0000831001 srt:NorthAmericaMemberc:FICOScoreLessthan680Member us-gaap:ConsumerPortfolioSegmentMember 2019-04-01 2019-06-302019-09-30 0000831001 us-gaap:ExternalCreditRatingNonInvestmentGradeMember us-gaap:CommercialPortfolioSegmentMember c:LeaseFinancingMemberCommercialAndIndustrialMember 2019-09-30 0000831001 c:FinancingReceivables30to89DaysPastDueMember 2018-12-31 0000831001 us-gaap:ForeignGovernmentDebtSecuritiesMember us-gaap:FairValueInputsLevel1MemberTradingAssetsExcludingDerivativeAssetsMember us-gaap:FairValueMeasurementsRecurringMember 2018-12-31 0000831001 srt:WeightedAverageMember us-gaap:FairValueInputsLevel3Member us-gaap:InterestRateContractMember c:MeasurementInputMeanReversionMember c:ValuationTechniqueModelbasedMember 2019-06-30

 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
☒QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended JuneSeptember 30, 2019

OR

☐TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from  to
Commission file number 1-9924
Citigroup Inc.
(Exact name of registrant as specified in its charter)
Delaware 52-1568099
(State or other jurisdiction of incorporation or organization) (I.R.S. Employer Identification No.)
388 Greenwich Street,New YorkNY 10013
(Address of principal executive offices)

 (Zip code)
(212) 559-1000
(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934 formatted in Inline XBRL: See Exhibit 99.01
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒    No ☐
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted 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 such files). Yes ☒  No ☐
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☒Accelerated filer☐Non-accelerated filer☐Smaller reporting company☐
      Emerging growth company☐

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 ☐    
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐    No ☒
Number of shares of Citigroup Inc. common stock outstanding on JuneSeptember 30, 2019: 2,259,056,4662,183,193,940

Available on the web at www.citigroup.com
 



CITIGROUP’S SECONDTHIRD QUARTER 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
9
Global Consumer Banking (GCB)
10
North America GCB
12
Latin America GCB
14
Asia GCB
16
Institutional Clients Group
18
Corporate/Other
22
OFF-BALANCE SHEET
  ARRANGEMENTS
23
CAPITAL RESOURCES
24
MANAGING GLOBAL RISK TABLE OF
  CONTENTS
3536
MANAGING GLOBAL RISK
3637
INCOME TAXES
7173
FUTURE APPLICATION OF ACCOUNTING
  STANDARDS
7274
DISCLOSURE CONTROLS AND
  PROCEDURES
7375
DISCLOSURE PURSUANT TO SECTION 219 OF
  THE IRAN THREAT REDUCTION AND SYRIA
  HUMAN RIGHTS ACT
7375
FORWARD-LOOKING STATEMENTS
7476
FINANCIAL STATEMENTS AND NOTES
  TABLE OF CONTENTS
7779
CONSOLIDATED FINANCIAL STATEMENTS
7880
NOTES TO CONSOLIDATED FINANCIAL
  STATEMENTS (UNAUDITED)
8588
UNREGISTERED SALES OF EQUITY SECURITIES,
  PURCHASES OF EQUITY SECURITIES AND
  DIVIDENDS
197202



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, 2018 (2018 Annual Report on Form 10-K) and Citigroup’s Quarterly ReportReports on Form 10-Q for the quarterquarters ended March 31, 2019 (First Quarter of 2019 Form 10-Q) and June 30, 2019 (Second Quarter of 2019 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.“SEC Filings,” then “Citigroup Inc.” The SEC’s website also contains current reports on Form 8-K and other information regarding Citi at www.sec.gov.
Certain reclassifications, including a realignment of certain businesses, 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 2018 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.
acitisegmentsq119charta01.jpgcitisegmentsq319.jpg
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.
citiregions18q1a04.jpg

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


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

EXECUTIVE SUMMARY

SecondThird Quarter of 2019—Results Demonstrated Continued Progress
As described further throughout this Executive Summary, during the secondthird quarter of 2019, Citi continued to demonstrate steady progress toward improving its profitability and returns, despite an uncertain environment. During the quarter, Citi had revenue growth and positive operating leverage in every region in Global Consumer Banking (GCB), excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation). (Citi’s results of operations excluding the impact of FX translation are non-GAAP financial measures.)macroeconomic headwinds:
Citi also showed continued momentum across treasury and trade solutions, securities services and the private bank in the Institutional Clients Group (ICG), while investment banking and fixed income and equity markets revenues were impacted by a challenging market environment. Citi’s results in the quarter also included a pretax gain of approximately $350 million (approximately $270 million after-tax) on Citi’s investment in Tradeweb (an electronic trading platform), recorded in fixed income markets within ICG.
•
Citi had solid underlying revenue growth in every region in Global Consumer Banking (GCB), excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation), as well as a pretax gain on sale of approximately $250 million of an asset management business in the third quarter of 2018 in Latin America.
•
Citi had balanced performance in the Institutional Clients Group (ICG), with solid results in treasury and trade solutions, investment banking and the private bank, while fixed income markets revenues were largely unchanged and equity markets revenues were negatively impacted by a challenging environment.
Citi continued to demonstrate strong expense discipline, resulting in the eleventh consecutive quarter of positive operating leverage. Citi also had deposit and loan growth in both GCB and ICG, while credit quality remained broadly stable.discipline.
•
Citi had broad-based loan and deposit growth across GCB and ICG.
In the quarter, Citi continued to return capital to its shareholders, including $4.6$6.3 billion in the form of common stock dividends as well as repurchases and dividends. Citi repurchased approximately 54totaling 76 million common shares, contributing to a 10% reduction in average outstanding common shares from the prior-year period.
Despite progress in returning capital to shareholders, Citi’s key regulatory capital metrics remained strong (see “Capital” below).strong.
During the quarter, the Federal Reserve Board advised Citi that it did not object to the capital plan submitted as part of Citi’s 2019 Comprehensive Capital Analysis and Review (CCAR). Accordingly, Citi intends to return $21.5 billion of capital to its common shareholders over the next four quarters, beginning in the third quarter of 2019 (for additional information, see “Equity Security Repurchases” and “Dividends” below).
While global growth has continued, economic forecasts for 2019 have been lowered and various economic, political and other risks and uncertainties 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 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 2018 Annual Report on Form 10-K.


 

Second
Third Quarter of 2019 Results Summary

Citigroup
Citigroup reported net income of $4.8$4.9 billion, or $1.95$2.07 per share, compared to net income of $4.5$4.6 billion, or $1.63$1.73 per share, in the prior-year period. Net income increased 7%6% from the prior-year period, primarily driven by higher revenues, lower expenses and a lower effective tax rate and higher revenues, partially offset by higher expenses and cost of credit. Earnings per share increased 20%, including the Tradeweb gain. Excluding the Tradeweb gain, earnings per share of $1.83 increased 12%, primarily reflectingdriven by the 10% reduction in average shares outstanding driven bydue to the common stock repurchases, as well asand the lower effective tax rate. (Citi’s resultsResults for the third quarter of operations excluding gains are non-GAAP financial measures.)2019 include a net benefit of approximately $0.10 per share related to discrete tax items, including an approximate $180 million benefit from a reduction in Citi’s valuation allowance related to its deferred tax assets (see “Income Taxes—DTA Valuation Allowance (VA) Release” below).
Citigroup revenues of $18.8$18.6 billion in the secondthird quarter of 2019 increased 2%1% from the prior-year period, reflectingor 2% excluding the Tradeweb gain andon sale, reflecting higher revenues across GCB and ICG, partially offset by declines in investment banking and fixed income and equity marketslower revenues as well as mark-to-market losses on loan hedges in ICGCorporate/Other.
Citigroup’s end-of-period loans increased 3%2% to $689$692 billion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s end-of-period loans also grew 3%4%, as 4%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 increased 5%8% to $1.0$1.1 trillion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s end-of-period deposits also increased 5%9%, primarily driven by 6%11% growth in ICG deposits as well as 3%and 5% growth in GCB. (Citi’s results of operations excluding the gain on sale as well as the impact of FX translation are non-GAAP financial measures.)

Expenses
Citigroup operating expenses of $10.5 billion decreased 2%increased 1% versus the prior-year period, as efficiency savings and the wind-down of legacy assets were partiallymore than offset by volume-driven growth and continued investments and volume-driven growth.in the franchise. Year-over-year, ICGGCB operating expenses were down 2%, while ICG and Corporate/Other operating expenses decreased 20%increased 4% and 6%, while GCB operating expenses were largely unchanged.respectively.

Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims of $2.1 billion increased 16%6% from the prior-year period. The increase was primarily driven by higher net credit losses in both Citi-branded cards and Citi retail services in North America GCB as well as normalization in credit trends in ,ICG.partially offset by a lower net loan loss reserve build.
Net credit losses of $2.0$1.9 billion increased 15%9% versus the prior-year period. Consumer net credit losses of $1.9$1.8 billion increased 11%6% from the prior-year period, primarily reflecting


volume growth and seasoning in the North America cards portfolios. Corporate net credit losses increased to $70$89 million from a net recovery of $2$30 million in the prior-year period, reflecting credit normalization in period.ICG.
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 were 11.9% and 13.4%ratio was 11.6% as of JuneSeptember 30, 2019, respectively, compared to 12.1% and 13.8%11.7% as of JuneSeptember 30, 2018, both based on the Basel III Standardized Approach for determining risk-weighted assets. The decline in regulatory capital ratiosthe ratio primarily reflected the return of capital to common shareholders and an increase in risk-weighted assets, partially offset by net income. Citigroup’s Supplementary Leverage ratio as of JuneSeptember 30, 2019 was 6.4%6.3%, compared to 6.6%6.5% as of JuneSeptember 30, 2018. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below.

Global Consumer Banking
GCB net income of $1.4$1.6 billion increased 11%1%. Excluding the impact of FX translation, net income also increased 11%2%, driven primarily by higher revenues and a lower effective tax rate,expenses, partially offset by higher expenses and cost of credit. GCB operating expenses of $4.7$4.6 billion decreased 2% versus the prior-year period. Excluding the impact of FX translation, expenses decreased 1%, as efficiency savings more than offset continued investments in the franchise and volume-driven growth.
GCB revenues of $8.7 billion were largely unchanged versus the prior-year period. Excluding the impact of FX translation expenses increased 1%, as continued investments and volume-driven expenses were largely offset by efficiency savings.
GCB revenues of $8.5 billion increased 3% versusthe gain on sale in the prior-year period. Excluding the impact of FX translation,period in Latin America GCB, revenues increased 4%, driven by growth in all three regions. North America GCB revenues of $5.2$5.4 billion increased 3%4%, primarily driven by growth in Citi-branded cards and Citi retail services, aspartially offset by retail banking revenues were largely unchanged.revenues. In North America GCB,Citi-branded cards revenues of $2.2$2.3 billion increased 7%11%, primarily driven by continued growth in interest-earning balances. Citi retail services revenues of $1.6$1.7 billion increased 1% versus the prior-year period, primarily reflectingdriven by organic loan growth, partially offset by higher contractual partner payments.growth. Retail banking revenues of $1.4$1.3 billion were largely unchangeddecreased 2% versus the prior-year period. Excluding mortgage revenues, retail banking revenues of $1.2 billion increased 1% from the prior-year period, as improved growth inthe benefit of stronger deposit volumes was partiallymore than offset by lower deposit spreads in commercial banking.spreads.
North America GCB average deposits of $183$186 billion increased 2%3% year-over-year, average retail banking loans of $58$59 billion increased 4%5% year-over-year and assets under management of $68$69 billion grew 12%8%. Average Citi-branded card loans of $88$91 billion increased 2%3%, while Citi-branded card purchase sales of $93$94 billion increased 8%7% versus the prior-year period. Average Citi retail services loans of $49$50 billion increased 5%1% versus the prior-year period, while Citi retail services purchase sales of $23$22 billion increased 4%decreased 2%. For additional information on the results of operations of North America GCB for the secondthird quarter of 2019, see “Global Consumer Banking—Banking—North America GCB” below.
International GCB revenues (consisting of Latin America GCB and Asia GCB (which includes the results of operations
in certain EMEA countries)), of $3.3 billion increased 3%
declined 6% versus the prior-year period. Excluding the impact of FX translation and the gain on sale, international GCB revenues increased 4% versus the prior-year period. On this basis, Latin America GCB revenues increased 3% versus the prior-year period,, including the impact of the revenues associated with an asset management business in Mexico sold in the third quarter of 2018. Excluding this impact, Latin America GCB revenues increased 5%,primarily driven by an increase in cards revenues and improved deposit spreads. Asia GCB revenues increased 5%, including a gain from a building sale. Excluding this gain, revenues increased 3%, primarily driven by higher deposit revenues as well as a recovery inand investment revenues. For additional information on the results of operations of Latin America GCB and Asia GCB for the secondthird quarter of 2019, including the impact of FX translation, see “Global Consumer Banking—Banking—Latin America GCB” and “Global Consumer Banking—Banking—Asia GCB” below.
Year-over-year, international GCB average deposits of $130 billion increased 5%4%, average retail banking loans of $90 billion increased 2%, assets under management of $108$109 billion increased 5%6%, average card loans of $25$24 billion increased 4%3% and card purchase sales of $26$27 billion increased 6%7%, all excluding the impact of FX translation.

Institutional Clients Group
ICG net income of $3.3$3.2 billion increased 3%1%, primarily driven by a decrease in expenses and a lower effective tax rate,higher revenues, partially offset by higher expenses and cost of credit. ICG operating expenses decreased 2%increased 4% to $5.4 billion, asprimarily driven by investments, volume growth and higher compensation costs, partially offset by efficiency savings more than offset investments and volume-related expenses.savings.
ICG revenues of $9.7$9.5 billion were largely unchanged in the second quarter of 2019, as the Tradeweb gain was offset byincreased 3%, reflecting a 3% decrease5% increase in Banking revenues and a 4% decrease1% increase in Markets and securities services revenues. The decreaseincrease in Banking revenues included the impact of $75$33 million of losses on loan hedges within corporate lending, compared to gainslosses of $23$106 million in the prior-year period.
Banking revenues of $5.1$5.0 billion (excluding the impact of gains (losses) on loan hedges within corporate lending) decreased 1%increased 3%, as growth in treasury and trade solutions, investment banking and the private bank was more thanwere partially offset by lower revenues in investment banking and corporate lending. Investment banking revenues of $1.3$1.2 billion decreased 10%increased 4%, but outperformed the market wallet.largely reflecting continued strength in debt underwriting and solid results in advisory, particularly in EMEA. Advisory revenues decreased 36%increased 5% to $232$276 million, equity underwriting revenues decreased 6%5% to $314$247 million and debt underwriting revenues increased 2%7% to $737 million, all versus the prior-year period.$705 million.
Treasury and trade solutions revenues of $2.4 billion increased 4%6% versus the prior-year period, and 7% excluding the impact of FX translation, reflecting continued strong client engagement withand growth in deposits and transaction volumes, as well as improved trade spreads.partially offset by spread compression. Private bank revenues of $867 million increased 2% to $866 million versus the prior-year period, reflecting growth with new and existing clients, which drove, driven by higher lending and deposit volumes as well as growth in assets under management,higher investment activity with both new and existing clients, partially offset by spread compression. Corporate lending revenues decreased 24%increased 8% to $463$494 million. Excluding the impact of gains (losses) on loan hedges,


corporate lending revenues decreased 9% versus the prior-year period,6%, reflecting lower spreads and higher hedging costs.
Markets and securities services revenues of $4.7$4.5 billion increased 4%1% from the prior-year period, including the Tradeweb gain. Excluding the Tradeweb gain, Markets and securities services revenues decreased 4% from the prior-year period, as higher revenues in securities services were more than offset by lower fixed income and equity markets revenues.period. Fixed income markets revenues of $3.3$3.2 billion increased 8%were largely unchanged from


the prior-year period, including the Tradeweb gain. Excluding the Tradeweb gain, fixed income markets revenues decreased 4%, reflecting the challenging market environment,with improved activity with both corporate and investor clients and strength in rates and currencies, particularly inG10 rates. Equity markets revenues of $790$760 million decreased 9%4%, primarily reflecting lower client activity and lower balances in cash equities and prime finance, partially offset by strong corporate client activity in derivatives. Securities services revenues of $682$664 million increased 3%decreased 1% versus the prior-year period, and 7%but increased 2% excluding the impact of FX translation, reflecting higher rates as well as an increase in client activity.volumes from new and existing clients. For additional information on the results of operations of ICG for the secondthird quarter of 2019, see “Institutional Clients Group” below.

Corporate/Other
Corporate/Other net income was $54$167 million in the secondthird quarter of 2019, compared to a net loss of $14$68 million in the prior-year period, primarily reflecting the benefit of a discrete tax item and a pretax loss in the current period. Operating expenses of $481$485 million declined 20%increased 6% from the prior-year period, largely reflecting higher infrastructure costs, partially offset by the continued wind-down of legacy assets. Corporate/Other revenues of $532$402 million increased 1%decreased 18% from the prior-year period, as higher treasury revenues and gains were largely offsetprimarily driven by the continued wind-down of legacy assets. For additional information on the results of operations of Corporate/Other for the secondthird quarter of 2019, see “Corporate/Other” below.



















RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1
Citigroup Inc. and Consolidated Subsidiaries
Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars, except per share amounts and ratios20192018% Change20192018% Change20192018% Change20192018% Change
Net interest revenue$11,950
$11,665
2 %$23,709
$22,837
4 %$11,641
$11,802
(1)%$35,350
$34,639
2 %
Non-interest revenue6,808
6,804
—
13,625
14,504
(6)6,933
6,587
5
20,558
21,091
(3)
Revenues, net of interest expense$18,758
$18,469
2 %$37,334
$37,341
— %$18,574
$18,389
1 %$55,908
$55,730
— %
Operating expenses10,500
10,712
(2)21,084
21,637
(3)10,464
10,311
1
31,548
31,948
(1)
Provisions for credit losses and for benefits and claims2,093
1,812
16
4,073
3,669
11
2,088
1,974
6
6,161
5,643
9
Income from continuing operations before income taxes$6,165
$5,945
4 %$12,177
$12,035
1 %$6,022
$6,104
(1)%$18,199
$18,139
— %
Income taxes1,373
1,444
(5)2,648
2,885
(8)1,079
1,471
(27)3,727
4,356
(14)
Income from continuing operations$4,792
$4,501
6 %$9,529
$9,150
4 %$4,943
$4,633
7 %$14,472
$13,783
5 %
Income from discontinued operations,
net of taxes(1)
17
15
13
15
8
88
Income (loss) from discontinued operations,
net of taxes(1)
(15)(8)(88)—
—
—
Net income before attribution of noncontrolling
interests
$4,809
$4,516
6 %$9,544
$9,158
4 %$4,928
$4,625
7 %$14,472
$13,783
5 %
Net income attributable to noncontrolling interests10
26
(62)35
48
(27)15
3
NM
50
51
(2)
Citigroup’s net income$4,799
$4,490
7 %$9,509
$9,110
4 %$4,913
$4,622
6 %$14,422
$13,732
5 %
Less: 

   
Preferred dividends—Basic$296
$318
(7)%$558
$590
(5)%
Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS50
49
2
109
90
21
Income allocated to unrestricted common shareholders
for basic and diluted EPS
$4,453
$4,123
8 %$8,842
$8,430
5 %
Earnings per share 

  
  

  
 
Basic 

  
  

  
 
Income from continuing operations$1.94
$1.62
20 %$3.81
$3.30
15 %$2.09
$1.74
20 %$5.92
$5.04
17 %
Net income1.95
1.63
20
3.82
3.31
15
2.09
1.73
21
5.92
5.04
17
Diluted 

    

   
Income from continuing operations$1.94
$1.62
20 %$3.81
$3.30
15 %$2.08
$1.74
20 %$5.89
$5.04
17 %
Net income1.95
1.63
20
3.82
3.31
15
2.07
1.73
20
5.89
5.04
17
Dividends declared per common share0.45
0.32
41
0.90
0.64
41
0.51
0.45
13
1.41
1.09
29
Common dividends$1,183
$1,127
5 %$3,299
$2,777
19 %
Preferred dividends(2)
254
270
(6)812
860
(6)
Common share repurchases$5,120
$5,271
(3)$12,750
$9,846
29

Table continues on the next page, including footnotes.



SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2
Citigroup Inc. and Consolidated Subsidiaries
Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars, except per share amounts, ratios and direct staff20192018% Change20192018% Change20192018% Change20192018 
At June 30:     
At September 30:     
Total assets$1,988,226
$1,912,334
4 %   $2,014,802
$1,925,165
5 %   
Total deposits1,045,607
996,730
5
   1,087,769
1,005,176
8
   
Long-term debt252,189
236,822
6
   242,238
235,270
3
   
Citigroup common stockholders’ equity179,379
181,059
(1)   176,893
177,969
(1)   
Total Citigroup stockholders’ equity197,359
200,094
(1)   196,373
197,004
—
   
Average assets2,000,082
1,922,804
4
$1,972,873
$1,914,710

Direct staff (in thousands)
200
205
(2)   199
206
(3)   
Performance metrics 

    

   
Return on average assets0.97%0.94%

0.98%0.96% 0.97%0.95%

0.98%0.96% 
Return on average common stockholders’ equity(2)
10.1
9.2


10.2
9.5
 
Return on average total stockholders’ equity(2)
9.8
9.0


9.8
9.2
 
Return on average common stockholders’ equity(3)
10.4
9.6


10.2
9.5
 
Return on average total stockholders’ equity(3)
9.9
9.2


9.8
9.2
 
Return on tangible common equity (RoTCE)(4)
12.2
11.3
 12.0
11.2
 
Efficiency ratio (total operating expenses/total revenues)56.0
58.0


56.5
57.9
 56.3
56.1


56.4
57.3
 
Basel III ratios          
Common Equity Tier 1 Capital(3)
11.89%12.14%    
Tier 1 Capital(3)
13.43
13.77
    
Total Capital(3)
16.36
16.31
    
Common Equity Tier 1 Capital(5)
11.58%11.73%    
Tier 1 Capital(5)
13.20
13.36
    
Total Capital(5)
16.07
15.98
    
Supplementary Leverage ratio6.38
6.60
    6.27
6.50
    
Citigroup common stockholders’ equity to assets9.02%9.47% 

  8.78%9.24% 

  
Total Citigroup stockholders’ equity to assets9.93
10.46
 

  9.75
10.23
 

  
Dividend payout ratio(4)
23.1
19.6
 23.6%19.3% 
Total payout ratio(5)
102.5
74.9
 108.9
73.1
 
Dividend payout ratio(6)
24.6
26.0
 23.9%21.6% 
Total payout ratio(7)
135.3
147.0
 117.9
98.1
 
Book value per common share$79.40
$71.95
10 %

  $81.02
$72.88
11 %

  
Tangible book value (TBV) per share(6)
67.64
61.29
10
   
Tangible book value (TBV) per share(4)
69.03
61.91
12
   
(1)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.
(2)Certain series of preferred stock have semi-annual payment dates. See Note 9 to the Consolidated Financial Statements.
(3)The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
(3)(4)For information on RoTCE and TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity” below.
(5)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, whereas the reportable Total Capital ratio was the lower derived under the U.S. Basel III Advanced Approaches 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.
(4)(6)Dividends declared per common share as a percentage of net income per diluted share.
(5)(7)
Total common dividends declared plus common stock repurchases as a percentage of net income available to common shareholders.shareholders (Net income, less preferred dividends). See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 9 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details.
(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.





SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars20192018% Change20192018% Change20192018% Change20192018% Change
Income from continuing operations          
Global Consumer Banking          
North America$721
$719
— %$1,490
$1,557
(4)%$926
$850
9 %$2,416
$2,407
— %
Latin America262
197
33
514
376
37
238
331
(28)752
707
6
Asia(1)
430
360
19
846
733
15
422
383
10
1,268
1,116
14
Total$1,413
$1,276
11 %$2,850
$2,666
7 %$1,586
$1,564
1 %$4,436
$4,230
5 %
Institutional Clients Group

 



 



 



 

North America$1,022
$1,030
(1)%$1,736
$1,888
(8)%$801
$871
(8)%$2,537
$2,759
(8)%
EMEA1,005
986
2
2,130
2,099
1
1,060
971
9
3,190
3,070
4
Latin America491
517
(5)994
1,011
(2)466
544
(14)1,460
1,555
(6)
Asia825
708
17
1,805
1,577
14
843
735
15
2,648
2,312
15
Total$3,343
$3,241
3 %$6,665
$6,575
1 %$3,170
$3,121
2 %$9,835
$9,696
1 %
Corporate/Other36
(16)NM
14
(91)NM
187
(52)NM
201
(143)NM
Income from continuing operations$4,792
$4,501
6 %$9,529
$9,150
4 %$4,943
$4,633
7 %$14,472
$13,783
5 %
Discontinued operations$17
$15
13 %$15
$8
88 %$(15)$(8)(88)%$—
$—
— %
Less: Net income attributable to noncontrolling interests10
26
(62)35
48
(27)15
3
NM
50
51
(2)
Citigroup’s net income$4,799
$4,490
7 %$9,509
$9,110
4 %$4,913
$4,622
6 %$14,422
$13,732
5 %

(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 Third Quarter Nine Months 
In millions of dollars20192018% Change20192018% Change20192018% Change20192018% Change
Global Consumer Banking          
North America$5,158
$5,004
3 %$10,343
$10,161
2 %$5,352
$5,129
4 %$15,695
$15,290
3 %
Latin America1,432
1,375
4
2,813
2,715
4
1,390
1,664
(16)4,203
4,379
(4)
Asia(1)
1,915
1,865
3
3,800
3,794
—
1,916
1,855
3
5,716
5,649
1
Total$8,505
$8,244
3 %$16,956
$16,670
2 %$8,658
$8,648
— %$25,614
$25,318
1 %
Institutional Clients Group

 

  



 

  

North America$3,478
$3,511
(1)%$6,597
$6,777
(3)%$3,104
$3,329
(7)%$9,701
$10,106
(4)%
EMEA2,960
3,043
(3)6,130
6,210
(1)3,138
2,927
7
9,268
9,137
1
Latin America1,195
1,168
2
2,355
2,384
(1)1,173
1,061
11
3,528
3,445
2
Asia2,088
1,975
6
4,333
4,181
4
2,099
1,931
9
6,432
6,112
5
Total$9,721
$9,697
— %$19,415
$19,552
(1)%$9,514
$9,248
3 %$28,929
$28,800
— %
Corporate/Other532
528
1
963
1,119
(14)402
493
(18)1,365
1,612
(15)
Total Citigroup net revenues$18,758
$18,469
2 %$37,334
$37,341
— %$18,574
$18,389
1 %$55,908
$55,730
— %
(1)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.





SEGMENT BALANCE SHEET(1)—SEPTEMBER 30, 2019
In millions of dollars
Global
Consumer
Banking
Institutional
Clients
Group
Corporate/Other
and
consolidating
eliminations(2)
Citigroup
parent company-
issued long-term
debt and
stockholders’
equity(3)
Total
Citigroup
consolidated
Global
Consumer
Banking
Institutional
Clients
Group
Corporate/Other
and
consolidating
eliminations(2)
Citigroup
parent company-
issued long-term
debt and
stockholders’
equity(3)
Total
Citigroup
consolidated
Assets          
Cash and deposits with banks$9,323
$71,804
$122,116
$—
$203,243
$7,037
$72,772
$140,634
$—
$220,443
Securities borrowed and purchased under agreements to resell175
259,341
253
—
259,769
129
260,730
266
—
261,125
Trading account assets1,041
295,151
10,639
—
306,831
1,229
294,037
11,558
—
306,824
Investments1,064
117,471
231,167
—
349,702
1,077
120,417
236,889
—
358,383
Loans, net of unearned income and
allowance for loan losses

304,569
360,298
11,337
—
676,204
305,304
363,359
10,550
—
679,213
Other assets38,943
110,571
42,963
—
192,477
40,007
109,917
38,890
—
188,814
Net inter-segment liquid assets(4)
81,471
239,509
(320,980)—
—
85,411
257,871
(343,282)—
—
Total assets$436,586
$1,454,145
$97,495
$—
$1,988,226
$440,194
$1,479,103
$95,505
$—
$2,014,802
Liabilities and equity     
Total deposits$315,923
$714,759
$14,925
$—
$1,045,607
$322,126
$752,640
$13,003
$—
$1,087,769
Securities loaned and sold under
agreements to repurchase
4,255
176,844
34
—
181,133
4,479
190,469
99
—
195,047
Trading account liabilities411
135,394
489
—
136,294
688
134,585
323
—
135,596
Short-term borrowings370
26,646
15,426
—
42,442
395
25,393
9,442
—
35,230
Long-term debt(3)
1,752
53,783
44,513
152,141
252,189
1,666
57,888
37,342
145,342
242,238
Other liabilities21,023
92,664
18,764
—
132,451
20,544
84,705
16,603
—
121,852
Net inter-segment funding (lending)(3)
92,852
254,055
2,593
(349,500)—
90,296
233,423
17,996
(341,715)—
Total liabilities$436,586
$1,454,145
$96,744
$(197,359)$1,790,116
$440,194
$1,479,103
$94,808
$(196,373)$1,817,732
Total stockholders’ equity(5)
—
—
751
197,359
198,110
—
—
697
196,373
197,070
Total liabilities and equity$436,586
$1,454,145
$97,495
$—
$1,988,226
$440,194
$1,479,103
$95,505
$—
$2,014,802

(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of JuneSeptember 30, 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 inon the Citigroup parent company balance sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)Represents the attribution of Citigroup’s liquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions.
(5)
Corporate/Other equity represents noncontrolling interests.








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 2,3992,394 branches in 19 countries and jurisdictions as of JuneSeptember 30, 2019. At JuneSeptember 30, 2019, GCB had approximately $437$440 billion in assets and $316$322 billion in deposits.
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 (including commercial banking), Citi serves customers in a somewhat broader set of segments and geographies.

Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars, except as otherwise noted20192018% Change20192018% Change20192018% Change20192018% Change
Net interest revenue$7,272
$7,019
4 %$14,525
$13,999
4 %$7,431
$7,236
3 %$21,956
$21,235
3 %
Non-interest revenue1,233
1,225
1
2,431
2,671
(9)1,227
1,412
(13)3,658
4,083
(10)
Total revenues, net of interest expense$8,505
$8,244
3 %$16,956
$16,670
2 %$8,658
$8,648
— %$25,614
$25,318
1 %
Total operating expenses$4,663
$4,652
— %$9,271
$9,329
(1)%$4,561
$4,658
(2)%$13,832
$13,987
(1)%
Net credit losses$1,889
$1,726
9 %$3,780
$3,462
9 %$1,823
$1,714
6 %$5,603
$5,176
8 %
Credit reserve build (release)99
154
(36)175
298
(41)172
186
(8)347
484
(28)
Provision (release) for unfunded lending commitments5
3
67 %10
2
NM
—
6
(100)10
8
25
Provision for benefits and claims19
22
(14)31
48
(35)17
27
(37)48
75
(36)
Provisions for credit losses and for benefits and claims (LLR & PBC)$2,012
$1,905
6 %$3,996
$3,810
5 %$2,012
$1,933
4 %$6,008
$5,743
5 %
Income from continuing operations before taxes$1,830
$1,687
8 %$3,689
$3,531
4 %$2,085
$2,057
1 %$5,774
$5,588
3 %
Income taxes417
411
1
839
865
(3)499
493
1
1,338
1,358
(1)
Income from continuing operations$1,413
$1,276
11 %$2,850
$2,666
7 %$1,586
$1,564
1 %$4,436
$4,230
5 %
Noncontrolling interests1
1
—
1
3
(67)2
1
100
3
4
(25)
Net income$1,412
$1,275
11 %$2,849
$2,663
7 %$1,584
$1,563
1 %$4,433
$4,226
5 %
Balance Sheet data and ratios (in billions of dollars)


 

  



 

  

Total EOP assets$437
$422
4 %  

$440
$427
3 %  

Average assets431
417
3
$429
$420
2 %438
424
3
$432
$421
3 %
Return on average assets1.31%1.23%

1.34%1.28%

1.43%1.46%

1.37%1.34%

Efficiency ratio55
56


55
56


53
54


54
55


Average deposits$313
$306
2
$312
$307
2
$316
$307
3
$313
$307
2
Net credit losses as a percentage of average loans2.45%2.28%

2.46%2.29%

2.31%2.22%

2.41%2.27%

Revenue by business

 

  



 

  

Retail banking$3,574
$3,483
3 %$7,041
$6,947
1 %$3,486
$3,711
(6)%$10,527
$10,658
(1)%
Cards(1)
4,931
4,761
4
9,915
9,723
2
5,172
4,937
5
15,087
14,660
3
Total$8,505
$8,244
3 %$16,956
$16,670
2 %$8,658
$8,648
— %$25,614
$25,318
1 %
Income from continuing operations by business

 

  



 

  

Retail banking$629
$577
9 %$1,155
$1,097
5 %$575
$663
(13)%$1,730
$1,760
(2)%
Cards(1)
784
699
12
1,695
1,569
8
1,011
901
12
2,706
2,470
10
Total$1,413
$1,276
11 %$2,850
$2,666
7 %$1,586
$1,564
1 %$4,436
$4,230
5 %
Table continues on the next page, including footnotes.



Foreign currency (FX) translation impact 

    

   
Total revenue—as reported$8,505
$8,244
3%$16,956
$16,670
2 %$8,658
$8,648
— %$25,614
$25,318
1 %
Impact of FX translation(2)
—
(29)

—
(142)

—
(82)

—
(220)

Total revenues—ex-FX(3)
$8,505
$8,215
4%$16,956
$16,528
3 %$8,658
$8,566
1 %$25,614
$25,098
2 %
Total operating expenses—as reported$4,663
$4,652
—%$9,271
$9,329
(1)%$4,561
$4,658
(2)%$13,832
$13,987
(1)%
Impact of FX translation(2)
—
(23)

—
(93)

—
(44)

—
(135)

Total operating expenses—ex-FX(3)
$4,663
$4,629
1%$9,271
$9,236
— %$4,561
$4,614
(1)%$13,832
$13,852
— %
Total provisions for LLR & PBC—as reported$2,012
$1,905
6%$3,996
$3,810
5 %$2,012
$1,933
4 %$6,008
$5,743
5 %
Impact of FX translation(2)
—
(2)

—
(22)

—
(20)

—
(41)

Total provisions for LLR & PBC—ex-FX(3)
$2,012
$1,903
6%$3,996
$3,788
5 %$2,012
$1,913
5 %$6,008
$5,702
5 %
Net income—as reported$1,412
$1,275
11%$2,849
$2,663
7 %$1,584
$1,563
1 %$4,433
$4,226
5 %
Impact of FX translation(2)
—
(4)

—
(19)

—
(14)

—
(30)

Net income—ex-FX(3)
$1,412
$1,271
11%$2,849
$2,644
8 %$1,584
$1,549
2 %$4,433
$4,196
6 %
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the secondthird quarter of 2019 and year-to-date 2019 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 JuneSeptember 30, 2019, North America GCB had 688687 retail bank branches concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also as of JuneSeptember 30, 2019, North America GCB had approximately 9.1 million retail banking customer accounts, $58.3$59.2 billion in retail banking loans and $184.0$191.6 billion in deposits. In addition, North America GCB had approximately 118.9117.7 million Citi-branded and Citi retail services credit card accounts with $140.2$141.5 billion in outstanding card loan balances.
Second Quarter Six Months Third Quarter Nine Months 
In millions of dollars, except as otherwise noted20192018% Change20192018% Change20192018% Change20192018% Change
Net interest revenue$5,030
$4,780
5 %$10,088
$9,530
6 %$5,189
$4,984
4 %$15,277
$14,514
5 %
Non-interest revenue128
224
(43)255
631
(60)163
145
12
418
776
(46)
Total revenues, net of interest expense$5,158
$5,004
3 %$10,343
$10,161
2 %$5,352
$5,129
4 %$15,695
$15,290
3 %
Total operating expenses$2,720
$2,666
2 %$5,389
$5,311
1 %$2,612
$2,668
(2)%$8,001
$7,979
— %
Net credit losses$1,428
$1,278
12 %$2,857
$2,574
11 %$1,355
$1,242
9 %$4,212
$3,816
10 %
Credit reserve build (release)82
115
(29)180
238
(24)175
116
51
355
354
—
Provision (release) for unfunded lending commitments6
2
NM
11
(2)NM
(1)5
NM
10
3
NM
Provision for benefits and claims6
5
20
12
11
9
4
5
(20)16
16
—
Provisions for credit losses and for benefits and claims$1,522
$1,400
9 %$3,060
$2,821
8 %$1,533
$1,368
12 %$4,593
$4,189
10 %
Income from continuing operations before taxes$916
$938
(2)%$1,894
$2,029
(7)%$1,207
$1,093
10 %$3,101
$3,122
(1)%
Income taxes195
219
(11)404
472
(14)281
243
16
685
715
(4)
Income from continuing operations$721
$719
— %$1,490
$1,557
(4)%$926
$850
9 %$2,416
$2,407
— %
Noncontrolling interests—
—
—
—
—
—
—
—
—
—
—
—
Net income$721
$719
— %$1,490
$1,557
(4)%$926
$850
9 %$2,416
$2,407
— %
Balance Sheet data and ratios (in billions of dollars)


 

 
 




 

 
 


Average assets$253
$244
4 %$252
$246
2 %$258
$249
4 %$254
$247
3 %
Return on average assets1.14%1.18%

1.19%1.28%

1.42%1.35%

1.27%1.30%

Efficiency ratio53
53


52
52


49
52


51
52


Average deposits$183.0
$179.9
2
$182.7
$180.4
1
$186.0
$180.2
3
$183.8
$180.3
2
Net credit losses as a percentage of average loans2.93%2.72%

2.95%2.74%

2.70%2.56%

2.87%2.68%

Revenue by business

 

 
 




 

 
 


Retail banking$1,351
$1,348
— %$2,667
$2,655
— %$1,304
$1,329
(2)%$3,971
$3,984
— %
Citi-branded cards2,197
2,062
7
4,392
4,294
2
2,334
2,108
11
6,726
6,402
5
Citi retail services1,610
1,594
1
3,284
3,212
2
1,714
1,692
1
4,998
4,904
2
Total$5,158
$5,004
3 %$10,343
$10,161
2 %$5,352
$5,129
4 %$15,695
$15,290
3 %
Income from continuing operations by business

 

 
 




 

 
 


Retail banking$114
$161
(29)%$197
$301
(35)%$109
$131
(17)%$306
$432
(29)%
Citi-branded cards364
309
18
746
734
2
441
375
18
1,187
1,109
7
Citi retail services243
249
(2)547
522
5
376
344
9
923
866
7
Total$721
$719
— %$1,490
$1,557
(4)%$926
$850
9 %$2,416
$2,407
— %

NM Not meaningful


2Q193Q19 vs. 2Q183Q18
Net income was largely unchanged,increased 9%, as higher revenues and a lower effective tax rateexpenses were partially offset by higher cost of credit and higher expenses.credit.
Revenues increased 3%4%, reflecting growth in Citi-branded cards and Citi retail services.services, partially offset by lower retail banking revenues.
Retail banking revenues were largely unchanged. Excluding mortgage revenues (decline of 9%), revenues were up 1%decreased 2%, as growth inthe benefit of stronger deposit volumes was partiallymore than offset by lower deposit spreads, in commercial banking.reflecting lower interest rates. Average deposits increased 2%3% and assets under management increased 12%8%. The declineCiti expects that retail banking revenues will likely continue to be impacted by the lower interest rate environment in mortgage revenues was driven by spread compression, partially offset by higher volumes.the near term.
Cards revenues increased 4%7%. In Citi-branded cards, revenues increased 7%11%, primarily driven by continued growth in interest-earning balances. Average loans increased 2%3% and purchase sales increased 8%7%.
Citi retail services revenues increased 1%, primarily driven by organic loan growth and the benefit of the L.L.Bean portfolio acquisition, partially offset by higher contractual partner payments.growth. Average loans increased 5% and1%, while purchase sales increased 4%decreased 2%.
Expenses increaseddecreased 2%, as efficiency savings more than offset ongoing investments and higher volume-related expenses and investments were largely offset by efficiency savings.expenses.
Provisions increased 9%12% from the prior-year period, primarily driven by higher net credit losses partially offset byand a lowerhigher net loan loss reserve build. Net credit losses increased 12%9%, primarily driven by higher net credit losses in Citi-branded cards (up 10%11% to $723$712 million) and Citi retail services (up 11%6% to $654$598 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 current quarter was $88$174 million, reflecting volume growth and seasoning in both cards portfolios (compared to a build of $117$121 million in the prior-year period).
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.
 
2019 YTD vs. 2018 YTD
Year-to-date, North America GCB experienced similar trends to those described above. Net income decreased 4%,was largely unchanged, as higher revenues were offset by higher cost of credit, and higherwhile expenses were partially offset by a lower effective tax rate and higher revenues.largely unchanged.
Revenues increased 2%3%. Excluding the impact of the $150 million gain on the Hilton portfolio sale in the prior-year period, revenues increased 3%4%, reflecting higher revenues in Citi-branded cards and Citi retail services. Retail banking revenues were largely unchanged. Excluding mortgage revenues (decline of 11%), retail banking revenues increased 2%, driven by the same factors described above. Cards revenues increased 2% (4%4% (5% excluding the Hilton gain). In Citi-branded cards, revenues increased 2% (6%5% (8% excluding the Hilton gain), driven by the same factors described above. Citi retail services revenues increased 2%, driven by organic loan growth and the same factors described above.benefit of the L.L.Bean portfolio acquisition.
Expenses increased 1%, drivenwere largely unchanged, as efficiency savings were offset by the same factors described above.ongoing investments and higher volume-related expenses.
Provisions increased 8%10%. Net credit losses increased 11%10%, driven by volume growth and seasoning in both cards portfolios. This increase was partially offset by a 19% decline in theThe net loan loss reserve build.build increased 2% from the prior-year period, driven by the same factors described above.








LATIN AMERICA GCB
Latin America GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses in Mexico through Citibanamex, one of Mexico’s largest banks.
At JuneSeptember 30, 2019, Latin America GCB had 1,4591,458 retail branches in Mexico, with approximately 30.3 million retail banking customer accounts, $20.1$19.3 billion in retail banking loans and $29.2$28.3 billion in deposits. In addition, the business had approximately 5.45.3 million Citi-branded card accounts with $5.7$5.5 billion in outstanding card loan balances.

Second Quarter Six Months% ChangeThird Quarter Nine Months% Change
In millions of dollars, except as otherwise noted20192018% Change2019201820192018% Change20192018
Net interest revenue$1,017
$1,013
— %$1,992
$2,010
(1)%$1,017
$1,042
(2)%$3,009
$3,052
(1)%
Non-interest revenue415
362
15
821
705
16
373
622
(40)1,194
1,327
(10)
Total revenues, net of interest expense$1,432
$1,375
4 %$2,813
$2,715
4 %$1,390
$1,664
(16)%$4,203
$4,379
(4)%
Total operating expenses$765
$779
(2)%$1,500
$1,534
(2)%$781
$825
(5)%$2,281
$2,359
(3)%
Net credit losses$285
$278
3 %$583
$556
5 %$285
$307
(7)%$868
$863
1 %
Credit reserve build10
33
(70)3
75
(96)(8)31
NM
(5)106
NM
Provision (release) for unfunded lending commitments(1)—
—
(1)1
NM
—
—
—
(1)1
NM
Provision for benefits and claims13
17
(24)19
37
(49)13
22
(41)32
59
(46)
Provisions for credit losses and for benefits and claims (LLR & PBC)$307
$328
(6)%$604
$669
(10)%$290
$360
(19)%$894
$1,029
(13)%
Income from continuing operations before taxes$360
$268
34 %$709
$512
38 %$319
$479
(33)%$1,028
$991
4 %
Income taxes98
71
38
195
136
43
81
148
(45)276
284
(3)
Income from continuing operations$262
$197
33 %$514
$376
37 %$238
$331
(28)%$752
$707
6 %
Net income$262
$197
33 %$514
$376
37 %$238
$331
(28)%$752
$707
6 %
Balance Sheet data and ratios (in billions of dollars)


 

 
 




 

 
 


Average assets$45
$43
5 %$45
$44
2 %$47
$45
4 %$45
$44
2 %
Return on average assets2.34%1.84%

2.30%1.72%

2.01%2.92%

2.23%2.15%

Efficiency ratio53
57


53
57


56
50


54
54


Average deposits$29.2
$28.3
3
$28.9
$28.6
1
$29.2
$29.4
(1)$29.0
$28.9
—
Net credit losses as a percentage of average loans4.47%4.37%

4.57%4.33%

4.45%4.63%

4.55%4.44%

Revenue by business

 

  



 

  

Retail banking$1,015
$993
2 %$2,023
$1,952
4 %$972
$1,259
(23)%$2,995
$3,211
(7)%
Citi-branded cards417
382
9
790
763
4
418
405
3
1,208
1,168
3
Total$1,432
$1,375
4 %$2,813
$2,715
4 %$1,390
$1,664
(16)%$4,203
$4,379
(4)%
Income from continuing operations by business

 

 
 




 

 
 


Retail banking$192
$152
26 %$389
$286
36 %$155
$276
(44)%$544
$562
(3)%
Citi-branded cards70
45
56
125
90
39
83
55
51
208
145
43
Total$262
$197
33 %$514
$376
37 %$238
$331
(28)%$752
$707
6 %
FX translation impact

 

  




 

  


Total revenues—as reported$1,432
$1,375
4 %$2,813
$2,715
4 %$1,390
$1,664
(16)%$4,203
$4,379
(4)%
Impact of FX translation(1)
—
13


—
(31)

—
(59)

—
(86)

Total revenues—ex-FX(2)
$1,432
$1,388
3 %$2,813
$2,684
5 %$1,390
$1,605
(13)%$4,203
$4,293
(2)%
Total operating expenses—as reported$765
$779
(2)%$1,500
$1,534
(2)%$781
$825
(5)%$2,281
$2,359
(3)%
Impact of FX translation(1)
—
6


—
(16)

—
(26)

—
(41)

Total operating expenses—ex-FX(2)
$765
$785
(3)%$1,500
$1,518
(1)%$781
$799
(2)%$2,281
$2,318
(2)%
Provisions for LLR & PBC—as reported$307
$328
(6)%$604
$669
(10)%$290
$360
(19)%$894
$1,029
(13)%
Impact of FX translation(1)
—
3


—
(9)

—
(14)

—
(22)

Provisions for LLR & PBC—ex-FX(2)
$307
$331
(7)%$604
$660
(8)%$290
$346
(16)%$894
$1,007
(11)%
Net income—as reported$262
$197
33 %$514
$376
37 %$238
$331
(28)%$752
$707
6 %
Impact of FX translation(1)
—
2


—
(5)

—
(14)

—
(16)

Net income—ex-FX(2)
$262
$199
32 %$514
$371
39 %$238
$317
(25)%$752
$691
9 %


(1)Reflects the impact of FX translation into U.S. dollars at the secondthird quarter of 2019 and year-to-date 2019 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.

2Q193Q19 vs. 2Q183Q18
Net income increased 32%decreased 25%, reflecting higherlower revenues, partially offset by lower expenses and lower cost of credit.
Revenues increased 3% from the prior year. Excluding revenues associated with the decreased 13%, including a gain on sale (approximately $250 million) of an asset management business in Mexico in the third quarter of 2018,prior-year period. Excluding the gain on sale, revenues increased 5%3%, primarily driven by an increase in cards revenues and improved deposit spreads.
Retail banking revenues increased 1% compared to the prior-year period.decreased 20%. Excluding the revenues associated with the asset management business,gain on sale, retail banking revenues increased 3%1%, as modest deposit growth (average deposits up 2%) and improved deposit spreads were partiallylargely offset by lower average loans (down 2%), reflecting the ongoing slowdown in overall economic growth and industry volumes in Mexico. Average deposits were up 2%. Cards revenues increased 8%7%, primarily driven by continued volume growth, reflecting higher purchase sales (up 7%6%) and full-rate revolving loans, as well as higher rates. Average cards loans grew 2%.
Expenses decreased 3%2%, as efficiency savings more than offset ongoing investment spending and volume-driven growth.
Provisions decreased 7%16%, primarily driven by a lowermodest net loan loss reserve release (compared to a net loan loss reserve build in the prior-year period) and lower net credit losses, reflecting lower volumes.
For additional information on Latin America GCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.


 

2019 YTD vs. 2018 YTD
Year-to-date, Latin America GCB experienced similar trends to those described above. Net income increased 39%9%, driven by the same factors described above.
Revenues decreased 2%, including the gain on sale. Excluding the gain on sale, revenues increased 5%4%, reflecting higher revenues in both retail banking and cards. Retail banking revenues increased 5%3% (excluding the gain on sale), driven by the same factors described above. Cards revenues increased 5%, driven by the same factors described above.
Expenses decreased 1%2%, driven by the same factors described above.
Provisions decreased 8%11%, primarily driven by a modest net loan loss reserve release (compared to a net loan loss reserve build in the same factors described above.prior-year period).











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.businesses. During the secondthird quarter of 2019, Asia GCB’s most significant revenues in Asia were from Hong Kong, Korea, Singapore, India, Taiwan, Korea, 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 JuneSeptember 30, 2019, on a combined basis, the businesses had 252249 retail branches, approximately 16.116.4 million retail banking customer accounts, $70.8$70.7 billion in retail banking loans and $102.6$102.3 billion in deposits. In addition, the businesses had approximately 15.2 million Citi-branded card accounts with $19.2$18.8 billion in outstanding card loan balances.

Second Quarter Six Months% ChangeThird Quarter Nine Months% Change
In millions of dollars, except as otherwise noted(1)
20192018% Change2019201820192018% Change20192018
Net interest revenue$1,225
$1,226
— %$2,445
$2,459
(1)%$1,225
$1,210
1 %$3,670
$3,669
— %
Non-interest revenue690
639
8
1,355
1,335
1
691
645
7
2,046
1,980
3
Total revenues, net of interest expense$1,915
$1,865
3 %$3,800
$3,794
— %$1,916
$1,855
3 %$5,716
$5,649
1 %
Total operating expenses$1,178
$1,207
(2)%$2,382
$2,484
(4)%$1,168
$1,165
— %$3,550
$3,649
(3)%
Net credit losses$176
$170
4 %$340
$332
2 %$183
$165
11 %$523
$497
5 %
Credit reserve build (release)7
6
17
(8)(15)47
5
39
(87)(3)24
NM
Provision (release) for unfunded lending commitments—
1
(100)—
3
(100)1
1
—
1
4
(75)
Provisions for credit losses$183
$177
3 %$332
$320
4 %$189
$205
(8)%$521
$525
(1)%
Income from continuing operations before taxes$554
$481
15 %$1,086
$990
10 %$559
$485
15 %$1,645
$1,475
12 %
Income taxes124
121
2
240
257
(7)137
102
34
377
359
5
Income from continuing operations$430
$360
19 %$846
$733
15 %$422
$383
10 %$1,268
$1,116
14 %
Noncontrolling interests1
1
—
1
3
(67)2
1
100
3
4
(25)
Net income$429
$359
19 %$845
$730
16 %$420
$382
10 %$1,265
$1,112
14 %
Balance Sheet data and ratios (in billions of dollars)






 
 








 
 


Average assets$133
$130
2 %$133
$131
2 %$133
$130
2 %$133
$130
2 %
Return on average assets1.29%1.11%

1.28%1.12%

1.25%1.17%

1.27%1.14%

Efficiency ratio62
65
 63
65


61
63
 62
65


Average deposits$100.7
$97.6
3
$100.0
$98.4
2
$100.6
$97.6
3
$100.2
$98.1
2
Net credit losses as a percentage of average loans0.80%0.77%

0.77%0.75%

0.82%0.75%

0.79%0.75%

Revenue by business    

    

Retail banking$1,208
$1,142
6 %$2,351
$2,340
— %$1,210
$1,123
8 %$3,561
$3,463
3 %
Citi-branded cards707
723
(2)1,449
1,454
—
706
732
(4)2,155
2,186
(1)
Total$1,915
$1,865
3 %$3,800
$3,794
— %$1,916
$1,855
3 %$5,716
$5,649
1 %
Income from continuing operations by business





  







  

Retail banking$323
$264
22 %$569
$510
12 %$311
$256
21 %$880
$766
15 %
Citi-branded cards107
96
11
277
223
24
111
127
(13)388
350
11
Total$430
$360
19 %$846
$733
15 %$422
$383
10 %$1,268
$1,116
14 %


FX translation impact

  



  

Total revenues—as reported$1,915
$1,865
3 %$3,800
$3,794
— %$1,916
$1,855
3 %$5,716
$5,649
1 %
Impact of FX translation(2)
—
(42)

—
(111)

—
(23)

—
(134)

Total revenues—ex-FX(3)
$1,915
$1,823
5 %$3,800
$3,683
3 %$1,916
$1,832
5 %$5,716
$5,515
4 %
Total operating expenses—as reported$1,178
$1,207
(2)%$2,382
$2,484
(4)%$1,168
$1,165
— %$3,550
$3,649
(3)%
Impact of FX translation(2)
—
(29)

—
(77)

—
(18)

—
(94)

Total operating expenses—ex-FX(3)
$1,178
$1,178
— %$2,382
$2,407
(1)%$1,168
$1,147
2 %$3,550
$3,555
— %
Provisions for loan losses—as reported$183
$177
3 %$332
$320
4 %$189
$205
(8)%$521
$525
(1)%
Impact of FX translation(2)
—
(5)

—
(13)

—
(6)

—
(19)

Provisions for loan losses—ex-FX(3)
$183
$172
6 %$332
$307
8 %$189
$199
(5)%$521
$506
3 %
Net income—as reported$429
$359
19 %$845
$730
16 %$420
$382
10 %$1,265
$1,112
14 %
Impact of FX translation(2)
—
(6)

—
(14)

—
—


—
(14)

Net income—ex-FX(3)
$429
$353
22 %$845
$716
18 %$420
$382
10 %$1,265
$1,098
15 %

(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 secondthird quarter of 2019 and year-to-date 2019 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.


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

2Q193Q19 vs. 2Q183Q18
Net income increased 22%10%, reflecting higher revenues and a lower effective tax rate,cost of credit, partially offset by higher cost of credit.expenses.
Revenues increased 5%, including a gain from a building sale. Excluding the gain, revenues increased 3%, driven by higher retail bankinginvestment and deposit revenues, partially offset by lower cards revenues.
Retail banking revenues increased 8%9% compared to the prior-year period. Excluding the gain, retail banking revenues increased 4%,period, primarily driven by higher deposit revenues as well as a recovery in investment revenues due to improved market sentiment.sentiment as well as higher deposit revenues. Investment sales increased 8%25%, while assets under management grew 10%8%, average deposits increased 6%5% and average loans increased 4%. Retail lending revenues declined 2%,were largely unchanged, as continued growth in personal loans was more than offset by lower mortgage revenues due to spread compression.
Cards revenues were largely unchanged,decreased 2%, as continued growth in average loans (up 4%3%) and purchase sales (up 5%7%) were more than offset by spread compression.
Expenses were largely unchanged,increased 2%, as efficiency savings were more than offset volume-driven growth andby ongoing investment spending.spending and volume-driven growth.
Provisions increased 6%decreased 5%, primarily drivenreflecting a lower net loan loss reserve build in the current quarter, partially offset by higher net credit losses, reflecting volume growth and seasoning. Overall credit quality continued to remain stable in the region.
For additional information on Asia GCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.

 

2019 YTD vs. 2018 YTD
Year-to-date, Asia GCB experienced similar trends to
those described above. Net income increased 18%15%, due toprimarily driven by higher revenues, lower expenses and a lower effective tax rate, partially offset by higher cost of credit.
Revenues increased 3%4%, driven by growth in both retail banking and cards. Retail banking revenues increased 3%, driven by5% from the prior-year period, reflecting growth in deposits, partially offset by lower investment and retail lending revenues. Cards revenues were up 3%, including a modest one-time gain. Excluding the gain, cards revenues were up 1%, driven by continued growth in average loans and purchase sales, partially offset by spread compression.
Expenses decreased 1%,were largely unchanged, as volume-driven growth andefficiency savings more than offset ongoing investment spending were more than offset by efficiency savings.and volume-driven growth.
Provisions increased 3%, as higher net credit losses, reflecting volume growth and seasoning, were up 8%, drivenpartially offset by a modest net loan loss reserve release in the same factors described above.current period versus a net loan loss reserve build in the prior-year period.















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. For more information on ICG’s business activities, see “Institutional Clients Group” in Citi’s 2018 Annual Report on Form 10-K.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 98 countries and jurisdictions. At JuneSeptember 30, 2019, ICG had approximately $1.5 trillion in assets and $715$753 billion in deposits, while two of its businesses—securities services and issuer services—managed approximately $19.0$19.2 trillion in assets under custody compared to $17.8$18.0 trillion at the end of the prior-year period.

Second Quarter Six Months% ChangeThird Quarter Nine Months% Change
In millions of dollars, except as otherwise noted20192018% Change2019201820192018% Change20192018
Commissions and fees$1,046
$1,127
(7)%$2,167
$2,340
(7)%$1,091
$1,085
1 %$3,258
$3,425
(5)%
Administration and other fiduciary fees696
713
(2)1,366
1,407
(3)693
686
1
2,059
2,093
(2)
Investment banking1,100
1,246
(12)2,212
2,231
(1)1,044
1,029
1
3,256
3,260
—
Principal transactions1,930
2,339
(17)4,562
5,183
(12)2,578
2,252
14
7,140
7,435
(4)
Other(1)
716
179
NM
1,000
644
55
310
184
68
1,310
828
58
Total non-interest revenue$5,488
$5,604
(2)%$11,307
$11,805
(4)%$5,716
$5,236
9 %$17,023
$17,041
— %
Net interest revenue (including dividends)4,233
4,093
3
8,108
7,747
5
3,798
4,012
(5)11,906
11,759
1
Total revenues, net of interest expense$9,721
$9,697
— %$19,415
$19,552
(1)%$9,514
$9,248
3 %$28,929
$28,800
— %
Total operating expenses$5,356
$5,460
(2)%$10,783
$10,966
(2)%$5,418
$5,194
4 %$16,201
$16,160
— %
Net credit losses$72
$(1)NM
$127
$104
22 %$89
$23
NM
$216
$127
70 %
Credit reserve build (release)47
32
47
(7)(143)95
(7)7
NM
(14)(136)90
Provision (release) for unfunded lending commitments(16)(6)NM
4
23
(83)9
41
(78)%13
64
(80)
Provisions for credit losses$103
$25
NM
$124
$(16)NM
$91
$71
28 %$215
$55
NM
Income from continuing operations before taxes$4,262
$4,212
1 %$8,508
$8,602
(1)%$4,005
$3,983
1 %$12,513
$12,585
(1)%
Income taxes919
971
(5)1,843
2,027
(9)835
862
(3)2,678
2,889
(7)
Income from continuing operations$3,343
$3,241
3 %$6,665
$6,575
1 %$3,170
$3,121
2 %$9,835
$9,696
1 %
Noncontrolling interests10
12
(17)21
27
(22)8
(6)NM
29
21
38
Net income$3,333
$3,229
3 %$6,644
$6,548
1 %$3,162
$3,127
1 %$9,806
$9,675
1 %
EOP assets (in billions of dollars)
$1,454
$1,397
4 %   $1,479
$1,404
5 %   
Average assets (in billions of dollars)
1,450
1,406
3
$1,432
$1,397
3 %1,465
1,402
4
$1,443
$1,399
3 %
Return on average assets0.92%0.92%

0.94%0.95%

0.86%0.88%

0.91%0.92%

Efficiency ratio55
56


56
56


57
56


56
56


Revenues by region 

  

 

  

North America$3,478
$3,511
(1)%$6,597
$6,777
(3)%$3,104
$3,329
(7)%$9,701
$10,106
(4)%
EMEA2,960
3,043
(3)6,130
6,210
(1)3,138
2,927
7
9,268
9,137
1
Latin America1,195
1,168
2
2,355
2,384
(1)1,173
1,061
11
3,528
3,445
2
Asia2,088
1,975
6
4,333
4,181
4
2,099
1,931
9
6,432
6,112
5
Total$9,721
$9,697
— %$19,415
$19,552
(1)%$9,514
$9,248
3 %$28,929
$28,800
— %
Income from continuing operations by region 

  


 

  


North America$1,022
$1,030
(1)%$1,736
$1,888
(8)%$801
$871
(8)%$2,537
$2,759
(8)%
EMEA1,005
986
2
2,130
2,099
1
1,060
971
9
3,190
3,070
4
Latin America491
517
(5)994
1,011
(2)466
544
(14)1,460
1,555
(6)
Asia825
708
17
1,805
1,577
14
843
735
15
2,648
2,312
15
Total$3,343
$3,241
3 %$6,665
$6,575
1 %$3,170
$3,121
2 %$9,835
$9,696
1 %

Average loans by region (in billions of dollars)
 

  


 

  


North America$178
$165
8 %$176
$162
9 %$179
$166
8 %$177
$164
8 %
EMEA85
80
6
85
79
8
88
82
7
86
80
8
Latin America33
33
—
34
34
—
31
33
(6)33
33
—
Asia63
68
(7)63
68
(7)63
65
(3)63
67
(6)
Total$359
$346
4 %$358
$343
4 %$361
$346
4 %$359
$344
4 %
EOP deposits by business (in billions of dollars)
    

    

Treasury and trade solutions$488
$459
6 %  

$506
$470
8 %  

All other ICG businesses
227
217
5






247
215
15






Total$715
$676
6 %





$753
$685
10 %






(1) The second quarter of 2019 includes an approximate $350 million gain on Citi's investment in Tradeweb.
(1)The nine months of 2019 includes an approximate $350 million gain on Citi's investment in Tradeweb.
NM Not meaningful

ICG Revenue Details
Second Quarter Six Months% ChangeThird Quarter Nine Months% Change
In millions of dollars20192018% Change2019201820192018% Change20192018
Investment banking revenue details
          
Advisory$232
$361
(36)%$610
$576
6 %$276
$262
5 %$886
$838
6 %
Equity underwriting314
335
(6)486
551
(12)247
259
(5)733
810
(10)
Debt underwriting737
726
2
1,541
1,425
8
705
660
7
2,246
2,085
8
Total investment banking$1,283
$1,422
(10)%$2,637
$2,552
3 %$1,228
$1,181
4 %$3,865
$3,733
4 %
Treasury and trade solutions2,441
2,336
4
4,836
4,604
5
2,410
2,283
6
7,246
6,887
5
Corporate lending—excluding gains (losses) on loan hedges(1)
538
589
(9)1,107
1,110
—
527
563
(6)1,634
1,673
(2)
Private bank866
848
2
1,746
1,752
—
867
849
2
2,613
2,601
—
Total banking revenues (ex-gains (losses) on loan hedges)$5,128
$5,195
(1)%$10,326
$10,018
3 %
Total Banking revenues (ex-gains (losses) on loan hedges)
$5,032
$4,876
3 %$15,358
$14,894
3 %
Corporate lending—gains (losses) on loan hedges(1)
$(75)$23
NM
$(306)$46
NM
$(33)$(106)69 %$(339)$(60)NM
Total banking revenues (including gains (losses) on loan hedges), net of interest expense$5,053
$5,218
(3)%$10,020
$10,064
— %
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense
$4,999
$4,770
5 %$15,019
$14,834
1 %
Fixed income markets(2)
$3,323
$3,082
8 %$6,775
$6,507
4 %$3,211
$3,206
— %$9,986
$9,713
3 %
Equity markets790
864
(9)1,632
1,967
(17)760
792
(4)2,392
2,759
(13)
Securities services682
665
3
1,320
1,306
1
664
672
(1)1,984
1,978
—
Other(127)(132)4
(332)(292)(14)(120)(192)38
(452)(484)7
Total markets and securities services revenues, net of interest expense$4,668
$4,479
4 %$9,395
$9,488
(1)%
Total Markets and securities services revenues, net of interest expense
$4,515
$4,478
1 %$13,910
$13,966
— %
Total revenues, net of interest expense$9,721
$9,697
— %$19,415
$19,552
(1)%$9,514
$9,248
3 %$28,929
$28,800
— %
Commissions and fees$198
$182
9 %$372
$357
4 %$194
$164
18 %$566
$521
9 %
Principal transactions(3)
1,870
2,114
(12)4,247
4,306
(1)2,080
2,026
3
6,327
6,332
—
Other(2)
533
28
NM
683
303
NM
183
86
NM
866
389
NM
Total non-interest revenue$2,601
$2,324
12 %$5,302
$4,966
7 %$2,457
$2,276
8 %$7,759
$7,242
7 %
Net interest revenue722
758
(5)1,473
1,541
(4)754
930
(19)2,227
2,471
(10)
Total fixed income markets(4)$3,323
$3,082
8 %$6,775
$6,507
4 %$3,211
$3,206
— %$9,986
$9,713
3 %
Rates and currencies$2,118
$2,241
(5)%$4,520
$4,718
(4)%$2,491
$2,353
6 %$7,011
$7,071
(1)%
Spread products/other fixed income1,205
841
43
2,255
1,789
26
720
853
(16)2,975
2,642
13
Total fixed income markets$3,323
$3,082
8 %$6,775
$6,507
4 %$3,211
$3,206
— %$9,986
$9,713
3 %
Commissions and fees$274
$308
(11)%$567
$669
(15)%$287
$285
1 %$854
$954
(10)%
Principal transactions(3)
7
101
(93)403
638
(37)388
284
37
791
922
(14)
Other10
20
(50)17
100
(83)2
(4)NM
19
96
(80)
Total non-interest revenue$291
$429
(32)%$987
$1,407
(30)%$677
$565
20 %$1,664
$1,972
(16)%
Net interest revenue499
435
15
645
560
15
83
227
(63)728
787
(7)
Total equity markets(4)$790
$864
(9)%$1,632
$1,967
(17)%$760
$792
(4)%$2,392
$2,759
(13)%


(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)The second quarternine months of 2019 includes an approximate $350 million gain on Citi's investment in Tradeweb.
(3)
Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
(4)
Citi assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate Net interest revenue may be risk managed by derivatives that are recorded in Principal transactions revenue. For a description of the composition of these revenue line items, see Notes 4, 5 and 6 to the Consolidated Financial Statements.
NM Not meaningful

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

2Q193Q19 vs. 2Q183Q18
Net income increased 3%1%, primarily driven by a decrease in expenses and a lower effective tax rate,as revenue growth was partially offset by an increase inhigher expenses and higher cost of credit.

