   
Debt Securities AFS(1)
   
March 31, 2019   
Debt securities AFS   
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$13,676
$328
$13,363
$666
$27,039
$994
U.S. government agency guaranteed$9,176
$268
$8,102
$166
$17,278
$434
Non-U.S. residential203
1
1
—
204
1
387
1
1
—
388
1
Commercial234
2
27
1
261
3
14
—
104
1
118
1
Total mortgage-backed securities$14,113
$331
$13,391
$667
$27,504
$998
$9,577
$269
$8,207
$167
$17,784
$436
U.S. Treasury and federal agency securities      
U.S. Treasury$68,095
$1,208
$20,384
$564
$88,479
$1,772
$8,496
$48
$80,174
$955
$88,670
$1,003
Agency obligations4,900
78
4,619
112
9,519
190
126
2
8,098
88
8,224
90
Total U.S. Treasury and federal agency securities$72,995
$1,286
$25,003
$676
$97,998
$1,962
$8,622
$50
$88,272
$1,043
$96,894
$1,093
State and municipal$2,043
$25
$1,161
$219
$3,204
$244
$928
$6
$968
$59
$1,896
$65
Foreign government50,160
470
10,488
262
60,648
732
32,453
159
11,945
236
44,398
395
Corporate6,362
120
521
10
6,883
130
3,252
96
2,127
19
5,379
115
Asset-backed securities511
3
11
—
522
3
306
2
56
—
362
2
Other debt securities1,174
—
—
—
1,174
—
816
—
—
—
816
—
Total debt securities AFS$147,358
$2,235
$50,575
$1,834
$197,933
$4,069
$55,954
$582
$111,575
$1,524
$167,529
$2,106
December 31, 2017 
 
 
 
 
 
Securities AFS 
 
 
 
 
 
December 31, 2018 
 
 
 
 
 
Debt securities AFS 
 
 
 
 
 
Mortgage-backed securities 
 
 
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed$30,994
$438
$2,206
$62
$33,200
$500
U.S. government agency guaranteed$11,160
$286
$13,143
$439
$24,303
$725
Non-U.S. residential753
6
—
—
753
6
284
2
2
—
286
2
Commercial150
1
57
1
207
2
79
1
82
1
161
2
Total mortgage-backed securities$31,897
$445
$2,263
$63
$34,160
$508
$11,523
$289
$13,227
$440
$24,750
$729
U.S. Treasury and federal agency securities 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury$79,050
$856
$7,404
$115
$86,454
$971
$8,389
$42
$77,883
$1,297
$86,272
$1,339
Agency obligations8,857
110
1,163
14
10,020
124
277
2
8,660
130
8,937
132
Total U.S. Treasury and federal agency securities$87,907
$966
$8,567
$129
$96,474
$1,095
$8,666
$44
$86,543
$1,427
$95,209
$1,471
State and municipal$1,009
$11
$1,155
$234
$2,164
$245
$1,614
$34
$1,303
$228
$2,917
$262
Foreign government53,206
356
9,051
234
62,257
590
40,655
265
15,053
331
55,708
596
Corporate6,737
74
859
12
7,596
86
4,547
115
2,077
42
6,624
157
Asset-backed securities449
1
25
1
474
2
441
4
55
—
496
4
Other debt securities—
—
—
—
—
—
1,790
1
—
—
1,790
1
Marketable equity securities AFS(1)
11
1
—
—
11
1
Total securities AFS$181,216
$1,854
$21,920
$673
$203,136
$2,527
Total debt securities AFS$69,236
$752
$118,258
$2,468
$187,494
$3,220


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






The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
June 30, 2018December 31, 2017March 31, 2019December 31, 2018
In millions of dollars
Amortized
cost
Fair
value
Amortized
cost
Fair
value
Amortized
cost
Fair
value
Amortized
cost
Fair
value
Mortgage-backed securities(1)
      
Due within 1 year$34
$34
$45
$45
$68
$68
$14
$14
After 1 but within 5 years1,207
1,202
1,306
1,304
706
707
662
661
After 5 but within 10 years1,531
1,503
1,376
1,369
1,824
1,922
2,779
2,828
After 10 years(2)
43,186
42,370
42,504
42,239
37,886
37,895
41,533
41,002
Total$45,958
$45,109
$45,231
$44,957
$40,484
$40,592
$44,988
$44,505
U.S. Treasury and federal agency securities      
Due within 1 year$26,550
$26,528
$4,913
$4,907
$39,674
$39,554
$41,941
$41,867
After 1 but within 5 years91,342
89,497
111,236
110,238
68,442
67,520
76,139
74,800
After 5 but within 10 years2,190
2,153
3,008
3,001
597
573
489
462
After 10 years(2)
91
93
—
—
26
26
90
93
Total$120,173
$118,271
$119,157
$118,146
$108,739
$107,673
$118,659
$117,222
State and municipal      
Due within 1 year$773
$773
$1,792
$1,792
$1,674
$1,673
$2,586
$2,586
After 1 but within 5 years3,460
3,457
2,579
2,576
1,542
1,546
1,676
1,675
After 5 but within 10 years564
584
514
528
573
595
585
602
After 10 years(2)
5,088
4,950
3,985
3,869
4,223
4,295
4,525
4,343
Total$9,885
$9,764
$8,870
$8,765
$8,012
$8,109
$9,372
$9,206
Foreign government        
Due within 1 year$36,246
$36,189
$32,130
$32,100
$41,824
$41,806
$39,078
$39,028
After 1 but within 5 years47,736
47,344
53,034
53,165
46,950
46,936
50,125
49,962
After 5 but within 10 years11,805
11,816
12,949
12,680
11,034
11,083
10,153
10,149
After 10 years(2)
2,385
2,476
2,502
2,588
1,488
1,531
1,516
1,552
Total$98,172
$97,825
$100,615
$100,533
$101,296
$101,356
$100,872
$100,691
All other(3)
        
Due within 1 year$4,881
$4,879
$3,998
$3,991
$6,867
$6,865
$6,166
$6,166
After 1 but within 5 years10,494
10,420
9,047
9,027
8,199
8,188
8,459
8,416
After 5 but within 10 years2,004
2,011
3,415
3,431
1,429
1,410
1,474
1,427
After 10 years(2)
773
752
1,887
1,875
963
939
433
405
Total$18,152
$18,062
$18,347
$18,324
$17,458
$17,402
$16,532
$16,414
Total debt securities AFS$292,340
$289,031
$292,220
$290,725
$275,989
$275,132
$290,423
$288,038
(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
Carrying
value
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
March 31, 2019    
Debt securities held-to-maturity    
Mortgage-backed securities(1)
    
U.S. government agency guaranteed(2)
$38,286
$392
$296
$38,382
Non-U.S. residential1,313
13
1
1,325
Commercial424
1
1
424
Total mortgage-backed securities$40,023
$406
$298
$40,131
State and municipal$7,648
$285
$70
$7,863
Foreign government1,000
—
11
989
Asset-backed securities(1)
18,171
6
86
18,091
Total debt securities held-to-maturity$66,842
$697
$465
$67,074
December 31, 2018 
 
 
 
Debt securities held-to-maturity 
 
 
 
Mortgage-backed securities(1)
 
 
 
 
U.S. government agency guaranteed$34,239
$199
$578
$33,860
Non-U.S. residential1,339
12
1
1,350
Commercial368
—
—
368
Total mortgage-backed securities$35,946
$211
$579
$35,578
State and municipal$7,628
$167
$138
$7,657
Foreign government1,027
—
24
1,003
Asset-backed securities(1)
18,756
8
112
18,652
Total debt securities held-to-maturity$63,357
$386
$853
$62,890
In millions of dollars
Carrying
value
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
June 30, 2018    
Debt securities held-to-maturity    
Mortgage-backed securities(1)
    
U.S. government agency guaranteed$24,939
$11
$661
$24,289
Alt-A—
—
—
—
Non-U.S. residential1,356
20
—
1,376
Commercial264
—
—
264
Total mortgage-backed securities$26,559
$31
$661
$25,929
State and municipal$7,480
$180
$132
$7,528
Foreign government1,348
—
15
1,333
Asset-backed securities(1)
17,510
47
2
17,555
Total debt securities held-to-maturity$52,897
$258
$810
$52,345
December 31, 2017 
 
 
 
Debt securities held-to-maturity 
 
 
 
Mortgage-backed securities(1)
 
 
 
 
U.S. government agency guaranteed$23,880
$40
$157
$23,763
Alt-A141
57
—
198
Non-U.S. residential1,841
65
—
1,906
Commercial237
—
—
237
Total mortgage-backed securities$26,099
$162
$157
$26,104
State and municipal (2)
$8,897
$378
$73
$9,202
Foreign government740
—
18
722
Asset-backed securities(1)
17,584
162
22
17,724
Total debt securities held-to-maturity$53,320
$702
$270
$53,752

(1)The Company invests in mortgage-backedmortgage- 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-backedmortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.
(2)
In March 2019, Citibank transferred $5 billion of agency residential mortgage-backed securities (RMBS) from AFS classification to HTM classification in accordance with ASC 320. At the second quartertime of 2017, Citi early adopted ASU 2017-08, Receivables-Nonrefundable Feestransfer, the securities were in an unrealized loss position of $56 million. The loss amounts will remain in AOCI 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, forbe amortized over the incremental amortizationremaining life of purchase premiums and cumulative fair value hedge adjustments on callable state and municipal debtthe securities.  For additional information, see Note 1 to the Consolidated Financial Statements.





































The table below shows the fair value of debt securities HTM that have been in an unrecognized loss position:
Less than 12 months12 months or longerTotalLess than 12 months12 months or longerTotal
In millions of dollarsFair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses
June 30, 2018     
March 31, 2019     
Debt securities held-to-maturity          
Mortgage-backed securities$16,731
$410
$5,805
$251
$22,536
$661
$4,577
$11
$18,150
$287
$22,727
$298
State and municipal1,518
24
747
108
2,265
132
206
6
954
64
1,160
70
Foreign government1,334
15
—
—
1,334
15
989
11
—
—
989
11
Asset-backed securities16
—
611
2
627
2
12,581
86
—
—
12,581
86
Total debt securities held-to-maturity$19,599
$449
$7,163
$361
$26,762
$810
$18,353
$114
$19,104
$351
$37,457
$465
December 31, 2017     
December 31, 2018     
Debt securities held-to-maturity          
Mortgage-backed securities$8,569
$50
$6,353
$107
$14,922
$157
$2,822
$20
$18,086
$559
$20,908
$579
State and municipal353
5
835
68
1,188
73
981
34
1,242
104
2,223
138
Foreign government723
18
—
—
723
18
1,003
24
—
—
1,003
24
Asset-backed securities71
3
134
19
205
22
13,008
112
—
—
13,008
112
Total debt securities held-to-maturity$9,716
$76
$7,322
$194
$17,038
$270
$17,814
$190
$19,328
$663
$37,142
$853
Note: Excluded from the gross unrecognized losses presented in the table above are $(69)$(683) million and $(117)$(653) million of net unrealized losses recorded in AOCI as of June 30, 2018March 31, 2019 and December 31, 2017,2018, respectively, primarily related to the difference between the amortized cost and carrying value of HTM debt securities that were reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at June 30, 2018March 31, 2019 and December 31, 2017.2018.



The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
June 30, 2018December 31, 2017March 31, 2019December 31, 2018
In millions of dollarsCarrying valueFair valueCarrying valueFair valueCarrying valueFair valueCarrying valueFair value
Mortgage-backed securities      
Due within 1 year$—
$—
$—
$—
$3
$3
$3
$3
After 1 but within 5 years130
128
720
720
544
547
539
540
After 5 but within 10 years180
179
148
149
1,822
1,845
997
1,011
After 10 years(1)
26,249
25,622
25,231
25,235
37,654
37,736
34,407
34,024
Total$26,559
$25,929
$26,099
$26,104
$40,023
$40,131
$35,946
$35,578
State and municipal      
Due within 1 year$67
$67
$407
$425
$37
$37
$37
$37
After 1 but within 5 years187
194
259
270
221
228
168
174
After 5 but within 10 years464
468
512
524
487
500
540
544
After 10 years(1)
6,762
6,799
7,719
7,983
6,903
7,098
6,883
6,902
Total$7,480
$7,528
$8,897
$9,202
$7,648
$7,863
$7,628
$7,657
Foreign government      
Due within 1 year$362
$362
$381
$381
$20
$20
$60
$36
After 1 but within 5 years986
971
359
341
980
969
967
967
After 5 but within 10 years—
—
—
—
—
—
—
—
After 10 years(1)
—
—
—
—
—
—
—
—
Total$1,348
$1,333
$740
$722
$1,000
$989
$1,027
$1,003
All other(2)
      
Due within 1 year$—
$—
$—
$—
$—
$—
$—
$—
After 1 but within 5 years—
—
—
—
—
—
—
—
After 5 but within 10 years1,441
1,445
1,669
1,680
3,039
3,041
2,535
2,539
After 10 years(1)
16,069
16,110
15,915
16,044
15,132
15,050
16,221
16,113
Total$17,510
$17,555
$17,584
$17,724
$18,171
$18,091
$18,756
$18,652
Total debt securities held-to-maturity$52,897
$52,345
$53,320
$53,752
$66,842
$67,074
$63,357
$62,890
(1)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(2)Includes corporate and asset-backed securities.







Evaluating Investments for Other-Than-Temporary Impairment


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

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

The Company’s review for impairment generally entails:

identification and evaluation of impaired investments;
analysis of individual investments that have fair values less than amortized cost, including consideration of the length of time the investment has been in an unrealized loss position and the expected recovery period;
consideration of evidential matter, including an evaluation of factors or triggers that could cause individual investments to qualify as having other-than-temporary
impairment and those that would not support other-than-temporary impairment; and
documentation of the results of these analyses, as required under business policies.

Debt Securities

Overview
The Company conducts periodic reviews of all debt securities with unrealized losses to evaluate whether the impairment is other-than-temporary. This review applies to all debt securities that are not measured at fair value through earnings.
An unrealized loss exists when the current fair value of an individual 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 debt securities. Temporary losses related to HTM debt securities generally are not recorded, as these investments are carried at adjusted amortized cost basis. However, for HTM debt securities with credit-related impairment, the credit loss is recognized in earnings as OTTI, and any difference between the cost basis adjusted for the OTTI and fair value is recognized in AOCI and amortized as an adjustment of yield over the remaining contractual life of the security. For debt securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date of transfer, plus any accretion income and less any impairment recognized in earnings subsequent to transfer. For debt securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any impairment recognized in earnings.
Regardless of the classification of debt 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.

The entire difference between amortized cost basis and fair value is recognized in earnings as OTTI for impaired debt securities that the Company has an intent to sell or for which the Company believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those 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 impairment is recorded in AOCI.
For debt securities, credit impairment exists where management does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security.

The sections below describe the Company’s process for identifying credit-related impairments for debt security types that have the most significant unrealized losses as of March 31, 2019.
AFS Equity
Mortgage-Backed Securities and Equity Method Investments
For AFS equityU.S. mortgage-backed securities, priorcredit impairment is assessed using a cash flow model that estimates the principal and interest cash flows on the underlying mortgages using the security-specific collateral and transaction structure. The model distributes the estimated cash flows to January 1, 2018, management considered the various factors described above,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 its intentdefault rates, prepayment rates, recovery rates (on foreclosed properties) and abilityloss 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 hold an equity security for a periodestimate 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 time sufficient for recoverythose stress tests (including the severity of any cash shortfall indicated and the likelihood of the stress scenarios actually occurring based on the underlying pool’s characteristics and performance) to assess whether management expects to recover the amortized cost or whether it was more-likely-than-notbasis of the security. If cash flow projections indicate that the Company does not expect to recover its amortized cost basis, the Company recognizes the estimated credit loss in earnings.



State and Municipal Securities
The process for identifying credit impairments in Citigroup’s AFS and HTM state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings.  Citigroup monitors the bond issuers and any insurers providing default protection in the form of financial guarantee insurance. The average external credit rating, ignoring any insurance, is Aa3/AA-.  In the event of an external rating downgrade or other indicator of credit impairment (i.e., based on instrument-specific estimates of cash flows or probability of issuer default), the subject bond is specifically reviewed for adverse changes in the amount or timing of expected contractual principal and interest payments.
For state and municipal bonds with unrealized losses that Citigroup plans to sell, or would have beenbe more-likely-than-not required to sell, the security prior to recovery of its cost basis. Where management lacked that intent or ability, the security’s declinefull impairment is recognized in fair value was deemed to be other-than-temporary and was recorded in earnings. Effective January 1, 2018, the AFS category has been eliminated for equity securities and, therefore, OTTI review is not required for those securities. See Note 1 to the Consolidated Financial Statements for additional details.

Equity Method Investments
Management assesses equity method investments that have fair values that are less than their respective carrying values for OTTI. Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 20 to the Consolidated Financial Statements).
For impaired equity method investments that Citi plans to sell prior to recovery of value or would likely be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized in earnings as OTTI regardless of severity and duration. The measurement of the OTTI does not include partial projected recoveries subsequent to the balance sheet date.
For impaired equity method investments that management does not plan to sell and is not likely to be required to sell prior to recovery of value, the evaluation of whether an impairment is other-than-temporary is based on (i) whether and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary considers the following indicators:


the cause of the impairment and the financial condition and near-term prospects of the issuer, including any


specific events that may influence the operations of the issuer;
the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and
the length of time and extent to which fair value has been less than the carrying value.

The sections below describe the Company’s process for identifying credit-related impairments for security types that have the most significant unrealized losses as of June 30, 2018.

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

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


Recognition and Measurement of OTTI
The following tables present total OTTI on Investmentsrecognized in earnings:

Three Months Ended 
 March 31, 2019
In millions of dollarsAFSHTMTotal
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:   
Total OTTI losses recognized during the period$—
$—
$—
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
Impairment losses recognized in earnings for debt securities that the Company intends to sell, would be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise3
—
3
Total OTTI losses recognized in earnings$3
$—
$3
OTTI on InvestmentsThree Months Ended 
 June 30, 2018		Six Months Ended  
  June 30, 2018
In millions of dollars
AFS(1)
HTMTotal
AFS(1)
HTMTotal
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:      
Total OTTI losses recognized during the period$—
$—
$—
$—
$—
$—
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
—
—
Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
$—
$—
$—
Impairment losses recognized in earnings for debt securities that the Company intends to sell, would be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise12
—
12
39
—
39
Total OTTI losses recognized in earnings$12
$—
$12
$39
$—
$39
(1)For the three and six months ended June 30, 2018, amounts represent AFS debt securities. Effective January 1, 2018, the AFS category was eliminated for equity securities. See Note 1 to the Consolidated Financial Statements for additional details.








Three Months Ended 
  March 31, 2018
In millions of dollarsAFSHTMTotal
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:   
Total OTTI losses recognized during the period$—
$—
$—
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise27
—
27
Total impairment losses recognized in earnings$27
$—
$27

OTTI on InvestmentsThree months ended 
  June 30, 2017		Six Months Ended 
  June 30, 2017
In millions of dollars
AFS (1)
HTMTotal
AFS(1)
HTMTotal
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:      
Total OTTI losses recognized during the period$—
$—
$—
$—
$—
$—
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
$—
$—
$—
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise and FX losses20
—
20
31
1
32
Total impairment losses recognized in earnings$20
$—
$20
$31
$1
$32


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


The following are three-month rollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities held that the Company does not intend to sell nor will likely will be required to sell:
Cumulative OTTI credit losses recognized in earnings on debt securities still heldCumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsMarch 31, 2018 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Changes due to
credit-impaired
securities sold,
transferred or
matured		June 30, 2018 balanceDecember 31, 2018 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Changes due to
credit-impaired
securities sold,
transferred or
matured		March 31, 2019 balance
AFS debt securities      
Mortgage-backed securities (1)
$25
$—
$—
$(24)$1
$1
$—
$—
$—
$1
State and municipal—
—
—
—
—
—
—
—
—
—
Foreign government securities—
—
—
—
—
—
—
—
—
—
Corporate4
—
—
—
4
4
—
—
—
4
All other debt securities2
—
—
—
2
—
—
—
—
—
Total OTTI credit losses recognized for AFS debt securities$31
$—
$—
$(24)$7
$5
$—
$—
$—
$5
HTM debt securities        
Mortgage-backed securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal—
—
—
—
—
—
—
—
—
—
Total OTTI credit losses recognized for HTM debt securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
(1)Primarily consists of Prime securities.




 Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsMarch 31, 2017 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Reductions due to
credit-impaired
securities sold,
transferred or
matured		June 30, 2017 balance
AFS debt securities     
Mortgage-backed securities$—
$—
$—
$—
$—
State and municipal4
—
—
—
4
Foreign government securities—
—
—
—
—
Corporate4
—
—
—
4
All other debt securities22
—
—
(22)—
Total OTTI credit losses recognized for AFS debt securities$30
$—
$—
$(22)$8
HTM debt securities     
Mortgage-backed securities(1)
$97
$—
$—
$—
$97
State and municipal3
—
—
—
3
Total OTTI credit losses recognized for HTM debt securities$100
$—
$—
$—
$100
(1)Primarily consists of Alt-A securities.

The following are six-month rollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities held that the Company does not intend to sell nor likely will be required to sell:

Cumulative OTTI credit losses recognized in earnings on debt securities still heldCumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsDecember 31, 2017 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired
Changes due to
credit-impaired
securities sold,
transferred or
matured(1)
June 30, 2018 balanceDecember 31, 2017 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired
Reductions due to
credit-impaired
securities sold,
transferred or
matured(1)
March 31, 2018 balance
AFS debt securities      
Mortgage-backed securities (2)
$38
$—
$—
$(37)$1
$38
$—
$—
$(13)$25
State and municipal4
—
—
(4)—
4
—
—
(4)—
Foreign government securities—
—
—
—
—
—
—
—
—
—
Corporate4
—
—
—
4
4
—
—
—
4
All other debt securities2
—
—
—
2
2
—
—
—
2
Total OTTI credit losses recognized for AFS debt securities$48
$—
$—
$(41)$7
$48
$—
$—
$(17)$31
HTM debt securities        
Mortgage-backed securities(3)
$54
$—
$—
$(54)$—
$54
$—
$—
$(54)$—
State and municipal3
—
—
(3)—
3
—
—
(3)—
Total OTTI credit losses recognized for HTM debt securities$57
$—
$—
$(57)$—
$57
$—
$—
$(57)$—
(1)
Includes $18 million in cumulative OTTI reclassified from HTM to AFS due to the transfer of the related debt securities from HTM to AFS. Citi adopted ASU 2017-12, Targeted Improvements to Accounting for Hedge Activities, on January 1, 2018 and transferred approximately $4 billion of HTM debt securities into AFS classification as permitted as a one-time transfer under the standard.
(2)Primarily consists of Prime securities.
(3)Primarily consists of Alt-A securities.




 Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsDecember 31, 2016 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Reductions due to
credit-impaired
securities sold,
transferred or
matured		June 30, 2017 balance
AFS debt securities     
Mortgage-backed securities$—
$—
$—
$—
$—
State and municipal4
—
—
—
4
Foreign government securities—
—
—
—
—
Corporate5
—
—
(1)4
All other debt securities22
—
—
(22)—
Total OTTI credit losses recognized for AFS debt securities$31
$—
$—
$(23)$8
HTM debt securities     
Mortgage-backed securities(1)
$101
$—
$—
$(4)$97
State and municipal3
—
—
—
3
Total OTTI credit losses recognized for HTM debt securities$104
$—
$—
$(4)$100
(1)Primarily consists of Alt-A securities.


Non-Marketable Equity Securities Not Carried at Fair Value
Effective January 1, 2018, non-marketableNon-marketable equity securities are required to be measured at fair value with changes in fair value recognized in earnings unless:unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost. See Note 1 to the Consolidated Financial Statements for additional details.
The election to measure a non-marketable equity security using the measurement alternative is made on an instrument-by-instrument basis. Under the measurement alternative, an equity security is carried at cost plus or minus changes resulting from observable prices in orderly transactions for the identical or a similar investment of the same issuer. In addition, equity securities under the measurement alternative are also assessed for impairment, as described below. 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:


 Aa significant deterioration in the earnings performance, credit rating, asset quality or business prospects of the investee;
A
a significant adverse change in the regulatory, economic or technological environment of the investee;
Aa significant adverse change in the general market condition of either the geographical area or the industry in which the investee operates;
Aa 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
Factorsfactors 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, 2018,March 31, 2019 and December 31, 2018:
In millions of dollarsMarch 31, 2019December 31, 2018
Measurement alternative:  
Carrying value$630
$538

Below are amounts recognized in earnings for the three and six months ended June 30, 2018:March 31, 2019 and 2018, and life-to-date amounts as of March 31, 2019 on non-marketable equity securities measured using the measurement alternative:

In millions of dollars
Three Months Ended
June 30, 2018
Six Months Ended
June 30, 2018
Measurement alternative, balance at June 30, 2018$415
$415
Measurement alternative—impairment losses(1)
3
4
Measurement alternative—downward changes for observable prices(1)
2
4
Measurement alternative—upward changes for observable prices(1)
4
112
 
Three Months Ended
March 31,
In millions of dollars20192018
Measurement alternative:



Impairment losses(1)
$5
$1
Downward changes for observable prices(1)
—
2
Upward changes for observable prices(1)
66
123


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


 Life-to-date amounts on securities still held
In millions of dollarsMarch 31, 2019
Measurement alternative: 
Impairment losses$12
Downward changes for observable prices18
Upward changes for observable prices285




A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three and six months ended June 30,March 31, 2019 and 2018, there was no impairment loss recognized in earnings for non-marketable equity securities carried at cost.

Investments in Alternative Investment Funds That Calculate Net Asset Value
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 valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
In millions of dollarsJune 30,
2018		December 31, 2017June 30,
2018		December 31, 2017 March 31,
2019		December 31, 2018March 31,
2019		December 31, 2018 
Hedge funds$—
$1
$—
$—
Generally quarterly10–95 days$—
$—
$—
$—
Generally quarterly10–95 days
Private equity funds(1)(2)
368
372
62
62
—160
168
62
62
—
Real estate funds (2)(3)
16
31
19
20
—14
14
19
19
—
Mutual/collective investment funds26
—
—
—
—25
25
—
—
—
Total$410
$404
$81
$82
—$199
$207
$81
$81
—
(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: consumer and corporate. These categories are classified primarily according to the segment and subsegment that manage the loans. For additional information regarding Citi’s consumer and corporate loans, including related accounting policies, see Note 14 to the Consolidated Financial Statements in Citi’s 20172018 Annual Report on Form 10-K.


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


In millions of dollarsJune 30,
2018		December 31, 2017March 31,
2019		December 31, 2018
In U.S. offices  
Mortgage and real estate(1)
$61,692
$65,467
$57,461
$60,127
Installment, revolving credit and other3,759
3,398
3,257
3,398
Cards135,968
139,006
135,206
143,788
Commercial and industrial7,459
7,840
8,859
8,256
$208,878
$215,711
Total$204,783
$215,569
In offices outside the U.S.    
Mortgage and real estate(1)
$43,056
$44,081
$43,184
$43,379
Installment, revolving credit and other27,254
26,556
27,525
27,609
Cards24,712
26,257
24,763
25,400
Commercial and industrial18,966
20,238
18,884
17,773
Lease financing55
76
47
49
$114,043
$117,208
Total$114,403
$114,210
Total consumer loans$322,921
$332,919
$319,186
$329,779
Net unearned income$711
$737
$701
$708
Consumer loans, net of unearned income$323,632
$333,656
$319,887
$330,487


(1)Loans secured primarily by real estate.


TheDuring the three months ended March 31, 2019 and 2018, the Company sold and/or reclassified to held-for-saleHFS $1.9 billion and $2.8$0.8 billion, $0.6 billion and $2.8 billionrespectively, of consumer loans during the three and six months ended June 30, 2018 and 2017, respectively.loans.


 



















Consumer Loan Delinquency and Non-Accrual Details at June 30, 2018March 31, 2019
In millions of dollars
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
In North America offices        
Residential first mortgages(5)
$46,314
$404
$255
$931
$47,904
$619
$673
$44,047
$393
$234
$677
$45,351
$564
$456
Home equity loans(6)(7)
12,420
155
286
—
12,861
606
—
10,527
174
236
—
10,937
500
—
Credit cards133,860
1,388
1,493
—
136,741
—
1,493
132,572
1,590
1,746
—
135,908
—
1,746
Installment and other3,402
38
13
—
3,453
20
—
3,257
41
15
—
3,313
21
—
Commercial banking loans9,054
10
40
—
9,104
128
—
10,303
9
48
—
10,360
145
—
Total$205,050
$1,995
$2,087
$931
$210,063
$1,373
$2,166
$200,706
$2,207
$2,279
$677
$205,869
$1,230
$2,202
In offices outside North America       
Residential first mortgages(5)
$35,789
$205
$140
$—
$36,134
$382
$—
$35,777
$203
$134
$—
$36,114
$397
$—
Credit cards23,389
416
352
—
24,157
312
227
23,561
417
365
—
24,343
297
234
Installment and other24,772
243
109
—
25,124
144
—
25,687
244
97
—
26,028
130
—
Commercial banking loans28,027
54
72
—
28,153
172
—
27,415
53
64
—
27,532
151
—
Total$111,977
$918
$673
$—
$113,568
$1,010
$227
$112,440
$917
$660
$—
$114,017
$975
$234
Total GCB and Corporate/Other—
Consumer
$317,027
$2,913
$2,760
$931
$323,631
$2,383
$2,393
$313,146
$3,124
$2,939
$677
$319,886
$2,205
$2,436
Other(8)
1
—
—
—
1
—
—
1
—
—
—
1
—
—
Total Citigroup$317,028
$2,913
$2,760
$931
$323,632
$2,383
$2,393
$313,147
$3,124
$2,939
$677
$319,887
$2,205
$2,436
(1)Loans less than 30 days past due are presented as current.
(2)Includes $22$20 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored entities.
(4)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.2 billion and 90 days or more past due of $0.7$0.5 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 GCB or Corporate/Other consumer credit metrics.



Consumer Loan Delinquency and Non-Accrual Details at December 31, 20172018
In millions of dollars
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
In North America offices      
Residential first mortgages(5)
$47,366
$505
$280
$1,225
$49,376
$665
$941
$45,953
$420
$253
$786
$47,412
$583
$549
Home equity loans(6)(7)
14,268
207
352
—
14,827
750
—
11,135
161
247
—
11,543
527
—
Credit cards136,588
1,528
1,613
—
139,729
—
1,596
141,106
1,687
1,764
—
144,557
—
1,764
Installment and other3,395
45
16
—
3,456
22
1
3,394
43
16
—
3,453
22
—
Commercial banking loans9,395
51
65
—
9,511
213
—
9,662
20
46
—
9,728
109
—
Total$211,012
$2,336
$2,326
$1,225
$216,899
$1,650
$2,538
$211,250
$2,331
$2,326
$786
$216,693
$1,241
$2,313
In offices outside North America       
Residential first mortgages(5)
$37,062
$209
$148
$—
$37,419
$400
$—
$35,624
$203
$145
$—
$35,972
$383
$—
Credit cards24,934
427
366
—
25,727
323
259
24,131
425
370
—
24,926
312
235
Installment and other25,634
275
123
—
26,032
157
—
25,085
254
107
—
25,446
152
—
Commercial banking loans27,449
57
72
—
27,578
160
—
27,345
51
53
—
27,449
138
—
Total$115,079
$968
$709
$—
$116,756
$1,040
$259
$112,185
$933
$675
$—
$113,793
$985
$235
Total GCB and Corporate/Other—
Consumer
$326,091
$3,304
$3,035
$1,225
$333,655
$2,690
$2,797
$323,435
$3,264
$3,001
$786
$330,486
$2,226
$2,548
Other(8)
1
—
—
—
1
—
—
1
—
—
—
1
—
—
Total Citigroup$326,092
$3,304
$3,035
$1,225
$333,656
$2,690
$2,797
$323,436
$3,264
$3,001
$786
$330,487
$2,226
$2,548
(1)Loans less than 30 days past due are presented as current.
(2)Includes $25$20 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored entities.
(4)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.2 billion and 90 days or more past due of $1.0$0.6 billion.
(5)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(6)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(7)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(8)
Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in GCB or Corporate/Other consumer credit metrics.


Consumer Credit Scores (FICO)
The following tables provide details on the FICO scores for Citi’s U.S. consumer loan portfolio based on end-of-period receivables (commercial banking loans are excluded from the table since they are business based and FICO scores are not a primary driver in their credit evaluation). FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio.
FICO score distribution in U.S. portfolio(1)(2)
June 30, 2018March 31, 2019
In millions of dollars
Less than
620
≥ 620 but less
than 660
≥ 660 but less
than 720
Equal to or
greater
than 720
Less than
680		680 to 760Greater
than 760
Residential first mortgages$1,707
$1,626
$6,421
$35,465
$4,169
$12,922
$25,874
Home equity loans1,085
906
2,946
7,274
2,321
4,093
4,188
Credit cards8,682
11,129
38,544
74,911
32,056
55,975
45,934
Installment and other147
242
708
1,685
611
1,009
1,105
Total$11,621
$13,903
$48,619
$119,335
$39,157
$73,999
$77,101

 


FICO score distribution in U.S. portfolio(1)(2)
December 31, 2017December 31, 2018

In millions of dollars
Less than
620
≥ 620 but less
than 660
≥ 660 but less
than 720
Equal to or
greater
than 720
Less than
680
680 to 760
Greater
than 760
Residential first mortgages$2,100
$1,932
$6,931
$35,334
$4,530
$13,848
$26,546
Home equity loans1,379
1,081
3,446
8,530
2,438
4,296
4,471
Credit cards9,079
11,651
37,916
77,661
32,686
58,722
51,299
Installment and other276
250
667
1,818
625
1,097
1,121
Total$12,834
$14,914
$48,960
$123,343
$40,279
$77,963
$83,437
(1)Excludes loans guaranteed by U.S. government entities, loans subject to long-term standby commitments (LTSC) with U.S. government-sponsored entities and loans recorded at fair value.
(2)Excludes balances where FICO was not available. Such amounts are not material.





