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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
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| ☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended March 31, 20212022
OR
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| ☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the transition period from to
Commission file number 1-9924
Citigroup Inc.
(Exact name of registrant as specified in its charter)
| | | | | | | | | | | | | | |
| Delaware | | 52-1568099 |
| (State or other jurisdiction of incorporation or organization) | | (I.R.S. Employer Identification No.) |
| 388 Greenwich Street, | New York | NY | | 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.
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| 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 March 31, 2021: 2,067,047,5192022: 1,941,920,542
Available on the web at www.citigroup.com
CITIGROUP’S FIRST QUARTER 2021—2022—FORM 10-Q
| | | | | |
| OVERVIEW | |
MANAGEMENT’S DISCUSSION AND
ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS | |
| Executive Summary | |
Citi’s Consent Order Compliance | 5 |
| Summary of Selected Financial Data | |
SEGMENT REVENUES AND BUSINESS—INCOME (LOSS)
AND REVENUES | |
| SEGMENT BALANCE SHEET | |
Global Consumer Banking (GCB)Institutional Clients Group | |
North America GCBPersonal Banking and Wealth Management | |
Latin America GCBLegacy Franchises | |
Asia GCBCorporate/Other | |
Institutional Clients Group | |
Corporate/Other | |
| CAPITAL RESOURCES | |
MANAGING GLOBAL RISK TABLE OF
CONTENTS | |
| MANAGING GLOBAL RISK | |
SIGNIFICANT ACCOUNTING POLICIES AND
SIGNIFICANT ESTIMATES | |
DISCLOSURE CONTROLS AND
PROCEDURES | |
DISCLOSURE PURSUANT TO SECTION 219 OF
THE IRAN THREAT REDUCTION AND SYRIA
HUMAN RIGHTS ACT | |
| FORWARD-LOOKING STATEMENTS | |
FINANCIAL STATEMENTS AND NOTES
TABLE OF CONTENTS | |
| CONSOLIDATED FINANCIAL STATEMENTS | |
NOTES TO CONSOLIDATED FINANCIAL
STATEMENTS (UNAUDITED) | |
UNREGISTERED SALES OF EQUITY SECURITIES,
REPURCHASES OF EQUITY SECURITIES AND
DIVIDENDS | |
| GLOSSARY OF TERMS AND ACRONYMS | |
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, 2020 (2020 Annual Report on2021 (2021 Form 10-K).
Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s annual reports on Form 10-K, quarterly reports on Form 10-Q and proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC), are available and accessible free of charge throughon Citi’s website by clicking on the “Investors” tab and selecting “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.www.sec.gov.
Certain reclassifications and updates have been made to the prior periods’ financial statements and disclosures to conform to the current period’s presentation. For additional information, see Notefootnote 1 to the Consolidated“Summary of Selected Financial Statements.Data” and “Operating Segment and Reporting Unit—Income (Loss) and Revenues” below and Notes 1 and 3.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries. All “Note” references correspond to the Notes to the Consolidated Financial Statements herein, unless otherwise indicated.
For a list of terms and acronyms used in this Quarterly Report on Form 10-Q and other Citigroup presentations, see “Glossary of Terms and Acronyms” at the end of this report.
Please see “COVID-19 Pandemic Overview” and “Risk Factors” in Citi’s 2020 Annual Report on2021 Form 10-K for a discussion of the trends, uncertainties and material risks and uncertainties that will or could impact Citigroup’s businesses, results of operations and financial condition.
As of the first quarter of 2022, Citigroup implemented a change in its operating segments and reporting units to reflect its recent strategic refresh (for additional information, see “Strategic Refresh—Market Exit and Planned Revision to Reporting Structure” in Citi’s 2021 Form 10-K). As a result, Citigroup is managed pursuant to two businessthree operating segments:Global Consumer Banking and Institutional Clients Group, Personal Banking and Wealth Management , and Legacy Franchises with the remaining operations inCorporate/OtherOther..