•
Revenues were largely unchanged, as the Tradeweb gain was offset by lower revenues inup 3%, primarily reflecting higher Banking (decreaserevenues (increase of 3%5%, including the impact of the gains (losses) on loan hedges) and higher Markets and securities services(decrease of 4%, excluding the Tradeweb gain). Excluding the Tradeweb gain, revenues decreased 3%. Banking revenues were down 3%(increase of 1%). Excluding the impact of the gains (losses) on loan hedges, Banking revenues decreased 1%were up 3%, asdriven by higher revenues in treasury and trade solutions, investment banking and the private bank, were more thanpartially offset by lower revenues in investment banking and corporate lending. Markets and securities servicesrevenues were up 4% versus the prior-year period, including the Tradeweb gain. Excluding the Tradeweb gain, Markets and securities services1%, although fixed income markets revenues decreased 4%, as higher revenues in securities services were more than offset by lower fixed incomelargely unchanged and equity markets revenues. Citi expects that revenues in its markets and investment banking businesses will likely continue to reflect the overall marketdecreased.
Citi expects that ICG’s revenues will likely be impacted by the lower interest rate environment in the near term.

Within Banking:

•
Investment banking revenues declined 10%increased 4%, while outperforming the market wallet, as strength in debt underwriting wasand advisory revenues more than offset by a strong prior-year comparison in advisory.lower equity underwriting revenues. Advisory revenues declined 36%increased 5%, primarily reflectingdriven by strength in EMEA. Equity underwriting revenues decreased 5%, driven by a decline in market share in the market wallet as well as the strong prior-year period comparison. Equity underwriting revenues declined 6%, largely in line with the decline in market wallet.quarter, while share is up year-to-date. Debt underwriting revenues increased 2%7%, reflecting gains in wallet share, particularly in North America.investment-grade underwriting.
•
Treasury and trade solutions revenues increased 4%6%. Excluding the impact of FX translation, revenues increased 7%, driven by growth in both the cash and trade businesses, reflecting both higher net interest and fee revenues. Average deposit balances increased 8% (10%10% (11% excluding the impact of FX translation), reflecting strong growth across all regions. Revenue growth in the cash business was primarily driven byreflected continued growth in deposit balances, as deposit spreads remained stable.deposits and transaction volumes, partially offset by spread compression. Revenue growth in the trade business was driven primarily by improved loan spreads and higher episodic fees, modestly offset by lower average trade loans (for additional information, see “Liquidity Risk—Loans” below).
•
Corporate lending revenues decreased from $612 million to $463 million.increased 8%. Excluding the impact of gains (losses) on loan hedges, revenues
loan hedges, revenues
decreased 9%6%, driven by lower spreads and higher hedging costs and lower spreads.costs.
•
Private bank revenues increased 2%, driven primarily byreflecting growth in North America and Asia, partially offset by lower revenues in Latin AmericaEMEA. The increase in revenues reflected strong client activity, which drove higher lending,loan and deposit volumes and assets under management volumes,higher investments revenues, partially offset by spread compression.

Within Markets and securities services:

•
Fixed income markets revenues increased 8%, including the Tradeweb gain. Excluding the Tradeweb gain, revenues decreased 4%,were largely unchanged, as growth across Asia and Latin America was more than offset by lower revenues in North Americawere offset by higher revenues in EMEA, Asia and Latin America. The decrease in revenues reflected both lower net interest and non-interest revenues. Net interest revenues declined due to a change in the mix of trading positions in support of client activity. This decrease was offset by higher non-interest revenues, reflecting higher funding costs, given the higher interest rate environment. The decrease in non-interest revenues was largely driven by lower principal transactions revenues, reflecting lowercorporate and investor client activity particularly in both rates and currencies, in a challenging market environment.flow products.
Rates and currencies revenues decreased 5%increased 6%, as lowerprimarily driven by higher revenues in G10 rates and currencies, primarilylocal markets rates and currencies. The increase in G10 rates revenues was driven by higher revenues in North America, were partially offset byreflecting a more favorable operating environment along with higher investor client activity. The increase in local markets rates and currencies revenues whilereflected higher corporate client activity was broadly stable. The decrease in rates reflected the challenging market environment, particularly in North America, as well as lowerand investor client activity, in EMEA.given improved currency volatility.
Spread products and other fixed income revenues increased 43%, including the Tradeweb gain. Excluding the Tradeweb gain, revenues increased 1%decreased 16%, as an increase inhigher client activity in financing and flow products and financing was largelymore than offset by a continued challenging market environment in structured products, particularly in North America.
•
Equity markets revenues decreased 9%4%, primarily reflecting lower revenues in cash equities and prime finance, primarily in North America and Asia,partially offset by higher revenues in equity derivatives. The declinederivatives, while revenues in cash equities were largely unchanged. Prime finance revenues reflecteddeclined across all regions, reflecting lower client volumes. The decline in prime finance revenues was driven byactivity and lower client financing balances. Equity derivatives revenues increased, reflecting strong investor and corporate client activity as well as improved volatility. Non-interestNet interest revenues decreased, primarily drivenpartially offset by lowerhigher principal transactions revenues, reflecting a change in the mix of trading positions in support of client activity.

transactions revenues, reflecting a change in the mix of trading positions in support of client activity, partially offset by an increase in net interest revenues.
•
Securities services revenues increased 3%decreased 1%. Excluding the impact of FX translation, revenues increased 7%2%, driven by higher client volumes and an increase in interest revenues due to higher interest rates.

by higher client volumes as well as higher interest rates in emerging markets.

Expenses decreased 2%increased 4%, as investments, volume-related growth and higher compensation costs were partially offset by efficiency savings and a benefit from FX translation more than offset ongoing investments and volume-related growth.savings.
Provisions increased $78$20 million to $103$91 million, largely driven by higher net credit losses (up $73$66 million). The increase in, partially offset by a lower net credit losses largely reflected a normalizationloan loss reserve build (build of credit trends$2 million) as compared to the prior-year period that benefited from ratings upgrades. Citi expects this normalization(build of credit costs will likely continue in the near term.$48 million).

2019 YTD vs. 2018 YTD
Net income increased 1%, primarily driven by lower expenses and a lower effective tax rate, partially offset by lowerhigher credit costs, while revenues and higher credit costs.expenses were largely unchanged.

•
Revenues decreased 1%, driven by a 1% decrease in Markets and securities services revenues (including the Tradeweb gain), whilewere largely unchanged, as Banking revenues increased 1% (including the impact of the gains (losses) on loan hedges), while Markets and securities services revenues were largely unchanged. Excluding the impact of the gains (losses) on loan hedges, Banking revenues increased 3%, primarily driven by higher revenues in treasury and trade solutions and investment banking. Markets and securities services revenues decreased 1%, as the Tradeweb gain and higher securities services revenues were more thanbanking, partially offset by lower fixed income and equity markets revenues.revenues in corporate lending.

Within Banking:

•
Investment banking revenues increased 3%4%. Advisory revenues increased 6%, reflecting gains in wallet share despite a decline in overall market wallet. Equity underwriting revenues decreased 12%10%, reflecting market wallet declines, particularly in EMEA and Asia.declines. Debt underwriting revenues increased 8%, reflecting gains in wallet share, primarily in North America.investment-grade underwriting.
•
Treasury and trade solutions revenues increased 5%. Excluding the impact of FX translation, revenues increased 8%, reflecting growth in both the cash and trade businesses, driven by continued growth in deposit volumes and improved loan spreads as well as strong fee growth across most cash products.
•
Corporate lending revenues decreased from $1.2 billion to $801 million.20%. Excluding the impact of gains (losses) on loan hedges, revenues were largely unchanged.decreased 2%, driven by higher hedging costs and lower spreads.
•
Private bank revenues were largely unchanged versus the prior-year period, as higher loan and deposit volumes were offset by spread compression.
prior-year period, as higher loan and deposit volumes were offset by lower managed investments revenues and spread compression.
Within Markets and securities services:

•
Fixed income markets revenues increased 4%3%, including the Tradeweb gain. Excluding the Tradeweb gain, revenues decreased 1%, largelyprimarily reflecting lowerhigher revenues in North AmericaAsia and EMEA. Rates and currencies revenues decreased 4%1%, driven by the challenging market environment. Spread products and other fixed income revenues increased 26%13%, including the Tradeweb gain. Excludingreflecting the Tradeweb gain revenues increased 6%,as well as strong flow trading and financing revenues, were partially offset by lower revenues in structured products.products revenues.
•
Equity markets revenues decreased 17%13%, driven by North America and Asia, reflecting lower client activity as well as comparison to a strong prior-year period characterized by higher market volatility.challenging operating
environment with lower client revenues as well as comparison to a strong prior-year period characterized by higher market volatility.
•
Securities services revenues increased 1%were largely unchanged. Excluding the impact of FX translation, revenues increased 6%5%, as strength in Asia was offset by lower revenues in North America and EMEA, reflecting growth in both client volumes and assets under custody, as well as higher net interest revenue, driven by higher deposit volumes and higher interest rates.

Expenses decreased 2%, driven by the same factors described above.were largely unchanged, as efficiency savings offset investments, higher compensation and volume-driven growth.
Provisions increased $140$160 million to $124$215 million, primarily due to higher net credit losses (up $89 million), as well as a lower net loan loss reserve release (release of $3$1 million) as compared to the prior-year period (release of $120$72 million)., reflecting a normalization of credit costs.







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 JuneSeptember 30, 2019, Corporate/Other had $97$96 billion in assets.

Second Quarter Six Months% ChangeThird Quarter Nine Months% Change
In millions of dollars20192018% Change2019201820192018% Change20192018
Net interest revenue$445
$553
(20)%$1,076
$1,091
(1)%$412
$554
(26)%$1,488
$1,645
(10)%
Non-interest revenue87
(25)NM
(113)28
NM
(10)(61)84
(123)(33)NM
Total revenues, net of interest expense$532
$528
1 %$963
$1,119
(14)%$402
$493
(18)%$1,365
$1,612
(15)%
Total operating expenses$481
$600
(20)%$1,030
$1,342
(23)%$485
$459
6 %$1,515
$1,801
(16)%
Net credit losses (recoveries)$2
$(21)NM
$4
$5
(20)%$1
$19
(95)%$5
$24
(79)%
Credit reserve build (release)(20)(95)79 %(46)(128)64
(16)(43)63
(62)(171)64
Provision (release) for unfunded lending commitments(4)(1)NM
(5)(1)NM
—
(5)100
(5)(6)17
Provision for benefits and claims—
(1)NM
—
(1)100
—
(1)100
—
(2)100
Provisions (release) for credit losses and for benefits and claims$(22)$(118)81 %$(47)$(125)62 %$(15)$(30)50 %$(62)$(155)60 %
Income (loss) from continuing operations before taxes$73
$46
59 %$(20)$(98)80 %$(68)$64
NM
$(88)$(34)NM
Income taxes (benefits)37
62
(40)(34)(7)NM
(255)116
NM
(289)109
NM
Income (loss) from continuing operations$36
$(16)NM
$14
$(91)NM
$187
$(52)NM
$201
$(143)NM
Income (loss) from discontinued operations, net of taxes17
15
13 %15
8
88 %(15)(8)(88)%—
—
— %
Net income (loss) before attribution of noncontrolling interests$53
$(1)NM
$29
$(83)NM
$172
$(60)NM
$201
$(143)NM
Noncontrolling interests(1)13
NM
13
18
(28)%5
8
(38)%18
26
(31)%
Net income (loss)$54
$(14)NM
$16
$(101)NM
$167
$(68)NM
$183
$(169)NM
NM Not meaningful

2Q193Q19 vs. 2Q183Q18
Net income was $54$167 million, compared to a net loss of $14$68 million in the prior-year period. Net income was largely driven by an income tax benefit of $255 million, compared to income tax of $116 million in the prior-year period, primarily reflecting the tax benefit of the reduction in the valuation allowance related to Citi’s deferred tax assets and a pretax loss in the current period (see “Income Taxes—DTA Valuation Allowance (VA) Release” below). The pretax loss was driven by lower revenue, higher expenses and a lower effective tax rate, partially offset by a lower net loan loss reserve release in the current period.
Revenues increased 1%, as higher treasury revenues and gains were largely offset by the wind-down of legacy assets.
Expensesdecreased 20%18%, primarily driven by the wind-down of legacy assets.
Expenses increased 6%, primarily reflecting higher infrastructure costs, partially offset by the wind-down of legacy assets.
Provisions increased $96$15 million to a net benefit of $22$15 million, primarily due to a lower net loan loss reserve release and absence oflower net recoveries in the prior-year period related tocredit losses, reflecting the continued wind-down in the legacy North America mortgage portfolio.


 
2019 YTD vs. 2018 YTD
Net income was $16$183 million, compared to a net loss of $101$169 million in the prior-year period, primarily reflecting lower expenses, partially offset by a lower net loan loss reserve release and lower revenues.the tax benefit of the reduction in the valuation allowance in the current period, compared to income taxes in the prior-year period.
Revenues decreased 14%15%, primarily driven by the wind-down of legacy assets.
Expenses decreased 23%16%, primarily driven by the wind-down of legacy assets.
Provisions increased $78$93 million to a net benefit of $47$62 million, primarily due to a lower net loan loss reserve release, driven by the same factors described above.




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 2018 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
For 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 2018 Annual Report on Form 10-K.
During the secondthird quarter of 2019, Citi returned a total of $4.6$6.3 billion of capital to common shareholders in the form of share repurchases (approximately 5476 million common shares) and dividends.
The following tables set forth Citi’s capital components and ratios:

Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach
Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach
In millions of dollars, except ratios20192018Jun. 30, 2019Mar. 30, 2019Dec. 31, 2018Jun. 30, 2019Mar. 30, 2019Dec. 31, 201820192018Sept. 30, 2019Jun. 30, 2019Dec. 31, 2018Sept. 30, 2019Jun. 30, 2019Dec. 31, 2018
Common Equity Tier 1 Capital 

$141,125
$140,355
$139,252
$141,125
$140,355
$139,252
 

$138,581
$141,125
$139,252
$138,581
$141,125
$139,252
Tier 1 Capital 

159,447
158,712
158,122
159,447
158,712
158,122
 

158,033
159,447
158,122
158,033
159,447
158,122
Total Capital (Tier 1 Capital
+ Tier 2 Capital)
  185,498
184,418
183,144
197,679
196,452
195,440
  183,996
185,498
183,144
196,354
197,679
195,440
Total Risk-Weighted Assets



1,133,593
1,121,645
1,131,933
1,187,328
1,178,628
1,174,448




1,145,091
1,133,593
1,131,933
1,197,050
1,187,328
1,174,448
Credit Risk  $763,600
$752,804
$758,887
$1,127,714
$1,118,057
$1,109,007
  $776,367
$763,600
$758,887
$1,134,584
$1,127,714
$1,109,007
Market Risk  58,824
59,200
63,987
59,614
60,571
65,441
  61,125
58,824
63,987
62,466
59,614
65,441
Operational Risk  311,169
309,641
309,059
—
—
—
  307,599
311,169
309,059
—
—
—
Common Equity Tier 1 Capital
ratio(2)
10.0%8.625%12.45%12.51%12.30%11.89%11.91%11.86%10.0%8.625%12.10%12.45%12.30%11.58%11.89%11.86%
Tier 1 Capital ratio(2)
11.5
10.125
14.07
14.15
13.97
13.43
13.47
13.46
11.5
10.125
13.80
14.07
13.97
13.20
13.43
13.46
Total Capital ratio(2)
13.5
12.125
16.36
16.44
16.18
16.65
16.67
16.64
13.5
12.125
16.07
16.36
16.18
16.40
16.65
16.64
In millions of dollars, except ratiosEffective Minimum RequirementJun. 30, 2019Mar. 30, 2019Dec. 31, 2018Effective Minimum RequirementSept. 30, 2019Jun. 30, 2019Dec. 31, 2018
Quarterly Adjusted Average Total Assets(3)
 $1,939,611
$1,899,790
$1,896,959
 $1,960,675
$1,939,611
$1,896,959
Total Leverage Exposure(4)
 2,500,128
2,463,958
2,465,641
 2,520,352
2,500,128
2,465,641
Tier 1 Leverage ratio4.0%8.22%8.35%8.34%4.0%8.06%8.22%8.34%
Supplementary Leverage ratio5.0
6.38
6.44
6.41
5.0
6.27
6.38
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)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 for all periods presented.
(3)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(4)Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s risk-based capital ratios at JuneSeptember 30, 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 JuneSeptember 30, 2019.


 



Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 11.6% at September 30, 2019, compared to 11.9% at June 30, 2019 unchanged from March 31, 2019 and December 31, 2018, as net income2018. The ratio decreased from the second quarter of 2019 primarily due to the return of $6.3 billion of capital to common shareholders, increases in credit and beneficialmarket risk-weighted assets and adverse net movements in Accumulated other comprehensive income(AOCI) were, partially offset by quarterly net income of $4.9 billion. Citi’s Common Equity Tier 1 Capital ratio declined from year-end 2018 primarily due to the return of $16.0 billion of capital to common shareholders and an increase in credit risk-weighted assets, during the threepartially offset by year-to-date net income of $14.4 billion and six months ended June 30, 2019.beneficial net movements in AOCI.


Components of Citigroup Capital
In millions of dollarsJune 30,
2019		December 31, 2018September 30,
2019		December 31, 2018
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$179,534
$177,928
$177,052
$177,928
Add: Qualifying noncontrolling interests154
147
145
147
Regulatory Capital Adjustments and Deductions: 
Less: Accumulated net unrealized losses on cash flow hedges, net of tax75
(728)
Regulatory capital adjustments and deductions: 
Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax328
(728)
Less: Cumulative unrealized net gain (loss) related to changes in fair value of
financial liabilities attributable to own creditworthiness, net of tax
(85)580
181
580
Less: Intangible assets:  
Goodwill, net of related DTLs(2)
21,793
21,778
21,498
21,778
Identifiable intangible assets other than MSRs, net of related DTLs
4,264
4,402
4,132
4,402
Less: Defined benefit pension plan net assets969
806
990
806
Less: DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards(3)
11,547
11,985
11,487
11,985
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$141,125
$139,252
$138,581
$139,252
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$17,825
$18,292
$19,321
$18,292
Qualifying trust preferred securities(4)
1,388
1,384
1,389
1,384
Qualifying noncontrolling interests49
55
42
55
Regulatory Capital Deductions: 
Regulatory capital deductions: 
Less: Permitted ownership interests in covered funds(5)
900
806
1,265
806
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(6)
40
55
35
55
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$18,322
$18,870
$19,452
$18,870
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
(Standardized Approach and Advanced Approaches)
$159,447
$158,122
$158,033
$158,122
Tier 2 Capital  
Qualifying subordinated debt$24,062
$23,324
$24,081
$23,324
Qualifying trust preferred securities(7)
321
321
317
321
Qualifying noncontrolling interests48
47
44
47
Eligible allowance for credit losses(8)
13,841
13,681
13,914
13,681
Regulatory Capital Deduction: 
Regulatory capital deduction: 
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(6)
40
55
35
55
Total Tier 2 Capital (Standardized Approach)$38,232
$37,318
$38,321
$37,318
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$197,679
$195,440
$196,354
$195,440
Adjustment for excess of eligible credit reserves over expected credit losses(8)
$(12,181)$(12,296)$(12,358)$(12,296)
Total Tier 2 Capital (Advanced Approaches)

$26,051
$25,022
$25,963
$25,022
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$185,498
$183,144
$183,996
$183,144

(1)Issuance costs of $155$159 million as of JuneSeptember 30, 2019 and $168 million as of December 31, 2018 are related to outstanding noncumulative perpetual preferred stock, are excluded from common stockholders’ equity and are netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
(3)Of Citi’s $22.3$22.5 billion of net DTAs at JuneSeptember 30, 2019, $11.9$12.3 billion was includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $10.4$10.2 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of JuneSeptember 30, 2019 was $11.5 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards, which was reduced by $1.1$1.3 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. Citi’s DTAs arising from temporary differences are 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%.
(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.



(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.
(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.
(7)Represents the amount of non-grandfathered trust preferred securities eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will be fully phased-out of Tier 2 Capital by January 1, 2022.
(8)Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $1.7$1.6 billion and $1.4 billion at JuneSeptember 30, 2019 and December 31, 2018, respectively.


Citigroup Capital Rollforward
In millions of dollarsThree Months Ended 
 June 30, 2019		Six Months Ended  
  June 30, 2019		Three Months Ended 
 September 30, 2019		Nine Months Ended  
  September 30, 2019
Common Equity Tier 1 Capital, beginning of period$140,355
$139,252
$141,125
$139,252
Net income4,799
9,509
4,913
14,422
Common and preferred dividends declared(1,337)(2,674)(1,437)(4,111)
Net increase in treasury stock(3,566)(7,057)(5,114)(12,171)
Net change in common stock and additional paid-in capital106
(278)88
(190)
Net increase in foreign currency translation gains net of hedges, net of tax91
149
Net change in foreign currency translation adjustment net of hedges, net of tax(1,442)(1,293)
Net decrease in unrealized losses on debt securities AFS, net of tax703
1,838
307
2,145
Net increase in defined benefit plans liability adjustment, net of tax(253)(317)(250)(567)
Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax21
97
(56)41
Net increase in ASC 815—excluded component of fair value hedges44
62
Net increase in goodwill, net of related DTLs(25)(15)
Net change in ASC 815—excluded component of fair value hedges(10)52
Net decrease in goodwill, net of related DTLs295
280
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs126
138
132
270
Net increase in defined benefit pension plan net assets(158)(163)(21)(184)
Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards209
438
60
498
Other10
146
(9)137
Net increase in Common Equity Tier 1 Capital$770
$1,873
Net decrease in Common Equity Tier 1 Capital$(2,544)$(671)
Common Equity Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$141,125
$141,125
$138,581
$138,581
Additional Tier 1 Capital, beginning of period$18,357
$18,870
$18,322
$18,870
Net decrease in qualifying perpetual preferred stock—
(467)
Net increase in qualifying perpetual preferred stock1,496
1,029
Net increase in qualifying trust preferred securities2
4
1
5
Net increase in permitted ownership interest in covered funds(52)(94)(365)(459)
Other15
9
(2)7
Net decrease in Additional Tier 1 Capital$(35)$(548)
Net increase in Additional Tier 1 Capital$1,130
$582
Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$159,447
$159,447
$158,033
$158,033
Tier 2 Capital, beginning of period (Standardized Approach)$37,740
$37,318
$38,232
$37,318
Net increase in qualifying subordinated debt358
738
19
757
Net increase in eligible allowance for credit losses122
160
73
233
Other12
16
(3)13
Net increase in Tier 2 Capital (Standardized Approach)$492
$914
$89
$1,003
Tier 2 Capital, end of period (Standardized Approach)$38,232
$38,232
$38,321
$38,321
Total Capital, end of period (Standardized Approach)$197,679
$197,679
$196,354
$196,354
Tier 2 Capital, beginning of period (Advanced Approaches)$25,706
$25,022
$26,051
$25,022
Net increase in qualifying subordinated debt358
738
19
757
Net change in excess of eligible credit reserves over expected credit losses(25)275
(104)171
Other12
16
(3)13
Net increase in Tier 2 Capital (Advanced Approaches)$345
$1,029
Net change in Tier 2 Capital (Advanced Approaches)$(88)$941
Tier 2 Capital, end of period (Advanced Approaches)$26,051
$26,051
$25,963
$25,963
Total Capital, end of period (Advanced Approaches)$185,498
$185,498
$183,996
$183,996



Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach)
In millions of dollarsThree Months Ended 
 June 30, 2019		Six Months Ended  
  June 30, 2019		Three Months Ended 
 September 30, 2019		Nine Months Ended  
  September 30, 2019
Total Risk-Weighted Assets, beginning of period$1,178,628
$1,174,448
$1,187,328
$1,174,448
Changes in Credit Risk-Weighted Assets  
General credit risk exposures(1)
9,078
2,006
5,550
7,555
Repo-style transactions(2)
331
8,061
4,200
12,261
Securitization exposures(3)
(6,933)398
859
1,257
Equity exposures(4)(3)
1,702
3,541
(118)3,424
Over-the-counter (OTC) derivatives(5)(4)
2,898
2,964
3,651
6,615
Other exposures(6)(5)
1,536
7,444
(2,796)4,648
Off-balance sheet exposures(7)(6)
1,045
(5,707)(4,476)(10,183)
Net change in Credit Risk-Weighted Assets$9,657
$18,707
Net increase in Credit Risk-Weighted Assets$6,870
$25,577
Changes in Market Risk-Weighted Assets  
Risk levels(8)(7)
$(1,252)$(5,765)$3,637
$(2,128)
Model and methodology updates295
(62)(785)(847)
Net decrease in Market Risk-Weighted Assets$(957)$(5,827)
Net change in Market Risk-Weighted Assets$2,852
$(2,975)
Total Risk-Weighted Assets, end of period$1,187,328
$1,187,328
$1,197,050
$1,197,050

(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased during the three months and nine months ended JuneSeptember 30, 2019 primarily due to growth in commercial and retail loans and commercial loans.increases in investment securities.
(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
(3)Securitization exposures decreased during the three months ended June 30, 2019 primarily due to decreased exposures from existing deals.
(4)Equity exposures increased during the three months and sixnine months ended JuneSeptember 30, 2019 primarily due to an increase in market value of investments.
(5)(4)OTC derivatives increased during the three months and sixnine months ended JuneSeptember 30, 2019 primarily due to notional increases.increases in notionals.
(6)(5)
Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures increased during the six months ended June 30, 2019 primarily due to the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019, and increases in various other assets.
(7)Off-balance sheet exposures decreased during the sixthree months ended JuneSeptember 30, 2019 primarily due to decreases in standby letters of credit and loan commitments.
(8)Risk levels decreased during the six months ended June 30, 2019 primarily due to decreases in exposure levels subject to Stressed Value at Risk and Value at Risk.




Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
In millions of dollarsThree Months Ended 
 June 30, 2019		Six Months Ended  
  June 30, 2019
 Total Risk-Weighted Assets, beginning of period$1,121,645
$1,131,933
Changes in Credit Risk-Weighted Assets  
Retail exposures(654)(2,166)
Wholesale exposures(1)
2,751
(9,556)
Repo-style transactions(2)
4,288
3,318
Securitization exposures(3)
(4,090)(229)
Equity exposures(4)
1,697
3,391
Over-the-counter (OTC) derivatives(5)
2,038
2,946
Derivatives CVA648
634
Other exposures(6)
3,544
6,144
Supervisory 6% multiplier574
231
Net increase in Credit Risk-Weighted Assets$10,796
$4,713
Changes in Market Risk-Weighted Assets  
Risk levels(7)
$(671)$(5,101)
Model and methodology updates295
(62)
Net decrease in Market Risk-Weighted Assets$(376)$(5,163)
Net increase in Operational Risk-Weighted Assets$1,528
$2,110
Total Risk-Weighted Assets, end of period$1,133,593
$1,133,593

(1)Wholesale exposures decreased during the six months ended June 30, 2019 primarily due to annual model parameter updates reflecting Citi’s loss experience.
(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
(3)Securitization exposures decreased during the three months ended June 30, 2019 primarily due to decreased exposures from existing deals.
(4)Equity exposures increased during the three months and six months ended June 30, 2019 primarily due to an increase in market value of investments.
(5)OTC derivatives increased during the three months and six months ended June 30, 2019 primarily due to notional increases.
(6)
Other exposures includecentrally cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios.derivatives. Other exposures increased during the sixnine months ended JuneSeptember 30, 2019 primarily due to the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019, and increases in various other assets.
(6)Off-balance sheet exposures decreased during the three months ended September 30, 2019 primarily due to a decrease in standby letters of credit. Off-balance sheet exposures decreased during the nine months ended September 30, 2019 primarily due to decreases in standby letters of credit and loan commitments.
(7)Risk levels increased during the three months ended September 30, 2019 due to an increase in exposures subject to Standard Specific Risk charges. Risk levels decreased during the sixnine months ended JuneSeptember 30, 2019 primarily due to decreases in exposure levels subject to Stressed Value at Risk and Value at Risk.Risk, partially offset by an increase in exposures subject to Standard Specific Risk charges.

As set forth in the table above, total risk-weighted assets under the Basel III Standardized Approach increased from year-end 2018 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 increases in repo-style transactions, loan exposures, investment securities, and changes in OTC derivatives trade activities as well as the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019, and increased equity exposures. The increase in credit risk-weighted assets was partially offset by decreases in standby letters of credit and loan commitments. Market risk-weighted assets decreased from year-end 2018 primarily due to a net reduction in exposure levels.



Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
In millions of dollarsThree Months Ended 
 September 30, 2019		Nine Months Ended  
  September 30, 2019
 Total Risk-Weighted Assets, beginning of period$1,133,593
$1,131,933
Changes in Credit Risk-Weighted Assets  
Retail exposures985
(1,181)
Wholesale exposures(1)
3,275
(6,281)
Repo-style transactions(2)
2,259
5,577
Securitization exposures(3)
5,965
5,736
Equity exposures(4)
(231)3,160
Over-the-counter (OTC) derivatives(5)
8,554
11,500
Derivatives CVA(6)
(9,017)(8,383)
Other exposures(7)
(256)5,888
Supervisory 6% multiplier1,233
1,464
Net increase in Credit Risk-Weighted Assets$12,767
$17,480
Changes in Market Risk-Weighted Assets  
Risk levels(8)
$3,086
$(2,015)
Model and methodology updates(785)(847)
Net change in Market Risk-Weighted Assets$2,301
$(2,862)
Net decrease in Operational Risk-Weighted Assets$(3,570)$(1,460)
Total Risk-Weighted Assets, end of period$1,145,091
$1,145,091

(1)Wholesale exposures increased during the three months ended September 30, 2019 primarily due to increases in commercial loans and investment securities. Wholesale exposures decreased during the nine months ended September 30, 2019 primarily due to annual model parameter updates reflecting Citi’s loss experience, partially offset by increases in commercial loans and investment securities.
(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
(3)Securitization exposures increased during the three months and nine months ended September 30, 2019 primarily due to increased exposures from existing deals.
(4)Equity exposures increased during the nine months ended September 30, 2019 primarily due to an increase in market value of investments.
(5)OTC derivatives increased during the three months and nine months ended September 30, 2019 primarily due to approved model changes.
(6)Derivatives CVA decreased during the three months and nine months ended September 30, 2019 primarily due to approved model changes.
(7)
Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures increased during the nine months ended September 30, 2019 primarily due to the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019, and increases in various other assets.
(8)Risk levels increased during the three months ended September 30, 2019 due to an increase in exposures subject to Standard Specific Risk charges. Risk levels decreased during the nine months ended September 30, 2019 primarily due to decreases in exposure levels subject to Stressed Value at Risk and Value at Risk, partially offset by an increase in exposures subject to Standard Specific Risk charges.

As set forth in the table above, total risk-weighted assets under the Basel III Advanced Approaches increased from year-end 2018 primarily due to higher credit and operational risk-weighted assets, partially offset by a decreasedecreases in market and operational risk-weighted assets. The increase in credit risk-weighted assets was primarily due to increases in securitization exposures, repo-style transactions, equity exposures, as well as the recognition of ROU assets in accordance with the adoption of ASU 2016-02 and increases in equity exposures and repo-style transactions,various other assets, partially offset by decreases in wholesale exposures due to annual wholesalemodel parameter updates.
Market risk-weighted assets under both the Basel III Standardized Approach and Basel III Advanced Approaches decreased from year-end 2018 primarily due to reductionsa net reduction in exposure levels subject to Stressed Value at Risk and Value at Risk.levels.


Supplementary Leverage Ratio
As set forth in the table below, Citigroup’s Supplementary Leverage ratio was 6.4% for the second quarter of 2019. The ratio remained largely unchanged from the first quarter of 2019 and the fourth quarter of 2018, as the return of capital to common shareholders and an increase in Total Leverage Exposure (TLE) primarily due to growth in average on-balance sheet assets were offset by net income as well as beneficial net movements in AOCI during the three and six months ended June 30, 2019.
The following table sets forth Citi’s Supplementary Leverage ratio and related components:


In millions of dollars, except ratiosJune 30, 2019March 31, 2019December 31, 2018September 30, 2019June 30, 2019December 31, 2018
Tier 1 Capital$159,447
$158,712
$158,122
$158,033
$159,447
$158,122
Total Leverage Exposure  
On-balance sheet assets(1)
$1,979,124
$1,939,414
$1,936,791
$2,000,082
$1,979,124
$1,936,791
Certain off-balance sheet exposures:(2)
  
Potential future exposure on derivative contracts179,880
184,115
187,130
176,546
179,880
187,130
Effective notional of sold credit derivatives, net(3)
42,319
44,506
49,402
41,328
42,319
49,402
Counterparty credit risk for repo-style transactions(4)
21,416
20,696
23,715
24,362
21,416
23,715
Unconditionally cancellable commitments70,750
70,252
69,630
70,648
70,750
69,630
Other off-balance sheet exposures246,152
244,599
238,805
246,793
246,152
238,805
Total of certain off-balance sheet exposures$560,517
$564,168
$568,682
$559,677
$560,517
$568,682
Less: Tier 1 Capital deductions(39,513)(39,624)(39,832)(39,407)(39,513)(39,832)
Total Leverage Exposure$2,500,128
$2,463,958
$2,465,641
$2,520,352
$2,500,128
$2,465,641
Supplementary Leverage ratio6.38%6.44%6.41%6.27%6.38%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 Total 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.

As set forth in the table above, Citigroup’s Supplementary Leverage ratio was 6.3% for the third quarter of 2019, compared to 6.4% for both the second quarter of 2019 and the fourth quarter of 2018. The decline in the ratio quarter-over-quarter was primarily driven by the return of $6.3 billion of capital to common shareholders and adverse net movements in AOCI, as well as an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets, partially offset by quarterly net income of $4.9 billion as well as the issuance of Series U preferred shares for $1.5 billion. The ratio decreased from the fourth quarter of 2018, primarily driven by the return of capital to common shareholders and an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets, partially offset by year-to-date net income, beneficial net movements in AOCI and the issuance of Series U preferred shares for $1.5 billion.



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.
The following tables set forth Citibank’s capital components and ratios:

Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach
Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach
In millions of dollars, except ratios20192018Jun. 30, 2019Mar. 30, 2019Dec. 31, 2018Jun. 30, 2019Mar. 30, 2019Dec. 31, 201820192018Sept. 30, 2019Jun. 30, 2019Dec. 31, 2018Sept. 30, 2019Jun. 30, 2019Dec. 31, 2018
Common Equity Tier 1 Capital 

$130,742
$130,051
$129,091
$130,742
$130,051
$129,091
 

$130,067
$130,742
$129,091
$130,067
$130,742
$129,091
Tier 1 Capital 

132,875
132,169
131,215
132,875
132,169
131,215
 

132,198
132,875
131,215
132,198
132,875
131,215
Total Capital (Tier 1 Capital
+ Tier 2 Capital)(2)
  145,554
145,516
144,358
156,304
156,132
155,154
  144,829
145,554
144,358
155,735
156,304
155,154
Total Risk-Weighted Assets 

934,661
926,758
926,229
1,041,349
1,041,251
1,032,809
 

946,433
934,661
926,229
1,047,550
1,041,349
1,032,809
Credit Risk  $660,569
$651,979
$654,962
$1,006,835
$1,001,334
$994,294
  $664,014
$660,569
$654,962
$1,005,337
$1,006,835
$994,294
Market Risk  34,421
39,463
38,144
34,514
39,917
38,515
  41,867
34,421
38,144
42,213
34,514
38,515
Operational Risk  239,671
235,316
233,123
—
—
—
  240,552
239,671
233,123
—
—
—
Common Equity Tier 1 Capital
ratio(3)(4)
7.0%6.375%13.99%14.03%13.94%12.56%12.49%12.50%7.0%6.375%13.74%13.99%13.94%12.42%12.56%12.50%
Tier 1 Capital ratio(3)(4)
8.5
7.875
14.22
14.26
14.17
12.76
12.69
12.70
8.5
7.875
13.97
14.22
14.17
12.62
12.76
12.70
Total Capital ratio(3)(4)
10.5
9.875
15.57
15.70
15.59
15.01
14.99
15.02
10.5
9.875
15.30
15.57
15.59
14.87
15.01
15.02
In millions of dollars, except ratiosEffective Minimum RequirementJun. 30, 2019Mar. 30, 2019Dec. 31, 2018Effective Minimum RequirementSept. 30, 2019Jun. 30, 2019Dec. 31, 2018
Quarterly Adjusted Average Total Assets(5)
 $1,427,576
$1,397,703
$1,398,875
 $1,451,352
$1,427,576
$1,398,875
Total Leverage Exposure(6)
 1,932,340
1,909,587
1,914,663
 1,952,628
1,932,340
1,914,663
Tier 1 Leverage ratio(4)
4.0%9.31%9.46%9.38%4.0%9.11%9.31%9.38%
Supplementary Leverage ratio(4)
6.0
6.88
6.92
6.85
6.0
6.77
6.88
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.
(3)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 for all periods presented.
(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. 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 2018 Annual Report on Form 10-K.
(5)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(6)Supplementary Leverage ratio denominator.

As indicated in the table above, Citibank’s capital ratios at JuneSeptember 30, 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 JuneSeptember 30, 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 JuneSeptember 30, 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.
 


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 Approaches0.91.10.91.20.91.40.91.10.91.20.91.4
Standardized Approach0.81.00.81.10.81.40.81.00.81.10.81.4
Citibank           
Advanced Approaches1.11.51.11.51.11.71.11.51.11.51.11.6
Standardized Approach1.01.21.01.21.01.41.01.21.01.21.01.4

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
Citigroup0.50.40.40.30.50.40.40.2
Citibank0.70.70.50.40.70.60.50.3



Citigroup Broker-Dealer Subsidiaries
At JuneSeptember 30, 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 $9.9$10.2 billion, which exceeded the minimum requirement by $7.1$7.0 billion.
Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total capital of $21.4 billion at JuneSeptember 30, 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 JuneSeptember 30, 2019.

Total Loss-Absorbing Capacity (TLAC)
As previously disclosed, effective January 1, 2019, U.S. global systemically important bank holding companies (GSIBs), including Citi, are required to maintain minimum levels of TLAC and eligible long-term debt (LTD), each set by reference to the GSIB’s consolidated risk-weighted assets and Total Leverage Exposure.
The table below details Citi’s eligible external TLAC and LTD amounts and ratios, and each effective minimum TLAC and LTD ratio requirement, as well as the surplus amount in dollars in excess of each requirement. As of JuneSeptember 30, 2019, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $13$9 billion surplus above its binding TLAC requirement of LTD as a percentage of Total Leverage Exposure.
June 30, 2019September 30, 2019
In billions of dollars, except ratios
External TLAC

LTD
External TLAC

LTD
Total eligible amount$288
$125
$285
$123
% of Standardized Approach risk-
weighted assets
24.3%10.6%23.8%10.3%
Effective minimum requirement(1)(2)
22.5%9.0%22.5%9.0%
Surplus amount$21
$19
$16
$15
% of Total Leverage Exposure11.5%5.0%11.3%4.9%
Effective minimum requirement9.5%4.5%9.5%4.5%
Surplus amount$51
$13
$46
$9

(1)External TLAC includes Method 1 GSIB surcharge of 2.0%.
(2)LTD includes Method 2 GSIB surcharge of 3.0%.

For additional information on Citi’s TLAC-related requirements, see “Liquidity Risk—Long-Term Debt—Total Loss-Absorbing Capacity (TLAC)” and “Risk Factors—Compliance, Conduct and Legal Risks” in Citi’s 2018 Annual Report on Form 10-K.

 
Regulatory Capital Standards Developments

Leverage Ratio Treatment of Client Cleared DerivativesStress Buffer Requirements
In JuneSeptember 2019, senior staff at the Basel CommitteeFederal Reserve Board indicated publicly that the Federal Reserve Board plans to have a Stress Capital Buffer (SCB) framework in place for the 2020 stress tests, and that the Board plans to re-propose certain elements of its April 2018 proposal on Banking Supervision issued a final standardstress buffer requirements. Among other refinements, it was noted that revises its leverage ratio framework to align the leverage ratio measurement of client cleared derivatives withdividend add-on and the measurement as determined per the Basel Committee’s standardized approach for measuring counterparty credit risk exposures, as used for risk-based capital requirements. Under the Basel Committee’s leverage ratio framework, the leverage ratio exposure measure is generally not adjusted for physical or financial collateral, guarantees or other credit risk mitigation techniques, including initial margin received from clients. However, the final rule permits both cash and non-cash forms of initial margin and variation margin received from clients to mitigate replacement cost and potential future exposure for client-cleared derivatives only. The Basel Committee statedStress Leverage Buffer will likely be eliminated in the rule that this revision balances the robustnesspotential re-proposal. In place of the leverage ratiodividend add-on, the Federal Reserve Board is considering two potential options: setting the Countercyclical Capital Buffer at a higher baseline level during normal times, or raising the floor of the SCB higher than 2.5%.
A re-proposal has not yet been issued. For additional information on the Federal Reserve Board’s April 2018 proposal on stress buffer requirements, as a non-risk based safeguard against unsustainable sources of leverage withwell as other public commentary since the policy objective of promoting central clearing of standardized derivative contracts.
In the April 2018 proposal, see “Capital Resources—Regulatory Capital Standards Developments—U.S., the Basel Committee’s leverage ratio framework Banking Agencies—Stress Buffer Requirements” and leverage ratio exposure measure are most closely aligned with the Supplementary Leverage Ratio and Total Leverage Exposure, respectively. If the U.S. agencies were to amend the Supplementary Leverage Ratio requirements“Risk Factors—Strategic Risks” in a manner similar to the Basel Committee, Citi’s Supplementary Leverage Ratio would likely benefit modestly. However, the impact from and timing of any actions undertaken by the U.S. banking agencies in this regard remains uncertain.2018 Annual Report on Form 10-K.




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,
2019		December 31,
2018		September 30,
2019		December 31,
2018
Total Citigroup stockholders’ equity$197,359
$196,220
$196,373
$196,220
Less: Preferred stock17,980
18,460
19,480
18,460
Common stockholders’ equity$179,379
$177,760
$176,893
$177,760
Less:  
Goodwill22,065
22,046
21,822
22,046
Identifiable intangible assets (other than MSRs)4,518
4,636
4,372
4,636
Tangible common equity (TCE)$152,796
$151,078
$150,699
$151,078
Common shares outstanding (CSO)2,259.1
2,368.5
2,183.2
2,368.5
Book value per share (common equity/CSO)$79.40
$75.05
$81.02
$75.05
Tangible book value per share (TCE/CSO)67.64
63.79
69.03
63.79


Three Months Ended
September 30,
Nine Months Ended September 30,
In millions of dollarsThree Months Ended June 30, 2019Three Months Ended June 30, 2018Six Months Ended June 30, 2019Six Months Ended June 30, 20182019201820192018
Net income available to common shareholders$4,503
$4,172
$8,951
$8,520
$4,659
$4,352
$13,610
$12,872
Average common stockholders’ equity$178,257
$181,229
$177,814
$181,429
177,886
179,459
177,876
180,772
Average TCE$152,193
$154,921
$151,821
$154,818
151,748
152,712
151,541
153,909
Return on average common stockholders’ equity10.1%9.2%10.2%9.5%10.4%9.6%10.2%9.5%
Return on average TCE (RoTCE)(1)
11.9
10.8
11.9
11.1
12.2
11.3
12.0
11.2

(1)RoTCE represents annualized net income available to common shareholders as a percentage of average TCE.



Managing Global Risk Table of Contents

MANAGING GLOBAL RISK 
3637

CREDIT RISK(1)
 
3637

Consumer Credit 
3637

Corporate Credit 
4243

Additional Consumer and Corporate Credit Details 
4445

 Loans Outstanding 
4445

 Details of Credit Loss Experience 
4546

     Allowance for Loan Losses 4647
     Non-Accrual Loans and Assets and Renegotiated Loans 
4748

LIQUIDITY RISK 
5051

High-Quality Liquid Assets (HQLA) 
5051

Liquidity Coverage Ratio (LCR) 
5051

Loans 5152
Deposits 5152
Long-Term Debt 5253
Secured Funding Transactions and Short-Term Borrowings 5455
Credit Ratings 5556
MARKET RISK(1)
 
5758

Market Risk of Non-Trading Portfolios 
5758

Market Risk of Trading Portfolios 
6869

STRATEGIC RISK 
7071

Country Risk 
7071

VenezuelaArgentina 
7172

Potential Exit of U.K. from EU 
7172

LIBOR Transition Risk
72


(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 2018 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 2018 Annual Report on Form 10-K.
 


CONSUMER CREDIT
The following table shows Citi’s quarterly end-of-period consumer loans:(1) 
In billions of dollars2Q’183Q’184Q’181Q’192Q’193Q’184Q’181Q’192Q’193Q’19
Retail banking:      
Mortgages$80.5
$80.9
$80.6
$80.8
$81.9
$80.9
$80.6
$80.8
$81.9
$83.0
Commercial banking36.5
37.2
36.3
37.1
37.6
37.2
36.3
37.1
37.6
36.7
Personal and other28.1
28.7
28.8
29.1
29.7
28.7
28.8
29.1
29.7
29.5
Total retail banking$145.1
$146.8
$145.7
$147.0
$149.2
$146.8
$145.7
$147.0
$149.2
$149.2
Cards:  
Citi-branded cards$112.3
$112.8
$116.8
$111.4
$115.5
$112.8
$116.8
$111.4
$115.5
$115.8
Citi retail services48.6
49.4
52.7
48.9
49.6
49.4
52.7
48.9
49.6
50.0
Total cards$160.9
$162.2
$169.5
$160.3
$165.1
$162.2
$169.5
$160.3
$165.1
$165.8
Total GCB
$306.0
$309.0
$315.2
$307.3
$314.3
$309.0
$315.2
$307.3
$314.3
$315.0
GCB regional distribution:
  
North America63%62%64%63%63%62%64%63%63%64%
Latin America8
9
8
8
8
9
8
8
8
8
Asia(2)
29
29
28
29
29
29
28
29
29
28
Total GCB
100%100%100%100%100%100%100%100%100%100%
Corporate/Other(3)
$17.6
$16.5
$15.3
$12.6
$11.7
$16.5
$15.3
$12.6
$11.7
$11.0
Total consumer loans$323.6
$325.5
$330.5
$319.9
$326.0
$325.5
$330.5
$319.9
$326.0
$326.0

(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
legenda92.jpg
cctglobala07.jpgcctglobal2aa03.jpg

North America GCB
legendb09.jpg
cctnagcba06.jpgcctna2a.jpg

As of JuneSeptember 30, 2019, approximately 70%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, the 90+ days past due delinquencynet credit loss rate decreased quarter-over-quarter in North America GCB, decreased quarter-over-quarter, primarily driven by seasonality in the cards portfolios, while it remained broadly stable year-over-year.portfolios. The 90+ days past due delinquency rate increased quarter-over-quarter also primarily due to seasonality in the cards portfolios.
The net credit loss rate decreased quarter-over-quarter, primarily driven by the absence of an episodic charge-off in the commercial portfolio in the first quarter of 2019. The net credit lossand 90+ days past due delinquency rate increased year-over-year, primarily driven by the seasoning of more recent vintages in North AmericaCiti-branded cards as well asand an increase in net flow rates in later delinquency buckets in Citi retail services.


 
Latin America GCB
legenda99.jpg
cctlatamgcba03.jpgcctlatam2a.jpg

As shown in the chart above, the net credit loss rate in Latin America GCB was relatively stable quarter-over-quarter, while the 90+ days past due delinquency rate increased quarter-over-quarter in Latin America GCBdecreased due to seasonality, while it remained broadly stable year-over-year.seasonality.
The net credit loss rate decreased quarter-over-quarter, primarily due to seasonality in the cards portfolio. The net credit loss rate increased year-over-year, primarily driven by the seasoningabsence of more recent vintagesan episodic charge-off in the cards portfolio.commercial portfolio that occurred in the prior-year period, while the 90+ days past due delinquency rate remained broadly stable.

Asia(1) GCB
legenda84.jpg
cctasiagcba04.jpgcctasia2a.jpg

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

As shown in the chart above, the net credit loss rate in Asia GCB increased quarter-over-quarter and year-over-year primarily due to a charge-off in the commercial portfolio. The 90+ days past due delinquency rate remained broadly stable quarter-over-quarter and year-over-year.
The stability in Asia GCB quarter-over-quarter and year-over-year. The net credit loss rate increased quarter-over-quarter, primarily due to seasonality in cards, while it remained broadly stable year-over-year. This stability’s portfolios reflects the strong credit profiles in Asia GCB’sthe region’s target customer segments. In addition, regulatoryRegulatory changes in many markets in Asia over the past few years have also resulted in stable 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, North America Citi-branded cards and Citi retail services portfolios as well as for Latin America and Asia Citi-branded cards portfolios.

Global Cards
legenda99.jpg
cctglobala05.jpgccglobalcards2a.jpg

North America Citi-Branded Cards
legenda96.jpg
ccnabcardsa08.jpgccnacards2a.jpg

As shown in the chart above, the net credit loss rate in North America Citi-branded cards decreased quarter-over-quarter, driven by seasonality, while the 90+ days past due delinquency rate decreased quarter-over-quarter, primarily due to seasonality, while it increased year-over-year primarily due to seasoning of the portfolio.remained stable.
The net credit loss and 90+ past due delinquency rate remained broadly stable quarter-over-quarter, while it increased year-over-year, primarily due todriven by seasoning of more recent vintages in the portfolio.vintages.


 
North America Citi Retail Services
legenda79.jpg
ccnarscardsa06.jpgccnaretailcards2a.jpg

As shown in the chart above, the net credit loss rate in Citi retail services decreased quarter-over-quarter due to seasonality, while the 90+ days past due delinquency rate decreased quarter-over-quarter, primarilyincreased, also due to seasonality, while theseasonality.
The net credit loss rate remained broadly stable.
Theand 90+ days past due delinquency and net credit loss ratesrate increased year-over-year, primarily due to seasoning of more recent vintages as well asdriven by an increase in net flow rates in later delinquency buckets.

Latin America Citi-Branded Cards
legenda86.jpg
cclatambcardsa06.jpgcclatamcards2a.jpg

As shown in the chart above, the net credit loss rate in Latin America Citi-branded cards decreased quarter-over-quarter due to the improved performance of more recent vintages, while the 90+ days past due delinquency rate remained broadly stable quarter-over-quarter and year-over-year. decreased, primarily due to seasonality.
The net credit loss rate decreased quarter-over-quarter primarily due to seasonality, while the year-over-increase wasincreased year-over-year, primarily due to seasoning of more recent vintages.vintages, while the 90+ days past due delinquency rate decreased, primarily driven by lower net flow rates in the later delinquency buckets.





Asia Citi-Branded Cards(1)
legendb05.jpg
ccasiabcardsa10.jpgccasiacards2a.jpg

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

As set forth in the chart above, the net credit loss rate in Asia Citi-branded cards decreased quarter-over-quarter, primarily due to seasonality, while the 90+ days past due delinquency rate remained broadly stable quarter-over-quarter and year-over-year, driven by the mature and well-diversified cards portfolios. stable.
The net credit loss rate and 90+ days past due delinquency rate increased quarter-over-quarteryear-over-year, primarily due to seasonality, while it remained stable year-over-year.driven by seasoning of more recent vintages.
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 cards 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 Cards
FICO distributionJune 30, 2019March 31, 2019June 30, 2018September 30, 2019June 30, 2019September 30, 2018
> 76042%41%43%41%42%42%
680–76041
41
40
41
41
41
< 68017
18
17
18
17
17
Total100%100%100%100%100%100%

Citi Retail Services
FICO distributionJune 30, 2019March 31, 2019June 30, 2018September 30, 2019June 30, 2019September 30, 2018
> 76024%23%24%24%24%24%
680–76043
43
43
43
43
43
< 68033
34
33
33
33
33
Total100%100%100%100%100%100%

The FICO distribution of both cards portfolios remained broadly stable, compared to the prior quarter and prior year, demonstrating strong underlying credit quality. For additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.














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,
2019		June 30,
2019		March 31,
2019		June 30,
2018		June 30,
2019		March 31,
2019		June 30,
2018		September 30,
2019		September 30,
2019		June 30,
2019		September 30,
2018		September 30,
2019		June 30,
2019		September 30,
2018
Global Consumer Banking(3)(4)
        
Total$314.3
$2,466
$2,585
$2,345
$2,821
$2,776
$2,558
$315.0
$2,518
$2,466
$2,404
$3,055
$2,821
$2,890
Ratio 0.79%0.84%0.77%0.90%0.91%0.84% 0.80%0.79%0.78%0.97%0.90%0.94%
Retail banking          
Total$149.2
$456
$474
$500
$869
$769
$754
$149.2
$440
$456
$508
$902
$869
$857
Ratio 0.31%0.32%0.35%0.58%0.53%0.52% 0.30%0.31%0.35%0.61%0.58%0.59%
North America58.3
145
179
179
361
269
252
59.2
146
145
188
394
361
320
Ratio 0.25%0.32%0.33%0.63%0.47%0.46% 0.25%0.25%0.34%0.67%0.63%0.58%
Latin America20.1
124
114
132
206
201
183
19.3
113
124
126
205
206
235
Ratio 0.62%0.58%0.66%1.02%1.02%0.91% 0.59%0.62%0.60%1.06%1.02%1.12%
Asia(5)
70.8
187
181
189
302
299
319
70.7
181
187
194
303
302
302
Ratio 0.26%0.26%0.27%0.43%0.43%0.46% 0.26%0.26%0.28%0.43%0.43%0.43%
Cards          
Total$165.1
$2,010
$2,111
$1,845
$1,952
$2,007
$1,804
$165.8
$2,078
$2,010
$1,896
$2,153
$1,952
$2,033
Ratio 1.22%1.32%1.15%1.18%1.25%1.12% 1.25%1.22%1.17%1.30%1.18%1.25%
North America—Citi-branded
90.6
799
828
712
705
731
627
91.5
807
799
707
800
705
722
Ratio 0.88%0.95%0.81%0.78%0.84%0.71% 0.88%0.88%0.80%0.87%0.78%0.82%
North America—Citi retail services
49.6
840
918
781
831
859
761
50.0
923
840
832
943
831
890
Ratio 1.69%1.88%1.61%1.68%1.76%1.57% 1.85%1.69%1.68%1.89%1.68%1.80%
Latin America5.7
169
165
160
159
161
156
5.5
152
169
169
161
159
170
Ratio 2.96%2.95%2.96%2.79%2.88%2.89% 2.76%2.96%2.91%2.93%2.79%2.93%
Asia(5)
19.2
202
200
192
257
256
260
18.8
196
202
188
249
257
251
Ratio 1.05%1.06%1.02%1.34%1.36%1.38% 1.04%1.05%1.01%1.32%1.34%1.35%
Corporate/Other—Consumer(6)
          
North America$11.7
$327
$354
$415
$334
$348
$355
Total$11.0
$293
$327
$401
$288
$334
$422
Ratio 3.00%2.97%2.49%3.06%2.92%2.13% 2.82%2.97%2.57%2.77%3.04%2.71%
Total Citigroup$326.0
$2,793
$2,939
$2,760
$3,155
$3,124
$2,913
$326.0
$2,811
$2,793
$2,805
$3,343
$3,155
$3,312
Ratio 0.86%0.92%0.86%0.97%0.98%0.90% 0.87%0.86%0.87%1.03%0.97%1.02%
(1)End-of-period (EOP) loans include interest and fees on credit cards.
(2)The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(3)
The 90+ days past due balances for North America—Citi-branded and North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(4)
The 90+ days past due and 30–89 days past due and related ratios for North America GCB exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides with the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due and (EOP loans) were $151$235 million ($0.60.7 billion), $163$151 million ($0.6 billion) and $244$140 million ($0.70.6 billion) as of September 30, 2019, June 30, 2019 March 31, 2019 and JuneSeptember 30, 2018, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) were $83$82 million ($0.60.7 billion), $71$83 million ($0.6 billion) and $87$74 million ($0.70.6 billion) as of September 30, 2019, June 30, 2019 March 31, 2019 and JuneSeptember 30, 2018, respectively.
(5)
Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(6)The loans 90+ days past due and related ratios exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. agencies. The amounts excluded for 90+ days past due and (EOP loans) for each period were $0.3$0.4 billion ($0.70.8 billion), $0.3 billion ($0.7 billion) and $0.4$0.2 billion ($0.90.6 billion) as of September 30, 2019, June 30, 2019 March 31, 2019 and JuneSeptember 30, 2018, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) for each period were $0.1 billion ($0.70.8 billion), $0.1 billion ($0.7 billion) and $0.1 billion ($0.90.6 billion) as of September 30, 2019, June 30, 2019 March 31, 2019 and JuneSeptember 30, 2018, respectively.



Consumer Loan Net Credit Losses and Ratios
Average
loans(1)
Net credit losses(2)
Average
loans(1)
Net credit losses(2)
In millions of dollars, except average loan amounts in billions2Q192Q191Q192Q183Q192Q193Q18
Global Consumer Banking      
Total$309.4
$1,889
$1,891
$1,726
$313.3
$1,823
$1,889
$1,714
Ratio 2.45%2.48%2.28 % 2.31%2.45%2.22%
Retail banking    
Total$147.4
$244
$256
$228
$148.7
$246
$244
$243
Ratio 0.66%0.71%0.63 % 0.66%0.66%0.66%
North America57.9
51
60
32
58.8
45
51
32
Ratio 0.35%0.43%0.23 % 0.30%0.35%0.23%
Latin America20.0
129
138
138
19.8
129
129
153
Ratio 2.59%2.81%2.75 % 2.58%2.59%2.93%
Asia(3)
69.5
64
58
58
70.1
72
64
58
Ratio 0.37%0.34%0.33 % 0.41%0.37%0.33%
Cards    
Total$162.0
$1,645
$1,635
$1,498
$164.6
$1,577
$1,645
$1,471
Ratio 4.07%4.08%3.81 % 3.80%4.07%3.63%
North America—Citi-branded
88.4
723
706
657
90.5
712
723
644
Ratio 3.28%3.26%3.04 % 3.12%3.28%2.91%
North America—Citi retail services
49.1
654
663
589
49.7
598
654
566
Ratio 5.34%5.36%5.07 % 4.77%5.34%4.58%
Latin America5.6
156
160
140
5.6
156
156
154
Ratio 11.17%11.38%10.40 % 11.05%11.17%10.91%
Asia(3)
18.9
112
106
112
18.8
111
112
107
Ratio 2.38%2.25%2.38 % 2.34%2.38%2.29%
Corporate/Other—Consumer
    
Total$12.4
$4
$1
$(20)$11.2
$1
$4
$12
Ratio 0.13%0.03%(0.41)% 0.04%0.13%0.28%
International—
—
—
19
Ratio —%—%6.93 %
North America12.4
4
1
(39)
Ratio 0.13%0.03%(0.85)%
Total Citigroup$321.8
$1,893
$1,892
$1,706
$324.5
$1,824
$1,893
$1,726
Ratio 2.36%2.38%2.12 % 2.23%2.36%2.11%
(1)Average loans include interest and fees on credit cards.
(2)The ratios of net credit losses are calculated based on average loans, net of unearned income.
(3)
Asia includes NCLs and average loans in certain EMEA countries for all periods presented.