Loan to Value (LTV) Ratios
The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolios. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.
LTV distribution in U.S. portfolio(1)(2)
March 31, 2019
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$40,112
$2,745
$234
Home equity loans8,955
1,224
380
Total$49,067
$3,969
$614
LTV distribution in U.S. portfolio(1)(2)
June 30, 2018
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$42,778
$2,382
$189
Home equity loans9,972
1,610
553
Total$52,750
$3,992
$742

LTV distribution in U.S. portfolio(1)(2)
December 31, 2017December 31, 2018
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$43,626
$2,578
$247
$42,379
$2,474
$197
Home equity loans11,403
2,147
800
9,465
1,287
390
Total$55,029
$4,725
$1,047
$51,844
$3,761
$587
(1)Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.
(2)Excludes balances where LTV was not available. Such amounts are not material.





Impaired Consumer Loans

The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:
 Three Months Ended 
 June 30,		Six Months Ended June 30, Three Months Ended 
 March 31,
Balance at June 30, 20182018201720182017Balance at March 31, 201920192018
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value (4)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Interest income
recognized(5)
Interest income
recognized(5)
Mortgage and real estate        
Residential first mortgages$2,489
$2,674
$233
$2,831
$21
$32
$42
$68
$2,085
$2,289
$162
$2,250
$17
$21
Home equity loans730
1,073
136
931
2
7
8
15
672
938
123
698
2
7
Credit cards1,794
1,824
621
1,812
25
36
55
73
1,860
1,891
702
1,818
26
30
Installment and other         
Individual installment and other405
434
166
427
6
5
12
13
397
429
146
402
5
6
Commercial banking307
463
29
333
5
8
8
14
274
527
38
282
3
3
Total$5,725
$6,468
$1,185
$6,334
$59
$88
$125
$183
$5,288
$6,074
$1,171
$5,450
$53
$67
(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)$521508 million of residential first mortgages, $295$255 million of home equity loans and $14$4 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.
(4)Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.
(5)    Includes amounts recognized on both an accrual and cash basis.


Balance, December 31, 2017Balance, December 31, 2018
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Mortgage and real estate  
Residential first mortgages$2,877
$3,121
$278
$3,155
$2,130
$2,329
$178
$2,483
Home equity loans1,151
1,590
216
1,181
684
946
122
698
Credit cards1,787
1,819
614
1,803
1,818
1,842
677
1,815
Installment and other  
Individual installment and other431
460
175
415
400
434
146
414
Commercial banking334
541
51
429
252
432
55
286
Total$6,580
$7,531
$1,334
$6,983
$5,284
$5,983
$1,178
$5,696
(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)$607484 million of residential first mortgages, $370$263 million of home equity loans and $10$2 million of commercial market loans do not have a specific allowance.
(3)
Included in the Allowance for loan losses.
(4)Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.









Consumer Troubled Debt Restructurings
At and for the three months ended June 30, 2018For the Three Months Ended March 31, 2019
In millions of dollars except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
In millions of dollars, except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages495
$77
$1
$—
$—
—%493
$74
$—
$—
$—
—%
Home equity loans380
37
1
—
—
1
206
21
1
—
—
2
Credit cards55,459
220
—
—
—
17
72,247
305
—
—
—
18
Installment and other revolving292
2
—
—
—
5
351
3
—
—
—
6
Commercial banking(6)
17
1
—
—
—
—
15
38
—
—
—
—
Total(8)
56,643
$337
$2
$—
$—


73,312
$441
$1
$—
$—


International      
Residential first mortgages624
$22
$—
$—
$—
—%725
$20
$—
$—
$—
—%
Credit cards17,782
78
—
—
2
16
18,493
75
—
—
3
16
Installment and other revolving7,172
43
—
—
2
11
7,552
45
—
—
2
10
Commercial banking(6)
157
22
—
—
—
—
99
32
—
—
—
—
Total(8)
25,735
$165
$—
$—
$4


26,869
$172
$—
$—
$5



At and for the three months ended June 30, 2017For the Three Months Ended March 31, 2018
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
In millions of dollars, except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages806
$116
$1
$—
$1
1%588
$89
$1
$—
$—
—%
Home equity loans677
58
5
—
—
2
456
41
2
—
—
1
Credit cards53,080
203
—
—
—
17
63,203
244
—
—
—
18
Installment and other revolving250
2
—
—
—
5
342
3
—
—
—
5
Commercial banking(6)
30
43
—
—
—
—
9
1
—
—
—
—
Total(8)
54,843
$422
$6
$—
$1
 
64,598
$378
$3
$—
$—
 
International      
Residential first mortgages755
$28
$—
$—
$—
—%549
$18
$—
$—
$—
—%
Credit cards28,551
98
—
—
2
12
23,394
94
—
—
2
15
Installment and other revolving11,622
64
—
—
2
9
9,325
59
—
—
2
10
Commercial banking(6)
53
6
—
—
—
—
145
28
—
—
—
2
Total(8)
40,981
$196
$—
$—
$4
 
33,413
$199
$—
$—
$4
 


(1)Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $8$7 million of residential first mortgages and $3$2 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended June 30, 2018.March 31, 2019. These amounts include $5$4 million of residential first mortgages and $3$2 million of home equity loans that were newly classified as TDRs in the three months ended June 30, 2018,March 31, 2019, based on previously received OCC guidance.
(3)Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(4)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(5)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(6) Commercial banking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest.
(7) Post-modification balances in North America include $15 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 June 30, 2017. These amounts
(6)Commercial banking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest.
(7)
Post-modification balances in North America include $11 million of residential first mortgages and $4 million of home equity loans that were newly classified as TDRs in the three months ended June 30, 2017, based on previously received OCC guidance.
(8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.



 At and for the six months ended June 30, 2018
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages1,083
$166
$1
$—
$—
— %
Home equity loans836
78
3
—
—
1
Credit cards118,662
464
—
—
—
17
Installment and other revolving634
5
—
—
—
5
Commercial banking(6)
26
2
—
—
—
—
Total(8)
121,241
$715
$4
$—
$—
 
International      
Residential first mortgages1,173
$41
$—
$—
$—
— %
Credit cards41,176
173
—
—
5
16
Installment and other revolving16,497
102
—
—
4
10
Commercial banking(6)
302
50
—
—
—
(1)
Total(8)
59,148
$366
$—
$—
$9
 
 At and for the six months ended June 30, 2017
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages1,772
$246
$4
$—
$1
1 %
Home equity loans1,356
114
8
—
—
1
Credit cards112,417
433
—
—
—
17
Installment and other revolving471
4
—
—
—
5
Commercial banking(6)
56
48
—
—
—
—
Total(8)
116,072
$845
$12
$—
$1
 
International      
Residential first mortgages1,368
$54
$—
$—
$—
— %
Credit cards53,788
183
—
—
4
13
Installment and other revolving22,929
124
—
—
6
7
Commercial banking(6)
85
19
—
—
—
(1)
Total(8)
78,170
$380
$—
$—
$10
 

(1)Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $19 million of residential first mortgages and $7 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the sixthree months ended June 30,March 31, 2018. These amounts include $13$8 million of residential first mortgages and $6$3 million of home equity loans that were newly classified as TDRs in the sixthree months ended June 30,March 31, 2018, based on previously received OCC guidance.
(3)(8)Represents portionThe above tables reflect activity for loans outstanding that were considered TDRs as of contractual loan principal that is non-interest bearing but still due from the borrower. Such deferred principal is charged off atend of 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.reporting period.
(6) Commercial banking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest.
(7) Post-modification balances in North America include $30 million of residential first mortgages and $11 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the six months ended June 30, 2017. These amounts include $21 million of residential first mortgages and $10 million of home equity loans that were newly classified as TDRs in the six months ended June 30, 2017, based on previously received OCC guidance.
(8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.






The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
 Three Months Ended March 31,
In millions of dollars20192018
North America  
Residential first mortgages$23
$44
Home equity loans3
10
Credit cards70
59
Installment and other revolving1
1
Commercial banking—
8
Total$97
$122
International  
Residential first mortgages$3
$2
Credit cards38
53
Installment and other revolving18
24
Commercial banking—
—
Total$59
$79
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2018201720182017
North America    
Residential first mortgages$30
$48
$74
$99
Home equity loans6
8
16
17
Credit cards57
57
116
109
Installment and other revolving1
1
1
1
Commercial banking13
1
21
2
Total$107
$115
$228
$228
International    
Residential first mortgages$2
$3
$4
$5
Credit cards55
46
108
88
Installment and other revolving20
23
44
46
Commercial banking9
—
10
—
Total$86
$72
$166
$139



Corporate Loans
Corporate loans represent loans and leases managed by ICG. The following table presents information by corporate loan type:
In millions of dollarsJune 30,
2018		December 31,
2017		March 31,
2019		December 31,
2018
In U.S. offices  
Commercial and industrial$53,260
$51,319
$56,698
$52,063
Financial institutions42,867
39,128
49,985
48,447
Mortgage and real estate(1)
46,310
44,683
49,746
50,124
Installment, revolving credit and other32,663
33,181
32,768
33,247
Lease financing1,445
1,470
1,405
1,429
$176,545
$169,781
$190,602
$185,310
In offices outside the U.S.    
Commercial and industrial$98,068
$93,750
$97,844
$94,701
Financial institutions38,312
35,273
39,155
36,837
Mortgage and real estate(1)
7,261
7,309
7,005
7,376
Installment, revolving credit and other22,755
22,638
24,868
25,684
Lease financing139
190
95
103
Governments and official institutions5,270
5,200
3,698
4,520
$171,805
$164,360
$172,665
$169,221
Total corporate loans$348,350
$334,141
$363,267
$354,531
Net unearned income$(802)$(763)$(808)$(822)
Corporate loans, net of unearned income$347,548
$333,378
$362,459
$353,709
(1)Loans secured primarily by real estate.
 


The Company sold and/or reclassified to held-for-sale $0.4 billion and $0.5$0.1 billion of corporate loans during the three and six months ended June 30, 2018, respectively,March 31, 2019 and $0 billion and $0.5 billion during the three and six months ended June 30, 2017, respectively.2018. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and six months ended June 30, 2018March 31, 2019 or 2017.2018.



Lease financing
Citi is a lessor in the power, railcars, shipping and aircraft sectors, where the Company has executed operating, direct financing and leveraged leases. Citi’s $1.5 billion of lease financing receivables, as of March 31, 2019, is composed of approximately equal balances of direct financing lease receivables and net investments in leveraged leases. Citi uses the interest rate implicit in the lease to determine the present value of its lease financing receivables. Citi recognized $21 million of interest income on direct financing and leveraged leases during the three months ended March 31, 2019.
The Company’s leases have an average remaining maturity of approximately 4 years. In certain cases, Citi obtains residual value insurance from third parties and/or the lessee to manage the risk associated with the residual value of the leased assets. The receivable related to the residual value of the leased assets is approximately $0.9 billion as of March 31, 2019, while the amount covered by residual value guarantees is approximately $0.3 billion.
The Company’s operating leases, where Citi is a lessor, are not significant to the consolidated financial statements.



Corporate Loan Delinquency and Non-Accrual Details at June 30, 2018March 31, 2019
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$455
$125
$580
$1,177
$151,074
$152,831
Financial institutions301
136
437
92
86,487
87,016
Mortgage and real estate191
—
191
182
56,359
56,732
Leases16
19
35
—
1,465
1,500
Other128
76
204
31
60,291
60,526
Loans at fair value     3,854
Total$1,091
$356
$1,447
$1,482
$355,676
$362,459

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$618
$39
$657
$1,095
$147,195
$148,947
Financial institutions177
54
231
134
80,182
80,547
Mortgage and real estate140
9
149
267
53,135
53,551
Leases3
—
3
41
1,541
1,585
Other59
19
78
86
59,776
59,940
Loans at fair value     2,978
Total$997
$121
$1,118
$1,623
$341,829
$347,548


Corporate Loan Delinquency and Non-Accrual Details at December 31, 20172018
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans (4)
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
Commercial and industrial$249
$13
$262
$1,506
$139,554
$141,322
$365
$42
$407
$919
$143,960
$145,286
Financial institutions93
15
108
92
73,557
73,757
87
7
94
102
83,672
83,868
Mortgage and real estate147
59
206
195
51,563
51,964
128
5
133
215
57,116
57,464
Leases68
8
76
46
1,533
1,655
5
10
15
—
1,516
1,531
Other70
13
83
103
60,145
60,331
151
52
203
75
62,079
62,357
Loans at fair value   4,349
   3,203
Total$627
$108
$735
$1,942
$326,352
$333,378
$736
$116
$852
$1,311
$348,343
$353,709
(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 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)
Recorded investment in loans(1)
In millions of dollarsJune 30,
2018		December 31,
2017		March 31,
2019		December 31,
2018
Investment grade(2)
  
Commercial and industrial$106,631
$101,313
$108,423
$102,722
Financial institutions68,604
60,404
75,708
73,080
Mortgage and real estate23,633
23,213
25,068
25,855
Leases1,055
1,090
1,229
1,036
Other55,196
56,306
53,919
57,299
Total investment grade$255,119
$242,326
$264,347
$259,992
Non-investment grade(2)
  
Accrual  
Commercial and industrial$41,221
$38,503
$43,230
$41,645
Financial institutions11,808
13,261
11,216
10,686
Mortgage and real estate3,211
2,881
3,468
3,793
Leases490
518
271
496
Other4,658
3,924
6,577
4,981
Non-accrual  
Commercial and industrial1,095
1,506
1,177
919
Financial institutions134
92
92
102
Mortgage and real estate267
195
182
215
Leases41
46
—
—
Other86
103
31
75
Total non-investment grade$63,011
$61,029
$66,244
$62,912
Non-rated private bank loans managed on a delinquency basis(2)
$26,440
$25,674
$28,014
$27,602
Loans at fair value2,978
4,349
3,854
3,203
Corporate loans, net of unearned income$347,548
$333,378
$362,459
$353,709
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Held-for-investment loans are accounted for on an amortized cost basis.
 

























Non-Accrual Corporate Loans
The following tables present non-accrual loan information by corporate loan type and interest income recognized on non-accrual corporate loans:
June 30, 2018Three Months Ended 
 June 30, 2018		Six Months Ended 
 June 30, 2018		March 31, 2019Three Months Ended 
 March 31, 2019
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Interest
 income recognized(3)
Interest income recognized(3)
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Interest
 income recognized(3)
Non-accrual corporate loans       
Commercial and industrial$1,095
$1,246
$248
$1,332
$13
$16
$1,177
$1,336
$127
$1,079
$14
Financial institutions134
149
53
134
—
—
92
113
34
101
—
Mortgage and real estate267
420
29
206
—
1
182
376
15
231
—
Lease financing41
41
—
48
—
—
—
—
—
10
—
Other86
194
2
102
—
—
31
117
19
69
—
Total non-accrual corporate loans$1,623
$2,050
$332
$1,822
$13
$17
$1,482
$1,942
$195
$1,490
$14
December 31, 2017December 31, 2018
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Non-accrual corporate loans  
Commercial and industrial$1,506
$1,775
$368
$1,547
$919
$1,070
$183
$1,099
Financial institutions92
102
41
212
102
123
35
99
Mortgage and real estate195
324
11
183
215
323
39
233
Lease financing46
46
4
59
—
28
—
21
Other103
212
2
108
75
165
6
83
Total non-accrual corporate loans$1,942
$2,459
$426
$2,109
$1,311
$1,709
$263
$1,535
June 30, 2018December 31, 2017March 31, 2019December 31, 2018
In millions of dollars
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Non-accrual corporate loans with valuation allowances      
Commercial and industrial$660
$248
$1,017
$368
$450
$127
$603
$183
Financial institutions98
53
88
41
64
34
76
35
Mortgage and real estate124
29
51
11
83
15
100
39
Lease financing—
—
46
4
—
—
—
—
Other10
2
13
2
14
19
24
6
Total non-accrual corporate loans with specific allowance$892
$332
$1,215
$426
$611
$195
$803
$263
Non-accrual corporate loans without specific allowance      
Commercial and industrial$435
 
$489
 
$727
 
$316
 
Financial institutions36
 
4
 
28
 
26
 
Mortgage and real estate143
 
144
 
99
 
115
 
Lease financing41
 
—
 
—
 
—
 
Other76
 
90
 
17
 
51
 
Total non-accrual corporate loans without specific allowance$731
N/A
$727
N/A
$871
N/A
$508
N/A
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Average carrying value represents the average recorded investment balance and does not include related specific allowance.
(3)Interest income recognized for the three and six months ended June 30, 2017March 31, 2018 was $17 million and $19$4 million.
N/A Not applicable




Corporate Troubled Debt Restructurings


At and forFor the three months ended June 30, 2018:March 31, 2019:
In millions of dollarsCarrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$16
$—
$—
$16
Mortgage and real estate4
—
—
4
Total$20
$—
$—
$20

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$39
$3
$4
$32
Mortgage and real estate2
—
—
2
Total$41
$3
$4
$34
At and forFor the three months ended June 30, 2017:March 31, 2018:
In millions of dollarsCarrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$2
$—
$—
$2
Mortgage and real estate1
—
—
1
Total$3
$—
$—
$3
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$233
$32
$—
$201
Mortgage and real estate3
—
—
3
Total$236
$32
$—
$204
At and for the six months ended June 30, 2018:
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$41
$3
$4
$34
Mortgage and real estate3
—
—
3
Total$44
$3
$4
$37
At and for the six months ended June 30, 2017:
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$288
$32
$—
$256
Mortgage and real estate15
—
—
15
Other4
—
—
4
Total$307
$32
$—
$275

(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.
In millions of dollarsTDR balances at March 31, 2019
TDR loans in payment default during the three months ended
March 31, 2019
TDR balances at
March 31, 2018
TDR loans in payment default during the three months ended
March 31, 2018
Commercial and industrial$410
$—
$507
$59
Financial institutions13
—
40
—
Mortgage and real estate112
—
98
—
Other4
—
41
—
Total(1)
$539
$—
$686
$59

In millions of dollarsTDR balances at June 30, 2018
TDR loans in payment default during the three months ended
June 30, 2018
TDR loans in payment default six months ended June 30, 2018TDR balances at June 30, 2017TDR loans in payment default during the three months ended June 30, 2017TDR loans in payment default during the six months ended
June 30, 2017
Commercial and industrial$440
$11
$70
$591
$3
$12
Financial institutions34
—
—
24
—
3
Mortgage and real estate87
—
—
74
—
—
Other37
—
—
166
—
—
Total(1)
$598
$11
$70
$855
$3
$15


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










14. ALLOWANCE FOR CREDIT LOSSES
Three Months Ended June 30,Six Months Ended 
 June 30,		Three Months Ended March 31,
In millions of dollars201820172018201720192018
Allowance for loan losses at beginning of period$12,354
$12,030
$12,355
$12,060
$12,315
$12,355
Gross credit losses(2,109)(2,130)(4,405)(4,274)(2,345)(2,296)
Gross recoveries(1)
405
420
834
855
397
429
Net credit losses (NCLs)$(1,704)$(1,710)$(3,571)$(3,419)$(1,948)$(1,867)
NCLs$1,704
$1,710
$3,571
$3,419
$1,948
$1,867
Net reserve builds (releases)31
67
133
47
67
102
Net specific reserve releases60
(111)(106)(125)
Net specific reserve builds (releases)(71)(166)
Total provision for loan losses$1,795
$1,666
$3,598
$3,341
$1,944
$1,803
Other, net (see table below)(319)39
(256)43
18
63
Allowance for loan losses at end of period$12,126
$12,025
$12,126
$12,025
$12,329
$12,354
Allowance for credit losses on unfunded lending commitments at beginning of period$1,290
$1,377
$1,258
$1,418
$1,367
$1,258
Provision (release) for unfunded lending commitments(4)28
24
(15)24
28
Other, net(8)1
(4)3
—
4
Allowance for credit losses on unfunded lending commitments at end of period(2)
$1,278
$1,406
$1,278
$1,406
$1,391
$1,290
Total allowance for loans, leases and unfunded lending commitments$13,404
$13,431
$13,404
$13,431
$13,720
$13,644


(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)
Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.


Other, net detailsThree Months Ended March 31,
In millions of dollars20192018
Sales or transfers of various consumer loan portfolios to HFS  
Transfer of real estate loan portfolios$—
$(53)
Transfer of other loan portfolios—
(2)
Sales or transfers of various consumer loan portfolios to HFS$—
$(55)
FX translation, consumer26
118
Other(8)—
Other, net$18
$63

Other, net detailsThree Months Ended June 30,Six Months Ended 
 June 30,
In millions of dollars2018201720182017
Sales or transfers of various consumer loan portfolios to HFS    
Transfer of real estate loan portfolios$(33)$(19)$(86)$(56)
Transfer of other loan portfolios(104)—
(106)(124)
Sales or transfers of various consumer loan portfolios to HFS$(137)$(19)$(192)$(180)
FX translation, consumer(164)50
(46)214
Other(18)8
(18)9
Other, net$(319)$39
$(256)$43




Allowance for Credit Losses and Investment inEnd-of-Period Loans
Three Months EndedThree Months Ended
June 30, 2018June 30, 2017March 31, 2019March 31, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,315
$10,039
$12,354
$2,535
$9,495
$12,030
$2,365
$9,950
$12,315
$2,486
$9,869
$12,355
Charge-offs(20)(2,089)(2,109)(96)(2,034)(2,130)(73)(2,272)(2,345)(139)(2,157)(2,296)
Recoveries22
383
405
19
401
420
17
380
397
43
386
429
Replenishment of net charge-offs(2)1,706
1,704
77
1,633
1,710
56
1,892
1,948
96
1,771
1,867
Net reserve builds (releases)(30)61
31
(4)71
67
7
60
67
(19)121
102
Net specific reserve builds (releases)63
(3)60
(27)(84)(111)(61)(10)(71)(155)(11)(166)
Other(18)(301)(319)6
33
39
(8)26
18
3
60
63
Ending balance$2,330
$9,796
$12,126
$2,510
$9,515
$12,025
$2,303
$10,026
$12,329
$2,315
$10,039
$12,354







 March 31, 2019December 31, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses 
 
 
   
Collectively evaluated in accordance with ASC 450$2,108
$8,853
$10,961
$2,102
$8,770
$10,872
Individually evaluated in accordance with ASC 310-10-35195
1,171
1,366
263
1,178
1,441
Purchased credit impaired in accordance with ASC 310-30—
2
2
—
2
2
Total allowance for loan losses$2,303
$10,026
$12,329
$2,365
$9,950
$12,315
Loans, net of unearned income      
Collectively evaluated in accordance with ASC 450$357,210
$314,454
$671,664
$349,292
$325,055
$674,347
Individually evaluated in accordance with ASC 310-10-351,395
5,288
6,683
1,214
5,284
6,498
Purchased credit impaired in accordance with ASC 310-30—
125
125
—
128
128
Held at fair value3,854
20
3,874
3,203
20
3,223
Total loans, net of unearned income$362,459
$319,887
$682,346
$353,709
$330,487
$684,196







 Six Months Ended
 June 30, 2018June 30, 2017
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,486
$9,869
$12,355
$2,702
$9,358
$12,060
Charge-offs(159)(4,246)(4,405)(199)(4,075)(4,274)
Recoveries65
769
834
85
770
855
Replenishment of net charge-offs94
3,477
3,571
114
3,305
3,419
Net reserve builds (releases)(49)182
133
(170)217
47
Net specific reserve builds (releases)(92)(14)(106)(39)(86)(125)
Other(15)(241)(256)17
26
43
Ending balance$2,330
$9,796
$12,126
$2,510
$9,515
$12,025

 June 30, 2018December 31, 2017
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses 
 
 
   
Collectively evaluated in accordance with ASC 450$1,998
$8,608
$10,606
$2,060
$8,531
$10,591
Individually evaluated in accordance with ASC 310-10-35332
1,185
1,517
426
1,334
1,760
Purchased credit-impaired in accordance with ASC 310-30—
3
3
—
4
4
Total allowance for loan losses$2,330
$9,796
$12,126
$2,486
$9,869
$12,355
Loans, net of unearned income      
Collectively evaluated in accordance with ASC 450$343,000
$317,736
$660,736
$327,142
$326,884
$654,026
Individually evaluated in accordance with ASC 310-10-351,570
5,725
7,295
1,887
6,580
8,467
Purchased credit-impaired in accordance with ASC 310-30—
149
149
—
167
167
Held at fair value2,978
22
3,000
4,349
25
4,374
Total loans, net of unearned income$347,548
$323,632
$671,180
$333,378
$333,656
$667,034








15.   GOODWILL AND INTANGIBLE ASSETS
Goodwill
The changes in Goodwill were as follows:
In millions of dollarsGlobal Consumer BankingInstitutional Clients GroupCorporate/OtherTotal
Balance at December 31, 2018$12,743
$9,303
$—
$22,046
Foreign currency translation and other—
(9)—
(9)
Balance at March 31, 2019$12,743
$9,294
$—
$22,037


There were no triggering events identified and no goodwill was impaired during the first quarter of 2019.
Goodwill impairment testing is performed at the level below each business segment (referred to as a reporting
unit). See Note 3 for further information on business

segments. For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 16 to the Consolidated Financial Statements in Citi’s 20172018 Annual Report on Form 10-K. There were no triggering events identified and no goodwill was impaired during the three and six months ended June 30, 2018.











Goodwill
The changes in Goodwill were as follows:
In millions of dollarsGlobal Consumer BankingInstitutional Clients GroupCorporate/OtherTotal
Balance at December 31, 2017$12,784
$9,456
$16
$22,256
Foreign currency translation and other$184
$235
$—
$419
Divestiture(1)
—
—
(16)(16)
Balance at March 31, 2018$12,968
$9,691
$—
$22,659
Foreign exchange translation and other$(226)$(375)$—
$(601)
Divestiture (1)
—
—
—
—
Balance at June 30, 2018$12,742
$9,316
$—
$22,058

(1)
Goodwill allocated to the sale of the Citi Colombia consumer business, the only remaining business in Citi Holdings-Consumer Latin America reporting unit reported as part of Corporate/Other, which was classified as HFS beginning the first quarter of 2018. The sale was completed during the second quarter of 2018.

Intangible Assets
The components of intangible assets were as follows:
 March 31, 2019December 31, 2018
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$5,734
$3,985
$1,749
$5,733
$3,936
$1,797
Credit card contract-related intangibles(1)
5,375
2,875
2,500
5,225
2,791
2,434
Core deposit intangibles424
422
2
419
415
4
Other customer relationships453
288
165
470
299
171
Present value of future profits33
29
4
32
29
3
Indefinite-lived intangible assets220
—
220
218
—
218
Other84
79
5
84
75
9
Intangible assets (excluding MSRs)$12,323
$7,678
$4,645
$12,181
$7,545
$4,636
Mortgage servicing rights (MSRs)(2)
551
—
551
584
—
584
Total intangible assets$12,874
$7,678
$5,196
$12,765
$7,545
$5,220
 June 30, 2018December 31, 2017
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$5,726
$3,838
$1,888
$5,375
$3,836
$1,539
Credit card contract related intangibles(1)
5,043
2,624
2,419
5,045
2,456
2,589
Core deposit intangibles419
412
7
639
628
11
Other customer relationships472
287
185
459
272
187
Present value of future profits32
28
4
32
28
4
Indefinite-lived intangible assets216
—
216
244
—
244
Other95
85
10
100
86
14
Intangible assets (excluding MSRs)$12,003
$7,274
$4,729
$11,894
$7,306
$4,588
Mortgage servicing rights (MSRs)(2)
596
—
596
558
—
558
Total intangible assets$12,599
$7,274
$5,325
$12,452
$7,306
$5,146

(1)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco, Sears and AT&T credit card program agreements, which representrepresented 97% of the aggregate net carrying amount as of June 30,March 31, 2019 and December 31, 2018.
(2)For additional information on Citi’s MSRs, see Note 18 to the Consolidated Financial Statements.




The changes in intangible assets were as follows:
Net carrying
amount at		 
Net carrying
amount at
Net carrying
amount at		 
Net carrying
amount at
In millions of dollarsDecember 31,
2017
Acquisitions/
divestitures
AmortizationFX translation and otherJune 30,
2018		December 31,
2018
Acquisitions/
divestitures
AmortizationFX translation and otherMarch 31,
2019
Purchased credit card relationships(1)
$1,539
$425
$(74)$(2)$1,888
$1,797
$—
$(48)$—
$1,749
Credit card contract related intangibles(2)
2,589
2
(171)(1)2,419
Credit card contract-related intangibles(2)
2,434
—
(84)150
2,500
Core deposit intangibles11
—
(4)—
7
4
—
(2)—
2
Other customer relationships187
—
(12)10
185
171
—
(6)—
165
Present value of future profits4
—
—
—
4
3
—
—
1
4
Indefinite-lived intangible assets244
—
—
(28)216
218
—
—
2
220
Other14
—
(7)3
10
9
—
(4)—
5
Intangible assets (excluding MSRs)$4,588
$427
$(268)$(18)$4,729
$4,636
$—
$(144)$153
$4,645
Mortgage servicing rights (MSRs)(3)
558
 596
584
 551
Total intangible assets$5,146
 $5,325
$5,220
 $5,196


(1)Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract intangibles and include credit card accounts primarily in the Costco, Macy`sMacy’s and Sears portfolios. The increase since December 31, 20172018 reflects the purchase of certain rights related to credit card accounts in the Sears portfolio.
(2)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco, Sears and AT&T credit card program agreements, which represented 97% of the aggregate net carrying amount at June 30, 2018March 31, 2019 and December 31, 2017.2018.
(3)For additional information on Citi’s MSRs, including the rollforward for the sixthree months ended June 30, 2018,March 31, 2019, 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 20172018 Annual Report on Form 10-K.


Short-Term Borrowings
In millions of dollarsMarch 31,
2019		December 31,
2018
Commercial paper 
Bank(1)
$13,060
$13,238
Broker-dealer and other(2)
1,974
—
Total commercial paper$15,034
$13,238
Other borrowings(3)
24,288
19,108
Total$39,322
$32,346

In millions of dollarsJune 30,
2018		December 31,
2017
Commercial paper$12,034
$9,940
Other borrowings(1)
25,199
34,512
Total$37,233
$44,452


(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, 2018March 31, 2019 and December 31, 2017,2018, collateralized short-term advances from the Federal Home Loan Banks were $15.3$13.3 billion and $23.8$9.5 billion, respectively.


 





Long-Term Debt
In millions of dollarsJune 30,
2018		December 31, 2017March 31,
2019		December 31, 2018
Citigroup Inc.(1)
$148,601
$152,163
$149,830
$143,767
Bank(2)
63,951
65,856
61,522
61,237
Broker-dealer and other(3)
24,270
18,690
32,214
26,995
Total$236,822
$236,709
$243,566
$231,999


(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At June 30, 2018March 31, 2019 and December 31, 2017,2018, collateralized long-term advances from the Federal Home Loan Banks were $13.7$10.5 billion and $19.3$10.5 billion, respectively.
(3)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.


Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $1.7 billion at both June 30, 2018March 31, 2019 and December 31, 2017.2018.




The following table summarizes Citi’s outstanding trust preferred securities at June 30, 2018:March 31, 2019:
    Junior subordinated debentures owned by trust    Junior subordinated debentures owned by trust
Trust
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
AmountMaturity
Redeemable
by issuer
beginning
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
AmountMaturity
Redeemable
by issuer
beginning
In millions of dollars, except share amounts








In millions of dollars, except securities and share amounts
In millions of dollars, except securities and share amounts








Citigroup Capital IIIDec. 1996194,053
$194
7.625%6,003
$200
Dec. 1, 2036Not redeemableDec. 1996194,053
$194
7.625%6,003
$200
Dec. 1, 2036Not redeemable
Citigroup Capital XIIISept. 201089,840,000
2,246
3 mo LIBOR + 637 bps
1,000
2,246
Oct. 30, 2040Oct. 30, 2015Sept. 201089,840,000
2,246
3 mo LIBOR + 637 bps
1,000
2,246
Oct. 30, 2040Oct. 30, 2015
Citigroup Capital XVIIIJune 200799,901
132
3 mo LIBOR + 88.75 bps
50
132
June 28, 2067June 28, 2017Jun. 200799,901
130
3 mo LIBOR + 88.75 bps
50
130
Jun. 28, 2067June 28, 2017
Total obligated  
$2,572
  $2,578
   
$2,570
  $2,576
 


Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III and Citigroup Capital XVIII and quarterly for Citigroup Capital XIII.
(1)Represents the notional value received by outside investors from the trusts at the time of issuance.
(2)In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.




17.   CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)
Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows:
Three Months Ended June 30, 2018March 31, 2019
In millions of dollarsNet
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Excluded Component of fair value hedges (4)
Accumulated
other
comprehensive income (loss)
Balance, March 31, 2018$(2,219)$(793)$(920)$(6,095)$(24,588)$(4)$(34,619)
Other comprehensive income before reclassifications(433)316
(36)261
(2,867)(28)(2,787)
Increase (decrease) due to amounts reclassified from AOCI(65)2
(65)40
—
—
(88)
Change, net of taxes$(498)$318
$(101)$301
$(2,867)$(28)$(2,875)
Balance at June 30, 2018$(2,717)$(475)$(1,021)$(5,794)$(27,455)$(32)$(37,494)
Six Months Ended June 30, 2018
In millions of dollarsNet
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Excluded Component of fair value hedges (4)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2017$(1,158)$(921)$(698)$(6,183)$(25,708)$—
$(34,668)
Adjustment to opening balance, net of taxes(5)
(3)—
—
—
—
—
(3)
Adjusted balance, beginning of period$(1,161)$(921)$(698)$(6,183)$(25,708)$—
$(34,671)
Other comprehensive income before reclassifications(1,383)417
(279)302
(1,747)(32)(2,722)
Increase (decrease) due to amounts reclassified from AOCI(173)29
(44)87
—
—
(101)
Change, net of taxes 
$(1,556)$446
$(323)$389
$(1,747)$(32)$(2,823)
Balance at June 30, 2018$(2,717)$(475)$(1,021)$(5,794)$(27,455)$(32)$(37,494)
Note: Footnotes to the tables above appear on the following page.