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CITIGROUP SEGMENTSCitigroup Operating Segments |
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GlobalInstitutional
Consumer Banking
(GCB) | | Institutional Clients
(ICG) | | | Corporate/Personal Banking
Otherand Wealth Management
(PBWM) | | | Legacy Franchises |
| | | |
•North America •Latin America(1)
•Asia(2)
Consisting of:
•Retail banking and wealth management, includingServices
–Residential real estateTreasury and trade solutions (TTS) –Small business bankingSecurities services •Citi-branded cards inMarkets all regions–Equity markets
•–Citi retail services in North AmericaFixed income markets
| | •Banking –Investment banking –Treasury and trade solutionsCorporate lending | | | •U.S. Personal Banking –Corporate lendingCards ◦Branded cards ◦Retail services –Retail banking
•Global Wealth Management (Global Wealth) –Private bank •Markets and
securities services
–Fixed income marketsWealth at Work –Equity marketsCitigold –Securities services
| | | •Asia Consumer Banking (Asia Consumer) –Retail banking and cards for the 13 exit markets (Australia, Bahrain, China, India, Indonesia, Korea, Malaysia, the Philippines, Poland, Russia, Taiwan, Thailand, Vietnam)
•Mexico Consumer Banking (Mexico Consumer) and Mexico Small Business and Middle-Market Banking (Mexico SBMM) –Retail banking and cards •Legacy Holdings Assets –Certain North America consumer mortgage loans –Other legacy assets
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| | | | Corporate/Other | | | | |
|
•Corporate Treasury managed portfolios •Operations and technology •Global staff functions and other corporate expenses •Legacy non-core assets: –Consumer loans
–Certain portfolios of securities, loans and other assets
•Discontinued operations
| |
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment resultsoperating segments and Corporate/Other above.
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CITIGROUP REGIONSCitigroup Regions(3)(1)
|
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North
America | | Europe, Middle East and Africa (EMEA) | | | Latin
America | | Asia |
(1) Latin America GCB consists of Citi’s consumer banking business in Mexico.
(2) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
(3) North America includes the U.S., Canada and Puerto Rico, Latin America includes Mexico and Asia includes Japan.
As previously reported, Citi will focus its consumer banking franchise in Asia and EMEA on four wealth centers—Singapore, Hong Kong, the United Arab Emirates (UAE) and London—and intends to pursue exits of its consumer franchises in 13 markets across the two regions. ICG will continue to serve clients, including its commercial banking clients, in all of these markets. For additional information, see “Executive Summary” and “Asia GCB” below.
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
EXECUTIVE SUMMARY
First Quarter of 2021—2022—Results Demonstrated Solid PerformanceContinued Progress Across the Franchise
As described further throughout this Executive Summary, during the first quarter of 2021, Citi demonstrated a solid performance, driven by a benefit from cost of credit and a constructive capital markets environment:2022:
• Citi’s earnings increased significantly, reflecting an allowance for credit loss (ACL) release of $3.9 billion as a result of the improved macroeconomic outlook and lower loan balances (see “Cost of Credit” below).
• Citi’s revenues declined 2% versus the prior-year period, as continued strength in investment banking and equity marketshigher net interest income—driven by Services, in Institutional Clients Group (ICG) (, and ICGPersonal Banking and Wealth Management (PBWM)) —was more than offset by the impact of lower interest rates and the absence of the prior-year period’s mark-to-market gains on loan hedges within ICG, as well as lower card volumes in Global Consumer Banking (GCB), due to the continued impact of the COVID-19 pandemic.non-interest revenue across businesses.
• Citi continued to invest in its transformation, including infrastructure supporting its risk and control environment, as well as other strategic investments.modernize its systems and technology infrastructure and make business-led investments, which include attracting front office talent, developing integrated solutions and enhancing product capabilities that improve the digital client experience and add scalability.
• Citi had a modest allowance for credit losses (ACL) release in the quarter that included a build of approximately $1.9 billion related to Citi’s exposures in Russia and the impact of the war in Ukraine on the broader macroeconomic environment (for additional information, see “Cost of Credit” below).
• Citi had broad-basedsolid year-over-year loan and deposit growth across GCBICG and and ICGPBWM, reflecting consistent clientcontinued engagement withacross both corporate clients and consumer clients continuing to hold higher levels of liquidity, while loans declined reflecting lower spending activity in GCB, as well as higher repayments across both GCB and ICG.consumers.
• Citi repurchased approximately 50 million common shares and returned $2.7approximately $4 billion of capital to itscommon shareholders in the form of $1.1 billionrepurchases and dividends.