CORPORATE CREDIT
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, 2019March 31, 2019December 31, 2018September 30, 2019June 30, 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
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Direct outstandings (on-balance sheet)(1)
$134
$107
$21
$262
$135
$109
$20
$264
$128
$110
$20
$258
$135
$105
$20
$260
$134
$107
$21
$262
$128
$110
$20
$258
Unfunded lending commitments (off-balance sheet)(2)
123
244
15
382
121
240
23
384
106
245
19
370
129
240
16
385
123
244
15
382
106
245
19
370
Total exposure$257
$351
$36
$644
$256
$349
$43
$648
$234
$355
$39
$628
$264
$345
$36
$645
$257
$351
$36
$644
$234
$355
$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,
2019		March 31,
2019		December 31,
2018		September 30,
2019		June 30,
2019		December 31,
2018
North America56%54%55%56%56%55%
EMEA27
28
27
27
27
27
Asia11
11
11
11
11
11
Latin America6
7
7
6
6
7
Total100%100%100%100%100%100%

The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived by leveraging validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position, regulatory environment and commodity prices. Facility risk ratings are assigned that reflect the probability of default of the obligor and factors that affect the loss-given-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,
2019		March 31,
2019		December 31,
2018		September 30,
2019		June 30,
2019		December 31,
2018
AAA/AA/A49%49%49%49%49%49%
BBB35
35
34
35
35
34
BB/B15
15
16
15
15
16
CCC or below1
1
1
1
1
1
Total100%100%100%100%100%100%

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



Citi’s corporate credit portfolio is also diversified by industry. The following table shows the allocation of Citi’s total corporate credit portfolio by industry:
Total exposureTotal exposure
June 30,
2019		March 31,
2019		December 31,
2018		September 30,
2019		June 30,
2019		December 31,
2018
Transportation and industrial21%21%21%21%21%21%
Consumer retail and health15
15
15
16
15
15
Technology, media and telecom12
11
13
12
12
13
Power, chemicals, metals and mining10
11
10
9
10
10
Energy and commodities8
8
8
8
8
8
Banks/broker-dealers/finance companies8
8
8
8
8
8
Real estate9
9
8
9
9
8
Public sector4
4
5
4
4
5
Insurance and special purpose entities4
4
4
4
4
4
Hedge funds4
4
4
4
4
4
Other industries5
5
4
5
5
4
Total100%100%100%100%100%100%
 
For additional information on Citi’s corporate credit portfolio, see Note 13 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 Principal transactions in the Consolidated Statement of Income.
At JuneSeptember 30, 2019, December 31, 2018 and JuneSeptember 30, 2018, $30.4 billion, $30.8 billion and $27.4 billion, respectively, ofCitigroup had economic hedges in place on the corporate credit portfolio was economically hedged.of $29.5 billion, $30.2 billion and $25.8 billion, respectively. 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,
2019		March 31,
2019		December 31,
2018		September 30,
2019		June 30,
2019		December 31,
2018
AAA/AA/A35%36%35%34%35%35%
BBB47
48
50
48
47
50
BB/B17
15
14
17
17
14
CCC or below1
1
1
1
1
1
Total100%100%100%100%100%100%

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

Industry of Hedged Exposure
June 30,
2019		March 31,
2019		December 31,
2018		September 30,
2019		June 30,
2019		December 31,
2018
Transportation and industrial23%22%23%23%23%23%
Technology, media and telecom18
18
17
19
18
17
Consumer retail and health16
16
16
16
16
16
Power, chemicals, metals and mining14
15
15
14
14
15
Energy and commodities10
10
11
9
10
11
Insurance and special purpose entities5
6
6
5
5
6
Banks/broker-dealers/finance companies4
4
4
5
4
4
Public sector4
4
3
4
4
3
Real estate4
4
4
4
4
4
Other industries2
1
1
1
2
1
Total100%100%100%100%100%100%



ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding
2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.
In millions of dollars201920192018201920192018
Consumer loans



In North America offices(1)


Residential first mortgages(2)
$45,474
$45,351
$47,412
$47,707
$47,904
$46,337
$45,474
$45,351
$47,412
$47,707
Home equity loans(2)
10,404
10,937
11,543
12,131
12,861
9,850
10,404
10,937
11,543
12,131
Credit cards140,266
135,908
144,557
137,872
136,741
141,482
140,266
135,908
144,557
137,872
Installment and other3,245
3,314
3,454
3,528
3,454
3,361
3,245
3,314
3,454
3,528
Commercial banking10,690
10,360
9,728
9,279
9,104
10,680
10,690
10,360
9,728
9,279
Total$210,079
$205,870
$216,694
$210,517
$210,064
$211,710
$210,079
$205,870
$216,694
$210,517
In offices outside North America(1)
  
Residential first mortgages(2)
$36,580
$36,114
$35,972
$36,282
$36,134
$36,644
$36,580
$36,114
$35,972
$36,282
Credit cards24,975
24,343
24,926
24,414
24,157
24,300
24,975
24,343
24,926
24,414
Installment and other27,321
26,744
26,134
26,281
25,791
26,639
27,321
26,744
26,134
26,281
Commercial banking27,040
26,816
26,761
27,975
27,486
26,745
27,040
26,816
26,761
27,975
Total$115,916
$114,017
$113,793
$114,952
$113,568
$114,328
$115,916
$114,017
$113,793
$114,952
Consumer loans, net of unearned income(3)
$325,995
$319,887
$330,487
$325,469
$323,632
$326,038
$325,995
$319,887
$330,487
$325,469
Corporate loans

In North America offices(1)


Commercial and industrial$54,519
$56,698
$52,063
$51,365
$53,260
$49,475
$54,519
$56,698
$52,063
$51,365
Financial institutions47,610
49,985
48,447
46,255
42,867
52,678
47,610
49,985
48,447
46,255
Mortgage and real estate(2)
51,321
49,746
50,124
47,629
46,310
52,972
51,321
49,746
50,124
47,629
Installment, revolving credit and other33,555
31,960
32,425
31,414
31,861
31,303
33,555
31,960
32,425
31,414
Lease financing1,385
1,405
1,429
1,445
1,445
1,314
1,385
1,405
1,429
1,445
Total$188,390
$189,794
$184,488
$178,108
$175,743
$187,742
$188,390
$189,794
$184,488
$178,108
In offices outside North America(1)


Commercial and industrial$98,351
$97,844
$94,701
$98,281
$98,068
$102,432
$98,351
$97,844
$94,701
$98,281
Financial institutions37,523
39,155
36,837
37,851
38,312
37,908
37,523
39,155
36,837
37,851
Mortgage and real estate(2)
7,577
7,005
7,376
7,344
7,261
7,811
7,577
7,005
7,376
7,344
Installment, revolving credit and other27,333
24,868
25,684
22,827
22,755
26,774
27,333
24,868
25,684
22,827
Lease financing92
95
103
131
139
80
92
95
103
131
Governments and official institutions3,409
3,698
4,520
4,898
5,270
2,958
3,409
3,698
4,520
4,898
Total$174,285
$172,665
$169,221
$171,332
$171,805
$177,963
$174,285
$172,665
$169,221
$171,332
Corporate loans, net of unearned income(4)
$362,675
$362,459
$353,709
$349,440
$347,548
$365,705
$362,675
$362,459
$353,709
$349,440
Total loans—net of unearned income$688,670
$682,346
$684,196
$674,909
$671,180
$691,743
$688,670
$682,346
$684,196
$674,909
Allowance for loan losses—on drawn exposures(12,466)(12,329)(12,315)(12,336)(12,126)(12,530)(12,466)(12,329)(12,315)(12,336)
Total loans—net of unearned income
and allowance for credit losses		$676,204
$670,017
$671,881
$662,573
$659,054
$679,213
$676,204
$670,017
$671,881
$662,573
Allowance for loan losses as a percentage of total loans—
net of unearned income(5)
1.82%1.82%1.81%1.84%1.81%1.82%1.82%1.82%1.81%1.84%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5)
3.10%3.13%3.01%3.07%3.03%3.13%3.10%3.13%3.01%3.07%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5)
0.66%0.64%0.67%0.68%0.68%0.64%0.66%0.64%0.67%0.68%
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(2)Loans secured primarily by real estate.
(3)Consumer loans are net of unearned income of $745 million, $713 million, $701 million, $708 million and $712 million and $711 million at September 30, 2019, June 30, 2019, March 31, 2019, December 31, 2018 September 30, 2018 and JuneSeptember 30, 2018, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(4)Corporate loans are net of unearned income of $(780) million, $(815) million, $(808) million, $(822) million and $(787) million and $(802) million at September 30, 2019, June 30, 2019, March 31, 2019, December 31, 2018 September 30, 2018 and JuneSeptember 30, 2018, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
(5)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.3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.
In millions of dollars201920192018201920192018
Allowance for loan losses at beginning of period$12,329
$12,315
$12,336
$12,126
$12,354
$12,466
$12,329
$12,315
$12,336
$12,126
Provision for loan losses  
Consumer$1,972
$1,942
$1,774
$1,869
$1,764
$1,979
$1,972
$1,942
$1,774
$1,869
Corporate117
2
76
37
31
83
117
2
76
37
Total$2,089
$1,944
$1,850
$1,906
$1,795
$2,062
$2,089
$1,944
$1,850
$1,906
Gross credit losses  
Consumer  
In U.S. offices$1,680
$1,670
$1,495
$1,462
$1,490
$1,586
$1,680
$1,670
$1,495
$1,462
In offices outside the U.S.591
602
595
596
599
588
591
602
595
596
Corporate  
In U.S. offices41
33
23
15
5
76
41
33
23
15
In offices outside the U.S.42
40
53
21
15
31
42
40
53
21
Total$2,354
$2,345
$2,166
$2,094
$2,109
$2,281
$2,354
$2,345
$2,166
$2,094
Credit recoveries(1)
  
Consumer  
In U.S. offices$255
$246
$217
$212
$255
$232
$255
$246
$217
$212
In offices outside the U.S.123
134
132
120
128
118
123
134
132
120
Corporate  
In U.S. offices5
3
24
1
5
12
5
3
24
1
In offices outside the U.S.8
14
7
5
17
6
8
14
7
5
Total$391
$397
$380
$338
$405
$368
$391
$397
$380
$338
Net credit losses  
In U.S. offices$1,461
$1,454
$1,277
$1,264
$1,235
$1,418
$1,461
$1,454
$1,277
$1,264
In offices outside the U.S.502
494
509
492
469
495
502
494
509
492
Total$1,963
$1,948
$1,786
$1,756
$1,704
$1,913
$1,963
$1,948
$1,786
$1,756
Other—net(2)(3)(4)(5)(6)(7)
$11
$18
$(85)$60
$(319)$(85)$11
$18
$(85)$60
Allowance for loan losses at end of period$12,466
$12,329
$12,315
$12,336
$12,126
$12,530
$12,466
$12,329
$12,315
$12,336
Allowance for loan losses as a percentage of total loans(8)
1.82%1.82%1.81%1.84%1.81%1.82%1.82%1.82%1.81%1.84%
Allowance for unfunded lending commitments(9)
$1,376
$1,391
$1,367
$1,321
$1,278
$1,385
$1,376
$1,391
$1,367
$1,321
Total allowance for loan losses and unfunded lending commitments$13,842
$13,720
$13,682
$13,657
$13,404
$13,915
$13,842
$13,720
$13,682
$13,657
Net consumer credit losses$1,893
$1,892
$1,741
$1,726
$1,706
$1,824
$1,893
$1,892
$1,741
$1,726
As a percentage of average consumer loans2.36%2.38%2.13%2.11%2.12%2.23%2.36%2.38%2.13%2.11%
Net corporate credit losses (recoveries)$70
$56
$45
$30
$(2)$89
$70
$56
$45
$30
As a percentage of average corporate loans0.08%0.07%0.06%0.03%—%0.10%0.08%0.07%0.06%0.03%
Allowance by type at end of period(10)
  
Consumer$10,113
$10,026
$9,950
$9,997
$9,796
$10,199
$10,113
$10,026
$9,950
$9,997
Corporate2,353
2,303
2,365
2,339
2,330
2,331
2,353
2,303
2,365
2,339
Total$12,466
$12,329
$12,315
$12,336
$12,126
$12,530
$12,466
$12,329
$12,315
$12,336
(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.
(3)The third quarter of 2019 includes a decrease of approximately $65 million related to FX translation.
(4)The second quarter of 2019 includes an increase of approximately $13 million related to FX translation.
(4)(5)The first quarter of 2019 includes an increase of approximately $26 million related to FX translation.
(5)(6)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.
(6)(7)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.


(7)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.
(8)September 30, 2019, June 30, 2019, March 31, 2019, December 31, 2018 and September 30, 2018 and June 30, 2018 exclude $3.9 billion, $3.8 billion, $3.9 billion, $3.2 billion $4.2 billion and $3.0$4.2 billion, respectively, of loans whichthat 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 2018 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, 2019September 30, 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)
$6.7
$140.2
4.8%$6.8
$141.5
4.8%
North America mortgages(3)
0.4
55.9
0.7
0.4
56.2
0.7
North America other
0.3
14.0
2.1
0.3
14.0
2.1
International cards0.6
25.0
2.4
0.6
24.3
2.5
International other(4)
2.1
90.9
2.3
2.1
90.0
2.3
Total consumer$10.1
$326.0
3.1%$10.2
$326.0
3.1%
Total corporate2.4
362.7
0.7
2.3
365.7
0.6
Total Citigroup$12.5
$688.7
1.8%$12.5
$691.7
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 $6.7$6.8 billion of loan loss reserves represented approximately 1516 months of coincident net credit loss coverage.
(3)
Of the $0.4 billion, nearly allapproximately $0.3 billion was allocated to North America mortgages in Corporate/Other, of whichincluding $0.1 billion and $0.3 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $55.9$56.2 billion in loans, approximately $53.4$53.8 billion and $2.4 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.

 December 31, 2018
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$6.5
$144.6
4.5%
North America mortgages(3)
0.4
58.9
0.7
North America other
0.3
13.2
2.3
International cards0.7
24.9
2.8
International other(4)
2.0
88.9
2.2
Total consumer$9.9
$330.5
3.0%
Total corporate2.4
353.7
0.7
Total Citigroup$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 $6.5 billion of loan loss reserves represented approximately 16 months of coincident net credit loss coverage.
(3)
Of the $0.4 billion, nearly all was allocated to North America mortgages in Corporate/Other, including $0.1 billion and $0.3 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $58.9 billion in loans, approximately $56.3 billion and $2.5 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.


Non-Accrual Loans and Assets and Renegotiated Loans
For additional information on Citi’s non-accrual loans and assets and renegotiated loans, see “Non-Accrual Loans and Assets and Renegotiated Loans” in Citi’s 2018 Annual Report on Form 10-K.

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,Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,
In millions of dollars201920192018201920192018
Corporate non-accrual loans(2)(1)
  
North America$779
$922
$483
$679
$784
$901
$779
$922
$483
$679
EMEA321
317
375
362
391
307
321
317
375
362
Latin America259
225
230
266
204
275
259
225
230
266
Asia51
18
223
233
244
44
51
18
223
233
Total corporate non-accrual loans$1,410
$1,482
$1,311
$1,540
$1,623
$1,527
$1,410
$1,482
$1,311
$1,540
Consumer non-accrual loans(1)(2)
  
North America$1,216
$1,230
$1,241
$1,323
$1,373
$1,168
$1,216
$1,230
$1,241
$1,323
Latin America723
694
715
764
726
719
723
694
715
764
Asia(3)
289
281
270
287
284
298
289
281
270
287
Total consumer non-accrual loans$2,228
$2,205
$2,226
$2,374
$2,383
$2,185
$2,228
$2,205
$2,226
$2,374
Total non-accrual loans$3,638
$3,687
$3,537
$3,914
$4,006
$3,712
$3,638
$3,687
$3,537
$3,914
(1)Approximately 50%, 48%, 46%, 55% and 57% of Citi’s corporate non-accrual loans were performing at September 30, 2019, June 30, 2019, March 31, 2019, December 31, 2018 and September 30, 2018, respectively.
(2)
Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $117 million at September 30, 2019, $123 millionat June 30, 2019, $125 million at March 31, 2019, $128 million at December 31, 2018 and $131 million at September 30, 2018 and $149 million at June 30, 2018.
(2)Approximately 46%, 55% and 65% of Citi’s corporate non-accrual loans were performing at June 30, 2019, December 31, 2018 and March 31, 2018, respectively.
(3)
Asia GCB includes balances in certain EMEA countries for all periods presented.


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

 Three Months EndedThree Months Ended
 June 30, 2019June 30, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$1,482
$2,205
$3,687
$1,668
$2,575
$4,243
Additions499
823
1,322
628
791
1,419
Sales and transfers to HFS—
(22)(22)(8)(68)(76)
Returned to performing(11)(92)(103)(36)(146)(182)
Paydowns/settlements(499)(286)(785)(613)(327)(940)
Charge-offs(37)(406)(443)(14)(372)(386)
Other(24)6
(18)(2)(70)(72)
Ending balance$1,410
$2,228
$3,638
$1,623
$2,383
$4,006

 Three Months EndedThree Months Ended
 September 30, 2019September 30, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$1,410
$2,228
$3,638
$1,623
$2,383
$4,006
Additions1,037
912
1,949
436
758
1,194
Sales and transfers to HFS(18)(22)(40)(9)(44)(53)
Returned to performing(10)(87)(97)(14)(136)(150)
Paydowns/settlements(849)(289)(1,138)(479)(207)(686)
Charge-offs(35)(421)(456)(18)(417)(435)
Other(8)(136)(144)1
37
38
Ending balance$1,527
$2,185
$3,712
$1,540
$2,374
$3,914






Six Months EndedSix Months EndedNine Months EndedNine Months Ended
June 30, 2019June 30, 2018September 30, 2019September 30, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$1,311
$2,226
$3,537
$1,942
$2,690
$4,632
$1,311
$2,226
$3,537
$1,942
$2,690
$4,632
Additions1,222
1,545
2,767
1,453
1,652
3,105
2,259
2,457
4,716
1,889
2,410
4,299
Sales and transfers to HFS(5)(56)(61)(28)(153)(181)(23)(78)(101)(37)(197)(234)
Returned to performing(39)(234)(273)(104)(354)(458)(49)(321)(370)(118)(490)(608)
Paydowns/settlements(983)(460)(1,443)(1,497)(597)(2,094)(1,832)(749)(2,581)(1,976)(804)(2,780)
Charge-offs(72)(808)(880)(120)(826)(946)(107)(1,229)(1,336)(138)(1,243)(1,381)
Other(24)15
(9)(23)(29)(52)(32)(121)(153)(22)8
(14)
Ending balance$1,410
$2,228
$3,638
$1,623
$2,383
$4,006
$1,527
$2,185
$3,712
$1,540
$2,374
$3,914



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,Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,
In millions of dollars201920192018201920192018
OREO  
North America$47
$63
$64
$76
$66
$51
$47
$63
$64
$76
EMEA1
1
1
1
1
1
1
1
1
1
Latin America14
13
12
25
24
14
14
13
12
25
Asia20
21
22
7
10
6
20
21
22
7
Total OREO$82
$98
$99
$109
$101
$72
$82
$98
$99
$109
Non-accrual assets
 
 
Corporate non-accrual loans$1,410
$1,482
$1,311
$1,540
$1,623
$1,527
$1,410
$1,482
$1,311
$1,540
Consumer non-accrual loans2,228
2,205
2,226
2,374
2,383
2,185
2,228
2,205
2,226
2,374
Non-accrual loans (NAL)$3,638
$3,687
$3,537
$3,914
$4,006
$3,712
$3,638
$3,687
$3,537
$3,914
OREO$82
$98
$99
$109
$101
$72
$82
$98
$99
$109
Non-accrual assets (NAA)$3,720
$3,785
$3,636
$4,023
$4,107
$3,784
$3,720
$3,785
$3,636
$4,023
NAL as a percentage of total loans0.53%0.54%0.52%0.58%0.60%0.54%0.53%0.54%0.52%0.58%
NAA as a percentage of total assets0.19
0.19
0.19
0.21
0.21
0.19
0.19
0.19
0.19
0.21
Allowance for loan losses as a percentage of NAL(1)
343
334
348
315
303
338
343
334
348
315

(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, 2019Dec. 31, 2018Sept. 30, 2019Dec. 31, 2018
Corporate renegotiated loans(1)
    
In U.S. offices  
Commercial and industrial(2)
$182
$188
$170
$188
Mortgage and real estate90
111
54
111
Financial institutions1
16
—
16
Other6
2
4
2
Total$279
$317
$228
$317
In offices outside the U.S.  
Commercial and industrial(2)
$242
$226
$228
$226
Mortgage and real estate22
12
21
12
Financial institutions9
9
9
9
Other—
—
—
—
Total$273
$247
$258
$247
Total corporate renegotiated loans$552
$564
$486
$564
Consumer renegotiated loans(3)(4)(5)
  
In U.S. offices  
Mortgage and real estate$2,370
$2,520
$2,257
$2,520
Cards1,399
1,338
1,440
1,338
Installment and other88
86
82
86
Total$3,857
$3,944
$3,779
$3,944
In offices outside the U.S.  
Mortgage and real estate$325
$311
$317
$311
Cards474
480
455
480
Installment and other410
415
430
415
Total$1,209
$1,206
$1,202
$1,206
Total consumer renegotiated loans$5,066
$5,150
$4,981
$5,150
(1)Includes $465$404 million and $466 million of non-accrual loans included in the non-accrual loans table above at JuneSeptember 30, 2019 and December 31, 2018, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at JuneSeptember 30, 2019, Citi also modified $26$27 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 $1,002$981 million and $1,015 million of non-accrual loans included in the non-accrual loans table above at JuneSeptember 30, 2019 and December 31, 2018, respectively. The remaining loans are accruing interest.
(4)Includes $21$18 million and $17 million of commercial real estate loans at JuneSeptember 30, 2019 and December 31, 2018, respectively.
(5)Includes $98$112 million and $101 million of other commercial loans at JuneSeptember 30, 2019 and December 31, 2018, respectively.




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 2018 Annual Report on Form 10-K.
 
 




High-Quality Liquid Assets (HQLA)
CitibankNon-Bank and OtherTotalCitibankNon-Bank and OtherTotal
In billions of dollarsJun. 30, 2019Mar. 31, 2019Jun. 30, 2018Jun. 30, 2019Mar. 31, 2019Jun. 30, 2018Jun. 30, 2019Mar. 31, 2019Jun. 30, 2018Sept. 30, 2019Jun. 30, 2019Sept. 30, 2018Sept. 30, 2019Jun. 30, 2019Sept. 30, 2018Sept. 30, 2019Jun. 30, 2019Sept. 30, 2018
Available cash$102.1
$94.7
$97.3
$42.1
$34.9
$27.4
$144.2
$129.6
$124.7
$123.7
$102.1
$105.1
$31.8
$42.1
$35.1
$155.5
$144.2
$140.2
U.S. sovereign93.8
94.9
101.4
37.0
29.5
28.7
130.8
124.4
130.1
94.3
93.8
102.2
32.4
37.0
29.7
126.7
130.8
131.9
U.S. agency/agency MBS57.5
59.3
59.5
4.8
5.3
6.7
62.3
64.6
66.2
55.5
57.5
56.4
4.6
4.8
6.5
60.1
62.3
62.9
Foreign government debt(1)
61.9
67.7
73.5
4.0
3.5
10.9
65.9
71.2
84.4
65.9
61.9
74.9
10.9
4.0
9.6
76.8
65.9
84.5
Other investment grade3.1
3.5
0.1
0.7
1.6
1.1
3.8
5.1
1.2
2.9
3.1
0.2
0.7
0.7
1.1
3.6
3.8
1.3
Total HQLA (AVG)$318.4
$320.1
$331.8
$88.6
$74.8
$74.8
$407.0
$394.9
$406.6
$342.3
$318.4
$338.8
$80.4
$88.6
$82.0
$422.7
$407.0
$420.8

Note: The amounts set forth in the table above are presented on an average basis. For securities, the amounts represent the liquidity value that potentially could be realized and, therefore, exclude any securities that are encumbered and incorporate any haircuts that would be required for securities financing transactions. The table above incorporates various restrictions that could limit the transferability of liquidity between legal entities, including Section 23A of the Federal Reserve Act.
(1)Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt securities are held largely to support local liquidity requirements and Citi’s local franchises and principally include government bonds from Hong Kong, Singapore,India, Korea, Taiwan, India, Mexico and Canada.

The table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the calculation of Citigroup’s consolidated Liquidity Coverage Ratio (LCR), pursuant to the U.S. LCR rules. These amounts include the HQLA needed to meet the minimum requirements at these entities and any amounts in excess of these minimums that are assumed to be transferable to other entities within Citigroup. Citigroup’s HQLA increased modestly year-over-year, as well as sequentially, largely reflecting an increase in cash from non-bankdeposit growth, partially offset by the use of liquidity to fund long-term debt issuances. While available liquidity resourcesmaturities at Citibank increased both year-over-year and sequentially, the amount of HQLA included in the table above declined both year-over-year and sequentially, as less HQLA in Citibank was eligible for inclusion in the consolidated metric.parent, rather than re-issuing new debt.
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 $40 billion as of September 30, 2019 (compared to $32 billion as of June 30, 2019 (compared to $25and $29 billion as of March 31, 2019 and $21 billion as of JuneSeptember 30, 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.

 

Liquidity Coverage Ratio
In addition to internal 30-day liquidity stress testing performed for Citi’s major entities, operating subsidiaries and countries, Citi also monitors its liquidity by reference to the LCR. The table below details the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:
In billions of dollarsJun. 30, 2019Mar. 31, 2019Jun. 30, 2018Sept. 30, 2019Jun. 30, 2019Sept. 30, 2018
HQLA$407.0
$394.9
$406.6
$422.7
$407.0
$420.8
Net outflows353.5331.6341.5
373.4353.5350.8
LCR115%119%119%113%115%120%
HQLA in excess of net outflows$53.5$63.3
$65.1
$49.3
$53.5
$70.0

Note: The amounts are presented on an average basis.

Citi’s average LCR decreased sequentially, as an increase in modeled net outflows more than offset an increase in HQLA. The increase in modeled net outflows was largely driven by deposit growth at the bank entities, which outpaced the increase in HQLA as a result of both year-over-year and sequentially, due to changes inlimitations on the amount of Citibank HQLA available for inclusion in the consolidated metric.metric, as well as the funding of long-term debt maturities (as described in HQLA above).



Loans
The table below details the average loans, by business and/or segment, and the total end-of-period loans for each of the periods indicated:
In billions of dollarsJun. 30, 2019Mar. 31, 2019Jun. 30, 2018Sept. 30, 2019Jun. 30, 2019Sept. 30, 2018
Global Consumer Banking  
North America$195.4
$195.0
$188.8
$199.0
$195.4
$192.8
Latin America25.6
25.6
25.5
25.4
25.6
26.3
Asia(1)
88.4
88.6
88.8
88.9
88.4
87.7
Total$309.4
$309.2
$303.1
$313.3
$309.4
$306.8
Institutional Clients Group  
Corporate lending$132.9
$133.1
$135.5
$131.7
$132.9
$130.9
Treasury and trade solutions (TTS)73.2
75.1
77.7
72.5
73.2
76.9
Private bank101.2
97.2
90.7
104.0
101.2
92.8
Markets and securities services
and other
50.6
51.1
43.0
52.3
50.6
45.6
Total$357.9
$356.5
$346.9
$360.5
$357.9
$346.2
Total Corporate/Other
$12.3
$13.5
$19.7
$11.2
$12.3
$17.3
Total Citigroup loans (AVG)$679.6
$679.2
$669.7
$685.0
$679.6
$670.3
Total Citigroup loans (EOP)$688.7
$682.3
$671.2
$691.7
$688.7
$674.9

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

End-of-period loans increased 3%2% year-over-year and 1%remained largely unchanged sequentially. On an average basis, loans increased 1%2% year-over-year and remained largely unchangedincreased 1% sequentially.
Excluding the impact of FX translation, average loans increased 3% year-over-year and 4% in aggregate across GCB and ICG. Average GCB loans grew 3% year-over-year, driven by continued growth in North America GCB and Asia GCB. Average loans in Latin America GCB declined 1% year-over-year, reflecting a continued deceleration in GDP growth in Mexico and a slowdown in overall industry volumes.
Excluding the impact of FX translation, average ICG loans increased 5% year-over-year. TTS loans declined 4%5% year-over-year, despite continued strong origination volumes, as Citi continued to utilize its distribution capabilities to optimize the balance sheet and drive returns. Corporatereturns while maintaining support to its clients. Loans in corporate lending loans were flatincreased 2% year-over-year, reflecting both the episodic nature ofas Citi continued to support its clients’ strategic financing needs, as well as lower activity in Asia where corporate client sentiment has become more cautious.needs. Private bank loans increased 12%13%, reflecting growth across regions, driven by both new client onboarding, as well asclients and the deepening of relationships with existing clients. Finally, continued strong year-over-year Markets and securities services loan growth year-over-year was driven primarily by residential and commercial real-estatereal estate warehouse lending, as well as Community Reinvestment Act-related lending.
Average Corporate/Other loans continued to decline (down 37%34%), driven by the wind-down of legacy assets.
 
Deposits
The table below details the average deposits, by business and/or segment, and the total end-of-period deposits for each of the periods indicated:
In billions of dollarsJun. 30, 2019Mar. 31, 2019Jun. 30, 2018Sept. 30, 2019Jun. 30, 2019Sept. 30, 2018
Global Consumer Banking  
North America$183.0
$182.3
$179.9
$186.0
$183.0
$180.2
Latin America29.2
28.6
28.3
29.2
29.2
29.4
Asia(1)
100.7
99.3
97.6
100.6
100.7
97.6
Total$312.9
$310.2
$305.8
$315.8
$312.9
$307.2
Institutional Clients Group  
Treasury and trade solutions (TTS)$484.2
$472.4
$448.7
$501.7
$484.2
$456.7
Banking ex-TTS133.2
130.2
125.5
137.1
133.2
124.6
Markets and securities services94.0
90.0
88.2
95.8
94.0
86.7
Total$711.4
$692.6
$662.4
$734.6
$711.4
$668.0
Corporate/Other$15.5
$14.4
$18.0
$15.9
$15.6
$10.5
Total Citigroup deposits (AVG)$1,039.9
$1,017.2
$986.2
$1,066.3
$1,039.9
$985.7
Total Citigroup deposits (EOP)$1,045.6
$1,030.4
$996.7
$1,087.8
$1,045.6
$1,005.2
(1)
Includes deposits in certain EMEA countries for all periods presented.

End-of-period deposits increased 5%8% year-over-year and 1%4% sequentially. On an average basis, deposits increased 5%8% year-over-year and 2%3% sequentially.
Excluding the impact of FX translation, average deposits grew 7%9% from the prior-year period with contribution across businesses and regions. period.
In GCB, deposits increased 3%4%, driven by growth across all regions. In North America GCB, deposit growth accelerated to 3%, as Citi continued to make progress against its strategy of delivering a more integrated, multi-product relationship model.
Within ICG, average deposits grew 9%11% year-over-year, primarily driven by continued deposit growth in 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 8.58.4 years as of JuneSeptember 30, 2019, compared to 8.38.8 years as of the prior-year periodprior year and 8.68.5 years as of the prior quarter. The weighted-average maturity is calculated based on the contractual maturity of each security. For securities whichthat are redeemable prior to maturity at the option of the holder, the weighted-average maturity is calculated based on the earliest date an option becomes exercisable.
Citi’s long-term debt outstanding at the Citigroup parent company includes 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 complements benchmark debt issuance as a source of funding for Citi’s non-bank entities. Citi’s long-term debt at the bank 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, 2019Mar. 31, 2019Jun. 30, 2018Sept. 30, 2019Jun. 30, 2019Sept. 30, 2018
Parent and other(1)












Benchmark debt:  
Senior debt$111.2
$109.7
$107.8
$104.3
$111.2
$107.2
Subordinated debt25.5
24.9
25.3
25.9
25.5
25.1
Trust preferred1.7
1.7
1.7
1.7
1.7
1.7
Customer-related debt47.9
42.4
34.3
50.1
47.9
35.4
Local country and other(2)
3.3
3.4
3.7
5.3
3.3
3.8
Total parent and other$189.6
$182.1
$172.8
$187.3
$189.6
$173.2
Bank











FHLB borrowings$7.7
$10.5
$13.7
$5.5
$7.7
$10.5
Securitizations(3)
25.9
25.9
28.5
22.8
25.9
27.4
Citibank benchmark senior debt25.4
21.4
18.5
23.1
25.4
21.0
Local country and other(2)
3.6
3.7
3.3
3.5
3.6
3.2
Total bank$62.6
$61.5
$64.0
$54.9
$62.6
$62.1
Total long-term debt$252.2
$243.6
$236.8
$242.2
$252.2
$235.3
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”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 JuneSeptember 30, 2019, “parentParent and other”other included $37.4$42.0 billion of long-term debt issued by Citi’s broker-dealer subsidiaries.
(2)Local country debt includes debt issued by Citi’s affiliates in support of their local operations.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.

Citi’s total long-term debt outstanding increased year-over-year, primarily driven by the issuance of customer-related debt at the non-bank entities, and unsecured senior benchmark debt at the bank, partially offset by a decline in FHLB advancesborrowings and securitizations. Sequentially, Citi’s total long-term debt outstanding increased,decreased, primarily driven by the issuance ofa decline in unsecured senior benchmark debt at the bank and customer-related debt at the non-bank entities, partially offset by a decline in FHLB advances.entities.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such repurchases help reduce Citi’s overall funding costs. During the secondthird quarter of 2019, Citi repurchased and called an aggregate of approximately $1.7$2.3 billion of its outstanding long-term debt.






Long-Term Debt Issuances and Maturities
The table below details Citi’s long-term debt issuances and maturities (including repurchases and redemptions) during the periods presented:
2Q191Q192Q183Q192Q193Q18
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent and other























Benchmark debt:        
 
Senior debt$5.1
$4.5
$0.2
$4.6
$7.2
$4.9
$6.9
$—
$5.1
$4.5
$4.2
$4.5
Subordinated debt—
—
—
—
0.3
0.3
—
—
—
—
—
—
Trust preferred—
—
—
—
—
—
—
—
—
—
—
—
Customer-related debt3.2
7.5
1.0
5.2
1.5
4.7
2.7
6.1
3.2
7.5
1.2
2.9
Local country and other0.3
0.1
—
0.3
0.2
2.1
—
0.1
0.3
0.2
0.3
0.2
Total parent and other$8.6
$12.2
$1.2
$10.1
$9.1
$12.0
$9.6
$6.2
$8.6
$12.2
$5.7
$7.6
Bank























FHLB borrowings$2.8
$—
$—
$—
$4.5
$2.5
$4.3
$2.1
$2.8
$—
$3.3
$—
Securitizations0.1
—
2.6
—
2.7
1.1
3.2
—
0.1
—
2.9
1.9
Citibank benchmark senior debt—
3.9
2.5
5.0
—
3.5
2.3
—
—
3.9
—
2.5
Local country and other0.3
0.2
0.3
0.5
0.9
0.9
0.1
—
0.4
0.2
0.2
0.3
Total bank$3.2
$4.1
$5.4
$5.5
$8.1
$8.0
$9.9
$2.1
$3.3
$4.1
$6.4
$4.7
Total$11.9
$16.3
$6.6
$15.6
$17.2
$20.0
$19.5
$8.3
$11.9
$16.3
$12.1
$12.3

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2019, as well as its aggregate expected remaining long-term debt maturities by year as of JuneSeptember 30, 2019:
2019 YTDMaturities2019 YTDMaturities
In billions of dollars201920202021202220232024ThereafterTotal201920202021202220232024ThereafterTotal
Parent and other



































Benchmark debt:   
   
Senior debt$5.3
$8.9
$8.9
$14.3
$9.3
$12.6
$7.1
$50.0
$111.2
$12.2
$1.8
$8.9
$14.2
$9.3
$12.5
$7.9
$49.7
$104.3
Subordinated debt—
—
—
—
0.7
1.1
0.9
22.8
$25.5
—
—
—
—
0.7
1.3
1.4
22.5
25.9
Trust preferred—
—
—
—
—
—
—
1.7
1.7
—
—
—
—
—
—
—
1.7
1.7
Customer-related debt4.2
2.5
8.2
4.1
3.5
4.1
2.8
22.8
47.9
6.8
1.5
9.7
5.3
4.6
2.8
2.3
23.9
50.1
Local country and other0.4
1.4
—
0.1
0.1
0.1
—
1.6
3.3
0.4
0.8
0.6
1.1
1.5
0.1
—
1.2
5.3
Total parent and other$9.8
$12.7
$17.1
$18.5
$13.6
$17.9
$10.8
$99.0
$189.6
$19.4
$4.1
$19.2
$20.6
$16.1
$16.7
$11.6
$99.0
$187.3
Bank



































FHLB borrowings$2.8
$2.8
$4.9
$—
$—
$—
$—
$—
$7.7
$7.1
$—
$5.5
$—
$—
$—
$—
$—
$5.5
Securitizations2.6
5.2
4.6
7.2
2.2
2.5
1.2
3.1
25.9
5.8
2.1
4.5
7.2
2.2
2.5
1.2
3.1
22.8
Citibank benchmark debt2.5
2.2
8.7
6.1
5.6
—
2.7
—
25.4
4.7
—
8.7
6.1
5.6
—
2.7
—
23.1
Local country and other0.7
0.1
0.7
1.6
0.3
0.2
0.1
0.5
3.6
0.9
0.6
1.4
0.4
0.3
0.1
0.4
0.3
3.5
Total bank$8.6
$10.3
$18.9
$14.9
$8.2
$2.7
$4.0
$3.6
$62.6
$18.5
$2.7
$20.1
$13.7
$8.1
$2.6
$4.3
$3.4
$54.9
Total long-term debt$18.4
$23.1
$36.0
$33.4
$21.8
$20.6
$14.8
$102.6
$252.2
$37.9
$6.8
$39.3
$34.3
$24.2
$19.3
$15.9
$102.4
$242.2













 










Secured Funding Transactions and Short-Term Borrowings
Citi supplements its primary sources of funding with short-term financings whichthat generally include (i) secured funding transactions (securitiesconsisting of securities loaned or sold under agreements to repurchase, or repos)repos, and (ii) to a lesser extent, short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participants.

Secured Funding Transactions
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 $181$195 billion as of JuneSeptember 30, 2019 increased 2%11% from the prior-year period and declined 5%8% sequentially.Excluding the impact of FX translation, secured funding increased 3%14% from the prior-year period and declined 5%10% sequentially, both driven by normal business activity. Average balances for secured funding were approximately $189$198 billion for the quarter ended JuneSeptember 30, 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 JuneSeptember 30, 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.

Short-Term Borrowings
Citi’s short-term borrowings of $42$35 billion increased 14%4% year-over-year, and 8% sequentially. Both the year-over-year and sequential increases reflectedreflecting growth in total commercial paper outstanding.outstanding, partially offset by lower FHLB advances. Sequentially, the increase was alsoshort-term borrowings declined 17%, primarily driven by a reduction in FHLB advances and total commercial paper outstanding (see Note 16 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).


















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


 


Ratings as of JuneSeptember 30, 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)A3P-2StableAa3P-1Stable
Standard & Poor’s (S&P)BBB+A-2StableA+A-1Stable

Recent Credit Ratings Developments
On June 12, 2019 Fitch Ratings affirmed Citigroup Inc.'s Long-Term Issuer Default Rating (IDR) at 'A' and Citibank, N.A.'s IDR at 'A+'. The Rating Outlooks for the Long-Term IDRs are Stable.

Potential Impacts of Ratings Downgrades
Ratings downgrades by Moody’s, Fitch or S&P could negatively impact Citigroup’s and/or Citibank’s funding and liquidity due to reduced funding capacity, including 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 2018 Annual Report on Form 10-K.


 

Citigroup Inc. and Citibank—Potential Derivative Triggers
As of JuneSeptember 30, 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 $0.3 billion, unchanged from March 31,June 30, 2019. 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 JuneSeptember 30, 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 $0.7 billion, compared to $0.5 billion unchanged from March 31,as of June 30, 2019.
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 $1.0 billion, compared to $0.8 billion unchanged from March 31,as of June 30, 2019 (see also Note 19 to the Consolidated Financial Statements). As detailed under “High-Quality Liquid Assets” above, the liquidity resources that are eligible for inclusion in the calculation of Citi’s consolidated HQLA were approximately $318$342 billion for Citibank and approximately $89$80 billion for Citi’s non-bank and other entities, for a total of approximately $407$423 billion for the quarter ended JuneSeptember 30, 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 downgrade of Citibank’s senior debt/long-term rating across any of the three major rating agencies could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of JuneSeptember 30, 2019, Citibank had liquidity commitments of approximately $12.9$10.0 billion to consolidated asset-backed commercial paper conduits, compared to $13.1$12.9 billion as of March 31,June 30, 2019 (as referenced in Note 18 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of certain Citibank entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.


MARKET RISK

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 Factors” in Citi’s 2018 Annual Report on Form 10-K.
 




Market Risk of Non-Trading Portfolios
The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point (bps) increase in interest rates:
In millions of dollars, except as otherwise notedJun. 30, 2019Mar. 31, 2019Jun. 30, 2018Sept. 30, 2019Jun. 30, 2019Sept. 30, 2018
Estimated annualized impact to net interest revenue  
U.S. dollar(1)
$404
$527
$1,046
$292
$404
$879
All other currencies659
677
635
605
659
649
Total$1,063
$1,204
$1,681
$897
$1,063
$1,528
As a percentage of average interest-earning assets0.06%0.07%0.10%0.05%0.06%0.09%
Estimated initial impact to AOCI (after-tax)(2)
$(3,738)$(3,828)$(4,713)$(4,055)$(3,738)$(4,597)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(23)(25)(32)(24)(23)(31)

(1)Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the estimated impact to net interest revenue in the table, since these exposures are managed economically in combination with mark-to-market positions. The U.S. dollar interest rate exposure associated with these businesses was $(230)$(203) million for a 100 bps instantaneous increase in interest rates as of JuneSeptember 30, 2019.
(2)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.

The estimated impact to net interest revenue decreased on a sequential basis, reflecting changes in balance sheet composition and Citi Treasury positioning. The decreaseincrease in the estimated impact to AOCI primarily reflected changes to the positioning of Citi Treasury’s investment securities and related interest rate derivatives portfolio.
In the event of an unanticipated parallel instantaneous 100 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 JuneSeptember 30, 2019, Citi expects that the negative $3.7$4.1 billion impact to AOCI in such a scenario could potentially be offset over approximately 2631 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 five different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies.

In millions of dollars, except as otherwise notedScenario 1Scenario 2Scenario 3Scenario 4Scenario 5Scenario 1Scenario 2Scenario 3Scenario 4Scenario 5
Overnight rate change (bps)100
100
—
—
(100)100
100
—
—
(100)
10-year rate change (bps)100
—
100
(100)(100)100
—
100
(100)(100)
Estimated annualized impact to net interest revenue
  
U.S. dollar$404
$452
$50
$(81)$(864)$292
$343
$52
$(79)$(744)
All other currencies659
632
38
(38)(450)605
558
34
(34)(395)
Total$1,063
$1,084
$88
$(119)$(1,314)$897
$901
$86
$(113)$(1,139)
Estimated initial impact to AOCI (after-tax)(1)
$(3,738)$(2,394)$(1,364)$940
$3,082
$(4,055)$(2,599)$(1,505)$1,125
$3,405
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(23)(15)(9)5
17
(24)(16)(9)6
18
Note: Each scenario assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year rate are interpolated.
(1)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.


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

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of JuneSeptember 30, 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 Indian rupee.Australian dollar.
 
This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign currency-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further affect the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.
The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio are shown in the table below. For additional information on the changes in AOCI, see Note 17 to the Consolidated Financial Statements.


For the quarter endedFor the quarter ended
In millions of dollars, except as otherwise notedJun. 30, 2019Mar. 31, 2019Jun. 30, 2018Sept. 30, 2019Jun. 30, 2019 Sept. 30, 2018
Change in FX spot rate(1)
0.4%0.4%(5.8)%(3.0)%0.4%(0.2)%
Change in TCE due to FX translation, net of hedges$56
$65
$(2,241)$(1,192)$56
$(354)
As a percentage of TCE—%—%(1.5)%(0.8)%—%(0.2)%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
to changes in FX translation, net of hedges (bps)
—
—
—
(1)—
—

(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)
a2q19chartforwdesk.jpga3q19chartforwdeska01.jpg
2nd Qtr. 1st Qtr. 2nd Qtr. Change3rd Qtr. 2nd Qtr. 3rd Qtr. Change
In millions of dollars, except as otherwise noted2019 2019 2018 2Q19 vs. 2Q182019 2019 2018 3Q19 vs. 3Q18
Interest revenue(1)
$19,761
 $19,140
 $17,613
 12% $19,224
 $19,761
 $18,228
 5 % 
Interest expense(2)
7,762
 7,317
 5,885
 32
 7,536
 7,762
 6,368
 18
 
Net interest revenue$11,999
 $11,823
 $11,728
 2% 
Net interest revenue, taxable equivalent basis$11,688
 $11,999
 $11,860
 (1)% 
Interest revenue—average rate(3)
4.40% 4.40% 4.05% 35
bps4.21% 4.40% 4.15% 6
bps
Interest expense—average rate2.14
 2.10
 1.73
 41
bps2.04
 2.14
 1.83
 21
bps
Net interest margin(3)(4)
2.67
 2.72
 2.70
 (3)bps2.56
 2.67
 2.70
 (14)bps
Interest-rate benchmarks                
Two-year U.S. Treasury note—average rate2.13% 2.49% 2.48% (35)bps1.69% 2.13% 2.67% (98)bps
10-year U.S. Treasury note—average rate2.34
 2.65
 2.92
 (58)bps1.80
 2.34
 2.92
 (112)bps
10-year vs. two-year spread21
bps16
bps44
bps 
 11
bps21
bps25
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 ratesrate of 21% in 2019 and 2018) of $47 million, $49 million $64 million and $63$58 million for the three months ended September 30, 2019, June 30, 2019 March 31, 2019 and JuneSeptember 30, 2018, respectively.
(2)
Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated Statement of Income and is therefore not reflected in Interest expense in the table above.
(3)The average rate on interest revenue and net interest margin reflects the taxable equivalent gross-up adjustment. See footnote 1 on “Average Balances and Interest Rates—Assets” below.
(4)Citi’s net interest margin (NIM) is calculated by dividing net interest revenue by average interest-earning assets.

Citi’s net interest revenue in the secondthird quarter of 2019 increased 2%decreased 1% to $12.0$11.6 billion versus the prior-year period. Citi’s net interest revenue on a taxable equivalent basis also decreased 1% (as set forth in the table above, also up 2% on a taxable equivalent basis) versus the prior-year period.above). Excluding the impact of FX translation, net interest revenue increased 4%,was largely unchanged, as total net interest revenue ex-markets (fixed income markets and equity markets) growth of 3% or approximately $450$270 million was offset by a decline in markets net interest revenue of 25% or $280 million. The increase in total net interest revenue primarily reflected higher rates,ex-markets was driven by loan growth and a favorable loan mix, as well as higher trading-related net interest revenue, along with the absence of the FDIC surcharge. The decline in markets net interest revenue was driven by ongoing
 
changes in the composition and mix of the business’s revenues between net interest revenue and non-interest revenue.
As set forth above, Citi’s NIM was 2.67%2.56% on a taxable equivalent basis in the secondthird quarter of 2019, a decrease of 511 basis points from the prior quarter, as higherprimarily driven by the lower markets net interest revenue was more than offset by higher cash balances reflecting strong deposit growth in the current quarter.revenue.


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.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.
In millions of dollars, except rates201920192018201920192018201920192018201920192018201920192018201920192018
Assets        
  
  
  
Deposits with banks(4)
$192,483
$171,369
$176,151
$736
$607
$493
1.53%1.44%1.12%$194,972
$192,483
$186,907
$736
$736
$629
1.50%1.53%1.34%
Securities borrowed or purchased under agreements to resell(5)
     










In U.S. offices$147,677
$152,530
$153,273
$1,345
$1,262
$838
3.65%3.36%2.19%$145,267
$147,677
$154,120
$1,198
$1,345
$1,065
3.27%3.65%2.74%
In offices outside the U.S.(4)
118,973
123,109
118,098
552
528
498
1.86
1.74
1.69
118,741
118,973
114,389
549
552
360
1.83
1.86
1.25
Total$266,650
$275,639
$271,371
$1,897
$1,790
$1,336
2.85%2.63%1.97%$264,008
$266,650
$268,509
$1,747
$1,897
$1,425
2.63%2.85%2.11%
Trading account assets(6)(7)
    











In U.S. offices$108,993
$95,904
$92,791
$1,014
$940
$851
3.73%3.98%3.68%$113,711
$108,993
$92,034
$1,062
$1,014
$1,048
3.71%3.73%4.52%
In offices outside the U.S.(4)
136,733
124,673
117,840
1,129
752
922
3.31
2.45
3.14
137,514
136,733
112,979
834
1,129
614
2.41
3.31
2.16
Total$245,726
$220,577
$210,631
$2,143
$1,692
$1,773
3.50%3.11%3.38%$251,225
$245,726
$205,013
$1,896
$2,143
$1,662
2.99%3.50%3.22%
Investments    











In U.S. offices    











Taxable$217,593
$225,733
$225,886
$1,273
$1,509
$1,315
2.35%2.71%2.34%$218,823
$217,593
$227,282
$1,224
$1,273
$1,343
2.22%2.35%2.34%
Exempt from U.S. income tax15,233
16,287
17,339
196
129
180
5.16
3.21
4.16
14,649
15,233
17,088
126
196
175
3.41
5.16
4.06
In offices outside the U.S.(4)
114,575
108,988
104,562
1,060
940
913
3.71
3.50
3.50
118,991
114,575
103,120
1,083
1,060
903
3.61
3.71
3.47
Total$347,401
$351,008
$347,787
$2,529
$2,578
$2,408
2.92%2.98%2.78%$352,463
$347,401
$347,490
$2,433
$2,529
$2,421
2.74%2.92%2.76%
Loans (net of unearned income)(8)
     












In U.S. offices$393,694
$393,398
$382,972
$7,614
$7,649
$6,958
7.76%7.89%7.29%$396,038
$393,694
$385,610
$7,708
$7,614
$7,331
7.72%7.76%7.54%
In offices outside the U.S.(4)
285,928
285,811
286,772
4,385
4,341
4,251
6.15
6.16
5.95
288,942
285,928
284,663
4,304
4,385
4,326
5.91
6.15
6.03
Total$679,622
$679,209
$669,744
$11,999
$11,990
$11,209
7.08%7.16%6.71%$684,980
$679,622
$670,273
$12,012
$11,999
$11,657
6.96%7.08%6.90%
Other interest-earning assets(9)
$67,885
$66,925
$69,341
$457
$483
$394
2.70%2.93%2.28%$63,869
$67,885
$63,741
$400
$457
$434
2.48%2.70%2.70%
Total interest-earning assets$1,799,767
$1,764,727
$1,745,025
$19,761
$19,140
$17,613
4.40%4.40%4.05%$1,811,517
$1,799,767
$1,741,933
$19,224
$19,761
$18,228
4.21%4.40%4.15%
Non-interest-earning assets(6)
$179,357
$174,687
$172,077
      $188,565
$179,357
$180,871
      
Total assets$1,979,124
$1,939,414
$1,917,102
   $2,000,082
$1,979,124
$1,922,804
   
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax ratesrate of 21% in 2019 and 2018) of $47 million, $49 million $64 million and $63$58 million for the three months ended September 30, 2019, June 30, 2019 March 31, 2019 and JuneSeptember 30, 2018, 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.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.
In millions of dollars, except rates201920192018201920192018201920192018201920192018201920192018201920192018
Liabilities                
Deposits              
In U.S. offices(4)
$377,651
$366,247
$332,595
$1,627
$1,489
$1,041
1.73%1.65%1.26%$400,445
$377,651
$341,679
$1,699
$1,627
$1,231
1.68%1.73%1.43%
In offices outside the U.S.(5)
485,069
473,142
453,025
1,657
1,538
1,203
1.37
1.32
1.07
491,472
485,069
452,197
1,670
1,657
1,349
1.35
1.37
1.18
Total$862,720
$839,389
$785,620
$3,284
$3,027
$2,244
1.53%1.46%1.15%$891,917
$862,720
$793,876
$3,369
$3,284
$2,580
1.50%1.53%1.29%
Securities loaned or sold under
agreements to repurchase(6)
     





     





In U.S. offices$112,386
$111,033
$102,517
$1,149
$1,107
$796
4.10%4.04%3.11%$117,823
$112,386
$105,194
$1,087
$1,149
$872
3.66%4.10%3.29%
In offices outside the U.S.(5)
76,659
72,904
68,556
575
482
428
3.01
2.68
2.50
81,677
76,659
70,638
543
575
378
2.64
3.01
2.12
Total$189,045
$183,937
$171,073
$1,724
$1,589
$1,224
3.66%3.50%2.87%$199,500
$189,045
$175,832
$1,630
$1,724
$1,250
3.24%3.66%2.82%
Trading account liabilities(7)(8)
     





     





In U.S. offices$35,939
$40,163
$36,103
$215
$196
$140
2.40%1.98%1.56%$37,465
$35,939
$38,385
$228
$215
$167
2.41%2.40%1.73%
In offices outside the U.S.(5)
59,065
55,127
61,048
105
131
96
0.71
0.96
0.63
48,985
59,065
57,746
117
105
106
0.95
0.71
0.73
Total$95,004
$95,290
$97,151
$320
$327
$236
1.35%1.39%0.97%$86,450
$95,004
$96,131
$345
$320
$273
1.58%1.35%1.13%
Short-term borrowings(9)
     





     





In U.S. offices$84,091
$75,440
$84,338
$630
$571
$439
3.00%3.07%2.09%$75,179
$84,091
$85,592
$517
$630
$502
2.73%3.00%2.33%
In offices outside the U.S.(5)
22,114
23,740
23,854
85
81
84
1.54
1.38
1.41
17,576
22,114
22,579
92
85
76
2.08
1.54
1.34
Total$106,205
$99,180
$108,192
$715
$652
$523
2.70%2.67%1.94%$92,755
$106,205
$108,171
$609
$715
$578
2.60%2.70%2.12%
Long-term debt(10)
    





    





In U.S. offices$197,578
$191,903
$198,291
$1,685
$1,685
$1,620
3.42%3.56%3.28%$192,943
$197,578
$200,199
$1,569
$1,685
$1,647
3.23%3.42%3.26%
In offices outside the U.S.(5)
4,946
5,060
4,980
34
37
38
2.76
2.97
3.06
4,698
4,946
5,390
14
34
40
1.18
2.76
2.94
Total$202,524
$196,963
$203,271
$1,719
$1,722
$1,658
3.40%3.55%3.27%$197,641
$202,524
$205,589
$1,583
$1,719
$1,687
3.18%3.40%3.26%
Total interest-bearing liabilities$1,455,498
$1,414,759
$1,365,307
$7,762
$7,317
$5,885
2.14%2.10%1.73%$1,468,263
$1,455,498
$1,379,599
$7,536
$7,762
$6,368
2.04%2.14%1.83%
Demand deposits in U.S. offices$29,929
$26,893
$33,737
    $27,538
$29,929
$31,697
    
Other non-interest-bearing liabilities(7)
296,747
301,259
316,907
   307,586
296,747
312,174
   
Total liabilities$1,782,174
$1,742,911
$1,715,951
   $1,803,387
$1,782,174
$1,723,470
   
Citigroup stockholders’ equity$196,237
$195,705
$200,295
   $196,034
$196,237
$198,494
   
Noncontrolling interest713
798
856
   661
713
840
   
Total equity$196,950
$196,503
$201,151
   $196,695
$196,950
$199,334
   
Total liabilities and stockholders’ equity$1,979,124
$1,939,414
$1,917,102
   $2,000,082
$1,979,124
$1,922,804
   
Net interest revenue as a percentage of average interest-earning assets(11)
            
In U.S. offices$1,015,979
$996,867
$983,786
$7,029
$7,232
$6,710
2.77%2.94%2.74%$1,026,273
$1,015,979
$1,005,236
$7,036
$7,029
$7,307
2.72%2.77%2.88%
In offices outside the U.S.(6)
783,788
768,160
761,239
4,970
4,591
5,018
2.54
2.42
2.64
785,244
783,788
736,697
4,652
4,970
4,553
2.35
2.54
2.45
Total$1,799,767
$1,765,027
$1,745,025
$11,999
$11,823
$11,728
2.67%2.72%2.70%$1,811,517
$1,799,767
$1,741,933
$11,688
$11,999
$11,860
2.56%2.67%2.70%
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax ratesrate of 21% in 2019 and 2018) of $47 million, $49 million $64 million and $63$58 million for the three months ended September 30, 2019, June 30, 2019 March 31, 2019 and JuneSeptember 30, 2018, 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) 
Taxable Equivalent Basis
Average volumeInterest revenue% Average rateAverage volumeInterest revenue% Average rate
Six MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine Months
In millions of dollars, except rates201920182019201820192018201920182019201820192018
Assets            
Deposits with banks(4)
$181,926
$173,509
$1,343
$925
1.49%1.08%$186,275
$177,975
$2,079
$1,554
1.49%1.17%
Securities borrowed or purchased under agreements to resell(5)
            
In U.S. offices$150,104
$146,816
$2,607
$1,551
3.50%2.13%$148,492
$149,251
$3,805
$2,616
3.43%2.34%
In offices outside the U.S.(4)
121,041
116,009
1,080
824
1.80
1.43
120,274
115,469
1,629
1,184
1.81
1.37
Total$271,145
$262,825
$3,687
$2,375
2.74%1.82%$268,766
$264,720
$5,434
$3,800
2.70%1.92%
Trading account assets(6)(7)
          
In U.S. offices$102,449
$95,175
$1,954
$1,720
3.85%3.64%$106,203
$94,128
$3,016
$2,768
3.80%3.93%
In offices outside the U.S.(4)
130,703
118,222
1,881
1,434
2.90
2.45
132,973
116,474
2,715
2,048
2.73
2.35
Total$233,152
$213,397
$3,835
$3,154
3.32%2.98%$239,176
$210,602
$5,731
$4,816
3.20%3.06%
Investments            
In U.S. offices            
Taxable$221,663
$227,647
$2,782
$2,539
2.53%2.25%$220,716
$227,525
$4,006
$3,882
2.43%2.28%
Exempt from U.S. income tax15,760
17,435
325
350
4.16
4.05
15,390
17,319
451
525
3.92
4.05
In offices outside the U.S.(4)
111,782
104,935
2,000
1,790
3.61
3.44
114,185
104,330
3,083
2,693
3.61
3.45
Total$349,205
$350,017
$5,107
$4,679
2.95%2.70%$350,291
$349,174
$7,540
$7,100
2.88%2.72%
Loans (net of unearned income)(8)
            
In U.S. offices$393,546
$381,665
$15,263
$13,690
7.82%7.23%$394,376
$382,980
$22,971
$21,021
7.79%7.34%
In offices outside the U.S.(4)
285,870
287,170
8,726
8,428
6.16
5.92
286,894
286,334
13,030
12,754
6.07
5.96
Total$679,416
$668,835
$23,989
$22,118
7.12%6.67%$681,270
$669,314
$36,001
$33,775
7.07%6.75%
Other interest-earning assets(9)
$67,405
$68,051
$940
$758
2.81%2.25%$66,225
$66,614
$1,340
$1,192
2.71%2.39%
Total interest-earning assets$1,782,249
$1,736,634
$38,901
$34,009
4.40%3.95%$1,792,003
$1,738,399
$58,125
$52,237
4.34%4.02%
Non-interest-earning assets(6)
$177,022
$174,032
  
  
$180,870
$176,311
  
  
Total assets$1,959,271
$1,910,666
  
  
$1,972,873
$1,914,710
  
  
(1)
Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax ratesrate of 21% in 2019 and 2018) of $113$160 million and $127$185 million for the sixnine months ended JuneSeptember 30, 2019 and 2018, 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)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 FIN 41 (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 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
Six MonthsSix MonthsSix MonthsSix MonthsSix MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine Months
In millions of dollars, except rates201920182019201820192018201920182019201820192018
Liabilities            
Deposits            
In U.S. offices(4)
$371,949
$327,974
$3,118
$1,938
1.69%1.19%$381,447
$332,542
$4,815
$3,169
1.69%1.27%
In offices outside the U.S.(5)
479,106
449,721
3,193
2,303
1.34
1.03
483,228
450,546
4,865
3,652
1.35
1.08
Total$851,055
$777,695
$6,311
$4,241
1.50%1.10%$864,675
$783,088
$9,680
$6,821
1.50%1.16%
Securities loaned or sold under agreements to repurchase(6)
          
In U.S. offices$111,709
$100,766
$2,256
$1,400
4.07%2.80%$113,747
$102,242
$3,343
$2,272
3.93%2.97%
In offices outside the U.S.(5)
74,782
67,003
1,057
773
2.85
2.33
77,080
68,215
1,600
1,151
2.78
2.26
Total$186,491
$167,769
$3,313
$2,173
3.58%2.61%$190,827
$170,457
$4,943
$3,423
3.46%2.68%
Trading account liabilities(7)(8)
          
In U.S. offices$38,051
$35,050
$411
$267
2.18%1.54%$37,856
$36,161
$639
$434
2.26%1.60%
In offices outside the U.S.(5)
57,096
59,387
236
184
0.83
0.62
54,392
58,840
353
290
0.87
0.66
Total$95,147
$94,437
$647
$451
1.37%0.96%$92,248
$95,001
$992
$724
1.44%1.02%
Short-term borrowings(9)
          
In U.S. offices$79,766
$86,770
$1,201
$828
3.04%1.92%$78,237
$86,377
$1,718
$1,330
2.94%2.06%
In offices outside the U.S.(5)
22,927
23,668
166
166
1.46
1.41
21,143
23,305
258
242
1.63
1.39
Total$102,693
$110,438
$1,367
$994
2.68%1.82%$99,380
$109,682
$1,976
$1,572
2.66%1.92%
Long-term debt(10)
          
In U.S. offices$194,741
$199,108
$3,370
$3,102
3.49%3.14%$194,142
$199,471
$4,939
$4,749
3.40%3.18%
In offices outside the U.S.(5)
5,003
4,667
71
84
2.86
3.63
4,901
4,908
85
124
2.32
3.38
Total$199,744
$203,775
$3,441
$3,186
3.47%3.15%$199,043
$204,379
$5,024
$4,873
3.37%3.19%
Total interest-bearing liabilities$1,435,130
$1,354,114
$15,079
$11,045
2.12%1.64%$1,446,173
$1,362,607
$22,615
$17,413
2.09%1.71%
Demand deposits in U.S. offices$28,411
$34,633
  
 $28,120
$33,654
  
 
Other non-interest-bearing liabilities(7)
299,003
320,455
  
 301,864
317,696
  
 
Total liabilities$1,762,544
$1,709,202
  
 $1,776,157
$1,713,957
  
 
Citigroup stockholders’ equity(11)
$195,971
$200,564
  
 $195,992
$199,874
  
 
Noncontrolling interest756
899
  
 724
879
  
 
Total equity(11)
$196,727
$201,463
  
 $196,716
$200,753
  
 
Total liabilities and stockholders’ equity$1,959,271
$1,910,665
  
 $1,972,873
$1,914,710
  
 
Net interest revenue as a percentage of average interest-earning assets          
In U.S. offices$1,006,273
$978,772
$14,261
$13,427
2.86%2.77%$1,012,940
$987,592
$21,298
$20,734
2.81%2.81%
In offices outside the U.S.(5)
775,974
757,862
9,561
9,537
2.48
2.54
779,064
750,807
14,213
14,090
2.44
2.51
Total$1,782,247
$1,736,634
$23,822
$22,964
2.70%2.67%$1,792,004
$1,738,399
$35,511
$34,824
2.65%2.68%
(1)
Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax ratesrate of 21% in 2019 and 2018) of $113$160 million and $127$185 million for the sixnine months ended JuneSeptember 30, 2019 and 2018, 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)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.
(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)
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 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 Brokerage payables.
(10)
Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as these obligations are accounted for in changes in fair value recorded in Principal transactions.
(11)Includes allocations for capital and funding costs based on the location of the asset.


Analysis of Changes in Interest Revenue(1)(2)(3) 
2nd Qtr. 2019 vs. 1st Qtr. 20192nd Qtr. 2019 vs. 2nd Qtr. 20183rd Qtr. 2019 vs. 2nd Qtr. 20193rd Qtr. 2019 vs. 3rd 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(3)
$78
$51
$129
$49
$194
$243
$9
$(9)$—
$28
$79
$107
Securities borrowed or purchased under agreements to resell         
In U.S. offices$(41)$124
$83
$(32)$539
$507
$(22)$(125)$(147)$(64)$197
$133
In offices outside the U.S.(3)
(18)42
24
4
50
54
(1)(2)(3)14
175
189
Total$(59)$166
$107
$(28)$589
$561
$(23)$(127)$(150)$(50)$372
$322
Trading account assets(4)
         
In U.S. offices$124
$(50)$74
$151
$12
$163
$44
$4
$48
$222
$(208)$14
In offices outside the U.S.(3)
78
299
377
154
53
207
6
(301)(295)143
77
220
Total$202
$249
$451
$305
$65
$370
$50
$(297)$(247)$365
$(131)$234
Investments(1)
         
In U.S. offices$(61)$(108)$(169)$(65)$39
$(26)$4
$(123)$(119)$(66)$(102)$(168)
In offices outside the U.S.(3)
50
70
120
91
56
147
40
(17)23
143
37
180
Total$(11)$(38)$(49)$26
$95
$121
$44
$(140)$(96)$77
$(65)$12
Loans (net of unearned income)(5)
         
In U.S. offices$6
$(41)$(35)$199
$457
$656
$45
$49
$94
$201
$176
$377
In offices outside the U.S.(3)
2
42
44
(13)147
134
46
(127)(81)64
(86)(22)
Total$8
$1
$9
$186
$604
$790
$91
$(78)$13
$265
$90
$355
Other interest-earning assets(6)
$7
$(33)$(26)$(8)$71
$63
$(26)$(31)$(57)$1
$(35)$(34)
Total interest revenue$225
$396
$621
$530
$1,618
$2,148
$145
$(682)$(537)$686
$310
$996
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax ratesrate of 21% in 2019 and 2018 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)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes cash-basis loans.
(6)
Includes Brokerage receivables.



Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3) 
2nd Qtr. 2019 vs. 1st Qtr. 20192nd Qtr. 2019 vs. 2nd Qtr. 20183rd Qtr. 2019 vs. 2nd Qtr. 20193rd Qtr. 2019 vs. 3rd 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$47
$91
$138
$155
$431
$586
$97
$(25)$72
$230
$238
$468
In offices outside the U.S.(3)
39
80
119
90
364
454
22
(9)13
123
198
321
Total$86
$171
$257
$245
$795
$1,040
$119
$(34)$85
$353
$436
$789
Securities loaned or sold under agreements to repurchase          
In U.S. offices$14
$28
$42
$82
$271
$353
$54
$(116)$(62)$111
$104
$215
In offices outside the U.S.(3)
26
67
93
54
93
147
36
(68)(32)65
100
165
Total$40
$95
$135
$136
$364
$500
$90
$(184)$(94)$176
$204
$380
Trading account liabilities(4)
         
In U.S. offices$(22)$41
$19
$(1)$76
$75
$9
$4
$13
$(4)$65
$61
In offices outside the U.S.(3)
9
(35)(26)(3)12
9
(20)32
12
(18)29
11
Total$(13)$6
$(7)$(4)$88
$84
$(11)$36
$25
$(22)$94
$72
Short-term borrowings(5)
         
In U.S. offices$65
$(6)$59
$(1)$192
$191
$(64)$(49)$(113)$(65)$80
$15
In offices outside the U.S.(3)
(6)10
4
(6)7
1
(20)27
7
(20)36
16
Total$59
$4
$63
$(7)$199
$192
$(84)$(22)$(106)$(85)$116
$31
Long-term debt         
In U.S. offices$49
$(49)$—
$(6)$71
$65
$(39)$(77)$(116)$(59)$(19)$(78)
In offices outside the U.S.(3)
(1)(2)(3)—
(4)(4)(2)(18)(20)(5)(21)(26)
Total$48
$(51)$(3)$(6)$67
$61
$(41)$(95)$(136)$(64)$(40)$(104)
Total interest expense$220
$225
$445
$364
$1,513
$1,877
$73
$(299)$(226)$358
$810
$1,168
Net interest revenue$4
$172
$176
$165
$106
$271
$72
$(383)$(311)$328
$(500)$(172)
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax ratesrate of 21% in 2019 and 2018 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)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)
Includes Brokerage payables.











Analysis of Changes in Interest Revenue(1)(2)(3) 
Six Months 2019 vs. Six Months 2018Nine Months 2019 vs. Nine Months 2018
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits with banks(3)
$47
$371
$418
$75
$450
$525
Securities borrowed or purchased under agreements to resell    
In U.S. offices$35
$1,021
$1,056
$(13)$1,202
$1,189
In offices outside the U.S.(3)
37
219
256
51
394
445
Total$72
$1,240
$1,312
$38
$1,596
$1,634
Trading account assets(4)
    
In U.S. offices$136
$98
$234
$345
$(97)$248
In offices outside the U.S.(3)
162
285
447
312
355
667
Total$298
$383
$681
$657
$258
$915
Investments(1)
    
In U.S. offices$(92)$310
$218
$(161)$211
$50
In offices outside the U.S.(3)
120
90
210
262
128
390
Total$28
$400
$428
$101
$339
$440
Loans (net of unearned income)(5)
    
In U.S. offices$436
$1,137
$1,573
$638
$1,312
$1,950
In offices outside the U.S.(3)
(38)336
298
25
251
276
Total$398
$1,473
$1,871
$663
$1,563
$2,226
Other interest-earning assets(6)
$(7)$189
$182
$(7)$155
$148
Total interest revenue$836
$4,056
$4,892
$1,527
$4,361
$5,888
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax ratesrate of 21% in 2019 and 2018 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)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes cash-basis loans.
(6)
Includes Brokerage receivables.



Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3) 
Six Months 2019 vs. Six Months 2018Nine Months 2019 vs. Nine Months 2018
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits    
In U.S. offices$286
$892
$1,178
$513
$1,133
$1,646
In offices outside the U.S.(3)
159
733
892
280
933
1,213
Total$445
$1,625
$2,070
$793
$2,066
$2,859
Securities loaned or sold under agreements to repurchase    
In U.S. offices$165
$691
$856
$277
$794
$1,071
In offices outside the U.S.(3)
97
187
284
162
287
449
Total$262
$878
$1,140
$439
$1,081
$1,520
Trading account liabilities(4)
    
In U.S. offices$24
$120
$144
$21
$184
$205
In offices outside the U.S.(3)
(7)59
52
(23)86
63
Total$17
$179
$196
$(2)$270
$268
Short-term borrowings(5)
    
In U.S. offices$(72)$445
$373
$(135)$523
$388
In offices outside the U.S.(3)
(5)5
—
(24)40
16
Total$(77)$450
$373
$(159)$563
$404
Long-term debt    
In U.S. offices$(69)$337
$268
$(129)$319
$190
In offices outside the U.S.(3)
6
(19)(13)—
(39)(39)
Total$(63)$318
$255
$(129)$280
$151
Total interest expense$584
$3,450
$4,034
$942
$4,260
$5,202
Net interest revenue$252
$606
$858
$585
$101
$686
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax ratesrate of 21% in 2019 and 2018 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)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)
Includes Brokerage payables.











Market Risk of Trading Portfolios

Value at Risk
As of JuneSeptember 30, 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 March 31,June 30, 2019, the add-on was 26%25%.
As set forth in the table below, Citi's average trading VAR decreased from March 31,June 30, 2019 to JuneSeptember 30, 2019. The decrease was mainly due to a decrease in mark-to-market interest rate hedging exposure and a reduction in credit spread risk in the Markets businesses within ICG. Citi’s average trading and credit portfolio VAR also decreased from June 30, 2019 to September 30, 2019, in line with the decrease in average trading VAR.

Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
 Second Quarter First Quarter Second Quarter Third Quarter Second Quarter Third Quarter
In millions of dollarsJune 30, 20192019 AverageMarch 31, 20192019 AverageJune 30, 20182018 AverageSeptember 30, 20192019 AverageJune 30, 20192019 AverageSeptember 30, 20182018 Average
Interest rate$40
$36
$32
$37
$60
$61
$29
$33
$40
$36
$33
$58
Credit spread46
43
43
48
46
47
40
41
46
43
45
42
Covariance adjustment(1)
(24)(20)(21)(23)(25)(26)(24)(23)(24)(20)(17)(24)
Fully diversified interest rate and credit spread(2)
$62
$59
$54
$62
$81
$82
$45
$51
$62
$59
$61
$76
Foreign exchange29
25
15
26
29
30
12
20
29
25
18
21
Equity22
13
20
17
23
20
13
17
22
13
23
21
Commodity25
25
30
28
16
17
16
26
25
25
17
21
Covariance adjustment(1)
(69)(63)(66)(67)(74)(69)(48)(60)(69)(63)(58)(68)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$69
$59
$53
$66
$75
$80
$38
$54
$69
$59
$61
$71
Specific risk-only component(3)
$2
$2
$2
$3
$2
$3
$(5)$2
$2
$2
$7
$1
Total trading VAR—general market risk factors only (excluding credit portfolios)$67
$57
$51
$63
$73
$77
$43
$52
$67
$57
$54
$70
Incremental impact of the credit portfolio(4)
$7
$10
$14
$15
$16
$10
$16
$12
$7
$10
$11
$11
Total trading and credit portfolio VAR$76
$69
$67
$81
$91
$90
$54
$66
$76
$69
$72
$82

(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 QuarterThird QuarterSecond QuarterThird Quarter
201920192018201920192018
In millions of dollarsLowHighLowHighLowHighLowHighLowHighLowHigh
Interest rate$27
$47
$30
$58
$38
$91
$25
$42
$27
$47
$33
$80
Credit spread39
48
41
55
43
52
37
47
39
48
38
47
Fully diversified interest rate and credit spread$49
$72
$51
$89
$59
$118
$45
$60
$49
$72
$61
$95
Foreign exchange20
32
15
34
20
44
12
29
20
32
13
27
Equity7
22
10
29
15
26
11
24
7
22
16
28
Commodity20
33
19
43
13
22
16
75
20
33
16
27
Total trading$46
$69
$53
$87
$57
$120
$38
$84
$46
$69
$56
$91
Total trading and credit portfolio59
77
62
103
69
123
54
93
59
77
66
101
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, 2019Sept. 30, 2019
Total—all market risk factors, including
general and specific risk
  
Average—during quarter$58
$54
High—during quarter68
85
Low—during quarter46
39

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 JuneSeptember 30, 2019, there were no back-testing exceptions observed for Citi’s Regulatory VAR for the prior 12 months.


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

Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by
country (excluding the U.S.) as of JuneSeptember 30, 2019. The total exposure as of JuneSeptember 30, 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 29% of corporate
loans presented in the table below are to U.K. domiciled
entities (29%(31% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 85% of the total U.K. funded loans and 90% of
the total U.K. unfunded commitments were investment grade
as of JuneSeptember 30, 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 additional information on strategic risk at Citi, see “Strategic Risk” in Citi’s 2018 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
2Q19
Total
as of
1Q19
Total
as of
2Q18
Total as a % of Citi as of 2Q19
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
3Q19
Total
as of
2Q19
Total
as of
3Q18
Total as a % of Citi as of 3Q19
United Kingdom$42.4
$—
$10.3
$55.2
$11.0
$(4.4)$5.6
$(2.4)$117.7
$122.3
$125.8
7.2%$47.6
$—
$4.6
$52.5
$11.4
$(3.4)$6.8
$(2.9)$116.6
$117.7
$123.7
7.1%
Mexico10.3
25.8
0.3
8.4
1.2
(0.7)14.9
6.6
66.8
63.4
60.2
4.1
9.5
24.8
0.3
8.1
2.8
(0.8)16.0
6.6
67.3
66.8
61.9
4.1
Hong Kong17.8
14.0
0.7
7.3
1.4
(0.4)7.5
1.2
49.5
50.3
45.1
3.0
18.4
14.7
0.7
7.0
1.2
(0.1)7.8
2.8
52.5
49.5
45.9
3.2
Singapore13.2
13.2
0.2
4.8
1.0
(0.1)8.7
1.7
42.7
41.0
41.2
2.6
13.6
13.3
0.4
4.4
1.3
(0.4)7.2
1.5
41.3
42.7
41.0
2.5
Ireland13.4
—
0.5
18.1
0.3
—
—
0.6
32.9
33.5
31.3
2.0
12.9
—
1.3
19.7
0.3
—
—
0.6
34.8
32.9
31.1
2.1
Korea1.7
17.7
0.2
2.5
1.1
(0.4)8.0
0.8
31.6
33.7
35.0
1.9
1.7
17.1
0.1
2.1
1.5
(0.4)8.2
0.9
31.2
31.6
33.7
1.9
India4.3
7.3
1.0
5.6
1.9
(0.6)9.9
1.9
31.3
32.0
27.6
1.9
4.1
7.3
0.7
5.2
1.1
(0.5)10.0
1.7
29.6
31.3
27.2
1.8
Brazil12.3
—
—
3.5
3.9
(1.0)4.2
3.5
26.4
26.8
24.4
1.6
11.8
—
—
3.0
4.6
(0.9)3.9
3.3
25.7
26.4
25.9
1.6
Australia4.8
9.9
—
6.7
1.2
(0.4)1.5
(1.9)21.8
22.9
23.2
1.3
4.6
9.4
—
5.8
1.6
(0.4)1.5
(1.7)20.8
21.8
24.1
1.3
China6.1
4.7
0.5
1.8
1.1
(0.4)4.4
0.4
18.6
18.3
18.8
1.1
Japan2.7
—
0.1
2.5
4.5
(1.6)6.2
4.6
19.0
14.4
15.9
1.2
2.5
—
0.1
3.1
3.9
(1.5)5.8
4.4
18.3
19.0
18.4
1.1
Germany0.8
—
—
6.2
2.4
(3.3)8.8
3.9
18.8
22.2
16.8
1.2
0.4
—
0.1
5.9
2.8
(3.5)8.5
3.8
18.0
18.8
19.7
1.1
China6.1
4.7
0.4
1.8
1.1
(0.4)4.3
0.3
18.3
17.4
19.5
1.1
Taiwan5.0
8.8
0.1
1.0
0.3
(0.1)0.8
1.7
17.6
17.6
19.0
1.1
5.6
8.8
0.1
1.0
0.3
(0.1)0.8
0.7
17.2
17.6
17.8
1.0
Canada2.3
0.7
0.4
7.5
2.3
(0.4)2.9
0.7
16.4
15.3
15.8
1.0
2.3
0.7
0.3
6.7
2.4
(0.5)3.1
0.9
15.9
16.4
16.4
1.0
Poland3.7
2.0
0.1
3.3
0.2
(0.1)5.1
1.0
15.3
15.3
13.0
0.9
3.7
1.9
0.1
2.8
0.5
(0.1)3.9
0.8
13.6
15.3
14.4
0.8
Jersey7.2
—
0.1
5.5
—
—
—
—
12.8
9.9
10.0
0.8
7.6
—
0.2
5.8
—
—
—
—
13.6
12.8
10.3
0.8
United Arab Emirates6.9
1.4
0.1
3.1
0.4
(0.1)—
—
11.8
12.4
10.2
0.7
6.7
1.5
0.2
3.0
0.2
(0.1)0.1
—
11.6
11.8
9.8
0.7
Malaysia1.8
4.5
0.2
1.0
0.1
(0.1)1.7
0.5
9.7
10.0
9.7
0.6
1.7
4.4
0.2
1.0
0.1
(0.1)1.4
0.4
9.1
9.7
9.6
0.6
Thailand0.8
2.6
0.2
1.7
0.1
—
1.9
1.2
8.5
6.8
6.9
0.5
0.7
2.7
0.1
1.7
—
—
1.7
0.9
7.8
8.5
7.2
0.5
Indonesia2.3
1.0
0.1
1.4
0.1
(0.1)1.2
0.2
6.2
6.1
6.2
0.4
2.1
1.0
—
1.4
—
(0.1)1.3
0.2
5.9
6.2
5.8
0.4
Italy0.3
—
—
2.1
4.6
(1.5)—
0.6
6.1
2.6
3.2
0.4
Russia1.9
0.9
—
0.8
0.7
(0.1)0.9
0.3
5.4
4.7
4.6
0.3
1.8
0.8
—
0.7
0.3
(0.1)1.0
0.5
5.0
5.4
4.1
0.3
Philippines0.7
1.4
—
0.5
0.2
—
1.9
0.5
5.2
5.9
5.2
0.3
0.7
1.4
—
0.5
0.1
—
1.7
0.2
4.6
5.2
4.9
0.3
Cayman Islands—
—
—
—
0.1
—
2.6
1.1
3.8
2.2
2.6
0.2
Czechia0.9
—
—
0.5
2.4
—
—
—
3.8
4.0
3.3
0.2
South Africa1.4
—
0.1
0.7
0.3
(0.1)1.6
0.1
4.1
3.9
5.3
0.3
1.5
—
—
0.5
0.3
(0.1)1.5
—
3.7
4.1
5.0
0.2
Czech Republic0.9
—
—
0.7
2.4
—
—
—
4.0
3.3
2.2
0.2
Total as a % of Citi’s Total ExposureTotal as a % of Citi’s Total Exposure  36.6%Total as a % of Citi’s Total Exposure  35.9%
Total as a % of Citi’s non-U.S. Total ExposureTotal as a % of Citi’s non-U.S. Total Exposure  90.4%Total as a % of Citi’s non-U.S. Total Exposure  89.5%

(1)
ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of JuneSeptember 30, 2019, private bank loans in the table above totaled $27.8$29.7 billion, concentrated in Hong Kong ($8.99.3 billion), Singapore ($7.0 billion) and the U.K. ($6.77.2 billion) and Singapore ($7.2 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.
    

VenezuelaArgentina
Citi continues to monitor the political and economic environment and uncertaintiesoperates in Venezuela.Argentina through its ICG businesses. As of JuneSeptember 30, 2019, Citi’s net investment in its on-shore VenezuelanArgentine operations was approximately $40$570 million. As previously disclosed, Citi uses the U.S. dollar as the functional currency for its operations in Argentina because the Argentine economy is considered highly inflationary under U.S. GAAP.
During the third quarter of 2019, the Argentine peso depreciated 36% against the U.S. dollar, and the U.S. rating agencies downgraded Argentina’s sovereign debt rating given renewed concerns of a debt default. Additionally, the government of Argentina announced a debt re-profiling on
certain short-term obligations, and also implemented new capital and currency controls during the quarter. As of June 30, 2019, Citi had already remitted all available earnings from its Argentine operations that could be remitted during the 2019 calendar year, although the new capital controls will restrict Citi’s ability to access U.S. dollars in Argentina and remit earnings from its Argentine operations in the future.
Citi economically hedges its foreign currency risk in its net investment in Argentina to the extent possible and prudent through the use of non-deliverable forward (NDF) derivative instruments that are executed outside of Argentina. During the third quarter of 2019, the international NDF market lost liquidity as a result of the capital controls on foreign exchange transactions mentioned above. Given the lack of liquidity in the international NDF market, Citi faces a risk that it will be unable to economically hedge its Argentine peso exposure if these contracts do not begin trading again in the near term. As a result, devaluations on Citi’s net Argentine peso-denominated assets would be recorded in earnings, without any benefit from a change in the fair value of derivative positions used to economically hedge the exposure.
Citi consistently evaluates its economic exposure to its Argentine counterparties and reserves for changes in credit risk and sovereign risk associated with its Argentine assets. Citi believes it has established appropriate loan loss reserves on its Argentine loans, and appropriate fair value adjustments on Argentine assets and liabilities measured at fair value, for such risks under U.S. GAAP as of September 30, 2019. However, given the recent events in Argentina, U.S. regulatory agencies may require Citi to record additional reserves in the future, increasing ICG’scost of credit, based on the perceived country risk associated with its Argentine exposures.



Potential Exit of U.K. from EU
As widely reported, the U.K. and the EU agreed to further extend the U.K.’s scheduled exit from the EU to Octoberuntil January 31, 2019.2020. For additional information regarding the U.K’sU.K.’s potential exit from the EU, see “Risk Factors—Strategic Risk” and “Strategic Risk—Potential Exit of U.K. from EU” in Citi’s 2018 Annual Report on Form 10-K.

LIBOR Transition Risk
Citi continues to actively identify and manage its LIBOR transition risks. Citi’s LIBOR governance and implementation program remains focused on identifying and addressing the transition impact to Citi’s clients, operational capabilities, and legal and financial contracts, among others. Citi also continues to engage on transition issues with regulators and others, such as the Alternative Reference Rates Committee (ARRC) convened by the Federal Reserve Board, in addition to various industry working groups. 
For additional information on Citi’s LIBOR transition risks and actions, see “Risk Factors—Strategic Risks” and “Managing Global Risk—Strategic Risks—LIBOR Transition Risk” in Citi’s 2018 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 2018 Annual Report on Form 10-K.
At JuneSeptember 30, 2019, Citigroup had recorded net DTAs of approximately $22.3$22.5 billion, a decreasean increase of $0.5$0.2 billion from March 31,June 30, 2019 and a decrease of $0.6$0.4 billion from December 31, 2018. The decreaseincrease for the quarter was primarily driven by gains in Other comprehensive income and taxable earnings.the DTA valuation allowance (VA) release as discussed below.
The table below summarizes Citi’s net DTAs balance:
Jurisdiction/ComponentDTAs balanceDTAs balance
In billions of dollarsJune 30,
2019		December 31, 2018September 30,
2019		December 31, 2018
Total U.S.$20.4
$20.7
$20.6
$20.7
Total foreign1.9
2.2
1.9
2.2
Total$22.3
$22.9
$22.5
$22.9

Of Citi’s total net DTAs of $22.3$22.5 billion as of JuneSeptember 30, 2019, $10.4$10.2 billion (primarily relating to net operating losses, foreign tax credits and general business credit carry-forwards, which Citi reduced by $0.2 billion in the current quarter)quarter and $0.7 billion year-to-date, excluding the VA release), was deducted in calculating Citi’s regulatory capital. Net DTAs resulting from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations (see “Capital Resources” above). For the quarter ended JuneSeptember 30, 2019, Citi did not have any such DTAs. Accordingly, the remaining $11.9$12.3 billion of net DTAs as of JuneSeptember 30, 2019 was not deducted in calculating regulatory capital pursuant to Basel III standards and was appropriately risk weighted under those rules.

DTA Valuation Allowance (VA) Release
In the third quarter of 2019, Citi committed to a plan as part of the Company’s liquidity management program, to increase its ownership of certain types of non-U.S. securities and to hold such securities in its U.S. operations. This action will generate incremental foreign source income in Citi’s U.S. tax returns over time. Based on these actions, the Company views it to be more-likely-than-not that Citi will utilize $182 million of FTC carry-forwards against which it had previously recorded a VA. Therefore, Citi released the associated approximately $182 million of VA in the third quarter.
Citi continues to look for other actions that may improve foreign source income in the U.S. and thus affect the VA. These actions can include the relocation of certain businesses to the U.S., each of which can raise client, regulatory or operational issues. No other action was deemed prudent and feasible as of September 30, 2019. In addition, in the fourth quarter of 2019, as part of its normal planning process, Citi updates its forecasts of operating income and foreign source income, which in turn can affect the VA.

Overall DTA Realizability
Citi believes that the realization of the recognized net DTAs of $22.5 billion at September 30, 2019 is more-likely-than-not, based upon management’s expectations as to future taxable income in the jurisdictions in which the DTAs arise, as well as consideration of available tax planning strategies (as defined in ASC Topic 740, Income Taxes).

Effective Tax Rate
Citi’s reported effective tax rate for the secondthird quarter of 2019 was 22.3%approximately 18%, which included discrete items related to a tax audit settlement and the VA release discussed above, compared to 24.3%24% in the prior-year period. TheCiti’s effective tax rate for the remainder of the year is expected to be betweenexcluding those discrete items was approximately 22% and 23%.








FUTURE APPLICATION OF ACCOUNTING STANDARDS

Accounting for Financial Instruments—Credit Losses
In June 2016, the Financial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326). The ASU introduces a new credit loss methodology, the Current Expected Credit Losses (CECL) methodology, which requires earlier recognition of credit losses, while also providing additional transparency about credit risk.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities and other receivables measured at amortized cost at the time the financial asset is originated or acquired. The allowance for credit losses is adjusted each period for changes in expected lifetime credit losses. This methodology replaces the multiple existing impairment methods in current GAAP, which generally require that a loss be incurred before it is recognized. Within the life cycle of a loan or other financial asset, the ASU will generally result in the earlier recognition of the provision for credit losses and the related allowance for credit losses than current practice. For available-for-sale debt securities that Citi intends to hold and where fair value is less than cost, credit-related impairment, if any, will be recognized through an allowance for credit losses and adjusted each period for changes in credit risk.
The CECL methodology represents a significant change from existing GAAP and may result in material changes to the Company’s accounting for financial instruments. The Company is evaluating the effect that ASU 2016-13 will have on its Consolidated Financial Statements and related disclosures. The impact of the ASU will, among other things, depend upon the state of the economy, forecasted macroeconomic conditions and Citi’s portfolios at the date of adoption. Based on a preliminary analysis performed in the secondthird quarter of 2019 and forecasts of macroeconomic conditions and exposures at that time, the overall impact is estimated to be an approximate 20% to 20–30% increase in expected credit loss reserves. When transitioning to CECL on January 1, 2020, Citi expects to build reserves for its consumer exposures while releasing reserves related to its corporate exposures. 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 have been underway, including model development and validation, fulfillment of additional data needs for new disclosures and reporting requirements, and drafting of accounting policies. Substantial progress has been made in model development.development and validation. 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.losses and to discount inputs for the corporate classifiably managed portfolios. 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-RegulatoryDevelopments—Regulatory Capital Treatment—Implementation and Transition of the Current Expected Credit
Losses (CECL) Methodology” in Citi’s 2018 Annual Report on Form 10-K.

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 JuneSeptember 30, 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. Citi, in its related quarterly reports on Form 10-Q, previously disclosed reportable activities pursuant to Section 219 infor the first quarterand second quarters of 2019.
During the secondthird quarter of 2019, and as a result of an operational error, on March 28, 2019, the Czech Republic branch of Citibank Europe plc, (“CEP Czech Republic”), a non-U.S. subsidiary of Citigroup Inc., on behalf of its client, provided a performance bond forCiti, acting as an intermediary bank, processed two transactions between two Irish banks paid to the benefit of Mapna Europe GmbH (“Mapna”), an entity that appears to be majority owned by the Government of Iran.Iranian Embassy in Ireland. The total aggregate value of the bondpayments was EUR 100,670.00250.00 (approximately $113,118.62)USD 279.00). Mapna did not make any claims against the bondThese transactions were for visa-related fees and CEP Czech Republic did not make any payments to Mapna. Citi realized CZK 106,273.59 (approximately $4,673.91) in administrative fees from its client. The transaction was voluntarily self-disclosedare exempt pursuant to the U.S. OfficeIranian Transactions and Sanctions Regulations. Citibank Europe plc realized nominal fees for the processing of Foreign Asset Control (OFAC) on June 10, 2019.these payments.






 











FORWARD-LOOKING STATEMENTS

Certain statements in this Form 10-Q, including but not limited to statements included within the Management’s Discussion and Analysis of Financial Condition and Results of Operations, are “forward-looking statements” within the meaning of the rules and regulations of the SEC. In addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the SEC, and its management may make forward-looking statements orally to analysts, investors, representatives of the media and others.
Generally, forward-looking statements are not based on historical facts but instead represent Citigroup’s and its management’s beliefs regarding future events.
Such statements may be identified by words such as believe, expect, anticipate, intend, estimate, may increase, may fluctuate, target and illustrative, and similar expressions or future or conditional verbs such as will, should, would and could.
Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results and capital and other financial conditions may differ materially from those included in these statements due to a variety of factors, including without limitation (i) the precautionary statements included within each individual business’s discussion and analysis of its results of operations above and in Citi’s 2018 Annual Report on Form 10-K and other SEC filings; (ii) the factors listed and described under “Risk Factors” in Citi’s 2018 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 planning efforts and targets, due to, among other things, regulatory approval, Citi’s results of operations, financial condition and effectiveness in managing its level of risk-weighted assets and GSIB surcharge, potential changes to the regulatory capital framework, the CCAR process and the results of regulatory stress tests, 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), and any resulting year-to-year variability in the SCB, impact on Citi’s estimated management 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, such as potential fiscal, monetary and regulatory or other changes from the U.S. Presidential administration and Congress, potential changes to various aspects of the regulatory capital framework and the terms of and other uncertainties resulting from the U.K.’s 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 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 the Tax Reform;Cuts and Jobs Act;
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, service and other transactionalnon-income taxes, differs from those of the relevant governmental authorities;
Citi’s ability to achieve its expected results from its continued investments and efficiency initiatives, such as revenue growth and expense savings, as part of Citi’s operational and financial objectives and targets, including as a result of factors that Citi cannot control;
the potential impact from a deterioration in or failure to maintain Citi’s co-branding or private label credit card relationships, for example with Sears, due to, among other things, 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, such as bankruptcies, liquidations, restructurings, consolidations or other similar events;
the potential impact to Citi’s businesses, loan volumes, credit costs, revenues or other results of operations and financial condition as a result of macroeconomic and geopolitical challenges and uncertainties and volatilities, including, among others, changes in U.S. trade policies and resulting retaliatory measures from other countries, including imposition of tariffs, geopolitical tensions and conflicts and the terms or conditions regarding the U.K.’s potential withdrawal from the European Union;
the various risks faced by Citi as a result of weakening economic conditions or changes in governmental fiscal or monetary actions by central banks, such as interest rates and other policies, in the U.S. or Citi’s other target markets;
the potential impact to Citi from changes in monetary policy, such as reductions in interest rates and other actions by central banks;
the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, limitations of hedges on net investments, foreign currency volatility, sovereign volatility, regulatory changes and political events, foreign exchange controls, limitations on foreign investment, sociopolitical instability (including from hyperinflation), fraud, nationalization or loss of licenses, business restrictions, sanctions or asset freezes, potential criminal charges, closure of branches or subsidiaries and confiscation of assets, 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 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 attract, retain and motivate highly qualified employees;


Citi’s ability to effectively compete with U.S. and non-U.S. financial services companies and others, including as a result of emerging technologies;
the transition from or discontinuance of LIBOR or any other interest rate benchmark and the adverse consequences it could have for market participants, including Citi;
the potential impact on Citi’s results of operations from the CECL methodology, subsequent to its initial adoption on January 1, 2020, including due to changes in estimates of expected credit losses resulting from Citi’s CECL models and assumptions, existing and forecasted macroeconomic conditions and the credit quality, composition and other characteristics of Citi’s loan and other applicable portfolios;
the reclassification of any foreign currency translation adjustment (CTA) components of AOCI, including related hedges and taxes, into earnings, due to the sale or substantial liquidation of any foreign entity, such as those related to Citi’s legacy operations;
the potential impact of credit risk and concentrations of risk on Citi’s results of operations, whether due to a default of or deterioration involving consumer, corporate or public sector counterparties in the U.S. or in various countries and jurisdictions globally, including as a result of declinesany decline in commodity prices;
the potential impactsimpact to Citi if the economic situation in a non-U.S. jurisdiction where Citi operates were to deteriorate to such a level that U.S. regulators impose mandatory loan loss or other reserve requirements on Citi;
the potential impact 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 activities faced by financial institutions and others, including Citi and third parties with whom it does business, such as, among other things, theft, loss, misuse or disclosure of confidential or proprietary client, customer or corporate information or assets and a disruption of computer or network systems, and the potential impact from such risks, including reputational damage, regulatory penalties, loss of revenues, additional
costs (including credit, remediation and other costs), 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 and mitigation processes, strategies or models, including those related to its ability to manage and aggregate data, are deficient or ineffective, or require refinement, modification or enhancement, or any related 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, including on Citi’s compliance risks and costs and 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 and controls 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 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 SixNine Months Ended JuneSeptember 30, 2019

and 2018
7880
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three and SixNine Months Ended
    June
September 30, 2019 and 2018
7981
Consolidated Balance Sheet—JuneSeptember 30, 2019 (Unaudited) and December 31, 2018
8082
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three and SixNine Months Ended JuneSeptember 30, 2019 and 2018
8284
Consolidated Statement of Cash Flows (Unaudited)—

For the SixNine Months Ended JuneSeptember 30, 2019 and 2018
8386

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) 
Note 1—Basis of Presentation and Accounting Changes
8588
Note 2—Discontinued Operations and Significant Disposals
8689
Note 3—Business Segments
8790
Note 4—Interest Revenue and Expense
8891
Note 5—Commissions and Fees; Administration and Other
                 Fiduciary Fees
8992
Note 6—Principal Transactions
9194
Note 7—Incentive Plans
9295
Note 8—Retirement Benefits
9295
Note 9—Earnings per Share
9799
Note 10—Securities Borrowed, Loaned and
Subject to Repurchase Agreements
98100
Note 11—Brokerage Receivables and Brokerage Payables
101103
Note 12—Investments
102104
 


  
Note 13—Loans
116118
Note 14—Allowance for Credit Losses
128131
Note 15—Goodwill and Intangible Assets
130133
Note 16—Debt
132135
Note 17—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
133136
Note 18—Securitizations and Variable Interest Entities
139142
Note 19—Derivatives
147151
Note 20—Fair Value Measurement
158162
Note 21—Fair Value Elections
177181
Note 22—Guarantees, Leases and Commitments
181185
Note 23—Contingencies
186191
Note 24—Condensed Consolidating Financial Statements
188193




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 September 30,Nine Months Ended September 30,
In millions of dollars, except per share amounts20192018201920182019201820192018
Revenues   
 
   
 
Interest revenue$19,712
$17,550
$38,788
$33,882
$19,177
$18,170
$57,965
$52,052
Interest expense7,762
5,885
15,079
11,045
7,536
6,368
22,615
17,413
Net interest revenue$11,950
$11,665
$23,709
$22,837
$11,641
$11,802
$35,350
$34,639
Commissions and fees$2,881
$3,111
$5,807
$6,141
$2,906
$2,803
$8,713
$8,944
Principal transactions1,874
2,126
4,678
5,368
2,802
2,364
7,480
7,732
Administration and other fiduciary fees869
934
1,708
1,839
880
911
2,588
2,750
Realized gains on sales of investments, net468
102
598
272
361
69
959
341
Impairment losses on investments      
Gross impairment losses(5)(15)(13)(43)(14)(70)(27)(113)
Net impairment losses recognized in earnings$(5)$(15)$(13)$(43)$(14)$(70)$(27)$(113)
Other revenue$721
$546
$847
$927
$(2)$510
$845
$1,437
Total non-interest revenues$6,808
$6,804
$13,625
$14,504
$6,933
$6,587
$20,558
$21,091
Total revenues, net of interest expense$18,758
$18,469
$37,334
$37,341
$18,574
$18,389
$55,908
$55,730
Provisions for credit losses and for benefits and claims   
 
   
 
Provision for loan losses$2,089
$1,795
$4,033
$3,598
$2,062
$1,906
$6,095
$5,504
Policyholder benefits and claims19
21
31
47
17
26
48
73
Provision for unfunded lending commitments(15)(4)9
24
9
42
18
66
Total provisions for credit losses and for benefits and claims$2,093
$1,812
$4,073
$3,669
$2,088
$1,974
$6,161
$5,643
Operating expenses   
 
   
 
Compensation and benefits$5,381
$5,452
$11,039
$11,259
$5,329
$5,319
$16,368
$16,578
Premises and equipment569
570
1,133
1,163
580
565
1,713
1,728
Technology/communication1,724
1,797
3,444
3,555
1,783
1,806
5,227
5,361
Advertising and marketing434
411
793
792
378
378
1,171
1,170
Other operating2,392
2,482
4,675
4,868
2,394
2,243
7,069
7,111
Total operating expenses$10,500
$10,712
$21,084
$21,637
$10,464
$10,311
$31,548
$31,948
Income from continuing operations before income taxes$6,165
$5,945
$12,177
$12,035
$6,022
$6,104
$18,199
$18,139
Provision for income taxes1,373
1,444
2,648
2,885
1,079
1,471
3,727
4,356
Income from continuing operations$4,792
$4,501
$9,529
$9,150
$4,943
$4,633
$14,472
$13,783
Discontinued operations   
 
   
 
Loss from discontinued operations$(10)$(2)$(12)$(9)$(15)$(8)$(27)$(17)
Benefit for income taxes(27)(17)(27)(17)—
—
(27)(17)
Income from discontinued operations, net of taxes$17
$15
$15
$8
Loss from discontinued operations, net of taxes$(15)$(8)$—
$—
Net income before attribution of noncontrolling interests$4,809
$4,516
$9,544
$9,158
$4,928
$4,625
$14,472
$13,783
Noncontrolling interests10
26
35
48
15
3
50
51
Citigroup’s net income$4,799
$4,490
$9,509
$9,110
$4,913
$4,622
$14,422
$13,732
Basic earnings per share(1)
   
 
   
 
Income from continuing operations$1.94
$1.62
$3.81
$3.30
$2.09
$1.74
$5.92
$5.04
Income from discontinued operations, net of taxes0.01
0.01
0.01
0.01
(0.01)—
—
—
Net income$1.95
$1.63
$3.82
$3.31
$2.09
$1.73
$5.92
$5.04
Weighted average common shares outstanding (in millions)
2,286.1
2,530.9
2,313.2
2,546.2
2,220.8
2,479.8
2,282.4
2,524.1
Diluted earnings per share(1)
   
 
   
 
Income from continuing operations$1.94
$1.62
$3.81
$3.30
$2.08
$1.74
$5.89
$5.04
Income (loss) from discontinued operations, net of taxes0.01
0.01
0.01
0.01
(0.01)—
—
—
Net income$1.95
$1.63
$3.82
$3.31
$2.07
$1.73
$5.89
$5.04
Adjusted weighted average common shares outstanding
(in millions)
2,289.0
2,532.3
2,315.7
2,547.6
2,237.1
2,481.4
2,298.2
2,525.5

(1)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.


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


CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME Citigroup Inc. and Subsidiaries
(UNAUDITED)  
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20192018201920182019201820192018
Citigroup’s net income$4,799
$4,490
$9,509
$9,110
$4,913
$4,622
$14,422
$13,732
Add: Citigroup's other comprehensive income   
    
 
Net change in unrealized gains and losses on debt securities, net of taxes(1)
$703
$(498)$1,838
$(1,556)$307
$(605)$2,145
$(2,161)
Net change in debt valuation adjustment (DVA), net of taxes(1)
3
318
(568)446
210
(287)(358)159
Net change in cash flow hedges, net of taxes517
(101)803
(323)253
(74)1,056
(397)
Benefit plans liability adjustment, net of taxes(253)301
(317)389
(250)26
(567)415
Net change in foreign currency translation adjustment, net of taxes and hedges91
(2,867)149
(1,747)(1,442)(221)(1,293)(1,968)
Net change in excluded component of fair value hedges, net of taxes44
(28)62
(32)(10)10
52
(22)
Citigroup’s total other comprehensive income$1,105
$(2,875)$1,967
$(2,823)$(932)$(1,151)$1,035
$(3,974)
Citigroup’s total comprehensive income$5,904
$1,615
$11,476
$6,287
$3,981
$3,471
$15,457
$9,758
Add: Other comprehensive income (loss) attributable to
noncontrolling interests
$20
$(57)$7
$(43)$(33)$8
$(26)$(35)
Add: Net income attributable to noncontrolling interests10
26
35
48
15
3
50
51
Total comprehensive income$5,934
$1,584
$11,518
$6,292
$3,963
$3,482
$15,481
$9,774

(1)See Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on 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, September 30, 
2019December 31,2019December 31,
In millions of dollars(Unaudited)2018(Unaudited)2018
Assets 
 
 
 
Cash and due from banks (including segregated cash and other deposits)$24,997
$23,645
$24,086
$23,645
Deposits with banks178,246
164,460
196,357
164,460
Securities borrowed and purchased under agreements to resell (including $178,108 and $147,701 as of June 30, 2019 and December 31, 2018, respectively, at fair value)259,769
270,684
Securities borrowed and purchased under agreements to resell (including $148,368 and $147,701 as of September 30, 2019 and December 31, 2018, respectively, at fair value)261,125
270,684
Brokerage receivables50,027
35,450
54,215
35,450
Trading account assets (including $132,781 and $112,932 pledged to creditors at June 30, 2019 and December 31, 2018, respectively)306,831
256,117
Trading account assets (including $138,658 and $112,932 pledged to creditors at September 30, 2019 and December 31, 2018, respectively)306,824
256,117
Investments:  
Available-for-sale debt securities (including $10,488 and $9,289 pledged to creditors as of June 30, 2019 and December 31, 2018, respectively)273,435
288,038
Held-to-maturity debt securities (including $1,521 and $971 pledged to creditors as of June 30, 2019 and December 31, 2018, respectively)68,693
63,357
Equity securities (including $1,273 and $1,109 at fair value as of June 30, 2019 and December 31, 2018, respectively)7,574
7,212
Available-for-sale debt securities (including $9,821 and $9,289 pledged to creditors as of September 30, 2019 and December 31, 2018, respectively)275,425
288,038
Held-to-maturity debt securities (including $1,601 and $971 pledged to creditors as of September 30, 2019 and December 31, 2018, respectively)75,841
63,357
Equity securities (including $1,136 and $1,109 at fair value as of September 30, 2019 and December 31, 2018, respectively)7,117
7,212
Total investments$349,702
$358,607
$358,383
$358,607
Loans: 
 
 
 
Consumer (including $20 and $20 as of June 30, 2019 and December 31, 2018, respectively, at fair value)325,995
330,487
Corporate (including $3,804 and $3,203 as of June 30, 2019 and December 31, 2018, respectively, at fair value)362,675
353,709
Consumer (including $18 and $20 as of September 30, 2019 and December 31, 2018, respectively, at fair value)326,038
330,487
Corporate (including $3,838 and $3,203 as of September 30, 2019 and December 31, 2018, respectively, at fair value)365,705
353,709
Loans, net of unearned income$688,670
$684,196
$691,743
$684,196
Allowance for loan losses(12,466)(12,315)(12,530)(12,315)
Total loans, net$676,204
$671,881
$679,213
$671,881
Goodwill22,065
22,046
21,822
22,046
Intangible assets (including MSRs of $508 and $584 as of June 30, 2019 and December 31, 2018, at fair value)5,026
5,220
Other assets (including $22,597 and $20,788 as of June 30, 2019 and December 31, 2018, respectively, at fair value)115,359
109,273
Intangible assets (including MSRs of $472 and $584 as of September 30, 2019 and December 31, 2018, at fair value)4,844
5,220
Other assets (including $15,568 and $20,788 as of September 30, 2019 and December 31, 2018, respectively, at fair value)107,933
109,273
Total assets$1,988,226
$1,917,383
$2,014,802
$1,917,383

The following table presents certain assets of consolidated variable interest entities (VIEs), which are included inon the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. Additionally, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
June 30, September 30, 
2019December 31,2019December 31,
In millions of dollars(Unaudited)2018(Unaudited)2018
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
 
 
Cash and due from banks$127
$270
$110
$270
Trading account assets1,255
917
5,932
917
Investments1,617
1,796
1,400
1,796
Loans, net of unearned income  
  
Consumer46,124
49,403
46,153
49,403
Corporate16,940
19,259
15,150
19,259
Loans, net of unearned income$63,064
$68,662
$61,303
$68,662
Allowance for loan losses(1,833)(1,852)(1,852)(1,852)
Total loans, net$61,231
$66,810
$59,451
$66,810
Other assets120
151
109
151
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$64,350
$69,944
$67,002
$69,944
Statement continues on the next page.


CONSOLIDATED BALANCE SHEET                             Citigroup Inc. and Subsidiaries
(Continued)
June 30, September 30, 
2019December 31,2019December 31,
In millions of dollars, except shares and per share amounts(Unaudited)2018(Unaudited)2018
Liabilities 
 
 
 
Non-interest-bearing deposits in U.S. offices$95,659
$105,836
$99,731
$105,836
Interest-bearing deposits in U.S. offices (including $1,634 and $717 as of June 30, 2019 and December 31, 2018, respectively, at fair value)382,738
361,573
Interest-bearing deposits in U.S. offices (including $1,658 and $717 as of September 30, 2019 and December 31, 2018, respectively, at fair value)407,872
361,573
Non-interest-bearing deposits in offices outside the U.S.82,750
80,648
82,723
80,648
Interest-bearing deposits in offices outside the U.S. (including $1,005 and $758 as of June 30, 2019 and December 31, 2018, respectively, at fair value)484,460
465,113
Interest-bearing deposits in offices outside the U.S. (including $999 and $758 as of September 30, 2019 and December 31, 2018, respectively, at fair value)497,443
465,113
Total deposits$1,045,607
$1,013,170
$1,087,769
$1,013,170
Securities loaned and sold under agreements to repurchase (including $45,137 and $44,510 as of June 30, 2019 and December 31, 2018, respectively, at fair value)181,133
177,768
Securities loaned and sold under agreements to repurchase (including $52,273 and $44,510 as of September 30, 2019 and December 31, 2018, respectively, at fair value)195,047
177,768
Brokerage payables69,839
64,571
63,342
64,571
Trading account liabilities136,294
144,305
135,596
144,305
Short-term borrowings (including $5,291 and $4,483 as of June 30, 2019 and December 31, 2018, respectively, at fair value)42,442
32,346
Long-term debt (including $49,488 and $38,229 as of June 30, 2019 and December 31, 2018, respectively, at fair value)252,189
231,999
Other liabilities (including $16,799 and $15,906 as of June 30, 2019 and December 31, 2018, respectively, at fair value)62,612
56,150
Short-term borrowings (including $4,823 and $4,483 as of September 30, 2019 and December 31, 2018, respectively, at fair value)35,230
32,346
Long-term debt (including $51,491 and $38,229 as of September 30, 2019 and December 31, 2018, respectively, at fair value)242,238
231,999
Other liabilities (including $9,500 and $15,906 as of September 30, 2019 and December 31, 2018, respectively, at fair value)58,510
56,150
Total liabilities$1,790,116
$1,720,309
$1,817,732
$1,720,309
Stockholders’ equity 
 
 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of June 30, 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 June 30, 2019—3,099,602,856 and as of December 31, 2018—3,099,567,177
31
31
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of September 30, 2019—779,200 and as of December 31, 2018—738,400, at aggregate liquidation value
$19,480
$18,460
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of September 30, 2019—3,099,602,856 and as of December 31, 2018—3,099,567,177
31
31
Additional paid-in capital107,657
107,922
107,741
107,922
Retained earnings158,321
151,347
161,797
151,347
Treasury stock, at cost: June 30, 2019—840,546,390 shares and
December 31, 2018—731,099,833 shares
(51,427)(44,370)
Treasury stock, at cost: September 30, 2019—916,408,916 shares and
December 31, 2018—731,099,833 shares
(56,541)(44,370)
Accumulated other comprehensive income (loss) (AOCI)(35,203)(37,170)(36,135)(37,170)
Total Citigroup stockholders’ equity$197,359
$196,220
$196,373
$196,220
Noncontrolling interest751
854
697
854
Total equity$198,110
$197,074
$197,070
$197,074
Total liabilities and equity$1,988,226
$1,917,383
$2,014,802
$1,917,383

The following table presents certain liabilities of consolidated VIEs, which are included inon the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.
June 30, September 30, 
2019December 31,2019December 31,
In millions of dollars(Unaudited)2018(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$12,865
$13,134
$10,268
$13,134
Long-term debt25,877
28,514
24,999
28,514
Other liabilities820
697
1,935
697
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup
$39,562
$42,345
$37,202
$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)  
 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2019201820192018
Preferred stock at aggregate liquidation value   
 
Balance, beginning of period$17,980
$19,035
$18,460
$19,253
Issuance of new preferred stock1,500
—
1,500
—
Redemption of preferred stock—
—
(480)(218)
Balance, end of period$19,480
$19,035
$19,480
$19,035
Common stock and additional paid-in capital   
 
Balance, beginning of period$107,688
$107,755
$107,953
$108,039
Employee benefit plans69
98
(201)(187)
Preferred stock issuance expense(4)—
(4)—
Other19
3
24
4
Balance, end of period$107,772
$107,856
$107,772
$107,856
Retained earnings   
 
Balance, beginning of period$158,321
$145,211
$151,347
$138,425
Adjustment to opening balance, net of taxes(1)
—
—
151
(84)
Adjusted balance, beginning of period$158,321
$145,211
$151,498
$138,341
Citigroup’s net income4,913
4,622
14,422
13,732
Common dividends(2)
(1,183)(1,127)(3,299)(2,777)
Preferred dividends(254)(270)(812)(860)
Other(3)
—
—
(12)—
Balance, end of period$161,797
$148,436
$161,797
$148,436
Treasury stock, at cost   
 
Balance, beginning of period$(51,427)$(34,413)$(44,370)$(30,309)
Employee benefit plans(4)
6
6
579
477
Treasury stock acquired(5)
(5,120)(5,271)(12,750)(9,846)
Balance, end of period$(56,541)$(39,678)$(56,541)$(39,678)
Citigroup’s accumulated other comprehensive income (loss)   
 
Balance, beginning of period$(35,203)$(37,494)$(37,170)$(34,668)
Adjustment to opening balance, net of taxes—
—
—
(3)
Adjusted balance, beginning of period$(35,203)$(37,494)$(37,170)$(34,671)
Citigroup’s total other comprehensive income(932)(1,151)1,035
(3,974)
Balance, end of period$(36,135)$(38,645)$(36,135)$(38,645)
Total Citigroup common stockholders’ equity$176,893
$177,969
$176,893
$177,969
Total Citigroup stockholders’ equity$196,373
$197,004
$196,373
$197,004
Noncontrolling interests   
 
Balance, beginning of period$751
$874
$854
$932
Transactions between Citigroup and the noncontrolling-interest shareholders(34)(23)(133)(39)
Net income attributable to noncontrolling-interest shareholders15
3
50
51
Distributions paid to noncontrolling-interest shareholders(3)(2)(40)(38)
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
(33)8
(26)(35)
Other1
(1)(8)(12)
Net change in noncontrolling interests$(54)$(15)$(157)$(73)
Balance, end of period$697
$859
$697
$859
Total equity$197,070
$197,863
$197,070
$197,863
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2019201820192018
Preferred stock at aggregate liquidation value   
 
Balance, beginning of period$17,980
$19,156
$18,460
$19,253
Redemption of preferred stock—
(121)(480)(218)
Balance, end of period$17,980
$19,035
$17,980
$19,035
Common stock and additional paid-in capital   
 
Balance, beginning of period$107,582
$107,630
$107,953
$108,039
Employee benefit plans112
120
(270)(285)
Other(6)5
5
1
Balance, end of period$107,688
$107,755
$107,688
$107,755
Retained earnings   
 
Balance, beginning of period$154,859
$141,863
$151,347
$138,425
Adjustment to opening balance, net of taxes(1)
—
—
151
(84)
Adjusted balance, beginning of period$154,859
$141,863
$151,498
$138,341
Citigroup’s net income4,799
4,490
9,509
9,110
Common dividends(2)
(1,041)(824)(2,116)(1,650)
Preferred dividends(296)(318)(558)(590)
Other(3)
—
—
(12)—
Balance, end of period$158,321
$145,211
$158,321
$145,211
Treasury stock, at cost   
 
Balance, beginning of period$(47,861)$(32,115)$(44,370)$(30,309)
Employee benefit plans(4)
9
2
573
471
Treasury stock acquired(5)
(3,575)(2,300)(7,630)(4,575)
Balance, end of period$(51,427)$(34,413)$(51,427)$(34,413)
Citigroup’s accumulated other comprehensive income (loss)   
 
Balance, beginning of period$(36,308)$(34,619)$(37,170)$(34,668)
Adjustment to opening balance, net of taxes—
—
—
(3)
Adjusted balance, beginning of period$(36,308)$(34,619)$(37,170)$(34,671)
Citigroup’s total other comprehensive income1,105
(2,875)1,967
(2,823)
Balance, end of period$(35,203)$(37,494)$(35,203)$(37,494)
Total Citigroup common stockholders’ equity$179,379
$181,059
$179,379
$181,059
Total Citigroup stockholders’ equity$197,359
$200,094
$197,359
$200,094
Noncontrolling interests   
 
Balance, beginning of period$763
$951
$854
$932
Transactions between Citigroup and the noncontrolling-interest shareholders—
(1)(99)(16)
Net income attributable to noncontrolling-interest shareholders10
26
35
48
Distributions paid to noncontrolling-interest shareholders(33)(36)(37)(36)
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
20
(57)7
(43)
Other(9)(9)(9)(11)
Net change in noncontrolling interests$(12)$(77)$(103)$(58)
Balance, end of period$751
$874
$751
$874
Total equity$198,110
$200,968
$198,110
$200,968



(1)See Note 1 to the Consolidated Financial Statements for additional details.
(2)Common dividends declared were $0.45 per share in the first and second quarters of 2019 and $0.51 per share in the third quarter of 2019. Common dividends declared were $0.32 forper share in the first and second quarters of 2018 and $0.45 per share in the third quarter of 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.Statements in Citi’s 2018 Annual Report on Form 10-K.
(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.

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


CONSOLIDATED STATEMENT OF CASH FLOWS Citigroup Inc. and Subsidiaries
(UNAUDITED)  
 Nine Months Ended September 30,
In millions of dollars20192018
Cash flows from operating activities of continuing operations 
 
Net income before attribution of noncontrolling interests$14,472
$13,783
Net income attributable to noncontrolling interests50
51
Citigroup’s net income$14,422
$13,732
Income from discontinued operations, net of taxes—
—
Income from continuing operations—excluding noncontrolling interests$14,422
$13,732
Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations 
 
Net gains on significant disposals(1)
—
(247)
Depreciation and amortization2,866
2,800
Provision for loan losses6,095
5,504
Realized gains from sales of investments(959)(341)
Net impairment losses on investments, goodwill and intangible assets28
113
Change in trading account assets(50,790)(4,831)
Change in trading account liabilities(8,709)22,482
Change in brokerage receivables net of brokerage payables(19,994)9,709
Change in loans HFS287
1,380
Change in other assets2,866
(8,696)
Change in other liabilities2,360
(848)
Other, net16,170
(10,691)
Total adjustments$(49,780)$16,334
Net cash provided by (used in) operating activities of continuing operations$(35,358)$30,066
Cash flows from investing activities of continuing operations 
 
   Change in securities borrowed and purchased under agreements to resell$9,559
$(48,462)
   Change in loans(11,518)(16,131)
   Proceeds from sales and securitizations of loans2,717
4,021
   Purchases of investments(196,733)(112,554)
   Proceeds from sales of investments96,400
52,170
   Proceeds from maturities of investments91,656
66,440
   Proceeds from significant disposals(1)
—
314
   Capital expenditures on premises and equipment and capitalized software(4,360)(2,682)
   Proceeds from sales of premises and equipment, subsidiaries and affiliates
      and repossessed assets
82
174
   Other, net105
147
Net cash used in investing activities of continuing operations$(12,092)$(56,563)
Cash flows from financing activities of continuing operations 
 
   Dividends paid$(4,048)$(3,616)
   Issuance of preferred stock1,496
—
   Redemption of preferred stock(480)(218)
   Treasury stock acquired(12,495)(9,848)
   Stock tendered for payment of withholding taxes(360)(479)
   Change in securities loaned and sold under agreements to repurchase17,279
19,638
   Issuance of long-term debt40,174
53,027
   Payments and redemptions of long-term debt(37,898)(47,201)
   Change in deposits74,599
45,354
   Change in short-term borrowings2,884
(10,681)
 Six Months Ended June 30,
In millions of dollars20192018
Cash flows from operating activities of continuing operations 
 
Net income before attribution of noncontrolling interests$9,544
$9,158
Net income attributable to noncontrolling interests35
48
Citigroup’s net income$9,509
$9,110
Income from discontinued operations, net of taxes15
8
Income from continuing operations—excluding noncontrolling interests$9,494
$9,102
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
Depreciation and amortization1,883
1,855
Provision for loan losses4,033
3,598
Realized gains from sales of investments(598)(272)
Net impairment losses on investments, goodwill and intangible assets13
43
Change in trading account assets(50,776)(10,235)
Change in trading account liabilities(8,011)15,575
Change in brokerage receivables net of brokerage payables(9,309)7,737
Change in loans HFS1,029
(147)
Change in other assets(5,442)(5,799)
Change in other liabilities6,462
(2,685)
Other, net13,466
(10,453)
Total adjustments$(47,250)$(783)
Net cash provided by (used in) operating activities of continuing operations$(37,756)$8,319
Cash flows from investing activities of continuing operations 
 
   Change in securities borrowed and purchased under agreements to resell$10,915
$(33,048)
   Change in loans(7,803)(10,132)
   Proceeds from sales and securitizations of loans2,249
3,217
   Purchases of investments(118,132)(81,871)
   Proceeds from sales of investments63,595
41,808
   Proceeds from maturities of investments57,684
44,846
   Capital expenditures on premises and equipment and capitalized software(3,349)(1,690)
   Proceeds from sales of premises and equipment, subsidiaries and affiliates
      and repossessed assets
68
143
   Other, net71
98
Net cash provided by (used in) investing activities of continuing operations$5,298
$(36,629)
Cash flows from financing activities of continuing operations 
 
   Dividends paid$(2,650)$(2,232)
   Redemption of preferred stock(480)(218)
   Treasury stock acquired(7,518)(4,686)
   Stock tendered for payment of withholding taxes(359)(475)
   Change in securities loaned and sold under agreements to repurchase3,365
21,551
   Issuance of long-term debt31,849
40,757
   Payments and redemptions of long-term debt(18,428)(35,087)
   Change in deposits32,437
36,908
   Change in short-term borrowings10,096
(7,219)



CONSOLIDATED STATEMENT OF CASH FLOWS 
(UNAUDITED) (Continued) 
 Nine Months Ended September 30,
In millions of dollars20192018
Net cash provided by financing activities of continuing operations$81,151
$45,976
Effect of exchange rate changes on cash and due from banks$(1,363)$(709)
Change in cash and due from banks and deposits with banks$32,338
$18,770
Cash, due from banks and deposits with banks at beginning of period188,105
180,516
Cash, due from banks and deposits with banks at end of period$220,443
$199,286
Cash and due from banks$24,086
$25,727
Deposits with banks196,357
173,559
Cash, due from banks and deposits with banks at end of period$220,443
$199,286
Supplemental disclosure of cash flow information for continuing operations 
 
Cash paid during the period for income taxes$3,735
$3,261
Cash paid during the period for interest22,343
16,278
Non-cash investing activities 
 
Transfers to loans HFS from loans$4,400
$3,300

CONSOLIDATED STATEMENT OF CASH FLOWS 
(UNAUDITED) (Continued)Six Months Ended June 30,
In millions of dollars20192018
Net cash provided by financing activities of continuing operations$48,312
$49,299
Effect of exchange rate changes on cash and due from banks$(716)$(603)
Change in cash and due from banks and deposits with banks$15,138
$20,386
Cash, due from banks and deposits with banks at beginning of period188,105
180,516
Cash, due from banks and deposits with banks at end of period$203,243
$200,902
Cash and due from banks$24,997
$21,077
Deposits with banks178,246
179,825
Cash, due from banks and deposits with banks at end of period$203,243
$200,902
Supplemental disclosure of cash flow information for continuing operations 
 
Cash paid during the period for income taxes$2,814
$2,239
Cash paid during the period for interest14,000
9,957
Non-cash investing activities 
 
Transfers to loans HFS from loans$3,600
$2,900


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


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

Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of JuneSeptember 30, 2019 and for the three- and six-monthnine-month periods ended JuneSeptember 30, 2019 and 2018 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, 2018 (2018 Annual Report on Form 10-K) and Citigroup’s Quarterly ReportReports on Form 10-Q for the quarterquarters ended March 31, 2019 (First Quarter of 2019 Form 10-Q) and June 30, 2019 (Second Quarter of 2019 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

Lease Accounting
In February 2016, the FASB issued ASU No. 2016-02, Leases (Topic 842), which increases the transparency and comparability of accounting for lease transactions. The ASU requires lessees to recognize liabilities for operating leases and corresponding right-of-use (ROU) assets on the balance sheet. The ASU also 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, 2019, the Company prospectively adopted the provisions of the ASU. At adoption, Citi recognized a lease liability and a corresponding ROU asset of approximately $4.4 billion on the Consolidated 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 recognizing previously deferred gains on sale/leaseback transactions. Adoption of the ASU did not have a
material impact on the Consolidated Statement of Income. See Notes 13 and 22 for additional details.
The Company has elected not to separate lease and non-lease components in its lease contracts and accounts for them as a single lease component. Citi has also elected not to record aan 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 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.

Lessee accounting
Operating lease ROU assets and lease liabilities are included in Other assets and Other liabilities, respectively, on the Consolidated Balance Sheet. Finance lease assets and liabilities are included in Other assets and Long-term debt, respectively, on the Consolidated Balance Sheet. The Company uses its incremental borrowing rate, factoring in the lease term, to determine the lease liability, which is measured at the present value of future lease payments. The ROU asset is initially measured at the amount of the lease liability plus any prepaid rent and remaining initial direct costs, less any remaining lease incentives and accrued rent. The ROU asset is subject to impairment, during the lease term, in a manner consistent with the impairment of long-lived assets. 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 a lessor for power, railcar, shipping and aircraft assets, where 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 applied until the leveraged lease is terminated or modified. Upon modification, the lease must be classified as an operating, direct finance or sales-type lease in accordance with the ASU.
Separately, as part of managing its real estate footprint, Citi subleases excess real estate space via operating lease arrangements, while retaining its obligations as a lessee.




2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

The Company’s Discontinued operations consisted of residual activities related to the sales of the German Retail Banking operations and the Egg Banking plc Credit Card business in 2008 and 2011, respectively. All Discontinued operations results are recorded within Corporate/Other.Other.
The following summarizes financial information for all Discontinued operations:

Three Months Ended
June 30,
Six Months Ended
June 30,
Three Months Ended
September 30,
Nine Months Ended
September 30,
In millions of dollars20192018201920182019201820192018
Total revenues, net of interest expense$—
$—
$—
$—
$—
$—
$—
$—
Loss from discontinued operations(1)$(10)$(2)$(12)$(9)$(15)$(8)$(27)$(17)
Provision (benefit) for income taxes(27)(17)(27)(17)
Income from discontinued operations, net of taxes$17
$15
$15
$8
Benefit for income taxes(2)
—
—
(27)(17)
Loss from discontinued operations, net of taxes$(15)$(8)$—
$—


(1)The loss from Discontinued operations in each period relates to Egg. Citi has a full tax valuation allowance on Egg, so there is no tax impact recorded.
(2)The nine months ended September 30, 2019 includes a settlement for a tax audit in Germany.

Cash flows from Discontinued operations were not material for the periods presented. For a description of the Company’s significant disposal transactions and financial impact, see Note 2 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.



 











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

•
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 thethese changes and reclassifications discussed above.

reclassifications.
For additional information regarding Citigroup’s business segments, see Note 3 to the Consolidated Financial Statements in Citi’s 2018 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 September 30, 
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 billions201920182019201820192018June 30,
2019		December 31, 2018201920182019201820192018September 30,
2019		December 31, 2018
Global Consumer Banking$8,505
$8,244
$417
$411
$1,413
$1,276
$437
$432
$8,658
$8,648
$499
$493
$1,586
$1,564
$440
$432
Institutional Clients Group9,721
9,697
919
971
3,343
3,241
1,454
1,394
9,514
9,248
835
862
3,170
3,121
1,479
1,394
Corporate/Other532
528
37
62
36
(16)97
91
402
493
(255)116
187
(52)96
91
Total$18,758
$18,469
$1,373
$1,444
$4,792
$4,501
$1,988
$1,917
$18,574
$18,389
$1,079
$1,471
$4,943
$4,633
$2,015
$1,917
(1)
Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $8.6$8.5 billion and $8.6$8.5 billion; in EMEA of $3.0$3.1 billion and $3.0$2.9 billion; in Latin America of $2.6 billion and $2.5$2.7 billion; and in Asia of $4.0 billion and $3.8 billion for the three months ended JuneSeptember 30, 2019 and 2018, respectively. These regional numbers exclude Corporate/Other, which largely operates within the U.S.
(2)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $2.0 billion and $1.9 billion; in the ICG results of $103$91 million and $25$71 million; and in the Corporate/Other results of $(22)$(15) million and $(118)$(30) million for the three months ended JuneSeptember 30, 2019 and 2018, respectively.

Six Months Ended June 30,Nine Months Ended September 30,
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
In millions of dollars201920182019201820192018201920182019201820192018
Global Consumer Banking$16,956
$16,670
$839
$865
$2,850
$2,666
$25,614
$25,318
$1,338
$1,358
$4,436
$4,230
Institutional Clients Group19,415
19,552
1,843
2,027
6,665
6,575
28,929
28,800
2,678
2,889
9,835
9,696
Corporate/Other963
1,119
(34)(7)14
(91)1,365
1,612
(289)109
201
(143)
Total$37,334
$37,341
$2,648
$2,885
$9,529
$9,150
$55,908
$55,730
$3,727
$4,356
$14,472
$13,783

(1)
Includes total revenues, net of interest expense, in North America of $17.0$25.4 billion and $16.9$25.4 billion; in EMEA of $6.1$9.3 billion and $6.2$9.1 billion; in Latin America of $5.2$7.7 billion and $5.1$7.8 billion; and in Asia of $8.1$12.1 billion and $8.0$11.8 billion for the sixnine months ended JuneSeptember 30, 2019 and 2018, 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 $4.0$6.0 billion and $3.8$5.7 billion; in the ICG results of $124$215 million and $(16)$55 million; and in the Corporate/Other results of $(47)$(62) million and $(125)$(155) million for the sixnine months ended JuneSeptember 30, 2019 and 2018, respectively.