In millions of dollarsNet
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(5)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2018$(2,250)$192
$(728)$(6,257)$(28,070)$(57)$(37,170)
Other comprehensive income before reclassifications1,226
(575)186
(110)58
18
803
Increase (decrease) due to amounts reclassified from AOCI(91)4
100
46
—
—
59
Change, net of taxes$1,135
$(571)$286
$(64)$58
$18
$862
Balance at March 31, 2019$(1,115)$(379)$(442)$(6,321)$(28,012)$(39)$(36,308)
Three Months Ended June 30, 2017March 31, 2018
In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)

Cash flow hedges(1)
Benefit plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Excluded Component of fair value hedges (4)
Accumulated
other
comprehensive income (loss)
Balance, March 31, 2017$(75)$(412)$(562)$(5,176)$(24,188)$—
$(30,413)
Other comprehensive income before reclassifications101
(79)62
(173)643
—
554
Increase (decrease) due to amounts reclassified from AOCI(128)(5)55
38
—
—
(40)
Change, net of taxes 
$(27)$(84)$117
$(135)$643
$—
$514
Balance, June 30, 2017$(102)$(496)$(445)$(5,311)$(23,545)$—
$(29,899)

Six Months Ended June 30, 2017
In millions of dollarsNet
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Excluded Component of fair value hedges (4)
Accumulated
other
comprehensive income (loss)		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(5)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2016$(799)$(352)$(560)$(5,164)$(25,506)$—
$(32,381)
Balance, December 31, 2017$(1,158)$(921)$(698)$(6,183)$(25,708)$—
$(34,668)
Adjustment to opening balance, net of taxes (6)
504
—
—
—
—
—
504
(3)—
—
—
—
—
(3)
Adjusted balance, beginning of period$(295)$(352)$(560)$(5,164)$(25,506)$—
$(31,877)$(1,161)$(921)$(698)$(6,183)$(25,708)$—
$(34,671)
Other comprehensive income before reclassifications435
(134)86
(222)2,108
—
2,273
(949)101
(243)41
1,120
(4)66
Increase (decrease) due to amounts reclassified from AOCI(242)(10)29
75
(147)—
(295)(109)27
21
47
—
—
(14)
Change, net of taxes$193
$(144)$115
$(147)$1,961
$—
$1,978
$(1,058)$128
$(222)$88
$1,120
$(4)$52
Balance, June 30, 2017$(102)$(496)$(445)$(5,311)$(23,545)$—
$(29,899)
Balance, March 31, 2018$(2,219)$(793)$(920)$(6,095)$(24,588)$(4)$(34,619)
(1)Changes in DVA are reflected as a component of AOCI, pursuant to the adoption of only the provisions of ASU 2016-01 relating to the presentation of DVA on fair value options liabilities. See Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
(2)Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.
(2)(3)Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s Significantsignificant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.
(3)(4)Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Euro,Chilean peso, Chinese yuan and Korean wonRussian ruble against the U.S. dollar and changes in related tax effects and hedges for the three months ended June 30, 2018. Primarily reflects the movements in (by order of impact) the Brazilian real, Indian rupee, Argentine peso, and Korean won against the U.S. dollar and changes in related tax effects and hedges for the six months ended June 30, 2018.March 31, 2019. Primarily reflects the movements in (by order of impact) the Mexican peso, Japanese yen, Euro Polish zloty, and British pound sterlingChinese yuan against the U.S. dollar and changes in related tax effects and hedges for the three months ended June 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 and six months ended June 30, 2017.March 31, 2018. 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.
(4)(5)
Beginning in the first quarter of 2018, changes in the excluded component of fair value hedges are reflected as a component of AOCI, pursuant to the early adoption of ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities. See Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K for further information regarding this change.
(5)(6)
Citi adopted ASU 2016-01 and ASU 2018-03 on January 1, 2018. Upon adoption, a cumulative effect adjustment was recorded from AOCI to retainedRetained earnings for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements.
(6)
In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium AmortizationStatements in Citi’s 2018 Annual Report 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.Form 10-K.





The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Three Months Ended June 30, 2018March 31, 2019
In millions of dollarsPretax
Tax effect(1)
After-tax
Balance, December 31, 2018$(44,082)$6,912
$(37,170)
Change in net unrealized gains (losses) on debt securities1,500
(365)1,135
Debt valuation adjustment (DVA)(725)154
(571)
Cash flow hedges378
(92)286
Benefit plans(68)4
(64)
Foreign currency translation adjustment69
(11)58
Excluded component of fair value hedges24
(6)18
Change$1,178
$(316)$862
Balance, March 31, 2019$(42,904)$6,596
$(36,308)

In millions of dollarsPretax
Tax effect(1)
After-tax
Balance, March 31, 2018$(41,519)$6,900
$(34,619)
Change in net unrealized gains (losses) on AFS debt securities(671)173
(498)
Debt valuation adjustment (DVA)418
(100)318
Cash flow hedges(132)31
(101)
Benefit plans403
(102)301
Foreign currency translation adjustment(2,869)2
(2,867)
Excluded component of fair value hedges(37)9
(28)
Change$(2,888)$13
$(2,875)
Balance, June 30, 2018$(44,407)$6,913
$(37,494)
SixThree Months Ended June 30,March 31, 2018
In millions of dollarsPretax
Tax effect(1)
After-tax
Balance, December 31, 2017(1)
$(41,228)$6,560
$(34,668)
Adjustment to opening balance(2)
(4)1
(3)
Adjusted balance, beginning of period$(41,232)$6,561
$(34,671)
Change in net unrealized gains (losses) on debt securities(1,380)322
(1,058)
Debt valuation adjustment (DVA)167
(39)128
Cash flow hedges(290)68
(222)
Benefit plans91
(3)88
Foreign currency translation adjustment1,130
(10)1,120
Excluded component of fair value hedges(5)1
(4)
Change$(287)$339
$52
Balance, March 31, 2018$(41,519)$6,900
$(34,619)
In millions of dollarsPretax
Tax effect(1)
After-tax
Balance, December 31, 2017(1)
$(41,228)$6,560
$(34,668)
Adjustment to opening balance (2)
(4)1
(3)
Adjusted balance, beginning of period$(41,232)$6,561
$(34,671)
Change in net unrealized gains (losses) on investment securities(2,051)495
(1,556)
Debt valuation adjustment (DVA)585
(139)446
Cash flow hedges(422)99
(323)
Benefit plans494
(105)389
Foreign currency translation adjustment(1,739)(8)(1,747)
Excluded component of fair value hedges(42)10
(32)
Change$(3,175)$352
$(2,823)
Balance, June 30, 2018$(44,407)$6,913
$(37,494)

(1)
Includes the impact of ASU 2018-02, which transferred amounts from AOCI to Retained Earningsearnings. For additional information, see Note 19 to the Consolidated Financial Statements in Citi’s 20172018 Annual Report on Form 10-K.
(2)
Citi adopted ASU 2016-01 and ASU 2018-03 on January 1, 2018. Upon adoption, a cumulative effect adjustment was recorded from AOCI to retainedRetained earnings for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements.Statements in Citi’s 2018 Annual Report on Form 10-K.










Three Months Ended June 30, 2017
In millions of dollarsPretaxTax effectAfter-tax
Balance, March 31, 2017$(39,514)$9,101
$(30,413)
Change in net unrealized gains (losses) on investment securities(45)18
(27)
Debt valuation adjustment (DVA)(132)48
(84)
Cash flow hedges185
(68)117
Benefit plans(219)84
(135)
Foreign currency translation adjustment619
24
643
Excluded component of fair value hedges—
—
—
Change$408
$106
$514
Balance, June 30, 2017$(39,106)$9,207
$(29,899)

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








The Company recognized pretax 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 June 30,Six Months Ended June 30,Three Months Ended March 31,
In millions of dollars20182019
Realized (gains) losses on sales of investments$(102)$(272)$(130)
Gross impairment losses15
43
3
Subtotal, pretax$(87)$(229)$(127)
Tax effect22
56
36
Net realized (gains) losses on investments after-tax(1)
$(65)$(173)$(91)
Realized DVA (gains) losses on fair value option liabilities$2
$37
$5
Subtotal, pretax$2
$37
$5
Tax effect—
(8)(1)
Net realized debt valuation adjustment, after-tax$2
$29
$4
Interest rate contracts$(82)$(51)$130
Foreign exchange contracts(4)(6)2
Subtotal, pretax$(86)$(57)$132
Tax effect21
13
(32)
Amortization of cash flow hedges, after-tax(2)
$(65)$(44)$100
Amortization of unrecognized  
Prior service cost (benefit)$(11)$(22)$(4)
Net actuarial loss64
133
65
Curtailment/settlement impact(3)
2
6
—
Subtotal, pretax$55
$117
$61
Tax effect(15)(30)(15)
Amortization of benefit plans, after-tax(3)
$40
$87
$46
Foreign currency translation adjustment$—
$—
$—
Tax effect—
—
—
Foreign currency translation adjustment$—
$—
$—
Total amounts reclassified out of AOCI, pretax$(116)$(132)$71
Total tax effect28
31
(12)
Total amounts reclassified out of AOCI, after-tax$(88)$(101)$59
(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses in 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 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 June 30,Six Months Ended June 30,Three Months Ended March 31,
In millions of dollars201720172018
Realized (gains) losses on sales of investments$(221)$(413)$(170)
OTTI gross impairment losses20
32
27
Subtotal, pretax$(201)$(381)$(143)
Tax effect73
139
34
Net realized (gains) losses on investment securities, after-tax(1)
$(128)$(242)$(109)
Realized DVA (gains) losses on fair value option liabilities$(8)$(16)$35
Subtotal, pretax$(8)$(16)$35
Tax effect$3
$6
(8)
Net realized debt valuation adjustment, after-tax$(5)$(10)$27
Interest rate contracts$90
$46
$31
Foreign exchange contracts(2)1
(2)
Subtotal, pretax$88
$47
$29
Tax effect(33)(18)(8)
Amortization of cash flow hedges, after-tax(2)
$55
$29
$21
Amortization of unrecognized   
Prior service cost (benefit)$(12)$(22)$(11)
Net actuarial loss66
133
69
Curtailment/settlement impact(3)
7
7
4
Subtotal, pretax$61
$118
$62
Tax effect(23)(43)(15)
Amortization of benefit plans, after-tax(3)
$38
$75
$47
Foreign currency translation adjustment$—
$(232)$—
Tax effect—
85
—
Foreign currency translation adjustment$—
$(147)$—
Total amounts reclassified out of AOCI, pretax$(60)$(464)$(17)
Total tax effect20
169
3
Total amounts reclassified out of AOCI, after-tax$(40)$(295)$(14)


(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on in 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 20172018 Annual Report on Form 10-K.
Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests or has continuing involvement through servicing a majority of the assets in a VIE is presented below:
 As of March 31, 2019
    
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$42,790
$42,790
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
        
U.S. agency-sponsored116,062
—
116,062
3,251
—
—
61
3,312
Non-agency-sponsored32,769
1,424
31,345
500
—
—
1
501
Citi-administered asset-backed commercial paper conduits17,494
17,494
—
—
—
—
—
—
Collateralized loan obligations (CLOs)21,612
—
21,612
5,408
—
—
9
5,417
Asset-based financing105,765
612
105,153
22,940
834
10,394
—
34,168
Municipal securities tender option bond trusts (TOBs)8,165
1,787
6,378
21
—
4,278
—
4,299
Municipal investments18,518
1
18,517
2,768
3,932
2,641
—
9,341
Client intermediation1,649
1,403
246
171
—
—
8
179
Investment funds1,037
265
772
14
—
20
—
34
Other62
2
60
49
—
11
—
60
Total$365,923
$65,778
$300,145
$35,122
$4,766
$17,344
$79
$57,311
 As of June 30, 2018
    
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$46,520
$46,520
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
        
U.S. agency-sponsored110,826
—
110,826
3,014
—
—
97
3,111
Non-agency-sponsored22,812
1,724
21,088
422
—
—
1
423
Citi-administered asset-backed commercial paper conduits (ABCP)18,548
18,548
—
—
—
—
—
—
Collateralized loan obligations (CLOs)16,687
—
16,687
5,148
—
—
9
5,157
Asset-based financing64,970
627
64,343
19,360
568
7,249
—
27,177
Municipal securities tender option bond trusts (TOBs)7,671
2,158
5,513
—
—
3,752
—
3,752
Municipal investments18,321
3
18,318
2,609
3,767
2,237
—
8,613
Client intermediation667
442
225
124
—
—
6
130
Investment funds1,836
581
1,255
8
7
7
2
24
Other662
35
627
38
8
24
46
116
Total$309,520
$70,638
$238,882
$30,723
$4,350
$13,269
$161
$48,503

As of December 31, 2017As of December 31, 2018
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Funded exposures(2)
Unfunded exposures  
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$50,795
$50,795
$—
$—
$—
$—
$—
$—
$46,232
$46,232
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
     
U.S. agency-sponsored116,610
—
116,610
2,647
—
—
74
2,721
116,563
—
116,563
3,038
—
—
60
3,098
Non-agency-sponsored22,251
2,035
20,216
330
—
—
1
331
30,886
1,498
29,388
431
—
—
1
432
Citi-administered asset-backed commercial paper conduits (ABCP)19,282
19,282
—
—
—
—
—
—
Citi-administered asset-backed commercial paper conduits18,750
18,750
—
—
—
—
—
—
Collateralized loan obligations (CLOs)20,588
—
20,588
5,956
—
—
9
5,965
21,837
—
21,837
5,891
—
—
9
5,900
Asset-based financing60,472
633
59,839
19,478
583
5,878
—
25,939
99,433
628
98,805
21,640
715
9,757
—
32,112
Municipal securities tender option bond trusts (TOBs)6,925
2,166
4,759
138
—
3,035
—
3,173
7,998
1,776
6,222
9
—
4,262
—
4,271
Municipal investments19,119
7
19,112
2,709
3,640
2,344
—
8,693
18,044
3
18,041
2,813
3,922
2,738
—
9,473
Client intermediation958
824
134
32
—
—
9
41
858
614
244
172
—
—
2
174
Investment funds1,892
616
1,276
14
7
13
—
34
1,272
440
832
12
—
1
1
14
Other677
36
641
27
9
34
47
117
63
3
60
37
—
23
—
60
Total$319,569
$76,394
$243,175
$31,331
$4,239
$11,304
$140
$47,014
$361,936
$69,944
$291,992
$34,043
$4,637
$16,781
$73
$55,534


(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)Included on Citigroup’s June 30, 2018March 31, 2019 and December 31, 20172018 Consolidated Balance Sheet.
(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)(private label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion.



The previous tables do not include:


certain venture capital investments made by some of the Company’s private equity subsidiaries, as the Company accounts for these investments in accordance with the Investment Company Audit Guide (codified in ASC 946);
certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;
certain VIEs structured by third parties in which the Company holds securities in inventory, as these investments are made on arm’s-length terms;
certain positions in mortgage-backed and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, in which the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 12 and 20 to the Consolidated Financial Statements);
certain representations and warranties exposures in legacy ICG-sponsored mortgage-backed and asset-backed securitizations in which the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 in which the Company has no variable interest or continuing involvement as servicer was approximately $8 billion and $9 billion at June 30, 2018 and December 31, 2017, respectively;
•
certain positions in mortgage- and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, in 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- and asset-backed securitizations in which the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 in which the Company has no variable interest or continuing involvement as servicer was approximately $7 billion at March 31, 2019 and December 31, 2018;
certain representations and warranties exposures in Citigroup residential mortgage securitizations, wherein which the original mortgage loan balances are no longer outstanding; and
VIEs such as trust preferred securities trusts used in connection with the Company’s funding activities. The Company does not have a variable interest in these trusts.


 


The asset balances for consolidated VIEs represent the carrying amounts of the assets consolidated by the Company. The carrying amount may represent the amortized cost or the current fair value of the assets depending on the legal form of the asset (e.g., loan or security) and the Company’s standard accounting policies for the asset type and line of business.
The asset balances for unconsolidated VIEs in which the Company has significant involvement represent the most current information available to the Company. In most cases, the asset balances represent an amortized cost basis without regard to impairments, unless fair value information is readily available to the Company.
The maximum funded exposure represents the balance sheet carrying amount of the Company’s investment in the VIE. It reflects the initial amount of cash invested in the VIE, adjusted for any accrued interest and cash principal payments received. The carrying amount may also be adjusted for increases or declines in fair value or any impairment in value recognized in earnings. The maximum exposure of unfunded positions represents the remaining undrawn committed amount, including liquidity and credit facilities provided by the Company or the notional amount of a derivative instrument considered to be a variable interest. In certain transactions, the Company has entered into derivative instruments or other arrangements that are not considered variable interests in the VIE (e.g., interest rate swaps, cross-currency swaps or where the Company is the purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE). Receivables under such arrangements are not included in the maximum exposure amounts.



Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments
The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above:
 March 31, 2019December 31, 2018
In millions of dollars
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Asset-based financing$—
$10,394
$—
$9,757
Municipal securities tender option bond trusts (TOBs)4,278
—
4,262
—
Municipal investments—
2,641
—
2,738
Investment funds—
20
—
1
Other—
11
—
23
Total funding commitments$4,278
$13,066
$4,262
$12,519
 June 30, 2018December 31, 2017
In millions of dollars
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Asset-based financing$—
$7,249
$—
$5,878
Municipal securities tender option bond trusts (TOBs)3,752
—
3,035
—
Municipal investments—
2,237
—
2,344
Investment funds—
7
—
13
Other—
24
—
34
Total funding commitments$3,752
$9,517
$3,035
$8,269

Significant Interests in Unconsolidated VIEs—Balance Sheet Classification
The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs:
In billions of dollarsMarch 31, 2019December 31, 2018
Cash$—
$—
Trading account assets3.4
3.0
Investments10.3
10.7
Total loans, net of allowance25.7
24.5
Other0.5
0.5
Total assets$39.9
$38.7
In billions of dollarsJune 30, 2018December 31, 2017
Cash$—
$—
Trading account assets8.0
8.5
Investments4.6
4.4
Total loans, net of allowance22.0
22.2
Other0.5
0.5
Total assets$35.1
$35.6

Credit Card Securitizations
Substantially all of the Company’s credit card securitization activity is through two trusts—Citibank Credit Card Master Trust (Master Trust) and 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 dollarsJune 30, 2018December 31, 2017March 31, 2019December 31, 2018
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$27.3
$28.8
$24.8
$27.3
Retained by Citigroup as trust-issued securities7.6
7.6
7.6
7.6
Retained by Citigroup via non-certificated interests11.7
14.4
10.5
11.3
Total$46.6
$50.8
$42.9
$46.2


The following tables summarizetable summarizes selected cash flow information related to Citigroup’s credit card securitizations:
 Three Months Ended March 31,
In billions of dollars20192018
Proceeds from new securitizations$—
$2.8
Pay down of maturing notes(2.5)(2.8)

 Three Months Ended June 30,
In billions of dollars20182017
Proceeds from new securitizations$1.1
$5.1
Pay down of maturing notes(2.6)(0.8)
 Six Months Ended June 30,
In billions of dollars20182017
Proceeds from new securitizations$3.9
$7.6
Pay down of maturing notes(5.4)(2.8)


Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was 2.83.1 years as of June 30, 2018March 31, 2019 and 2.63.0 years as of December 31, 2017.2018.

In billions of dollarsMar. 31, 2019Dec. 31, 2018
Term notes issued to third parties$23.3
$25.8
Term notes retained by Citigroup affiliates5.7
5.7
Total Master Trust liabilities$29.0
$31.5




 
In billions of dollarsJun. 30, 2018Dec. 31, 2017
Term notes issued to third parties$26.3
$27.8
Term notes retained by Citigroup affiliates5.7
5.7
Total Master Trust liabilities$32.0
$33.5


Omni Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Omni Trust was 1.41.2 years as of June 30, 2018March 31, 2019 and 1.91.4 years as of December 31, 2017.2018.
In billions of dollarsJun. 30, 2018Dec. 31, 2017Mar. 31, 2019Dec. 31, 2018
Term notes issued to third parties$1.0
$1.0
$1.5
$1.5
Term notes retained by Citigroup affiliates1.9
1.9
1.9
1.9
Total Omni Trust liabilities$2.9
$2.9
$3.4
$3.4




Mortgage Securitizations
The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:
 Three Months Ended March 31,
 20192018
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized$1.0
$2.7
$1.2
$—
Proceeds from new securitizations1.0
2.7
1.2
1.6
Purchases of previously transferred financial assets—
—
0.1
—

 Three Months Ended June 30,
 20182017
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Proceeds from new securitizations$7.7
$2.8
$7.3
$1.4
Contractual servicing fees received—
—
0.1
—

Note: Excludes re-securitization transactions.
 Six Months Ended June 30,
 20182017
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Proceeds from new securitizations$15.8
$6.1
$14.5
$2.8
Contractual servicing fees received0.1
—
0.1
—


GainsDuring the first quarter of 2019, there were no gains recognized on the securitization of U.S. agency-sponsored mortgages were $7 million and $12 million for the three and six months ended June 30, 2018, respectively. For the three and six months ended June 30, 2018, gainsmortgages. Gains recognized on the securitization of non-agency sponsored mortgages during the first quarter of 2019 were $17 million and $35 million, respectively.million.
 
Gains recognized onAgency and non-agency securitization gains for the securitization of U.S. agency-sponsored mortgagesquarter ended March 31, 2018 were $18$5 million and $47 million for the three and six months ended June 30, 2017, respectively. For the three and six months ended June 30, 2017, gains recognized on the securitization of non-agency sponsored mortgages were $26 million and $46$12 million, respectively.
 March 31, 2019December 31, 2018
  
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
In millions of dollarsU.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Carrying value of retained interests(2)
$531
$366
$55
$564
$300
$51

 June 30, 2018December 31, 2017
  
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
In millions of dollarsU.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Carrying value of retained interests$2,152
$277
$109
$1,634
$214
$139


(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Retained interests consist of Level 2 or Level 3 assets depending on the observability of significant inputs. See 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, 2018
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate3.1% to 9.5%
1.6% to 4.2%
3.5%
   Weighted average discount rate5.7%3.4%3.5%
Constant prepayment rate3.5% to 12.9%
8.0%8.0%
   Weighted average constant prepayment rate8.0%8.0%8.0%
Anticipated net credit losses(2)
   NM
4.6%4.6%
   Weighted average anticipated net credit losses   NM
4.6%4.6%
Weighted average life5.0 to 18.9 years
3.4 to 9.9 years
3.4 years
 March 31, 2019
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Weighted average discount rate6.6%3.6%7.1%
Weighted average constant prepayment rate14.1%6.0%6.0%
Weighted average anticipated net credit losses(2)
NM
5.0%3.5%
Weighted average life6.1 years
7.6 years
19.4 years




 Three Months Ended June 30, 2017
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate2.5% to 14.0%
2.0% to 3.3%
3.5% to 19.1%
   Weighted average discount rate7.6%2.7%4.3%
Constant prepayment rate6.5% to 16.1%
—
—
   Weighted average constant prepayment rate10.6%—
—
Anticipated net credit losses(2)
   NM
—
69.0% to 69.1%
   Weighted average anticipated net credit losses   NM
—
69.1%
Weighted average life4.9 to 14.5 years
4.9 to 10.0 years
8.6 to 10.0 years
 March 31, 2018
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate10.4%3.4%3.0%
Weighted average constant prepayment rate4.5%12.0%12.0%
Weighted average anticipated net credit losses(2)
   NM
5.0%2.0%
Weighted average life7.7 years
6.9 years
2.5 years

 Six Months Ended June 30, 2018
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate3.0% to 11.4%
1.6% to 4.5%
3.0% to 3.5%
   Weighted average discount rate6.0%3.4%3.2%
Constant prepayment rate3.5% to 16.0%
8.0% to 12.0%
8.0% to 12.0%
   Weighted average constant prepayment rate8.2%9.8%9.9%
Anticipated net credit losses(2)
   NM
2.0% to 6.7%
2.0% to 4.6%
   Weighted average anticipated net credit losses   NM
4.9%3.3%
Weighted average life5.0 to 18.9 years
2.5 to 9.9 years
2.5 to 3.4 years
 Six Months Ended June 30, 2017
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate2.4% to 19.9%
2.0% to 3.3%
3.5% to 19.1%
   Weighted average discount rate9.5%2.7%4.3%
Constant prepayment rate3.8% to 16.1%
—
—
   Weighted average constant prepayment rate9.1%—
—
Anticipated net credit losses(2)
   NM
—
67.3% to 69.1%
   Weighted average anticipated net credit losses   NM
—
68.5%
Weighted average life4.9 to 14.5 years
4.9 to 10.0 years
8.6 to 10.0 years


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


The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests.
The key assumptions used to value retained interests, and the sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions, are set forthpresented in the tables below.
 
below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.
 March 31, 2019
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate7.2%5.9%18.4%
Weighted average constant prepayment rate11.1%1.9%1.3%
Weighted average anticipated net credit losses(2)
NM
47.0%—
Weighted average life6.0 years
3.1 years
22.0 years



 June 30, 2018
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate2.4% to 48.6%
9.5%3.9% to 8.5%
   Weighted average discount rate5.7%9.5%7.2%
Constant prepayment rate3.3% to 21.2%
5.0%7.5% to 9.5%
   Weighted average constant prepayment rate9.2%5.0%8.5%
Anticipated net credit losses(2)
   NM
41.0%28.0% to 56.3%
   Weighted average anticipated net credit losses   NM
41.0%41.1%
Weighted average life0.5 to 27.3 years
6.9 years
1.9 to 10.3 years
 December 31, 2018
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate7.8%9.3%—
Weighted average constant prepayment rate9.1%8.0%—
Weighted average anticipated net credit losses(2)
   NM
40.0%—
Weighted average life6.4 years
6.6 years
—

 December 31, 2017
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate1.8% to 84.2%
5.8% to 100.0%
2.8% to 35.1%
   Weighted average discount rate7.1%5.8%9.0%
Constant prepayment rate6.9% to 27.8%
8.9% to 15.5%
8.6% to 13.1%
   Weighted average constant prepayment rate11.6%8.9%10.6%
Anticipated net credit losses(2)
   NM
0.4% to 46.9%
35.1% to 52.1%
   Weighted average anticipated net credit losses   NM
46.9%44.9%
Weighted average life0.1 to 27.8 years
4.8 to 5.3 years
0.2 to 18.6 years


(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NMAnticipated net credit losses are not meaningful due to U.S. agency guarantees.
June 30, 2018March 31, 2019
 Non-agency-sponsored mortgages Non-agency-sponsored mortgages
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rates 
Discount rate 
Adverse change of 10%$(61)$—
$(1)$(14)$—
$—
Adverse change of 20%(119)—
(2)(27)—
—
Constant prepayment rate  
Adverse change of 10%(34)—
(1)(22)—
—
Adverse change of 20%(68)—
(1)(43)—
—
Anticipated net credit losses  
Adverse change of 10%NM
—
—
NM
—
—
Adverse change of 20%NM
—
—
NM
—
—





 December 31, 2018
  Non-agency-sponsored mortgages
In millions of dollarsU.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate   
   Adverse change of 10%$(16)$—
$—
   Adverse change of 20%(32)—
—
Constant prepayment rate   
   Adverse change of 10%(21)—
—
   Adverse change of 20%(41)—
—
Anticipated net credit losses   
   Adverse change of 10%NM
—
—
   Adverse change of 20%NM
—
—

 December 31, 2017
  Non-agency-sponsored mortgages
In millions of dollarsU.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rates   
   Adverse change of 10%$(44)$(2)$(3)
   Adverse change of 20%(85)(4)(5)
Constant prepayment rate   
   Adverse change of 10%(41)(1)(1)
   Adverse change of 20%(84)(1)(2)
Anticipated net credit losses   
   Adverse change of 10%NM
(3)—
   Adverse change of 20%NM
(7)—

NMAnticipated net credit losses are not meaningful due to U.S. agency guarantees.


The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities:
     Three Months Ended March 31,
 Securitized assets90 days past dueLiquidation losses
In billions of dollarsMar. 31, 2019Dec. 31, 2018Mar. 31, 2019Dec. 31, 201820192018
Securitized assets      
Residential mortgage$5.4
$5.2
$0.4
$0.4
$—
$—
Commercial and other14.5
13.1
—
—
—
—
Total$19.9
$18.3
$0.4
$0.4
$—
$—


Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $596$551 million and $560$587 million at June 30,March 31, 2019 and 2018, and 2017, respectively. The MSRs correspond to principal loan balances of $63$61 billion and $71$64 billion as of June 30,March 31, 2019 and 2018, and 2017, respectively. The following tables summarizetable summarizes the changes in capitalized MSRs:
Three Months Ended June 30,
In millions of dollars2018201720192018
Balance, as of March 31$587
$567
Balance, beginning of year$584
$558
Originations15
21
12
17
Changes in fair value of MSRs due to changes in inputs and assumptions11
(11)(27)46
Other changes(1)
(16)(17)(18)(17)
Sale of MSRs(1)—
—
(17)
Balance, as of June 30$596
$560
Balance, as of March 31$551
$587
 Six Months Ended June 30,
In millions of dollars20182017
Balance, beginning of year$558
$1,564
Originations32
56
Changes in fair value of MSRs due to changes in inputs and assumptions57
56
Other changes(1)
(33)(70)
Sale of MSRs(2)
(18)(1,046)
Balance, as of June 30$596
$560


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


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:
In millions of dollars20192018
Servicing fees$41
$46
Late fees2
1
Ancillary fees1
3
Total MSR fees$44
$50

 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2018201720182017
Servicing fees$43
$65
$89
$171
Late fees1
3
2
6
Ancillary fees3
4
6
8
Total MSR fees$47
$72
$97
$185


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 quarters ended June 30, 2018March 31, 2019 and 2017.2018. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of June 30,March 31, 2019, Citi held no retained interests in private label re-securitization transactions structured by Citi. As of December 31, 2018, the fair value of Citi-retained interests in private-labelprivate label re-securitization transactions structured by Citi totaled approximately $90 million (all related to re-securitization transactions executed prior to 2016), which has been recorded in Trading account assets. Of this amount, approximately $33 million was related to senior beneficial interests and approximately $57 million was related to subordinated beneficial interests. As of December 31, 2017, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $79$16 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


private label re-securitization transactions in which Citi holdsheld a retained interest as of June 30, 2018 and December 31, 20172018 was approximately $548 million and $887 million, respectively.$271 million.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the threequarters ended March 31, 2019 and six months ended June 30, 2018, Citi transferred agency securities with a fair value of approximately $6.6$7.6 billion and $13.6$7.0 billion, respectively, to re-securitization entities compared to approximately $5.6 billion and $10.1 billion for the three and six months ended June 30, 2017.entities.
As of June 30, 2018,March 31, 2019, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.5$2.8 billion (including $1.2$1.1 billion related to re-securitization transactions executed in 2018)2019) compared to $2.1$2.5 billion as of December 31, 20172018 (including $854 million$1.4 billion related to re-securitization transactions executed in 2017)2018), which is recorded in Trading account assets. The original fair value of agency re-securitization transactions in which Citi holds a retained interest as of June 30, 2018March 31, 2019 and December 31, 20172018 was approximately $64.2$70.7 billion and $68.3$70.9 billion, respectively.
As of June 30, 2018March 31, 2019 and December 31, 2017,2018, the Company did not consolidate any private-labelprivate label or agency re-securitization entities.


Citi-Administered Asset-Backed Commercial Paper Conduits
At June 30, 2018March 31, 2019 and December 31, 2017,2018, the commercial paper conduits administered by Citi had approximately $18.5$17.5 billion and $19.3$18.8 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $15.8$14.9 billion and $14.5$14.0 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At June 30, 2018March 31, 2019 and December 31, 2017,2018, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 4752 and 5153 days, respectively.
The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. In addition to the transaction-specific credit enhancements, the conduits, other than the government guaranteed loan conduit, have obtained a letter of credit from the Company, which is equal to at least 8% to 10% of the conduit’s assets with a minimum of $200 million. The letters of credit provided by the Company to the conduits total approximately $1.6 billion and $1.7 billion as of June 30, 2018March 31, 2019 and December 31, 2017.2018, 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 June 30, 2018March 31, 2019 and December 31, 2017,2018, the Company owned $6.5$4.4 billion and $9.3$5.5 billion, respectively, of the commercial paper issued by its administered conduits. The Company's investments were not driven by market illiquidity and the Company is not obligated under any agreement to purchase the commercial paper issued by the conduits.

Collateralized Loan Obligations (CLOs)
There were no new securitizations during the quarters ended March 31, 2019 and 2018. The following tables summarizetable summarizes selected cash flow information and retained interests related to Citigroup CLOs:
In millions of dollarsMar. 31, 2019Dec. 31, 2018
Carrying value of retained interests$2,766
$3,142

 Three Months Ended June 30,
In billions of dollars20182017
Proceeds from new securitizations$2.2
$1.1

 Six Months Ended June 30,
In billions of dollars20182017
Proceeds from new securitizations$3.6
$1.4
In millions of dollarsJun. 30, 2018Dec. 31, 2017
Carrying value of retained interests$3,461
$4,079

Citi held noAll of Citi’s retained interests in CLOs purchased during the threewere held-to-maturity securities as of March 31, 2019 and six months ended June 30, 2018 and 2017.December 31, 2018.