• Citi continued to make progress with its refresh strategy, including entering into sale agreements for an additional seven consumer banking franchises in dividendsAsia and $1.6 billion in common share repurchases, totaling approximately 23 million common shares, while maintaining robust regulatory capital ratios.EMEA, for a total of 9 of 14 exit markets signed and announced, with a clear wind-down path for Korea.
Citi recently announced strategic actions as partVarious geopolitical and macroeconomic challenges related to, among other things, the war in Ukraine, disruptions of its ongoing strategy refresh, including the announcement of a dedicated management team for Citi Global Wealth, as well as its decisionglobal supply chains, inflationary pressures and higher interest rates will continue to focus its consumer banking franchise in Asia and EMEA on four wealth centers, in Singapore, Hong Kong, the UAE and London. As a result, Citi intends to pursue exits of its remaining consumer businessescreate uncertainties around economic conditions in the two regions (for additional information, see “Citigroup Segments” aboveU.S. and “Asia GCB” below).
globally, and consequently for Citi’s businesses and future results. For a discussion of riskstrends, uncertainties and uncertaintiesrisks that will or could impact Citi’s businesses, results of operations and financial condition during 2021,the remainder of 2022, see each respective business’s results of operations, “Managing Global Risk—Other Risks—Country Risk—Russia” and “Forward-Looking Statements” below and “COVID-19 Pandemic Overview,” “Risk Factors” and “Managing Global Risk” in Citi’s 2020 Annual Report on2021 Form 10-K.
First Quarter of 20212022 Results Summary
Citigroup
Citigroup reported net income of $7.9$4.3 billion, or $3.62$2.02 per share, compared to net income of $2.5$7.9 billion, or $1.06$3.62 per share in the prior-year period. NetThe decrease in net income increased significantly, was
driven by the lowerhigher cost of credit.credit, higher expenses and lower revenues. Citigroup’s effective tax rate was 18% versus 23% in the prior-year period, reflecting the resolution of certain tax audit items. Earnings per share also increased significantly,decreased 44%, reflecting the increasedecrease in net income, as well aspartially offset by a slight6% decline in average diluted shares outstanding.
Citigroup revenues of $19.3$19.2 billion in the first quarter of 2021 decreased 7%2%, as higher net interest income driven by ICG and PBWM was more than offset by lower non-interest revenue across businesses.
Citigroup’s end-of-period loans were $660 billion, down 1% from the prior-year period, as growth in ICG and PBWM (up 6% and 4%, respectively) was more than offset by lower loans in Legacy Franchises, primarily reflecting lower revenuesthe reclassification of loans to Other assets to reflect held-for-sale accounting as a result of the signing of sale agreements for consumer franchises in Asia and EMEA. Citigroup’s end-of-period deposits increased 3% to $1.3 trillion, driven by increases in both GCBPBWM and ICG.
Expenses
Citigroup operating expenses of $13.2 billion increased 15%. Citigroup’s end-of-period loans decreased 8%expenses included Asia Consumer divestiture-related costs largely related to $666 billion.a goodwill write-down of approximately $535 million (approximately $489 million after-tax) due to the re-segmentation and timing of divestitures. These Asia Consumer divestiture-related costs were recorded in Legacy Franchises. Excluding the impact of FX translation, Citigroup’s end-of-period loans decreasedAsia Consumer divestiture-related costs, operating expenses increased 10%, reflecting lower spend activity in GCB, as well as a higher level of repayments in both GCB and ICG. Citigroup’s end-of-period deposits increased 10% to $1.3 trillion. Excluding the impact of FX translation, Citigroup’s end-of-period deposits increased 7%, primarily driven by 17% growthcontinued investments in GCBCiti’s transformation, business-led investments and 5% growth in ICG, reflecting consistent client engagement and elevated levels of liquidity in the financial system. (Citi’svolume-related expenses, partially offset by productivity savings (as used throughout this Form 10-Q, Citi’s results of operations and financial condition excluding the impact of FX translationthe Asia Consumer divestiture-related costs are non-GAAP financial measures.)
Expenses
Citigroup operating expenses of $11.1 billion increased 4% from the prior-year period, primarily driven by investments in Citi’s transformation, including infrastructure supporting its risk and control environment, as well as other strategic investments, partially offset by efficiency savings. Year-over-year, GCB operating expenses remained largely unchanged, while ICG operating expenses increased 8%measures).
Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims was a cost of $0.8 billion, compared to a benefit of $2.1 billion compared to ain the prior-year period. The higher cost of $7.0credit was driven by a lower ACL release ($0.1 billion versus $3.9 billion in the prior-year period, reflectingperiod), partially offset by lower net ACL reserve releases across ICG, GCB and Corporate/Other. Citi’scredit losses.
The net ACL release included a $1.9 billion ACL build, consisting of $3.9approximately $1 billion related to Citi’s exposures in Russia and approximately $900 million related to the impact of the war in Ukraine on the broader global macroeconomic environment. This build was more than offset by an ACL release related to a COVID-19 uncertainty reserve, primarily reflected an improvement in Citi’s macroeconomic outlook, as well as lower loan balances.U.S. Personal Banking. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates—Citi’s Allowance for Credit Losses (ACL)” below.
Net credit losses of $1.7$0.9 billion decreased 15% from the prior-year period.50%. Consumer net credit losses of $1.6 billion$841 million decreased 19%46%, primarily reflecting lower loan volumes and improved delinquencies in both the
Branded cards portfolios.and Retail services portfolios in U.S. Personal Banking. Corporate net credit losses increaseddecreased 83% to $186$31 million, from $127$185 million in the prior-year period.period, driven by improvements in portfolio credit quality.
For additional information on Citi’s consumer and corporate credit costs, see each respective business’s results of operations and “Credit Risk” below.
Capital
Citigroup’s Common Equity Tier 1 (CET1) Capital ratio was 11.8%11.4% as of March 31, 2021,2022, based on the Basel III Standardized Approach for determining risk-weighted assets, compared to 11.1%11.6% as of March 31, 2020, both2021, based on the Basel III Advanced Approaches framework for determining risk-weighted assets. The increase in the ratiodecrease primarily reflected higher net income, partially offset by the return of capital to common shareholders and an increasethe adverse net movements in risk-weighted assets.the Accumulated other comprehensive income (AOCI) component of equity, partially offset by net income. Additionally, the change in Citi’s CET1 Capital ratio reflected a change in Citi’s binding constraint from the Advanced Approaches to the Standardized Approach, inclusive of the impact of adopting the Standardized Approach for Counterparty Credit Risk (SA-CCR) on January 1, 2022. For additional information on SA-CCR, see “Capital Resources” below.
Citigroup’s Supplementary Leverage ratio as of March 31, 20212022 was 7.0%5.6%, compared to 6.0%6.9% as of March 31, 2020.2021. The increasedecrease was primarily driven by a decreasean increase in Total Leverage Exposure, reflecting the benefitexpiration of temporary relief granted by the Federal Reserve Board. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below.
Global Consumer Banking
GCB net income of $2.2 billion compared to a net loss of $740 million in the prior-year period, reflecting lower cost of credit, partially offset by lower revenues. GCB operating expenses of $4.4 billion were largely unchanged from the prior-year period. Excluding the impact of FX translation, expenses decreased 1%, primarily driven by efficiency savings and lower volume-related expenses, partially offset by investments.
GCB revenues of $7.0 billion decreased 14%. Excluding the impact of FX translation, revenues decreased 15%, as strong deposit growth and momentum in wealth management were more than offset by lower card volumes and lower interest rates across all regions, reflecting the continued impact of the pandemic.
North America GCB revenues of $4.4 billion decreased 15%, with lower revenues across Citi-branded cards, Citi retail services and retail banking, largely reflecting the continued impact of the pandemic. Citi-branded cards revenues of $2.1 billion decreased 11%, reflecting higher payment rates driving lower average loans. Citi retail services revenues of $1.3 billion decreased 26%, primarily driven by higher partner payments as well as lower average loans. Retail banking revenues of $1.0 billion decreased 8%, as the benefit of stronger deposit volumes was more than offset by lower deposit spreads.
Year-over-year, North America GCB average deposits of $197 billion increased 22%, average retail banking loans of $52 billion increased 3% and assets under management of $82 billion increased 32%. Average Citi-branded card loans of $79 billion decreased 15%, while average Citi retail services loans of $44 billion decreased 13%, both reflecting higher payment rates. Citi-branded card purchase sales of $86 billion were largely unchanged, while Citi retail services purchase sales of $19 billion increased 4%, reflecting a continued recovery in sales activity. For additional information on the results of operations of North America GCB for the first quarter of 2021, see “Global Consumer Banking—North America GCB” below.