4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20192018201920182019201820192018
Interest revenue      
Loan interest, including fees$11,981
$11,190
$23,949
$22,082
$11,993
$11,639
$35,942
$33,721
Deposits with banks736
493
1,343
925
736
629
2,079
1,554
Securities borrowed or purchased under agreements to resell1,893
1,336
3,677
2,375
1,745
1,425
5,422
3,800
Investments, including dividends2,505
2,374
5,053
4,608
2,411
2,388
7,464
6,996
Trading account assets(1)
2,140
1,763
3,826
3,134
1,893
1,655
5,719
4,789
Other interest457
394
940
758
399
434
1,339
1,192
Total interest revenue$19,712
$17,550
$38,788
$33,882
$19,177
$18,170
$57,965
$52,052
Interest expense      
Deposits(2)
$3,284
$2,244
$6,311
$4,241
$3,369
$2,580
$9,680
$6,821
Securities loaned or sold under agreements to repurchase1,724
1,224
3,313
2,173
1,630
1,250
4,943
3,423
Trading account liabilities(1)
320
236
647
451
345
273
992
724
Short-term borrowings715
523
1,367
994
609
578
1,976
1,572
Long-term debt1,719
1,658
3,441
3,186
1,583
1,687
5,024
4,873
Total interest expense$7,762
$5,885
$15,079
$11,045
$7,536
$6,368
$22,615
$17,413
Net interest revenue$11,950
$11,665
$23,709
$22,837
$11,641
$11,802
$35,350
$34,639
Provision for loan losses2,089
1,795
4,033
3,598
2,062
1,906
6,095
5,504
Net interest revenue after provision for loan losses$9,861
$9,870
$19,676
$19,239
$9,579
$9,896
$29,255
$29,135

(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 $189$199 million and $319$311 million for the three months ended JuneSeptember 30, 2019 and 2018, respectively, and $382$581 million and $695$1,006 million for the sixnine months ended JuneSeptember 30, 2019 and 2018, respectively.





5.  COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES

For additional information on Citi’s Commissionscommissions and Fees; Administrationfees, and Other Fiduciary Fees,administration and other fiduciary fees, see Note 5 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.

The following tables present Commissions and fees revenue:
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
2019201920192019
In millions of dollarsICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotal
Investment banking$934
$—
$—
$934
$1,844
$—
$—
$1,844
$911
$—
$—
$911
$2,755
$—
$—
$2,755
Brokerage commissions438
211
—
649
909
397
—
1,306
456
228
—
684
1,365
625
—
1,990
Credit- and bank-card income  

     

   
Interchange fees313
2,198
—
2,511
591
4,182
—
4,773
324
2,181
—
2,505
915
6,363
—
7,278
Card-related loan fees16
183
—
199
29
343
—
372
15
191
—
206
44
534
—
578
Card rewards and partner
payments
(174)(2,277)—
(2,451)(327)(4,338)—
(4,665)(192)(2,253)—
(2,445)(519)(6,591)—
(7,110)
Deposit-related fees(1)
247
138
—
385
492
277
—
769
256
136
—
392
748
413
—
1,161
Transactional service fees194
36
—
230
389
71
—
460
187
37
—
224
576
108
—
684
Corporate finance(2)
150
1
—
151
328
2
—
330
128
1
—
129
456
3
—
459
Insurance distribution revenue2
129
—
131
6
261
—
267
4
137
—
141
10
398
—
408
Insurance premiums—
26
1
27
—
55
—
55
—
21
—
21
—
76
—
76
Loan servicing—
16
3
19
42
46
9
97
—
4
7
11
42
50
16
108
Other2
94
—
96
19
179
1
199
48
78
1
127
67
257
2
326
Total commissions and fees(3)
$2,122
$755
$4
$2,881
$4,322
$1,475
$10
$5,807
$2,137
$761
$8
$2,906
$6,459
$2,236
$18
$8,713


Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
2018201820182018
In millions of dollarsICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotal
Investment banking$1,012
$—
$—
$1,012
$1,834
$—
$—
$1,834
$861
$—
$—
$861
$2,695
$—
$—
$2,695
Brokerage commissions491
206
—
697
1,057
454
—
1,511
453
200
—
653
1,510
654
—
2,164
Credit- and bank-card income            
Interchange fees276
2,025
5
2,306
536
3,899
10
4,445
268
2,064
1
2,333
804
5,963
11
6,778
Card-related loan fees17
147
6
170
31
302
12
345
16
172
—
188
47
474
12
533
Card rewards and partner
payments
(126)(2,065)(6)(2,197)(250)(3,939)(11)(4,200)(125)(2,142)11
(2,256)(375)(6,081)—
(6,456)
Deposit-related fees(1)
236
160
1
397
472
343
2
817
239
159
—
398
711
502
2
1,215
Transactional service fees182
21
1
204
372
42
3
417
171
22
1
194
543
64
4
611
Corporate finance(2)
219
1
—
220
361
2
—
363
145
2
—
147
506
4
—
510
Insurance distribution revenue5
142
5
152
10
285
10
305
3
140
—
143
13
425
10
448
Insurance premiums—
32
1
33
—
65
—
65
—
27
—
27
—
92
—
92
Loan servicing33
40
9
82
71
62
21
154
47
27
10
84
118
89
31
238
Other—
34
1
35
15
67
3
85
5
23
3
31
20
90
6
116
Total commissions and fees(3)
$2,345
$743
$23
$3,111
$4,509
$1,582
$50
$6,141
$2,083
$694
$26
$2,803
$6,592
$2,276
$76
$8,944
(1)Includes overdraft fees of $31$33 million and $30$33 million for the three months ended JuneSeptember 30, 2019 and 2018, respectively, and $61$94 million and $62$95 million for the sixnine months ended JuneSeptember 30, 2019 and 2018, 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)
Commissions and fees includes $(2,025)$(2,039) million and $(1,648)$(1,769) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended JuneSeptember 30, 2019 and 2018, respectively, and $(3,746)$(5,785) million and $(3,193)$(4,962) million for the sixnine months ended JuneSeptember 30, 2019 and 2018, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.


Administration and Other Fiduciary Fees
The following table presents Administration and other fiduciary fees: revenue:
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
2019201920192019
In millions of dollarsICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotal
Custody fees$381
$6
$18
$405
$745
$9
$34
$788
$370
$5
$20
$395
$1,115
$14
$54
$1,183
Fiduciary fees163
154
(1)316
315
300
11
626
170
160
13
343
485
460
24
969
Guarantee fees132
14
2
148
262
28
4
294
126
15
1
142
388
43
5
436
Total administration and other fiduciary fees(1)
$676
$174
$19
$869
$1,322
$337
$49
$1,708
$666
$180
$34
$880
$1,988
$517
$83
$2,588
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
2018201820182018
In millions of dollarsICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotal
Custody fees$399
$45
$17
$461
$767
$92
$32
$891
$371
$41
$18
$430
$1,138
$133
$50
$1,321
Fiduciary fees165
150
12
327
332
297
19
648
160
158
12
330
492
455
31
978
Guarantee fees130
14
2
146
267
29
4
300
136
14
1
151
403
43
5
451
Total administration and other fiduciary fees(1)
$694
$209
$31
$934
$1,366
$418
$55
$1,839
$667
$213
$31
$911
$2,033
$631
$86
$2,750

(1)
Administration and other fiduciary fees includes $148$142 million and $146$151 million for the three months ended JuneSeptember 30, 2019 and 2018, respectively, and $294$436 million and $300$451 million for the sixnine months ended JuneSeptember 30, 2019 and 2018, 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 that 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) and FVA (funding valuation adjustments) on over-the-counter derivatives, and gains (losses) on certain economic hedges on loans in ICG.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 September 30,Nine Months Ended September 30,
In millions of dollars20192018201920182019201820192018
Interest rate risks(1)
$1,320
$1,550
$3,038
$3,116
$1,744
$1,451
$4,782
$4,567
Foreign exchange risks(2)
427
175
900
905
406
458
1,306
1,363
Equity risks(3)
(1)120
455
709
418
277
873
986
Commodity and other risks(4)
89
208
208
309
244
242
452
551
Credit products and risks(5)
39
73
77
329
(10)(64)67
265
Total$1,874
$2,126
$4,678
$5,368
$2,802
$2,364
$7,480
$7,732
(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 2018 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 2018 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 September 30,
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 dollars2019201820192018201920182019201820192018201920182019201820192018
Benefits earned during the period$—
$—
$35
$38
$—
$—
$2
$3
$1
$—
$37
$35
$—
$—
$2
$2
Interest cost on benefit obligation123
126
73
72
6
7
26
25
112
132
70
73
6
6
25
26
Expected return on plan assets(202)(211)(68)(72)(4)(3)(21)(22)(208)(210)(72)(71)(5)(4)(20)(22)
Amortization of unrecognized: 
  
 
 
 
 
 
 
  
 
 
 
 
 
Prior service cost (benefit)(1)—
(1)(1)—
—
(3)(3)1
—
(1)(1)—
—
(2)(2)
Net actuarial loss48
42
15
14
—
—
6
8
52
39
15
14
—
—
5
7
Curtailment loss(1)
—
1
—
—
—
—
—
—
1
—
(5)—
—
—
—
—
Settlement loss(1)
—
—
2
1
—
—
—
—
Total net (benefit) expense$(32)$(42)$56
$52
$2
$4
$10
$11
$(41)$(39)$44
$50
$1
$2
$10
$11

 























(1)Losses dueCurtailment relates to curtailmentrepositioning and divestiture activities.

 Nine Months Ended September 30,
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20192018201920182019201820192018
Benefits earned during the period$1
$1
$108
$111
$—
$—
$6
$7
Interest cost on benefit obligation365
381
218
220
19
19
77
77
Expected return on plan assets(613)(634)(208)(221)(14)(10)(62)(67)
Amortization of unrecognized:



 
 
  
 
 
Prior service cost (benefit)1
—
(3)(3)—
—
(7)(7)
Net actuarial loss144
128
45
41
—
—
16
22
Curtailment loss (gain)(1)
1
1
(5)—
—
—
—
—
Settlement loss(1)
—
—
2
5
—
—
—
—
Total net (benefit) expense$(101)$(123)$157
$153
$5
$9
$30
$32

(1)Curtailment and settlement relate to repositioning and divestiture activities.

 Six Months Ended June 30,
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20192018201920182019201820192018
Benefits earned during the period$—
$1
$71
$76
$—
$—
$4
$5
Interest cost on benefit obligation253
249
148
147
13
13
52
51
Expected return on plan assets(405)(424)(136)(150)(9)(6)(42)(45)
Amortization of unrecognized



 
 
  
 
 
Prior service benefit—
—
(2)(2)—
—
(5)(5)
Net actuarial loss92
89
30
27
—
—
11
15
Curtailment loss (1)
—
1
—
—
—
—
—
—
Settlement loss(1)
—
—
2
5
—
—
—
—
Total net (benefit) expense$(60)$(84)$113
$103
$4
$7
$20
$21

1)Losses due to curtailment and settlement relate to repositioning and divestiture activities.


Funded Status and Accumulated Other Comprehensive Income (AOCI)
The following table summarizes the funded status and amounts recognized on the Consolidated Balance Sheet for the Company’s
Significant Plans:
 Six Months Ended June 30, 2019
 Pension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
Change in projected benefit obligation 
 
 
 
Projected benefit obligation at beginning of year$12,655
$7,149
$662
$1,159
Plans measured annually(25)(1,862)—
(307)
Projected benefit obligation at beginning of year—Significant Plans$12,630
$5,287
$662
$852
First quarter activity408
293
13
62
Projected benefit obligation at March 31, 2019—Significant Plans$13,038
$5,580
$675
$914
Benefits earned during the period—
21
—
1
Interest cost on benefit obligation122
60
6
23
Actuarial loss548
172
42
48
Benefits paid, net of participants’ contributions and government subsidy(233)(79)(13)(19)
Foreign exchange impact and other—
3
—
8
Projected benefit obligation at period end—Significant Plans$13,475
$5,757
$710
$975







Six Months Ended June 30, 2019Nine Months Ended September 30, 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$12,655
$7,149
$662
$1,159
Plans measured annually(25)(1,862)—
(307)
Projected benefit obligation at beginning of year—Significant Plans$12,630
$5,287
$662
$852
First quarter activity408
293
13
62
Second quarter activity437
177
35
61
Projected benefit obligation at June 30, 2019—Significant Plans$13,475
$5,757
$710
$975
Benefits earned during the period1
22
—
2
Interest cost on benefit obligation112
58
6
22
Actuarial loss469
254
17
50
Benefits paid, net of participants’ contributions and government subsidy(246)(75)(14)(17)
Curtailment loss(1)
1
—
—
—
Foreign exchange impact and other—
(146)—
(26)
Projected benefit obligation at period end—Significant Plans$13,812
$5,870
$719
$1,006
Change in plan assets 
 
 
 
 
 
 
 
Plan assets at fair value at beginning of year$11,490
$6,699
$345
$1,036
$11,490
$6,699
$345
$1,036
Plans measured annually—
(1,248)—
(9)—
(1,248)—
(9)
Plan assets at fair value at beginning of year—Significant Plans$11,490
$5,451
$345
$1,027
$11,490
$5,451
$345
$1,027
First quarter activity487
257
2
32
487
257
2
32
Plan assets at fair value at March 31, 2019—Significant Plans
$11,977
$5,708
$347
$1,059
Second quarter activity654
391
1
25
Plan assets at fair value at June 30, 2019—Significant Plans$12,631
$6,099
$348
$1,084
Actual return on plan assets449
206
9
62
258
311
5
28
Company contributions, net of reimbursements438
14
5
218
13
16
7
—
Benefits paid, net of participants’ contributions and government subsidy

(233)(79)(13)(19)(246)(75)(14)(17)
Foreign exchange impact and other—
250
—
(236)—
(134)—
(29)
Plan assets at fair value at period end—Significant Plans$12,631
$6,099
$348
$1,084
$12,656
$6,217
$346
$1,066
Funded status of the Significant Plans      
Qualified plans(1)
$(151)$342
$(362)$109
$(447)$347
$(373)$60
Nonqualified plans(693)—
—
—
(709)—
—
—
Funded status of the plans at period end—Significant Plans$(844)$342
$(362)$109
$(1,156)$347
$(373)$60
Net amount recognized at period end 
 
 
 
 
 
 
 
Benefit asset$—
$920
$—
$109
$—
$935
$—
$60
Benefit liability(844)(578)(362)—
(1,156)(588)(373)—
Net amount recognized on the balance sheet—Significant Plans$(844)$342
$(362)$109
$(1,156)$347
$(373)$60
Amounts recognized in AOCI at period endAmounts recognized in AOCI at period end 
 
 
Amounts recognized in AOCI at period end 
 
 
Prior service benefit$—
$14
$—
$72
$—
$12
$—
$68
Net actuarial (loss) gain(7,101)(995)13
(320)(7,470)(959)(3)(350)
Net amount recognized in equity (pretax)—Significant Plans$(7,101)$(981)$13
$(248)$(7,470)$(947)$(3)$(282)
Accumulated benefit obligation at period end—Significant Plans$13,469
$5,467
$710
$975
$13,806
$5,564
$719
$1,006

(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, 2019 and no minimum required funding is expected for 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, 2019		Six Months Ended  
  June 30, 2019		Three Months Ended 
 September 30, 2019		Nine Months Ended  
  September 30, 2019
Beginning of period balance, net of tax(1)(2)
$(6,321)$(6,257)$(6,574)$(6,257)
Actuarial assumptions changes and plan experience(814)(1,609)(788)(2,397)
Net asset gain (loss) due to difference between actual and expected returns443
1,133
306
1,439
Net amortization66
128
70
198
Prior service cost(5)(5)—
(5)
Curtailment/settlement gain(3)
2
2
(5)(3)
Foreign exchange impact and other(22)(47)61
14
Change in deferred taxes, net77
81
106
187
Change, net of tax$(253)$(317)$(250)$(567)
End of period balance, net of tax(1)(2)
$(6,574)$(6,574)$(6,824)$(6,824)

(1)See Note 17 to the Consolidated Financial Statements for further discussion of net AOCI balance.
(2)Includes net-of-tax amounts for certain profit sharing plans outside the U.S.
(3)Curtailment and settlement relate to repositioning and divestiture activities.









Plan Assumptions
The discount rates utilized during the period in determining the pension and postretirement net (benefit) expense for the Significant Plans are as follows:
Net (benefit) expense assumed discount rates during the periodThree Months EndedThree Months Ended
Jun. 30, 2019Jun. 30, 2018Sept. 30, 2019June 30, 2019
U.S. plans  
Qualified pension3.85%3.95%3.45%3.85%
Nonqualified pension3.90
3.95
3.50
3.90
Postretirement3.80
3.90
3.35
3.80
Non-U.S. plans   
Pension0.45-10.300.75-9.900.30-9.550.45-10.30
Weighted average4.74
4.86
4.52
4.74
Postretirement10.30
9.50
9.70
10.30


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, 2019Mar. 31, 2019Dec. 31, 2018Sept. 30, 2019Jun. 30, 2019Mar. 31, 2019
U.S. plans    
Qualified pension3.45%3.85%4.25%3.10%3.45%3.85%
Nonqualified pension3.50
3.90
4.25
3.10
3.50
3.90
Postretirement3.35
3.80
4.20
3.00
3.35
3.80
Non-U.S. plans   
Pension0.30-9.550.45-10.300.75-10.75-0.05-9.000.30-9.550.45-10.30
Weighted average4.52
4.74
5.09
4.05
4.52
4.74
Postretirement9.70
10.30
10.75
9.20
9.70
10.30
 
Sensitivities of Certain Key Assumptions
The following table summarizes the estimated effect on the Company’s Significant Plans quarterly expense of a one-percentage-point change in the discount rate:
Three Months Ended June 30, 2019Three Months Ended September 30, 2019
In millions of dollarsOne-percentage-point increaseOne-percentage-point decreaseOne-percentage-point increaseOne-percentage-point decrease
Pension  
U.S. plans$7
$(10)$8
$(12)
Non-U.S. plans(3)5
(3)6
Postretirement  
U.S. plans1
(1)1
(1)
Non-U.S. plans(2)2
(2)2







Contributions
For the U.S. pension plans, there were no required minimum cash contributions during the first sixnine months of 2019. The Company made a discretionary contributioncontributions of $425 million and $220 million to the U.S. qualified defined benefit plan and Mexico—Banco Nacional Healthcare Postretirement Plan, respectively, during the second quarter of 2019.
The following table summarizes the Company’s actual contributions for the sixnine months ended JuneSeptember 30, 2019 and 2018, as well as estimated expected Company contributions for the remainder of 2019 and the actual contributions made for the remainder ofin 2018:
Pension plans Postretirement plans Pension plans Postretirement plans 
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars2019201820192018201920182019201820192018201920182019201820192018
Company contributions(2) for the six months ended
June 30
$463
$28
$64
$112
$—
$7
$223
$5
Company contributions(2) for the nine months ended
September 30
$467
$42
$98
$143
$6
$150
$225
$7
Company contributions made during the remainder
of the year
—
27
—
70
—
143
—
4
—
13
—
39
—
—
—
2
Company contributions expected to be made during
the remainder of the year
30
—
70
—
2
—
5
—
15
—
35
—
1
—
2
—

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

Defined Contribution Plans
The following table summarizes the Company’s contributions
for the defined contribution plans:
Three Months Ended June 30,Six Months Ended 
 June 30,		Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars20192018201920182019201820192018
U.S. plans$99
$99
$198
$203
$99
$90
$296
$293
Non-U.S. plans71
72
139
148
71
68
209
216


 

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 June 30,Six Months Ended 
 June 30,		Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars20192018201920182019201820192018
Service-related expense



$—
$—




$—
$—
Interest cost on benefit obligation$1
$1
$1
$1
$—
$—
$1
$1
Expected return on plan assets(1)(1)(1)(1)—
—
(1)(1)
Amortization of unrecognized:















Prior service
benefit
—
(7)—
(15)—
(8)—
(23)
Net actuarial loss—
—
1
1
1
1
2
2
Total service-related (benefit) expense$—
$(7)$1
$(14)$1
$(7)$2
$(21)
Non-service-related expense (benefit)$2
$(3)$6
$3
$4
$4
$10
$7
Total net expense (benefit)$2
$(10)$7
$(11)$5
$(3)$12
$(14)















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 September 30,Nine Months Ended September 30,
In millions of dollars, except per share amounts20192018201920182019201820192018
Earnings per common share   
Income from continuing operations before attribution of noncontrolling interests$4,792
$4,501
$9,529
$9,150
$4,943
$4,633
$14,472
$13,783
Less: Noncontrolling interests from continuing operations10
26
35
48
15
3
50
51
Net income from continuing operations (for EPS purposes)$4,782
$4,475
$9,494
$9,102
$4,928
$4,630
$14,422
$13,732
Loss from discontinued operations, net of taxes17
15
15
8
(15)(8)—
—
Citigroup's net income$4,799
$4,490
$9,509
$9,110
$4,913
$4,622
$14,422
$13,732
Less: Preferred dividends(1)
296
318
558
590
254
270
812
860
Net income available to common shareholders$4,503
$4,172
$8,951
$8,520
$4,659
$4,352
$13,610
$12,872
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS50
49
109
90
Net income allocated to common shareholders for basic and diluted EPS4,453
4,123
8,842
8,430
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS27
51
88
151
Net income allocated to common shareholders for basic EPS$4,632
$4,301
$13,522
$12,721
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,220.8
2,479.8
2,282.4
2,524.1
Basic earnings per share(2)
   
Income from continuing operations$2.09
$1.74
$5.92
$5.04
Discontinued operations(0.01)—
—
—
Net income per share—basic$2.09
$1.73
$5.92
$5.04
Diluted earnings per share   
Net income allocated to common shareholders for basic EPS$4,632
$4,301
$13,522
$12,721
Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable9
—
24
—
Net income allocated to common shareholders for diluted EPS$4,641
$4,301
$13,546
$12,721
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,286.1
2,530.9
2,313.2
2,546.2
2,220.8
2,479.8
2,282.4
2,524.1
Effect of dilutive securities   
 
   
Options(2)
—
0.1
0.1
0.1
Options(3)
0.1
0.2
0.1
0.1
Other employee plans2.9
1.3
2.4
1.3
16.2
1.4
15.7
1.3
Adjusted weighted-average common shares outstanding applicable to diluted EPS(3)
2,289.0
2,532.3
2,315.7
2,547.6
Basic earnings per share(4)
   
 
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(4)
2,237.1
2,481.4
2,298.2
2,525.5
Diluted earnings per share(2)
    
Income from continuing operations$1.94
$1.62
$3.81
$3.30
$2.08
$1.74
$5.89
$5.04
Discontinued operations0.01
0.01
0.01
0.01
(0.01)—
—
—
Net income$1.95
$1.63
$3.82
$3.31
Diluted earnings per share(4)
   
Income from continuing operations$1.94
$1.62
$3.81
$3.30
Discontinued operations0.01
0.01
0.01
0.01
Net income$1.95
$1.63
$3.82
$3.31
Net income per share—diluted$2.07
$1.73
$5.89
$5.04
(1)On October 22, 2019, Citi declared preferred dividends of approximately $296 million for the fourth quarter of 2019. During the third quarter of 2019, Citi issued 1.5 million Series U preferred shares for $1.5 billion. Semi-annual dividends, assuming such dividends are declared by the Citi Board of Directors, will be distributed beginning in the first quarter of 2020. On October 15, 2019, Citi announced its plan to redeem all of its Series N preferred shares for $1.5 billion. The Series N preferred shares will be redeemed at par value. As of June 30,November 1, 2019, Citi estimates it will distribute preferred dividends of approximately $550$291 million, during$253 million, $291 million and $253 million in the remainderfirst, second, third and fourth quarters of 2019, assuming such dividends are declared by the Citi Board of Directors.2020, respectively.
(2)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
(3)During the secondthird quarter of 2019, no significant options to purchase shares of common stock were outstanding. During the secondthird quarter of 2018, weighted-average options to purchase 0.5 million shares of common stock were outstanding but not included in the computation of earnings per share because the weighted-average exercise price of $148.77$142.30 per share was anti-dilutive.
(3)(4)Due to rounding, weighted-average common shares outstanding applicable to basic EPS and the effect of dilutive securities may not sum to weighted-average common shares outstanding applicable to diluted EPS.
(4)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.



10. 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 2018 Annual Report on Form 10-K.
Securities borrowed and purchased under agreements to resell, at their respective carrying values, consisted of the following:
In millions of dollarsJune 30,
2019		December 31, 2018September 30,
2019		December 31, 2018
Securities purchased under agreements to resell$163,786
$159,364
$169,756
$159,364
Deposits paid for securities borrowed95,983
111,320
91,369
111,320
Total(1)
$259,769
$270,684
$261,125
$270,684


Securities loaned and sold under agreements to repurchase, at their respective carrying values, consisted of the following:
In millions of dollarsJune 30,
2019		December 31, 2018September 30,
2019		December 31, 2018
Securities sold under agreements to repurchase$168,861
$166,090
$180,875
$166,090
Deposits received for securities loaned12,272
11,678
14,172
11,678
Total(1)
$181,133
$177,768
$195,047
$177,768

(1)
The above tables do not include securities-for-securities lending transactions of $16.8$9.5 billion and $15.9 billion at JuneSeptember 30, 2019 and December 31, 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 amountamounts 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 has occurred and a legal opinion supporting enforceability of the offsetting rights has been obtained. Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

As of June 30, 2019As of September 30, 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
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Gross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities purchased under agreements to resell$292,088
$128,302
$163,786
$128,476
$35,310
$272,676
$102,920
$169,756
$133,878
$35,878
Deposits paid for securities borrowed95,983
—
95,983
26,429
69,554
94,342
2,973
91,369
25,456
65,913
Total$388,071
$128,302
$259,769
$154,905
$104,864
$367,018
$105,893
$261,125
$159,334
$101,791



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
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Gross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$297,163
$128,302
$168,861
$87,803
$81,058
$283,795
$102,920
$180,875
$92,860
$88,015
Deposits received for securities loaned12,272
—
12,272
2,551
9,721
17,145
2,973
14,172
4,629
9,543
Total$309,435
$128,302
$181,133
$90,354
$90,779
$300,940
$105,893
$195,047
$97,489
$97,558


 As of December 31, 2018
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities purchased under agreements to resell$246,788
$87,424
$159,364
$124,557
$34,807
Deposits paid for securities borrowed111,320
—
111,320
35,766
75,554
Total$358,108
$87,424
$270,684
$160,323
$110,361
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$253,514
$87,424
$166,090
$82,823
$83,267
Deposits received for securities loaned11,678
—
11,678
3,415
8,263
Total$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)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.
(3)Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

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

As of June 30, 2019As of September 30, 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$152,704
$69,173
$34,516
$40,770
$297,163
$143,154
$67,183
$31,487
$41,971
$283,795
Deposits received for securities loaned7,576
155
2,359
2,182
12,272
11,123
481
2,201
3,340
17,145
Total$160,280
$69,328
$36,875
$42,952
$309,435
$154,277
$67,664
$33,688
$45,311
$300,940


 As of December 31, 2018
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$108,405
$70,850
$29,898
$44,361
$253,514
Deposits received for securities loaned6,296
774
2,626
1,982
11,678
Total$114,701
$71,624
$32,524
$46,343
$265,192


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

As of June 30, 2019As of September 30, 2019
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotalRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$114,492
$—
$114,492
$103,718
$91
$103,809
State and municipal securities2,226
11
2,237
2,170
4
2,174
Foreign government securities110,796
269
111,065
108,497
264
108,761
Corporate bonds21,909
597
22,506
21,255
474
21,729
Equity securities17,919
10,677
28,596
14,092
16,011
30,103
Mortgage-backed securities18,541
—
18,541
23,813
—
23,813
Asset-backed securities6,540
—
6,540
5,808
—
5,808
Other4,740
718
5,458
4,442
301
4,743
Total$297,163
$12,272
$309,435
$283,795
$17,145
$300,940

 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




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 2018 Annual Report on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
In millions of dollarsJune 30,
2019		December 31, 2018September 30,
2019		December 31, 2018
Receivables from customers$15,887
$14,415
$19,470
$14,415
Receivables from brokers, dealers and clearing organizations34,140
21,035
34,745
21,035
Total brokerage receivables(1)
$50,027
$35,450
$54,215
$35,450
Payables to customers$38,589
$40,273
$42,256
$40,273
Payables to brokers, dealers and clearing organizations31,250
24,298
21,086
24,298
Total brokerage payables(1)
$69,839
$64,571
$63,342
$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 2018 Annual Report on Form 10-K.

 






The following table presents Citi’s investments by category:
 In millions of dollarsJune 30,
2019		December 31,
2018
 
 Debt securities available-for-sale (AFS)$273,435
$288,038
 
Debt securities held-to-maturity (HTM)(1)
68,693
63,357
 
Marketable equity securities carried at fair value(2)
533
220
 
Non-marketable equity securities carried at fair value(2)
740
889
 
Non-marketable equity securities measured using the measurement alternative(3)


642
538
 
Non-marketable equity securities carried at cost(4)
5,659
5,565
 Total investments$349,702
$358,607
 In millions of dollarsSeptember 30,
2019		December 31,
2018
 
 Debt securities available-for-sale (AFS)$275,425
$288,038
 
Debt securities held-to-maturity (HTM)(1)
75,841
63,357
 
Marketable equity securities carried at fair value(2)
510
220
 
Non-marketable equity securities carried at fair value(2)
627
889
 
Non-marketable equity securities measured using the measurement alternative(3)


688
538
 
Non-marketable equity securities carried at cost(4)
5,292
5,565
 Total investments$358,383
$358,607

(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.

The following table presents interest and dividend income on investments:
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20192018201920182019201820192018
Taxable interest$2,324
$2,158
$4,696
$4,200
$2,291
$2,195
$6,987
$6,395
Interest exempt from U.S. federal income tax126
132
253
262
75
130
328
392
Dividend income55
84
104
146
45
63
149
209
Total interest and dividend income$2,505
$2,374
$5,053
$4,608
$2,411
$2,388
$7,464
$6,996



The following table presents realized gains and losses on the sales of investments, which exclude OTTI losses:
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20192018201920182019201820192018
Gross realized investment gains$474
$170
$642
$396
$393
$153
$1,036
$550
Gross realized investment losses(6)(68)(44)(124)(32)(84)(77)(209)
Net realized gains on sale of investments$468
$102
$598
$272
$361
$69
$959
$341


 




Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
June 30, 2019December 31, 2018September 30, 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
Debt securities AFS          
Mortgage-backed securities(1)
          
U.S. government-sponsored agency guaranteed$37,488
$717
$345
$37,860
$43,504
$241
$725
$43,020
$38,735
$777
$311
$39,201
$43,504
$241
$725
$43,020
Alt-A1
—
—
1
1
—
—
1
1
—
—
1
1
—
—
1
Non-U.S. residential907
3
1
909
1,310
4
2
1,312
789
3
—
792
1,310
4
2
1,312
Commercial114
1
—
115
173
1
2
172
84
1
—
85
173
1
2
172
Total mortgage-backed securities$38,510
$721
$346
$38,885
$44,988
$246
$729
$44,505
$39,609
$781
$311
$40,079
$44,988
$246
$729
$44,505
U.S. Treasury and federal agency securities           
U.S. Treasury$102,563
$82
$583
$102,062
$109,376
$33
$1,339
$108,070
$102,384
$56
$474
$101,966
$109,376
$33
$1,339
$108,070
Agency obligations7,488
7
48
7,447
9,283
1
132
9,152
6,293
5
31
6,267
9,283
1
132
9,152
Total U.S. Treasury and federal agency securities$110,051
$89
$631
$109,509
$118,659
$34
$1,471
$117,222
$108,677
$61
$505
$108,233
$118,659
$34
$1,471
$117,222
State and municipal$6,228
$139
$197
$6,170
$9,372
$96
$262
$9,206
$5,997
$149
$192
$5,954
$9,372
$96
$262
$9,206
Foreign government101,400
803
463
101,740
100,872
415
596
100,691
105,041
716
228
105,529
100,872
415
596
100,691
Corporate12,380
74
131
12,323
11,714
42
157
11,599
11,207
86
110
11,183
11,714
42
157
11,599
Asset-backed securities(1)
618
2
2
618
845
2
4
843
541
2
2
541
845
2
4
843
Other debt securities4,191
—
1
4,190
3,973
—
1
3,972
3,906
1
1
3,906
3,973
—
1
3,972
Total debt securities AFS$273,378
$1,828
$1,771
$273,435
$290,423
$835
$3,220
$288,038
$274,978
$1,796
$1,349
$275,425
$290,423
$835
$3,220
$288,038
(1)The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.



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, 2019   
September 30, 2019     
Debt securities AFS        
Mortgage-backed securities        
U.S. government agency guaranteed$8,595
$255
$5,718
$90
$14,313
$345
$13,850
$261
$2,346
$50
$16,196
$311
Non-U.S. residential175
1
1
—
176
1
101
—
1
—
102
—
Commercial7
—
61
—
68
—
11
—
37
—
48
—
Total mortgage-backed securities$8,777
$256
$5,780
$90
$14,557
$346
$13,962
$261
$2,384
$50
$16,346
$311
U.S. Treasury and federal agency securities        
U.S. Treasury$19,187
$135
$54,921
$448
$74,108
$583
$30,024
$210
$41,972
$264
$71,996
$474
Agency obligations316
2
6,857
46
7,173
48
355
1
5,699
30
6,054
31
Total U.S. Treasury and federal agency securities$19,503
$137
$61,778
$494
$81,281
$631
$30,379
$211
$47,671
$294
$78,050
$505
State and municipal$925
$156
$960
$41
$1,885
$197
$249
$149
$351
$43
$600
$192
Foreign government25,294
337
7,038
126
32,332
463
29,617
130
9,132
98
38,749
228
Corporate2,598
126
493
5
3,091
131
2,423
105
427
5
2,850
110
Asset-backed securities476
2
29
—
505
2
253
2
16
—
269
2
Other debt securities1,535
1
—
—
1,535
1
1,819
1
—
—
1,819
1
Total debt securities AFS$59,108
$1,015
$76,078
$756
$135,186
$1,771
$78,702
$859
$59,981
$490
$138,683
$1,349
December 31, 2018 
 
 
 
 
 
 
 
 
 
 
 
Debt securities AFS 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities 
 
 
 
 
 
 
 
 
 
 
 
U.S. government agency guaranteed$11,160
$286
$13,143
$439
$24,303
$725
$11,160
$286
$13,143
$439
$24,303
$725
Non-U.S. residential284
2
2
—
286
2
284
2
2
—
286
2
Commercial79
1
82
1
161
2
79
1
82
1
161
2
Total mortgage-backed securities$11,523
$289
$13,227
$440
$24,750
$729
$11,523
$289
$13,227
$440
$24,750
$729
U.S. Treasury and federal agency securities 
 
 
 
 
 
 
 
 


 
 
U.S. Treasury$8,389
$42
$77,883
$1,297
$86,272
$1,339
$8,389
$42
$77,883
$1,297
$86,272
$1,339
Agency obligations277
2
8,660
130
8,937
132
277
2
8,660
130
8,937
132
Total U.S. Treasury and federal agency securities$8,666
$44
$86,543
$1,427
$95,209
$1,471
$8,666
$44
$86,543
$1,427
$95,209
$1,471
State and municipal$1,614
$34
$1,303
$228
$2,917
$262
$1,614
$34
$1,303
$228
$2,917
$262
Foreign government40,655
265
15,053
331
55,708
596
40,655
265
15,053
331
55,708
596
Corporate4,547
115
2,077
42
6,624
157
4,547
115
2,077
42
6,624
157
Asset-backed securities441
4
55
—
496
4
441
4
55
—
496
4
Other debt securities1,790
1
—
—
1,790
1
1,790
1
—
—
1,790
1
Total debt securities AFS$69,236
$752
$118,258
$2,468
$187,494
$3,220
$69,236
$752
$118,258
$2,468
$187,494
$3,220





The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
June 30, 2019December 31, 2018September 30, 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$12
$12
$14
$14
$15
$15
$14
$14
After 1 but within 5 years589
590
662
661
564
565
662
661
After 5 but within 10 years1,986
2,133
2,779
2,828
1,738
1,908
2,779
2,828
After 10 years(2)
35,923
36,150
41,533
41,002
37,292
37,591
41,533
41,002
Total$38,510
$38,885
$44,988
$44,505
$39,609
$40,079
$44,988
$44,505
U.S. Treasury and federal agency securities      
Due within 1 year$42,893
$42,803
$41,941
$41,867
$51,529
$51,392
$41,941
$41,867
After 1 but within 5 years66,636
66,189
76,139
74,800
56,986
56,673
76,139
74,800
After 5 but within 10 years497
489
489
462
137
138
489
462
After 10 years(2)
25
28
90
93
25
30
90
93
Total$110,051
$109,509
$118,659
$117,222
$108,677
$108,233
$118,659
$117,222
State and municipal      
Due within 1 year$1,282
$1,251
$2,586
$2,586
$1,255
$1,105
$2,586
$2,586
After 1 but within 5 years1,188
1,165
1,676
1,675
1,100
973
1,676
1,675
After 5 but within 10 years446
454
585
602
290
266
585
602
After 10 years(2)
3,312
3,300
4,525
4,343
3,352
3,610
4,525
4,343
Total$6,228
$6,170
$9,372
$9,206
$5,997
$5,954
$9,372
$9,206
Foreign government        
Due within 1 year$41,222
$41,247
$39,078
$39,028
$40,374
$40,409
$39,078
$39,028
After 1 but within 5 years49,183
49,472
50,125
49,962
54,451
54,750
50,125
49,962
After 5 but within 10 years9,758
9,836
10,153
10,149
8,648
8,763
10,153
10,149
After 10 years(2)
1,237
1,185
1,516
1,552
1,568
1,607
1,516
1,552
Total$101,400
$101,740
$100,872
$100,691
$105,041
$105,529
$100,872
$100,691
All other(3)
        
Due within 1 year$7,424
$7,420
$6,166
$6,166
$6,609
$6,612
$6,166
$6,166
After 1 but within 5 years8,297
8,306
8,459
8,416
8,129
8,140
8,459
8,416
After 5 but within 10 years1,249
1,213
1,474
1,427
731
719
1,474
1,427
After 10 years(2)
219
192
433
405
185
159
433
405
Total$17,189
$17,131
$16,532
$16,414
$15,654
$15,630
$16,532
$16,414
Total debt securities AFS$273,378
$273,435
$290,423
$288,038
$274,978
$275,425
$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
Carrying
value
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
June 30, 2019   
September 30, 2019   
Debt securities HTM      
Mortgage-backed securities(1)
      
U.S. government agency guaranteed(2)
$38,885
$726
$80
$39,531
$43,135
$979
$26
$44,088
Prime32
—
—
32
Non-U.S. residential1,242
11
1
1,252
693
5
1
697
Commercial443
—
1
442
502
—
1
501
Total mortgage-backed securities$40,570
$737
$82
$41,225
$44,362
$984
$28
$45,318
State and municipal$7,892
$359
$13
$8,238
$8,823
$539
$14
$9,348
Foreign government1,920
17
8
1,929
1,869
39
1
1,907
Asset-backed securities(1)
18,311
8
51
18,268
20,787
15
58
20,744
Total debt securities HTM$68,693
$1,121
$154
$69,660
$75,841
$1,577
$101
$77,317
December 31, 2018 
 
 
 
 
 
 
 
Debt securities HTM 
 
 
 
 
 
 
 
Mortgage-backed securities(1)
 
 
 
 
 
 
 
 
U.S. government agency guaranteed$34,239
$199
$578
$33,860
$34,239
$199
$578
$33,860
Non-U.S. residential1,339
12
1
1,350
1,339
12
1
1,350
Commercial368
—
—
368
368
—
—
368
Total mortgage-backed securities$35,946
$211
$579
$35,578
$35,946
$211
$579
$35,578
State and municipal$7,628
$167
$138
$7,657
$7,628
$167
$138
$7,657
Foreign government1,027
—
24
1,003
1,027
—
24
1,003
Asset-backed securities(1)
18,756
8
112
18,652
18,756
8
112
18,652
Total debt securities HTM$63,357
$386
$853
$62,890
$63,357
$386
$853
$62,890

(1)The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.
(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 time of transfer, the securities were in an unrealized loss position of $56 million. The loss amounts will remain in AOCI and be amortized over the remaining life of the securities.



















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, 2019     
September 30, 2019     
Debt securities held-to-maturity          
Mortgage-backed securities$304
$1
$9,980
$81
$10,284
$82
$2,816
$8
$2,448
$20
$5,264
$28
State and municipal9
—
268
13
277
13
25
—
1,050
14
1,075
14
Foreign government1,929
8
—
—
1,929
8
1,907
1
—
—
1,907
1
Asset-backed securities11,532
46
501
5
12,033
51
4,092
9
574
49
4,666
58
Total debt securities held-to-maturity$13,774
$55
$10,749
$99
$24,523
$154
$8,840
$18
$4,072
$83
$12,912
$101
December 31, 2018          
Debt securities held-to-maturity          
Mortgage-backed securities$2,822
$20
$18,086
$559
$20,908
$579
$2,822
$20
$18,086
$559
$20,908
$579
State and municipal981
34
1,242
104
2,223
138
981
34
1,242
104
2,223
138
Foreign government1,003
24
—
—
1,003
24
1,003
24
—
—
1,003
24
Asset-backed securities13,008
112
—
—
13,008
112
13,008
112
—
—
13,008
112
Total debt securities held-to-maturity$17,814
$190
$19,328
$663
$37,142
$853
$17,814
$190
$19,328
$663
$37,142
$853
Note: Excluded from the gross unrecognized losses presented in the table above are $(658)$(623) million and $(653) million of net unrealized losses recorded in AOCI as of JuneSeptember 30, 2019 and December 31, 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 JuneSeptember 30, 2019 and December 31, 2018.


The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
June 30, 2019December 31, 2018September 30, 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
$3
$3
$3
$3
After 1 but within 5 years534
541
539
540
483
489
539
540
After 5 but within 10 years1,816
1,885
997
1,011
1,733
1,832
997
1,011
After 10 years(1)
38,217
38,796
34,407
34,024
42,143
42,994
34,407
34,024
Total$40,570
$41,225
$35,946
$35,578
$44,362
$45,318
$35,946
$35,578
State and municipal      
Due within 1 year$38
$38
$37
$37
$13
$25
$37
$37
After 1 but within 5 years229
239
168
174
117
195
168
174
After 5 but within 10 years502
526
540
544
594
631
540
544
After 10 years(1)
7,123
7,435
6,883
6,902
8,099
8,497
6,883
6,902
Total$7,892
$8,238
$7,628
$7,657
$8,823
$9,348
$7,628
$7,657
Foreign government      
Due within 1 year$661
$664
$60
$36
$642
$645
$60
$36
After 1 but within 5 years823
825
967
967
1,227
1,262
967
967
After 5 but within 10 years436
440
—
—
—
—
—
—
After 10 years(1)
—
—
—
—
—
—
—
—
Total$1,920
$1,929
$1,027
$1,003
$1,869
$1,907
$1,027
$1,003
All other(2)
      
Due within 1 year$—
$—
$—
$—
$—
$—
$—
$—
After 1 but within 5 years—
—
—
—
—
—
—
—
After 5 but within 10 years3,161
3,162
2,535
2,539
6,177
6,180
2,535
2,539
After 10 years(1)
15,150
15,106
16,221
16,113
14,610
14,564
16,221
16,113
Total$18,311
$18,268
$18,756
$18,652
$20,787
$20,744
$18,756
$18,652
Total debt securities HTM$68,693
$69,660
$63,357
$62,890
$75,841
$77,317
$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 (OTTI)

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 adjusted 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.
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 investmentspositions that have fair values less than amortized cost, including consideration of the length of time the investmentposition 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 positions 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 JuneSeptember 30, 2019.

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.

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 more likely than not be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized 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 more likely than not to be required to sell prior to recovery of value, the evaluation of whether an impairment is other-than-temporary is based on (i) whether and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary considers the following indicators:

the cause of the impairment and the financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer;
the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and
the length of time and extent to which fair value has been less than the carrying value.


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

Three Months Ended 
 June 30, 2019		Six Months Ended  
  June 30, 2019		Three Months Ended 
 September 30, 2019		Nine Months Ended  
  September 30, 2019
In millions of dollarsAFSHTMTotal
AFS(1)
HTMTotalAFSHTMTotal
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 exercise2
—
2
5
—
5
13
—
13
18
—
18
Total OTTI losses recognized in earnings$2
$—
$2
$5
$—
$5
$13
$—
$13
$18
$—
$18


Three Months Ended 
  June 30, 2018		Six Months Ended 
  June 30, 2018		Three Months Ended 
  September 30, 2018		Nine Months Ended 
  September 30, 2018
In millions of dollarsAFSHTMTotalAFS(1)HTMTotalAFSHTMTotal
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 exercise12
—
12
39
—
39
70
—
70
109
—
109
Total impairment losses recognized in earnings$12
$—
$12
$39
$—
$39
$70
$—
$70
$109
$—
$109



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 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, 2019 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, 2019 balanceJune 30, 2019 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		September 30, 2019 balance
AFS debt securities      
Mortgage-backed securities(1)
$1
$—
$—
$—
$1
$1
$—
$—
$—
$1
State and municipal—
—
—
—
—
—
—
—
—
—
Foreign government securities—
—
—
—
—
—
—
—
—
—
Corporate4
—
—
—
4
4
—
—
—
4
All other debt securities—
—
—
—
—
—
—
—
—
—
Total OTTI credit losses recognized for AFS debt securities$5
$—
$—
$—
$5
$5
$—
$—
$—
$5
HTM debt securities        
Mortgage-backed securities(2)
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal—
—
—
—
—
—
—
—
—
—
Total OTTI credit losses recognized for HTM debt securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—


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 balanceJune 30, 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		September 30, 2018 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
2
—
—
—
2
Total OTTI credit losses recognized for AFS debt securities$31
$—
$—
$(24)$7
$7
$—
$—
$—
$7
HTM debt securities        
Mortgage-backed securities(2)
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal—
—
—
—
—
—
—
—
—
—
Total OTTI credit losses recognized for HTM debt securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
(1)Primarily consists of Prime securities.
(2)Primarily consists of Alt-A securities.



The following are six-monthnine-month rollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities 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, 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, 2019 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		September 30, 2019 balance
AFS debt securities      
Mortgage-backed securities(1)
$1
$—
$—
$—
$1
$1
$—
$—
$—
$1
State and municipal—
—
—
—
—
—
—
—
—
—
Foreign government securities—
—
—
—
—
—
—
—
—
—
Corporate4
—
—
—
4
4
—
—
—
4
All other debt securities—
—
—
—
—
—
—
—
—
—
Total OTTI credit losses recognized for AFS debt securities$5
$—
$—
$—
$5
$5
$—
$—
$—
$5
HTM debt securities        
Mortgage-backed securities(2)
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal—
—
—
—
—
—
—
—
—
—
Total OTTI credit losses recognized for HTM debt securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
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(3)
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
Changes due to
credit-impaired
securities sold,
transferred or
matured(3)
September 30, 2018 balance
AFS debt securities      
Mortgage-backed securities(1)
$38
$—
$—
$(37)$1
$38
$—
$—
$(37)$1
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
$—
$—
$(41)$7
HTM debt securities        
Mortgage-backed securities(2)
$54
$—
$—
$(54)$—
$54
$—
$—
$(54)$—
State and municipal3
—
—
(3)—
3
—
—
(3)—
Total OTTI credit losses recognized for HTM debt securities$57
$—
$—
$(57)$—
$57
$—
$—
$(57)$—
(1)Primarily consists of Prime securities.
(2)Primarily consists of Alt-A securities.
(3)
(3) 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.


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

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

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


Below is the carrying value of non-marketable equity
securities measured using the measurement alternative at JuneSeptember 30, 2019 and December 31, 2018:
In millions of dollarsJune 30, 2019December 31, 2018September 30, 2019December 31, 2018
Measurement alternative:  
Carrying value$642
$538
$688
$538

Below are amounts recognized in earnings and life-to-date amounts for non-marketable equity securities measured using the measurement alternative:

Three Months Ended
June 30,
Six Months
Ended
June 30,
Three Months Ended
September 30,
Nine Months
Ended
September 30,
In millions of dollars20192018201920182019201820192018
Measurement alternative:



 



 
Impairment losses(1)
$3
$3
$8
$4
$1
$—
$9
$4
Downward changes for observable prices(1)
12
2
12
4
4
14
16
18
Upward changes for observable prices(1)
19
4
85
112
23
21
108
133

(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 heldLife-to-date amounts on securities still held
In millions of dollarsJune 30, 2019September 30, 2019
Measurement alternative:  
Impairment losses$15
$16
Downward changes for observable prices30
34
Upward changes for observable prices304
327



A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three and sixnine months ended JuneSeptember 30, 2019 and 2018, there was no0 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 five years from the July 21, 2017 expiration date of the general conformance period, or the date such investments mature or are otherwise conformed with the Volcker Rule.



Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
In millions of dollarsJune 30,
2019		December 31, 2018June 30,
2019		December 31, 2018 September 30,
2019		December 31, 2018September 30,
2019		December 31, 2018 
Hedge funds$—
$—
$—
$—
Generally quarterly10–95 days$—
$—
$—
$—
Generally quarterly10–95 days
Private equity funds(1)(2)
158
168
62
62
—135
168
62
62
—
Real estate funds(2)(3)
12
14
18
19
—10
14
17
19
—
Mutual/collective investment funds26
25
—
—
—24
25
—
—
—
Total$196
$207
$80
$81
—$169
$207
$79
$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 two2 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 2018 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:

 








Consumer Loans, Delinquencies and Non-Accrual Details at JuneSeptember 30, 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(5)
        
Residential first mortgages(6)
$44,122
$480
$224
$648
$45,474
$582
$407
$45,126
$409
$215
$587
$46,337
$558
$371
Home equity loans(7)(8)
10,028
153
223
—
10,404
476
—
9,513
149
188
—
9,850
433
—
Credit cards137,091
1,536
1,639
—
140,266
—
1,639
138,009
1,743
1,730
—
141,482
—
1,730
Installment and other3,193
40
12
—
3,245
19
—
3,305
41
15
—
3,361
18
—
Commercial banking loans10,655
22
13
—
10,690
139
—
10,576
83
21
—
10,680
159
—
Total$205,089
$2,231
$2,111
$648
$210,079
$1,216
$2,046
$206,529
$2,425
$2,169
$587
$211,710
$1,168
$2,101
In offices outside North America(5)
         
Residential first mortgages(6)
$36,226
$207
$147
$—
$36,580
$405
$—
$36,289
$219
$136
$—
$36,644
$392
$—
Credit cards24,188
416
371
—
24,975
302
238
23,542
410
348
—
24,300
288
231
Installment and other26,970
241
110
—
27,321
146
—
26,297
237
105
—
26,639
125
—
Commercial banking loans26,926
60
54
—
27,040
159
—
26,640
52
53
—
26,745
212
—
Total$114,310
$924
$682
$—
$115,916
$1,012
$238
$112,768
$918
$642
$—
$114,328
$1,017
$231
Total Citigroup(9)
$319,399
$3,155
$2,793
$648
$325,995
$2,228
$2,284
$319,297
$3,343
$2,811
$587
$326,038
$2,185
$2,332
(1)Loans less than 30 days past due are presented as current.
(2)Includes $20$18 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 $0.4 billion.
(5)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(6)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(7)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(8)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(9)Consumer loans are net of unearned income of $713$745 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.


During the three and sixnine months ended JuneSeptember 30, 2019 and 2018, the Company sold and/or reclassified to HFS $0.4$0.1 billion and $2.3$2.4 billion and $1.9$0.3 billion and $2.8$3.0 billion, respectively, of consumer loans.



Consumer Loans, Delinquencies and Non-Accrual Details at December 31, 2018
In millions of dollars
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
In North America offices(5)
       
Residential first mortgages(6)
$45,953
$420
$253
$786
$47,412
$583
$549
Home equity loans(7)(8)
11,135
161
247
—
11,543
527
—
Credit cards141,106
1,687
1,764
—
144,557
—
1,764
Installment and other3,395
43
16
—
3,454
22
—
Commercial banking loans9,662
20
46
—
9,728
109
—
Total$211,251
$2,331
$2,326
$786
$216,694
$1,241
$2,313
In offices outside North America(5)
       
Residential first mortgages(6)
$35,624
$203
$145
$—
$35,972
$383
$—
Credit cards24,131
425
370
—
24,926
312
235
Installment and other25,773
254
107
—
26,134
152
—
Commercial banking loans26,657
51
53
—
26,761
138
—
Total$112,185
$933
$675
$—
$113,793
$985
$235
Total Citigroup(9)
$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 $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 $0.6 billion.
(5)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(6)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(7)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(8)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(9)Consumer loans are net of unearned income of $708 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.

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, 2019September 30, 2019
In millions of dollarsLess than
680		680 to 760Greater
than 760		Less than
680		680 to 760Greater
than 760
Residential first mortgages$3,803
$12,699
$26,618
$3,924
$13,484
$25,671
Home equity loans2,172
3,920
3,994
2,107
3,756
3,880
Credit cards31,445
57,173
49,715
32,350
57,837
49,110
Installment and other602
967
1,078
591
1,024
979
Total$38,022
$74,759
$81,405
$38,972
$76,101
$79,640

 

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

In millions of dollars
Less than
680
680 to 760
Greater
than 760
Residential first mortgages$4,530
$13,848
$26,546
Home equity loans2,438
4,296
4,471
Credit cards32,686
58,722
51,299
Installment and other625
1,097
1,121
Total$40,279
$77,963
$83,437
(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)
June 30, 2019September 30, 2019
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$40,482
$2,577
$168
$41,117
$2,705
$106
Home equity loans8,635
1,079
332
8,574
902
267
Total$49,117
$3,656
$500
$49,691
$3,607
$373

LTV distribution in U.S. portfolio(1)(2)
December 31, 2018
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$42,379
$2,474
$197
Home equity loans9,465
1,287
390
Total$51,844
$3,761
$587
(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 
 September 30,		Nine Months Ended 
 September 30,
Balance at June 30, 20192019201820192018Balance at September 30, 20192019201820192018
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Mortgage and real estate          
Residential first mortgages$2,022
$2,222
$219
$2,133
$18
$21
$35
$42
$1,925
$2,121
$198
$2,041
$16
$21
$51
$63
Home equity loans652
914
124
678
2
2
4
8
632
887
120
660
2
2
6
10
Credit cards1,873
1,892
711
1,838
26
25
52
55
1,896
2,158
744
1,862
25
24
77
79
Installment and other          
Individual installment and other400
431
142
401
6
6
11
12
399
600
141
399
7
5
18
17
Commercial banking365
534
35
316
7
5
10
8
401
637
50
343
11
2
20
10
Total$5,312
$5,993
$1,231
$5,366
$59
$59
$112
$125
$5,253
$6,403
$1,253
$5,305
$61
$54
$172
$179
(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)$414415 million of residential first mortgages, $245$230 million of home equity loans and $9 million of commercial market loans do not have a specific allowance.
(3)    Included in the Allowance for loan losses.
(4)Average carrying value represents the average recorded investment ending balance for the last four4 quarters and does not include the related specific allowance.
(5)    Includes amounts recognized on both an accrual and cash basis.

 Balance at December 31, 2018
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Mortgage and real estate    
Residential first mortgages$2,130
$2,329
$178
$2,483
Home equity loans684
946
122
698
Credit cards1,818
1,842
677
1,815
Installment and other    
Individual installment and other400
434
146
414
Commercial banking252
432
55
286
Total$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)$484 million of residential first mortgages, $263 million of home equity loans and $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 four4 quarters and does not include the related specific allowance.





Consumer Troubled Debt Restructurings
For the Three Months Ended June 30, 2019For the Three Months Ended September 30, 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		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 mortgages137
$21
$—
$—
$—
—%175
$26
$—
$—
$—
—%
Home equity loans188
22
1
—
—
1
219
24
1
—
—
1
Credit cards63,281
273
—
—
—
17
66,925
296
—
—
—
17
Installment and other revolving340
3
—
—
—
6
499
4
—
—
—
6
Commercial banking(6)
12
10
—
—
—
—
4
—
—
—
—
2
Total(8)
63,958
$329
$1
$—
$—


67,822
$350
$1
$—
$—


International      
Residential first mortgages638
$17
$—
$—
$—
—%572
$22
$—
$—
$—
—%
Credit cards18,453
73
—
—
3
16
16,703
66
—
—
2
17
Installment and other revolving7,073
44
—
—
2
10
7,122
44
—
—
2
10
Commercial banking(6)
89
9
—
—
—
—
126
21
—
—
—
—
Total(8)
26,253
$143
$—
$—
$5


24,523
$153
$—
$—
$4



For the Three Months Ended June 30, 2018For the Three Months Ended September 30, 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
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 mortgages495
$77
$1
$—
$—
—%461
$66
$—
$—
$—
—%
Home equity loans380
37
1
—
—
1
261
26
1
—
—
1
Credit cards55,459
220
—
—
—
17
61,508
253
—
—
—
18
Installment and other revolving292
2
—
—
—
5
322
2
—
—
—
5
Commercial banking(6)
17
1
—
—
—
—
11
3
—
—
—
—
Total(8)
56,643
$337
$2
$—
$—
 
62,563
$350
$1
$—
$—
 
International      
Residential first mortgages624
$22
$—
$—
$—
—%660
$22
$—
$—
$—
—%
Credit cards17,782
78
—
—
2
16
18,413
77
—
—
2
17
Installment and other revolving7,172
43
—
—
2
11
6,421
34
—
—
2
10
Commercial banking(6)
157
22
—
—
—
—
131
9
—
—
—
—
Total(8)
25,735
$165
$—
$—
$4
 
25,625
$142
$—
$—
$4
 

(1)Post-modification balances include past duepast-due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $5$3 million of residential first mortgages and $2 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended JuneSeptember 30, 2019. These amounts include $3$2 million of residential first mortgages and $1$2 million of home equity loans that were newly classified as TDRs in the three months ended JuneSeptember 30, 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 $8$10 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 JuneSeptember 30, 2018. These amounts include $5$7 million of residential first mortgages and $3$2 million of home equity loans that were newly classified as TDRs in the three months ended JuneSeptember 30, 2018, based on previously received OCC guidance.
(8)The above tables reflect activity for loans outstanding that were considered TDRs as of the end of the reporting period.






For the Six Months Ended June 30, 2019For the Nine Months Ended September 30, 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		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 mortgages630
$95
$—
$—
$—
—%805
$120
$—
$—
$—
—%
Home equity loans394
42
2
—
—
1
613
66
2
—
—
1
Credit cards135,528
578
—
—
—
17
202,453
874
—
—
—
17
Installment and other revolving691
6
—
—
—
6
1,190
10
—
—
—
6
Commercial banking(6)
27
48
—
—
—
—
31
48
—
—
—
—
Total(8)
137,270
$769
$2
$—
$—
 205,092
$1,118
$2
$—
$—
 
International      
Residential first mortgages1,363
$37
$—
$—
$—
—%1,935
$59
$—
$—
$—
—%
Credit cards36,946
148
—
—
6
16
53,649
214
—
—
8
17
Installment and other revolving14,625
88
—
—
3
10
21,747
132
—
—
5
10
Commercial banking(6)
188
41
—
—
—
—
314
63
—
—
—
—
Total(8)
53,122
$314
$—
$—
$9
 77,645
$468
$—
$—
$13
 

For the Six Months Ended June 30, 2018For the Nine Months Ended September 30, 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
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 mortgages1,083
$166
$1
$—
$—
—%1,544
$233
$2
$—
$—
—%
Home equity loans836
78
3
—
—
1
1,097
104
4
—
—
1
Credit cards118,662
464
—
—
—
17
180,170
717
—
—
—
18
Installment and other revolving634
5
—
—
—
5
956
7
—
—
—
5
Commercial banking(6)
26
2
—
—
—
—
37
5
—
—
—
—
Total(8)
121,241
$715
$4
$—
$—
 
183,804
$1,066
$6
$—
$—
 
International      
Residential first mortgages1,173
$41
$—
$—
$—
—%1,833
$62
$—
$—
$—
—%
Credit cards41,176
173
—
—
5
16
59,589
249
—
—
7
16
Installment and other revolving16,497
102
—
—
4
10
22,918
136
—
—
6
10
Commercial banking(6)
302
50
—
—
—
1
433
60
—
—
—
1
Total(8)
59,148
$366
$—
$—
$9
 
84,773
$507
$—
$—
$13
 

(1)Post-modification balances include past duepast-due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $12$15 million of residential first mortgages and $4$6 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the sixnine months ended JuneSeptember 30, 2019. These amounts include $7$9 million of residential first mortgages and $3$5 million of home equity loans that were newly classified as TDRs in the sixnine months ended JuneSeptember 30, 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 $19$29 million of residential first mortgages and $7$10 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the sixnine months ended JuneSeptember 30, 2018. These amounts include $13$20 million of residential first mortgages and $6$9 million of home equity loans that were newly classified as TDRs in the sixnine months ended JuneSeptember 30, 2018, based on previously received OCC guidance.
(8)The above tables reflect activity for loans outstanding that were considered TDRs as of the end of the reporting period.




The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20192018201920182019201820192018
North America      
Residential first mortgages$26
$30
$50
$74
$19
$31
$69
$105
Home equity loans4
6
7
16
4
5
11
21
Credit cards73
57
144
116
74
57
217
173
Installment and other revolving1
1
2
1
1
1
3
2
Commercial banking1
13
1
21
—
1
1
22
Total$105
$107
$204
$228
$98
$95
$301
$323
International      
Residential first mortgages$4
$2
$7
$4
$1
$2
$8
$6
Credit cards36
55
75
108
34
48
109
156
Installment and other revolving19
20
37
44
18
18
54
62
Commercial banking2
9
2
10
3
7
5
17
Total$61
$86
$121
$166
$56
$75
$176
$241



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,
2019		December 31,
2018		September 30,
2019		December 31,
2018
In North America offices(1)
  
Commercial and industrial$54,519
$52,063
$49,475
$52,063
Financial institutions47,610
48,447
52,678
48,447
Mortgage and real estate(2)
51,321
50,124
52,972
50,124
Installment, revolving credit and other33,555
32,425
31,303
32,425
Lease financing1,385
1,429
1,314
1,429
Total$188,390
$184,488
$187,742
$184,488
In offices outside North America(1)
    
Commercial and industrial$98,351
$94,701
$102,432
$94,701
Financial institutions37,523
36,837
37,908
36,837
Mortgage and real estate(2)
7,577
7,376
7,811
7,376
Installment, revolving credit and other27,333
25,684
26,774
25,684
Lease financing92
103
80
103
Governments and official institutions3,409
4,520
2,958
4,520
Total$174,285
$169,221
$177,963
$169,221
Corporate loans, net of unearned income(3)
$362,675
$353,709
$365,705
$353,709
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(2)Loans secured primarily by real estate.
(3)Corporate loans are net of unearned income of ($815)780) million and ($822) million at JuneSeptember 30, 2019 and December 31, 2018, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
 

The Company sold and/or reclassified to held-for-sale $0.8 billion and $1.3$2.1 billion of corporate loans during the three and sixnine months ended JuneSeptember 30, 2019, respectively, and $0.4$0.3 billion and $0.5$0.8 billion during the three and sixnine months ended JuneSeptember 30, 2018, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and sixnine months ended JuneSeptember 30, 2019 or 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$1.4 billion of lease financing receivables, as of JuneSeptember 30, 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 and $42 million, respectively, of interestInterest income on direct financing and leveraged leases during the three and sixnine months ended JuneSeptember 30, 2019.2019 was not material.
The Company’s leases have an average remaining maturity of approximately four 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 JuneSeptember 30, 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 JuneSeptember 30, 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)
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$473
$32
$505
$1,064
$149,418
$150,987
$668
$24
$692
$1,232
$148,162
$150,086
Financial institutions245
15
260
36
82,983
83,279
559
175
734
36
87,760
88,530
Mortgage and real estate234
4
238
204
58,438
58,880
316
4
320
171
60,288
60,779
Lease financing—
19
19
—
1,458
1,477
7
9
16
—
1,378
1,394
Other159
56
215
106
63,927
64,248
113
33
146
88
60,844
61,078
Loans at fair value   3,804
   3,838
Total$1,111
$126
$1,237
$1,410
$356,224
$362,675
$1,663
$245
$1,908
$1,527
$358,432
$365,705


Corporate Loan Delinquency and Non-Accrual Details at December 31, 2018
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$365
$42
$407
$919
$143,960
$145,286
Financial institutions87
7
94
102
83,672
83,868
Mortgage and real estate128
5
133
215
57,116
57,464
Lease financing5
10
15
—
1,516
1,531
Other151
52
203
75
62,079
62,357
Loans at fair value     3,203
Total$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 and/or principal is doubtful.
(3)Loans less than 30 days past due are presented as current.
(4)Total loans include loans at fair value, which are not included in the various delinquency columns.