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, 2018March 31, 2019
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$15,795
$5,177
$25,189
$6,530
Corporate loans8,567
6,748
7,438
7,277
Hedge funds and equities469
55
444
53
Airplanes, ships and other assets39,512
15,197
72,082
20,308
Total$64,343
$27,177
$105,153
$34,168
 December 31, 2018
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$23,918
$6,928
Corporate loans6,973
5,744
Hedge funds and equities388
53
Airplanes, ships and other assets67,526
19,387
Total$98,805
$32,112

 December 31, 2017
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$15,370
$5,445
Corporate loans4,725
3,587
Hedge funds and equities542
58
Airplanes, ships and other assets39,202
16,849
Total$59,839
$25,939


Municipal Securities Tender Option Bond (TOB) Trusts
At June 30, 2018March 31, 2019 and December 31, 2017,2018, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At June 30, 2018March 31, 2019 and December 31, 2017,2018, liquidity agreements provided with respect to customer TOB trusts totaled $3.8$4.3 billion of which $2.2 billion and $3.2 billion, respectively, of which $1.9 billion and $2.0$2.3 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 $6.3 billion and $6.1 billion as of June 30, 2018March 31, 2019 and December 31, 2017, respectively.2018. 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 six months ended June 30, 2018 totaled approximately $0.3 billion and $0.5 billion, respectively, compared to $0.2 billion and $0.7 billion for the three and six months ended June 30, 2017.




19.  DERIVATIVES ACTIVITIES
As of January 1, 2018, Citigroup early adopted ASU 2017-12, Targeted Improvements to Accounting for Hedge Activities. This standard primarily impacts Citi’s accounting for derivatives designated as cash flow hedges and fair value hedges. Refer to the respective sections below for details.
In the ordinary course of business, Citigroup enters into various types of derivative transactions. All derivatives are recorded in Trading account assets/Trading account liabilities on the Consolidated Balance Sheet. For additional information regarding Citi’s use of and accounting for derivatives, see Note 22 to the Consolidated Financial Statements in Citi’s 20172018 Annual Report on Form 10-K.
Information pertaining to Citigroup’s derivative activities, based on notional amounts, is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete 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. 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 dollarsMarch 31,
2019		December 31,
2018		March 31,
2019		December 31,
2018
Interest rate contracts    
Swaps$284,066
$273,636
$19,877,888
$18,138,686
Futures and forwards—
—
6,301,489
4,632,257
Written options—
—
3,014,698
3,018,469
Purchased options—
—
2,625,618
2,532,479
Total interest rate contract notionals$284,066
$273,636
$31,819,693
$28,321,891
Foreign exchange contracts    
Swaps$59,696
$57,153
$7,004,203
$6,738,158
Futures, forwards and spot39,885
41,410
5,767,521
5,115,504
Written options1,369
1,726
1,749,838
1,566,717
Purchased options1,699
2,104
1,744,873
1,543,516
Total foreign exchange contract notionals$102,649
$102,393
$16,266,435
$14,963,895
Equity contracts    
Swaps$—
$—
$216,741
$217,580
Futures and forwards—
—
61,707
52,053
Written options—
—
464,551
454,675
Purchased options—
—
345,934
341,018
Total equity contract notionals$—
$—
$1,088,933
$1,065,326
Commodity and other contracts    
Swaps$—
$—
$83,460
$79,133
Futures and forwards831
802
153,109
146,647
Written options—
—
68,930
62,629
Purchased options—
—
68,302
61,298
Total commodity and other contract notionals$831
$802
$373,801
$349,707
Credit derivatives(1)
    
Protection sold$—
$—
$701,018
$724,939
Protection purchased—
—
757,539
795,649
Total credit derivatives$—
$—
$1,458,557
$1,520,588
Total derivative notionals$387,546
$376,831
$51,007,419
$46,221,407

 Hedging instruments under
ASC 815		Trading derivative instruments
In millions of dollarsJune 30,
2018		December 31,
2017		June 30,
2018		December 31,
2017
Interest rate contracts    
Swaps$222,057
$189,779
$20,721,169
$18,754,219
Futures and forwards—
—
8,073,755
6,460,539
Written options—
—
4,391,594
3,516,131
Purchased options—
—
3,857,093
3,234,025
Total interest rate contract notionals$222,057
$189,779
$37,043,611
$31,964,914
Foreign exchange contracts    
Swaps$56,971
$37,162
$7,020,783
$5,576,357
Futures, forwards and spot37,911
33,103
5,424,415
3,097,700
Written options2,503
3,951
1,738,131
1,127,728
Purchased options2,908
6,427
1,720,287
1,148,686
Total foreign exchange contract notionals$100,293
$80,643
$15,903,616
$10,950,471
Equity contracts    
Swaps$—
$—
$253,135
$215,834
Futures and forwards—
—
56,968
72,616
Written options—
—
410,955
389,961
Purchased options—
—
317,718
328,154
Total equity contract notionals$—
$—
$1,038,776
$1,006,565
Commodity and other contracts    
Swaps$—
$—
$106,646
$82,039
Futures and forwards113
23
163,593
153,248
Written options—
—
72,359
62,045
Purchased options—
—
71,368
60,526
Total commodity and other contract notionals$113
$23
$413,966
$357,858
Credit derivatives(1)
    
Protection sold$—
$—
$703,904
$735,142
Protection purchased—
—
749,562
777,713
Total credit derivatives$—
$—
$1,453,466
$1,512,855
Total derivative notionals$322,463
$270,445
$55,853,435
$45,792,663


(1)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 June 30, 2018March 31, 2019 and December 31, 2017.2018. Gross positive fair values are offset against gross negative fair values by counterparty, pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount, if a legal opinion supporting the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.
In addition, the following tables reflect rule changes adopted by clearing organizations that require or allow entities to treat 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 record a related collateral payable or receivable. As a result, the table reflectstables reflect a reduction of approximately $110$120 billion and $100 billion as of June 30, 2018March 31, 2019 and December 31, 2017,2018, respectively, of derivative assets and derivative liabilities that previously would have been reported on a gross basis, but are now settled and not subject to collateral. The tables also present amounts that are not permitted to be offset, such as security collateral or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent that an event of default occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.



Derivative Mark-to-Market (MTM) Receivables/Payables
In millions of dollars at June 30, 2018
Derivatives classified in
Trading account assets/liabilities(1)(2)
In millions of dollars at March 31, 2019
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$1,537
$204
$283
$128
Cleared338
124
1,241
80
Interest rate contracts$1,875
$328
$1,524
$208
Over-the-counter$2,044
$1,297
$1,211
$834
Cleared—
3
Foreign exchange contracts$2,044
$1,297
$1,211
$837
Total derivatives instruments designated as ASC 815 hedges$3,919
$1,625
$2,735
$1,045
Derivatives instruments not designated as ASC 815 hedges  
Over-the-counter$170,608
$147,232
$170,941
$137,554
Cleared4,580
10,206
13,534
29,063
Exchange traded225
223
124
89
Interest rate contracts$175,413
$157,661
$184,599
$166,706
Over-the-counter$170,158
$165,898
$131,291
$129,524
Cleared5,349
5,394
1,821
1,691
Exchange traded81
263
43
56
Foreign exchange contracts$175,588
$171,555
$133,155
$131,271
Over-the-counter$17,898
$22,444
$17,049
$19,203
Cleared28
18
4
54
Exchange traded9,323
9,438
8,730
12,371
Equity contracts$27,249
$31,900
$25,783
$31,628
Over-the-counter$16,907
$20,340
$14,399
$17,249
Exchange traded675
723
581
429
Commodity and other contracts$17,582
$21,063
$14,980
$17,678
Over-the-counter$10,353
$10,504
$3,786
$6,906
Cleared5,948
6,055
6,898
4,579
Credit derivatives$16,301
$16,559
$10,684
$11,485
Total derivatives instruments not designated as ASC 815 hedges$412,133
$398,738
$369,201
$358,768
Total derivatives$416,052
$400,363
$371,936
$359,813
Cash collateral paid/received(3)
$11,894
$15,634
$11,349
$13,886
Less: Netting agreements(4)
(332,207)(332,207)(292,121)(292,121)
Less: Netting cash collateral received/paid(5)
(39,595)(30,377)(39,750)(33,190)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$56,144
$53,413
$51,414
$48,388
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(763)$(128)$(607)$(88)
Less: Non-cash collateral received/paid(13,820)(7,880)(11,393)(15,144)
Total net receivables/payables(6)
$41,561
$45,405
$39,414
$33,156
(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 $42,271$44,539 million and $55,229$53,636 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $30,377$33,190 million was used to offset trading derivative liabilities and, ofliabilities. Of the gross cash collateral received, $39,595$39,750 million was used to offset trading derivative assets.
(4)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $311$283 billion, $12$0 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.
(5)Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively.


(6)The net receivables/payables include approximately $7$5 billion of derivative asset and $8$4 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.


In millions of dollars at December 31, 2017
Derivatives classified in
Trading account assets/liabilities(1)(2)
In millions of dollars at December 31, 2018
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$1,969
$134
$1,631
$172
Cleared110
92
238
53
Interest rate contracts$2,079
$226
$1,869
$225
Over-the-counter$1,143
$1,150
$1,402
$736
Cleared—
4
Foreign exchange contracts$1,143
$1,150
$1,402
$740
Total derivatives instruments designated as ASC 815 hedges$3,222
$1,376
$3,271
$965
Derivatives instruments not designated as ASC 815 hedges  
Over-the-counter$195,677
$173,937
$161,183
$146,909
Cleared7,129
10,381
8,489
7,594
Exchange traded102
95
91
99
Interest rate contracts$202,908
$184,413
$169,763
$154,602
Over-the-counter$119,092
$117,473
$159,099
$156,904
Cleared1,690
2,028
1,900
1,671
Exchange traded34
121
53
40
Foreign exchange contracts$120,816
$119,622
$161,052
$158,615
Over-the-counter$17,221
$21,201
$18,253
$21,527
Cleared21
25
17
32
Exchange traded9,736
10,147
11,623
12,249
Equity contracts$26,978
$31,373
$29,893
$33,808
Over-the-counter$13,499
$16,362
$16,661
$19,894
Exchange traded604
665
894
795
Commodity and other contracts$14,103
$17,027
$17,555
$20,689
Over-the-counter$12,972
$12,958
$6,967
$6,155
Cleared7,562
8,575
3,798
4,196
Credit derivatives$20,534
$21,533
$10,765
$10,351
Total derivatives instruments not designated as ASC 815 hedges$385,339
$373,968
$389,028
$378,065
Total derivatives$388,561
$375,344
$392,299
$379,030
Cash collateral paid/received(3)
$7,541
$14,308
$11,518
$13,906
Less: Netting agreements(4)
(306,401)(306,401)(311,089)(311,089)
Less: Netting cash collateral received/paid(5)
(38,532)(35,666)(38,608)(29,911)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$51,169
$47,585
$54,120
$51,936
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(872)$(121)$(767)$(164)
Less: Non-cash collateral received/paid(12,739)(6,929)(13,509)(13,354)
Total net receivables/payables(6)
$37,558
$40,535
$39,844
$38,418
(1)
The derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements. Derivative mark-to-market receivables/payables previously reported within Other assets/Other liabilities have been reclassified to Trading account assets/Trading account liabilities to conform with the current period presentation.
(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 $43,207$41,429 million and $52,840$52,514 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $35,666$29,911 million was used to offset trading derivative liabilities and, ofliabilities. Of the gross cash collateral received, $38,532$38,608 million was used to offset trading derivative assets.
(4)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $283$296 billion, $14$4 billion and $9$11 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 counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively.
(6)The net receivables/payables include approximately $6$5 billion of derivative asset and $8$7 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.



For the three and six months ended June 30,March 31, 2019 and 2018, and 2017, the amounts recognized in Principal transactions in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship, as well as the underlying non-derivative instruments, are presented in Note 6 to the Consolidated Financial Statements. Citigroup presents this disclosure by business classification, showing derivative gains and losses related to its trading activities together with gains and losses related to non-derivative instruments within the same trading portfolios, as this represents how these portfolios are risk managed.
The amounts recognized in Other revenue in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains (losses) on the economically hedged items to the extent such amounts are also recorded in Other revenue.
 
Gains (losses) included in
Other revenue

Three Months Ended
March 31,
In millions of dollars20192018
Interest rate contracts$27
$(28)
Foreign exchange(58)527
Total$(31)$499

 
Gains (losses) included in
Other revenue

Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2018201720182017
Interest rate contracts$(15)$(14)$(43)$(67)
Foreign exchange(517)1,109
(13)1,301
Credit derivatives(25)(97)(71)(376)
Total$(557)$998
$(127)$858




Fair Value HedgeHedges


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, either total cash flows or benchmark onlybenchmark-only cash flows are presented within Interest revenue or Interest expense based on whether the hedged item is an asset or a liability. Prior
In the first quarter of 2019, Citigroup executed a last-of-layer hedge, which permits an entity to hedge the adoptioninterest rate risk of ASU 2017-12,a stated portion of a closed portfolio of pre-payable 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 derivative washedged item attributable to interest rate risk will be presented in OtherInterest revenue or Principal transactions andalong with the difference between the changeschange in the hedged item andfair value of the derivative was defined as ineffectiveness.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, which may be within or outside the U.S. The hedging instrument may be a forward foreign exchange contract or a cross currencycross-currency swap contract. Citigroup considers the premium associated with forward contracts (i.e., the differential between the spot and contractual forward rates) as the cost of hedging; this amount is excluded from the assessment of hedge effectiveness and reflected directly in earnings over the life of the hedge. Beginning January 1, 2018, Citi 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 inventory. The hedging instrument is a futures contract to sell the underlying commodity. In this hedge, the change in the value of the hedged inventory is reflected in earnings, which offsets the change in the fair value of the futures contract that is also reflected in earnings. Although the change in the fair value of the hedging instrument recorded in earnings includes changes in forward rates, Citigroup excludes the differential between the spot and the contractual forward rates under the futures contract from the assessment of hedge effectiveness and amortizes it directly into earnings over the life of the hedge.



















































The following table summarizes the gains (losses) on the Company’s fair value hedges:
Gains (losses) on fair value hedges(1)
Gains (losses) on fair value hedges(1)
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended March 31,
2018
2017(3)
2018
2017(3)
20192018
In millions of dollarsOther revenueNet interest revenue
Other
revenue
Other
revenue
Net interest revenue
Other
revenue
Other revenueNet interest revenueOther revenueNet interest revenue
Gain (loss) on the derivatives in designated and qualifying fair value hedges        
Interest rate hedges$—
$(518)$(71)$—
$360
$(376)$—
$963
$—
$878
Foreign exchange hedges320
—
(555)499
—
(637)165
—
179
—
Commodity hedges2
—
(11)—
—
(9)88
—
(2)—
Total gain (loss) on the derivatives in designated and qualifying fair value hedges$322
$(518)$(637)$499
$360
$(1,022)$253
$963
$177
$878
Gain (loss) on the hedged item in designated and qualifying fair value hedges        
Interest rate hedges$—
$520
$47
$—
$(346)$343
$—
$(879)$—
$(866)
Foreign exchange hedges(347)—
570
(596)—
766
(168)—
(249)—
Commodity hedges—
—
11
1
—
10
(70)—
1
—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$(347)$520
$628
$(595)$(346)$1,119
$(238)$(879)$(248)$(866)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges        
Interest rate hedges$—
$(5)$(8)$—
$(5)$(7)
Foreign exchange hedges(2)
33
—
28
56
—
80
$(2)$—
$23
$—
Commodity hedges1
—
—
2
—
1
(18)—
1
—
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges$34
$(5)$20
$58
$(5)$74
$(20)$—
$24
$—
(1)
Beginning January 1, 2018, gainGain (loss) amounts for interest rate risk hedges are included in Interest income/Interest expense while the remaining amounts including the amounts for interest rate hedges prior to January 1, 2018 are included in Other revenue or Principal transactions on the Consolidated Statement of Income.. The accrued interest income on fair value hedges both prior to and after January 1, 2018 is recorded in Net interest revenue and is excluded from this table.
(2)Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates). These amounts which are excluded from the assessment of hedge effectiveness and are reflected directly in earnings. After January 1, 2018, amountsAmounts also include cross-currency basis, which is recognized in accumulated other comprehensive income.income and not reflected in the table above. The amount of cross currencycross-currency basis that was included in accumulated other comprehensive income was $37$24 million and $42$(5) million for the three and six months ended June 30, 2018, none of which was recognized in earnings.
(3)Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges for the three months ended June 30, 2017 was $(16) million for interest rate hedgesMarch 31, 2019 and $(13) million for foreign exchange hedges, for a total of $(29) million. Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges for the six months ended June 30, 2017 was $(26) million for interest rate hedges and $49 million for foreign exchange hedges, for a total of $23 million.March 31, 2018, respectively.



Cumulative Basis Adjustment
Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative impact of changes in the hedged risk. The hedge basis adjustment, whether arising from an active or de-designated hedge relationship, remains with the hedged item until the hedged item is de-recognizedderecognized 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,March 31, 2019 and December 31, 2018, along with the cumulative hedge basis adjustments included withinin the carrying value of those hedged assets and liabilities.
 
In millions of dollars as of June 30, 2018
(In millions of dollars)(In millions of dollars)
Balance sheet line item in which hedged item is recordedCarrying amount of hedged asset/ liabilityCumulative fair value hedging adjustment increasing (decreasing) the carrying amountCarrying amount of hedged asset/ liabilityCumulative fair value hedging adjustment increasing (decreasing) the carrying amount
ActiveDe-designatedActiveDe-designated
As of March 31, 2019As of March 31, 2019 
Debt securities
AFS(1)
$98,902
$302
$329
Long-term debt157,139
2,275
1,236
As of December 31, 2018As of December 31, 2018 
Debt securities
AFS

$81,735
$(73)$(320)$81,632
$(196)$295
Long-term debt153,857
(347)1,614
149,054
1,211
869


(1)These amounts include the cumulative basis adjustment ($46 million as of March 31, 2019) 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 $2 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $16.5 billion) in a last-of-layer hedging relationship.





Cash Flow Hedges
Citigroup hedges the variability of forecasted cash flows due to changes in contractually specified rates associated with floating-rate assets/liabilities and other forecasted transactions. Variable cash flows from those liabilities are synthetically converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest rate swaps and receive-variable, pay-fixed forward-starting interest rate swaps. Variable cash flows associated with certain assets are synthetically converted to fixed-rate cash flows by entering into receive-fixed, pay-variable interest rate swaps. These cash flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis. Prior to the adoption of ASU 2017-12, Citigroup designated the risk being hedged as the risk of overall variability in the hedged cash flows for certain items.
With the adoption of ASU 2017-12, Citigroup hedges the variability from changes in a contractually specified rate and recognizes the entire change in fair value of the cash flow hedging instruments in AOCI. Prior to the adoption of ASU 2017-12, to the extent these derivatives were not fully effective, changes in their fair values in excess of changes in the value of the hedged transactions were immediately included in Other revenue. The adoption of ASU 2017-12 no longer requires such amounts to be immediately recognized in income, but instead requires the full change in the value of the hedging instrument to be recognized in AOCI, and then recognized in earnings in the same period that the cash flows impact earnings. The pretax change in AOCI from cash flow hedges is presented below:

 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2018201720182017
Amount of gain (loss) recognized in AOCI on derivative    
Interest rate contracts(1)
$(222)$97
$(544)$139
Foreign exchange contracts5 —
(1)—
Total gain (loss) recognized in AOCI$(217)$97
$(545)$139
Amount of gain (loss) reclassified from AOCI to earnings
Other
revenue
Net interest
revenue
Other
revenue
Other
revenue
Net interest
revenue
Other
revenue
Interest rate contracts(1)
$—
$(88)$(90)$—
$(119)$(46)
Foreign exchange contracts(6)—
2
(4)—
(1)
Total gain (loss) reclassified from AOCI into earnings$(6)$(88)$(88)$(4)$(119)$(47)
(1)
After January 1, 2018, all amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest revenue). For all other hedges, including interest rate hedges prior to January 1, 2018, the amounts reclassified to earnings are included primarily in Other revenue and Net interest 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 offset the variability ofsame period that the 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 June 30, 2018March 31, 2019 is approximately $410$334 million. 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 March 31,
In millions of dollars20192018
Amount of gain (loss) recognized in AOCI on derivative   
Interest rate contracts(1)
$254 $(322)
Foreign exchange contracts(8)6 
Total gain (loss) recognized in AOCI$246 $(316)
Amount of gain (loss) reclassified from AOCI to earnings
Other
revenue
Net interest
revenue
Other
revenue
Net interest revenue
Interest rate contracts(1)
$—
$(130)$—
$(31)
Foreign exchange contracts(2)

2
—
Total gain (loss) reclassified from AOCI into earnings$(2)$(130)$2
$(31)
Net pretax change in cash flow hedges included within AOCI $378
 $(287)
(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 on the Consolidated Income Statement.





Net Investment Hedges
The pretax gain (loss) recorded in the Foreign currency translation adjustment account within AOCI, related to net investment hedges, is $1,633$(164) million and $1,143$(491) million for the three and six months ended June 30,March 31, 2019 and March 31, 2018, and $(32) million and $(1,748) million for the three and six months ended June 30, 2017, respectively.

 












Credit Derivatives
The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:
Fair valuesNotionalsFair valuesNotionals
In millions of dollars at June 30, 2018
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
In millions of dollars at March 31, 2019
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty      
Banks$5,441
$4,970
$233,888
$252,428
$4,855
$4,613
$202,581
$213,437
Broker-dealers1,765
1,595
62,868
70,253
1,776
1,670
57,539
68,978
Non-financial75
117
2,077
2,349
80
93
5,509
2,801
Insurance and other financial
institutions
9,020
9,877
450,729
378,874
3,973
5,109
491,910
415,802
Total by industry/counterparty$16,301
$16,559
$749,562
$703,904
$10,684
$11,485
$757,539
$701,018
By instrument      
Credit default swaps and options$15,777
$15,905
$725,671
$691,039
$10,173
$10,514
$733,530
$690,880
Total return swaps and other524
654
23,891
12,865
511
971
24,009
10,138
Total by instrument$16,301
$16,559
$749,562
$703,904
$10,684
$11,485
$757,539
$701,018
By rating      
Investment grade$7,836
$7,748
$580,678
$537,864
$4,788
$5,032
$597,069
$544,124
Non-investment grade8,465
8,811
168,884
166,040
5,896
6,453
160,470
156,894
Total by rating$16,301
$16,559
$749,562
$703,904
$10,684
$11,485
$757,539
$701,018
By maturity      
Within 1 year$2,249
$2,055
$228,075
$215,284
$1,400
$1,874
$217,434
$210,754
From 1 to 5 years12,235
12,644
472,038
447,616
7,051
7,448
450,084
411,686
After 5 years1,817
1,860
49,449
41,004
2,233
2,163
90,021
78,578
Total by maturity$16,301
$16,559
$749,562
$703,904
$10,684
$11,485
$757,539
$701,018


(1)The fair value amount receivable is composed of $3,848$3,686 million under protection purchased and $12,453$6,998 million under protection sold.
(2)The fair value amount payable is composed of $13,014$7,987 million under protection purchased and $3,545$3,498 million under protection sold.



Fair valuesNotionalsFair valuesNotionals
In millions of dollars at December 31, 2017
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
In millions of dollars at December 31, 2018
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty      
Banks$7,471
$6,669
$264,414
$273,711
$4,785
$4,432
$214,842
$218,273
Broker-dealers2,325
2,285
73,273
83,229
1,706
1,612
62,904
63,014
Non-financial70
91
1,288
1,140
64
87
2,687
1,192
Insurance and other financial
institutions
10,668
12,488
438,738
377,062
4,210
4,220
515,216
442,460
Total by industry/counterparty$20,534
$21,533
$777,713
$735,142
$10,765
$10,351
$795,649
$724,939
By instrument      
Credit default swaps and options$20,251
$20,554
$754,114
$724,228
$10,030
$9,755
$771,865
$712,623
Total return swaps and other283
979
23,599
10,914
735
596
23,784
12,316
Total by instrument$20,534
$21,533
$777,713
$735,142
$10,765
$10,351
$795,649
$724,939
By rating      
Investment grade$10,473
$10,616
$588,324
$557,987
$4,725
$4,544
$637,790
$568,849
Non-investment grade10,061
10,917
189,389
177,155
6,040
5,807
157,859
156,090
Total by rating$20,534
$21,533
$777,713
$735,142
$10,765
$10,351
$795,649
$724,939
By maturity      
Within 1 year$2,477
$2,914
$231,878
$218,097
$2,037
$2,063
$251,994
$225,597
From 1 to 5 years16,098
16,435
498,606
476,345
6,720
6,414
493,096
456,409
After 5 years1,959
2,184
47,229
40,700
2,008
1,874
50,559
42,933
Total by maturity$20,534
$21,533
$777,713
$735,142
$10,765
$10,351
$795,649
$724,939


(1)The fair value amount receivable is composed of $3,195$5,126 million under protection purchased and $17,339$5,639 under protection sold.
(2)The fair value amount payable is composed of $3,147$5,882 million under protection purchased and $18,386$4,469 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-related contingent features that were in a net liability position at both June 30, 2018March 31, 2019 and December 31, 20172018 was $30$35 billion and $29$33 billion, respectively. The Company posted $27$35 billion and $28$33 billion as collateral for this exposure in the normal course of business as of June 30, 2018March 31, 2019 and December 31, 2017,2018, respectively.
A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank were downgraded a single notch by all three major rating agencies as of June 30, 2018,March 31, 2019, the Company could be required to post an additional $1.0$0.7 billion as either collateral or settlement of the derivative transactions. Additionally, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $0.2$0.1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1.2$0.8 billion.


 


Derivatives Accompanied by Financial Asset Transfers
For transfers of financial assets accounted for as a sale by the Company and 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 (and still outstanding), both the asset amounts derecognized and the gross cash proceeds received as of the date of derecognition were $2.9$4.6 billion and $3.0$4.1 billion as of June 30, 2018March 31, 2019 and December 31, 2017,2018, respectively.
At June 30, 2018,March 31, 2019, the fair value of these previously derecognized assets was $2.9$4.6 billion. The fair value of the total return swaps as of June 30, 2018March 31, 2019 was $51$89 million recorded as gross derivative assets and $20$7 million recorded as gross derivative liabilities. At December 31, 2017,2018, the fair value of these previously derecognized assets was $3.1$4.1 billion, and the fair value of the total return swaps was $89$55 million recorded as gross derivative assets and $15$9 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 20172018 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 June 30, 2018March 31, 2019 and December 31, 2017:2018:
Credit and funding valuation adjustments
contra-liability (contra-asset)
Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsJune 30,
2018		December 31,
2017		March 31,
2019		December 31,
2018
Counterparty CVA$(1,023)$(970)$(982)$(1,085)
Asset FVA(398)(447)(524)(544)
Citigroup (own-credit) CVA384
287
402
482
Liability FVA62
47
87
135
Total CVA—derivative instruments(1)
$(975)$(1,083)$(1,017)$(1,012)


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


The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:
Credit/funding/debt valuation
adjustments gain (loss)
Credit/funding/debt valuation
adjustments gain (loss)
Three Months Ended June 30,Six Months Ended 
 June 30,		Three Months Ended March 31,
In millions of dollars201820172018201720192018
Counterparty CVA$—
$80
$23
$170
$74
$23
Asset FVA40
(13)49
79
20
9
Own-credit CVA24
(53)99
(125)(92)75
Liability FVA22
16
15
6
(48)(7)
Total CVA—derivative instruments$86
$30
$186
$130
$(46)$100
DVA related to own FVO liabilities (1)
$418
$(132)$585
$(227)$(725)$167
Total CVA and DVA(2)
$504
$(102)$771
$(97)$(771)$267


(1)See NoteNotes 1 and Note 17 to the Consolidated Financial Statements.Statements in Citi’s 2018 Annual Report on Form 10-K.
(2)FVA is included with CVA for presentation purposes.










Items Measured at Fair Value on a Recurring Basis
The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at June 30, 2018March 31, 2019 and December 31, 2017.2018. The Company may hedge positions that have been classified in the Level 3 category with other financial instruments (hedging instruments) that may be
 
classified as Level 3, but also with financial instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables:




Fair Value Levels
In millions of dollars at June 30, 2018
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at March 31, 2019
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Assets    
Federal funds sold and securities borrowed or purchased under agreements to resell$—
$221,357
$66
$221,423
$(52,310)$169,113
Federal funds sold and securities borrowed and purchased under agreements to resell$—
$241,414
$66
$241,480
$(79,364)$162,116
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed—
24,250
99
24,349
—
24,349
—
26,285
154
26,439
—
26,439
Residential—
693
132
825
—
825
—
574
128
702
—
702
Commercial—
1,420
51
1,471
—
1,471
—
1,359
69
1,428
—
1,428
Total trading mortgage-backed securities$—
$26,363
$282
$26,645
$—
$26,645
$—
$28,218
$351
$28,569
$—
$28,569
U.S. Treasury and federal agency securities$22,866
$4,058
$7
$26,931
$—
$26,931
$36,579
$4,966
$—
$41,545
$—
$41,545
State and municipal—
3,146
226
3,372
—
3,372
—
2,425
178
2,603
—
2,603
Foreign government48,875
19,598
36
68,509
—
68,509
51,976
23,108
39
75,123
—
75,123
Corporate318
13,496
520
14,334
—
14,334
1,949
14,371
378
16,698
—
16,698
Equity securities44,031
7,257
293
51,581
—
51,581
46,995
8,798
127
55,920
—
55,920
Asset-backed securities—
1,696
1,688
3,384
—
3,384
—
1,578
1,429
3,007
—
3,007
Other trading assets(3)
5
11,502
542
12,049
—
12,049
40
10,550
1,042
11,632
—
11,632
Total trading non-derivative assets$116,095
$87,116
$3,594
$206,805
$—
$206,805
$137,539
$94,014
$3,544
$235,097
$—
$235,097
Trading derivatives
  
  
Interest rate contracts$266
$174,771
$2,251
$177,288
  $283
$184,259
$1,581
$186,123
  
Foreign exchange contracts3
177,017
612
177,632
  1
134,011
354
134,366
  
Equity contracts2,109
24,842
298
27,249
  453
24,988
342
25,783
  
Commodity contracts20
16,911
651
17,582
  —
14,246
734
14,980
  
Credit derivatives—
15,445
856
16,301
  —
9,934
750
10,684
  
Total trading derivatives$2,398
$408,986
$4,668
$416,052
  $737
$367,438
$3,761
$371,936
  
Cash collateral paid(4)
 $11,894
   $11,349
  
Netting agreements $(332,207)  $(292,121) 
Netting of cash collateral received (39,595)  (39,750) 
Total trading derivatives$2,398
$408,986
$4,668
$427,946
$(371,802)$56,144
$737
$367,438
$3,761
$383,285
$(331,871)$51,414
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$—
$42,938
$34
$42,972
$—
$42,972
$—
$39,301
$32
$39,333
$—
$39,333
Residential—
1,858
—
1,858
—
1,858
—
1,121
—
1,121
—
1,121
Commercial—
273
6
279
—
279
—
138
—
138
—
138
Total investment mortgage-backed securities$—
$45,069
$40
$45,109
$—
$45,109
$—
$40,560
$32
$40,592
$—
$40,592
U.S. Treasury and federal agency securities$106,316
$11,955
$—
$118,271
$—
$118,271
$98,793
$8,880
$—
$107,673
$—
$107,673
State and municipal—
9,002
762
9,764
—
9,764
—
7,199
910
8,109
—
8,109
Foreign government59,220
38,551
54
97,825
—
97,825
60,695
40,590
71
101,356
—
101,356
Corporate4,172
8,361
68
12,601
—
12,601
4,722
7,528
60
12,310
—
12,310
Equity securities190
13
1
204
—
204
Marketable equity securities194
14
—
208
—
208
Asset-backed securities—
1,414
456
1,870
—
1,870
—
614
806
1,420
—
1,420
Other debt securities—
3,591
—
3,591
—
3,591
—
3,672
—
3,672
—
3,672
Non-marketable equity securities(5)
—
207
611
818
—
818
—
100
505
605
—
605
Total investments$169,898
$118,163
$1,992
$290,053
$—
$290,053
$164,404
$109,157
$2,384
$275,945
$—
$275,945
Table continues on the next page.