International GCB revenues (consisting of Latin America GCB and Asia GCB (which includes the results of operations in certain EMEA countries)) of $2.6 billion declined 12% versus the prior-year period. Excluding the impact of FX translation, international GCB revenues declined 14%, largely
reflecting the continued impact of the pandemic. On this basis, Latin America GCB revenues declined 16%, driven by lower loan volumes and lower deposit spreads, partially offset by strong deposit growth. Asia GCB revenues decreased 12%, as lower card revenues and lower deposit spreads were partially offset by higher investments revenues and strong deposit growth. For additional information on the results of operations of Latin America GCB and Asia GCB for the first quarter of 2021, including the impact of FX translation, see “Global Consumer Banking—Latin America GCB” and “Global Consumer Banking—Asia GCB” below.
Year-over-year, excluding the impact of FX translation, international GCB average deposits of $148 billion increased 12%, average retail banking loans of $76 billion were largely unchanged and assets under management of $141 billion increased 23%. On this basis, international GCB average card loans of $22 billion decreased 14% and card purchase sales of $24 billion decreased 5%, both driven by continued lower customer activity related to the pandemic.
Institutional Clients Group
ICG net income of $5.9$2.6 billion increased 64%decreased 51%, primarily driven by lowerhigher expenses, higher cost of credit partially offset by higher expenses and slightly lower revenues. ICG operating expenses increased 8%13% to $6.3$6.7 billion, primarily driven byreflecting continued investments in infrastructureCiti’s transformation, business-led investments and controls as well as other strategic investments, higher compensation costs and volume-driven growth,volume-related expenses, partially offset by efficiencyproductivity savings.
ICG revenues of $12.2$11.2 billion decreased 2%, reflecting a 7% decrease in largely driven by Banking, revenues, partially offset by a 2%an increase in Markets and securities services revenues. The decrease in Banking revenues included the impact of $81 million of losses on loan hedges related to corporate lending and the private bank, compared to gains of $816 million related to corporate lending and the private bank in the prior-year period.Services revenue.
Excluding the impact of gains (losses) on loan hedges, BankingServices revenues of $5.6$3.4 billion increased 9%15%, as higher revenues in investment banking, the private bank and corporate lending were partially offset by a decline in treasury and trade solutions. Investment bankingprimarily from TTS revenues of $2.0$2.6 billion, which increased 46%, primarily driven by strength in equity underwriting and growth in debt underwriting, partially offset by a decline in advisory revenues. Advisory revenues decreased 27% to $281 million, equity underwriting revenues increased significantly to $876 million and debt underwriting revenues increased 4% to $816 million.
Treasury and trade solutions revenues of $2.2 billion declined 11%, or 10% excluding the impact of FX translation, as good client engagement and growth in deposits were more than offset by the impact of lower USD and non-USD interest rates and reduced commercial cards spend. Private bank revenues increased 1% to $1.0 billion. Excluding the impact of gains (losses) on loan hedges, private bank revenues increased 8%18%, driven by net interest income on higher loan volumesdeposit balances and spreads as well as higher deposit volumes and managed investments revenue, partially offset by lower deposit spreads reflecting the impact of lower interest rates. Corporate lendingstrong fee growth. Securities services revenues of $411$858 million decreased 66%. Excluding the impact of gains (losses) on loan hedges, corporate lendingincreased 6%, as net interest income grew 17%, driven by higher interest rates across currencies, and fee revenues of $483 million
increased 8%grew 2%, due to higher assets under custody.
Markets revenues of $5.8 billion were down 2%, versus a very strong quarter in the absence of marks onprior-year period. In the portfoliocurrent quarter, activity levels benefited from client repositioning and strong risk management, driven by the elevated market volatility related to the pandemic in the prior-year period, partially offset by lower loan volumes.
MarketsFederal Reserve’s interest rate increases and securities services revenues of $6.7 billion increased 2%.overall geopolitical and macroeconomic uncertainty. Fixed income markets revenues of $4.6$4.3 billion decreased 5%1%, primarily reflecting strengthas strong client engagement in FX, commodities and rates and currencies in the prior-year period, partiallywas offset by higher revenuesless activity in spread products. Equity markets revenues of $1.5 billion increased 26%were down 4%, compared to a very strong quarter in the prior-year
period, reflecting strong equity derivatives performance and growth in prime finance balances.