Corporate Loans Credit Quality Indicators
Recorded investment in loans(1)
Recorded investment in loans(1)
In millions of dollarsJune 30,
2019		December 31,
2018		September 30,
2019		December 31,
2018
Investment grade(2)
  
Commercial and industrial$106,432
$102,722
$104,958
$102,722
Financial institutions72,625
73,080
77,077
73,080
Mortgage and real estate26,569
25,855
27,514
25,855
Lease financing945
1,036
1,148
1,036
Other56,651
57,299
53,287
57,299
Total investment grade$263,222
$259,992
$263,984
$259,992
Non-investment grade(2)
  
Accrual  
Commercial and industrial$43,491
$41,645
$43,896
$41,645
Financial institutions10,618
10,686
11,417
10,686
Mortgage and real estate3,222
3,793
2,899
3,793
Lease financing532
496
246
496
Other7,491
4,981
7,703
4,981
Non-accrual    
Commercial and industrial1,064
919
1,232
919
Financial institutions36
102
36
102
Mortgage and real estate204
215
171
215
Lease financing—
—
—
—
Other106
75
88
75
Total non-investment grade$66,764
$62,912
$67,688
$62,912
Non-rated private bank loans managed on a delinquency basis(2)
$28,885
$27,602
$30,195
$27,602
Loans at fair value3,804
3,203
3,838
3,203
Corporate loans, net of unearned income$362,675
$353,709
$365,705
$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, 2019Three Months Ended 
 June 30, 2019		Six Months Ended 
 June 30, 2019		September 30, 2019Three Months Ended 
 September 30, 2019		Nine Months Ended 
 September 30, 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)
Interest income recognized(3)
Non-accrual corporate loans        
Commercial and industrial$1,064
$1,320
$138
$1,071
$1
$15
$1,232
$1,504
$127
$1,098
$1
$16
Financial institutions36
57
9
76
—
—
36
59
9
67
—
—
Mortgage and real estate204
416
16
215
—
—
171
379
10
193
—
—
Lease financing—
—
—
—
—
—
—
—
—
—
—
—
Other106
193
40
74
—
—
88
197
38
75
7
7
Total non-accrual corporate loans$1,410
$1,986
$203
$1,436
$1
$15
$1,527
$2,139
$184
$1,433
$8
$23
 December 31, 2018
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Non-accrual corporate loans    
Commercial and industrial$919
$1,070
$183
$1,099
Financial institutions102
123
35
99
Mortgage and real estate215
323
39
233
Lease financing—
28
—
21
Other75
165
6
83
Total non-accrual corporate loans$1,311
$1,709
$263
$1,535
June 30, 2019December 31, 2018September 30, 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$452
$138
$603
$183
$622
$127
$603
$183
Financial institutions10
9
76
35
10
9
76
35
Mortgage and real estate81
16
100
39
45
10
100
39
Lease financing—
—
—
—
—
—
—
—
Other73
40
24
6
79
38
24
6
Total non-accrual corporate loans with specific allowance$616
$203
$803
$263
$756
$184
$803
$263
Non-accrual corporate loans without specific allowance      
Commercial and industrial$612
 
$316
 
$610
 
$316
 
Financial institutions26
 
26
 
26
 
26
 
Mortgage and real estate123
 
115
 
126
 
115
 
Lease financing—
 
—
 
—
 
—
 
Other33
 
51
 
9
 
51
 
Total non-accrual corporate loans without specific allowance$794
N/A
$508
N/A
$771
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 sixnine months ended JuneSeptember 30, 2018 was $13$8 million and $17$25 million, respectively.
N/A Not applicable


Corporate Troubled Debt Restructurings

For the three months ended JuneSeptember 30, 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
Carrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$42
$19
$—
$23
$24
$—
$—
$24
Mortgage and real estate3
—
—
3
3
—
—
3
Other6
6
—
—
—
—
—
—
Total$51
$25
$—
$26
$27
$—
$—
$27

For the three months ended JuneSeptember 30, 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
Carrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$39
$3
$4
$32
$62
$1
$4
$57
Mortgage and real estate2
—
—
2
3
—
—
3
Total$41
$3
$4
$34
$65
$1
$4
$60

For the sixnine months ended JuneSeptember 30, 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		Carrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$58
$19
$—
$39
$82
$19
$—
$63
Mortgage and real estate7
—
—
7
10
—
—
10
Other6
6
—
—
6
6
—
—
Total$71
$25
$—
$46
$98
$25
$—
$73
For the sixnine months ended JuneSeptember 30, 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		Carrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$41
$3
$4
$34
$103
$5
$8
$90
Mortgage and real estate3
—
—
3
6
—
—
6
Total$44
$3
$4
$37
$109
$5
$8
$96
(1)TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.
(2)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.



The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
 TDR loans in payment default TDR loans in payment default TDR loans in payment default TDR loans in payment default
In millions of dollarsTDR balances at June 30, 2019
Three Months Ended
June 30, 2019
Six Months Ended
June 30, 2019
TDR balances at
June 30, 2018
Three Months Ended
June 30, 2018
Six Months Ended
June 30, 2018		TDR balances at September 30, 2019
Three Months Ended
September 30, 2019
Nine Months Ended
September 30, 2019
TDR balances at
September 30, 2018
Three Months Ended
September 30, 2018
Nine Months Ended
September 30, 2018
Commercial and industrial$424
$19
$19
$440
$11
$70
$398
$—
$19
$480
$—
$70
Financial institutions10
—
—
34
—
—
9
—
—
21
—
—
Mortgage and real estate112
—
—
87
—
—
75
—
—
71
—
—
Other6
—
—
37
—
—
4
—
—
42
—
—
Total(1)
$552
$19
$19
$598
$11
$70
$486
$—
$19
$614
$—
$70


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





14. ALLOWANCE FOR CREDIT LOSSES
 
Three Months Ended June 30,Six Months Ended 
 June 30,		Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars20192018201920182019201820192018
Allowance for loan losses at beginning of period$12,329
$12,354
$12,315
$12,355
$12,466
$12,126
$12,315
$12,355
Gross credit losses(2,354)(2,109)(4,699)(4,405)(2,281)(2,094)(6,980)(6,499)
Gross recoveries(1)
391
405
788
834
368
338
1,156
1,172
Net credit losses (NCLs)$(1,963)$(1,704)$(3,911)$(3,571)$(1,913)$(1,756)$(5,824)$(5,327)
NCLs$1,963
$1,704
$3,911
$3,571
$1,913
$1,756
$5,824
$5,327
Net reserve builds (releases)53
31
120
133
132
169
252
302
Net specific reserve builds (releases)73
60
2
(106)17
(19)19
(125)
Total provision for loan losses$2,089
$1,795
$4,033
$3,598
$2,062
$1,906
$6,095
$5,504
Other, net (see table below)11
(319)29
(256)(85)60
(56)(196)
Allowance for loan losses at end of period$12,466
$12,126
$12,466
$12,126
$12,530
$12,336
$12,530
$12,336
Allowance for credit losses on unfunded lending commitments at beginning of period$1,391
$1,290
$1,367
$1,258
$1,376
$1,278
$1,367
$1,258
Provision (release) for unfunded lending commitments(15)(4)9
24
9
42
18
66
Other, net—
(8)—
(4)—
1
—
(3)
Allowance for credit losses on unfunded lending commitments at end of period(2)
$1,376
$1,278
$1,376
$1,278
$1,385
$1,321
$1,385
$1,321
Total allowance for loans, leases and unfunded lending commitments$13,842
$13,404
$13,842
$13,404
$13,915
$13,657
$13,915
$13,657

(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 June 30,Six Months Ended 
 June 30,		Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars20192018201920182019201820192018
Sales or transfers of various consumer loan portfolios to HFS      
Transfer of real estate loan portfolios$(4)$(33)$(4)$(86)$(5)$(2)$(9)$(88)
Transfer of other loan portfolios—
(104)—
(106)—
(3)—
(109)
Sales or transfers of various consumer loan portfolios to HFS$(4)$(137)$(4)$(192)$(5)$(5)$(9)$(197)
FX translation, consumer13
(164)39
(46)(65)62
(26)16
Other2
(18)(6)(18)(15)3
(21)(15)
Other, net$11
$(319)$29
$(256)$(85)$60
$(56)$(196)



Allowance for Credit Losses and End-of-Period Loans
Three Months EndedThree Months Ended
June 30, 2019June 30, 2018September 30, 2019September 30, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,303
$10,026
$12,329
$2,315
$10,039
$12,354
$2,353
$10,113
$12,466
$2,330
$9,796
$12,126
Charge-offs(83)(2,271)(2,354)(20)(2,089)(2,109)(107)(2,174)(2,281)(36)(2,058)(2,094)
Recoveries13
378
391
22
383
405
18
350
368
6
332
338
Replenishment of net charge-offs70
1,893
1,963
(2)1,706
1,704
89
1,824
1,913
30
1,726
1,756
Net reserve builds (releases)38
15
53
(30)61
31
11
121
132
34
135
169
Net specific reserve builds (releases)9
64
73
63
(3)60
(17)34
17
(27)8
(19)
Other3
8
11
(18)(301)(319)(16)(69)(85)2
58
60
Ending balance$2,353
$10,113
$12,466
$2,330
$9,796
$12,126
$2,331
$10,199
$12,530
$2,339
$9,997
$12,336



Six Months EndedNine Months Ended
June 30, 2019June 30, 2018September 30, 2019September 30, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,365
$9,950
$12,315
$2,486
$9,869
$12,355
$2,365
$9,950
$12,315
$2,486
$9,869
$12,355
Charge-offs(156)(4,543)(4,699)(159)(4,246)(4,405)(263)(6,717)(6,980)(195)(6,304)(6,499)
Recoveries30
758
788
65
769
834
48
1,108
1,156
71
1,101
1,172
Replenishment of net charge-offs126
3,785
3,911
94
3,477
3,571
215
5,609
5,824
124
5,203
5,327
Net reserve builds (releases)45
75
120
(49)182
133
56
196
252
(15)317
302
Net specific reserve builds (releases)(52)54
2
(92)(14)(106)(69)88
19
(119)(6)(125)
Other(5)34
29
(15)(241)(256)(21)(35)(56)(13)(183)(196)
Ending balance$2,353
$10,113
$12,466
$2,330
$9,796
$12,126
$2,331
$10,199
$12,530
$2,339
$9,997
$12,336


June 30, 2019December 31, 2018September 30, 2019December 31, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses 
 
 
    
 
 
   
Collectively evaluated in accordance with ASC 450$2,150
$8,881
$11,031
$2,102
$8,770
$10,872
$2,149
$8,945
$11,094
$2,102
$8,770
$10,872
Individually evaluated in accordance with ASC 310-10-35203
1,231
1,434
263
1,178
1,441
182
1,253
1,435
263
1,178
1,441
Purchased credit impaired in accordance with ASC 310-30—
1
1
—
2
2
—
1
1
—
2
2
Total allowance for loan losses$2,353
$10,113
$12,466
$2,365
$9,950
$12,315
$2,331
$10,199
$12,530
$2,365
$9,950
$12,315
Loans, net of unearned income            
Collectively evaluated in accordance with ASC 450$357,487
$320,540
$678,027
$349,292
$325,055
$674,347
$360,455
$320,650
$681,105
$349,292
$325,055
$674,347
Individually evaluated in accordance with ASC 310-10-351,384
5,312
6,696
1,214
5,284
6,498
1,412
5,253
6,665
1,214
5,284
6,498
Purchased credit impaired in accordance with ASC 310-30—
123
123
—
128
128
—
117
117
—
128
128
Held at fair value3,804
20
3,824
3,203
20
3,223
3,838
18
3,856
3,203
20
3,223
Total loans, net of unearned income$362,675
$325,995
$688,670
$353,709
$330,487
$684,196
$365,705
$326,038
$691,743
$353,709
$330,487
$684,196








15.   GOODWILL AND INTANGIBLE ASSETS
Goodwill
The changes in Goodwill were as follows:
In millions of dollarsGlobal Consumer BankingInstitutional Clients GroupTotalGlobal Consumer BankingInstitutional Clients GroupTotal
Balance at December 31, 2018$12,743
$9,303
$22,046
$12,743
$9,303
$22,046
Foreign currency translation—
(9)(9)—
(9)(9)
Balance at March 31, 2019$12,743
$9,294
$22,037
$12,743
$9,294
$22,037
Foreign exchange translation$(15)$43
$28
Foreign currency translation(15)43
28
Balance at June 30, 2019$12,728
$9,337
$22,065
$12,728
$9,337
$22,065
Foreign currency translation

(77)(166)(243)
Balance at September 30, 2019$12,651
$9,171
$21,822


There were no triggering events identified and no goodwill was impaired during the three and six months ended June 30, 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 2018 Annual Report on Form 10-K.

The Company performed its annual goodwill impairment test as of July 1, 2019. The fair values of the Company’s reporting units exceeded their carrying values by approximately 33% to 134% and no reporting unit is at risk of impairment. Further, there were no triggering events identified and 0 goodwill impaired during the three and nine months ended September 30, 2019.




Intangible Assets
The components of intangible assets were as follows:
June 30, 2019December 31, 2018September 30, 2019December 31, 2018
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$5,666
$3,964
$1,702
$5,733
$3,936
$1,797
$5,662
$4,008
$1,654
$5,733
$3,936
$1,797
Credit card contract-related intangibles(1)
5,375
2,959
2,416
5,225
2,791
2,434
5,316
2,983
2,333
5,225
2,791
2,434
Core deposit intangibles428
427
1
419
415
4
416
415
1
419
415
4
Other customer relationships465
302
163
470
299
171
463
306
157
470
299
171
Present value of future profits33
30
3
32
29
3
32
29
3
32
29
3
Indefinite-lived intangible assets222
—
222
218
—
218
216
—
216
218
—
218
Other82
71
11
84
75
9
81
73
8
84
75
9
Intangible assets (excluding MSRs)$12,271
$7,753
$4,518
$12,181
$7,545
$4,636
$12,186
$7,814
$4,372
$12,181
$7,545
$4,636
Mortgage servicing rights (MSRs)(2)
508
—
508
584
—
584
472
—
472
584
—
584
Total intangible assets$12,779
$7,753
$5,026
$12,765
$7,545
$5,220
$12,658
$7,814
$4,844
$12,765
$7,545
$5,220

(1)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 as of JuneSeptember 30, 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,
2018
Acquisitions/
divestitures
AmortizationFX translation and otherJune 30,
2019		December 31,
2018
Acquisitions/
divestitures
AmortizationImpairmentsFX translation and otherSeptember 30,
2019
Purchased credit card relationships(1)
$1,797
$—
$(95)$—
$1,702
$1,797
$—
$(142)$—
$(1)$1,654
Credit card contract-related intangibles(2)
2,434
—
(168)150
2,416
2,434
—
(252)—
151
2,333
Core deposit intangibles4
—
(4)1
1
4
—
(4)—
1
1
Other customer relationships171
—
(12)4
163
171
—
(18)—
4
157
Present value of future profits3
—
—
—
3
3
—
—
—
—
3
Indefinite-lived intangible assets218
—
—
4
222
218
—
—
1
(3)216
Other9
—
(5)7
11
9
—
(8)—
7
8
Intangible assets (excluding MSRs)$4,636
$—
$(284)$166
$4,518
$4,636
$—
$(424)$1
$159
$4,372
Mortgage servicing rights (MSRs)(3)
584
 508
584
 472
Total intangible assets$5,220
 $5,026
$5,220
 $4,844
(1)Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract intangibles and include credit card accounts primarily in the Costco, Macy’s and Sears portfolios.
(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 JuneSeptember 30, 2019 and December 31, 2018.
(3)For additional information on Citi’s MSRs, including the rollforward for the sixnine months ended JuneSeptember 30, 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 2018 Annual Report on Form 10-K.

Short-Term Borrowings
In millions of dollarsJune 30,
2019		December 31,
2018		September 30,
2019		December 31,
2018
Commercial paper 
 
Bank(1)
$12,895
$13,238
$10,036
$13,238
Broker-dealer and other(2)
4,231
—
4,647
—
Total commercial paper$17,126
$13,238
$14,683
$13,238
Other borrowings(3)
25,316
19,108
20,547
19,108
Total$42,442
$32,346
$35,230
$32,346


(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 JuneSeptember 30, 2019 and December 31, 2018, collateralized short-term advances from the Federal Home Loan Banks were $15.5$9.5 billion and $9.5 billion, respectively.

 

Long-Term Debt
In millions of dollarsJune 30,
2019		December 31, 2018September 30,
2019		December 31, 2018
Citigroup Inc.(1)
$152,141
$143,767
$145,342
$143,767
Bank(2)
62,619
61,237
54,896
61,237
Broker-dealer and other(3)
37,429
26,995
42,000
26,995
Total$252,189
$231,999
$242,238
$231,999

(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At JuneSeptember 30, 2019 and December 31, 2018, collateralized long-term advances from the Federal Home Loan Banks were $7.7$5.5 billion and $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 JuneSeptember 30, 2019 and December 31, 2018.


The following table summarizes Citi’s outstanding trust preferred securities at JuneSeptember 30, 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 securities and 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 XVIIIJun. 200799,901
127
3 mo LIBOR + 88.75 bps
50
127
Jun. 28, 2067June 28, 2017Jun. 200799,901
123
3 mo LIBOR + 88.75 bps
50
123
Jun. 28, 2067Jun. 28, 2017
Total obligated  
$2,567
  $2,573
   
$2,563
  $2,569
 

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 JuneSeptember 30, 2019
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)		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, March 31, 2019$(1,115)$(379)$(442)$(6,321)$(28,012)$(39)$(36,308)
Balance, June 30, 2019$(412)$(376)$75
$(6,574)$(27,921)$5
$(35,203)
Other comprehensive income before reclassifications1,050
(14)414
(305)91
44
1,280
566
215
172
(300)(1,442)(10)(799)
Increase (decrease) due to amounts reclassified from AOCI(347)17
103
52
—
—
(175)(259)(5)81
50
—
—
(133)
Change, net of taxes$703
$3
$517
$(253)$91
$44
$1,105
$307
$210
$253
$(250)$(1,442)$(10)$(932)
Balance at June 30, 2019$(412)$(376)$75
$(6,574)$(27,921)$5
$(35,203)
Balance at September 30, 2019$(105)$(166)$328
$(6,824)$(29,363)$(5)$(36,135)
SixNine Months Ended JuneSeptember 30, 2019
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)		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, 2018$(2,250)$192
$(728)$(6,257)$(28,070)$(57)$(37,170)$(2,250)$192
$(728)$(6,257)$(28,070)$(57)$(37,170)
Other comprehensive income before reclassifications2,276
(589)600
(415)149
62
2,083
2,842
(374)772
(715)(1,293)52
1,284
Increase (decrease) due to amounts reclassified from AOCI(438)21
203
98
—
—
(116)(697)16
284
148
—
—
(249)
Change, net of taxes
$1,838
$(568)$803
$(317)$149
$62
$1,967
$2,145
$(358)$1,056
$(567)$(1,293)$52
$1,035
Balance, June 30, 2019$(412)$(376)$75
$(6,574)$(27,921)$5
$(35,203)
Balance at September 30, 2019$(105)$(166)$328
$(6,824)$(29,363)$(5)$(36,135)
Note: Footnotes to the tables above appear on the following page.


Three Months Ended JuneSeptember 30, 2018
In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded Component of fair value hedges (5)
Accumulated
other
comprehensive income (loss)		Net
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded component of fair value hedges(5)
Accumulated
other
comprehensive income (loss)
Balance, March 31, 2018$(2,219)$(793)$(920)$(6,095)$(24,588)$(4)$(34,619)
Balance, June 30, 2018$(2,717)$(475)$(1,021)$(5,794)$(27,455)$(32)$(37,494)
Other comprehensive income before reclassifications(433)316
(36)261
(2,867)(28)(2,787)(603)(294)(114)(14)(221)10
(1,236)
Increase (decrease) due to amounts reclassified from AOCI(65)2
(65)40
—
—
(88)(2)7
40
40
—
—
85
Change, net of taxes$(498)$318
$(101)$301
$(2,867)$(28)$(2,875)$(605)$(287)$(74)$26
$(221)$10
$(1,151)
Balance at June 30, 2018$(2,717)$(475)$(1,021)$(5,794)$(27,455)$(32)$(37,494)
Balance at September 30, 2018$(3,322)$(762)$(1,095)$(5,768)$(27,676)$(22)$(38,645)
SixNine Months Ended JuneSeptember 30, 2018
In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded Component of fair value hedges (5)
Accumulated
other
comprehensive income (loss)		Net
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded component of fair value hedges(5)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2017$(1,158)$(921)$(698)$(6,183)$(25,708)$—
$(34,668)$(1,158)$(921)$(698)$(6,183)$(25,708)$—
$(34,668)
Adjustment to opening balance, net of taxes(6)
(3)—
—
—
—
—
(3)(3)—
—
—
—
—
(3)
Adjusted balance, beginning of period$(1,161)$(921)$(698)$(6,183)$(25,708)$—
$(34,671)$(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)(1,984)123
(512)288
(1,968)(22)(4,075)
Increase (decrease) due to amounts reclassified from AOCI(173)29
(44)87
—
—
(101)(177)36
115
127
—
—
101
Change, net of taxes
$(1,556)$446
$(323)$389
$(1,747)$(32)$(2,823)$(2,161)$159
$(397)$415
$(1,968)$(22)$(3,974)
Balance at June 30, 2018$(2,717)$(475)$(1,021)$(5,794)$(27,455)$(32)$(37,494)
Balance at September 30, 2018$(3,322)$(762)$(1,095)$(5,768)$(27,676)$(22)$(38,645)
(1)Changes in DVA are reflected as a component of AOCI, pursuant to the adoption of 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.
(3)Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.
(4)Primarily reflects the movements in (by order of impact) the Japanese Yen, Mexican Peso,peso, Brazilian real, Euro, Korean won and Polish ZlotyChilean peso against the U.S. dollar and changes in related tax effects and hedges for the three months ended JuneSeptember 30, 2019. Primarily reflects the movements in (by order of impact) the Korean won, Euro, Brazilian real, Mexican Peso, Canadian Dollar, Chilean Peso,peso, and Russian RubleIndian rupee against the U.S. dollar and changes in related tax effects and hedges for the sixnine months ended JuneSeptember 30, 2019. Primarily reflects the movements in (by order of impact) the Mexican peso,Indian rupee, Chinese yuan renminbi, Turkish lira and Brazilian real Euro, and Korean Won against the U.S. dollar and changes in related tax effects and hedges for the three months ended JuneSeptember 30, 2018. Primarily reflects the movements in (by order of impact) the Brazilian real, Indian Rupee,rupee, Australian dollar and Argentine peso and Korean won against the U.S. dollar and changes in related tax effects and hedges for the sixnine months ended JuneSeptember 30, 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.
(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 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.
(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 Retained earnings for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.



The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Three Months Ended JuneSeptember 30, 2019
In millions of dollarsPretaxTax effectAfter-taxPretaxTax effectAfter-tax
Balance, March 31, 2019$(42,904)$6,596
$(36,308)
Balance, June 30, 2019$(41,472)$6,269
$(35,203)
Change in net unrealized gains (losses) on debt securities936
(233)703
419
(112)307
Debt valuation adjustment (DVA)3
—
3
273
(63)210
Cash flow hedges680
(163)517
333
(80)253
Benefit plans(329)76
(253)(356)106
(250)
Foreign currency translation adjustment83
8
91
(1,442)—
(1,442)
Excluded component of fair value hedges59
(15)44
(10)—
(10)
Change$1,432
$(327)$1,105
$(783)$(149)$(932)
Balance, June 30, 2019$(41,472)$6,269
$(35,203)
Balance at September 30, 2019$(42,255)$6,120
$(36,135)
SixNine Months Ended JuneSeptember 30, 2019
In millions of dollarsPretaxTax effectAfter-taxPretaxTax effectAfter-tax
Balance, December 31, 2018$(44,082)$6,912
$(37,170)$(44,082)$6,912
$(37,170)
Change in net unrealized gains (losses) on debt securities2,436
(598)1,838
2,855
(710)2,145
Debt valuation adjustment (DVA)(722)154
(568)(449)91
(358)
Cash flow hedges1,058
(255)803
1,391
(335)1,056
Benefit plans(397)80
(317)(753)186
(567)
Foreign currency translation adjustment152
(3)149
(1,290)(3)(1,293)
Excluded component of fair value hedges83
(21)62
73
(21)52
Change$2,610
$(643)$1,967
$1,827
$(792)$1,035
Balance, June 30, 2019$(41,472)$6,269
$(35,203)
Balance at September 30, 2019$(42,255)$6,120
$(36,135)



Three Months Ended JuneSeptember 30, 2018
In millions of dollarsPretax
Tax effect(1)
After-taxPretax
Tax effect(1)
After-tax
Balance, March 31, 2018$(41,519)$6,900
$(34,619)
Balance, June 30, 2018$(44,407)$6,913
$(37,494)
Change in net unrealized gains (losses) on debt securities(671)173
(498)(810)205
(605)
Debt valuation adjustment (DVA)418
(100)318
(377)90
(287)
Cash flow hedges(132)31
(101)(97)23
(74)
Benefit plans403
(102)301
55
(29)26
Foreign currency translation adjustment(2,869)2
(2,867)(192)(29)(221)
Excluded component of fair value hedges(37)9
(28)13
(3)10
Change$(2,888)$13
$(2,875)$(1,408)$257
$(1,151)
Balance, June 30, 2018$(44,407)$6,913
$(37,494)
Balance at September 30, 2018$(45,815)$7,170
$(38,645)

SixNine Months Ended JuneSeptember 30, 2018
In millions of dollarsPretax
Tax effect(1)
After-taxPretax
Tax effect(1)
After-tax
Balance, December 31, 2017(1)
$(41,228)$6,560
$(34,668)$(41,228)$6,560
$(34,668)
Adjustment to opening balance (2)
(4)1
(3)(4)1
(3)
Adjusted balance, beginning of period$(41,232)$6,561
$(34,671)$(41,232)$6,561
$(34,671)
Change in net unrealized gains (losses) on debt securities(2,051)495
(1,556)(2,861)700
(2,161)
Debt valuation adjustment (DVA)585
(139)446
208
(49)159
Cash flow hedges(422)99
(323)(519)122
(397)
Benefit plans494
(105)389
549
(134)415
Foreign currency translation adjustment(1,739)(8)(1,747)(1,931)(37)(1,968)
Excluded component of fair value hedges(42)10
(32)(29)7
(22)
Change$(3,175)$352
$(2,823)$(4,583)$609
$(3,974)
Balance, June 30, 2018$(44,407)$6,913
$(37,494)
Balance at September 30, 2018$(45,815)$7,170
$(38,645)
(1)
Includes the impact of ASU 2018-02, which transferred amounts from AOCI to Retained earnings. For additional information, see Note 19 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
(2)
Citi adopted ASU 2016-01 and ASU 2018-03 on January 1, 2018. Upon adoption, a cumulative effect adjustment was recorded from AOCI to Retained earnings for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.









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 September 30,Nine Months Ended September 30,
In millions of dollars201920192019
Realized (gains) losses on sales of investments$(468)$(598)$(361)$(959)
Gross impairment losses2
5
13
18
Subtotal, pretax$(466)$(593)$(348)$(941)
Tax effect119
155
89
244
Net realized (gains) losses on investments after-tax(1)
$(347)$(438)$(259)$(697)
Realized DVA (gains) losses on fair value option liabilities$22
$27
$(6)$21
Subtotal, pretax$22
$27
$(6)$21
Tax effect(5)(6)1
(5)
Net realized debt valuation adjustment, after-tax$17
$21
$(5)$16
Interest rate contracts$134
$264
$96
$360
Foreign exchange contracts2
4
2
6
Subtotal, pretax$136
$268
$98
$366
Tax effect(33)(65)(17)(82)
Amortization of cash flow hedges, after-tax(2)
$103
$203
$81
$284
Amortization of unrecognized  
Prior service cost (benefit)$(2)$(6)$(3)$(9)
Net actuarial loss69
134
73
207
Curtailment/settlement impact(3)
2
2
(4)(2)
Subtotal, pretax$69
$130
$66
$196
Tax effect(17)(32)(16)(48)
Amortization of benefit plans, after-tax(3)
$52
$98
$50
$148
Excluded component of fair value hedges, pretax$—
$—
Tax effect—
—
Excluded component of fair value hedges, after-tax$—
$—
Foreign currency translation adjustment$—
$—
$—
$—
Tax effect—
—
—
—
Foreign currency translation adjustment$—
$—
$—
$—
Total amounts reclassified out of AOCI, pretax$(239)$(168)$(190)$(358)
Total tax effect64
52
57
109
Total amounts reclassified out of AOCI, after-tax$(175)$(116)$(133)$(249)
(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 September 30,Nine Months Ended September 30,
In millions of dollars20182018
Realized (gains) losses on sales of investments$(102)$(272)$(69)$(341)
OTTI gross impairment losses15
43
70
109
Subtotal, pretax$(87)$(229)$1
$(232)
Tax effect22
56
(3)55
Net realized (gains) losses on investment securities, after-tax(1)
$(65)$(173)$(2)$(177)
Realized DVA (gains) losses on fair value option liabilities$2
$37
$9
$46
Subtotal, pretax$2
$37
$9
$46
Tax effect—
(8)(2)(10)
Net realized debt valuation adjustment, after-tax$2
$29
$7
$36
Interest rate contracts$(82)$(51)$54
$142
Foreign exchange contracts(4)(6)(2)8
Subtotal, pretax$(86)$(57)$52
$150
Tax effect21
13
(12)(35)
Amortization of cash flow hedges, after-tax(2)
$(65)$(44)$40
$115
Amortization of unrecognized  
Prior service cost (benefit)$(11)$(22)$(10)$(32)
Net actuarial loss64
133
60
193
Curtailment/settlement impact(3)
2
6
—
6
Subtotal, pretax$55
$117
$50
$167
Tax effect(15)(30)(10)(40)
Amortization of benefit plans, after-tax(3)
$40
$87
$40
$127
Foreign currency translation adjustment$—
$—
$—
$—
Tax effect—
—
—
—
Foreign currency translation adjustment$—
$—
$—
$—
Total amounts reclassified out of AOCI, pretax$(116)$(132)$112
$131
Total tax effect28
31
(27)(30)
Total amounts reclassified out of AOCI, after-tax$(88)$(101)$85
$101

(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.




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 2018 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 June 30, 2019As of September 30, 2019
 
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$43,090
$43,090
$—
$—
$—
$—
$—
$—
$42,653
$42,653
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
         
U.S. agency-sponsored114,735
—
114,735
2,920
—
—
71
2,991
117,312
—
117,312
2,934
—
—
73
3,007
Non-agency-sponsored35,021
1,337
33,684
757
—
—
1
758
42,449
1,220
41,229
856
—
—
1
857
Citi-administered asset-backed commercial paper conduits16,419
16,419
—
—
—
—
—
—
14,628
14,628
—
—
—
—
—
—
Collateralized loan obligations (CLOs)19,062
—
19,062
4,945
—
—
8
4,953
17,444
—
17,444
4,557
—
—
—
4,557
Asset-based financing144,436
660
143,776
24,532
842
9,873
—
35,247
155,773
5,315
150,458
23,478
902
9,049
—
33,429
Municipal securities tender option bond trusts (TOBs)7,841
1,623
6,218
13
—
4,085
—
4,098
7,323
1,717
5,606
21
—
3,628
—
3,649
Municipal investments18,479
—
18,479
2,620
4,081
2,809
—
9,510
19,403
—
19,403
2,800
4,258
2,766
—
9,824
Client intermediation1,183
955
228
169
—
—
—
169
1,333
1,269
64
4
—
—
—
4
Investment funds1,054
264
790
15
—
20
—
35
927
199
728
11
—
17
3
31
Other369
2
367
213
—
15
—
228
341
1
340
178
—
32
—
210
Total$401,689
$64,350
$337,339
$36,184
$4,923
$16,802
$80
$57,989
$419,586
$67,002
$352,584
$34,839
$5,160
$15,492
$77
$55,568

 As of December 31, 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$46,232
$46,232
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
        
U.S. agency-sponsored116,563
—
116,563
3,038
—
—
60
3,098
Non-agency-sponsored30,886
1,498
29,388
431
—
—
1
432
Citi-administered asset-backed commercial paper conduits18,750
18,750
—
—
—
—
—
—
Collateralized loan obligations (CLOs)21,837
—
21,837
5,891
—
—
9
5,900
Asset-based financing99,433
628
98,805
21,640
715
9,757
—
32,112
Municipal securities tender option bond trusts (TOBs)7,998
1,776
6,222
9
—
4,262
—
4,271
Municipal investments18,044
3
18,041
2,813
3,922
2,738
—
9,473
Client intermediation858
614
244
172
—
—
2
174
Investment funds1,272
440
832
12
—
1
1
14
Other63
3
60
37
—
23
—
60
Total$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 JuneSeptember 30, 2019 and December 31, 2018 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) 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- 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 $6 billion and $7 billion at JuneSeptember 30, 2019 and December 31, 2018;2018, respectively;
certain representations and warranties exposures in Citigroup residential mortgage securitizations, in 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:
June 30, 2019December 31, 2018September 30, 2019December 31, 2018
In millions of dollars
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Asset-based financing$—
$9,873
$—
$9,757
$—
$9,049
$—
$9,757
Municipal securities tender option bond trusts (TOBs)4,085
—
4,262
—
3,628
—
4,262
—
Municipal investments—
2,809
—
2,738
—
2,766
—
2,738
Investment funds—
20
—
1
—
17
—
1
Other—
15
—
23
—
32
—
23
Total funding commitments$4,085
$12,717
$4,262
$12,519
$3,628
$11,864
$4,262
$12,519

Significant Interests in Unconsolidated VIEs—Balance Sheet Classification
The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs:
In billions of dollarsJune 30, 2019December 31, 2018September 30, 2019December 31, 2018
Cash$—
$—
$—
$—
Trading account assets3.1
3.0
2.9
3.0
Investments10.0
10.7
10.0
10.7
Total loans, net of allowance27.5
24.5
26.6
24.5
Other0.6
0.5
0.5
0.5
Total assets$41.2
$38.7
$40.0
$38.7

Credit Card Securitizations
Substantially all of the Company’s credit card securitization activity is through two2 trusts—Citibank Credit Card Master Trust (Master Trust) and Citibank Omni Master Trust (Omni
 
Trust), with the substantial majority through the Master Trust. These trusts are consolidated entities.
The following table reflects amounts related to the Company’s securitized credit card receivables:
In billions of dollarsJune 30, 2019December 31, 2018September 30, 2019December 31, 2018
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$24.8
$27.3
$21.7
$27.3
Retained by Citigroup as trust-issued securities7.2
7.6
6.3
7.6
Retained by Citigroup via non-certificated interests11.2
11.3
14.8
11.3
Total$43.2
$46.2
$42.8
$46.2

The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:
Three Months Ended June 30,Three Months Ended September 30,
In billions of dollars2019201820192018
Proceeds from new securitizations$—
$1.1
$—
$1.9
Pay down of maturing notes—
(2.6)(3.1)(2.9)

Six Months Ended June 30,Nine Months Ended September 30,
In billions of dollars2019201820192018
Proceeds from new securitizations$—
$3.9
$—
$5.8
Pay down of maturing notes(2.5)(5.4)(5.6)(8.3)


Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was 2.83.0 years as of JuneSeptember 30, 2019 and 3.0 years as of December 31, 2018.



 
In billions of dollarsJun. 30, 2019Dec. 31, 2018Sept. 30, 2019Dec. 31, 2018
Term notes issued to third parties$23.3
$25.8
$20.2
$25.8
Term notes retained by Citigroup affiliates5.3
5.7
4.4
5.7
Total Master Trust liabilities$28.6
$31.5
$24.6
$31.5


Omni Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Omni Trust was 2.21.9 years as of JuneSeptember 30, 2019 and 2.7 years as of December 31, 2018.
In billions of dollarsJun. 30, 2019Dec. 31, 2018Sept. 30, 2019Dec. 31, 2018
Term notes issued to third parties$1.5
$1.5
$1.5
$1.5
Term notes retained by Citigroup affiliates1.9
1.9
1.9
1.9
Total Omni Trust liabilities$3.4
$3.4
$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 June 30,Three Months Ended September 30,
2019201820192018
In billions of dollarsU.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages(1)
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized$1.1
$6.1
$1.0
$1.0
$1.7
$3.8
$1.0
$0.7
Proceeds from new securitizations1.2
6.1
1.1
1.0
1.7
4.0
1.1
0.7
Purchases of previously transferred financial assets0.1
—
0.1
—
—
—
0.1
—
Six Months Ended June 30,Nine Months Ended September 30,
2019201820192018
In billions of dollarsU.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages(1)
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages(1)
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized$2.1
$8.8
$2.2
$1.0
$3.8
$12.6
$3.2
$1.7
Proceeds from new securitizations2.2
8.8
2.3
2.6
3.9
12.8
3.4
3.3
Purchases of previously transferred financial assets0.1
—
0.2
—
0.1
—
0.3
—


Note: Excludes re-securitization transactions.
(1)The principal securitized and proceeds from new securitizations in 2019 include $0.2 billion related to personal loan securitizations.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $5$9 million and $14 million for the three and sixnine months ended JuneSeptember 30, 2019.2019, respectively. For the three and sixnine months ended JuneSeptember 30, 2019, gains recognized on the securitization of non-agency sponsored mortgages were $26$16 million and $43$59 million, respectively.
 
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $6$4 million and $11$15 million for the three and sixnine months ended JuneSeptember 30, 2018, respectively. For the three and six months ended June 30, 2018,There were 0 gains recognized on the securitization of non-agency sponsored mortgages for the three months ended September 30, 2018. Gains recognized on the securitization of non-agency sponsored mortgages were $7 million and $18 million respectively.for the nine months ended September 30, 2018.

June 30, 2019December 31, 2018September 30, 2019December 31, 2018
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
In millions of dollarsU.S. agency-
sponsored mortgages
Senior
interests(3)
Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests		U.S. agency-
sponsored mortgages
Senior
interests(3)
Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Carrying value of retained interests(2)
$487
$804
$63
$564
$300
$51
$461
$812
$99
$564
$300
$51

(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.
(3)Senior interests in non-agency-sponsored mortgages include $168$150 million related to personal loan securitizations at JuneSeptember 30, 2019.



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, 2019
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Weighted average discount rate7.4%3.2%5.3%
Weighted average constant prepayment rate15.7%5.7%5.9%
Weighted average anticipated net credit losses(2)
NM
3.0%3.7%
Weighted average life5.9 years
3.2 years
15.6 years




 Three Months Ended September 30, 2019
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Weighted average discount rate11.4%3.7%4.0%
Weighted average constant prepayment rate14.6%17.6%8.4%
Weighted average anticipated net credit losses(2)
NM
2.6%2.7%
Weighted average life6.6 years
5.4 years
11.0 years

Three Months Ended June 30, 2018Three Months Ended September 30, 2018
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate9.4%3.8%3.5%10.0%4.1%5.6%
Weighted average constant prepayment rate5.7%8.0%8.0%6.2%7.9%8.2%
Weighted average anticipated net credit losses(2)
NM
4.6%4.6%NM
3.6%3.6%
Weighted average life7.7 years
6.7 years
3.4 years
7.2 years
3.6 years
11.4 years
Six Months Ended June 30, 2019Nine Months Ended September 30, 2019
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate7.0%3.5%5.5%8.4%3.6%4.3%
Weighted average constant prepayment rate14.8%5.8%5.9%14.8%11.3%7.8%
Weighted average anticipated net credit losses(2)
NM
4.4%3.7%NM
3.6%2.8%
Weighted average life6.0 years
6.6 years
16.1 years
6.2 years
6.1 years
12.0 years
Six Months Ended June 30, 2018Nine Months Ended September 30, 2018
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate9.9%3.6%3.2%9.9%3.7%4.4%
Weighted average constant prepayment rate5.1%9.8%9.9%5.5%8.8%9.1%
Weighted average anticipated net credit losses(2)
NM
4.9%3.3%NM
4.4%3.4%
Weighted average life7.7 years
6.8 years
3.0 years
7.6 years
5.8 years
6.7 years

(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
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 Key assumptions used to value retained interests, and the sensitivity ofin measuring the fair value to adverse changes of 10% and 20% in eachretained interests at period end or securitization of the key assumptions, are presented in the tables below.
The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.
mortgage receivables were as follows:
 June 30, 2019
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate8.0%7.5%4.9%
Weighted average constant prepayment rate13.1%3.1%4.2%
Weighted average anticipated net credit losses(2)
NM
9.0%—
Weighted average life5.8 years
7.9 years
24.3 years


 September 30, 2019
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate10.2%6.6%7.8%
Weighted average constant prepayment rate11.2%2.4%5.6%
Weighted average anticipated net credit losses(2)
NM
6.2%2.5%
Weighted average life6.2 years
7.1 years
26.6 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
—

(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 sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions, are presented in the tables below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.
June 30, 2019September 30, 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 rate  
Adverse change of 10%$(14)$—
$(1)$(16)$—
$(1)
Adverse change of 20%(27)(1)(1)(31)(1)(1)
Constant prepayment rate  
Adverse change of 10%(23)—
—
(19)—
—
Adverse change of 20%(45)—
—
(36)—
—
Anticipated net credit losses  
Adverse change of 10%NM
—
—
NM
—
—
Adverse change of 20%NM
—
—
NM
—
(1)



 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
—
—

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:
 Liquidation losses Liquidation losses
Securitized assets90 days past dueThree Months Ended June 30,Six Months Ended June 30,Securitized assets90 days past dueThree Months Ended September 30,Nine Months Ended September 30,
In billions of dollars, except liquidation losses in millionsJun. 30, 2019Dec. 31, 2018Jun. 30, 2019Dec. 31, 20182019201820192018Sept. 30, 2019Dec. 31, 2018Sept. 30, 2019Dec. 31, 20182019201820192018
Securitized assets              
Residential mortgage$11.4
$5.2
$0.3
$0.4
$9
$18
$20
$32
Residential mortgages(1)
$11.6
$5.2
$0.3
$0.4
$20
$10
$40
$42
Commercial and other14.4
13.1
—
—
—
—
—
—
17.0
13.1
—
—
—
—
—
—
Total$25.8
$18.3
$0.3
$0.4
$9
$18
$20
$32
$28.6
$18.3
$0.3
$0.4
$20
$10
$40
$42


(1)    Securitized assets include $0.3 billion of personal loan securitizations as of September 30, 2019.

Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $508$472 million and $596$618 million at JuneSeptember 30, 2019 and 2018, respectively. The MSRs correspond to principal loan balances of $60$59 billion and $63$62 billion as of JuneSeptember 30, 2019 and 2018, respectively. The following table summarizes the changes in capitalized MSRs:
 Three Months Ended September 30,
In millions of dollars20192018
Balance, as of June 30$508
$596
Originations19
14
Changes in fair value of MSRs due to changes in inputs and assumptions(35)25
Other changes(1)
(20)(17)
Sales of MSRs—
—
Balance, as of September 30$472
$618
 Three Months Ended June 30,
In millions of dollars20192018
Balance, as of March 31$551
$587
Originations16
15
Changes in fair value of MSRs due to changes in inputs and assumptions(37)11
Other changes(1)
(22)(16)
Sale of MSRs—
(1)
Balance, as of June 30$508
$596
 Nine Months Ended September 30,
In millions of dollars20192018
Balance, beginning of year$584
$558
Originations47
46
Changes in fair value of MSRs due to changes in inputs and assumptions(99)82
Other changes(1)
(60)(50)
Sales of MSRs—
(18)
Balance, as of September 30$472
$618
 Six Months Ended June 30,
In millions of dollars20192018
Balance, beginning of year$584
$558
Originations28
32
Changes in fair value of MSRs due to changes in inputs and assumptions(64)57
Other changes(1)
(40)(33)
Sale of MSRs—
(18)
Balance, as of June 30$508
$596

(1)Represents changes due to customer payments and passage of time.

The fair value of the MSRs is primarily affected by changes in prepayments of mortgages that result from shifts in mortgage interest rates. Specifically, higher interest rates tend to lead to declining prepayments, which causes the fair value of the MSRs to increase. In managing this risk, Citigroup economically hedges a significant portion of the value of its MSRs through the use of interest rate derivative contracts, forward purchase and sale commitments of mortgage-backed securities and purchased securities, all classified as Trading account assets.


The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20192018201920182019201820192018
Servicing fees$35
$43
$76
$89
$36
$41
$112
$130
Late fees2
1
4
2
2
1
6
3
Ancillary fees—
3
1
6
—
1
1
7
Total MSR fees$37
$47
$81
$97
$38
$43
$119
$140


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

Re-securitizations
The Company engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. Citi did not transfer non-agency (private label) securities to re-securitization entities during the quartersthree and nine months ended JuneSeptember 30, 2019 and 2018. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of JuneSeptember 30, 2019, Citi held no0 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 label re-securitization transactions structured by Citi totaled approximately $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 re-securitization transactions in which Citi held a retained interest as of December 31, 2018 was approximately $271 million.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the three and sixnine months ended JuneSeptember 30, 2019, Citi transferred agency securities with a fair value of approximately $6.9$8.9 billion and $14.5$23.4 billion, respectively, to re-securitization entities compared to approximately $6.6$6.8 billion and $13.6$20.4 billion for the three and sixnine months ended JuneSeptember 30, 2018.2018, respectively.
As of JuneSeptember 30, 2019, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.5 billion (including $1.1$1.3 billion related to re-securitization transactions executed in 2019) compared to $2.5 billion as of December 31, 2018 (including $1.4 billion related to re-securitization transactions executed in 2018), which is recorded in Trading account assets. The original fair valuevalues of agency re-securitization transactions in


which Citi holds a retained interest as of JuneSeptember 30, 2019 and December 31, 2018 waswere approximately $69.9$72.9 billion and $70.9 billion, respectively.
As of JuneSeptember 30, 2019 and December 31, 2018, the Company did not consolidate any private label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits
At JuneSeptember 30, 2019 and December 31, 2018, the commercial paper conduits administered by Citi had approximately $16.4$14.6 billion and $18.8 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $16.3$17.2 billion and $14.0 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At JuneSeptember 30, 2019 and December 31, 2018, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 4341 and 53 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 $1.5$1.3 billion and $1.7 billion as of JuneSeptember 30, 2019 and December 31, 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 JuneSeptember 30, 2019 and December 31, 2018, the Company owned $3.5$4.6 billion and $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 three or sixnine months ended JuneSeptember 30, 2019 and 2018. The following table summarizes selected retained interests related to Citigroup CLOs:
In millions of dollarsJun. 30, 2019Dec. 31, 2018Sept. 30, 2019Dec. 31, 2018
Carrying value of retained interests$1,765
$3,142
$1,404
$3,142


All of Citi’s retained interests were held-to-maturity securities as of JuneSeptember 30, 2019 and 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, 2019September 30, 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$28,770
$6,803
$29,539
$6,740
Corporate loans8,701
7,254
7,729
6,210
Hedge funds and equities485
53
445
51
Airplanes, ships and other assets105,820
21,137
112,745
20,428
Total$143,776
$35,247
$150,458
$33,429
 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


Municipal Securities Tender Option Bond (TOB) Trusts
At JuneSeptember 30, 2019 and December 31, 2018, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At JuneSeptember 30, 2019 and December 31, 2018, liquidity agreements provided with respect to customer TOB trusts totaled $4.1$3.6 billion and $4.3 billion, respectively, of which $2.0$1.7 billion and $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 $7.0$7.1 billion and $6.1 billion as of JuneSeptember 30, 2019 and December 31, 2018, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.


19.  DERIVATIVES
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 2018 Annual Report on Form 10-K.
Information pertaining to Citigroup’s derivativederivatives activities, based on notional amounts, is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete 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 instrumentsHedging instruments under
ASC 815		Trading derivative instruments
In millions of dollarsJune 30,
2019		December 31,
2018		June 30,
2019		December 31,
2018		September 30,
2019		December 31,
2018		September 30,
2019		December 31,
2018
Interest rate contracts      
Swaps$301,560
$273,636
$21,499,304
$18,138,686
$303,106
$273,636
$19,412,991
$18,138,686
Futures and forwards—
—
6,717,597
4,632,257
—
—
6,086,806
4,632,257
Written options—
—
2,924,051
3,018,469
—
—
2,425,174
3,018,469
Purchased options—
—
2,645,790
2,532,479
—
—
2,116,884
2,532,479
Total interest rate contracts$301,560
$273,636
$33,786,742
$28,321,891
$303,106
$273,636
$30,041,855
$28,321,891
Foreign exchange contracts      
Swaps$59,644
$57,153
$6,894,570
$6,738,158
$56,006
$57,153
$7,126,361
$6,738,158
Futures, forwards and spot41,395
41,410
5,769,581
5,115,504
37,234
41,410
5,143,659
5,115,504
Written options494
1,726
1,498,054
1,566,717
—
1,726
1,300,917
1,566,717
Purchased options517
2,104
1,519,070
1,543,516
—
2,104
1,332,247
1,543,516
Total foreign exchange contracts$102,050
$102,393
$15,681,275
$14,963,895
$93,240
$102,393
$14,903,184
$14,963,895
Equity contracts        
Swaps$—
$—
$237,294
$217,580
$—
$—
$242,202
$217,580
Futures and forwards—
—
58,086
52,053
—
—
84,711
52,053
Written options—
—
490,146
454,675
—
—
537,389
454,675
Purchased options—
—
361,189
341,018
—
—
377,442
341,018
Total equity contracts$—
$—
$1,146,715
$1,065,326
$—
$—
$1,241,744
$1,065,326
Commodity and other contracts        
Swaps$—
$—
$80,780
$79,133
$—
$—
$77,152
$79,133
Futures and forwards910
802
161,555
146,647
908
802
157,939
146,647
Written options—
—
84,958
62,629
—
—
108,092
62,629
Purchased options—
—
81,833
61,298
—
—
102,829
61,298
Total commodity and other contracts$910
$802
$409,126
$349,707
$908
$802
$446,012
$349,707
Credit derivatives(1)
      
Protection sold$—
$—
$666,733
$724,939
$—
$—
$680,809
$724,939
Protection purchased—
—
747,129
795,649
—
—
773,629
795,649
Total credit derivatives$—
$—
$1,413,862
$1,520,588
$—
$—
$1,454,438
$1,520,588
Total derivative notionals$404,520
$376,831
$52,437,720
$46,221,407
$397,254
$376,831
$48,087,233
$46,221,407


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


The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of JuneSeptember 30, 2019 and December 31, 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 also record a related collateral payable or receivable. As a result, the tables reflect a reduction of approximately $160$200 billion and $100 billion as of JuneSeptember 30, 2019 and December 31, 2018, respectively, of derivative assets and derivative liabilities that previously would have been reported on a gross basis, but are now legally settled and not subject to collateral. The tables also present amounts that are not permitted to be offset, such as security collateral or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.


Derivative Mark-to-Market (MTM) Receivables/Payables
In millions of dollars at June 30, 2019
Derivatives classified in
Trading account assets/liabilities(1)(2)
In millions of dollars at September 30, 2019
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$523
$138
$2,390
$233
Cleared1,262
95
240
160
Interest rate contracts$1,785
$233
$2,630
$393
Over-the-counter$3,372
$684
$1,094
$723
Cleared—
5
—
13
Foreign exchange contracts$3,372
$689
$1,094
$736
Total derivatives instruments designated as ASC 815 hedges$5,157
$922
$3,724
$1,129
Derivatives instruments not designated as ASC 815 hedges  
Over-the-counter$205,779
$183,048
$221,942
$204,714
Cleared5,860
7,317
13,241
12,507
Exchange traded220
163
173
213
Interest rate contracts$211,859
$190,528
$235,356
$217,434
Over-the-counter$126,634
$130,424
$139,748
$140,078
Cleared1,931
1,661
425
1,425
Exchange traded37
56
18
12
Foreign exchange contracts$128,602
$132,141
$140,191
$141,515
Over-the-counter$16,911
$21,437
$17,950
$19,018
Cleared83
53
8
15
Exchange traded10,194
10,304
10,751
11,894
Equity contracts$27,188
$31,794
$28,709
$30,927
Over-the-counter$14,042
$17,212
$12,807
$16,417
Exchange traded698
571
1,087
849
Commodity and other contracts$14,740
$17,783
$13,894
$17,266
Over-the-counter$9,886
$10,721
$9,976
$10,901
Cleared1,101
1,199
1,333
1,460
Credit derivatives$10,987
$11,920
$11,309
$12,361
Total derivatives instruments not designated as ASC 815 hedges$393,376
$384,166
$429,459
$419,503
Total derivatives$398,533
$385,088
$433,183
$420,632
Cash collateral paid/received(3)
$14,134
$14,041
$14,693
$16,494
Less: Netting agreements(4)
(311,423)(311,423)(337,235)(337,235)
Less: Netting cash collateral received/paid(5)
(47,136)(37,933)(52,239)(46,435)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$54,108
$49,773
$58,402
$53,456
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(752)$(110)$(698)$(161)
Less: Non-cash collateral received/paid(13,600)(14,185)(13,255)(14,528)
Total net receivables/payables(6)
$39,756
$35,478
$44,449
$38,767
(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 $52,067$61,128 million and $61,177$68,733 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $37,933$46,435 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $47,136$52,239 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $297$317 billion, $4$9 billion and $10$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 netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)The net receivables/payables include approximately $5 billion of derivative asset and $5 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.


In millions of dollars at December 31, 2018
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilities
Over-the-counter$1,631
$172
Cleared238
53
Interest rate contracts$1,869
$225
Over-the-counter$1,402
$736
Cleared—
4
Foreign exchange contracts$1,402
$740
Total derivatives instruments designated as ASC 815 hedges$3,271
$965
Derivatives instruments not designated as ASC 815 hedges  
Over-the-counter$161,183
$146,909
Cleared8,489
7,594
Exchange traded91
99
Interest rate contracts$169,763
$154,602
Over-the-counter$159,099
$156,904
Cleared1,900
1,671
Exchange traded53
40
Foreign exchange contracts$161,052
$158,615
Over-the-counter$18,253
$21,527
Cleared17
32
Exchange traded11,623
12,249
Equity contracts$29,893
$33,808
Over-the-counter$16,661
$19,894
Exchange traded894
795
Commodity and other contracts$17,555
$20,689
Over-the-counter$6,967
$6,155
Cleared3,798
4,196
Credit derivatives$10,765
$10,351
Total derivatives instruments not designated as ASC 815 hedges$389,028
$378,065
Total derivatives$392,299
$379,030
Cash collateral paid/received(3)
$11,518
$13,906
Less: Netting agreements(4)
(311,089)(311,089)
Less: Netting cash collateral received/paid(5)
(38,608)(29,911)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$54,120
$51,936
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(767)$(164)
Less: Non-cash collateral received/paid(13,509)(13,354)
Total net receivables/payables(6)
$39,844
$38,418
(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 $41,429 million and $52,514 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $29,911 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $38,608 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $296 billion, $4 billion and $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 netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)The net receivables/payables include approximately $5 billion of derivative asset and $7 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.



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

Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20192018201920182019201820192018
Interest rate contracts$35
$(15)$62
$(43)$14
$(22)$76
$(65)
Foreign exchange71
(517)13
13
22
7
35
20
Total$106
$(532)$75
$(30)$36
$(15)$111
$(45)


Fair Value Hedges

Hedging of Benchmark Interest Rate Risk
Citigroup’s fair value hedges are primarily hedges of fixed-rate long-term debt or assets, such as available-for-sale debt securities or loans.
For qualifying fair value hedges of interest rate risk, the changes in the fair value of the derivative and the change in the fair value of the hedged item attributable to the hedged risk are presented within Interest revenue or Interest expense based on whether the hedged item is an asset or a liability.
In the first quarter of 2019, Citigroup executed a last-of-layer hedge, which permits an entity to hedge the interest rate risk of a stated portion of a closed portfolio of 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 hedged item attributable to interest rate risk will be presented in Interest revenue along with the change in the fair value of the hedging instrument.

 
Hedging of Foreign Exchange Risk
Citigroup hedges the change in fair value attributable to foreign exchange rate movements in available-for-sale debt securities and long-term debt that are denominated in currencies other than the functional currency of the entity holding the securities or issuing the debt. The hedging instrument is generally a forward foreign exchange contract or a cross-currency swap contract. Citigroup considers the premium associated with forward contracts (i.e., the differential between the spot and contractual forward rates) as the cost of hedging; this amount is excluded from the assessment of hedge effectiveness and is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in cross-currency basis associated with cross-currency swaps from the assessment of hedge effectiveness and records it in Other comprehensive income.

Hedging of Commodity Price Risk
Citigroup hedges the change in fair value attributable to spot price movements in physical commodities 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 reflects it directly in 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 September 30,Nine Months Ended September 30,
20192018201920182019201820192018
In millions of dollarsOther revenueNet interest revenueOther revenueNet interest revenue
Other
revenue
Net interest revenueOther revenueNet interest revenueOther revenueNet interest revenueOther revenueNet interest revenue
Other
revenue
Net interest revenueOther revenueNet interest revenue
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges                
Interest rate hedges$—
$1,853
$—
$(518)$—
$2,816
$—
$360
$—
$1,363
$—
$(857)$—
$4,179
$—
$(497)
Foreign exchange hedges(180)—
320
—
(12)—
499
—
(1,180)—
(142)—
(1,192)—
(1,502)—
Commodity hedges(172)—
2
—
(102)—
—
—
60
—
(7)—
(42)—
(8)—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges$(352)$1,853
$322
$(518)$(114)$2,816
$499
$360
$(1,120)$1,363
$(149)$(857)$(1,234)$4,179
$(1,510)$(497)
Gain (loss) on the hedged item in designated and qualifying fair value hedges              
Interest rate hedges$—
$(1,783)$—
$520
$—
$(2,662)$—
$(346)$—
$(1,320)$—
$871
$—
$(3,982)$—
$525
Foreign exchange hedges180
—
(347)—
12
—
(596)—
1,180
—
142
—
1,192
—
1,502
—
Commodity hedges172
—
—
—
102
—
1
—
(60)—
8
—
42
—
9
—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$352
$(1,783)$(347)$520
$114
$(2,662)$(595)$(346)$1,120
$(1,320)$150
$871
$1,234
$(3,982)$1,511
$525
Net gain (loss), on the hedging derivatives, excluded from assessment of the effectiveness of fair value hedges       
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges       
Interest rate hedges$—
$(4)$—
$(5)$—
$(4)$—
$(5)$—
$(4)$—
$—
$—
$(8)$—
$(5)
Foreign exchange hedges(2)
(118)—
33
—
(121)—
56
—
25
—
(7)—
(96)—
(2)—
Commodity hedges5
—
1
—
23
—
2
—
11
—
(7)—
34
—
(7)—
Total net gain (loss), on the hedging derivatives, excluded from assessment of the effectiveness of fair value hedges$(113)$(4)$34
$(5)$(98)$(4)$58
$(5)
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges$36
$(4)$(14)$—
$(62)$(8)$(9)$(5)


(1)
Gain (loss) amounts for hedges of interest rate risk are included in Interest income/Interest expense. The accrued interest income on fair value hedges is recorded in Net interest revenue and is excluded from this table.
(2)Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings. Amounts related to cross-currency basis, which are recognized in AOCI, are not reflected in the table above. The amount of cross-currency basis that was included in AOCI was $59$(10) million and $83$73 million for the three and sixnine months ended JuneSeptember 30, 2019 and $(37)$13 million and $(42)$(29) million for the three and sixnine months ended JuneSeptember 30, 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 changes in the hedged risk. The hedge basis adjustment, whether from an active or de-designated hedge relationship, remains with the hedged item until the hedged item is derecognized from the balance sheet. The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at JuneSeptember 30, 2019 and December 31, 2018, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities.
In millions of dollars
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 June 30, 2019 
Debt securities
AFS(1)
$110,515
$360
$628
As of September 30, 2019As of September 30, 2019 
Debt securities
AFS(1)(2)
$107,544
$122
$770
Long-term debt162,894
4,548
1,407
155,524
5,219
2,373
As of December 31, 2018As of December 31, 2018 As of December 31, 2018 
Debt securities
AFS(2)		$81,632
$(196)$295
$81,632
$(196)$295
Long-term
debt		149,054
1,211
869
149,054
1,211
869


(1)These amounts include a cumulative basis adjustment of $172$35 million for active hedges and $176 million for de-designated hedges as of JuneSeptember 30, 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 $2approximately $1.3 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $26.4$25.9 billion as of JuneSeptember 30, 2019) in a last-of-layer hedging relationship, which commenced in the first quarter of 2019.
(2)Carrying amount represents the amortized cost.


Cash Flow Hedges
Citigroup hedges the variability of forecasted cash flows due to changes in contractually specified interest rates associated with floating-rate assets/liabilities and other forecasted transactions. 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.
For cash flow hedges, the entire change in the fair value of the hedging derivative is recognized in AOCI and then reclassified to earnings in the same period that the forecasted hedged cash flows impact earnings. The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of JuneSeptember 30, 2019 is approximately $91$71 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 June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20192018201920182019201820192018
Amount of gain (loss) recognized in AOCI on derivative        
Interest rate contracts(1)
$545 $(222)$799 $(544)$241 $(146)$1,040 $(665)
Foreign exchange contracts(1)5 (9)(1)(6)(3)(15)(4)
Total gain (loss) recognized in AOCI$544 $(217)$790 $(545)$235 $(149)$1,025 $(669)
Amount of gain (loss) reclassified from AOCI to earnings
Other
revenue
Net interest
revenue
Other
revenue

Net interest
revenue

Other
revenue
Net interest
revenue
Other
revenue
Net interest
revenue
Other
revenue
Net interest
revenue
Other
revenue

Net interest
revenue

Other
revenue
Net interest
revenue
Other
revenue
Net interest
revenue
Interest rate contracts(1)
$—
$(134)$—
$(88)$—
$(264)$—
$(119)$—
$(96)$—
$(54)$—
$(360)$—
$(142)
Foreign exchange contracts(2)—
(6)—
(4)—
(4)—
(2)—
2
—
(6)—
(8)—
Total gain (loss) reclassified from AOCI into earnings$(2)$(134)$(6)$(88)$(4)$(264)$(4)$(119)$(2)$(96)$2
$(54)$(6)$(360)$(8)$(142)
Net pretax change in cash flow hedges included within AOCI
$680

$(123) $1,058
 $(422)
$333

$(97) $1,391
 $(519)
(1)
All amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest revenue). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest revenue in the Consolidated Statement of Income.


Net Investment Hedges
The pretax gain (loss) recorded in the foreign currency translation adjustment account within AOCI, related to net investment hedges, is $(134)$394 million and $(298)$96 million for the three and sixnine months ended JuneSeptember 30, 2019 and $1,633$(46) million and $1,143$1,096 million for the three and sixnine months ended JuneSeptember 30, 2018, 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, 2019
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
In millions of dollars at September 30, 2019
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry of counterparty      
Banks$4,748
$4,551
$206,498
$204,392
$4,450
$4,333
$183,263
$188,606
Broker-dealers1,535
1,470
59,717
61,717
1,929
1,634
63,607
63,261
Non-financial77
119
2,323
1,567
93
86
2,917
1,905
Insurance and other financial
institutions
4,627
5,780
478,591
399,057
4,837
6,308
523,842
427,037
Total by industry of counterparty$10,987
$11,920
$747,129
$666,733
$11,309
$12,361
$773,629
$680,809
By instrument      
Credit default swaps and options$10,384
$10,526
$720,153
$655,896
$10,449
$10,438
$749,061
$669,514
Total return swaps and other603
1,394
26,976
10,837
860
1,923
24,568
11,295
Total by instrument$10,987
$11,920
$747,129
$666,733
$11,309
$12,361
$773,629
$680,809
By rating of reference entity      
Investment grade$5,027
$5,281
$590,084
$515,070
$5,992
$5,976
$597,001
$519,575
Non-investment grade5,960
6,639
157,045
151,663
5,317
6,385
176,628
161,234
Total by rating of reference entity$10,987
$11,920
$747,129
$666,733
$11,309
$12,361
$773,629
$680,809
By maturity      
Within 1 year$1,733
$2,493
$240,625
$206,633
$1,504
$2,432
$223,743
$175,978
From 1 to 5 years7,542
7,760
452,460
417,738
7,927
8,170
453,995
418,675
After 5 years1,712
1,667
54,044
42,362
1,878
1,759
95,891
86,156
Total by maturity$10,987
$11,920
$747,129
$666,733
$11,309
$12,361
$773,629
$680,809

(1)The fair value amount receivable is composed of $3,931$4,247 million under protection purchased and $7,056$7,062 million under protection sold.
(2)The fair value amount payable is composed of $8,377$8,551 million under protection purchased and $3,543$3,810 million under protection sold.