In millions of dollars at March 31, 2019
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—
$3,501
$373
$3,874
$—
$3,874
Mortgage servicing rights—
—
551
551
—
551
Non-trading derivatives and other financial assets measured on a recurring basis$14,577
$5,241
$—
$19,818
$—
$19,818
Total assets$317,257
$820,765
$10,679
$1,160,050
$(411,235)$748,815
Total as a percentage of gross assets(6)
27.6%71.5%0.9%





Liabilities      
Interest-bearing deposits$—
$1,297
$1,047
$2,344
$—
$2,344
Federal funds purchased and securities loaned and sold under agreements to repurchase—
124,564
1,041
125,605
(79,364)46,241
Trading account liabilities      
Securities sold, not yet purchased74,650
13,222
15
87,887
—
87,887
Other trading liabilities—
117
—
117
—
117
Total trading liabilities$74,650
$13,339
$15
$88,004
$—
$88,004
Trading derivatives      
Interest rate contracts$179
$165,038
$1,697
$166,914
  
Foreign exchange contracts3
131,797
308
132,108
  
Equity contracts207
29,734
1,687
31,628
  
Commodity contracts—
17,248
430
17,678
  
Credit derivatives—
10,769
716
11,485
  
Total trading derivatives$389
$354,586
$4,838
$359,813
  
Cash collateral received(7)
   $13,886
  
Netting agreements    $(292,121) 
Netting of cash collateral paid    (33,190) 
Total trading derivatives$389
$354,586
$4,838
$373,699
$(325,311)$48,388
Short-term borrowings$—
$5,002
$170
$5,172
$—
$5,172
Long-term debt—
30,354
13,734
44,088
—
44,088
Total non-trading derivatives and other financial liabilities measured on a recurring basis$14,577
$—
$—
$14,577
$—
$14,577
Total liabilities$89,616
$529,142
$20,845
$653,489
$(404,675)$248,814
Total as a percentage of gross liabilities(6)
14.0%82.7%3.3%   

In millions of dollars at June 30, 2018
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—
$2,619
$381
$3,000
$—
$3,000
Mortgage servicing rights—
—
596
596
—
596
Non-trading derivatives and other financial assets measured on a recurring basis$16,779
$4,924
$—
$21,703
$—
$21,703
Total assets$305,170
$843,165
$11,297
$1,171,526
$(424,112)$747,414
Total as a percentage of gross assets(6)
26.3%72.7%1.0%





Liabilities      
Interest-bearing deposits$—
$1,308
$320
$1,628
$—
$1,628
Federal funds purchased and securities loaned or sold under agreements to repurchase—
100,590
966
101,556
(52,310)49,246
Trading account liabilities      
Securities sold, not yet purchased75,843
9,836
189
85,868
—
85,868
Other trading liabilities—
1,464
—
1,464
—
1,464
Total trading liabilities$75,843
$11,300
$189
$87,332
$—
$87,332
Trading derivatives      
Interest rate contracts$256
$155,568
$2,165
$157,989
  
Foreign exchange contracts6
172,473
373
172,852
  
Equity contracts2,334
27,822
1,744
31,900
  
Commodity contracts6
18,500
2,557
21,063
  
Credit derivatives—
14,855
1,704
16,559
  
Total trading derivatives$2,602
$389,218
$8,543
$400,363
  
Cash collateral received(7)
   $15,634
  
Netting agreements    $(332,207) 
Netting of cash collateral paid    (30,377) 
Total trading derivatives$2,602
$389,218
$8,543
$415,997
$(362,584)$53,413
Short-term borrowings$—
$4,003
$90
$4,093
$—
$4,093
Long-term debt—
21,681
13,781
35,462
—
35,462
Total non-trading derivatives and other financial liabilities measured on a recurring basis$17,657
$162
$—
$17,819
$—
$17,819
Total liabilities$96,102
$528,262
$23,889
$663,887
$(414,894)$248,993
Total as a percentage of gross liabilities(6)
14.8%81.5%3.7%   


(1)For the three and six months ended June 30, 2018, the Company transferred assets of approximately $0.9 billion and $1.6 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 six months ended June 30, 2018, the Company transferred assets of approximately $1.3 billion and $5.3 billion from Level 2 to Level 1, primarily related to foreign government bonds, foreign corporate securities, and equity securities traded with sufficient frequency to constitute an active market. For the three and six months ended June 30, 2018, there were $0.1 billion and $0.2 billion transfers of liabilities from Level 1 to Level 2. During the three and six months ended June 30, 2018, the Company transferred liabilities of approximately $0.3 billion and $0.5 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)(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.
(4)(3)Reflects the net amount of $42,271$44,539 million gross cash collateral paid, of which $30,377$33,190 million was used to offset trading derivative liabilities.
(5)
Amounts exclude $0.4 billion of investments measured at Net Asset Value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(6)(4)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(7)(5)
Amounts exclude $0.2 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).
(6)Reflects the net amount $55,229$53,636 million of gross cash collateral received, of which $39,595$39,750 million was used to offset trading derivative assets.





Fair Value Levels
In millions of dollars at December 31, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at December 31, 2018
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Assets    
Federal funds sold and securities borrowed or purchased under agreements to resell$—
$188,571
$16
$188,587
$(55,638)$132,949
Federal funds sold and securities borrowed and purchased under agreements to resell$—
$214,570
$115
$214,685
$(66,984)$147,701
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed—
22,801
163
22,964
—
22,964
—
24,090
156
24,246
—
24,246
Residential—
649
164
813
—
813
—
709
268
977
—
977
Commercial—
1,309
57
1,366
—
1,366
—
1,323
77
1,400
—
1,400
Total trading mortgage-backed securities$—
$24,759
$384
$25,143
$—
$25,143
$—
$26,122
$501
$26,623
$—
$26,623
U.S. Treasury and federal agency securities$17,524
$3,613
$—
$21,137
$—
$21,137
$26,439
$4,802
$1
$31,242
$—
$31,242
State and municipal—
4,426
274
4,700
—
4,700
—
3,782
200
3,982
—
3,982
Foreign government39,347
20,843
16
60,206
—
60,206
43,309
21,179
31
64,519
—
64,519
Corporate301
15,129
275
15,705
—
15,705
1,026
14,510
360
15,896
—
15,896
Equity securities53,305
6,794
120
60,219
—
60,219
36,342
7,308
153
43,803
—
43,803
Asset-backed securities—
1,198
1,590
2,788
—
2,788
—
1,429
1,484
2,913
—
2,913
Other trading assets(3)
3
11,105
615
11,723
—
11,723
3
12,198
818
13,019
—
13,019
Total trading non-derivative assets$110,480
$87,867
$3,274
$201,621
$—
$201,621
$107,119
$91,330
$3,548
$201,997
$—
$201,997
Trading derivatives    
Interest rate contracts$145
$203,134
$1,708
$204,987
  $101
$169,860
$1,671
$171,632
  
Foreign exchange contracts19
121,363
577
121,959
  —
162,108
346
162,454
  
Equity contracts2,364
24,170
444
26,978
  647
28,903
343
29,893
  
Commodity contracts282
13,252
569
14,103
  —
16,788
767
17,555
  
Credit derivatives—
19,624
910
20,534
  —
9,839
926
10,765
  
Total trading derivatives$2,810
$381,543
$4,208
$388,561
  $748
$387,498
$4,053
$392,299
  
Cash collateral paid(4)
 $7,541
   $11,518
  
Netting agreements $(306,401)  $(311,089) 
Netting of cash collateral received (38,532)  (38,608) 
Total trading derivatives$2,810
$381,543
$4,208
$396,102
$(344,933)$51,169
$748
$387,498
$4,053
$403,817
$(349,697)$54,120
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$—
$41,717
$24
$41,741
$—
$41,741
$—
$42,988
$32
$43,020
$—
$43,020
Residential—
2,884
—
2,884
—
2,884
—
1,313
—
1,313
—
1,313
Commercial—
329
3
332
—
332
—
172
—
172
—
172
Total investment mortgage-backed securities$—
$44,930
$27
$44,957
$—
$44,957
$—
$44,473
$32
$44,505
$—
$44,505
U.S. Treasury and federal agency securities$106,964
$11,182
$—
$118,146
$—
$118,146
$107,577
$9,645
$—
$117,222
$—
$117,222
State and municipal—
8,028
737
8,765
—
8,765
—
8,498
708
9,206
—
9,206
Foreign government56,456
43,985
92
100,533
—
100,533
58,252
42,371
68
100,691
—
100,691
Corporate1,911
12,127
71
14,109
—
14,109
4,410
7,033
156
11,599
—
11,599
Equity securities176
11
2
189
—
189
Marketable equity securities

206
14
—
220
—
220
Asset-backed securities—
3,091
827
3,918
—
3,918
—
656
187
843
—
843
Other debt securities—
297
—
297
—
297
—
3,972
—
3,972
—
3,972
Non-marketable equity securities(5)
—
121
681
802
—
802
—
96
586
682
—
682
Total investments$165,507
$123,772
$2,437
$291,716
$—
$291,716
$170,445
$116,758
$1,737
$288,940
$—
$288,940
Table continues on the next page.



In millions of dollars at December 31, 2018
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—
$2,946
$277
$3,223
$—
$3,223
Mortgage servicing rights—
—
584
584
—
584
Non-trading derivatives and other financial assets measured on a recurring basis$15,839
$4,949
$—
$20,788
$—
$20,788
Total assets$294,151
$818,051
$10,314
$1,134,034
$(416,681)$717,353
Total as a percentage of gross assets(6)
26.2%72.9%0.9%   
Liabilities      
Interest-bearing deposits$—
$980
$495
$1,475
$—
$1,475
Federal funds purchased and securities loaned and sold under agreements to repurchase—
110,511
983
111,494
(66,984)44,510
Trading account liabilities      
Securities sold, not yet purchased78,872
11,364
586
90,822
—
90,822
Other trading liabilities—
1,547
—
1,547
—
1,547
Total trading liabilities$78,872
$12,911
$586
$92,369
$—
$92,369
Trading account derivatives      
Interest rate contracts$71
$152,931
$1,825
$154,827
  
Foreign exchange contracts—
159,003
352
159,355
  
Equity contracts351
32,330
1,127
33,808
  
Commodity contracts—
19,904
785
20,689
  
Credit derivatives—
9,486
865
10,351
  
Total trading derivatives$422
$373,654
$4,954
$379,030
  
Cash collateral received(7)
   $13,906
  
Netting agreements    $(311,089) 
Netting of cash collateral paid    (29,911) 
Total trading derivatives$422
$373,654
$4,954
$392,936
$(341,000)$51,936
Short-term borrowings$—
$4,446
$37
$4,483
$—
$4,483
Long-term debt—
25,659
12,570
38,229
—
38,229
Non-trading derivatives and other financial liabilities measured on a recurring basis$15,839
$67
$—
$15,906
$—
$15,906
Total liabilities$95,133
$528,228
$19,625
$656,892
$(407,984)$248,908
Total as a percentage of gross liabilities(6)
14.8%82.1%3.1%   

In millions of dollars at December 31, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—
$3,824
$550
$4,374
$—
$4,374
Mortgage servicing rights—
—
558
558
—
558
Non-trading derivatives and other financial assets measured on a recurring basis$13,903
$4,640
$16
$18,559
$—
$18,559
Total assets$292,700
$790,217
$11,059
$1,101,517
$(400,571)$700,946
Total as a percentage of gross assets(6)
26.8%72.2%1.0%   
Liabilities      
Interest-bearing deposits$—
$1,179
$286
$1,465
$—
$1,465
Federal funds purchased and securities loaned or sold under agreements to repurchase—
95,550
726
96,276
(55,638)40,638
Trading account liabilities      
Securities sold, not yet purchased65,843
10,306
22
76,171
—
76,171
Other trading liabilities—
1,409
5
1,414
—
1,414
Total trading liabilities$65,843
$11,715
$27
$77,585
$—
$77,585
Trading account derivatives      
Interest rate contracts$137
$182,372
$2,130
$184,639
  
Foreign exchange contracts9
120,316
447
120,772
  
Equity contracts2,430
26,472
2,471
31,373
  
Commodity contracts115
14,482
2,430
17,027
  
Credit derivatives—
19,824
1,709
21,533
  
Total trading derivatives$2,691
$363,466
$9,187
$375,344
  
Cash collateral received(7)
   $14,308
  
Netting agreements    $(306,401) 
Netting of cash collateral paid    (35,666) 
Total trading derivatives$2,691
$363,466
$9,187
$389,652
$(342,067)$47,585
Short-term borrowings$—
$4,609
$18
$4,627
$—
$4,627
Long-term debt—
18,310
13,082
31,392
—
31,392
Non-trading derivatives and other financial liabilities measured on a recurring basis$13,903
$50
$8
$13,961
$—
$13,961
Total liabilities$82,437
$494,879
$23,334
$614,958
$(397,705)$217,253
Total as a percentage of gross liabilities(6)
13.7%82.4%3.9%   


(1)In 2017, the Company transferred assets of approximately $4.8 billion from Level 1 to Level 2, primarily related to foreign government securities and equity securities not traded in active markets. In 2017, the Company transferred assets of approximately $4.0 billion from Level 2 to Level 1, primarily related to foreign government bonds and equity securities traded with sufficient frequency to constitute a liquid market. In 2017, the Company transferred liabilities of approximately $0.4 billion from Level 1 to Level 2. In 2017, the Company transferred liabilities of approximately $0.3 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)(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.
(4)(3)Reflects the net amount of $43,207$41,429 million of gross cash collateral paid, of which $35,666$29,911 million was used to offset trading derivative liabilities.
(5)
Amounts exclude $0.4 billion of investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(6)(4)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(7)(5)
Amounts exclude $0.2 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).
(6)Reflects the net amount of $52,840$52,514 million of gross cash collateral received, of which $38,532$38,608 million was used to offset trading derivative assets.






Changes in Level 3 Fair Value Category

The following tables present the changes in the Level 3 fair value category for the three and six months ended June 30, 2018March 31, 2019 and 2017.2018. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.
The Company often hedges positions with offsetting positions that are classified in a different level. For example,
the gains and losses for assets and liabilities in the Level 3
category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 or Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The hedged items and related hedges are presented gross in the following tables:


Level 3 Fair Value Rollforward
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2018Dec. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2019
Assets      
Federal funds sold and
securities borrowed or
purchased under
agreements to resell
$16
$1
$—
$49
$—
$—
$—
$—
$—
$66
$—
Federal funds sold and
securities borrowed and
purchased under
agreements to resell
$115
$(4)$—
$(4)$3
$45
$—
$—
$(89)$66
$(2)
Trading non-derivative assets      
Trading mortgage-
backed securities
      
U.S. government-sponsored agency guaranteed206
1
—
3
(41)37
—
(107)—
99
1
156
—
—
—
(25)48
—
(25)—
154
3
Residential143
(17)—
23
(11)45
—
(51)—
132
(4)268
1
—
5
(31)69
—
(184)—
128
10
Commercial35
(2)—
7
(2)23
—
(10)—
51
(1)77
2
—
2
(1)24
—
(35)—
69
1
Total trading mortgage-
backed securities
$384
$(18)$—
$33
$(54)$105
$—
$(168)$—
$282
$(4)$501
$3
$—
$7
$(57)$141
$—
$(244)$—
$351
$14
U.S. Treasury and federal agency securities$—
$—
$—
$6
$—
$1
$—
$—
$—
$7
$—
$1
$—
$—
$—
$—
$—
$—
$—
$(1)$—
$—
State and municipal211
4
—
—
—
13
—
(2)—
226
2
200
(1)—
—
(19)1
—
(3)—
178
—
Foreign government21
(1)—
—
(5)32
—
(11)—
36
(1)31
(1)—
9
—
3
—
(3)—
39
1
Corporate252
52
—
12
(19)245
—
(22)—
520
248
360
90
—
21
(26)69
(33)(103)—
378
(35)
Equity securities237
7
—
16
(5)74
—
(36)—
293
30
Marketable equity securities

153
(10)—
1
(11)9
—
(15)—
127
14
Asset-backed securities1,597
17
—
27
(32)373
—
(294)—
1,688
(16)1,484
(26)—
7
(32)221
—
(225)—
1,429
38
Other trading assets716
(52)—
27
(32)45
—
(158)(4)542
(21)818
5
—
13
(32)340
4
(102)(4)1,042
(20)
Total trading non-
derivative assets
$3,418
$9
$—
$121
$(147)$888
$—
$(691)$(4)$3,594
$238
$3,548
$60
$—
$58
$(177)$784
$(29)$(695)$(5)$3,544
$12
Trading derivatives, net(4)
      
Interest rate contracts$(6)$206
$—
$—
$(109)$1
$—
$—
$(6)$86
$270
$(154)$(51)$—
$(15)$27
$6
$12
$—
$59
$(116)$(60)
Foreign exchange contracts88
167
—
(12)(5)6
—
(5)—
239
146
(6)60
—
(15)15
3
—
(4)(7)46
28
Equity contracts(1,741)34
—
(16)279
4
—
(4)(2)(1,446)469
(784)(294)—
(154)9
(1)(59)2
(64)(1,345)(222)
Commodity contracts(1,909)(141)—
4
90
7
—
—
43
(1,906)(118)(18)280
—
(3)10
54
—
(34)15
304
300
Credit derivatives(859)(36)—
(10)14
—
—
—
43
(848)(29)61
(319)—
(18)232
—
—
—
78
34
(320)
Total trading derivatives,
net(4)
$(4,427)$230
$—
$(34)$269
$18
$—
$(9)$78
$(3,875)$738
$(901)$(324)$—
$(205)$293
$62
$(47)$(36)$81
$(1,077)$(274)
Table continues on the next page.

















 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2018Dec. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2019
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$23
$—
$11
$—
$—
$—
$—
$—
$—
$34
$12
$32
$—
$—
$—
$—
$—
$—
$—
$—
$32
$(2)
Residential—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Commercial5
—
—
1
—
—
—
—
—
6
—
—
—
—
—
—
—
—
—
—
—
—
Total investment mortgage-backed securities$28
$—
$11
$1
$—
$—
$—
$—
$—
$40
$12
$32
$—
$—
$—
$—
$—
$—
$—
$—
$32
$(2)
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal682
—
3
—
(9)111
—
(25)—
762
3
708
—
52
3
—
185
—
(38)—
910
44
Foreign government70
—
(3)1
—
5
—
(19)—
54
(3)68
—
(4)—
—
39
—
(32)—
71
(1)
Corporate76
—
—
—
(2)—
—
(6)—
68
—
156
—
—
—
(94)—
—
(2)—
60
—
Equity securities1
—
—
—
—
—
—
—
—
1
—
Marketable equity securities—
—
—
—
—
—
—
—
—
—
—
Asset-backed securities497
—
(25)1
(2)11
—
(26)—
456
(25)187
—
(2)94
—
550
—
(23)—
806
(4)
Other debt securities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities734
—
(54)—
—
—
—
(33)(36)611
(23)586
—
22
—
—
4
—
(86)(21)505
(11)
Total investments$2,088
$—
$(68)$3
$(13)$127
$—
$(109)$(36)$1,992
$(36)$1,737
$—
$68
$97
$(94)$778
$—
$(181)$(21)$2,384
$26
Loans$554
$—
$(274)$—
$60
$47
$—
$(6)$—
$381
$40
$277
$—
$45
$125
$(70)$6
$—
$(10)$—
$373
$45
Mortgage servicing rights587
—
11
—
—
—
15
(1)(16)596
11
584
—
(27)—
—
—
12
—
(18)551
(25)
Other financial assets measured on a recurring basis13
—
14
—
(11)—
—
(4)(12)—
14
—
—
16
—
—
—
(2)(4)(10)—
12
Liabilities





Interest-bearing deposits$292
$—
$(3)$—
$—
$—
$25
$—
$—
$320
$(6)$495
$—
$(10)$1
$(4)$—
$674
$—
$(129)$1,047
$(157)
Federal funds purchased and securities loaned or sold under agreements to repurchase857
25
—
—
—
—
96
—
38
966
16
Federal funds purchased and securities loaned and sold under agreements to repurchase983
4
—
(1)4
—
—
1
58
1,041
(2)
Trading account liabilities





Securities sold, not yet purchased48
(142)—
4
(12)—
—
6
1
189
(50)586
124
—
1
(441)—
—
—
(7)15
13
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings81
(6)—
3
(21)—
24
—
(3)90
10
37
23
—
9
(6)—
153
—
—
170
18
Long-term debt13,484
(7)—
815
(540)—
4
—
11
13,781
92
12,570
(407)—
877
(1,601)—
5,950
(3)(4,466)13,734
(1,001)
Other financial liabilities measured on a recurring basis3
—
(2)1
(5)—
—
—
(1)—
(3)—
—
—
—
—
—
—
—
—
—
—


(1)
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 on in the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on 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), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2018.March 31, 2019.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.









 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2018Dec. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2018
Assets 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Federal funds sold and securities borrowed or purchased under agreements to resell16
19
—
49
—
—
—
—
(18)66
10
Federal funds sold and securities borrowed and purchased under agreements to resell$16
$18
$—
$—
$—
$—
$—
$—
$(18)$16
$3
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed163
2
—
89
(90)153
—
(218)—
99
1
163
1
—
86
(49)116
—
(111)—
206
—
Residential164
5
—
58
(88)91
—
(98)—
132
(4)164
22
—
35
(77)46
—
(47)—
143
3
Commercial57
(1)—
11
(37)38
—
(17)—
51
3
57
1
—
4
(35)15
—
(7)—
35
3
Total trading mortgage-backed securities384
6
—
158
(215)282
—
(333)—
282
—
$384
$24
$—
$125
$(161)$177
$—
$(165)$—
$384
$6
U.S. Treasury and federal agency securities—
—
—
6
—
1
—
—
—
7
—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal274
10
—
—
(44)13
—
(27)—
226
1
274
6
—
—
(44)—
—
(25)—
211
(1)
Foreign government16
(1)—
2
(5)46
—
(22)—
36
(1)16
—
—
2
—
14
—
(11)—
21
—
Corporate275
95
—
61
(91)279
—
(99)—
520
251
275
43
—
49
(72)34
—
(77)—
252
84
Equity securities120
82
—
17
(20)242
—
(148)—
293
26
Marketable equity securities120
75
—
1
(15)168
—
(112)—
237
(3)
Asset-backed securities1,590
75
—
45
(47)689
—
(664)—
1,688
39
1,590
58
—
18
(15)316
—
(370)—
1,597
73
Other trading assets615
83
—
85
(42)157
5
(352)(9)542
(11)615
135
—
58
(10)112
—
(194)(5)716
6
Total trading non-derivative assets3,274
350
—
374
(464)1,709
5
(1,645)(9)3,594
305
$3,274
$341
$—
$253
$(317)$821
$—
$(954)$(5)$3,418
$165
Trading derivatives, net(4)
      
Interest rate contracts(422)587
—
5
(72)8
—
(16)(4)86
529
$(422)$381
$—
$5
$37
$7
$—
$(16)$2
$(6)$(94)
Foreign exchange contracts130
105
—
(13)3
7
—
(5)12
239
27
130
(62)—
(1)8
1
—
—
12
88
(155)
Equity contracts(2,027)(102)—
(73)751
17
—
(11)(1)(1,446)203
(2,027)(136)—
(57)472
13
—
(7)1
(1,741)156
Commodity contracts(1,861)(174)—
(43)98
27
—
—
47
(1,906)(32)(1,861)(33)—
(47)8
20
—
—
4
(1,909)(42)
Credit derivatives(799)(98)—
(9)12
2
—
1
43
(848)(219)(799)(62)—
1
(2)2
—
1
—
(859)(203)
Total trading derivatives, net(4)
(4,979)318
—
(133)792
61
—
(31)97
(3,875)508
$(4,979)$88
$—
$(99)$523
$43
$—
$(22)$19
$(4,427)$(338)
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed24
—
10
—
—
—
—
—
—
34
(12)$24
$—
$(1)$—
$—
$—
$—
$—
$—
$23
$2
Residential—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Commercial3
—
2
1
—
—
—
—
—
6
—
3
—
2
—
—
—
—
—
—
5
—
Total investment mortgage-backed securities27
—
12
1
—
—
—
—
—
40
(12)$27
$—
$1
$—
$—
$—
$—
$—
$—
$28
$2
U.S. Treasury and federal agency securities—
—
—
—
—
—
—
—
—
—
—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal737
—
(13)—
(18)140
—
(84)—
762
(22)737
—
(16)—
(9)29
—
(59)—
682
(33)
Foreign government92
—
(4)1
(2)62
—
(95)—
54
(3)92
—
(1)—
(2)57
—
(76)—
70
—
Corporate71
—
(1)3
(2)3
—
(6)—
68
—
71
—
(1)3
—
3
—
—
—
76
—
Equity securities2
—
—
—
—
—
—
(1)—
1
—
Marketable equity securities2
—
—
—
—
—
—
(1)—
1
—
Asset-backed securities827
—
(15)3
(344)11
—
(26)—
456
(25)827
—
10
2
(342)—
—
—
—
497
7
Other debt securities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities681
—
(30)30
—
15
—
(33)(52)611
(7)681
—
24
30
—
15
—
—
(16)734
22
Total investments2,437
—
(51)38
(366)231
—
(245)(52)1,992
(69)$2,437
$—
$17
$35
$(353)$104
$—
$(136)$(16)$2,088
$(2)



 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2018Dec. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2018
Loans550
—
(255)—
59
51
—
(22)(2)381
175
$550
$—
$19
$—
$(1)$4
$—
$(16)$(2)$554
$26
Mortgage servicing rights558
—
57
—
—
—
32
(18)(33)596
57
558
—
46
—
—
—
17
(17)(17)587
46
Other financial assets measured on a recurring basis16
—
22
—
(11)4
12
(4)(39)—
33
16
—
8
—
—
4
12
—
(27)13
18
Liabilities      
Interest-bearing deposits286
—
23
12
—
—
45
—
—
320
(60)$286
$—
$26
$12
$—
$—
$20
$—
$—
$292
$29
Federal funds purchased and securities loaned or sold under agreements to repurchase726
39
—
—
—
—
243
—
36
966
29
Federal funds purchased and securities loaned and sold under agreements to repurchase726
14
—
—
—
—
147
—
(2)857
14
Trading account liabilities      
Securities sold, not yet purchased22
(247)—
7
(31)—
—
9
(65)189
(46)22
(105)—
3
(19)—
—
3
(66)48
(7)
Other trading liabilities5
5
—
—
—
—
—
—
—
—
—
5
5
—
—
—
—
—
—
—
—
(5)
Short-term borrowings18
1
—
48
(21)—
49
—
(3)90
(9)18
7
—
45
—
—
25
—
—
81
(2)
Long-term debt13,082
(243)—
1,755
(1,304)36
7
(44)6
13,781
(735)13,082
(236)—
940
(764)36
3
(44)(5)13,484
254
Other financial liabilities measured on a recurring basis8
—
(2)1
(10)—
2
—
(3)—
(4)8
—
—
—
(5)—
2
—
(2)3
(1)
(1)
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 on in the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on 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), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at December 31, 2017.2018.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.






  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2017
Assets           
Federal funds sold and securities borrowed or purchased under agreements to resell$1,187
$54
$—
$—
$(239)$—
$—
$—
$—
$1,002
$—
Trading non-derivative assets           
Trading mortgage-backed securities           
U.S. government-sponsored agency guaranteed$271
$(1)$—
$29
$(48)$103
$—
$(150)$—
$204
$—
Residential368
22
—
30
(20)16
—
(89)—
327
19
Commercial266
5
—
27
(16)244
—
(208)—
318
(3)
Total trading mortgage-backed securities$905
$26
$—
$86
$(84)$363
$—
$(447)$—
$849
$16
U.S. Treasury and federal agency securities$1
$—
$—
$—
$—
$—
$—
$(1)$—
$—
$—
State and municipal270
3
—
22
(1)7
—
(17)—
284
(1)
Foreign government126
3
—
6
(77)83
—
(33)—
108
1
Corporate296
124
—
89
(21)158
—
(245)—
401
132
Equity securities110
14
—
130
(1)2
—
(15)—
240
13
Asset-backed securities1,941
(23)—
3
(65)313
—
(599)—
1,570
(19)
Other trading assets1,888
(43)—
222
(243)366
—
(383)(4)1,803
(17)
Total trading non-derivative assets$5,537
$104
$—
$558
$(492)$1,292
$—
$(1,740)$(4)$5,255
$125
Trading derivatives, net(4)
           
Interest rate contracts(773)(155)—
10
632
59
—
(92)31
(288)(60)
Foreign exchange contracts48
93
—
(2)(39)4
—
(2)82
184
88
Equity contracts(1,524)(101)—
18
42
64
—
(113)(33)(1,647)(158)
Commodity contracts(2,074)(153)—
12
51
—
—
—
140
(2,024)(152)
Credit derivatives(1,123)(293)—
(44)(16)(2)—
2
137
(1,339)(325)
Total trading derivatives, net(4)
$(5,446)$(609)$—
$(6)$670
$125
$—
$(205)$357
$(5,114)$(607)
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$55
$—
$1
$—
$(6)$—
$—
$—
$—
$50
$—
Residential—
—
—
—
—
—
—
—
—
—
—
Commercial—
—
—
—
—
—
—
—
—
—
—
Total investment mortgage-backed securities$55
$—
$1
$—
$(6)$—
$—
$—
$—
$50
$—
U.S. Treasury and federal agency securities$1
$—
$—
$—
$—
$—
$—
$—
$—
$1
$—
State and municipal1,233
—
27
12
(3)22
—
(6)—
1,285
28
Foreign government235
—
10
—
(1)191
—
(77)—
358
7
Corporate339
—
(137)5
—
92
—
(143)—
156
9
Equity securities9
—
—
—
—
—
—
—
—
9
—
Asset-backed securities712
—
173
4
(13)334
—
(182)—
1,028
171
Other debt securities—
—
—
—
—
10
—
—
—
10
—
Non-marketable equity securities1,082
—
31
2
—
1
—
(154)(23)939
66
Total investments$3,666
$—
$105
$23
$(23)$650
$—
$(562)$(23)$3,836
$281



  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2017
Loans$580
$—
$(12)$15
$—
$30
$—
$(33)$(3)$577
$42
Mortgage servicing rights567
—
(11)—
—
—
21
—
(17)560
3
Other financial assets measured on a recurring basis27
—
29
—
(7)—
27
(4)(55)17
26
Liabilities           
Interest-bearing deposits$302
$—
$—
$20
$—
$��
$—
$—
$(22)$300
$5
Federal funds purchased and securities loaned or sold under agreements to repurchase809
2
—
—
—
—
—
—
—
807
2
Trading account liabilities           
Securities sold, not yet purchased1,151
(60)—
2
(29)—
—
76
(117)1,143
5
Short-term borrowings60
40
—
1
—
—
8
—
—
29
11
Long-term debt10,176
(618)—
321
(558)—
1,353
—
(79)11,831
(73)
Other financial liabilities measured on a recurring basis4
—
2
—
—
—
1
—
(1)2
2



  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2017
Assets           
Federal funds sold and securities borrowed or purchased under agreements to resell$1,496
$(2)$—
$—
$(491)$—
$—
$—
$(1)$1,002
$—
Trading non-derivative assets           
Trading mortgage-backed securities           
U.S. government-sponsored agency guaranteed176
4
—
79
(65)264
—
(254)—
204
1
Residential399
37
—
47
(49)66
—
(173)—
327
29
Commercial206
(3)—
44
(29)434
—
(334)—
318
(10)
Total trading mortgage-backed securities$781
$38
$—
$170
$(143)$764
$—
$(761)$—
$849
$20
U.S. Treasury and federal agency securities$1
$—
$—
$—
$—
$—
$—
$(1)$—
$—
$—
State and municipal296
5
—
24
(48)88
—
(81)—
284
2
Foreign government40
7
—
84
(90)127
—
(60)—
108
8
Corporate324
215
—
116
(73)276
—
(457)—
401
177
Equity securities127
29
—
132
(13)9
—
(44)—
240
21
Asset-backed securities1,868
137
—
23
(81)704
—
(1,081)—
1,570
52
Other trading assets2,814
(50)—
432
(774)653
1
(1,258)(15)1,803
(38)
Total trading non-derivative assets$6,251
$381
$—
$981
$(1,222)$2,621
$1
$(3,743)$(15)$5,255
$242
Trading derivatives, net(4)
           
Interest rate contracts$(663)$(192)$—
$(28)$651
$65
$—
$(205)$84
$(288)$(12)
Foreign exchange contracts413
(297)—
53
(59)38
—
(34)70
184
43
Equity contracts(1,557)(103)—
18
26
149
—
(137)(43)(1,647)(139)
Commodity contracts(1,945)(328)—
58
49
—
—
—
142
(2,024)(358)
Credit derivatives(1,001)(385)—
(68)(24)(2)—
2
139
(1,339)(745)
Total trading derivatives, net(4)
$(4,753)$(1,305)$—
$33
$643
$250
$—
$(374)$392
$(5,114)$(1,211)
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$101
$—
$3
$1
$(55)$—
$—
$—
$—
$50
$2
Residential50
—
2
—
(47)—
—
(5)—
—
—
Commercial—
—
—
—
—
8
—
(8)—
—
—
Total investment mortgage-backed securities$151
$—
$5
$1
$(102)$8
$—
$(13)$—
$50
$2
U.S. Treasury and federal agency securities$2
$—
$—
$—
$—
$—
$—
$(1)$—
$1
$—
State and municipal1,211
—
39
49
(33)76
—
(57)—
1,285
35
Foreign government186
—
11
2
(19)333
—
(155)—
358
7
Corporate311
—
(135)64
(4)183
—
(263)—
156
9
Equity securities9
—
—
—
—
—
—
—
—
9
—
Asset-backed securities660
—
182
21
(13)360
—
(182)—
1,028
171
Other debt securities—
—
—
—
—
21
—
(11)—
10
—
Non-marketable equity securities1,331
—
(63)2
—
9
—
(227)(113)939
79
Total investments$3,861
$—
$39
$139
$(171)$990
$—
$(909)$(113)$3,836
$303




  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2017
Loans$568
$—
$(16)$80
$(16)$42
$—
$(76)$(5)$577
$58
Mortgage servicing rights1,564
—
56
—
—
—
56
(1,046)(70)560
(40)
Other financial assets measured on a recurring basis34
—
(160)3
(8)—
260
(4)(108)17
(57)
Liabilities           
Interest-bearing deposits$293
$—
$11
$40
$—
$—
$—
$—
$(22)$300
$31
Federal funds purchased and securities loaned or sold under agreements to repurchase849
8
—
—
—
—
—
—
(34)807
8
Trading account liabilities           
Securities sold, not yet purchased1,177
(6)—
13
(43)—
—
177
(187)1,143
(3)
Short-term borrowings42
31
—
1
—
—
19
—
(2)29
5
Long-term debt9,744
(601)—
521
(967)—
2,282
—
(350)11,831
(747)
Other financial liabilities measured on a recurring basis8
—
—
—
—
(1)2
—
(7)2
—
(1)
Changes in fair value of available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2017.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.


Level 3 Fair Value Rollforward
The following were the significant Level 3 transfers for the period December 31, 20172018 to June 30, 2018:

During the three and six months ended June 30, 2018, transfers of Long-term debt of $0.8 billion and $1.8 billion from Level 2 to Level 3, and of $0.5 billion and $1.3 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.

The were no significant Level 3 transfers for the period from March 31, 2017 to June 30, 2017.2019.


•
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 December 31, 20162017 to June 30, 2017:March 31, 2018.


•
Transfers of Long-term debt of $0.9 billion from Level 2 to Level 3, and of $0.8 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.

Transfers of Long-term debt of $0.5 billion from Level 2 to Level 3, and of $1.0 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.













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
















As of June 30, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of March 31, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets        
Federal funds sold and securities borrowed or purchased under agreements to resell$66
Model-basedInterest rate2.06 %3.67%3.51 %
Federal funds sold and securities borrowed and purchased under agreements to resell$66
Model-basedInterest rate2.27 %3.67%3.40%
Mortgage-backed securities$156
Price-basedPrice$0.01
$109.48
$83.75
$192
Yield analysisYield2.49 %4.63%3.47%
110
Yield analysisYield2.71 %8.81%4.56 %
39
Model-based  166
Price-basedPrice$35.00
$320.00
$91.58
State and municipal, foreign government, corporate and other debt securities$1,103
Model-basedPrice$2.34
$129.50
$92.65
$1,436
Price-basedPrice$—
$568.28
$78.53
895
Price-basedCredit spread35 bps
500 bps
238 bps
1,037
Model-basedCredit spread35 bps
375 bps
238 bps
Equity securities(5)
$206
Price-basedPrice$—
$456.89
$41.58
87
Model-basedEquity volatility3.93 %12.42%9.20 %
Marketable equity securities(5)
$110
Price-basedPrice$0.01
$28,822.00
$2,698.08

 Forward price80.20 %124.54%105.47 %16
Model-based 





Asset-backed securities$2,058
Price-basedPrice$3.00
$100.89
$72.24
$2,154
Price-basedPrice$4.20
$101.20
$79.18
Non-marketable equities$505
Comparables analysisEBITDA multiples7.30x
10.40x
8.88x
$266
Comparables analysisDiscount to price— %10.00%1.11%
219
Price basedEBITDA multiples7.75x11.50x8.66x
  Price$13.80
$1,345.00
$711.39
76
Price-basedDiscount to price— %100.00%15.37 %
 Revenue multiple1.50x18.40x7.17x
Derivatives—gross(6)
      
Interest rate contracts (gross)$4,344
Model-basedMean reversion1.00 %20.00%10.50 %$3,248
Model-basedInflation volatility0.22 %2.63%0.79%
  Inflation volatility0.21 %2.63%0.75 %  Mean reversion1.00 %20.00%10.50%
  IR normal volatility0.10 %78.22%51.57 %  IR normal volatility0.16 %71.90%49.46%
Foreign exchange contracts (gross)$889
Model-basedFX volatility2.40 %18.05%10.79 %$597
Model-basedFX volatility3.15 %18.85%11.34%

 IR-IR correlation(51.00)%40.00%34.08 %
 IR-IR correlation(51.00)%40.00%31.87%
  FX rate$—
$0.04
$0.04
  IR-FX correlation40.00 %60.00%50.00%
  IR-FX correlation40.00 %60.00%50.00 %  Interest rate5.05 %12.89%9.00%
  Credit spread34 bps
2,568 bps
300 bps
  Credit spread34 bps
642 bps
403 bps
  IR basis(0.47)%0.36%(0.19)%  IR Normal Volatility0.16 %71.90%50.81%
Equity contracts (gross)$2,038
Model-basedEquity volatility3.26 %74.93%26.61 %$2,026
Model-basedEquity volatility3.00 %82.43%41.37%
  Forward price63.07 %159.10%100.93 %  Forward price64.31 %132.11%108.84%
  Equity-equity correlation(81.06)%100.00%55.36 %
  Equity-FX correlation(83.00)%54.00%(37.30)%
  WAL2.00 years
4.43 years
2.90 years
Commodity and other contracts (gross)$3,095
Model-basedForward price28.57 %454.29%108.29 %$1,163
Model-basedForward price71.67 %524.74%137.37%
  Commodity volatility9.33 %46.05%21.51 %  Commodity volatility6.88 %55.75%18.17%
  Commodity correlation(52.24)%91.44%22.32 %  Commodity correlation(38.66)%89.50%48.87%
Credit derivatives (gross)$1,778
Model-basedCredit correlation25.00 %80.00%42.67 %$816
Model-basedUpfront points6.17 %99.00%61.76%
781
Price-basedUpfront points1.67 %97.99%56.21 %650
Price-basedCredit spread3 bps
530 bps
86 bps
  Credit correlation25.00 %85.00%43.55%
  Recovery rate5.00 %65.00%42.85%
  Price$12.00
$98.00
$76.69



As of June 30, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
  Credit spread4 bps
1,266 bps
110 bps
  Price$10.31
$225.00
$88.72
  Recovery rate5.00 %65.00%50.48 %
As of March 31, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Loans and leases$241
Model-basedCredit spread143 bps
143 bps
143 bps
$353
Model-basedCredit spread115 bps
470 bps
129 bps
139
Price-basedPrice$0.76
$238.35
$41.60


 Equity volatility26.53 %30.83%28.66%
  Yield4.09 %4.09%4.09 %  Yield— %—%—%
Mortgage servicing rights$508
Cash flowYield4.34 %12.14%8.33 %$467
Cash flowYield4.42 %12.00%7.30%
87
Model-basedWAL4.09 years
7.74 years
6.64 years
83
Model-basedWAL3.35 years
6.91 years
5.99 years
Liabilities      
Interest-bearing deposits$320
Model-basedMean reversion— %20.00%7.85 %$1,047
Model-basedMean reversion1.00 %20.00%10.50%
  Equity volatility3.93 %12.42%9.20 %
  Forward price80.20 %124.54%105.47 %
Federal funds purchased and securities loaned or sold under agreement to repurchase$966
Model-basedInterest rate2.06 %3.24%2.99 %
Federal funds purchased and securities loaned and sold under agreement to repurchase$1,041
Model-basedInterest rate2.27 %2.89%2.52%
Trading account liabilities      
Securities sold, not yet purchased$165
Model-basedForward price28.57 %454.29%104.11 %$8
Price-basedPrice$—
$994.85
$89.80
$23
Price-basedEquity volatility3.26 %74.93%15.37 %
  IR normal volatility15.02 %31.88%19.85 %
  Equity-equity correlation(81.06)%100.00%55.40 %
  Equity-FX correlation(82.74)%54.00%(37.34)%
  Price$—
$456.89
$93.88
6
Model-based 
Short-term borrowings and long-term debt$13,928
Model-basedMean reversion1.00 %20.00%10.50 %$14,026
Model-basedMean reversion1.00 %20.00%10.50%
  Forward price63.07 %195.78%104.83 %  Forward price64.31 %524.74%109.75%
  Equity volatility3.26 %74.93%12.05 %  IR normal volatility0.16 %71.90%52.74%
  IR normal volatility8.49 %78.22%51.93 %
As of December 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)

High(2)(3)
Weighted
average(4)
As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)

High(2)(3)
Weighted
average(4)
Assets   
    
 
Federal funds sold and securities borrowed or purchased under agreements to resell$16
Model-basedInterest rate1.43 %2.16%2.09%
Federal funds sold and securities borrowed and purchased under agreements to resell$115
Model-basedInterest rate2.52 %7.43%5.08 %
Mortgage-backed securities$214
Price-basedPrice$2.96
$101.00
$56.52
$313
Price-basedPrice$11.25
$110.35
$90.07
184
Yield analysisYield2.52 %14.06%5.97%198
Yield analysisYield2.27 %8.70%3.74 %
State and municipal, foreign government, corporate and other debt securities$949
Model-basedPrice$—
$184.04
$91.74
$1,212
Price-basedPrice$—
$103.75
$91.39
914
Price-basedCredit spread35 bps
500 bps
249 bps
938
Model-basedCredit spread35 bps
446 bps
238 bps


 Yield2.36 %14.25%6.03%
Equity securities(5)
$65
Price-basedPrice$—
$25,450.00
$2,526.62
Marketable equity securities(5)
$108
Price-basedPrice$—
$20,255.00
$1,247.85
55
Model-basedWAL2.50 years
2.50 years
2.50 years
45
Model-basedWAL1.47years
1.47years
1.47years
Asset-backed securities$2,287
Price-basedPrice$4.25
$100.60
$74.57
$1,608
Price-basedPrice$2.75
$101.03
$66.18
Non-marketable equity$293
Comparables analysisDiscount to price— %100.00%0.66 %
255
Price-basedEBITDA multiples5.00x34.00x9.73x


 Net operating income multiple24.70x24.70x24.70x
  Price$2.38
$1,073.80
$420.24
  Revenue multiple2.25x16.50x7.06x
Derivatives—gross(6)

 


Interest rate contracts (gross)$3,467
Model-basedMean reversion1.00 %20.00%10.50 %
  Inflation volatility0.22 %2.65%0.77 %
  IR Normal volaitility0.16 %86.31%56.24 %
Foreign exchange contracts (gross)$626
Model-basedForeign exchange (FX) volatility3.15 %17.35%11.37 %
73
Cash flowIR-IR correlation(51.00)%40.00%32.69 %
  IR-FX correlation40.00 %60.00%50.00 %


 Credit spread39 bps
676 bps
423 bps



As of December 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)

High(2)(3)
Weighted
average(4)
Non-marketable equity$423
Comparables analysisEBITDA multiples6.90x12.80x8.66x
As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)

High(2)(3)
Weighted
average(4)
223
Price-basedDiscount to price— %100.00%11.83%  IR basis(0.65)%0.11%(0.17)%


 Price-to-book ratio0.05x1.00x0.32x  Yield6.98 %7.48%7.23 %
Derivatives—gross(6)

 


Interest rate contracts (gross)$3,818
Model-basedIR normal volatility9.40 %77.40%58.86%
  Mean reversion1.00 %20.00%10.50%
Foreign exchange contracts (gross)$940
Model-basedForeign exchange (FX) volatility4.58 %15.02%8.16%
Equity contracts (gross)(7)
$1,467
Model-basedEquity volatility3.00 %78.39%37.53 %


 Interest rate(0.55)%0.28%0.04%  Forward price64.66 %144.45%98.55 %
  IR-IR correlation(51.00)%40.00%36.56%  Equity-Equity correlation(81.39)%100.00%35.49 %


 IR-FX correlation(7.34)%60.00%49.04%  Equity-FX correlation(86.27)%70.00%(1.20)%
  Credit spread11 bps
717 bps
173 bps
Equity contracts (gross)(7)
$2,897
Model-basedEquity volatility3.00 %68.93%24.66%


 Forward price69.74 %154.19%92.80%

 WAL1.47 years
1.47 years
1.47 years
Commodity contracts (gross)$2,937
Model-basedForward price3.66 %290.59%114.16%$1,552
Model-basedForward price15.30 %585.07%145.08 %
  Commodity volatility8.60 %66.73%25.04%  Commodity volatility8.92 %59.86%20.34 %


 Commodity correlation(37.64)%91.71%15.21%

 Commodity correlation(51.90)%92.11%40.71 %
Credit derivatives (gross)$1,797
Model-basedCredit correlation25.00 %90.00%44.64%$1,089
Model-basedCredit correlation5.00 %85.00%41.06 %
823
Price-basedUpfront points6.03 %97.26%62.88%701
Price-basedUpfront points7.41 %99.04%58.95 %
  Credit spread3 bps
1,636 bps
173 bps
  Price$1.00
$100.24
$57.63
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$24
Model-basedRecovery rate25.00 %40.00%31.56%

 Redemption rate10.72 %99.50%74.24%  Credit spread2 bps
1127 bps
87 bps

 Credit spread38 bps
275 bps
127 bps
  Recovery rate5.00 %65.00%46.40 %

 Upfront points61.00 %61.00%61.00%  Price$16.59
$98.00
$81.19
Loans and leases$391
Model-basedEquity volatility3.00 %68.93%22.52%$248
Model-basedCredit spread138 bps
255 bps
147 bps
148
Price-basedCredit spread134 bps
500 bps
173 bps
29
Price-basedYield0.30 %0.47%0.32 %

 Yield3.09 %4.40%3.13%  Price$55.83
$110.00
$92.40
Mortgage servicing rights$471
Cash flowYield8.00 %16.38%11.47%$500
Cash flowYield4.60 %12.00%7.79 %
87
Model-basedWAL3.83 years
6.89 years
5.93 years
84
Model-basedWAL3.55 years
7.45 years
6.39 years
Liabilities      
Interest-bearing deposits$286
Model-basedMean reversion1.00 %20.00%10.50%$495
Model-basedMean reversion1.00 %20.00%10.50 %


 Forward price99.56 %99.95%99.72%  Forward price64.66 %144.45%98.55 %
Federal funds purchased and securities loaned or sold under agreements to repurchase$726
Model-basedInterest rate1.43 %2.16%2.09%


 Equity volatility3.00 %78.39%43.49 %
Federal funds purchased and securities loaned and sold under agreements to repurchase$983
Model-basedInterest rate2.52 %3.21%2.87 %
Trading account liabilities      
Securities sold, not yet purchased$21
Price-basedPrice$1.00
$287.64
$88.19
$509
Model-basedForward price15.30 %585.07%105.69 %
77
Price-basedEquity volatility3.00 %78.39%43.49 %
  Equity-Equity correlation(81.39)%100.00%34.04 %
  Equity-FX correlation(86.27)%70.00%(1.20)%
  Commodity volatility8.92 %59.86%20.34 %
  Commodity correlation(51.90)%92.11%40.71 %
  Equity-IR correlation(40.00)%70.37%30.80 %
Short-term borrowings and long-term debt$13,100
Model-basedForward price69.74 %161.11%100.70%$12,289
Model-basedMean reversion1.00 %20.00%10.50 %
  IR normal volatility0.16 %86.31%56.61 %
  Forward price64.66 %144.45%98.58 %
  Equity volatility3.00 %78.39%43.24 %
(1)The fair value amounts presented in these tables represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)Some inputs are shown as zero due to rounding.
(3)When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.
(4)Weighted averages are calculated based on the fair values of the instruments.


(5)For equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount.


(6)Both trading and nontrading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
(7)Includes hybrid products.




Items Measured at Fair Value on a Nonrecurring Basis
Certain assets and liabilities are measured at fair value on a nonrecurring basis and, therefore, are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. These also include non-marketable equity investmentssecurities that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for the identical or similar investment of the same issuer. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market 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 dollarsFair valueLevel 2Level 3
March 31, 2019   
Loans HFS(1)
$3,304
$1,869
$1,435
Other real estate owned67
55
12
Loans(2)
361
128
233
Non-marketable equity securities measured using the measurement alternative268
144
124
Total assets at fair value on a nonrecurring basis$4,000
$2,196
$1,804
In millions of dollarsFair valueLevel 2Level 3
June 30, 2018   
Loans HFS(1)
$4,285
$1,703
$2,582
Other real estate owned77
53
24
Loans(2)
400
184
216
Non-marketable equity investments measured using the measurement alternative112
107
5
Total assets at fair value on a nonrecurring basis$4,874
$2,047
$2,827

In millions of dollarsFair valueLevel 2Level 3
December 31, 2018   
Loans HFS(1)
$5,055
$3,261
$1,794
Other real estate owned78
62
16
Loans(2)
390
139
251
Non-marketable equity securities measured using the measurement alternative261
192
69
Total assets at fair value on a nonrecurring basis$5,784
$3,654
$2,130
In millions of dollarsFair valueLevel 2Level 3
December 31, 2017   
Loans HFS(1)
$5,675
$2,066
$3,609
Other real estate owned54
10
44
Loans(2)
630
216
414
Total assets at fair value on a nonrecurring basis$6,359
$2,292
$4,067

(1)
Net of fair value amounts on the unfunded portion of loans HFS recognized as Other liabilities on the Consolidated Balance Sheet.
(2)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.







Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements
The following table presentstables 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 March 31, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$1,334
Price-basedPrice$0.77
$100.00
$89.97
Other real estate owned$9
Price-based
Appraised value(4)
$2,993,681
$8,394,102
$6,974,411
 $3
Cashflow
Discount to price(5)
13.00%13.00%13.00%
Loans(6)
$184
Recovery analysisRecovery rate39.27%99.26%78.25%
 $27
Price-basedPrice$2.60
$54.00
$3.40
Non-marketable equity securities measured using the measurement alternative$78
Price-basedPrice$33.65
$2,018.12
$725.12
 40
Price-basedPrice$2.84
$2.84
$2.84

As of June 30, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$2,240
Price-basedPrice$75.00
$100.00
$98.63
$1,729
Price-basedPrice$0.79
$100.00
$69.52
Other real estate owned$20
Price-basedAppraised value$470,964
$8,394,102
$6,714,334
$15
Price-based
Appraised value(4)
$8,394,102
$8,394,102
$8,394,102
3
Recovery analysisDiscount to price13.00%13.00%13.00%2
Recovery analysis
Discount to price(5)
13.00%13.00%13.00%
  Price$54.93
$54.93
$54.93


 Price$56.30
$83.08
$58.27
Loans(5)(6)
$98
Recovery analysisPrice$91.50
$100.00
$99.17
$251
Recovery analysisRecovery rate30.60%100.00%50.51%
75
Price-basedAppraised value$30,653,667
$465,594,643
$126,532,515


 Price$2.60
$85.04
$28.21
22
Cash flowRecovery rate9.00%9.00%9.00%
Non-marketable equity securities measured using the measurement alternative66
Price-basedPrice$45.80
$1,514.00
$570.26
As of December 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$3,186
Price-basedPrice$77.93
$100.00
$99.26
Other real estate owned$42
Price-based
Appraised value(4)
$20,278
$8,091,760
$4,016,665
   
Discount to price(6)
34.00%34.00%34.00%
 

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


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




Nonrecurring Fair Value Changes
The following table presentstables present total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:
 Three Months Ended June 30,
In millions of dollars20182017
Loans HFS$(7)$(5)
Other real estate owned(1)(3)
Loans(1)
(33)(30)
Non-marketable equity investments measured using the measurement alternative

(1)—
Total nonrecurring fair value gains (losses)$(42)$(38)
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.



Six Months Ended June 30,Three Months Ended March 31,
In millions of dollars201820172019
Loans HFS$(8)$(5)$(2)
Other real estate owned(1)(3)1
Loans(1)
(33)(48)(27)
Non-marketable equity investments measured using the measurement alternative104
—
Non-marketable equity securities measured using the measurement alternative

61
Total nonrecurring fair value gains (losses)$62
$(56)$33
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.



 Three Months Ended March 31,
In millions of dollars2018
Loans HFS$(35)
Other real estate owned(3)
Loans(1)
(32)
Non-marketable equity securities measured using the measurement alternative120
Total nonrecurring fair value gains
  (losses)
$50
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.




Estimated Fair Value of Financial Instruments Not Carried at Fair Value
The following table presents the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The table below therefore excludes items measured at fair value on a recurring basis presented in the tables above.


June 30, 2018Estimated fair valueMarch 31, 2019Estimated fair value
Carrying
value
Estimated
fair value
 
Carrying
value
Estimated
fair value
 
In billions of dollarsLevel 1Level 2Level 3Level 1Level 2Level 3
Assets  
Investments$58.8
$58.3
$1.1
$55.2
$2.0
$72.5
$72.7
$1.0
$69.6
$2.1
Federal funds sold and securities borrowed or purchased under agreements to resell96.4
96.4
—
91.8
4.6
Federal funds sold and securities borrowed and purchased under agreements to resell102.4
102.4
—
102.2
0.2
Loans(1)(2)
654.4
648.8
—
5.6
643.2
664.6
669.3
—
11.0
658.3
Other financial assets(2)(3)
265.0
265.4
187.3
13.6
64.5
276.5
277.0
189.4
16.5
71.1
Liabilities  
Deposits$995.1
$992.8
$3.0
$844.4
$145.4
$1,028.0
$1,026.2
$—
$824.0
$202.2
Federal funds purchased and securities loaned or sold under agreements to repurchase128.6
128.6
—
128.5
0.1
Federal funds purchased and securities loaned and sold under agreements to repurchase144.1
144.1
—
144.1
—
Long-term debt(4)
201.4
204.6
—
186.3
18.3
199.4
204.0
—
188.0
16.0
Other financial liabilities(5)
111.9
111.9
—
15.7
96.2
111.2
111.2
—
18.9
92.3


December 31, 2017Estimated fair valueDecember 31, 2018Estimated fair value
Carrying
value
Estimated
fair value
 
Carrying
value
Estimated
fair value
 
In billions of dollarsLevel 1Level 2Level 3Level 1Level 2Level 3
Assets  
Investments$60.2
$60.6
$0.5
$57.5
$2.6
$68.9
$68.5
$1.0
$65.4
$2.1
Federal funds sold and securities borrowed or purchased under agreements to resell99.5
99.5
—
94.4
5.1
Federal funds sold and securities borrowed and purchased under agreements to resell123.0
123.0
—
121.6
1.4
Loans(1)(2)
648.6
644.9
—
6.0
638.9
667.1
666.9
—
5.6
661.3
Other financial assets(2)(3)
242.6
243.0
166.4
14.1
62.5
249.7
250.1
172.3
15.8
62.0
Liabilities  
Deposits$958.4
$955.6
$—
$816.1
$139.5
$1,011.7
$1,009.5
$—
$847.1
$162.4
Federal funds purchased and securities loaned or sold under agreements to repurchase115.6
115.6
—
115.6
—
Federal funds purchased and securities loaned and sold under agreements to repurchase133.3
133.3
—
133.3
—
Long-term debt(4)
205.3
214.0
—
187.2
26.8
193.8
193.7
—
178.4
15.3
Other financial liabilities(5)
129.9
129.9
—
15.5
114.4
103.8
103.8
—
17.2
86.6
(1)
The carrying value of loans is net of the Allowance for loan losses of $12.1$12.3 billion for June 30, 2018March 31, 2019 and $12.4$12.3 billion for December 31, 2017.2018. In addition, the carrying values exclude $1.6$1.5 billion and $1.7$1.6 billion of lease finance receivables at June 30, 2018March 31, 2019 and December 31, 2017,2018, 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 June 30, 2018March 31, 2019 and December 31, 20172018 were liabilities of $4.2$7.4 billion and $3.2$7.8 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of
consumer unfunded lending commitments, which are generally cancellable by providing notice to the borrower.






21.   FAIR VALUE ELECTIONS
The Company may elect to report most financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings, other than DVA (see below). The election is made upon the initial recognition of an eligible financial asset, financial liability or firm commitment or when certain specified reconsideration events occur. The fair value election may not be revoked once an election is made. The changes in
 
fair value are recorded in current earnings, other than DVA, which from January 1, 2016 are reported in AOCI. Additional discussion regarding the applicable areas in which fair value elections were made is presented in Note 20 to the Consolidated Financial Statements.
The Company has elected fair value accounting for its mortgage servicing rights. See Note 18 to the Consolidated Financial Statements for further discussions regarding the accounting and reporting of MSRs.


The following table presents the changes in fair value of those items for which the fair value option has been elected:
 Changes in fair value—gains (losses)
 Three Months Ended March 31,
In millions of dollars20192018
Assets  
Federal funds sold and securities borrowed and purchased under agreements to resell$29
$(16)
Trading account assets167
(16)
Investments—
—
Loans  
Certain corporate loans(133)(123)
Certain consumer loans—
—
Total loans$(133)$(123)
Other assets  
MSRs$(27)$46
Certain mortgage loans HFS(1)
16
2
Total other assets$(11)$48
Total assets$52
$(107)
Liabilities  
Interest-bearing deposits$(91)$28
Federal funds purchased and securities loaned and sold under agreements to repurchase35
(111)
Trading account liabilities11
(6)
Short-term borrowings(175)177
Long-term debt(2)
(2,681)618
Total liabilities$(2,901)$706
 Changes in fair value—gains (losses)
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2018201720182017
Assets    
Federal funds sold and securities borrowed or purchased under agreements to resell$19
$(58)$3
$(91)
Trading account assets(85)232
(101)662
Investments—
(3)—
(3)
Loans    
Certain corporate loans(3)(5)(126)19
Certain consumer loans—
2
—
2
Total loans$(3)$(3)$(126)$21
Other assets    
MSRs$11
$(11)$57
$56
Certain mortgage loans held-for-sale(1)
10
44
12
81
Total other assets$21
$33
$69
$137
Total assets$(48)$201
$(155)$726
Liabilities    
Interest-bearing deposits$10
$(30)$38
$(44)
Federal funds purchased and securities loaned or sold under agreements to repurchase(15)(527)(126)86
Trading account liabilities(15)18
(21)44
Short-term borrowings(59)(99)118
(80)
Long-term debt921
(132)1,539
(464)
Total liabilities$842
$(770)$1,548
$(458)

(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 a loss of ($0.7) billion and a gain of $0.2 billion of DVA which is included in AOCI for the three months ended March 31, 2019 and 2018, respectively.



Own Debt Valuation Adjustments (DVA)
Own debt valuation adjustments are recognized on Citi’s liabilities for which the fair value option has been elected using Citi’s credit spreads observed in the bond market. Effective January 1, 2016, changes in fair value of fair value option liabilities related to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI; previously these amounts were recognized in Citigroup’s Revenues and Net income along with all other changes in fair value.AOCI. See Note 1 to the Consolidated Financial Statements for additional information.
Among other variables, the fair value of liabilities for which the fair value option has been elected (other than non-recourse and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads.
The estimated changechanges in the fair value of these liabilities due to such changes in the Company’s own credit spread (or instrument-specific credit risk) was a gainloss of $418$725 million and a lossgain of $132$167 million for the three months ended June 30,March 31, 2019 and 2018, and 2017, and a gain of $585 million and a loss of $227 million for the six months ended June 30, 2018 and 2017, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.


The Fair Value Option for Financial Assets and Financial Liabilities


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


Certain Loans and Other Credit Products
Citigroup has also elected the fair value option for certain other originated and purchased loans, including certain unfunded loan products, such as guarantees and letters of credit, executed by Citigroup’s lending and trading businesses. None of these credit products are highly leveraged financing commitments. Significant groups of transactions include loans and unfunded loan products that are expected to be either sold or securitized in the near term, or transactions where the economic risks are hedged with derivative instruments, such as purchased credit default swaps or total return swaps where the Company pays the total return on the underlying loans to a third party. Citigroup has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. Fair value was not elected for most lending transactions across the Company.
The following table provides information about certain credit products carried at fair value:
 March 31, 2019December 31, 2018
In millions of dollarsTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$9,287
$3,874
$10,108
$3,224
Aggregate unpaid principal balance in excess of (less than) fair value870
750
435
741
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—
—
—
—
 June 30, 2018December 31, 2017
In millions of dollarsTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$9,653
$3,000
$8,851
$4,374
Aggregate unpaid principal balance in excess of (less than) fair value573
838
623
682
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, $529$1,142 million and $508$1,137 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of June 30, 2018March 31, 2019 and December 31, 2017,2018, respectively.
Changes in the fair value of funded and unfunded credit products are classified in Principal transactions in Citi’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 sixthree months ended June 30,March 31, 2019 and 2018 and 2017 due to instrument-specific credit risk totaled to gains of $18 million and a loss of $20$19 million, and a gain of $25 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 $0.5 billion and $0.4 billion and $0.9 billion at June 30, 2018March 31, 2019 and December 31, 2017,2018, respectively. The amounts are expected to fluctuate based on trading activity in future periods.
As part of its commodity and foreign currency trading activities, Citi trades unallocated precious metals investments and executes forward purchase and forward sale derivative contracts with trading counterparties. When Citi sells an unallocated precious metals investment, Citi’s receivable from its depository bank is repaid and Citi derecognizes its investment in the unallocated precious metal. The forward purchase or sale contract with the trading counterparty indexed to unallocated precious metals is accounted for as a derivative, at fair value through earnings. As of June 30, 2018,March 31, 2019, there were approximately $10.8$9.6 billion and $10.0$6.9 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 elected the fair value option for certain non-marketable equity securities, whose risk is managed with derivative instruments that are accounted for at fair value through earnings. These securities are classified as Trading account assets on Citigroup’s Consolidated Balance Sheet. Changes in the fair value of these securities and the related derivative instruments are recorded in Principal transactions. Effective January 1, 2018, under ASU 2016-01 and ASU 2018-03, a fair value option election is no longer required to measure these non-marketable equity securities at fair value through earnings. See Note 1 to the Consolidated Financial Statements for additional details.


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


The following table provides information about certain mortgage loans HFS carried at fair value:
In millions of dollarsMarch 31,
2019		December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet$459
$556
Aggregate fair value in excess of (less than) unpaid principal balance18
21
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—
—
In millions of dollarsJune 30,
2018		December 31, 2017
Carrying amount reported on the Consolidated Balance Sheet$386
$426
Aggregate fair value in excess of (less than) unpaid principal balance11
14
Balance of non-accrual loans or loans more than 90 days past due—
—
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
—




The changes in the fair values of these mortgage loans are reported in Other revenue in the Company’s Consolidated Statement of Income. There was no net change in fair value during the sixthree months ended June 30,March 31, 2019 and 2018 and 2017 due to instrument-specific credit risk. Related interest income continues to be measured based on the contractual interest rates and reported as Interest revenue in the Consolidated Statement of Income.
 
Certain Structured Liabilities
The Company has elected the fair value option for certain structured liabilities whose performance is linked to structured interest rates, inflation, currency, equity, referenced credit or commodity risks. The Company elected the fair value option because these exposures are considered to be trading-related positions and, therefore, are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives (Trading account liabilities) on the Company’s Consolidated Balance Sheet according to their legal form.
The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument:
In billions of dollarsMarch 31, 2019December 31, 2018
Interest rate linked$18.7
$17.3
Foreign exchange linked1.0
0.5
Equity linked17.9
14.8
Commodity linked1.2
1.2
Credit linked2.0
1.9
Total$40.8
$35.7
In billions of dollarsJune 30, 2018December 31, 2017
Interest rate linked$16.3
$13.9
Foreign exchange linked0.3
0.3
Equity linked14.6
13.0
Commodity linked0.2
0.2
Credit linked1.6
1.9
Total$33.0
$29.3

Prior to 2016, the total change in the fair value of these structured liabilities was reported in Principal transactions in the Company’s Consolidated Statement of Income. Beginning in the first quarter of 2016, the portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value will continue to be reported in Principal transactions. Changes in the fair value of these structured liabilities include 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, theThe 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.transactions.
Interest expense on non-structured liabilities is measured based on the contractual interest rates and reported as Interest expense in the Consolidated Statement of Income.


The following table provides information about long-term debt carried at fair value:
In millions of dollarsMarch 31, 2019December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet$44,088
$38,229
Aggregate unpaid principal balance in excess of (less than) fair value2,610
3,814
In millions of dollarsJune 30, 2018December 31, 2017
Carrying amount reported on the Consolidated Balance Sheet$35,462
$31,392
Aggregate unpaid principal balance in excess of (less than) fair value1,548
(579)

The following table provides information about short-term borrowings carried at fair value:
In millions of dollarsMarch 31, 2019December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet$5,172
$4,483
Aggregate unpaid principal balance in excess of fair value631
861


In millions of dollarsJune 30, 2018December 31, 2017
Carrying amount reported on the Consolidated Balance Sheet$4,093
$4,627
Aggregate unpaid principal balance in excess of fair value586
74



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 the tables below, see Note 26 to the Consolidated Financial Statements in Citi’s 20172018 Annual Report on Form 10-K.
The following tables present information about Citi’s guarantees at June 30, 2018March 31, 2019 and December 31, 2017:2018:


Maximum potential amount of future payments Maximum potential amount of future payments 
In billions of dollars at June 30, 2018 except carrying value in millions
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
In billions of dollars at March 31, 2019
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$30.1
$64.2
$94.3
$149
$33.5
$63.6
$97.1
$163
Performance guarantees7.7
4.2
11.9
29
8.2
3.9
12.1
28
Derivative instruments considered to be guarantees15.5
84.1
99.6
396
46.4
73.4
119.8
326
Loans sold with recourse—
0.3
0.3
9
—
1.3
1.3
8
Securities lending indemnifications(1)
121.5
—
121.5
—
105.1
—
105.1
—
Credit card merchant processing(1)(2)
94.2
—
94.2
—
85.6
—
85.6
—
Credit card arrangements with partners0.1
1.1
1.2
162
0.2
0.8
1.0
136
Custody indemnifications and other—
37.1
37.1
128
—
32.9
32.9
41
Total$269.1
$191.0
$460.1
$873
$279.0
$175.9
$454.9
$702
Maximum potential amount of future payments Maximum potential amount of future payments 
In billions of dollars at December 31, 2017 except carrying value in millions
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
In billions of dollars at December 31, 2018
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$27.9
$65.9
$93.8
$93
$31.8
$65.3
$97.1
$131
Performance guarantees7.2
4.1
11.3
20
7.7
4.2
11.9
29
Derivative instruments considered to be guarantees11.0
84.9
95.9
423
23.5
87.4
110.9
567
Loans sold with recourse—
0.2
0.2
9
—
1.2
1.2
9
Securities lending indemnifications(1)
103.7
—
103.7
—
98.3
—
98.3
—
Credit card merchant processing(1)(2)
85.5
—
85.5
—
95.0
—
95.0
—
Credit card arrangements with partners0.3
1.1
1.4
205
0.3
0.8
1.1
162
Custody indemnifications and other—
36.0
36.0
59
—
35.4
35.4
41
Total$235.6
$192.2
$427.8
$809
$256.6
$194.3
$450.9
$939
(1)The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)At June 30, 2018March 31, 2019 and December 31, 2017,2018, this maximum potential exposure was estimated to be $94$86 billion and $86$95 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
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 U.S. government-sponsored
enterprises (GSEs) and, to a lesser extent, private investors.
The repurchase reserve was approximately $56$47 million and $66$49 million at June 30, 2018March 31, 2019 and December 31, 2017,2018, respectively, and these amounts are included in Other liabilities on the Consolidated Balance Sheet.