 Fair valuesNotionals
In millions of dollars at December 31, 2018
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry of counterparty    
Banks$4,785
$4,432
$214,842
$218,273
Broker-dealers1,706
1,612
62,904
63,014
Non-financial64
87
2,687
1,192
Insurance and other financial
   institutions
4,210
4,220
515,216
442,460
Total by industry of counterparty$10,765
$10,351
$795,649
$724,939
By instrument    
Credit default swaps and options$10,030
$9,755
$771,865
$712,623
Total return swaps and other735
596
23,784
12,316
Total by instrument$10,765
$10,351
$795,649
$724,939
By rating of reference entity    
Investment grade$4,725
$4,544
$637,790
$568,849
Non-investment grade6,040
5,807
157,859
156,090
Total by rating of reference entity$10,765
$10,351
$795,649
$724,939
By maturity    
Within 1 year$2,037
$2,063
$251,994
$225,597
From 1 to 5 years6,720
6,414
493,096
456,409
After 5 years2,008
1,874
50,559
42,933
Total by maturity$10,765
$10,351
$795,649
$724,939

(1)The fair value amount receivable is composed of $5,126 million under protection purchased and $5,639 under protection sold.
(2)The fair value amount payable is composed of $5,882 million under protection purchased and $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 JuneSeptember 30, 2019 and December 31, 2018 was $30$32 billion and $33 billion, respectively. The Company posted $29 billion and $33 billion as collateral for this exposure in the normal course of business as of JuneSeptember 30, 2019 and December 31, 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 three3 major rating agencies as of JuneSeptember 30, 2019, the Company could be required to post an additional $0.7$1.0 billion as either collateral or settlement of the derivative transactions. Additionally, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $0.1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $0.8$0.9 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 $6.0$3.4 billion and $4.1$4.6 billion as of JuneSeptember 30, 2019 and December 31, 2018, respectively.
At JuneSeptember 30, 2019, the fair value of these previously derecognized assets was $6.1$3.4 billion. The fair value of the total return swaps as of JuneSeptember 30, 2019 was $90$31 million recorded as gross derivative assets and $57$13 million recorded as gross derivative liabilities. At December 31, 2018, the fair value of these previously derecognized assets was $4.1$4.5 billion, and the fair value of the total return swaps was $55 million recorded as gross derivative assets and $9$40 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 2018 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 JuneSeptember 30, 2019 and December 31, 2018:
Credit and funding valuation adjustments
contra-liability (contra-asset)
Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsJune 30,
2019		December 31,
2018		September 30,
2019		December 31,
2018
Counterparty CVA$(866)$(1,085)$(866)$(1,085)
Asset FVA(563)(544)(640)(544)
Citigroup (own-credit) CVA375
482
446
482
Liability FVA105
135
119
135
Total CVA—derivative instruments(1)
$(949)$(1,012)$(941)$(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 September 30,Nine Months Ended September 30,
In millions of dollars20192018201920182019201820192018
Counterparty CVA$28
$—
$102
$23
$2
$94
$104
$117
Asset FVA(39)40
(19)49
(78)74
(97)123
Own-credit CVA(13)24
(105)99
85
(75)(20)24
Liability FVA18
22
(30)15
14
(23)(16)(8)
Total CVA—derivative instruments$(6)$86
$(52)$186
$23
$70
$(29)$256
DVA related to own FVO liabilities(1)
$3
$418
$(722)$585
$273
$(377)$(449)$208
Total CVA and DVA(2)
$(3)$504
$(774)$771
$296
$(307)$(478)$464

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




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

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

As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible. The frequency of transactions, the size of the bid-ask spread and the amount of adjustment necessary when comparing similar transactions are all factors in determining the relevance of observed prices in those markets.



Items Measured at Fair Value on a Recurring Basis
The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at JuneSeptember 30, 2019 and December 31, 2018. The Company may hedge positions that have been classified in the Level 3 category with other
 
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, 2019Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
In millions of dollars at September 30, 2019Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets    
Securities borrowed and purchased under agreements to resell$—
$263,499
$122
$263,621
$(85,513)$178,108
$—
$242,754
$118
$242,872
$(94,504)$148,368
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed—
27,036
187
27,223
—
27,223
—
30,684
272
30,956
—
30,956
Residential—
540
131
671
—
671
—
632
164
796
—
796
Commercial—
1,482
53
1,535
—
1,535
—
1,298
212
1,510
—
1,510
Total trading mortgage-backed securities$—
$29,058
$371
$29,429
$—
$29,429
$—
$32,614
$648
$33,262
$—
$33,262
U.S. Treasury and federal agency securities$38,082
$5,231
$—
$43,313
$—
$43,313
$33,269
$5,283
$6
$38,558
$—
$38,558
State and municipal—
2,671
177
2,848
—
2,848
—
3,160
178
3,338
—
3,338
Foreign government59,912
24,133
20
84,065
—
84,065
59,978
20,539
84
80,601
—
80,601
Corporate2,288
14,809
454
17,551
—
17,551
1,987
16,703
406
19,096
—
19,096
Equity securities51,566
9,176
123
60,865
—
60,865
47,371
9,405
111
56,887
—
56,887
Asset-backed securities—
1,735
1,411
3,146
—
3,146
—
1,742
1,337
3,079
—
3,079
Other trading assets(2)
10
10,756
740
11,506
—
11,506
75
13,047
479
13,601
—
13,601
Total trading non-derivative assets$151,858
$97,569
$3,296
$252,723
$—
$252,723
$142,680
$102,493
$3,249
$248,422
$—
$248,422
Trading derivatives
  
  
Interest rate contracts$332
$211,668
$1,644
$213,644
  $61
$235,910
$2,015
$237,986
  
Foreign exchange contracts—
131,595
379
131,974
  1
140,206
1,078
141,285
  
Equity contracts364
26,355
469
27,188
  73
28,330
306
28,709
  
Commodity contracts—
13,717
1,023
14,740
  3
13,087
804
13,894
  
Credit derivatives—
10,291
696
10,987
  —
10,620
689
11,309
  
Total trading derivatives$696
$393,626
$4,211
$398,533
  $138
$428,153
$4,892
$433,183
  
Cash collateral paid(3)
 $14,134
   $14,693
  
Netting agreements $(311,423)  $(337,235) 
Netting of cash collateral received (47,136)  (52,239) 
Total trading derivatives$696
$393,626
$4,211
$412,667
$(358,559)$54,108
$138
$428,153
$4,892
$447,876
$(389,474)$58,402
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$—
$37,829
$31
$37,860
$—
$37,860
$—
$39,170
$31
$39,201
$—
$39,201
Residential—
910
—
910
—
910
—
793
—
793
—
793
Commercial—
115
—
115
—
115
—
85
—
85
—
85
Total investment mortgage-backed securities$—
$38,854
$31
$38,885
$—
$38,885
$—
$40,048
$31
$40,079
$—
$40,079
U.S. Treasury and federal agency securities$101,889
$7,620
$—
$109,509
$—
$109,509
$101,792
$6,441
$—
$108,233
$—
$108,233
State and municipal—
5,144
1,026
6,170
—
6,170
—
5,073
881
5,954
—
5,954
Foreign government64,001
37,662
77
101,740
—
101,740
67,088
38,329
112
105,529
—
105,529
Corporate5,115
7,152
56
12,323
—
12,323
4,826
6,310
47
11,183
—
11,183
Marketable equity securities57
476
—
533
—
533
63
447
—
510
—
510
Asset-backed securities—
559
59
618
—
618
—
500
41
541
—
541
Other debt securities—
4,190
—
4,190
—
4,190
—
3,906
—
3,906
—
3,906
Non-marketable equity securities(4)
—
96
448
544
—
544
—
23
435
458
—
458
Total investments$171,062
$101,753
$1,697
$274,512
$—
$274,512
$173,769
$101,077
$1,547
$276,393
$—
$276,393
Table continues on the next page.


In millions of dollars at June 30, 2019Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
In millions of dollars at September 30, 2019Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$—
$3,405
$419
$3,824
$—
$3,824
$—
$3,541
$315
$3,856
$—
$3,856
Mortgage servicing rights—
—
508
508
—
508
—
—
472
472
—
472
Non-trading derivatives and other financial assets measured on a recurring basis$16,669
$5,928
$—
$22,597
$—
$22,597
$9,262
$6,304
$2
$15,568
$—
$15,568
Total assets$340,285
$865,780
$10,253
$1,230,452
$(444,072)$786,380
$325,849
$884,322
$10,595
$1,235,459
$(483,978)$751,481
Total as a percentage of gross assets(5)
28.0%71.2%0.8%





26.7%72.4%0.9%





Liabilities    
Interest-bearing deposits$—
$1,457
$1,182
$2,639
$—
$2,639
$—
$1,515
$1,142
$2,657
$—
$2,657
Securities loaned and sold under agreements to repurchase—
129,565
1,085
130,650
(85,513)45,137
—
122,222
834
123,056
(70,783)52,273
Trading account liabilities    
Securities sold, not yet purchased73,084
13,372
28
86,484
—
86,484
68,639
13,431
42
82,112
—
82,112
Other trading liabilities—
37
—
37
—
37
—
27
—
27
—
27
Total trading liabilities$73,084
$13,409
$28
$86,521
$—
$86,521
$68,639
$13,458
$42
$82,139
$—
$82,139
Trading derivatives    
Interest rate contracts$211
$188,797
$1,753
$190,761
  $96
$215,848
$1,883
$217,827
  
Foreign exchange contracts—
132,354
476
132,830
  (9)141,233
1,027
142,251
  
Equity contracts296
29,835
1,663
31,794
  223
29,201
1,503
30,927
  
Commodity contracts—
16,907
876
17,783
  —
16,421
845
17,266
  
Credit derivatives—
11,310
610
11,920
  —
11,642
719
12,361
  
Total trading derivatives$507
$379,203
$5,378
$385,088
  $310
$414,345
$5,977
$420,632
  
Cash collateral received(6)
 $14,041
   $16,494
  
Netting agreements $(311,423)  $(337,235) 
Netting of cash collateral paid (37,933)  (46,435) 
Total trading derivatives$507
$379,203
$5,378
$399,129
$(349,356)$49,773
$310
$414,345
$5,977
$437,126
$(383,670)$53,456
Short-term borrowings$—
$5,137
$154
$5,291
$—
$5,291
$—
$4,805
$18
$4,823
$—
$4,823
Long-term debt—
34,550
14,938
49,488
—
49,488
—
35,625
15,866
51,491
—
51,491
Total non-trading derivatives and other financial liabilities measured on a recurring basis$16,669
$129
$1
$16,799
$—
$16,799
$9,262
$235
$3
$9,500
$—
$9,500
Total liabilities$90,260
$563,450
$22,766
$690,517
$(434,869)$255,648
$78,211
$592,205
$23,882
$710,792
$(454,453)$256,339
Total as a percentage of gross liabilities(5)
13.3%83.3%3.4%  11.3%85.3%3.4%  


(1)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)Reflects the net amount of $52,067$61,128 million gross cash collateral paid, of which $37,933$46,435 million was used to offset trading derivative liabilities.
(4)
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).
(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)Reflects the net amount $61,177$68,733 million of gross cash collateral received, of which $47,136$52,239 million was used to offset trading derivative assets.



Fair Value Levels
In millions of dollars at December 31, 2018Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Securities borrowed and purchased under agreements to resell$—
$214,570
$115
$214,685
$(66,984)$147,701
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed—
24,090
156
24,246
—
24,246
Residential—
709
268
977
—
977
Commercial—
1,323
77
1,400
—
1,400
Total trading mortgage-backed securities$—
$26,122
$501
$26,623
$—
$26,623
U.S. Treasury and federal agency securities$26,439
$4,802
$1
$31,242
$—
$31,242
State and municipal—
3,782
200
3,982
—
3,982
Foreign government43,309
21,179
31
64,519
—
64,519
Corporate1,026
14,510
360
15,896
—
15,896
Equity securities36,342
7,308
153
43,803
—
43,803
Asset-backed securities—
1,429
1,484
2,913
—
2,913
Other trading assets(2)
3
12,198
818
13,019
—
13,019
Total trading non-derivative assets$107,119
$91,330
$3,548
$201,997
$—
$201,997
Trading derivatives      
Interest rate contracts$101
$169,860
$1,671
$171,632
  
Foreign exchange contracts—
162,108
346
162,454
  
Equity contracts647
28,903
343
29,893
  
Commodity contracts—
16,788
767
17,555
  
Credit derivatives—
9,839
926
10,765
  
Total trading derivatives$748
$387,498
$4,053
$392,299
  
Cash collateral paid(3)
   $11,518
  
Netting agreements    $(311,089) 
Netting of cash collateral received    (38,608) 
Total trading derivatives$748
$387,498
$4,053
$403,817
$(349,697)$54,120
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$—
$42,988
$32
$43,020
$—
$43,020
Residential—
1,313
—
1,313
—
1,313
Commercial—
172
—
172
—
172
Total investment mortgage-backed securities$—
$44,473
$32
$44,505
$—
$44,505
U.S. Treasury and federal agency securities$107,577
$9,645
$—
$117,222
$—
$117,222
State and municipal—
8,498
708
9,206
—
9,206
Foreign government58,252
42,371
68
100,691
—
100,691
Corporate4,410
7,033
156
11,599
—
11,599
Marketable equity securities

206
14
—
220
—
220
Asset-backed securities—
656
187
843
—
843
Other debt securities—
3,972
—
3,972
—
3,972
Non-marketable equity securities(4)
—
96
586
682
—
682
Total investments$170,445
$116,758
$1,737
$288,940
$—
$288,940
Table continues on the next page.


In millions of dollars at December 31, 2018Level 1Level 2Level 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)$717,353
Total as a percentage of gross assets(5)
26.2%72.9%0.9%   
Liabilities      
Interest-bearing deposits$—
$980
$495
$1,475
$—
$1,475
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(6)
   $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(5)
14.8%82.1%3.1%   


(1)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)Reflects the net amount of $41,429 million of gross cash collateral paid, of which $29,911 million was used to offset trading derivative liabilities.
(4)
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).
(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)Reflects the net amount of $52,514 million of gross cash collateral received, of which $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 sixnine months ended JuneSeptember 30, 2019 and 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, 2019Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2019Jun. 30, 2019Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2019
Assets      
Securities borrowed and
purchased under
agreements to resell
$66
$5
$—
$2
$—
$49
$—
$—
$—
$122
$—
$122
$(5)$—
$—
$—
$51
$—
$—
$(50)$118
$5
Trading non-derivative assets                          
Trading mortgage-
backed securities
      
U.S. government-sponsored agency guaranteed154
6
—
1
(2)42
(1)(13)—
187
4
187
2
—
53
—
70
—
(40)—
272
2
Residential128
10
—
17
(9)61
—
(76)—
131
15
131
8
—
29
(21)65
—
(48)—
164
7
Commercial69
2
—
3
(34)38
—
(25)—
53
(6)53
5
—
127
(3)52
—
(22)—
212
(2)
Total trading mortgage-
backed securities
$351
$18
$—
$21
$(45)$141
$(1)$(114)$—
$371
$13
$371
$15
$—
$209
$(24)$187
$—
$(110)$—
$648
$7
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$(14)$—
$—
$—
$20
$—
$—
$—
$6
$(2)
State and municipal178
—
—
—
—
—
—
(1)—
177
—
177
—
—
1
—
1
—
(1)—
178
—
Foreign government39
2
—
—
—
—
—
(21)—
20
1
20
(12)—
—
—
81
—
(5)—
84
—
Corporate378
255
—
41
(5)109
—
(322)(2)454
55
454
(14)—
111
(17)79
4
(204)(7)406
(45)
Marketable equity securities

127
13
—
(2)—
48
—
(63)—
123
(28)123
(23)—
6
3
53
—
(51)—
111
(16)
Asset-backed securities1,429
20
—
6
(15)242
—
(271)—
1,411
10
1,411
(96)—
31
(8)191
—
(192)—
1,337
(42)
Other trading assets1,042
45
—
2
(135)97
6
(312)(5)740
6
740
(46)—
9
(114)46
17
(163)(10)479
(4)
Total trading non-
derivative assets
$3,544
$353
$—
$68
$(200)$637
$5
$(1,104)$(7)$3,296
$57
$3,296
$(190)$—
$367
$(160)$658
$21
$(726)$(17)$3,249
$(102)
Trading derivatives, net(4)
      
Interest rate contracts$(116)$(68)$—
$(59)$137
$(21)$19
$8
$(9)$(109)$(101)$(109)$295
$—
$(50)$56
$15
$(2)$(9)$(64)$132
$143
Foreign exchange contracts46
(109)—
15
9
—
—
(2)(56)(97)(124)(97)249
—
74
(150)15
—
(36)(4)51
206
Equity contracts(1,345)183
—
(38)100
2
(88)(2)(6)(1,194)193
(1,194)102
—
(32)163
(119)—
(1)(116)(1,197)249
Commodity contracts304
(243)—
9
(4)66
—
(12)27
147
(135)147
(29)—
(5)(49)83
—
(95)(93)(41)32
Credit derivatives34
59
—
(1)(38)—
—
14
18
86
10
86
(78)—
(108)(13)—
—
—
83
(30)(70)
Total trading derivatives,
net(4)
$(1,077)$(178)$—
$(74)$204
$47
$(69)$6
$(26)$(1,167)$(157)$(1,167)$539
$—
$(121)$7
$(6)$(2)$(141)$(194)$(1,085)$560
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, 2019Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2019Jun. 30, 2019Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2019
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$32
$—
$(1)$—
$—
$—
$—
$—
$—
$31
$(1)$31
$—
$—
$—
$—
$—
$—
$—
$—
$31
$—
Residential—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Commercial—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Total investment mortgage-backed securities$32
$—
$(1)$—
$—
$—
$—
$—
$—
$31
$(1)$31
$—
$—
$—
$—
$—
$—
$—
$—
$31
$—
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal910
—
42
11
—
236
—
(173)—
1,026
48
1,026
—
16
—
(153)9
—
(17)—
881
26
Foreign government71
—
5
—
—
17
—
(16)—
77
1
77
—
(1)—
—
56
—
(20)—
112
(2)
Corporate60
—
—
—
—
—
—
(4)—
56
—
56
—
(9)—
—
—
—
—
—
47
—
Marketable equity securities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Asset-backed securities806
—
10
1
(585)—
—
(173)—
59
9
59
—
(8)27
(27)—
—
(10)—
41
—
Other debt securities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities505
—
(2)6
—
3
—
(64)—
448
(12)448
—
(27)13
—
2
—
(1)—
435
(7)
Total investments$2,384
$—
$54
$18
$(585)$256
$—
$(430)$—
$1,697
$45
$1,697
$—
$(29)$40
$(180)$67
$—
$(48)$—
$1,547
$17
Loans$373
$—
$63
$3
$—
$5
$—
$(25)$—
$419
$174
$419
$—
$(5)$20
$(117)$—
$—
$—
$(2)$315
$5
Mortgage servicing rights551
—
(37)—
—
—
16
—
(22)508
(34)508
—
(35)—
—
—
19
—
(20)472
(27)
Other financial assets measured on a recurring basis—
—
9
—
4
—
(3)(4)(6)—
—
—
—
1
6
(6)2
37
(4)(34)2
(7)
Liabilities      
Interest-bearing deposits$1,047
$—
$(39)$2
$(18)$—
$129
$—
$(17)$1,182
$(211)$1,182
$—
$(1)$—
$(20)$—
$33
$—
$(54)$1,142
$14
Securities loaned and sold under agreements to repurchase1,041
(42)—
2
—
—
—
—
—
1,085
(13)1,085
82
—
—
—
—
—
(169)—
834
(8)
Trading account liabilities      
Securities sold, not yet purchased15
(6)—
15
(6)—
—
—
(2)28
(1)28
9
—
20
(1)19
—
(12)(3)42
7
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings170
2
—
—
(25)—
12
—
(1)154
(2)154
4
—
3
(6)—
1
—
(130)18
134
Long-term debt13,734
(819)—
747
(1,360)20
900
(1)79
14,938
(1,023)14,938
(320)—
879
(860)3
651
(1)(64)15,866
(507)
Other financial liabilities measured on a recurring basis—
—
4
5
—
—
—
—
—
1
—
1
—
—
—
—
—
2
—
—
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 in the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at JuneSeptember 30, 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, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2019Dec. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2019
Assets 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities borrowed and purchased under agreements to resell$115
$1
$—
$5
$(4)$94
$—
$—
$(89)$122
$3
$115
$(4)$—
$5
$(4)$145
$—
$—
$(139)$118
$3
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed156
6
—
1
(27)90
(1)(38)—
187
7
156
8
—
54
(27)160
(1)(78)—
272
9
Residential268
11
—
22
(40)130
—
(260)—
131
15
268
19
—
51
(61)195
—
(308)—
164
10
Commercial77
4
—
5
(35)62
—
(60)—
53
(5)77
9
—
132
(38)114
—
(82)—
212
(7)
Total trading mortgage-backed securities$501
$21
$—
$28
$(102)$282
$(1)$(358)$—
$371
$17
$501
$36
$—
$237
$(126)$469
$(1)$(468)$—
$648
$12
U.S. Treasury and federal agency securities$1
$—
$—
$—
$—
$—
$—
$—
$(1)$—
$—
$1
$(14)$—
$—
$—
$20
$—
$—
$(1)$6
$(2)
State and municipal200
(1)—
—
(19)1
—
(4)—
177
—
200
(1)—
1
(19)2
—
(5)—
178
—
Foreign government31
1
—
9
—
3
—
(24)—
20
1
31
(11)—
9
—
84
—
(29)—
84
1
Corporate360
345
—
62
(31)178
(33)(425)(2)454
34
360
331
—
173
(48)257
(29)(629)(9)406
(20)
Marketable equity securities153
3
—
(1)(11)57
—
(78)—
123
(25)153
(20)—
5
(8)110
—
(129)—
111
(48)
Asset-backed securities1,484
(6)—
13
(47)463
—
(496)—
1,411
57
1,484
(102)—
44
(55)654
—
(688)—
1,337
(19)
Other trading assets818
50
—
15
(167)437
10
(414)(9)740
(15)818
4
—
24
(281)483
27
(577)(19)479
(4)
Total trading non-derivative assets$3,548
$413
$—
$126
$(377)$1,421
$(24)$(1,799)$(12)$3,296
$69
$3,548
$223
$—
$493
$(537)$2,079
$(3)$(2,525)$(29)$3,249
$(80)
Trading derivatives, net(4)
      
Interest rate contracts$(154)$(119)$—
$(74)$164
$(15)$31
$8
$50
$(109)$(85)$(154)$176
$—
$(124)$220
$—
$29
$(1)$(14)$132
$(27)
Foreign exchange contracts(6)(49)—
—
24
3
—
(6)(63)(97)(165)(6)200
—
74
(126)18
—
(42)(67)51
(22)
Equity contracts(784)(111)—
(192)109
1
(147)—
(70)(1,194)(338)(784)(9)—
(224)272
(118)(147)(1)(186)(1,197)(153)
Commodity contracts(18)37
—
6
6
120
—
(46)42
147
153
(18)8
—
1
(43)203
—
(141)(51)(41)178
Credit derivatives61
(260)—
(19)194
—
—
14
96
86
(335)61
(338)—
(127)181
—
—
14
179
(30)(355)
Total trading derivatives, net(4)
$(901)$(502)$—
$(279)$497
$109
$(116)$(30)55
$(1,167)$(770)$(901)$37
$—
$(400)$504
$103
$(118)$(171)$(139)$(1,085)$(379)
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$32
$—
$(1)$—
$—
$—
$—
$—
$—
$31
$(3)$32
$—
$(1)$—
$—
$—
$—
$—
$—
$31
$(3)
Residential—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Commercial—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Total investment mortgage-backed securities$32
$—
$(1)$—
$—
$—
$—
$—
$—
$31
$(3)$32
$—
$(1)$—
$—
$—
$—
$—
$—
$31
$(3)
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal708
—
94
14
—
421
—
(211)—
1,026
84
708
—
110
14
(153)430
—
(228)—
881
110
Foreign government68
—
1
—
—
56
—
(48)—
77
1
68
—
—
—
—
112
—
(68)—
112
(2)
Corporate156
—
—
—
(94)—
—
(6)—
56
—
156
—
(9)—
(94)—
—
(6)—
47
—
Marketable equity securities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Asset-backed securities187
—
8
95
(585)550
—
(196)—
59
9
187
—
—
122
(612)550
—
(206)—
41
2
Other debt securities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities586
—
20
6
—
7
—
(150)(21)448
(15)586
—
(7)19
—
9
—
(151)(21)435
2
Total investments$1,737
$—
$122
$115
$(679)$1,034
$—
$(611)$(21)$1,697
$76
$1,737
$—
$93
$155
$(859)$1,101
$—
$(659)$(21)$1,547
$109


 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, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2019Dec. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2019
Loans$277
$—
$108
$128
$(70)$11
$—
$(35)$—
$419
$294
$277
$—
$103
$148
$(187)$11
$—
$(35)$(2)$315
$191
Mortgage servicing rights584
—
(64)—
—
—
28
—
(40)508
(60)584
—
(99)—
—
—
47
—
(60)472
(60)
Other financial assets measured on a recurring basis—
—
25
—
4
—
(5)(8)(16)—
—
—
—
26
6
(2)2
32
(12)(50)2
(65)
Liabilities      
Interest-bearing deposits$495
$—
$(49)$3
$(22)$—
$803
$—
$(146)$1,182
$(182)$495
$—
$(50)$3
$(42)$—
$836
$—
$(200)$1,142
$(201)
Securities loaned and sold under agreements to repurchase983
(38)—
1
4
—
—
1
58
1,085
(24)983
44
—
1
4
—
—
(168)58
834
(35)
Trading account liabilities      
Securities sold, not yet purchased586
118
—
16
(447)—
—
—
(9)28
—
586
127
—
36
(448)19
—
(12)(12)42
10
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings37
25
—
9
(31)—
165
—
(1)154
(2)37
29
—
12
(37)—
166
—
(131)18
130
Long-term debt12,570
(1,226)—
1,624
(2,961)20
6,850
(4)(4,387)14,938
(769)12,570
(1,546)—
2,503
(3,821)23
7,501
(5)(4,451)15,866
(3,337)
Other financial liabilities measured on a recurring basis—
—
4
5
—
—
—
—
—
1
—
—
—
4
5
—
—
2
—
—
3
(9)
(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 in the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at December 31, 2018.September 30, 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 dollarsMar. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2018Jun. 30, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2018
Assets 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities borrowed and purchased under agreements to resell$16
$1
$—
$49
$—
$—
$—
$—
$—
$66
$—
$66
$—
$—
$(1)$—
$(61)$—
$—
$(61)$65
$4
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed206
1
—
3
(41)37
—
(107)—
99
1
99
(2)—
3
(7)38
—
(3)—
128
(2)
Residential143
(17)—
23
(11)45
—
(51)—
132
(4)132
111
—
17
(36)8
—
(17)—
215
(2)
Commercial35
(2)—
7
(2)23
—
(10)—
51
(1)51
(2)—
4
(8)29
—
(17)—
57
(1)
Total trading mortgage-backed securities$384
$(18)$—
$33
$(54)$105
$—
$(168)$—
$282
$(4)$282
$107
$—
$24
$(51)$75
$—
$(37)$—
$400
$(5)
U.S. Treasury and federal agency securities$—
$—
$—
$6
$—
$1
$—
$—
$—
$7
$—
$7
$—
$—
$—
$—
$—
$—
$—
$(1)$6
$—
State and municipal211
4
—
—
—
13
—
(2)—
226
2
226
6
—
—
(52)22
—
(2)—
200
6
Foreign government21
(1)—
—
(5)32
—
(11)—
36
(1)36
27
—
—
(8)4
—
(7)—
52
26
Corporate252
52
—
12
(19)245
—
(22)—
520
248
520
(214)—
24
(15)110
—
(172)—
253
7
Marketable equity securities237
7
—
16
(5)74
—
(36)—
293
30
293
(87)—
7
(21)24
—
(46)—
170
(99)
Asset-backed securities1,597
17
—
27
(32)373
—
(294)—
1,688
(16)1,688
(44)—
20
(39)305
—
(477)—
1,453
(45)
Other trading assets716
(52)—
27
(32)45
—
(158)(4)542
(21)542
78
—
94
(10)185
2
(157)(4)730
53
Total trading non-derivative assets$3,418
$9
$—
$121
$(147)$888
$—
$(691)$(4)$3,594
$238
$3,594
$(127)$—
$169
$(196)$725
$2
$(898)$(5)$3,264
$(57)
Trading derivatives, net(4)
      
Interest rate contracts$(6)$206
$—
$—
$(109)$1
$—
$—
$(6)$86
$270
$86
$10
$—
$(11)$(2)$—
$8
$—
$28
$119
$59
Foreign exchange contracts88
167
—
(12)(5)6
—
(5)—
239
146
239
(16)—
(15)56
4
—
(66)(13)189
(51)
Equity contracts(1,741)34
—
(16)279
4
—
(4)(2)(1,446)469
(1,446)265
—
3
372
3
(15)(3)(93)(914)283
Commodity contracts(1,909)(141)—
4
90
7
—
—
43
(1,906)(118)(1,906)(67)—
44
(16)12
—
(8)136
(1,805)1
Credit derivatives(859)(36)—
(10)14
—
—
—
43
(848)(29)(848)(240)—
(6)7
—
—
—
81
(1,006)(231)
Total trading derivatives, net(4)
$(4,427)$230
$—
$(34)$269
$18
$—
$(9)$78
$(3,875)$738
$(3,875)$(48)$—
$15
$417
$19
$(7)$(77)$139
$(3,417)$61
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$23
$—
$11
$—
$—
$—
$—
$—
$—
$34
$12
$34
$—
$—
$—
$—
$—
$—
$—
$—
$34
$—
Residential—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Commercial5
—
—
1
—
—
—
—
—
6
—
6
—
—
—
(1)—
—
—
—
5
—
Total investment mortgage-backed securities$28
$—
$11
$1
$—
$—
$—
$—
$—
$40
$12
$40
$—
$—
$—
$(1)$—
$—
$—
$—
$39
$—
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal682
—
3
—
(9)111
—
(25)—
762
3
762
—
(10)—
—
17
—
(87)—
682
(7)
Foreign government70
—
(3)1
—
5
—
(19)—
54
(3)54
—
(3)—
(2)45
—
(13)—
81
(3)
Corporate76
—
—
—
(2)—
—
(6)—
68
—
68
—
—
—
(64)—
—
(4)—
—
—
Marketable equity securities1
—
—
—
—
—
—
—
—
1
—
1
—
—
—
—
—
—
—
(1)—
—
Asset-backed securities497
—
(25)1
(2)11
—
(26)—
456
(25)456
—
(6)—
(177)34
—
(23)—
284
(5)
Other debt securities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—


 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, 2018Jun. 30, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2018
Non-marketable equity securities734
—
(54)—
—
—
—
(33)(36)611
(23)611
—
(73)163
—
71
—
(40)1
733
(70)
Total investments$2,088
$—
$(68)$3
$(13)$127
$—
$(109)$(36)$1,992
$(36)$1,992
$—
$(92)$163
$(244)$167
$—
$(167)$—
$1,819
$(85)
Loans$554
$—
$(274)$—
$60
$47
$—
$(6)$—
$381
$40
$381
$—
$(27)$—
$(46)$79
$—
$(3)$(1)$383
$95
Mortgage servicing rights587
—
11
—
—
—
15
(1)(16)596
11
596
—
25
—
—
—
14
—
(17)618
26
Other financial assets measured on a recurring basis13
—
14
—
(11)—
—
(4)(12)—
14
—
—
15
—
—
—
—
(4)(11)—
14
Liabilities      
Interest-bearing deposits$292
$—
$(3)$—
$—
$—
$25
$—
$—
$320
$(6)$320
$—
$14
$—
$—
$—
$—
$—
$(3)$303
$14
Securities loaned and sold under agreements to repurchase857
25
—
—
—
—
96
—
38
966
16
966
(31)—
—
—
—
—
—
—
997
24
Trading account liabilities      
Securities sold, not yet purchased48
(142)—
4
(12)—
—
6
1
189
(50)189
(137)—
28
(55)14
121
(45)(2)387
(90)
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings81
(6)—
3
(21)—
24
—
(3)90
10
90
1
—
—
(18)—
5
—
(37)39
19
Long-term debt13,484
(7)—
815
(540)—
4
—
11
13,781
92
13,781
(231)—
445
(646)—
(42)(1)23
13,791
(298)
Other financial liabilities measured on a recurring basis3
—
(2)1
(5)—
—
—
(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 in the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at JuneSeptember 30, 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)
 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		PurchasesIssuancesSalesSettlementsSept. 30, 2018
Assets 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities borrowed and purchased under agreements to resell$16
$19
$—
$49
$—
$—
$—
$—
$(18)$66
$10
$16
$19
$—
$48
$—
$61
$—
$—
$(79)$65
$10
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed163
2
—
89
(90)153
—
(218)—
99
1
163
—
—
92
(97)191
—
(221)—
128
—
Residential164
5
—
58
(88)91
—
(98)—
132
(4)164
116
—
75
(124)99
—
(115)—
215
(1)
Commercial57
(1)—
11
(37)38
—
(17)—
51
3
57
(3)—
15
(45)67
—
(34)—
57
2
Total trading mortgage-backed securities$384
$6
$—
$158
$(215)$282
$—
$(333)$—
$282
$—
$384
$113
$—
$182
$(266)$357
$—
$(370)$—
$400
$1
U.S. Treasury and federal agency securities$—
$—
$—
$6
$—
$1
$—
$—
$—
$7
$—
$—
$—
$—
$6
$—
$1
$—
$—
$(1)$6
$—
State and municipal274
10
—
—
(44)13
—
(27)—
226
1
274
16
—
—
(96)35
—
(29)—
200
8
Foreign government16
(1)—
2
(5)46
—
(22)—
36
(1)16
26
—
2
(13)50
—
(29)—
52
26
Corporate275
95
—
61
(91)279
—
(99)—
520
251
275
(119)—
85
(106)389
—
(271)—
253
(1)
Marketable equity securities120
82
—
17
(20)242
—
(148)—
293
26
120
(5)—
24
(41)266
—
(194)—
170
(68)
Asset-backed securities1,590
75
—
45
(47)689
—
(664)—
1,688
39
1,590
31
—
65
(86)994
—
(1,141)—
1,453
(6)
Other trading assets615
83
—
85
(42)157
5
(352)(9)542
(11)615
161
—
179
(52)342
7
(509)(13)730
31
Total trading non-derivative assets$3,274
$350
$—
$374
$(464)$1,709
$5
$(1,645)$(9)$3,594
$305
$3,274
$223
$—
$543
$(660)$2,434
$7
$(2,543)$(14)$3,264
$(9)
Trading derivatives, net(4)
      
Interest rate contracts$(422)$587
$—
$5
$(72)$8
$—
$(16)$(4)$86
$529
$(422)$597
$—
$(6)$(74)$8
$8
$(16)$24
$119
$540
Foreign exchange contracts130
105
—
(13)3
7
—
(5)12
239
27
130
89
—
(28)59
11
—
(71)(1)189
52
Equity contracts(2,027)(102)—
(73)751
17
—
(11)(1)(1,446)203
(2,027)163
—
(70)1,123
20
(15)(14)(94)(914)66
Commodity contracts(1,861)(174)—
(43)98
27
—
—
47
(1,906)(32)1,861
(241)—
1
82
39
—
(8)183
(1,805)(70)
Credit derivatives(799)(98)—
(9)12
2
—
1
43
(848)(219)(799)(338)—
(15)19
2
—
1
124
(1,006)(468)
Total trading derivatives, net(4)
$(4,979)$318
$—
$(133)$792
$61
$—
$(31)$97
$(3,875)$508
$(4,979)$270
$—
$(118)$1,209
$80
$(7)$(108)$236
$(3,417)$120
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$24
$—
$10
$—
$—
$—
$—
$—
$—
$34
$(12)$24
$—
$10
$—
$—
$—
$—
$—
$—
$34
$(12)
Residential—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Commercial3
—
2
1
—
—
—
—
—
6
—
3
—
2
1
(1)—
—
—
—
5
—
Total investment mortgage-backed securities$27
$—
$12
$1
$—
$—
$—
$—
$—
$40
$(12)$27
$—
$12
$1
$(1)$—
$—
$—
$—
$39
$(12)
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal737
—
(13)—
(18)140
—
(84)—
762
(22)737
—
(23)—
(18)157
—
(171)—
682
(32)
Foreign government92
—
(4)1
(2)62
—
(95)—
54
(3)92
—
(7)1
(4)107
—
(108)—
81
(3)
Corporate71
—
(1)3
(2)3
—
(6)—
68
—
71
—
(1)3
(66)3
—
(10)—
—
—
Marketable equity securities2
—
—
—
—
—
—
(1)—
1
—
2
—
—
—
—
—
—
(1)(1)—
—
Asset-backed securities827
—
(15)3
(344)11
—
(26)—
456
(25)827
—
(21)3
(521)45
—
(49)—
284
(6)
Other debt securities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities681
—
(103)193
—
86
—
(73)(51)733
(56)
Total investments$2,437
$—
$(143)$201
$(610)$398
$—
$(412)$(52)$1,819
$(109)


Non-marketable equity securities681
—
(30)30
—
15
—
(33)(52)611
(7)
Total investments$2,437
$—
$(51)$38
$(366)$231
$—
$(245)$(52)$1,992
$(69)

 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		PurchasesIssuancesSalesSettlementsSept. 30, 2018
Loans$550
$—
$(255)$—
$59
$51
$—
$(22)$(2)$381
$175
$550
$—
$(282)$—
$13
$130
$—
$(25)$(3)$383
$286
Mortgage servicing rights558
—
57
—
—
—
32
(18)(33)596
57
558
—
82
—
—
—
46
(18)(50)618
83
Other financial assets measured on a recurring basis16
—
22
—
(11)4
12
(4)(39)—
33
16
—
37
—
(11)4
12
(8)(50)—
53
Liabilities      
Interest-bearing deposits$286
$—
$23
$12
$—
$—
$45
$—
$—
$320
$(60)$286
$—
$37
$12
$—
$—
$45
$—
$(3)$303
$(104)
Securities loaned and sold under agreements to repurchase726
39
—
—
—
—
243
—
36
966
29
726
8
—
—
—
—
243
—
36
997
52
Trading account liabilities      
Securities sold, not yet purchased22
(247)—
7
(31)—
—
9
(65)189
(46)22
(384)—
35
(86)14
121
(36)(67)387
(128)
Other trading liabilities5
5
—
—
—
—
—
—
—
—
—
5
5
—
—
—
—
—
—
—
—
—
Short-term borrowings18
1
—
48
(21)—
49
—
(3)90
(9)18
2
—
48
(39)—
54
—
(40)39
22
Long-term debt13,082
(243)—
1,755
(1,304)36
7
(44)6
13,781
(735)13,082
(474)—
2,200
(1,950)36
(35)(45)29
13,791
(1,709)
Other financial liabilities measured on a recurring basis8
—
(2)1
(10)—
2
—
(3)—
(4)8
—
(2)1
(10)—
2
—
(3)—
(9)



(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 in the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at JuneSeptember 30, 2018.
(4)Total Level 3 trading 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, 2018 to JuneSeptember 30, 2019:

•
During the three and sixnine months ended JuneSeptember 30, 2019, transfers of Long-term debt of $0.7$0.9 billion and $1.6$2.5 billion from Level 2 to Level 3, and of $1.4$0.9 billion and $3.0$3.8 billion from Level 3 to Level 2, mainly related to structured debt, reflectingrespectively, reflect changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.observable, related to structured debt.

The following were the significant Level 3 transfers for the period December 31, 2017 to JuneSeptember 30, 2018:

•
During the three and sixnine months ended JuneSeptember 30, 2018, transfers of Long-term debt of $0.8$0.4 billion and $1.8$2.2 billion from Level 2 to Level 3, and of $0.5$0.6 billion and $1.3$2.0 billion from Level 3 to Level 2, mainly related to structured debt, reflectingrespectively, reflect changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.observable, related to structured debt.








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, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of September 30, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets        
Securities borrowed and purchased under agreements to resell$122
Model-basedInterest rate1.77 %3.67%2.90 %$118
Model-basedInterest rate1.58 %3.67%2.78%
Mortgage-backed securities$220
Yield analysisYield1.94 %7.72%3.23 %$337
Price-basedPrice$0.01
$120.00
$90.77
162
Price-basedPrice$15.00
$125.81
$86.87
323
Yield analysisYield2.20 %7.82%3.16%
State and municipal, foreign government, corporate and other debt securities$1,261
Price-basedPrice$—
$1,127.39
$77.56
$1,366
Model-basedPrice35 bps
383 bps
202 bps
1,093
Model-basedCredit spread35bps
470bps
214 bps
619
Price-basedCredit spread$—
$1,148.80
$79.61
Marketable equity securities(5)
$81
Price-basedPrice$0.01
$41,284.00
$5,730.26
$72
Price-basedPrice$—
$41,713.00
$3,396.75
41
Model-basedWAL1 year
1 year
1 year
39
Model-basedWAL0.72 year
0.72 year
0.72 year
  
Recovery
(in millions)
$5,450.00
$5,450.00
$5,450.00
Asset-backed securities$1,429
Price-basedPrice$2.75
$100.00
$78.27
$1,337
Price-basedPrice$3.50
$100.13
$64.52
Non-marketable equities$262
Comparables analysisEBITDA multiples8.10x
19.40x
11.72x
$248
Comparables analysisEBITDA multiples6.50x
17.00x
10.73x
152
Price-basedPrice$8.18
$1,540.00
$773.53
  Appraised value$381,810
$33,710,000
$14,639,552
154
Price-basedPrice$—
$1,472.84
$748.70
  Discount to price— %10.00%2.30 %  Appraised value308,065
32,289,321
8,609,001

 Revenue multiple3.15x
26.12x
11.76x
  Discount to price— %10.00%2.52%
Derivatives—gross(6)
      
Interest rate contracts (gross)$3,307
Model-basedInflation volatility0.22 %2.67%0.79 %$3,898
Model-basedMean reversion1.00 %20.00%10.50%
  Mean reversion1.00 %20.00%10.50 %  Inflation volatility0.22 %2.74%0.80%
  IR Normal volatility0.15 %80.37%49.53 %  IR normal volatility0.20 %0.87%0.54%
Foreign exchange contracts (gross)$796
Model-basedFX volatility3.09 %15.04%9.83 %$2,105
Model-basedFX rate$0.01
$143.81
$53.46

 IR-IR correlation(51.00)%40.00%33.10 %
 FX volatility5.82 %12.16%10.60%
  IR-FX correlation40.00 %60.00%50.00 %  Interest rate0.04 %159.05%18.73%
  Interest rate4.50 %11.33%9.24 %
  IR Normal volatility— %80%24 %
  Credit Spread32bps
535bps
381bps
Equity contracts (gross)(7)
$2,130
Model-basedEquity volatility2.87 %88.26%48.13 %$1,809
Model-basedEquity volatility3.10 %58.87%29.73%
  Forward price59.57 %129.82%119.02 %
  Equity-Equity correlation(48.61)%98.11%72.94 %
  Equity-FX correlation(75.00)%37.27%(20.58)%  Forward price57.68 %100.64%89.68%
Commodity and other contracts (gross)$1,900
Model-basedForward price26.15 %343.40%111.96 %$1,649
Model-basedForward price60.29 %689.42%149.58%
  Commodity volatility10.08 %93.16%24.97 %  Commodity volatility9.75 %78.50%24.70%
  Commodity correlation(40.55)%89.50%45.81 %  Commodity correlation(45.00)%88.13%60.21%
Credit derivatives (gross)$708
Model-basedUpfront points4.99 %99.77%58.34 %$840
Model-basedUpfront points5.91 %99.00%56.09%
597
Price-basedCredit correlation25.00 %85.00%43.66 %568
Price-basedCredit spread8 bps
280 bps
70 bps
  Credit spread4bps
334bps
70bps
  Credit correlation25.00 %85.00%43.52%
  Price$12.00
$98.00
$69.20
  Price$20.04
$100.00
$82.46
  Recovery rate20 %65%46%


As of June 30, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
  Recovery rate20.00 %60.00%41.00 %
As of September 30, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Loans and leases$379
Model-basedEquity volatility27 %37%32 %$315
Model-basedCredit spread17 bps
94 bps
85 bps


 Credit spread110bps
110bps
110bps


 Equity volatility3.00 %63.00%30.11%
  Yield— %—%— %  Yield— %—%—%
Mortgage servicing rights$424
Cash flowYield4.77 %16.26%8.00 %$395
Cash flowYield1.95 %12.00%9.88%
83
Model-basedWAL3.4 years
7.1 years
5.8 years
77
Model-basedWAL3.76 years
7.81 years
6.18 years
Liabilities      
Interest-bearing deposits$1,182
Model-basedMean reversion1.00 %20.00%10.50 %$1,142
Model-basedMean reversion1.00 %20.00%10.50%
Securities loaned and sold under agreement to repurchase$1,085
Model-basedInterest rate1.77 %2.53%2.01 %$834
Model-basedInterest rate1.58 %2.10%1.70%
Trading account liabilities      
Securities sold, not yet purchased$27
Price-basedPrice$—
$2,164.17
$86.14
$38
Price-basedPrice$—
$865.86
$104.74
4
Model-based 
Short-term borrowings and long-term debt$15,232
Model-basedMean reversion1.00 %20.00%10.50 %$15,884
Model-basedMean reversion1.00 %20.00%10.50%
  Forward price26.15 %343.40%118.53 %  Forward price57.68 %689.42%96.18%
  IR Normal volatility0.15 %80.37%44.02 %  IR normal volatility0.20 %0.87%0.48%
As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)

High(2)(3)
Weighted
average(4)
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)

High(2)(3)
Weighted
average(4)
Assets   
    
 
Securities borrowed and purchased under agreements to resell$115
Model-basedInterest rate2.52 %7.43%5.08 %$115
Model-basedInterest rate2.52 %7.43%5.08 %
Mortgage-backed securities$313
Price-basedPrice$11.25
$110.35
$90.07
$313
Price-basedPrice$11.25
$110.35
$90.07
198
Yield analysisYield2.27 %8.70%3.74 %198
Yield analysisYield2.27 %8.70%3.74 %
State and municipal, foreign government, corporate and other debt securities$1,212
Price-basedPrice$—
$103.75
$91.39
$1,212
Price-basedPrice$—
$103.75
$91.39
938
Model-basedCredit spread35 bps
446 bps
238 bps
938
Model-basedCredit spread35 bps
446 bps
238 bps
Marketable equity securities(5)
$108
Price-basedPrice$—
$20,255.00
$1,247.85
$108
Price-basedPrice$—
$20,255.00
$1,247.85
45
Model-basedWAL1.47years
1.47years
1.47years
45
Model-basedWAL1.47 years
1.47 years
1.47 years
Asset-backed securities$1,608
Price-basedPrice$2.75
$101.03
$66.18
$1,608
Price-basedPrice$2.75
$101.03
$66.18
Non-marketable equity$293
Comparables analysisDiscount to price— %100.00%0.66 %$293
Comparables analysisDiscount to price— %100.00%0.66 %
255
Price-basedEBITDA multiples5.00x
34.00x
9.73x
255
Price-basedEBITDA multiples5.00x
34.00x
9.73x


 Net operating income multiple24.70x
24.70x
24.70x


 Net operating income multiple24.70x
24.70x
24.70x
  Price$2.38
$1,073.80
$420.24
  Price$2.38
$1,073.80
$420.24
  Revenue multiple2.25x
16.50x
7.06x
  Revenue multiple2.25x
16.50x
7.06x
Derivatives—gross(6)

 



 


Interest rate contracts (gross)$3,467
Model-basedMean reversion1.00 %20.00%10.50 %$3,467
Model-basedMean reversion1.00 %20.00%10.50 %
  Inflation volatility0.22 %2.65%0.77 %  Inflation volatility0.22 %2.65%0.77 %
  IR Normal volatility0.16 %86.31%56.24 %  IR normal volatility0.13 %0.86%0.56 %
Foreign exchange contracts (gross)$626
Model-basedForeign exchange (FX) volatility3.15 %17.35%11.37 %$626
Model-basedForeign exchange (FX) volatility3.15 %17.35%11.37 %
73
Cash flowIR-IR correlation(51.00)%40.00%32.69 %73
Cash flowIR-IR correlation(51.00)%40.00%32.69 %
  IR-FX correlation40.00 %60.00%50.00 %  IR-FX correlation40.00 %60.00%50.00 %


 Credit spread39bps
676bps
423bps


 Credit spread39 bps
676 bps
423 bps
  IR basis(0.65)%0.11%(0.17)%  IR basis(0.65)%0.11%(0.17)%
  Yield6.98 %7.48%7.23 %  Yield6.98 %7.48%7.23 %
Equity contracts (gross)(7)
$1,467
Model-basedEquity volatility3.00 %78.39%37.53 %$1,467
Model-basedEquity volatility3.00 %78.39%37.53 %


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

High(2)(3)
Weighted
average(4)
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)

High(2)(3)
Weighted
average(4)
  Forward price64.66 %144.45%98.55 %  Forward price64.66 %144.45%98.55 %
  Equity-Equity correlation(81.39)%100.00%35.49 %  Equity-Equity correlation(81.39)%100.00%35.49 %
  Equity-FX correlation(86.27)%70.00%(1.20)%  Equity-FX correlation(86.27)%70.00%(1.20)%


 WAL1.47 years
1.47 years
1.47 years


 WAL1.47 years
1.47 years
1.47 years
Commodity contracts (gross)$1,552
Model-basedForward price15.30 %585.07%145.08 %$1,552
Model-basedForward price15.30 %585.07%145.08 %
  Commodity volatility8.92 %59.86%20.34 %  Commodity volatility8.92 %59.86%20.34 %


 Commodity correlation(51.90)%92.11%40.71 %

 Commodity correlation(51.90)%92.11%40.71 %
Credit derivatives (gross)$1,089
Model-basedCredit correlation5.00 %85.00%41.06 %$1,089
Model-basedCredit correlation5.00 %85.00%41.06 %
701
Price-basedUpfront points7.41 %99.04%58.95 %701
Price-basedUpfront points7.41 %99.04%58.95 %
  Credit spread2 bps
1,127 bps
87 bps
  Credit spread2 bps
1,127 bps
87 bps
  Recovery rate5.00 %65.00%46.40 %  Recovery rate5.00 %65.00%46.40 %
  Price$16.59
$98.00
$81.19
  Price$16.59
$98.00
$81.19
Loans and leases$248
Model-basedCredit spread138 bps
255 bps
147 bps
$248
Model-basedCredit spread138 bps
255 bps
147 bps
29
Price-basedYield0.30 %0.47%0.32 %29
Price-basedYield0.30 %0.47%0.32 %
  Price$55.83
$110.00
$92.40
  Price$55.83
$110.00
$92.40
Mortgage servicing rights$500
Cash flowYield4.60 %12.00%7.79 %$500
Cash flowYield4.60 %12.00%7.79 %
84
Model-basedWAL3.55 years
7.45 years
6.39 years
84
Model-basedWAL3.55 years
7.45 years
6.39 years
Liabilities      
Interest-bearing deposits$495
Model-basedMean reversion1.00 %20.00%10.50 %$495
Model-basedMean reversion1.00 %20.00%10.50 %
  Forward price64.66 %144.45%98.55 %  Forward price64.66 %144.45%98.55 %


 Equity volatility3.00 %78.39%43.49 %

 Equity volatility3.00 %78.39%43.49 %
Securities loaned and sold under agreements to repurchase$983
Model-basedInterest rate2.52 %3.21%2.87 %$983
Model-basedInterest rate2.52 %3.21%2.87 %
Trading account liabilities      
Securities sold, not yet purchased$509
Model-basedForward price15.30 %585.07%105.69 %$509
Model-basedForward price15.30 %585.07%105.69 %
77
Price-basedEquity volatility3.00 %78.39%43.49 %77
Price-basedEquity volatility3.00 %78.39%43.49 %
  Equity-Equity correlation(81.39)%100.00%34.04 %  Equity-Equity correlation(81.39)%100.00%34.04 %
  Equity-FX correlation(86.27)%70.00%(1.20)%  Equity-FX correlation(86.27)%70.00%(1.20)%
  Commodity volatility8.92 %59.86%20.34 %  Commodity volatility8.92 %59.86%20.34 %
  Commodity correlation(51.90)%92.11%40.71 %  Commodity correlation(51.90)%92.11%40.71 %
  Equity-IR correlation(40.00)%70.37%30.80 %  Equity-IR correlation(40.00)%70.37%30.80 %
Short-term borrowings and long-term debt$12,289
Model-basedMean reversion1.00 %20.00%10.50 %$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 %
  Forward price64.66 %144.45%98.58 %  Equity volatility3.00 %78.39%43.24 %
  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 securities that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for the identical or similar investment of the same issuer. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market value.
The following tables present the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded:
In millions of dollarsFair valueLevel 2Level 3Fair valueLevel 2Level 3
June 30, 2019  
September 30, 2019  
Loans HFS(1)
$3,634
$2,391
$1,243
$4,824
$2,974
$1,850
Other real estate owned50
37
13
23
6
17
Loans(2)
482
172
310
404
94
310
Non-marketable equity securities measured using the measurement alternative125
108
17
152
152
—
Total assets at fair value on a nonrecurring basis$4,291
$2,708
$1,583
$5,403
$3,226
$2,177

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

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




Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements
The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements:

As of June 30, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
As of September 30, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$839
Price-basedPrice$82.90
$100.00
$96.67
$1,854
Price-basedPrice$86.00
$100.00
$98.89
Other real estate owned$9
Price-based
Appraised value(4)
$2,953,240
$8,394,102
$6,978,072
$13
Price-based
Appraised value(4)
$2,196,044
$8,394,102
$5,627,285
3
Recovery analysis  
Loans(5)
62
Price-basedPrice2.65
63.00
30.48
$128
Price-basedPrice$2.40
$57.00
$28.91
59
Recovery analysisRecovery rate85.25%99.50%95.60%123
Recovery analysisRecovery Rate0.09%88.60%47.58%
35
Cash flowAppraised value$17,521,218$43,646,426$30,583,822
Non-marketable equity securities measured using the measurement alternative$17
Price-basedPrice$13.78
$13.78
$13.78

Price-basedPrice$13.36
$13.36
$13.36

As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$1,729
Price-basedPrice$0.79
$100.00
$69.52
$1,729
Price-basedPrice$80.90
$100.00
$98.47
Other real estate owned$15
Price-based
Appraised value(4)
$8,394,102
$8,394,102
$8,394,102
$15
Price-based
Appraised value(4)
$8,394,102
$8,394,102
$8,394,102
2
Recovery analysis
Discount to price(6)
13.00%13.00%13.00%2
Recovery analysis
Discount to price(6)
13.00%13.00%13.00%


 Price$56.30
$83.08
$58.27


 Price$56.30
$83.08
$58.27
Loans(6)
$251
Recovery analysisRecovery rate30.60%100.00%50.51%$251
Recovery analysisRecovery rate30.60%100.00%50.51%


 Price$2.60
$85.04
$28.21


 Price$2.60
$85.04
$28.21
Non-marketable equity securities measured using the measurement alternative$66
Price-basedPrice$45.80
$1,514.00
$570.26
$66
Price-basedPrice$45.80
$1,514.00
$570.26

(1)The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)Some inputs are shown as zero due to rounding.
(3)Weighted averages are calculated based on the fair values of the instruments.
(4)Appraised values are disclosed in whole dollars.
(5)Represents impaired loans held for investment whose carrying 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 tables 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,Three Months Ended September 30,
In millions of dollars2019201820192018
Loans HFS$(14)$(7)$(12)$(1)
Other real estate owned(1)(1)(1)(1)
Loans(1)
(44)(33)(41)(22)
Non-marketable equity securities measured using the measurement alternative

4
(1)18
7
Total nonrecurring fair value gains (losses)$(55)$(42)$(36)$(17)
(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,Nine Months Ended September 30,
In millions of dollars2019201820192018
Loans HFS$(1)$(8)$—
$8
Other real estate owned—
(1)(2)(2)
Loans(1)
(62)(33)(50)(51)
Non-marketable equity securities measured using the measurement alternative65
104
83
111
Total nonrecurring fair value gains (losses)$2
$62
$31
$66
(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, 2019Estimated fair valueSeptember 30, 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$74.4
$75.3
$1.9
$71.0
$2.4
$81.1
$82.6
$1.9
$78.7
$2.0
Securities borrowed and purchased under agreements to resell81.7
81.7
—
81.5
0.2
112.8
115.7
—
115.6
0.1
Loans(1)(2)
670.9
675.6
—
9.6
666.0
673.9
680.4
—
—
680.4
Other financial assets(2)(3)
281.0
281.4
187.6
15.6
78.2
301.3
301.5
204.0
16.4
81.1
Liabilities  
Deposits$1,043.0
$1,039.8
$—
$837.5
$202.3
$1,085.1
$1,077.9
$—
$874.3
$203.6
Securities loaned and sold under agreements to repurchase136.0
136.0
—
136.0
—
142.8
142.8
—
142.8
—
Long-term debt(4)
202.6
212.2
—
197.8
14.4
190.7
200.9
—
185.8
15.1
Other financial liabilities(5)
121.8
121.8
—
20.2
101.6
113.2
113.2
—
18.2
95.0

 December 31, 2018Estimated fair value
 
Carrying
value
Estimated
fair value
   
In billions of dollarsLevel 1Level 2Level 3
Assets     
Investments$68.9
$68.5
$1.0
$65.4
$2.1
Securities borrowed and purchased under agreements to resell123.0
123.0
—
121.6
1.4
Loans(1)(2)
667.1
666.9
—
5.6
661.3
Other financial assets(2)(3)
249.7
250.1
172.3
15.8
62.0
Liabilities     
Deposits$1,011.7
$1,009.5
$—
$847.1
$162.4
Securities loaned and sold under agreements to repurchase133.3
133.3
—
133.3
—
Long-term debt(4)
193.8
193.7
—
178.4
15.3
Other financial liabilities(5)
103.8
103.8
—
17.2
86.6
(1)
The carrying value of loans is net of the Allowance for loan losses of $12.5 billion for JuneSeptember 30, 2019 and $12.3 billion for December 31, 2018. In addition, the carrying values exclude $1.5$1.4 billion and $1.6 billion of lease finance receivables at JuneSeptember 30, 2019 and December 31, 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 JuneSeptember 30, 2019 and December 31, 2018 were liabilities of $8.0$7.1 billion and $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 otherwise be revoked once an election is made. The changes in
 
changes in fair value are recorded in current earnings, other than DVA, which from January 1, 2016 areis 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)Changes in fair value—gains (losses)
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20192018201920182019201820192018
Assets      
Securities borrowed and purchased under agreements to resell$6
$19
$35
$3
$(14)$(17)$21
$(14)
Trading account assets45
(85)212
(101)2
3
214
(98)
Investments—
—
—
—
—
—
—
—
Loans        
Certain corporate loans(80)(3)(213)(126)(320)11
(533)(115)
Certain consumer loans—
—
—
—
—
—
—
—
Total loans$(80)$(3)$(213)$(126)$(320)$11
$(533)$(115)
Other assets        
MSRs$(37)$11
$(64)$57
$(35)$25
$(99)$82
Certain mortgage loans HFS(1)
21
10
37
12
30
9
67
21
Total other assets$(16)$21
$(27)$69
$(5)$34
$(32)$103
Total assets$(45)$(48)$7
$(155)$(337)$31
$(330)$(124)
Liabilities        
Interest-bearing deposits$(43)$10
$(134)$38
$(24)$(20)$(158)$18
Securities loaned and sold under agreements to repurchase51
(15)86
(126)172
230
258
104
Trading account liabilities2
(15)13
(21)8
25
21
4
Short-term borrowings(2)
94
(59)(81)118
102
20
21
138
Long-term debt(2)
(1,113)921
(3,794)1,539
(225)(270)(4,019)1,269
Total liabilities$(1,009)$842
$(3,910)$1,548
$33
$(15)$(3,877)$1,533

(1)Includes gains (losses) associated with interest rate lock commitments for those loans that have been originated and elected under the fair value option.
(2)Includes DVA that is included in AOCI. See Notes 17 and 20 to the Consolidated Financial Statements.


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. 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 debt and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads.
The estimated changes in the fair value of these non-derivative liabilities due to such changes in the Company’s own credit spread (or instrument-specific credit risk) were gainsa gain of $3$273 million and $418a loss of $377 million for the three months ended JuneSeptember 30, 2019 and 2018, respectively, and a loss of $722$449 million and a gain of $585$208 million for the sixnine months ended JuneSeptember 30, 2019 and 2018, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.

The Fair Value Option for Financial Assets and Financial Liabilities

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

Certain Loans and Other Credit Products
Citigroup has also elected the fair value option for certain other originated and purchased loans, including certain unfunded loan products, such as guarantees and letters of credit, executed by Citigroup’s lending and trading businesses. None of these credit products are highly leveraged financing commitments. Significant groups of transactions include loans and unfunded loan products that are expected to be either sold or securitized in the near term, or transactions where the economic risks are hedged with derivative instruments, such as purchased credit default swaps or total return swaps where the Company pays the total return on the underlying loans to a third party. Citigroup has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. Fair value was not elected for most lending transactions across the Company.
The following table provides information about certain credit products carried at fair value:
June 30, 2019December 31, 2018September 30, 2019December 31, 2018
In millions of dollarsTrading assetsLoansTrading assetsLoansTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$8,448
$3,824
$10,108
$3,224
$8,752
$3,856
$10,108
$3,224
Aggregate unpaid principal balance in excess of (less than) fair value410
779
435
741
463
565
435
741
Balance of non-accrual loans or loans more than 90 days past due—
1
—
1
—
1
—
1
Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due—
—
—
—
—
1
—
—



In addition to the amounts reported above, $1,057$1,062 million and $1,137 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of JuneSeptember 30, 2019 and December 31, 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 sixnine months ended JuneSeptember 30, 2019 and 2018 due to instrument-specific credit risk totaled to a gain of $53$95 million and a loss of $20$13 million, respectively.

Certain Investments in Unallocated Precious Metals
Citigroup invests in unallocated precious metals accounts (gold, silver, platinum and palladium) as part of its commodity and foreign currency trading activities or to economically hedge certain exposures from issuing structured liabilities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity forward derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the debt host contract within Trading account assets on the Company’s Consolidated Balance Sheet. The total carrying amount of debt host contracts across unallocated precious metals accounts was approximately $0.8$0.9 billion and $0.4 billion at JuneSeptember 30, 2019 and December 31, 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 JuneSeptember 30, 2019, there were approximately $9.6$15.2 billion and $7.2$10.6 billion of notional amounts of such forward purchase and forward sale derivative contracts outstanding, respectively.

 
Certain Investments in Private Equity and
Real Estate Ventures
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.

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 dollarsJune 30,
2019		December 31, 2018September 30,
2019		December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet$648
$556
$730
$556
Aggregate fair value in excess of (less than) unpaid principal balance21
21
19
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—
—
—
—



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 sixnine months ended JuneSeptember 30, 2019 and 2018 due to instrument-specific credit risk. Related interest income continues to be measured based on the contractual interest rates and reported as Interest revenue in the Consolidated Statement of Income.
 