Credit card arrangementsCard Arrangements with partnersPartners
Citi, in certain of its credit card partner arrangements,
provides guarantees to the partner regarding the volume of
certain customer originations during the term of the
agreement. To the extent that such origination targets are not met,
the guarantees serve to compensate the partner for certain
payments that otherwise would have been generated in
connection with such originations.


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 June 30, 2018March 31, 2019 and December 31, 2017,2018, the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were
immaterial.


Value-Transfer Networks
Citi is a member of, or shareholder in, hundreds of value-transfer networks (VTNs) (payment, clearing and settlement
systems as well as exchanges) around the world. As a
condition of membership, many of these VTNs require that
members stand ready to pay a pro rata share of the losses
incurred by the organization due to another member’s default
on its obligations. Citi’s potential obligations may be limited
to its membership interests in the VTNs, contributions to the
 
VTN’s funds, or, in limited cases, the obligation may be unlimited. The maximum exposure cannot be estimated as
this would require an assessment of claims that have
not yet occurred. Citi believes the risk of loss is remote
given historical experience with the VTNs. Accordingly,
Citi’s participation in VTNs is not reported in the guarantees
tables above, and there are no amounts reflected on the
Consolidated Balance Sheet as of June 30, 2018March 31, 2019 or
December 31, 20172018 for potential obligations that could arise
from Citi’s involvement with VTN associations.


Long-Term Care Insurance Indemnification
In 2000, Travelers Life & Annuity (Travelers), then a subsidiary of Citi, entered into a reinsurance agreement to transfer the risks and rewards of its long-term care (LTC) business to GE Life (now Genworth Financial Inc., or Genworth), then a subsidiary of the General Electric Company (GE). As part of this transaction, the reinsurance obligations were provided by two regulated insurance subsidiaries of GE Life, which funded two collateral trusts with securities. Presently, as discussed below, the trusts are referred to as the Genworth Trusts.
As part of GE’s spin-off of Genworth in 2004, GE retained the risks and rewards associated with the 2000 Travelers reinsurance agreement by providing a reinsurance contract to Genworth through its Union Fidelity Life Insurance Company (UFLIC) subsidiary that covers the Travelers LTC policies. In addition, GE provided a capital maintenance agreement in favor of UFLIC that is designed to assure that UFLIC will have the funds to pay its reinsurance obligations. As a result of these reinsurance agreements and the spin-off of Genworth, Genworth has reinsurance protection from UFLIC (supported by GE) and has reinsurance obligations in connection with the Travelers LTC policies. As noted below, the Genworth reinsurance obligations now benefit Brighthouse Financial, Inc. (Brighthouse). While neither Brighthouse nor Citi are direct beneficiaries of the capital maintenance agreement between GE and UFLIC, Brighthouse and Citi benefit indirectly from the existence of the capital maintenance agreement, which helps assure that UFLIC will continue to have funds necessary to pay its reinsurance obligations to Genworth.
In connection with Citi’s 2005 sale of Travelers to MetLife Inc. (MetLife), Citi provided an indemnification to MetLife for losses (including policyholder claims) relating to the LTC business for the entire term of the Travelers 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 Genworth remains in place and Brighthouse is the sole beneficiary of the Genworth Trusts. The fair value of the Genworth Trusts is approximately $7.4$7.9 billion as of June 30, 2018,March 31, 2019, compared to approximately $7.5 billion at December 31, 2017.2018. 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 the Genworth Trusts are evaluated and adjusted



evaluated and adjusted periodically to ensure that the fair value of the assets continues to provide collateral in an amount equal to these estimated statutory liabilities, as the liabilities change over time.
If both (i) Genworth fails to perform under the original
Travelers/GE Life reinsurance agreement for any reason,
including insolvency or the failure of UFLIC to perform in a timely manner, and (ii) the assets of the two Genworth Trusts
are insufficient or unavailable, then Citi, through its LTC
reinsurance indemnification, must reimburse Brighthouse for
any losses incurred in connection with the LTC policies. Since both events would have to occur before Citi would become responsible for any payment to Brighthouse pursuant to its indemnification obligation, and the likelihood of such events occurring is currently not probable, there is no liability reflected on the Consolidated Balance Sheet as of June 30, 2018March 31, 2019 and December 31, 20172018 related to this indemnification. Citi continues to closely monitor its potential exposure under this indemnification obligation.
Separately, Genworth announced that it had agreed to
be purchased by China Oceanwide Holdings Co., Ltd, subject to a series of conditions and regulatory approvals. Citi is monitoring these developments.


Futures and over-the-counter derivatives 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) derivative 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 and 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 derivative 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, (ii) Citi
 
will not utilize its right as a clearing member to transform cash margin into other assets, (iii) Citi does not guarantee and is not liable to the client for the performance of the CCP or the depository institution and (iv) the client cash balances are legally isolated from Citi’s bankruptcy estate. The total amount of cash initial margin collected and remitted in this manner was approximately $12.5$13.1 billion and $10.7$13.8 billion as of June 30, 2018March 31, 2019 and December 31, 2017,2018, respectively.
Variation margin due from clients to the respective CCP, or from the CCP to clients, reflects changes in the value of the client’s derivative contracts for each trading day. As a clearing member, Citi is exposed to the risk of non-performance by clients (e.g., failure of a client to post
variation margin to the CCP for negative changes in the
value of the client’s derivative contracts). In the event of
non-performance by a client, Citi would move to close out
the client’s positions. The CCP would typically utilize initial
margin posted by the client and held by the CCP, with any
remaining shortfalls required to be paid by Citi as clearing
member. Citi generally holds incremental cash or securities
margin posted by the client, which would typically be
expected to be sufficient to mitigate Citi’s credit risk in the
event the client fails to perform.
As required by ASC 860-30-25-5, securities collateral posted by clients is not recognized on Citi’s Consolidated Balance Sheet.


Carrying Value—Guarantees and Indemnifications
At June 30, 2018March 31, 2019 and December 31, 2017,2018, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted
to approximately $0.7 billion and $0.9 billion, and $0.8 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 $51$67 billion and $46$55 billion at June 30, 2018March 31, 2019 and December 31, 2017,2018, respectively. Securities and other marketable assets held as collateral amounted to $85approximately $57 billion and $70$55 billion at June 30, 2018March 31, 2019 and December 31, 2017,2018, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. Additionally, letters of credit in favor of Citi held as collateral amounted to $3.8 billion and $3.7$4.1 billion at June 30, 2018March 31, 2019 and December 31, 2017, respectively.2018. 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 upon internal and external credit ratings. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.
 






Maximum potential amount of future paymentsMaximum potential amount of future payments
In billions of dollars at June 30, 2018
Investment
grade
Non-investment
grade
Not
rated
Total
In billions of dollars at March 31, 2019
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$64.9
$12.3
$17.1
$94.3
$69.4
$11.5
$16.2
$97.1
Performance guarantees8.7
2.1
1.1
11.9
9.8
1.9
0.4
12.1
Derivative instruments deemed to be guarantees—
—
99.6
99.6
—
—
119.8
119.8
Loans sold with recourse—
—
0.3
0.3
—
—
1.3
1.3
Securities lending indemnifications—
—
121.5
121.5
—
—
105.1
105.1
Credit card merchant processing—
—
94.2
94.2
—
—
85.6
85.6
Credit card arrangements with partners—
—
1.2
1.2
—
—
1.0
1.0
Custody indemnifications and other24.3
12.8
—
37.1
19.8
13.1
—
32.9
Total$97.9
$27.2
$335.0
$460.1
$99.0
$26.5
$329.4
$454.9

 Maximum potential amount of future payments
In billions of dollars at December 31, 2018
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$68.3
$11.8
$17.0
$97.1
Performance guarantees9.2
2.1
0.6
11.9
Derivative instruments deemed to be guarantees—
—
110.9
110.9
Loans sold with recourse—
—
1.2
1.2
Securities lending indemnifications—
—
98.3
98.3
Credit card merchant processing—
—
95.0
95.0
Credit card arrangements with partners—
—
1.1
1.1
Custody indemnifications and other22.2
13.2
—
35.4
Total$99.7
$27.1
$324.1
$450.9





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 lease term of approximately nine years as of March 31, 2019. The operating lease ROU asset and lease liability were both approximately $4.1 billion as of March 31, 2019. The Company recognizes fixed lease costs on a straight-line basis throughout the lease term in the Consolidated Statement of Income. Additionally, variable lease costs are recognized in the period in which the obligation for those payments is incurred. The total operating lease expense (principally for offices, branches and equipment), net of approximately $19 million sublease income, was approximately $270 million for the three months ended March 31, 2019.
While Citi has, as a lessee, certain equipment finance leases, such leases are not material to the Company's Consolidated Financial Statements.
Citi’s lease arrangements that have not yet commenced as of March 31, 2019 and the Company’s short-term lease costs, variable lease costs and finance lease costs, for the three months ended March 31, 2019 are not material to the Consolidated Financial Statements. Citi’s operating cash outflows related to operating leases were approximately $234 million for the three months ended March 31, 2019, while the future lease payments are as follows:
 In millions of dollarsOperating leases
As of March 31, 2019 
2019 (excluding the three months ended
  March 31, 2019)
$704
2020755
2021638
2022514
2023405
Thereafter1,794
Total future lease payments$4,810
Less imputed interest (based on weighted-average discount rate of 3.5%)(698)
Lease liability$4,112











 Maximum potential amount of future payments
In billions of dollars at December 31, 2017
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$68.1
$10.9
$14.8
$93.8
Performance guarantees7.9
2.4
1.0
11.3
Derivative instruments deemed to be guarantees—
—
95.9
95.9
Loans sold with recourse—
—
0.2
0.2
Securities lending indemnifications—
—
103.7
103.7
Credit card merchant processing—
—
85.5
85.5
Credit card arrangements with partners—
—
1.4
1.4
Custody indemnifications and other23.7
12.3
—
36.0
Total$99.7
$25.6
$302.5
$427.8










Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments:
In millions of dollarsU.S.
Outside of 
U.S.
March 31,
2019
December 31,
2018
Commercial and similar letters of credit$834
$5,061
$5,895
$5,461
One- to four-family residential mortgages1,750
1,669
3,419
2,671
Revolving open-end loans secured by one- to four-family residential properties9,977
1,335
11,312
11,374
Commercial real estate, construction and land development9,798
1,638
11,436
11,293
Credit card lines615,230
92,865
708,095
696,007
Commercial and other consumer loan commitments194,289
112,053
306,342
300,115
Other commitments and contingencies2,384
563
2,947
3,321
Total$834,262
$215,184
$1,049,446
$1,030,242
In millions of dollarsU.S.
Outside of 
U.S.
June 30,
2018
December 31,
2017
Commercial and similar letters of credit$865
$4,691
$5,556
$5,000
One- to four-family residential mortgages1,561
1,799
3,360
2,674
Revolving open-end loans secured by one- to four-family residential properties10,308
1,417
11,725
12,323
Commercial real estate, construction and land development10,927
2,388
13,315
11,151
Credit card lines600,259
93,036
693,295
678,300
Commercial and other consumer loan commitments198,912
102,096
301,008
272,655
Other commitments and contingencies2,211
810
3,021
3,071
Total$825,043
$206,237
$1,031,280
$985,174



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


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


Unsettled reverse repurchase and securities lendingborrowing agreements and unsettled repurchase and securities borrowinglending 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 June 30, 2018,March 31, 2019 and December 31, 2017,2018, Citigroup had $54.3approximately $64.9 billion and $35.0$36.1 billion of unsettled reverse repurchase and securities borrowing agreements, respectively, and $42.4approximately $55.3 billion and $19.1$30.7 billion of unsettled repurchase and securities lending agreements, respectively. For a further discussion of securities purchased under agreements to resell and securities borrowed, and securities sold under agreements to repurchase and securities loaned, including the Company’s policy for offsetting repurchase and reverse repurchase agreements, see Note 10 to the Consolidated Financial Statements.


 


Restricted Cash
Citigroup defines restricted cash (as cash subject to withdrawal restrictions) to include cash deposited with central banks that must be maintained to meet minimum regulatory requirements, and cash set aside for the benefit of customers or for other purposes such as compensating balance arrangements or debt retirement. Restricted cash includes minimum reserve requirements with the Federal

Reserve Bank and certain other central banks and cash segregated to satisfy rules regarding the protection of customer assets as required by Citigroup broker-dealers’ primary regulators, including the United States Securities and Exchange Commission (SEC), the Commodities Futures Trading Commission and the United Kingdom’s Prudential Regulation Authority.
Restricted cash is included on the consolidated balance sheetConsolidated Balance Sheet within the following balance sheet lines:


In millions of dollarsMarch 31,
2019
December 31,
2018
Cash and due from banks$3,601
$4,000
Deposits with banks23,832
27,208
Total$27,433
$31,208







In millions of dollarsJune 30,
2018
December 31,
2017
Cash and due from banks$2,855
$3,151
Deposits with banks27,624
27,664
Total$30,479
$30,815










23.   CONTINGENCIES


The following information supplements and amends, as applicable, the disclosuresdisclosure in Note 23 to the Consolidated Financial Statements of Citigroup’s First Quarter of 2018 Form 10-Q and Note 27 to the Consolidated Financial Statements of Citigroup’s 20172018 Annual Report on Form 10-K. For purposes of this Note, Citigroup, its affiliates and subsidiaries and current and former officers, directors and employees, are sometimes collectively referred to as Citigroup and Related Parties.
In accordance with ASC 450, Citigroup establishes accruals for contingencies, including the litigation and regulatory matters disclosed herein, when Citigroup believes it is probable that a loss has been incurred and the amount of the loss can be reasonably estimated. Once established, accruals are adjusted from time to time, as appropriate, in light of additional information. The amount of loss ultimately incurred in relation to those matters may be substantially higher or lower than the amounts accrued for those matters.
If Citigroup has not accrued for a matter because the matter does not meet the criteria for accrual (as set forth above), or Citigroup believes an exposure to loss exists in excess of the amount accrued for a particular matter, in each case assuming a material loss is reasonably possible, Citigroup discloses the matter. In addition, for such matters, Citigroup discloses an estimate of the aggregate reasonably possible loss or range of loss in excess of the amounts accrued for those matters as to which an estimate can be made. At June 30, 2018,March 31, 2019, Citigroup’s estimate of the reasonably possible unaccrued loss for these matters was materially unchanged from the estimate of approximately $1.0 billion in the aggregate as of MarchDecember 31, 2018.
As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosures involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation and regulatory proceedings are subject to particular uncertainties. For example, at the time of making an estimate, Citigroup may have only preliminary, incomplete or inaccurate information about the facts underlying the claim; its assumptions about the future rulings of the court or other tribunal on significant issues, or the behavior and incentives of adverse parties or regulators, may prove to be wrong; and the outcomes it is attempting to predict are often not amenable to the use of statistical or other quantitative analytical tools. In addition, from time to time an outcome may occur that Citigroup had not accounted for in its estimates because it had deemed such an outcome to be remote. For all these reasons, the amount of loss in excess of accruals ultimately incurred for the matters as to which an estimate has been made could be substantially higher or lower than the range of loss included in the estimate.
Subject to the foregoing, it is the opinion of Citigroup's management, based on current knowledge and after taking into account its current legal accruals, that the eventual outcome of all matters described in this Note would not be likely to have a
material adverse effect on the consolidated financial condition of Citigroup. Nonetheless, given the substantial or
indeterminate amounts sought in certain of these matters and the inherent unpredictability of such matters, an adverse outcome in certain of these matters could, from time to time, have a material adverse effect on Citigroup’s consolidated results of operations or cash flows in particular quarterly or annual periods.
For further information on ASC 450 and Citigroup's accounting and disclosure framework for contingencies, including for litigation and regulatory matters disclosed herein, see Note 27 to the Consolidated Financial Statements of Citigroup’s 20172018 Annual Report on Form 10-K.

ANZ Underwriting Matter
On June 1, 2018, charges were filed by the Australian Commonwealth Director of Public Prosecutions (CDPP) against Citigroup Global Markets Australia Pty Limited (CGMA) for alleged criminal cartel offenses following a referral by the Australian Competition and Consumer Commission. CDPP alleges that the cartel conduct took place following an institutional share placement by Australia and New Zealand Banking Group Limited (ANZ) in August 2015, where CGMA acted as joint underwriter and lead manager with other banks. CDPP has also charged other banks and individuals, including current and former Citi employees. Charges relating to CGMA are captioned R v. CITIGROUP GLOBAL MARKETS AUSTRALIA PTY LIMITED (2018/00175168). The matter is before the Downing Centre Local Court in Sydney, Australia. Separately, the Australian Securities and Investments Commission is conducting an investigation, and CGMA is cooperating with the investigation.

CARD Act Matter
On June 29, 2018, Citi entered into a consent order with the Bureau of Consumer Financial Protection related to certain self-reported methodological issues in connection with determining annual percentage rates (APRs) for certain cardholders under the rate re-evaluation provisions of the Credit Card Accountability Responsibility and Disclosure Act (CARD Act) and Regulation Z. 


Credit Crisis-Related Litigation and Other Matters

Mortgage-Related Litigation and Other Matters
Mortgage-Backed Securities Trustee Actions: On March 20, 2019, the court granted Citibank’s motion to dismiss the Federal Deposit Insurance Corporation’s amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 15-cv-6574 (S.D.N.Y.) (Carter, J.).

Tribune Company Bankruptcy
On May 15, 2018,April 4, 2019, the litigation trustee in KIRSCHNER v. FITZSIMONS, ET AL. filed a motion for leave to amend the complaint to avoid and recover as constructive fraudulent transfers the transfers of Tribune stock that occurred as a part of the leveraged buyout. The motion was denied on April 23, 2019.
On February 21, 2019, the litigation trustee appealed to the United States Court of Appeals for the Second Circuit withdrew its 2016 transfer of jurisdiction tofrom the district court in IN RE: TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION, in order to reconsider its decision in lightJanuary 23, 2019 dismissal of a recent United States Supreme Court decision.separate action related to Citigroup Global Markets Inc.’s (CGMI) role as advisor to Tribune. Additional information concerning these actions is publicly available in court filings under the docket numbers 08-13141 (Bankr. D. Del.) (Carey, J.), 11 MD 02296 (S.D.N.Y.) (Sullivan,(Cote, J.), 12 MC 2296 (S.D.N.Y.) (Sullivan,(Cote, J.), 13-3992, 13-3875, 13-4178, 13-4196, 19-449 (2d Cir.) and 16-317 (U.S.).


Foreign Exchange Matters

Depositary Receipts ConversionAntitrust and Other Litigation
: On June 6, 2018, the parties informed the court that they had reached a settlementMarch 1, 2019, in principleALLIANZ GLOBAL INVESTORS, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., plaintiffs filed an amended complaint. On April 1, 2019, Citigroup, Citibank, CGMI, and requested a 45-day stay to prepare final settlement documentation and submitother defendants filed a motion for preliminary approval ofto dismiss the settlement. On June 11, 2018, the court granted the request for a stay.amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 1518 Civ. 918510364 (S.D.N.Y.) (McMahon, C.(Schofield, J.).

Foreign Exchange Matters
AntitrustOn April 25, 2019, the plaintiffs in ALLIANZ GLOBAL INVESTORS GMBH AND OTHERS v. BARCLAYS BANK PLC AND OTHERS served their claim on Citigroup and Other Litigation: On May 23, 2018, in IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION, the court held a fairness hearing to consider plaintiffs’ motion for final approval of the proposed class settlements with Citi and certain other banks and plaintiffs’ motion for attorneys’ fees.Citibank. Additional information concerning this action is publicly available in court filings under the docket number 13 Civ. 7789 (S.D.N.Y.) (Schofield, J.).CL-2018-000840.
On June 20, 2018,In January 2019, in NYPL v. JPMORGAN CHASE & CO., the court denied plaintiffs’ requestET AL., plaintiffs renewed their previous motion for leave to expandamend their class to include credit card, wire and ATM transactions with a foreign currency exchange component. On July 20, 2018, plaintiffs moved for reconsideration of this decision.complaint, which defendants have opposed. Additional information concerning this action is


publicly available in court filings under the docket numbers 15 Civ. 2290 (N.D. Cal.) (Chhabria, J.) andnumber 15 Civ. 9300 (S.D.N.Y.) (Schofield, J.).
On July 10, 2018, the United States Court of Appeals for the Second Circuit affirmed the dismissal of ALLEN v. BANK OF AMERICA CORPORATION, ET AL., in which plaintiffs had alleged violations of the Employee Retirement Income Security Act. Additional information concerning this action is publicly available in court filings under the docket numbers 15 Civ. 4285 (S.D.N.Y.) (Schofield, J.) and 16-3327 (lead case) and 16-3571 (consolidated case) (2d Cir.).

Interbank Offered Rates-Related Litigation and Other
Matters
Regulatory Actions: On June 15, 2018, Citibank entered into a $100 million civil settlement regarding its USD LIBOR submissions with a consortium of 42 state attorneys general.

Interest Rate Swaps Matters
Antitrust and Other Litigation: Numerous defendants, including Citigroup, Citibank, Citigroup Global Markets Inc. (CGMI)On March 25, 2019, in IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION, the court issued an opinion granting in part motions for leave to further amend complaints filed by certain plaintiffs asserting individual claims. Additional information concerning these actions is publicly available in court filings under the docket numbers 11 MD 2262 (S.D.N.Y.) (Buchwald, J.) and Citigroup Global Markets Limited,17-1569 (2d Cir.).
On March 28, 2019, in SCS BANQUE DELUBAC & CIE v. CITIGROUP INC. ET AL., the Court of Appeal of Nîmes held that neither the Commercial Court of Aubenas nor the Commercial Court of Marseille has territorial jurisdiction over Banque Delubac’s claims. This case is in the Commercial Court of Marseille, RG no. 2018F02750, and was in the Court of Appeal of Nîmes, no. 18/04390.
On January 31 and on March 4, 2019, two additional putative class actions, which have been consolidated with PUTNAM BANK v. INTERCONTINENTAL EXCHANGE, INC., ET AL., were named as defendants in a complaint filed in the United States District Court for the Southern District of New York against ICE, Citigroup, Citibank, CGMI, and various other banks. Each of these complaints asserts claims under the caption TRUEEX LLC v. BANK OF AMERICA CORPORATION, ET AL. Plaintiff asserts federalSherman Act and state antitrust claims, as well as state claims for unjust enrichment and tortious interference,based on alleged suppression of the ICE LIBOR and seeks disgorgement and treble damages fees, costs and injunctive relief. On June 21, 2018, this action was consolidated with the multidistrict litigation captioned IN RE: INTEREST RATE SWAPS ANTITRUST LITIGATION.where authorized by statute. Additional information concerningrelating to this action is publicly
available in court filings under the docket numbers 18-CV-5361number 19 Civ. 00439 (S.D.N.Y.) (Engelmayer, J.) and 16-MDL-2704 (S.D.N.Y.) (Engelmayer,(Daniels, J.).


Oceanografía Fraud and RelatedInterest Rate Swaps Matters
Antitrust and Other Litigation: On June 22, 2018,February 20, 2019, the putative class plaintiffs in the action filedcaptioned IN RE: INTEREST RATE SWAPS ANTITRUST LITIGATION moved for class certification and appointment of class counsel. On March 13, 2019, the district court granted in part and denied in part the United States District Courtputative class plaintiffs’ motion for the Southern District of Florida, plaintiffs filedleave to file a notice of appeal of the decision dismissing thefourth consolidated class action complaint. Additional information concerning this action is publicly available in court filings under the docket number 16-20725 (S.D. Fla.16-MD-2704 (S.D.N.Y.) (Gayles,(Engelmayer, J.).
 
Shareholder DerivativeParmalat Litigation
On May 8, 2018, plaintiffs filed a noticeApril 15, 2019, the Italian Supreme Court upheld the 2014 decision of voluntary dismissalan Italian court of their appeal from the order dismissing the complaint in OKLAHOMA FIREFIGHTERS PENSION & RETIREMENT SYSTEM, ET AL. v. CORBAT, ET AL.Citigroup’s favor. Additional information concerning this action is publicly available in court filings under the docket numbers C.A. No. 12151-VCG (Del. Ch.) (Glasscock, Ch.) and No. 32, 2018 (Del.).number 27618/2014 or decision number 10540/2019.


Sovereign Securities Matters
Regulatory Actions: Government and regulatory agencies in the United States and in other jurisdictions are conducting investigations or making inquiries regarding Citigroup’s sales and trading activities in connection with sovereign and other government-related securities. Citigroup is fully cooperating with these investigations and inquiries.
Antitrust and Other Litigation:Five additional complaints have been On February 7, 2019, a putative class action captioned STACHON v. BANK OF AMERICA, N.A., ET AL., was filed in the United States District Court for the Southern District of New York against numerous defendants, including Citigroup, Citibank, CGMI, Citigroup Financial Products Inc.,and Citigroup Global Markets Holdings Inc.Limited (CGML) and Citibanamex, whichother defendants, on behalf of indirect
purchasers of supranational, sub-sovereign and agency (SSA) bonds. Plaintiffs assert claims under New York antitrust and unjust enrichment claimslaws based on the same conduct alleged in the previously filed SSA bond lawsuits and seek treble damages restitution and injunctive relief. The additional complaints are basedaction is currently stayed pending a decision on allegations similarthe motion to thosedismiss in the March 30, 2018 putative class action. All six actions were consolidated on June 18, 2018, and additionaldirect purchaser action captioned IN RE SSA BONDS ANTITRUST LITIGATION. Additional information relating to these actions is publicly available in court filings under the docket numbers 19 Civ. 01205 (S.D.N.Y.) (Swain, J.), and 16-cv-03711 (S.D.N.Y.) (Ramos, J.).
On January 24, 2019, in an action filed in the Canadian Federal Court related to the SSA bond market, plaintiffs delivered an amended statement of claim, in which they continue to assert claims for breach of the competition law and breach of foreign law, while also asserting additional claims of civil conspiracy, unjust enrichment, waiver of tort and breach of contract. Additional information relating to this consolidated action is publicly available in court filings under the docket number 18T-1871-17 (Fed. Ct.).
Between February 22 and April 11, 2019, 12 putative class actions, which have been consolidated under the caption IN RE GSE BONDS ANTITRUST LITIGATION, were filed in the United States District Court for the Southern District of New York against Citigroup, CGMI, and numerous other defendants, on behalf of purported classes of persons or entities that transacted in bonds issued by United States government-sponsored entities with one or more of the defendants. Plaintiffs assert claims under the Sherman Act and for unjust enrichment based on defendants’ alleged conspiracy to manipulate the market for such bonds, and seek treble damages and injunctive relief. Additional information relating to this action is publicly available in court filings under the docket number 19 Civ. 28301704 (S.D.N.Y.) (Oetken,(Rakoff, J.).


Variable Rate Demand Obligation Litigation
In February and March 2019, certain financial institutions that served as remarketing agents for municipal bonds called variable rate demand obligations (VRDOs), including Citigroup, Citibank, CGMI, CGML and numerous other industry participants, were named as defendants in putative class actions filed by the City of Philadelphia and the City of Baltimore in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants colluded to set artificially high VRDO interest rates. The complaints assert violations of the Sherman Act, as well as claims for breach of contract and unjust enrichment, and seek damages and injunctive relief. On April 5, 2019, the two suits were consolidated for pre-trial purposes. Additional information concerning these actions is publicly available in court filings under the docket numbers 19-CV-1608 (S.D.N.Y.) (Furman, J.) and 19-CV-2667 (S.D.N.Y.) (Furman, J.).

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










24.   CONDENSED CONSOLIDATING FINANCIAL STATEMENTS


Citigroup amended its Registration Statement on Form S-3 on file with the SEC (File No. 33-192302) to add its wholly owned subsidiary, Citigroup Global Markets Holdings Inc. (CGMHI), as a co-registrant. Any securities issued by CGMHI under the Form S-3 will be fully and unconditionally guaranteed by Citigroup.
The following are the Condensed Consolidating Statements of Income and Comprehensive Income for the three and six months ended June 30,March 31, 2019 and 2018, and 2017, Condensed Consolidating Balance Sheet as of June 30, 2018March 31, 2019 and December 31, 20172018 and Condensed Consolidating Statement of Cash Flows for the sixthree months ended June 30,March 31, 2019 and 2018 and 2017 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 are presented for purposes of additional analysis, but should be considered in relation to the Consolidated Financial Statements of Citigroup taken as a whole.





























Condensed Consolidating Statements of Income and Comprehensive Income
 Three Months Ended March 31, 2019
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$9,167
 $—
 $—
 $(9,167) $—
Interest revenue—
 2,572
 16,504
 —
 19,076
Interest revenue—intercompany1,325
 503
 (1,828) —
 —
Interest expense1,271
 1,824
 4,222
 —
 7,317
Interest expense—intercompany312
 1,075
 (1,387) —
 —
Net interest revenue$(258) $176
 $11,841
 $—
 $11,759
Commissions and fees$—
 $1,307
 $1,619
 $—
 $2,926
Commissions and fees—intercompany(1) 121
 (120) —
 —
Principal transactions(825) (1,034) 4,663
 —
 2,804
Principal transactions—intercompany447
 2,036
 (2,483) —
 —
Other income319
 99
 669
 —
 1,087
Other income—intercompany(34) 42
 (8) —
 —
Total non-interest revenues$(94) $2,571
 $4,340
 $—
 $6,817
Total revenues, net of interest expense$8,815
 $2,747
 $16,181
 $(9,167) $18,576
Provisions for credit losses and for benefits and claims$—
 $—
 $1,980
 $—
 $1,980
Operating expenses    

    
Compensation and benefits$33
 $1,284
 $4,341
 $—
 $5,658
Compensation and benefits—intercompany26
 —
 (26) —
 —
Other operating5
 553
 4,368
 —
 4,926
Other operating—intercompany5
 582
 (587) —
 —
Total operating expenses$69
 $2,419
 $8,096
 $—
 $10,584
Equity in undistributed income of subsidiaries$(4,203) $—
 $—
 $4,203
 $—
Income (loss) from continuing operations before income taxes$4,543
 $328
 $6,105
 $(4,964) $6,012
Provision (benefit) for income taxes(167) 140
 1,302
 —
 1,275
Income (loss) from continuing operations$4,710
 $188
 $4,803
 $(4,964) $4,737
Loss from discontinued operations, net of taxes—
 —
 (2) —
 (2)
Net income before attribution of noncontrolling interests$4,710
 $188
 $4,801
 $(4,964) $4,735
Noncontrolling interests—
 —
 25
 —
 25
Net income (loss)$4,710
 $188
 $4,776
 $(4,964) $4,710
Comprehensive income         
Add: Other comprehensive income (loss)$862
 $(289) $999
 $(710) $862
Total Citigroup comprehensive income (loss)$5,572

$(101)
$5,775

$(5,674)
$5,572
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
 $(13) $—
 $(13)
Add: Net income attributable to noncontrolling interests—
 —
 25
 —
 25
Total comprehensive income (loss)$5,572

$(101)
$5,787

$(5,674)
$5,584

 Three Months Ended June 30, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$3,115
 $—
 $—
 $(3,115) $—
Interest revenue14
 2,398
 15,138
 —
 17,550
Interest revenue—intercompany1,225
 399
 (1,624) —
 —
Interest expense1,141
 1,314
 3,430
 —
 5,885
Interest expense—intercompany388
 896
 (1,284) —
 —
Net interest revenue$(290) $587
 $11,368
 $—
 $11,665
Commissions and fees$—
 $1,347
 $1,764
 $—
 $3,111
Commissions and fees—intercompany(1) 91
 (90) —
 —
Principal transactions(1,206) (697) 4,054
 —
 2,151
Principal transactions—intercompany(472) 1,279
 (807) —
 —
Other income1,479
 188
 (125) —
 1,542
Other income—intercompany(120) (19) 139
 —
 —
Total non-interest revenues$(320) $2,189
 $4,935
 $—
 $6,804
Total revenues, net of interest expense$2,505
 $2,776
 $16,303
 $(3,115) $18,469
Provisions for credit losses and for benefits and claims$—
 $(24) $1,836
 $—
 $1,812
Operating expenses         
Compensation and benefits$1
 $1,282
 $4,169
 $—
 $5,452
Compensation and benefits—intercompany29
 —
 (29) —
 —
Other operating(53) 578
 4,735
 —
 5,260
Other operating—intercompany13
 693
 (706) —
 —
Total operating expenses$(10) $2,553
 $8,169
 $—
 $10,712
Equity in undistributed income of subsidiaries$1,483
 $—
 $—
 $(1,483) $—
Income (loss) from continuing operations before income taxes$3,998
 $247
 $6,298
 $(4,598) $5,945
Provision (benefit) for income taxes(492) 619
 1,317
 —
 1,444
Income (loss) from continuing operations$4,490
 $(372) $4,981
 $(4,598) $4,501
Income from discontinued operations, net of taxes—
 —
 15
 —
 15
Net income before attribution of noncontrolling interests$4,490
 $(372) $4,996
 $(4,598) $4,516
Noncontrolling interests—
 —
 26
 —
 26
Net income (loss)$4,490
 $(372) $4,970
 $(4,598) $4,490
Comprehensive income         
Add: Other comprehensive income (loss)$(2,875) $(72) $5,401
 $(5,329) $(2,875)
Total Citigroup comprehensive income (loss)$1,615

$(444)
$10,371

$(9,927)
$1,615
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
 $(57) $—
 $(57)
Add: Net income attributable to noncontrolling interests—
 —
 26
 —
 26
Total comprehensive income (loss)$1,615

$(444)
$10,340

$(9,927)
$1,584

















Condensed Consolidating Statements of Income and Comprehensive Income
Three Months Ended June 30, 2017Three Months Ended March 31, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$2,515
 $—
 $—
 $(2,515) $—
$5,585
 $—
 $—
 $(5,585) $—
Interest revenue(1) 1,405
 13,890
 —
 15,294
52
 1,656
 14,624
 —
 16,332
Interest revenue—intercompany1,076
 377
 (1,453) —
 —
1,130
 383
 (1,513) —
 —
Interest expense1,136
 541
 2,359
 —
 4,036
1,238
 1,013
 2,909
 —
 5,160
Interest expense—intercompany263
 658
 (921) —
 —
259
 772
 (1,031) —
 —
Net interest revenue$(324) $583
 10,999
 $—
 $11,258
$(315) $254
 $11,233
 $—
 $11,172
Commissions and fees$—
 $1,348
 1,908
 $—
 $3,256
$—
 $1,252
 $1,778
 $—
 $3,030
Commissions and fees—intercompany(1) 108
 (107) —
 —
—
 —
 —
 —
 —
Principal transactions1,122
 218
 1,303
 —
 2,643
1,031
 921
 1,290
 —
 3,242
Principal transactions—intercompany396
 617
 (1,013) —
 —
(386) 192
 194
 —
 —
Other income(1,601) 70
 2,529
 —
 998
(928) 153
 2,203
 —
 1,428
Other income—intercompany161
 (3) (158) —
 —
55
 55
 (110) —
 —
Total non-interest revenues$77
 $2,358
 4,462

$—
 $6,897
$(228) $2,573
 $5,355

$—
 $7,700
Total revenues, net of interest expense$2,268
 $2,941
 15,461
 $(2,515) $18,155
$5,042
 $2,827
 $16,588
 $(5,585) $18,872
Provisions for credit losses and for benefits and claims$—
 $1
 1,716
 $—
 $1,717
$—
 $—
 $1,857
 $—
 $1,857
Operating expenses                  
Compensation and benefits$(1) $1,212
 4,252
 $—
 $5,463
$134
 $1,265
 $4,408
 $—
 $5,807
Compensation and benefits—intercompany20
 —
 (20) —
 —
34
 —
 (34) —
 —
Other operating(344) 532
 5,109
 —
 5,297
43
 550
 4,525
 —
 5,118
Other operating—intercompany10
 617
 (627) —
 —
12
 582
 (594) —
 —
Total operating expenses$(315) $2,361
 8,714
 $—
 $10,760
$223
 $2,397
 $8,305
 $—
 $10,925
Equity in undistributed income of subsidiaries$1,183
 $—
 —
 $(1,183) $—
$(446) $—
 $—
 $446
 $—
Income (loss) from continuing operations before income
taxes
$3,766
 $579
 5,031
 $(3,698) $5,678
$4,373
 $430
 $6,426
 $(5,139) $6,090
Provision (benefit) for income taxes(106) 261
 1,640
 —
 1,795
(247)—
65
 1,623
 —
 1,441
Income (loss) from continuing operations$3,872
 $318
 3,391
 $(3,698) $3,883
$4,620
 $365
 $4,803
 $(5,139) $4,649
Income from discontinued operations, net of taxes—
 —
 21
 —
 21
Loss from discontinued operations, net of taxes—
 —
 (7) —
 (7)
Net income (loss) before attribution of noncontrolling interests$3,872
 $318
 3,412
 $(3,698) $3,904
$4,620
 $365
 $4,796
 $(5,139) $4,642
Noncontrolling interests—
 —
 32
 —
 32
—
 —
 22
 —
 22
Net income (loss)$3,872
 $318
 $3,380
 $(3,698) $3,872
$4,620
 $365
 $4,774
 $(5,139) $4,620
Comprehensive income                  
Add: Other comprehensive income (loss)$514
 $(38) $(155) $193
 $514
$52
 $82
 $(3,156) $3,074
 $52
Total Citigroup comprehensive income (loss)$4,386

$280


$3,225

$(3,505)
$4,386
$4,672


$447


$1,618

$(2,065)
$4,672
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
—
$39
 $—
 $39
$—
 $—
—
$14
 $—
 $14
Add: Net income attributable to noncontrolling interests—
 —
—
32
 —
 32
—
 —
—
22
 —
 22
Total comprehensive income (loss)$4,386

$280


$3,296

$(3,505) $4,457
$4,672


$447


$1,654

$(2,065) $4,708






















Condensed Consolidating Statements of Income and Comprehensive Income
 Six Months Ended June 30, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$8,700
 $—
 $—
 $(8,700) $—
Interest revenue66
 4,053
 29,763
 —
 33,882
Interest revenue—intercompany2,355
 782
 (3,137) —
 —
Interest expense2,051
 2,327
 6,667
 —
 11,045
Interest expense—intercompany975
 1,668
 (2,643) —
 —
Net interest revenue$(605) $840

$22,602
 $—

$22,837
Commissions and fees$—
 $2,599
 $3,542
 $—
 $6,141
Commissions and fees—intercompany(1) 91
 (90) —
 —
Principal transactions(175) 224
 5,391
 —
 5,440
Principal transactions—intercompany(858) 1,471
 (613) —
 —
Other income551
 341
 2,031
 —
 2,923
Other income—intercompany(65) 31
 34
 —
 —
Total non-interest revenues$(548) $4,757
 $10,295
 $—
 $14,504
Total revenues, net of interest expense$7,547
 $5,597
 $32,897
 $(8,700) $37,341
Provisions for credit losses and for benefits and claims$—
 $(24) $3,693
 $—
 $3,669
Operating expenses         
Compensation and benefits$135
 $2,547
 $8,577
 $—
 $11,259
Compensation and benefits—intercompany63
 —
 (63) —
 —
Other operating(9) 1,126
 9,261
 —
 10,378
Other operating—intercompany25
 1,271
 (1,296) —
 —
Total operating expenses$214
 $4,944
 $16,479
 $—
 $21,637
Equity in undistributed income of subsidiaries$1,038
 $—
 $—
 $(1,038) $—
Income (loss) from continuing operations before income taxes$8,371
 $677
 $12,725
 $(9,738) $12,035
Provision (benefit) for income taxes(739) 684
 2,940
 —
 2,885
Income (loss) from continuing operations$9,110
 $(7) $9,785
 $(9,738) $9,150
Income from discontinued operations, net of taxes—
 —
 8
 —
 8
Net income (loss) before attribution of noncontrolling interests$9,110
 $(7) $9,793
 $(9,738) $9,158
Noncontrolling interests—
 —
 48
 —
 48
Net income (loss)$9,110
 $(7) $9,745
 $(9,738) $9,110
Comprehensive income         
Add: Other comprehensive income (loss)$(2,823) $10
 $2,245
 $(2,255) $(2,823)
Total Citigroup comprehensive income (loss)$6,287
 $3
 $11,990
 $(11,993) $6,287
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
 $(43) $—
 $(43)
Add: Net income attributable to noncontrolling interests—
 —
 48
 —
 48
Total comprehensive income (loss)$6,287

$3

$11,995

$(11,993)
$6,292













Condensed Consolidating Statements of Income and Comprehensive Income
 Six Months Ended June 30, 2017
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$6,265
 $—
 $—
 $(6,265) $—
Interest revenue—
 2,431
 27,384
 —
 29,815
Interest revenue—intercompany1,869
 534
 (2,403) —
 —
Interest expense2,354
 935
 4,313
 —
 7,602
Interest expense—intercompany353
 1,086
 (1,439) —
 —
Net interest revenue$(838) $944
 $22,107
 $—
 $22,213
Commissions and fees$—
 $2,671
 $3,640
 $—
 $6,311
Commissions and fees—intercompany(1) 110
 (109) —
 —
Principal transactions959
 1,876
 2,902
 —
 5,737
Principal transactions—intercompany600
 194
 (794) —
 —
Other income(1,640) 139
 3,761
 —
 2,260
Other income—intercompany38
 3
 (41) —
 —
Total non-interest revenues$(44) $4,993
 $9,359
 $—
 $14,308
Total revenues, net of interest expense$5,383
 $5,937
 $31,466
 $(6,265) $36,521
Provisions for credit losses and for benefits and claims$—
 $1
 $3,378
 $—
 $3,379
Operating expenses         
Compensation and benefits$(15) $2,474
 $8,538
 $—
 $10,997
Compensation and benefits—intercompany51
 —
 (51) —
 —
Other operating(316) 1,045
 9,757
 —
 10,486
Other operating—intercompany(49) 1,323
 (1,274) —
 —
Total operating expenses$(329) $4,842
 $16,970
 $—
 $21,483
Equity in undistributed income of subsidiaries$1,770
 $—
 $—
 $(1,770) $—
Income (loss) from continuing operations before income taxes$7,482
 $1,094
 $11,118
 $(8,035) $11,659
Provision (benefit) for income taxes(480) 476
 3,662
 —
 3,658
Income (loss) from continuing operations$7,962
 $618
 $7,456
 $(8,035) $8,001
Income from discontinued operations, net of taxes—
 —
 3
 —
 3
Net income (loss) before attribution of noncontrolling interests$7,962
 $618
 $7,459
 $(8,035) $8,004
Noncontrolling interests—
 —
 42
 —
 42
Net income (loss)$7,962
 $618
 $7,417
 $(8,035) $7,962
Comprehensive income         
Add: Other comprehensive income (loss)$1,978
 $(58) $(3,876) $3,934
 $1,978
Total Citigroup comprehensive income (loss)$9,940
 $560
 $3,541
 $(4,101) $9,940
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
 $70
 $—
 $70
Add: Net income attributable to noncontrolling interests—
 —
 42
 —
 42
Total comprehensive income (loss)$9,940
 $560
 $3,653
 $(4,101) $10,052




Condensed Consolidating Balance Sheet
June 30, 2018March 31, 2019
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Assets                  
Cash and due from banks$1
 $521
 $20,555
 $—
 $21,077
$1
 $963
 $23,484
 $—
 $24,448
Cash and due from banks—intercompany30
 3,721
 (3,751) —
 —
11
 3,953
 (3,964) —
 —
Deposits with banks—
 3,206
 176,619
 —
 179,825
—
 5,287
 176,158
 —
 181,445
Deposits with banks—intercompany3,000
 5,954
 (8,954) —
 —
3,000
 6,235
 (9,235) —
 —
Federal funds sold and resale agreements—
 216,269
 49,257
 —
 265,526
—
 210,012
 54,483
 —
 264,495
Federal funds sold and resale agreements—intercompany—
 12,838
 (12,838) —
 —
—
 16,034
 (16,034) —
 —
Trading account assets276
 152,241
 110,432
 —
 262,949
296
 163,582
 122,633
 —
 286,511
Trading account assets—intercompany741
 2,125
 (2,866) —
 —
825
 1,770
 (2,595) —
 —
Investments8
 243
 349,465
 —
 349,716
5
 241
 349,035
 —
 349,281
Loans, net of unearned income—
 1,036
 670,144
 —
 671,180
—
 1,731
 680,615
 —
 682,346
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,126) —
 (12,126)—
 —
 (12,329) —
 (12,329)
Total loans, net$—
 $1,036
 $658,018
 $—
 $659,054
$—
 $1,731
 $668,286
 $—
 $670,017
Advances to subsidiaries$143,693
 $—
 $(143,693) $—
 $—
$142,884
 $—
 $(142,884) $—
 $—
Investments in subsidiaries207,960
 —
 —
 (207,960) —
201,016
 —
 —
 (201,016) —
Other assets(1)
12,467
 61,339
 100,381
 —
 174,187
11,957
 63,919
 106,340
 —
 182,216
Other assets—intercompany3,670
 45,236
 (48,906) —
 —
3,734
 50,591
 (54,325) —
 —
Total assets$371,846
 $504,729
 $1,243,719
 $(207,960) $1,912,334
$363,729
 $524,318
 $1,271,382
 $(201,016) $1,958,413
Liabilities and equity

 
 
 
 


 
 
 
 
Deposits$—
 $—
 $996,730
 $—
 $996,730
$—
 $—
 $1,030,355
 $—
 $1,030,355
Deposits—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 156,107
 21,721
 —
 177,828
Federal funds purchased and securities loaned or sold—intercompany—
 23,745
 (23,745) —
 —
Federal funds purchased and securities loaned and sold—
 163,595
 26,777
 —
 190,372
Federal funds purchased and securities loaned and sold—intercompany—
 28,561
 (28,561) —
 —
Trading account liabilities5
 93,880
 46,860
 —
 140,745
14
 94,159
 42,219
 —
 136,392
Trading account liabilities—intercompany341
 2,055
 (2,396) —
 —
1,863
 1,919
 (3,782) —
 —
Short-term borrowings276
 3,109
 33,848
 —
 37,233
234
 6,485
 32,603
 —
 39,322
Short-term borrowings—intercompany—
 34,575
 (34,575) —
 —
—
 20,468
 (20,468) —
 —
Long-term debt148,601
 22,874
 65,347
 —
 236,822
149,830
 30,542
 63,194
 —
 243,566
Long-term debt—intercompany—
 59,737
 (59,737) —
 —
—
 73,094
 (73,094) —
 —
Advances from subsidiaries19,634
 —
 (19,634) —
 —
11,634
 —
 (11,634) —
 —
Other liabilities2,606
 67,487
 51,915
 —
 122,008
3,308
 62,484
 55,599
 —
 121,391
Other liabilities—intercompany289
 8,852
 (9,141) —
 —
594
 10,443
 (11,037) —
 —
Stockholders’ equity200,094
 32,308
 176,526
 (207,960) 200,968
196,252
 32,568
 169,211
 (201,016) 197,015
Total liabilities and equity$371,846
 $504,729
 $1,243,719
 $(207,960) $1,912,334
$363,729
 $524,318
 $1,271,382
 $(201,016) $1,958,413


(1)
Other assets for Citigroup parent company at June 30, 2018March 31, 2019 included $15.7$47.4 billion of placements to Citibank and its branches, of which $11.4$35.8 billion had a remaining term of less than 30 days.









Condensed Consolidating Balance Sheet
December 31, 2017December 31, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Assets                  
Cash and due from banks$—
 $378
 $23,397
 $—
 $23,775
$1
 $689
 $22,955
 $—
 $23,645
Cash and due from banks—intercompany13
 3,750
 (3,763) —
 —
19
 3,545
 (3,564) —
 —
Deposits with banks—
 3,348
 153,393
 —
 156,741
—
 4,915
 159,545
 —
 164,460
Deposits with banks—intercompany11,000
 5,219
 (16,219) —
 —
3,000
 6,528
 (9,528) —
 —
Federal funds sold and resale agreements—
 182,685
 49,793
 —
 232,478
—
 212,720
 57,964
 —
 270,684
Federal funds sold and resale agreements—intercompany—
 16,091
 (16,091) —
 —
—
 20,074
 (20,074) —
 —
Trading account assets—
 139,462
 113,328
 —
 252,790
302
 146,233
 109,582
 —
 256,117
Trading account assets—intercompany38
 2,711
 (2,749) —
 —
627
 1,728
 (2,355) —
 —
Investments27
 181
 352,082
 —
 352,290
7
 224
 358,376
 —
 358,607
Loans, net of unearned income—
 900
 666,134
 —
 667,034
—
 1,292
 682,904
 —
 684,196
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,355) —
 (12,355)—
 —
 (12,315) —
 (12,315)
Total loans, net$—
 $900
 $653,779
 $—
 $654,679
$—
 $1,292
 $670,589
 $—
 $671,881
Advances to subsidiaries$139,722
 $—
 $(139,722) $—
 $—
$143,119
 $—
 $(143,119) $—
 $—
Investments in subsidiaries210,537
 —
 —
 (210,537) —
205,337
 —
 —
 (205,337) —
Other assets(1)
10,844
 58,299
 100,569
 —
 169,712
9,861
 59,734
 102,394
 —
 171,989
Other assets—intercompany3,428
 43,613
 (47,041) —
 —
3,037
 44,255
 (47,292) —
 —
Total assets$375,609
 $456,637
 $1,220,756
 $(210,537) $1,842,465
$365,310
 $501,937
 $1,255,473
 $(205,337) $1,917,383
Liabilities and equity
 
 
 
 


 
 
 
 

Deposits$—
 $—
 $959,822
 $—
 $959,822
$—
 $—
 $1,013,170
 $—
 $1,013,170
Deposits—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 134,888
 21,389
 —
 156,277
Federal funds purchased and securities loaned or sold—intercompany—
 18,597
 (18,597) —
 —
Federal funds purchased and securities loaned and sold—
 155,830
 21,938
 —
 177,768
Federal funds purchased and securities loaned and sold—intercompany—
 21,109
 (21,109) —
 —
Trading account liabilities—
 80,801
 44,369
 —
 125,170
1
 95,571
 48,733
 —
 144,305
Trading account liabilities—intercompany15
 2,182
 (2,197) —
 —
410
 1,398
 (1,808) —
 —
Short-term borrowings251
 3,568
 40,633
 —
 44,452
207
 3,656
 28,483
 —
 32,346
Short-term borrowings—intercompany—
 32,871
 (32,871) —
 —
—
 11,343
 (11,343) —
 —
Long-term debt152,163
 18,048
 66,498
 —
 236,709
143,768
 25,986
 62,245
 —
 231,999
Long-term debt—intercompany—
 60,765
 (60,765) —
 —
—
 73,884
 (73,884) —
 —
Advances from subsidiaries19,136
 —
 (19,136) —
 —
21,471
 —
 (21,471) —
 —
Other liabilities2,673
 62,113
 53,577
 —
 118,363
3,010
 66,732
 50,979
 —
 120,721
Other liabilities—intercompany631
 9,753
 (10,384) —
 —
223
 13,763
 (13,986) —
 —
Stockholders’ equity200,740
 33,051
 178,418
 (210,537) 201,672
196,220
 32,665
 173,526
 (205,337) 197,074
Total liabilities and equity$375,609
 $456,637
 $1,220,756
 $(210,537) $1,842,465
$365,310
 $501,937
 $1,255,473
 $(205,337) $1,917,383


(1)
Other assets for Citigroup parent company at December 31, 20172018 included $29.7$34.7 billion of placements to Citibank and its branches, of which $18.9$22.4 billion had a remaining term of less than 30 days.







Condensed Consolidating Statement of Cash Flows
 Three Months Ended March 31, 2019
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$10,950
 $(30,786) $(17,780) $—
 $(37,616)
Cash flows from investing activities of continuing operations         
Purchases of investments$—
 $—
 $(69,673) $—
 $(69,673)
Proceeds from sales of investments—
 —
 31,436
 —
 31,436
Proceeds from maturities of investments—
 —
 47,363
 —
 47,363
Change in loans—
 —
 (892) —
 (892)
Proceeds from sales and securitizations of loans—
 —
 2,062
 —
 2,062
Change in federal funds sold and resales—
 6,748
 (559) —
 6,189
Changes in investments and advances—intercompany(106) (6,636) 6,742
 —
 —
Other investing activities—
 (17) (425) —
 (442)
Net cash provided by (used in) investing activities of continuing operations$(106) $95
 $16,054
 $—
 $16,043
Cash flows from financing activities of continuing operations         
Dividends paid$(1,320) $—
 $—
 $—
 $(1,320)
Redemption of preferred stock(480) —
 —
 —
 (480)
Treasury stock acquired(4,055) —
 —
 —
 (4,055)
Proceeds (repayments) from issuance of long-term debt, net5,199
 5,576
 (1,791) —
 8,984
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (1,295) 1,295
 —
 —
Change in deposits—
 —
 17,186
 —
 17,186
Change in federal funds purchased and repos—
 15,217
 (2,613) —
 12,604
Change in short-term borrowings—
 2,829
 4,147
 —
 6,976
Net change in short-term borrowings and other advances—intercompany(9,838) 9,125
 713
 —
 —
Other financing activities(358) —
 —
 —
 (358)
Net cash provided by (used in) financing activities of continuing operations$(10,852) $31,452
 $18,937
 $—
 $39,537
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(176) $—
 $(176)
Change in cash and due from banks and deposits with banks

$(8)
$761

$17,035

$—
 $17,788
Cash and due from banks and deposits with banks at beginning of period3,020
 15,677
 169,408
 —
 188,105
Cash and due from banks and deposits with banks at end of period$3,012
 $16,438
 $186,443
 $—
 $205,893
Cash and due from banks$12
 $4,916
 $19,520
 $—
 $24,448
Deposits with banks3,000
 11,522
 166,923
 —
 181,445
Cash and due from banks and deposits with banks at end of period$3,012
 $16,438
 $186,443
 $—
 $205,893
Supplemental disclosure of cash flow information for continuing operations         
Cash paid during the year for income taxes$306
 $57
 $962
 $—
 $1,325
Cash paid during the year for interest956
 2,694
 3,281
 —
 6,931
Non-cash investing activities         
Transfers to loans HFS from loans$—
 $—
 $2,000
 $—
 $2,000
Transfers to OREO and other repossessed assets—
 —
 36
 —
 36
 Six Months Ended June 30, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by operating activities of continuing operations$5,156
 $1,207
 $1,956
 $—
 $8,319
Cash flows from investing activities of continuing operations         
Purchases of investments$(7,955) $—
 $(77,916) $—
 $(85,871)
Proceeds from sales of investments7,634
 —
 34,174
 —
 41,808
Proceeds from maturities of investments—
 —
 48,846
 —
 48,846
Change in loans—
 —
 (10,132) —
 (10,132)
Proceeds from sales and securitizations of loans—
 —
 3,217
 —
 3,217
Change in federal funds sold and resales—
 (30,331) (2,717) —
 (33,048)
Changes in investments and advances—intercompany(4,780) (1,872) 6,652
 —
 —
Other investing activities212
 (26) (1,635) —
 (1,449)
Net cash provided by (used in) investing activities of continuing operations$(4,889) $(32,229) $489
 $—
 $(36,629)
Cash flows from financing activities of continuing operations         
Dividends paid$(2,232) $—
 $—
 $—
 $(2,232)
Redemption of preferred stock(218) —
 —
 —
 (218)
Treasury stock acquired(4,686) —
 —
 —
 (4,686)
Proceeds (repayments) from issuance of long-term debt, net(1,167) 5,805
 1,032
 —
 5,670
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (1,025) 1,025
 —
 —
Change in deposits—
 —
 36,908
 —
 36,908
Change in federal funds purchased and repos—
 26,367
 (4,816) —
 21,551
Change in short-term borrowings32
 (459) (6,792) —
 (7,219)
Net change in short-term borrowings and other advances—intercompany497
 1,704
 (2,201) —
 —
Capital contributions from (to) parent—
 (663) 663
 —
 —
Other financing activities(475) —
 —
 —
 (475)
Net cash provided by (used in) financing activities of continuing operations$(8,249) $31,729
 $25,819
 $—
 $49,299
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(603) $—
 $(603)
Change in cash and due from banks, and deposits with banks

$(7,982)
$707

$27,661

$—
 $20,386
Cash and due from banks, and deposits with banks at beginning of period11,013
 12,695
 156,808
 —
 180,516
Cash and due from banks, and deposits with banks at end of period$3,031
 $13,402
 $184,469
 $—
 $200,902
Cash and due from banks$31
 $4,242
 $16,804
 $—
 $21,077
Deposits with banks3,000
 9,160
 167,665
 —
 179,825
Cash and due from banks, and deposits with banks at end of period$3,031
 $13,402
 $184,469
 $—
 $200,902
Supplemental disclosure of cash flow information for continuing operations         
Cash paid (received) during the year for income taxes$941
 $42
 $1,256
 $—
 $2,239
Cash paid during the year for interest1,729
 3,676
 4,552
 —
 9,957
Non-cash investing activities         
Transfers to loans HFS from loans$—
 $—
 $2,900
 $—
 $2,900
Transfers to OREO and other repossessed assets—
 —
 55
 —
 55



Condensed Consolidating Statement of Cash Flows
 Three Months Ended March 31, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$5,268
 $7,046
 $(5,358) $—
 $6,956
Cash flows from investing activities of continuing operations        

Purchases of investments$(7,955) $—
 $(33,075) $—
 $(41,030)
Proceeds from sales of investments—
 —
 20,688
 —
 20,688
Proceeds from maturities of investments—
 —
 21,509
 —
 21,509
Change in loans—
 —
 (8,717) —
 (8,717)
Proceeds from sales and securitizations of loans—
 —
 1,654
 —
 1,654
Proceeds from significant disposals—
 —
 —
 —
 —
Change in federal funds sold and resales—
 (22,167) (3,242) —
 (25,409)
Changes in investments and advances—intercompany(1,463) (3,603) 5,066
 —
 —
Other investing activities(729) (9) (81) —
 (819)
Net cash provided by (used in) investing activities of continuing operations$(10,147) $(25,779) $3,802
 $—
 $(32,124)
Cash flows from financing activities of continuing operations         
Dividends paid$(1,095) $—
 $—
 $—
 $(1,095)
Redemption of preferred stock(97) —
 —
 —
 (97)
Treasury stock acquired(2,378) —
 —
 —
 (2,378)
Proceeds from issuance of long-term debt, net699
 2,004
 184
 —
 2,887
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (412) 412
 —
 —
Change in deposits—
 —
 41,397
 —
 41,397
Change in federal funds purchased and repos—
 11,359
 4,123
 —
 15,482
Change in short-term borrowings—
 (409) (7,949) —
 (8,358)
Net change in short-term borrowings and other advances—intercompany14
 8,226
 (8,240) —
 —
Capital contributions from parent—
 (585) 585
 —
 —
Other financing activities(261) —
 (214) —
 (475)
Net cash provided by (used in) financing activities of continuing operations$(3,118) $20,183
 $30,298
 $—
 $47,363
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(7) $—
 $(7)
Change in cash and due from banks and deposits with banks

$(7,997) $1,450
 $28,735
 $—
 $22,188
Cash and due from banks and deposits with banks at beginning of period11,013
 12,695
 156,808
 —
 180,516
Cash and due from banks and deposits with banks at end of period$3,016
 $14,145
 $185,543
 $—
 $202,704
Cash and due from banks$16
 $5,648
 $16,186
 $—
 $21,850
Deposits with banks3,000
 8,497
 169,357
 —
 180,854
Cash and due from banks and deposits with banks at end of period$3,016
 $14,145
 $185,543
 $—
 $202,704
Supplemental disclosure of cash flow information for continuing operations         
Cash paid (received) during the year for income taxes$(266) $29
 $975
 $—
 $738
Cash paid during the year for interest883
 1,627
 2,076
 —
 4,586
Non-cash investing activities         
Transfers to loans HFS from loans$—
 $—
 $900
 $—
 $900
Transfers to OREO and other repossessed assets—
 —
 26
 —
 26


 Six Months Ended June 30, 2017
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$983
 $(18,060) $(4,536) $—
 $(21,613)
Cash flows from investing activities of continuing operations        

Purchases of investments$—
 $—
 $(96,925) $—
 $(96,925)
Proceeds from sales of investments132
 —
 56,596
 —
 56,728
Proceeds from maturities of investments—
 —
 47,785
 —
 47,785
Change in loans—
 —
 (29,952) —
 (29,952)
Proceeds from sales and securitizations of loans—
 —
 6,256
 —
 6,256
Proceeds from significant disposals—
 —
 2,732
 —
 2,732
Change in federal funds sold and resales—
 4,649
 (1,901) —
 2,748
Changes in investments and advances—intercompany12,132
 (5,870) (6,262) —
 —
Other investing activities—
 —
 (1,330) —
 (1,330)
Net cash provided by (used in) investing activities of continuing operations$12,264
 $(1,221) $(23,001) $—
 $(11,958)
Cash flows from financing activities of continuing operations         
Dividends paid$(1,504) $—
 $—
 $—
 $(1,504)
Treasury stock acquired(3,635) —
 —
 —
 (3,635)
Proceeds (repayments) from issuance of long-term debt, net3,139
 3,887
 9,336
 —
 16,362
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (3,100) 3,100
 —
 —
Change in deposits—
 —
 29,337
 —
 29,337
Change in federal funds purchased and repos—
 4,564
 8,395
 —
 12,959
Change in short-term borrowings—
 1,861
 3,957
 —
 5,818
Net change in short-term borrowings and other advances—intercompany(20,497) 907
 19,590
 —
 —
Other financing activities(401) —
 —
 —
 (401)
Net cash provided by (used in) financing activities of continuing operations$(22,898) $8,119
 $73,715
 $—
 $58,936
Effect of exchange rate changes on cash and due from banks$—
 $—
 $223
 $—
 $223
Change in cash and due from banks, and deposits with banks

$(9,651) $(11,162) $46,401
 $—
 $25,588
Cash and due from banks, and deposits with banks at beginning of period20,811
 25,118
 114,565
 —
 160,494
Cash and due from banks, and deposits with banks at end of period$11,160
 $13,956
 $160,966
 $—
 $186,082
Cash and due from banks$160
 $3,636
 $17,144
 $—
 $20,940
Deposits with banks11,000
 10,320
 143,822
 —
 165,142
Cash and due from banks, and deposits with banks at end of period$11,160
 $13,956
 $160,966
 $—
 $186,082
Supplemental disclosure of cash flow information for continuing operations         
Cash paid during the year for income taxes$679
 $152
 $1,144
 $—
 $1,975
Cash paid during the year for interest2,212
 1,924
 3,193
 —
 7,329
Non-cash investing activities         
Transfers to loans HFS from loans$—
 $—
 $3,300
 $—
 $3,300
Transfers to OREO and other repossessed assets—
 —
 58
 —
 58



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


Unregistered Sales of Equity Securities
None.


Equity Security Repurchases
The following table summarizes Citi’s equity security repurchases, which consisted entirely of common stock repurchases:


In millions, except per share amounts
Total shares
purchased
Average
price paid
per share
Approximate dollar
value of shares that
may yet be purchased
under the plan or
programs
Total shares
purchased
Average
price paid
per share
Approximate dollar
value of shares that
may yet be purchased
under the plan or
programs
April 2018  
January 2019  
Open market repurchases(1)
13.9
$69.54
$1,385
24.1
$59.35
$6,201
Employee transactions(2)
—
—
N/A
—
—
N/A
May 2018  
February 2019  
Open market repurchases(1)
11.0
69.40
618
21.1
63.60
4,857
Employee transactions(2)
—
—
N/A
—
—
N/A
June 2018  
March 2019  
Open market repurchases(1)
8.5
67.24
—
20.4
62.98
3,575
Employee transactions(2)
—
—
N/A
—
—
N/A
Total for 2Q18 and remaining program balance as of June 30, 201833.4
$68.91
$—
Total for 1Q19 and remaining program balance as of March 31, 201965.6
$61.85
$3,575
(1)Represents repurchases under the $15.6$17.6 billion 20172018 common stock repurchase program (2017(2018 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on June 28, 2017.2018. The 20172018 Repurchase Program was part of the planned capital actions included by Citi in its 20172018 Comprehensive Capital Analysis and Review (CCAR). Shares repurchased under the 2017 Repurchase Program were added to treasury stock. The 2017 Repurchase Program expired on June 30, 2018. On June 28, 2018, Citigroup announced a $17.6 billion stock repurchase program during the four quarters beginning in the third quarter of 2018 (2018 Repurchase Program), which was part of the planned capital actions included by Citi as part of its 2018 CCAR. The 2018 Repurchase Program expires on June 30, 2019. Shares repurchased under the 2018 Repurchase Program will bewere 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 share awards where shares are withheld to satisfy tax requirements.
N/A Not applicable


Dividends
In addition to Board of Directors’ approval, Citi’s ability to pay common stock dividends substantially depends on regulatory approval, including an annual regulatory review of the results of the CCAR process required by the Federal Reserve Board and the supervisory stress tests required under the Dodd-Frank Act. For additional information regarding Citi’s capital planning and stress testing, see “Capital Resources—Current RegulatoryStress Testing Component of Capital Standards”Planning” and “Regulatory“Capital Resources—Regulatory Capital Standards Developments” above and “Risk Factors—Strategic Risks” and “Stress Testing Component on Capital Planning” in Citi’s 20172018 Annual Report on Form 10-K.
On June 28, 2018, Citi announced that the Federal Reserve
Board did not object to its planned capital actions as part of
the 2018 CCAR, which, among other things, included an increase of Citi’s quarterly common stock dividend to $0.45 per share over the four quarters beginning with the third quarter of 2018 (subject to quarterly approval by the Board of Directors). Any dividend on Citi’s outstanding common stock would also need to be made in compliance with Citi’s obligations on 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 20172018 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 31st30th day of July, 2018.April, 2019.






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/ Raja J. Akram
Raja J. Akram
Controller and Chief Accounting Officer
(Principal Accounting Officer)








EXHIBIT INDEX
 
Exhibit  
Number Description of Exhibit
3.01+
 
Restated Certificate of Incorporation of Citigroup Inc., as amended,the Company, as in effect on the date hereof.
   
10.02.4*10.01+*
 
Form of Citigroup 2014 Stock Incentive Plan (as amendedInc. Performance Share Unit Award Agreement (for awards granted on February 14, 2019 and restated asin future years).

10.02+*
Form of April 24, 2018), incorporated by reference to Exhibit 10.1 to the Company’s Current ReportCitigroup Inc. CAP/DCAP Award Agreement (for awards granted on Form 8-K filed April 30, 2018 (File No. 001-09924)February 14, 2019 and in future years).
   
12.01+31.01+
 
Calculation of Ratio of Income to Fixed Charges.
12.02+
Calculation of Ratio of Income to Fixed Charges Including Preferred Stock Dividends.
31.01+
Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
   
31.02+
 
Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
   
32.01+
 
Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
   
101.01+
 
Financial statements from the Quarterly Report on Form 10-Q of the Company for the quarter ended June 30, 2018,March 31, 2019, filed on July 31, 2018,April 30, 2019, formatted in XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to Consolidated Financial Statements.
 
The total amount of securities authorized pursuant to any instrument defining rights of holders of long-term debt of the Company does not exceed 10% of the total assets of the Company and its consolidated subsidiaries. The Company will furnish copies of any such instrument to the SEC upon request.
 
* Denotes a management contract or compensatory plan or arrangement. 
+ Filed herewith.    








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