Certain Structured Liabilities
The Company has elected the fair value option for certain structured liabilities whose performance is linked to structured interest rates, inflation, currency, equity, referenced credit or commodity risks. The Company elected the fair value option because these exposures are considered to be trading-related positions and, therefore, are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives (Trading account liabilities) on the Company’s Consolidated Balance Sheet according to their legal form.
The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument:
In billions of dollarsJune 30, 2019December 31, 2018September 30, 2019December 31, 2018
Interest rate linked$21.5
$17.3
$22.4
$17.3
Foreign exchange linked1.0
0.5
0.9
0.5
Equity linked19.5
14.8
20.1
14.8
Commodity linked1.2
1.2
1.5
1.2
Credit linked1.9
1.9
1.9
1.9
Total$45.1
$35.7
$46.8
$35.7

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. The portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value will continue to be reported in Principal transactions.
Interest expense on non-structured liabilities is measured based on the contractual interest rates and reported as Interest expense in the Consolidated Statement of Income.

The following table provides information about long-term debt carried at fair value:
In millions of dollarsJune 30, 2019December 31, 2018September 30, 2019December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet$49,488
$38,229
$51,491
$38,229
Aggregate unpaid principal balance in excess of (less than) fair value1,357
3,814
1,073
3,814

The following table provides information about short-term borrowings carried at fair value:
In millions of dollarsJune 30, 2019December 31, 2018September 30, 2019December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet$5,291
$4,483
$4,823
$4,483
Aggregate unpaid principal balance in excess of (less than) fair value729
861
742
861



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 2018 Annual Report on Form 10-K.
The following tables present information about Citi’s guarantees at JuneSeptember 30, 2019 and December 31, 2018:

Maximum potential amount of future payments Maximum potential amount of future payments 
In billions of dollars at June 30, 2019
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
In billions of dollars at September 30, 2019
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$32.9
$66.2
$99.1
$132
$32.6
$62.6
$95.2
$131
Performance guarantees7.7
4.3
12.0
27
7.6
4.4
12.0
23
Derivative instruments considered to be guarantees39.3
63.6
102.9
413
40.2
63.8
104.0
358
Loans sold with recourse—
1.3
1.3
8
—
1.3
1.3
8
Securities lending indemnifications(1)
105.3
—
105.3
—
101.5
—
101.5
—
Credit card merchant processing(1)(2)
90.0
—
90.0
—
91.1
—
91.1
—
Credit card arrangements with partners0.1
0.8
0.9
136
0.1
0.6
0.7
23
Custody indemnifications and other—
31.7
31.7
41
—
31.5
31.5
41
Total$275.3
$167.9
$443.2
$757
$273.1
$164.2
$437.3
$584
 Maximum potential amount of future payments 
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$32.1
$67.5
$99.6
$131
Performance guarantees7.7
4.2
11.9
29
Derivative instruments considered to be guarantees23.5
87.4
110.9
567
Loans sold with recourse—
1.2
1.2
9
Securities lending indemnifications(1)
98.3
—
98.3
—
Credit card merchant processing(1)(2)
94.7
—
94.7
—
Credit card arrangements with partners0.3
0.8
1.1
162
Custody indemnifications and other—
35.4
35.4
41
Total$256.6
$196.5
$453.1
$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 JuneSeptember 30, 2019 and December 31, 2018, this maximum potential exposure was estimated to be $90$91 billion and $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 Sold with Recourse
Loans sold with recourse represent Citi’s obligations to
reimburse the buyers for loan losses under certain
circumstances. Recourse refers to the clause in a sales
agreement under which a seller/lender will fully reimburse
the buyer/investor for any losses resulting from the
purchased loans. This may be accomplished by the seller
taking back any loans that become delinquent.
In addition to the amounts shown in the tables above,
Citi has recorded a repurchase reserve for its potential
repurchases or make-whole liability regarding residential
mortgage representation and warranty claims related to its
whole loan sales to U.S. government-sponsored
enterprises (GSEs) and, to a lesser extent, private investors.
The repurchase reserve was approximately $43$41 million and $49 million at JuneSeptember 30, 2019 and December 31, 2018, respectively, and these amounts are included in Other liabilities on the Consolidated Balance Sheet.

Credit Card Arrangements with Partners
Citi, in certain of its credit card partner arrangements,
provides guarantees to the partner regarding the volume of
certain customer originations during the term of the
agreement. To the extent 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 Guarantees and Indemnifications

Credit Card Protection Programs
Citi, through its credit card businesses, provides various
cardholder protection programs on several of its card
products, including programs that provide insurance
coverage for rental cars, coverage for certain losses
associated with purchased products, price protection for
certain purchases and protection for lost luggage. These
guarantees are not included in the table, since the total
outstanding amount of the guarantees and Citi’s maximum
exposure to loss cannot be quantified. The protection is
limited to certain types of purchases and losses, and it is not
possible to quantify the purchases that would qualify for
these benefits at any given time. Citi assesses the probability
and amount of its potential liability related to these programs
based on the extent and nature of its historical loss
experience. At JuneSeptember 30, 2019 and December 31, 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 JuneSeptember 30, 2019 or
December 31, 2018 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 two2 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 itsGE’s 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 $8.3$8.6 billion as of JuneSeptember 30, 2019, compared to approximately $7.5 billion at December 31, 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 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 its insolvency or the failure of UFLIC to perform in a timely manner,or GE to perform under the capital maintenance agreement, and (ii) the assets of the two2 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 no0 liability reflected on the Consolidated Balance Sheet as of JuneSeptember 30, 2019 and December 31, 2018 related to this indemnification. Citi continues to closely monitor its potential exposure under this indemnification obligation.obligation, given GE’s 2018 LTC and other charges and the September 2019 AM Best credit ratings downgrade for the Genworth subsidiaries.
Separately, Genworth announced that it had agreed to
be purchased by China Oceanwide Holdings Co., Ltd, subject to a series of conditions and regulatory approvals. Citi is monitoring these developments.

Futures and Over-the-Counter Derivatives Clearing
Citi provides clearing services on central clearing parties (CCP) for clients 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 $14.1$15.1 billion and $13.8 billion as of JuneSeptember 30, 2019 and December 31, 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 JuneSeptember 30, 2019 and December 31, 2018, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted
to approximately $0.8$0.6 billion and $0.9 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 $71$65 billion and $55 billion at JuneSeptember 30, 2019 and December 31, 2018, respectively. Securities and other marketable assets held as collateral amounted to $56 billion and $55 billion at both JuneSeptember 30, 2019 and December 31, 2018.2018, 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 $4.0$4.3 billion and $4.1 billion at JuneSeptember 30, 2019 and December 31, 2018, respectively. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined.



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



Maximum potential amount of future paymentsMaximum potential amount of future payments
In billions of dollars at June 30, 2019
Investment
grade
Non-investment
grade
Not
rated
Total
In billions of dollars at September 30, 2019
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$71.6
$11.7
$15.8
$99.1
$67.4
$11.8
$16.0
$95.2
Performance guarantees9.7
2.0
0.3
12.0
9.5
2.1
0.4
12.0
Derivative instruments deemed to be guarantees—
—
102.9
102.9
—
—
104.0
104.0
Loans sold with recourse—
—
1.3
1.3
—
—
1.3
1.3
Securities lending indemnifications—
—
105.3
105.3
—
—
101.5
101.5
Credit card merchant processing—
—
90.0
90.0
—
—
91.1
91.1
Credit card arrangements with partners—
—
0.9
0.9
—
—
0.7
0.7
Custody indemnifications and other19.1
12.6
—
31.7
19.1
12.4
—
31.5
Total$100.4
$26.3
$316.5
$443.2
$96.0
$26.3
$315.0
$437.3

 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$71.3
$11.9
$16.4
$99.6
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—
—
94.7
94.7
Credit card arrangements with partners—
—
1.1
1.1
Custody indemnifications and other22.2
13.2
—
35.4
Total$102.7
$27.2
$323.2
$453.1





Leases
The Company’s operating leases, where Citi is a lessee, include real estate, such as office space and branches, and various types of equipment. These leases have a weighted-average remaining lease term of approximately six years as of JuneSeptember 30, 2019. The operating lease ROU asset and lease liability were $2.9$3.0 billion and $3.1$3.3 billion, respectively, as of JuneSeptember 30, 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 $14$10 million and $35$45 million of sublease income, was approximately $265$275 million and $537$812 million for the three and sixnine months ended JuneSeptember 30, 2019, respectively. The decrease in the lease liability and related financial information for operating leases from March 31,January 1, 2019 reflects the impact of athe purchase of a previously leased property in London during the second quarter of 2019. See Note 1 for additional details and balances at January 1, 2019. The purchased property is included in Other assets on the Consolidated Balance Sheet at JuneSeptember 30, 2019.
While Citi has, as a lessee, certain 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 JuneSeptember 30, 2019 and the Company’s short-term lease, costs, variable lease costs and finance lease costs, for the three and sixnine months ended JuneSeptember 30, 2019, are not material to the Consolidated Financial Statements. Citi’s operating cash outflows related to operating leases were approximately $252$215 million and $486$701 million for the three and sixnine months ended JuneSeptember 30, 2019, respectively, while the future lease payments are as follows:
In millions of dollarsOperating leasesOperating leases
As of June 30, 2019 
As of September 30, 2019 
Remaining 2019$436
$241
2020716
779
2021592
665
2022464
528
2023355
400
Thereafter930
1,059
Total future lease payments$3,493
$3,672
Less imputed interest (based on weighted-average discount rate of 3.7%)(391)
Less imputed interest (based on weighted-average discount rate of 3.6%)(397)
Lease liability$3,102
$3,275







 










 


Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments:
In millions of dollarsU.S.
Outside of 
U.S.
June 30,
2019
December 31,
2018
U.S.
Outside of 
U.S.
September 30,
2019
December 31,
2018
Commercial and similar letters of credit$928
$4,485
$5,413
$5,461
$827
$4,631
$5,458
$5,461
One- to four-family residential mortgages2,367
1,783
4,150
2,671
2,605
1,579
4,184
2,671
Revolving open-end loans secured by one- to four-family residential properties9,769
1,283
11,052
11,374
9,596
1,256
10,852
11,374
Commercial real estate, construction and land development12,054
1,505
13,559
11,293
10,618
1,590
12,208
11,293
Credit card lines613,905
94,579
708,484
696,007
612,477
94,305
706,782
696,007
Commercial and other consumer loan commitments198,479
106,442
304,921
300,115
206,478
103,510
309,988
300,115
Other commitments and contingencies3,033
415
3,448
3,321
1,754
303
2,057
3,321
Total$840,535
$210,492
$1,051,027
$1,030,242
$844,355
$207,174
$1,051,529
$1,030,242


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

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

Unsettled reverse repurchaseReverse Repurchase and securities borrowing agreementsSecurities Borrowing Agreements and unsettled repurchaseUnsettled Repurchase and securities lending agreementsSecurities Lending Agreements
In addition, in the normal course of business, Citigroup enters into reverse repurchase and securities borrowing agreements, as well as repurchase and securities lending agreements, which settle at a future date. At JuneSeptember 30, 2019 and December 31, 2018, Citigroup had approximately $52.5$45.6 billion and $36.1 billion of unsettled reverse repurchase and securities borrowing agreements, and approximately $61.1$42.0 billion and $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 Sheet within the following balance sheet lines:

In millions of dollarsJune 30,
2019
December 31,
2018
September 30,
2019
December 31,
2018
Cash and due from banks$2,624
$4,000
$3,377
$4,000
Deposits with banks29,519
27,208
24,474
27,208
Total$32,143
$31,208
$27,851
$31,208









23.   CONTINGENCIES

The following information supplements and amends, as applicable, the disclosure in Note 23 to the Consolidated Financial Statements of Citigroup’s Second Quarter of 2019 Form 10-Q and First Quarter of 2019 Form 10-Q and Note 27 to the Consolidated Financial Statements of Citigroup’sin Citi’s 2018 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, regulatory, and tax matters disclosed herein, when Citigroup believes it is probable that a loss has been incurred and the amount of the loss can be reasonably estimated. Once established, accruals are adjusted from time to time, as appropriate, in light of additional information. The amount of loss ultimately incurred in relation to those matters may be substantially higher or lower than the amounts accrued for those matters.
If Citigroup has not accrued for a matter because the matter does not meet the criteria for accrual (as set forth above), or Citigroup believes an exposure to loss exists in excess of the amount accrued for a particular matter, in each case assuming a material loss is reasonably possible, 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 JuneSeptember 30, 2019, Citigroup’s estimate of the reasonably possible unaccrued loss for these matters was materially unchanged from the estimate of approximately $1.2 billion in the aggregate.aggregate as of June 30, 2019.
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, regulatory, tax, or other matters 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, regulators, or tax authorities may prove to be wrong; and the outcomes it is attempting to predict are often not amenable to the use of statistical or other quantitative analytical tools. In addition, from time to time an outcome may occur that Citigroup had not accounted for in its estimates because it had deemed such an outcome to be remote. For all these reasons, the amount of loss in excess of accruals ultimately incurred for the matters as to which an estimate has been made could be substantially higher or lower than the range of loss included in the estimate.
Subject to the foregoing, it is the opinion of Citigroup'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 the litigation, regulatory, and tax matters disclosed herein, see Note 27 to the Consolidated Financial Statements of Citigroup’sin Citi’s 2018 Annual Report on Form 10-K.

Credit Crisis-Related Litigation and Other Matters

Mortgage-Related Litigation and Other Matters
Mortgage-Backed Securities Trustee Actions: On June 7,September 24, 2019, plaintiffs withdrew their appeal and the case was dismissed in the federal court litigation captioned FIXED INCOME SHARES: SERIES M ET. Al. v. CITIBANK N.A. Additional information concerning this action is publicly available in court filings under the docket numbers 14-cv-9373 (S.D.N.Y.) (Furman, J.) and 18-1196 (2d Cir.).
On June 7, 2019, plaintiffsparties filed an unopposed motion to discontinue the action ina stipulation discontinuing the state court litigation captioned FIXED INCOME SHARES: SERIES M, ET AL. v. CITIBANK N.A., and the case was dismissed. Additional information concerning this action is publicly available in court filings under the docket number 653891/2015 (N.Y. Sup. Ct.) (Borrok, J.).

Foreign Exchange Matters
Regulatory Actions:On May 16, 2019, the European Commission (EC) announced a settlement with Citigroup and Citibank resolving its foreign exchange spot investigation. Citi was among six banks settling the EC’s investigation. As part of the settlement, Citi agreed to pay a fine of 310,776,000 Euro.
On June 6, 2019, the Swiss Competition Commission (COMCO) announced a settlement with Citigroup for the same conduct covered by the EC settlement. Citigroup was among six banks settling COMCO’s investigation. As part of the settlement, Citigroup agreed to pay a fine of 28,500,000 CHF.
Antitrust and Other Litigation: On June 11,July 9, 2019, in NYPL, ET AL. v. JPMORGAN CHASE & CO., ET AL., the court denied plaintiffs’ motion to reconsider the court’s earlier denial of plaintiffs’ motion for leave to amend their complaint to add new allegations concerning credit card, ATM, debit card, and wire transactions. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 9300 (S.D.N.Y.) (Schofield, J.).
On July 25, 2019, in ALLIANZ GLOBAL INVESTORS, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., plaintiffs filed adefendants moved to dismiss plaintiffs’ second amended complaint. Plaintiffs allege that defendants manipulated, and colluded to manipulate, the foreign exchange market. Plaintiffs assert Sherman Act and unjust enrichment claims and seek consequential and punitive damages and other forms of relief. Additional information concerning this action is publicly available in court filings under the docket number 18 Civ. 10364 (S.D.N.Y.) (Schofield, J.).
On MayJuly 29, 2019, in CONTANT, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., plaintiffs filed an amended motion forthe court granted preliminary approval of theirto the settlement withbetween plaintiffs and Citigroup, Citibank, Citicorp, and Citigroup Global Markets Inc. (CGMI). Additional information concerning this


action is publicly available in court filings under the docket number 17 Civ. 3139 (S.D.N.Y.) (Schofield, J.).
On May 27,July 31, 2019, a putative class action captioned J WISBEY & ASSOCIATES PTY LTDin ALLIANZ GLOBAL INVESTORS GMBH AND OTHERS v. UBS AG & ORS was filed in the Federal Court of Australia against Citibank and other defendants. Plaintiffs allege manipulation of foreign exchange markets in violation of Australian antitrust laws and seek compensatory damages and declaratory and injunctive relief.BARCLAYS BANK PLC AND OTHERS, defendants responded to plaintiffs’ claims. On September 23, 2019, plaintiffs served their reply. Additional information concerning this action is publicly available in court filings under the docket number VID567/2019.CL-2018-000840.
On July 29,September 12, 2019, an application was made to the U.K.’s Competition Appeal Tribunal, captionedMICHAEL O’HIGGINS FX CLASS REPRESENTATIVE LIMITED v. BARCLAYS BANK PLC AND OTHERS, requesting permission to commence collective proceedings against Citibank and other defendants. The application seeks compensatory damagesmotions for losses alleged to have arisen from thecertification of class actions at issuealleging manipulation of foreign exchange markets were consolidated into a single proceeding in the EC settlement referenced above.Tel Aviv Central District Court in Israel. Subsequently, an amended motion for certification of a class action was filed and served on Citibank. The consolidated case is captioned GERTLER, ET AL. v. DEUTSCHE BANK AG, and additional


information concerning this action is publicly available in court filings under the docket number CA 29013-09-18.

Interbank Offered Rates-Related Litigation and Other Matters
Antitrust and Other Litigation:On April 30,July 26, 2019, in 7 WEST 57th STREET REALTY CO.FUND LIQUIDATION HOLDINGS LLC AS ASSIGNOR AND SUCCESSOR-IN-INTEREST TO FRONTPOINT ASIAN EVENT DRIVEN FUND L.P., ET AL. v. CITIGROUP, INC.CITIBANK, N.A., ET AL., the United States Courtcourt dismissed all claims against the non-settling defendants based on lack of Appeals forsubject-matter jurisdiction. The court also found that the Second Circuit issued a summary order affirminglack of jurisdiction deprived the district court’s dismissalcourt of the action.power to approve settlements, and thus denied plaintiffs’ motion for preliminary approval of their settlement with Citibank. Plaintiffs filed an appeal of the court’s decision on August 26, 2019. Additional information concerning this action is publicly available in court filings under the docket numbers 1316 Civ. 9815263 (S.D.N.Y.) (Gardephe,(Hellerstein, J.) and 18-110219-2719 (2d Cir.).
On May 17,September 5, 2019, in SULLIVAN, ET AL. v. BARCLAYS PLC, ET AL., the court granted final approval of the class settlement between plaintiffs and Citigroup, Citibank, and other settling defendants. Additional information concerning this action is publicly available in court filings under the docket number 13 Civ. 2811 (S.D.N.Y.) (Castel, J.).
Following the court’s March 25, 2019 ruling in IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST
LITIGATION, on July 1,the court granted preliminary approval to the revised plan of distribution submitted by exchange-based plaintiffs in connection with their settlement with Citigroup, Citibank, and CGMI. The exchange-based plaintiffs’ motion for preliminary approval of the settlement is pending. On August 7, 2019, the court ordered the stipulationsa stipulation of the parties regarding the statusdismissal of all of Federal National Mortgage Association’s claims asserted by the Federal Deposit Insurance Corporation, Federal Home Loan Mortgage Corporation,against Citigroup and National Credit Union Administration Board. In the stipulations, the parties agreed on the claims that remain viable, the claims that were dismissed, and the claims whose viability remains in dispute.Citibank. 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 17-1569 (2d Cir.).
On May 23, 2019, in SCS BANQUE DELUBAC & CIE v. CITIGROUP INC. ET AL., Banque Delubac filed an appeal before France’s Court of Cassation challenging the Court of Appeal of Nîmes’s ruling that neither the Commercial Court of Aubenas nor the Commercial Court of Marseille has jurisdiction over Banque Delubac’s claims. Additional information concerning these actions is publicly available in court filings in the Court of Cassation under the docket number W1916931 (AROB), and the Commercial Court of Marseille under the docket number RG no. 2018F0750.
On July 1,August 30, 2019, in PUTNAM BANK v. INTERCONTINENTAL EXCHANGE, INC., ET AL., the
plaintiffs filed adefendants moved to dismiss plaintiffs’ consolidated amended complaint. Additional information relating to this action is publicly available in court filings under the docket number 19 Civ. 439 (S.D.N.Y.) (Daniels, J.).

ParmalatInterest Rate Swaps Matters
Antitrust and Other Litigation
: On May 23,July 30, 2019, in TERA GROUP, INC., ET AL. v. CITIGROUP, INC., ET AL., the Milan Court of Appeal rejected Parmalat’s appeal of the January 2018 decision of the Milan Commercial Court dismissing Parmalat’s claim. On June 28, 2019, Parmalat filed its appeal with the Italian Supreme Court.court granted in part and denied in part defendants’ motion to dismiss. Additional information concerning this action is publicly available in court filings under the docket number 20598/2019.17 Civ. 4302 (S.D.N.Y.) (Sullivan, J.).

Oceanografía Fraud and Related Matters
Other Litigation: On August 10, 2019, in the action commenced against Citigroup by Oceanografía and its controlling shareholder, the court denied both plaintiffs’ motion for reconsideration of the court’s prior decision granting defendants’ motion to dismiss and plaintiffs’ motion for leave to amend the complaint. On September 6, 2019, judgment was entered for defendants, which plaintiffs have appealed. Additional information concerning this action is publicly available in court filings under docket numbers 1:17 Civ. 01434 (S.D.N.Y.) (Sullivan, J.) and 19-3110 (2d Cir.).

Sovereign Securities Matters
Antitrust and Other Litigation: On May 23,September 30, 2019, in the consolidated action captioned IN RE MEXICAN GOVERNMENT BONDS ANTITRUST LITIGATION, the court granted defendants’ motion to dismiss the consolidated amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 18 Civ. 2830 (S.D.N.Y.) (Oetken, J.).
On September 3, 2019, in IN RE GSE BONDS ANTITRUST LITIGATION, the court issued an order granting without prejudice CGMI’s and other defendants’ motion to dismiss the second consolidated amended class action complaint. On September 10, 2019, plaintiffs filed a third consolidated amended complaint against CGMI and numerous other defendants, on behalf of a purported class of persons or entities that transacted in bonds issued by United States
government-sponsored entities with one or more of the defendants. Plaintiffs no longer assert any claims against Citigroup. Plaintiffs assert a claim under the Sherman Act based on defendants’ alleged conspiracy to manipulate the market for such bonds, and seek treble damages and injunctive relief.action complaint. On June 13,September 17, 2019, CGMI and the other previously dismissed defendants moved to dismiss the consolidated amended complaint.complaint, which the court denied. Additional information relating to this action is publicly available in court filings under the docket number 19 Civ. 1704 (S.D.N.Y.) (Rakoff, J.).

Transaction Tax Matters
Citigroup and Citibank are engagedOn September 23, 2019, in litigation or examinations with tax authorities in India and Germany concerning the payment of transaction taxes and other non-income tax matters.

Variable Rate Demand Obligation Litigation
On May 31, 2019, plaintiffs in the consolidated actions CITYSTATE OF PHILADELPHIALOUISIANA v. BANK OF AMERICA, CORP.N.A., ET AL., the State of Louisiana filed suit in the United States District Court for the Middle District of Louisiana against CGMI and MAYOR AND CITY COUNCIL OF BALTIMORE v. BANK OF AMERICA CORP., ET AL. filedother defendants, asserting a consolidated complaint naming as defendants Citigroup, Citibank, CGMI, Citigroup Global Markets Limited, and numerous other industry participants. The consolidated complaint asserts violationsclaim for a violation of the Sherman Act as well as claimsbased on the defendants’ alleged conspiracy to manipulate the market for breach of contract, breach of fiduciary duty,government-sponsored enterprises bonds, and unjust enrichment, and seeksseeking treble damages and injunctive relief based on allegations that defendants served as remarketing agents for municipal bonds called variable rate demand obligations (VRDOs) and colluded to set artificially high VRDO interest rates.relief. Additional information concerning these actionsrelating to this action is publicly available in court filings under the docket numbers 19-CV-1608number 19 Civ. 638 (M.D. La.) (Dick, C.J.).
On September 30, 2019, in IN RE SSA BONDS ANTITRUST LITIGATION, the court issued an order granting with prejudice defendants’ motion to dismiss certain defendants for lack of personal jurisdiction. Additional information relating to this action is publicly available in court filings under the docket number 16 Civ. 03711 (S.D.N.Y.) (Furman,(Ramos, J.).
On October 7, 2019, in JOSEPH MANCINELLI ET AL v. BANK OF AMERICA CORPORATION ET AL, purchasers of supranational, sub-sovereign, and 19-CV-2667 (S.D.N.Y.agency (SSA) bonds filed an amended claim in the Canadian Federal Court, 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 action is publicly available in court filings under the docket number T-1871-17 (Fed. Ct.).
On October 21, 2019, in CITY OF BATON ROUGE, ET AL. v. BANK OF AMERICA, N.A., ET AL., the City of Baton Rouge filed suit in the United States District Court for the Middle District of Louisiana against CGMI and other defendants, asserting a claim for a violation of the Sherman Act based on the defendants’ alleged conspiracy to manipulate the market for government-sponsored enterprises bonds, and seeking treble damages and injunctive relief. Additional information relating to this action is publicly available in court filings under the docket number 19 Civ. 725 (M.D. La.) (Furman, J.(Dick, C.J.).




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


24.   CONDENSED CONSOLIDATING FINANCIAL STATEMENTS

Citigroup 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 sixnine months ended JuneSeptember 30, 2019 and 2018, Condensed Consolidating Balance Sheet as of JuneSeptember 30, 2019 and December 31, 2018 and Condensed Consolidating Statement of Cash Flows for the sixnine months ended JuneSeptember 30, 2019 and 2018 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 June 30, 2019Three Months Ended September 30, 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
Revenues                  
Dividends from subsidiaries$5,049
 $—
 $—
 $(5,049) $—
$4,829
 $—
 $—
 $(4,829) $—
Interest revenue—
 3,184
 16,528
 —
 19,712
2
 2,595
 16,580
 —
 19,177
Interest revenue—intercompany1,327
 518
 (1,845) —
 —
1,240
 502
 (1,742) —
 —
Interest expense1,278
 1,911
 4,573
 —
 7,762
1,214
 1,831
 4,491
 —
 7,536
Interest expense—intercompany202
 1,152
 (1,354) —
 —
246
 1,088
 (1,334) —
 —
Net interest revenue$(153) $639
 $11,464
 $—
 $11,950
$(218) $178
 $11,681
 $—
 $11,641
Commissions and fees$—
 $1,309
 $1,572
 $—
 $2,881
$—
 $1,296
 $1,610
 $—
 $2,906
Commissions and fees—intercompany—
 94
 (94) —
 —
(19) 39
 (20) —
 —
Principal transactions(565) 1,142
 1,297
 —
 1,874
(1,535) 291
 4,046
 —
 2,802
Principal transactions—intercompany791
 (675) (116) —
 —
284
 693
 (977) —
 —
Other income(368) 498
 1,923
 —
 2,053
1,213
 67
 (55) —
 1,225
Other income—intercompany9
 14
 (23) —
 —
(95) 30
 65
 —
 —
Total non-interest revenues$(133) $2,382
 $4,559
 $—
 $6,808
$(152) $2,416
 $4,669
 $—
 $6,933
Total revenues, net of interest expense$4,763
 $3,021
 $16,023
 $(5,049) $18,758
$4,459
 $2,594
 $16,350
 $(4,829) $18,574
Provisions for credit losses and for benefits and claims$—
 $—
 $2,093
 $—
 $2,093
$—
 $—
 $2,088
 $—
 $2,088
Operating expenses    

        

    
Compensation and benefits$4
 $1,166
 $4,211
 $—
 $5,381
$(6) $1,277
 $4,058
 $—
 $5,329
Compensation and benefits—intercompany17
 —
 (17) —
 —
54
 —
 (54) —
 —
Other operating9
 540
 4,570
 —
 5,119
(38) 571
 4,602
 —
 5,135
Other operating—intercompany5
 582
 (587) —
 —
6
 625
 (631) —
 —
Total operating expenses$35
 $2,288
 $8,177
 $—
 $10,500
$16
 $2,473
 $7,975
 $—
 $10,464
Equity in undistributed income of subsidiaries$(146) $—
 $—
 $146
 $—
$328
 $—
 $—
 $(328) $—
Income (loss) from continuing operations before income taxes$4,582
 $733
 $5,753
 $(4,903) $6,165
$4,771
 $121
 $6,287
 $(5,157) $6,022
Provision (benefit) for income taxes(217) 8
 1,582
 —
 1,373
(142) 12
 1,209
 —
 1,079
Income (loss) from continuing operations$4,799
 $725
 $4,171
 $(4,903) $4,792
$4,913
 $109
 $5,078
 $(5,157) $4,943
Income from discontinued operations, net of taxes—
 —
 17
 —
 17
Income (loss) from discontinued operations, net of taxes—
 —
 (15) —
 (15)
Net income before attribution of noncontrolling interests$4,799
 $725
 $4,188
 $(4,903) $4,809
$4,913
 $109
 $5,063
 $(5,157) $4,928
Noncontrolling interests—
 —
 10
 —
 10
—
 —
 15
 —
 15
Net income (loss)$4,799
 $725
 $4,178
 $(4,903) $4,799
$4,913
 $109
 $5,048
 $(5,157) $4,913
Comprehensive income                  
Add: Other comprehensive income (loss)$1,105
 $(12) $734
 $(722) $1,105
$(932) $41
 $2,895
 $(2,936) $(932)
Total Citigroup comprehensive income (loss)$5,904

$713

$4,912

$(5,625)
$5,904
$3,981

$150

$7,943

$(8,093)
$3,981
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
 $20
 $—
 $20
$—
 $—
 $(33) $—
 $(33)
Add: Net income attributable to noncontrolling interests—
 —
 10
 —
 10
—
 —
 15
 —
 15
Total comprehensive income (loss)$5,904

$713

$4,942

$(5,625)
$5,934
$3,981

$150

$7,925

$(8,093)
$3,963










Condensed Consolidating Statements of Income and Comprehensive Income
Three Months Ended June 30, 2018Three Months Ended September 30, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$3,115
 $—
 $—
 $(3,115) $—
$7,948
 $—
 $—
 $(7,948) $—
Interest revenue14
 2,398
 15,138
 —
 17,550
1
 2,291
 15,878
 —
 18,170
Interest revenue—intercompany1,225
 399
 (1,624) —
 —
1,281
 424
 (1,705) —
 —
Interest expense813
 1,314
 3,758
 —
 5,885
1,068
 1,405
 3,895
 —
 6,368
Interest expense—intercompany716
 896
 (1,612) —
 —
492
 899
 (1,391) —
 —
Net interest revenue$(290) $587
 $11,368
 $—
 $11,665
$(278) $411
 $11,669
 $—
 $11,802
Commissions and fees$—
 $1,347
 $1,764
 $—
 $3,111
$—
 $1,194
 $1,609
 $—
 $2,803
Commissions and fees—intercompany(1) 91
 (90) —
 —
—
 72
 (72) —
 —
Principal transactions(1,206) (697) 4,029
 —
 2,126
(100) 581
 1,883
 —
 2,364
Principal transactions—intercompany(472) 1,279
 (807) —
 —
(303) (10) 313
 —
 —
Other income1,480
 188
 (101) —
 1,567
265
 325
 830
 —
 1,420
Other income—intercompany(121) (19) 140
 —
 —
(45) 57
 (12) —
 —
Total non-interest revenues$(320) $2,189
 $4,935

$—
 $6,804
$(183) $2,219
 $4,551

$—
 $6,587
Total revenues, net of interest expense$2,505
 $2,776
 $16,303
 $(3,115) $18,469
$7,487
 $2,630
 $16,220
 $(7,948) $18,389
Provisions for credit losses and for benefits and claims$—
 $(24) $1,836
 $—
 $1,812
$—
 $3
 $1,971
 $—
 $1,974
Operating expenses                  
Compensation and benefits$1
 $1,282
 $4,169
 $—
 $5,452
$14
 $1,148
 $4,157
 $—
 $5,319
Compensation and benefits—intercompany29
 —
 (29) —
 —
19
 —
 (19) —
 —
Other operating(52) 578
 4,734
 —
 5,260
(201) 558
 4,635
 —
 4,992
Other operating—intercompany13
 693
 (706) —
 —
13
 564
 (577) —
 —
Total operating expenses$(9) $2,553
 $8,168
 $—
 $10,712
$(155) $2,270
 $8,196
 $—
 $10,311
Equity in undistributed income of subsidiaries$1,485
 $—
 $—
 $(1,485) $—
$(3,099) $—
 $—
 $3,099
 $—
Income (loss) from continuing operations before income
taxes
$3,999
 $247
 $6,299
 $(4,600) $5,945
$4,543
 $357
 $6,053
 $(4,849) $6,104
Provision (benefit) for income taxes(491)—
619
 1,316
 —
 1,444
(79)—
169
 1,381
 —
 1,471
Income (loss) from continuing operations$4,490
 $(372) $4,983
 $(4,600) $4,501
$4,622
 $188
 $4,672
 $(4,849) $4,633
Income from discontinued operations, net of taxes—
 —
 15
 —
 15
Income (loss) from discontinued operations, net of taxes—
 —
 (8) —
 (8)
Net income (loss) before attribution of noncontrolling interests$4,490
 $(372) $4,998
 $(4,600) $4,516
$4,622
 $188
 $4,664
 $(4,849) $4,625
Noncontrolling interests—
 —
 26
 —
 26
—
 —
 3
 —
 3
Net income (loss)$4,490
 $(372) $4,972
 $(4,600) $4,490
$4,622
 $188
 $4,661
 $(4,849) $4,622
Comprehensive income                  
Add: Other comprehensive income (loss)$(2,875) $(72) $5,401
 $(5,329) $(2,875)$(1,151) $(196) $(458) $654
 $(1,151)
Total Citigroup comprehensive income (loss)$1,615


$(444)

$10,373

$(9,929)
$1,615
$3,471


$(8)

$4,203

$(4,195)
$3,471
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
—
$(57) $—
 $(57)$—
 $—
—
$8
 $—
 $8
Add: Net income attributable to noncontrolling interests—
 —
—
26
 —
 26
—
 —
—
3
 —
 3
Total comprehensive income (loss)$1,615


$(444)

$10,342

$(9,929) $1,584
$3,471


$(8)

$4,214

$(4,195) $3,482












Condensed Consolidating Statements of Income and Comprehensive Income
Six Months Ended June 30, 2019Nine Months Ended September 30, 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
Revenues                  
Dividends from subsidiaries$14,216
 $—
 $—
 $(14,216) $—
$19,045
 $—
 $—
 $(19,045) $—
Interest revenue—
 5,756
 33,032
 —
 38,788
2
 8,351
 49,612
 —
 57,965
Interest revenue—intercompany2,652
 1,021
 (3,673) —
 —
3,892
 1,523
 (5,415) —
 —
Interest expense2,549
 3,735
 8,795
 —
 15,079
3,763
 5,566
 13,286
 —
 22,615
Interest expense—intercompany514
 2,227
 (2,741) —
 —
760
 3,315
 (4,075) —
 —
Net interest revenue$(411) $815
 $23,305
 $—
 $23,709
$(629) $993
 $34,986
 $—
 $35,350
Commissions and fees$—
 $2,616
 $3,191
 $—
 $5,807
$—
 $3,912
 $4,801
 $—
 $8,713
Commissions and fees—intercompany(1) 215
 (214) —
 —
(20) 254
 (234) —
 —
Principal transactions(1,390) 108
 5,960
 —
 4,678
(2,925) 399
 10,006
 —
 7,480
Principal transactions—intercompany1,238
 1,361
 (2,599) —
 —
1,522
 2,054
 (3,576) —
 —
Other income(49) 597
 2,592
 —
 3,140
1,164
 664
 2,537
 —
 4,365
Other income—intercompany(25) 56
 (31) —
 —
(120) 86
 34
 —
 —
Total non-interest revenues$(227) $4,953
 $8,899
 $—
 $13,625
$(379) $7,369
 $13,568
 $—
 $20,558
Total revenues, net of interest expense$13,578
 $5,768
 $32,204
 $(14,216) $37,334
$18,037
 $8,362
 $48,554
 $(19,045) $55,908
Provisions for credit losses and for benefits and claims$—
 $—
 $4,073
 $—
 $4,073
$—
 $—
 $6,161
 $—
 $6,161
Operating expenses    
        
    
Compensation and benefits$37
 $2,450
 $8,552
 $—
 $11,039
$31
 $3,727
 $12,610
 $—
 $16,368
Compensation and benefits—intercompany43
 —
 (43) —
 —
97
 —
 (97) —
 —
Other operating14
 1,093
 8,938
 —
 10,045
(24) 1,664
 13,540
 —
 15,180
Other operating—intercompany10
 1,164
 (1,174) —
 —
16
 1,789
 (1,805) —
 —
Total operating expenses$104
 $4,707
 $16,273
 $—
 $21,084
$120
 $7,180
 $24,248
 $—
 $31,548
Equity in undistributed income of subsidiaries$(4,349) $—
 $—
 $4,349
 $—
$(4,021) $—
 $—
 $4,021
 $—
Income (loss) from continuing operations before income
taxes
$9,125
 $1,061
 $11,858
 $(9,867) $12,177
$13,896
 $1,182
 $18,145
 $(15,024) $18,199
Provision (benefit) for income taxes(384)—
148
 2,884
 —
 2,648
(526)—
160
 4,093
 —
 3,727
Income (loss) from continuing operations$9,509
 $913
 $8,974
 $(9,867) $9,529
$14,422
 $1,022
 $14,052
 $(15,024) $14,472
Income from discontinued operations, net of taxes—
 —
 15
 —
 15
Income (loss) from discontinued operations, net of taxes—
 —
 —
 —
 —
Net income (loss) before attribution of noncontrolling interests$9,509
 $913
 $8,989
 $(9,867) $9,544
$14,422
 $1,022
 $14,052
 $(15,024) $14,472
Noncontrolling interests—
 —
 35
 —
 35
—
 —
 50
 —
 50
Net income (loss)$9,509
 $913
 $8,954
 $(9,867) $9,509
$14,422
 $1,022
 $14,002
 $(15,024) $14,422
Comprehensive income                  
Add: Other comprehensive income (loss)$1,967
 $(301) $1,733
 $(1,432) $1,967
$1,035
 $(260) $4,628
 $(4,368) $1,035
Total Citigroup comprehensive income (loss)$11,476
 $612
 $10,687
 $(11,299) $11,476
$15,457
 $762
 $18,630
 $(19,392) $15,457
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
—
$7
 $—
 $7
$—
 $—
—
$(26) $—
 $(26)
Add: Net income attributable to noncontrolling interests—
 —
—
35
 —
 35
—
 —
—
50
 —
 50
Total comprehensive income (loss)$11,476
 $612
 $10,729
 $(11,299) $11,518
$15,457
 $762
 $18,654
 $(19,392) $15,481












Condensed Consolidating Statements of Income and Comprehensive Income
Six Months Ended June 30, 2018Nine Months Ended September 30, 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$8,700
 $—
 $—
 $(8,700) $—
$16,648
 $—
 $—
 $(16,648) $—
Interest revenue66
 4,053
 29,763
 —
 33,882
67
 6,344
 45,641
 —
 52,052
Interest revenue—intercompany2,355
 782
 (3,137) —
 —
3,636
 1,206
 (4,842) —
 —
Interest expense2,051
 2,327
 6,667
 —
 11,045
3,119
 3,732
 10,562
 —
 17,413
Interest expense—intercompany975
 1,668
 (2,643) —
 —
1,467
 2,567
 (4,034) —
 —
Net interest revenue$(605) $840
 $22,602
 $—
 $22,837
$(883) $1,251
 $34,271
 $—
 $34,639
Commissions and fees$—
 $2,599
 $3,542
 $—
 $6,141
$—
 $3,793
 $5,151
 $—
 $8,944
Commissions and fees—intercompany(1) 91
 (90) —
 —
(1) 163
 (162) —
 —
Principal transactions(175) 224
 5,319
 —
 5,368
(275) 805
 7,202
 —
 7,732
Principal transactions—intercompany(858) 1,471
 (613) —
 —
(1,161) 1,461
 (300) —
 —
Other income552
 341
 2,102
 —
 2,995
817
 666
 2,932
 —
 4,415
Other income—intercompany(66) 31
 35
 —
 —
(111) 88
 23
 —
 —
Total non-interest revenues$(548) $4,757
 $10,295

$—
 $14,504
$(731) $6,976
 $14,846

$—
 $21,091
Total revenues, net of interest expense$7,547
 $5,597
 $32,897
 $(8,700) $37,341
$15,034
 $8,227
 $49,117
 $(16,648) $55,730
Provisions for credit losses and for benefits and claims$—
 $(24) $3,693
 $—
 $3,669
$—
 $(21) $5,664
 $—
 $5,643
Operating expenses                  
Compensation and benefits$135
 $2,547
 $8,577
 $—
 $11,259
$149
 $3,695
 $12,734
 $—
 $16,578
Compensation and benefits—intercompany63
 —
 (63) —
 —
82
 —
 (82) —
 —
Other operating(9) 1,126
 9,261
 —
 10,378
(210) 1,684
 13,896
 —
 15,370
Other operating—intercompany25
 1,271
 (1,296) —
 —
38
 1,835
 (1,873) —
 —
Total operating expenses$214
 $4,944
 $16,479
 $—
 $21,637
$59
 $7,214
 $24,675
 $—
 $31,948
Equity in undistributed income of subsidiaries$1,039
 $—
 $—
 $(1,039) $—
$(2,060) $—
 $—
 $2,060
 $—
Income (loss) from continuing operations before income
taxes
$8,372
 $677
 $12,725
 $(9,739) $12,035
$12,915
 $1,034
 $18,778
 $(14,588) $18,139
Provision (benefit) for income taxes(738)—
684
 2,939
 —
 2,885
(817)—
853
 4,320
 —
 4,356
Income (loss) from continuing operations$9,110
 $(7) $9,786
 $(9,739) $9,150
$13,732
 $181
 $14,458
 $(14,588) $13,783
Income from discontinued operations, net of taxes—
 —
 8
 —
 8
Income (loss) from discontinued operations, net of taxes—
 —
 —
 —
 —
Net income (loss) before attribution of noncontrolling interests$9,110
 $(7) $9,794
 $(9,739) $9,158
$13,732
 $181
 $14,458
 $(14,588) $13,783
Noncontrolling interests—
 —
 48
 —
 48
—
 —
 51
 —
 51
Net income (loss)$9,110
 $(7) $9,746
 $(9,739) $9,110
$13,732
 $181
 $14,407
 $(14,588) $13,732
Comprehensive income                  
Add: Other comprehensive income (loss)$(2,823) $10
 $2,245
 $(2,255) $(2,823)$(3,974) $(186) $1,787
 $(1,601) $(3,974)
Total Citigroup comprehensive income (loss)$6,287
 $3
 $11,991
 $(11,994) $6,287
$9,758
 $(5) $16,194
 $(16,189) $9,758
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
—
$(43) $—
 $(43)$—
 $—
—
$(35) $—
 $(35)
Add: Net income attributable to noncontrolling interests—
 —
—
48
 —
 48
—
 —
—
51
 —
 51
Total comprehensive income (loss)$6,287
 $3
 $11,996
 $(11,994) $6,292
$9,758
 $(5) $16,210
 $(16,189) $9,774



Condensed Consolidating Balance Sheet
June 30, 2019September 30, 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$—
 $689
 $24,308
 $—
 $24,997
$—
 $899
 $23,187
 $—
 $24,086
Cash and due from banks—intercompany15
 3,790
 (3,805) —
 —
15
 4,602
 (4,617) —
 —
Deposits with banks—
 4,420
 173,826
 —
 178,246
—
 4,578
 191,779
 —
 196,357
Deposits with banks—intercompany3,000
 5,701
 (8,701) —
 —
3,000
 7,404
 (10,404) —
 —
Securities borrowed and purchased under resale agreements—
 204,516
 55,253
 —
 259,769
—
 199,421
 61,704
 —
 261,125
Securities borrowed and purchased under resale agreements—intercompany—
 18,767
 (18,767) —
 —
—
 24,459
 (24,459) —
 —
Trading account assets323
 175,750
 130,758
 —
 306,831
323
 177,504
 128,997
 —
 306,824
Trading account assets—intercompany1,682
 2,034
 (3,716) —
 —
1,932
 4,322
 (6,254) —
 —
Investments1
 609
 349,092
 —
 349,702
1
 543
 357,839
 —
 358,383
Loans, net of unearned income—
 1,955
 686,715
 —
 688,670
—
 2,444
 689,299
 —
 691,743
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,466) —
 (12,466)—
 —
 (12,530) —
 (12,530)
Total loans, net$—
 $1,955
 $674,249
 $—
 $676,204
$—
 $2,444
 $676,769
 $—
 $679,213
Advances to subsidiaries$146,408
 $—
 $(146,408) $—
 $—
$143,997
 $—
 $(143,997) $—
 $—
Investments in subsidiaries202,418
 —
 —
 (202,418) —
201,557
 —
 —
 (201,557) —
Other assets(1)
11,700
 70,341
 110,436
 —
 192,477
11,678
 70,347
 106,789
 —
 188,814
Other assets—intercompany3,726
 51,954
 (55,680) —
 —
2,871
 48,388
 (51,259) —
 —
Total assets$369,273
 $540,526
 $1,280,845
 $(202,418) $1,988,226
$365,374
 $544,911
 $1,306,074
 $(201,557) $2,014,802
Liabilities and equity        
        
Deposits$—
 $—
 $1,045,607
 $—
 $1,045,607
$—
 $—
 $1,087,769
 $—
 $1,087,769
Deposits—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Securities loaned and sold under repurchase agreements—
 155,278
 25,855
 —
 181,133
—
 167,830
 27,217
 —
 195,047
Securities loaned and sold under repurchase agreements—intercompany—
 42,564
 (42,564) —
 —
—
 34,707
 (34,707) —
 —
Trading account liabilities6
 93,842
 42,446
 —
 136,294
4
 91,348
 44,244
 —
 135,596
Trading account liabilities—intercompany3,159
 1,832
 (4,991) —
 —
3,712
 4,199
 (7,911) —
 —
Short-term borrowings244
 8,633
 33,565
 —
 42,442
238
 9,511
 25,481
 —
 35,230
Short-term borrowings—intercompany—
 20,190
 (20,190) —
 —
—
 23,151
 (23,151) —
 —
Long-term debt152,141
 34,394
 65,654
 —
 252,189
145,342
 36,177
 60,719
 —
 242,238
Long-term debt—intercompany—
 72,039
 (72,039) —
 —
—
 71,604
 (71,604) —
 —
Advances from subsidiaries12,887
 —
 (12,887) —
 —
16,638
 —
 (16,638) —
 —
Other liabilities3,243
 68,497
 60,711
 —
 132,451
2,872
 62,474
 56,506
 —
 121,852
Other liabilities—intercompany234
 9,978
 (10,212) —
 —
195
 10,724
 (10,919) —
 —
Stockholders’ equity197,359
 33,279
 169,890
 (202,418) 198,110
196,373
 33,186
 169,068
 (201,557) 197,070
Total liabilities and equity$369,273
 $540,526
 $1,280,845
 $(202,418) $1,988,226
$365,374
 $544,911
 $1,306,074
 $(201,557) $2,014,802

(1)
Other assets for Citigroup parent company at JuneSeptember 30, 2019 included $51.9$36.7 billion of placements to Citibank and its branches, of which $26.7$27.8 billion had a remaining term of less than 30 days.





Condensed Consolidating Balance Sheet
December 31, 2018December 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$1
 $689
 $22,955
 $—
 $23,645
$1
 $689
 $22,955
 $—
 $23,645
Cash and due from banks—intercompany19
 3,545
 (3,564) —
 —
19
 3,545
 (3,564) —
 —
Deposits with banks—
 4,915
 159,545
 —
 164,460
—
 4,915
 159,545
 —
 164,460
Deposits with banks—intercompany3,000
 6,528
 (9,528) —
 —
3,000
 6,528
 (9,528) —
 —
Securities borrowed and purchased under resale agreements—
 212,720
 57,964
 —
 270,684
—
 212,720
 57,964
 —
 270,684
Securities borrowed and purchased under resale agreements—intercompany—
 20,074
 (20,074) —
 —
—
 20,074
 (20,074) —
 —
Trading account assets302
 146,233
 109,582
 —
 256,117
302
 146,233
 109,582
 —
 256,117
Trading account assets—intercompany627
 1,728
 (2,355) —
 —
627
 1,728
 (2,355) —
 —
Investments7
 224
 358,376
 —
 358,607
7
 224
 358,376
 —
 358,607
Loans, net of unearned income—
 1,292
 682,904
 —
 684,196
—
 1,292
 682,904
 —
 684,196
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,315) —
 (12,315)—
 —
 (12,315) —
 (12,315)
Total loans, net$—
 $1,292
 $670,589
 $—
 $671,881
$—
 $1,292
��$670,589
 $—
 $671,881
Advances to subsidiaries$143,119
 $—
 $(143,119) $—
 $—
$143,119
 $—
 $(143,119) $—
 $—
Investments in subsidiaries205,337
 —
 —
 (205,337) —
205,337
 —
 —
 (205,337) —
Other assets(1)
9,861
 59,734
 102,394
 —
 171,989
9,861
 59,734
 102,394
 —
 171,989
Other assets—intercompany3,037
 44,255
 (47,292) —
 —
3,037
 44,255
 (47,292) —
 —
Total assets$365,310
 $501,937
 $1,255,473
 $(205,337) $1,917,383
$365,310
 $501,937
 $1,255,473
 $(205,337) $1,917,383
Liabilities and equity                  
Deposits$—
 $—
 $1,013,170
 $—
 $1,013,170
$—
 $—
 $1,013,170
 $—
 $1,013,170
Deposits—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Securities loaned and sold under repurchase agreements—
 155,830
 21,938
 —
 177,768
—
 155,830
 21,938
 —
 177,768
Securities loaned and sold under repurchase agreements—intercompany—
 21,109
 (21,109) —
 —
—
 21,109
 (21,109) —
 —
Trading account liabilities1
 95,571
 48,733
 —
 144,305
1
 95,571
 48,733
 —
 144,305
Trading account liabilities—intercompany410
 1,398
 (1,808) —
 —
410
 1,398
 (1,808) —
 —
Short-term borrowings207
 3,656
 28,483
 —
 32,346
207
 3,656
 28,483
 —
 32,346
Short-term borrowings—intercompany—
 11,343
 (11,343) —
 —
—
 11,343
 (11,343) —
 —
Long-term debt143,768
 25,986
 62,245
 —
 231,999
143,767
 25,986
 62,246
 —
 231,999
Long-term debt—intercompany—
 73,884
 (73,884) —
 —
—
 73,884
 (73,884) —
 —
Advances from subsidiaries21,471
 —
 (21,471) —
 —
21,471
 —
 (21,471) —
 —
Other liabilities3,010
 66,732
 50,979
 —
 120,721
3,011
 66,732
 50,978
 —
 120,721
Other liabilities—intercompany223
 13,763
 (13,986) —
 —
223
 13,763
 (13,986) —
 —
Stockholders’ equity196,220
 32,665
 173,526
 (205,337) 197,074
196,220
 32,665
 173,526
 (205,337) 197,074
Total liabilities and equity$365,310
 $501,937
 $1,255,473
 $(205,337) $1,917,383
$365,310
 $501,937
 $1,255,473
 $(205,337) $1,917,383


(1)
Other assets for Citigroup parent company at December 31, 2018 included $34.7 billion of placements to Citibank and its branches, of which $22.4 billion had a remaining term of less than 30 days.




Condensed Consolidating Statement of Cash Flows
Six Months Ended June 30, 2019Nine Months Ended September 30, 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
Net cash provided by (used in) operating activities of continuing operations$17,500
 $(39,793) $(15,463) $—
 $(37,756)$23,879
 $(51,748) $(7,489) $—
 $(35,358)
Cash flows from investing activities of continuing operations                  
Purchases of investments$—
 $—
 $(118,132) $—
 $(118,132)$—
 $—
 $(196,733) $—
 $(196,733)
Proceeds from sales of investments4
 —
 63,591
 —
 63,595
4
 —
 96,396
 —
 96,400
Proceeds from maturities of investments—
 —
 57,684
 —
 57,684
—
 —
 91,656
 —
 91,656
Change in loans—
 —
 (7,803) —
 (7,803)—
 —
 (11,518) —
 (11,518)
Proceeds from sales and securitizations of loans—
 —
 2,249
 —
 2,249
—
 —
 2,717
 —
 2,717
Change in securities borrowed and purchased under agreements to resell

—
 9,511
 1,404
 —
 10,915
—
 8,914
 645
 —
 9,559
Changes in investments and advances—intercompany(3,336) (10,607) 13,943
 —
 —
(2,045) (6,204) 8,249
 —
 —
Other investing activities—
 (32) (3,178) —
 (3,210)—
 (44) (4,129) —
 (4,173)
Net cash provided by (used in) investing activities of continuing operations$(3,332) $(1,128) $9,758
 $—
 $5,298
$(2,041) $2,666
 $(12,717) $—
 $(12,092)
Cash flows from financing activities of continuing operations                  
Dividends paid$(2,650) $—
 $—
 $—
 $(2,650)$(4,048) $(155) $155
 $—
 $(4,048)
Issuance of preferred stock1,496
 —
 —
 —
 1,496
Redemption of preferred stock(480) —
 —
 —
 (480)(480) —
 —
 —
 (480)
Treasury stock acquired(7,518) —
 —
 —
 (7,518)(12,495) —
 —
 —
 (12,495)
Proceeds (repayments) from issuance of long-term debt, net5,418
 10,817
 (2,814) —
 13,421
(1,122) 10,136
 (6,738) —
 2,276
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (3,941) 3,941
 —
 —
—
 (5,683) 5,683
 —
 —
Change in deposits—
 —
 32,437
 —
 32,437
—
 —
 74,599
 —
 74,599
Change in securities loaned and sold under agreements to repurchase

—
 20,903
 (17,538) —
 3,365
—
 25,598
 (8,319) —
 17,279
Change in short-term borrowings—
 4,977
 5,119
 —
 10,096
—
 5,855
 (2,971) —
 2,884
Net change in short-term borrowings and other advances—intercompany(8,584) 7,088
 1,496
 —
 —
(4,834) 15,211
 (10,377) —
 —
Capital contributions from (to) parent—
 (74) 74
 —
 —
Other financing activities(359) —
 —
 —
 (359)(360) —
 —
 —
 (360)
Net cash provided by (used in) financing activities of continuing operations$(14,173) $39,844
 $22,641
 $—
 $48,312
$(21,843) $50,888
 $52,106
 $—
 $81,151
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(716) $—
 $(716)$—
 $—
 $(1,363) $—
 $(1,363)
Change in cash and due from banks and deposits with banks

$(5)
$(1,077)
$16,220

$—
 $15,138
$(5)
$1,806

$30,537

$—
 $32,338
Cash and due from banks and deposits with banks at beginning of period3,020
 15,677
 169,408
 —
 188,105
3,020
 15,677
 169,408
 —
 188,105
Cash and due from banks and deposits with banks at end of period$3,015
 $14,600
 $185,628
 $—
 $203,243
$3,015
 $17,483
 $199,945
 $—
 $220,443
Cash and due from banks$15
 $4,479
 $20,503
 $—
 $24,997
$15
 $5,501
 $18,570
 $—
 $24,086
Deposits with banks3,000
 10,121
 165,125
 —
 178,246
3,000
 11,982
 181,375
 —
 196,357
Cash and due from banks and deposits with banks at end of period$3,015
 $14,600
 $185,628
 $—
 $203,243
$3,015
 $17,483
 $199,945
 $—
 $220,443
Supplemental disclosure of cash flow information for continuing operations                  
Cash paid during the year for income taxes$154
 $119
 $2,541
 $—
 $2,814
Cash paid during the year for interest1,753
 6,577
 5,670
 —
 14,000
Cash paid during the period for income taxes$(274) $281
 $3,728
 $—
 $3,735
Cash paid during the period for interest3,107
 8,893
 10,343
 —
 22,343
Non-cash investing activities                  
Transfers to loans HFS from loans$—
 $—
 $3,600
 $—
 $3,600
$—
 $—
 $4,400
 $—
 $4,400


Condensed Consolidating Statement of Cash Flows
Six Months Ended June 30, 2018Nine Months Ended September 30, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$5,156
 $1,207
 $1,956
 $—
 $8,319
$12,581
 $16,232
 $1,253
 $—
 $30,066
Cash flows from investing activities of continuing operations        

        

Purchases of investments$(7,955) $—
 $(73,916) $—
 $(81,871)$(7,955) $(18) $(104,581) $—
 $(112,554)
Proceeds from sales of investments7,634
 —
 34,174
 —
 41,808
7,634
 3
 44,533
 —
 52,170
Proceeds from maturities of investments—
 —
 44,846
 —
 44,846
—
 —
 66,440
 —
 66,440
Change in loans—
 —
 (10,132) —
 (10,132)—
 —
 (16,131) —
 (16,131)
Proceeds from sales and securitizations of loans—
 —
 3,217
 —
 3,217
—
 —
 4,021
 —
 4,021
Proceeds from significant disposals—
 —
 314
 —
 314
Change in securities borrowed and purchased under agreements to resell

—
 (30,331) (2,717) —
 (33,048)—
 (47,943) (519) —
 (48,462)
Changes in investments and advances—intercompany(4,780) (1,872) 6,652
 —
 —
(7,769) (2,338) 10,107
 —
 —
Other investing activities212
 (26) (1,635) —
 (1,449)214
 (41) (2,534) —
 (2,361)
Net cash provided by (used in) investing activities of continuing operations$(4,889) $(32,229) $489
 $—
 $(36,629)$(7,876) $(50,337) $1,650
 $—
 $(56,563)
Cash flows from financing activities of continuing operations                  
Dividends paid$(2,232) $—
 $—
 $—
 $(2,232)$(3,616) $—
 $—
 $—
 $(3,616)
Redemption of preferred stock(218) —
 —
 —
 (218)(218) —
 —
 —
 (218)
Treasury stock acquired(4,686) —
 —
 —
 (4,686)(9,848) —
 —
 —
 (9,848)
Proceeds from issuance of long-term debt, net(1,167) 5,805
 1,032
 —
 5,670
(883) 7,538
 (829) —
 5,826
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (1,025) 1,025
 —
 —
—
 5,048
 (5,048) —
 —
Change in deposits—
 —
 36,908
 —
 36,908
—
 —
 45,354
 —
 45,354
Change in securities loaned and sold under agreements to repurchase

—
 26,367
 (4,816) —
 21,551
—
 35,804
 (16,166) —
 19,638
Change in short-term borrowings32
 (459) (6,792) —
 (7,219)32
 790
 (11,503) —
 (10,681)
Net change in short-term borrowings and other advances—intercompany497
 1,704
 (2,201) —
 —
2,312
 (14,771) 12,459
 —
 —
Capital contributions from parent—
 (663) 663
 —
 —
—
 (663) 663
 —
 —
Other financing activities(475) —
 —
 —
 (475)(479) —
 —
 —
 (479)
Net cash provided by (used in) financing activities of continuing operations$(8,249) $31,729
 $25,819
 $—
 $49,299
$(12,700) $33,746
 $24,930
 $—
 $45,976
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(603) $—
 $(603)$—
 $—
 $(709) $—
 $(709)
Change in cash and due from banks and deposits with banks

$(7,982) $707
 $27,661
 $—
 $20,386
$(7,995) $(359) $27,124
 $—
 $18,770
Cash and due from banks and deposits with banks at beginning of period11,013
 12,695
 156,808
 —
 180,516
11,013
 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
$3,018
 $12,336
 $183,932
 $—
 $199,286
Cash and due from banks$31
—
$4,242
 $16,804
 $—
 $21,077
$18
—
$2,648
 $23,061
 $—
 $25,727
Deposits with banks3,000
 9,160
 167,665
 —
 179,825
3,000
 9,688
 160,871
 —
 173,559
Cash and due from banks and deposits with banks at end of period$3,031
 $13,402
 $184,469
 $—
 $200,902
$3,018
 $12,336
 $183,932
 $—
 $199,286
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
Cash paid (received) during the period for income taxes$873
 $138
 $2,250
 $—
 $3,261
Cash paid during the period for interest2,870
 6,045
 7,363
 —
 16,278
Non-cash investing activities             

    
Transfers to loans HFS from loans$—
 $—
 $2,900
 $—
 $2,900
$—
 $—
 $3,300
 $—
 $3,300
Transfers to OREO and other repossessed assets—
 —
 55
 —
 55
—
 —
 94
 —
 94



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 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 2019  
July 2019  
Open market repurchases(1)
14.4
$67.51
$2,606
20.2
$71.46
$15,654
Employee transactions(2)
—
—
N/A
—
—
N/A
May 2019  
August 2019  
Open market repurchases(1)
22.8
66.05
1,100
34.9
64.46
13,404
Employee transactions(2)
—
—
N/A
—
—
N/A
June 2019  
September 2019  
Open market repurchases(1)
16.4
67.03
—
20.8
68.43
11,980
Employee transactions(2)
—
—
N/A
—
—
N/A
Total for 2Q19 and remaining program balance as of June 30, 201953.6
$66.74
$—
Total for 3Q19 and remaining program balance as of September 30, 201975.9
$67.41
$11,980
(1)Represents repurchases under the $17.6$17.1 billion 20182019 common stock repurchase program (2018(2019 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on June 28, 2018.27, 2019. The 20182019 Repurchase Program was part of the planned capital actions included by Citi as part of the 20182019 Comprehensive Capital Analysis and Review (CCAR). Shares repurchased under the 20182019 Repurchase Program were added to treasury stock. The 2018 Repurchase Program expired on June 30, 2019. On June 27, 2019, Citigroup announced a $17.1 billion common stock repurchase program during the four quarters beginning in the third quarter of 2019 (2019 Repurchase Program), which was part of the planned capital actions included by Citi as part of the 2019 CCAR. The 2019 Repurchase Program expires on June 30, 2020. Shares repurchased under the 2019 Repurchase Program will be added to treasury stock.
(2)Consisted of shares added to treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted 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—Stress Testing Component of Capital Planning” andPlanning,” “Capital Resources—Regulatory Capital Standards Developments” and “Risk Factors—Strategic Risks” in Citi’s 2018 Annual Report on Form 10-K.
On June 27, 2019, Citi announced that the Federal Reserve Board did not object to its planned capital actions as part of the 2019 CCAR. In addition to the 2019 Repurchase Program discussed in the footnotes to the table above, the planned capital actions included an increase of Citi’s quarterly common stock dividend from $0.45 to $0.51 per share over the four quarters beginning with the third quarter of 2019 (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 2018 Annual Report on Form 10-K.




SIGNATURES



Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on the 1st day of August,November, 2019.



CITIGROUP INC.
(Registrant)





By    /s/ Mark A. L. Mason
Mark 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
3.013.01+
 
Restated Certificate of Incorporation of the Company,Citigroup Inc., as amended, as in effect on the date hereof, incorporated by reference to Exhibit 3.01 to the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2019 filed on April 30, 2019 (File No. 1-9924).hereof.

   
10.01*+
 
Form of Citigroup 2019 Stock Incentive Plan (effective April 16, 2019), incorporated by reference to Exhibit 10.1 to the Company’s Form 8-K filed on April 17, 2019 (File No. 1-09924).Inc. CAP Agreement

   
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.
   
99.01+
 
Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934 formatted in Inline XBRL.

   
101.01+
 
Financial statements from the Quarterly Report on Form 10-Q of the Company for the quarter ended JuneSeptember 30, 2019, filed on AugustNovember 1, 2019, formatted in Inline XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Shareholders’ Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to the Consolidated Financial Statements.
   
104 Form 10-Q Cover Page Inline XBRL: The Company’sSee the cover page of this Quarterly Report on Form 10-Q, for the quarter ended June 30, 2019 Cover Pageformatted in Inline XBRL data file does not appear in Exhibit 104 because its Inline XBRL tagging is embedded within the Form 10-Q Inline XBRL document.XBRL.
 
The total amount of securities authorized pursuant to any instrument defining rights of holders of long-term debt of the Company does not exceed 10% of the total assets of the Company and its consolidated subsidiaries. The Company will furnish copies of any such instrument to the SEC upon request.
 
* Denotes a management contract or compensatory plan or arrangement. 
+ Filed herewith.    




199204