Banking revenues of $1.9 billion decreased 23%, including the gain (loss) on loan hedges. Excluding the gain (loss) on loan hedges, Banking revenues decreased 32% versus the prior-year period, as heightened geopolitical uncertainty and the overall macroeconomic backdrop reduced activity in debt and equity capital markets. Investment banking revenues decreased 43% due to lower capital markets activity, partially offset by growth in advisory. Corporate lending revenues of $689 million decreased 6% (excluding gain (loss) on loan hedges), primarily driven by strength in cash equities, derivatives and prime finance, reflecting solid client activity and favorable market conditions. Securities services revenues of $653 million increased 1%. Excluding the impact of FX translation, securities services revenues were unchanged, as growth in deposit volumes, assets under custody and settlement volumes was offset by lower deposit spreads, given lower interest rates.average loans. For additional information on the results of operations of ICG for the first quarter of 2021,2022, see “Institutional Clients Group” below.
Personal Banking and Wealth Management
PBWM net income of $1.9 billion decreased 23%, largely driven by lower revenues, higher expenses and a lower net ACL release. PBWM operating expenses of $3.9 billion increased 14%, driven by transformation and business-led investments, and higher volume-driven expenses, partially offset by productivity savings.
PBWM revenues of $5.9 billion decreased 1%, as higher net interest income was more than offset by lower non-interest revenue.
U.S. Personal Banking revenues of $4.0 billion decreased 1%, with lower revenues across Branded cards and Retail banking. Branded cards revenues of $2.1 billion decreased 1%, due to higher payment rates and higher acquisition and rewards costs, reflecting increases in new accounts and customer engagement. Retail services revenues of $1.3 billion were largely unchanged, as higher net interest income was offset by higher partner payments, driven by lower net credit losses. Retail banking revenues of $595 million decreased 6%, largely driven by lower mortgage originations.
Global Wealth Management revenues of $1.9 billion decreased 1%, primarily due to lower client activity in investments, particularly in Asia.
For additional information on the results of operations of PBWM for the first quarter of 2022, see “Personal Banking and Wealth Management” below.
Legacy Franchises
Legacy Franchises net loss was $383 million, compared to net income of $323 million in the prior-year period, reflecting lower revenues, higher expenses and higher cost of credit. Operating expenses of $2.3 billion increased 31%, reflecting the Asia Consumer divestiture-related costs.
Legacy Franchises revenues of $1.9 billion decreased 14%, largely resulting from the Korea wind-down, as well as muted investment activity in Asia. For additional information on the results of operations of Legacy Franchises for the first quarter of 2022, see “Legacy Franchises” below.
Corporate/Other
Corporate/Other net lossincome was $170$189 million, in the first quarter of 2021, compared to a net loss of $351$194 million in the prior-year period, largely driven primarily by higher revenues and lower cost of credit, reflecting a net ACL release on Citi’s residual legacy portfolio.expenses. Operating expenses of $413
$260 million declined 1%decreased 15%, as investments in infrastructure, risk and controls were largely offset by the allocation of certain costsdue to GCB and ICG. (For additional information about these cost allocations, see Note 3 to the Consolidated Financial Statements.)lower consulting costs.
Corporate/Other revenues of $70$190 million declinedincreased significantly, largely driven by higher revenue from $73 million in the prior-year period, as the impact of lower interest rates was offset by the absence of marks versus the prior-year period, as well as episodic gains in the current quarter.investment portfolio. For additional information on the results of operations of Corporate/Other for the first quarter of 2021,2022, see “Corporate/Other” below.
CITI’S CONSENT ORDER COMPLIANCE
Citi’s multiyear transformation efforts continue. This includes efforts to effectively implement the October 2020 Federal Reserve Board and Office of the Comptroller of the Currency (OCC) consent orders issued to Citigroup and Citibank, respectively. In the second quarter of 2021, Citi made a submission to the OCC. Citi continues to work closely with the regulators to meet their expectations and intends to submit its complete plan to both regulators no later than the third quarter of 2021.
For additional information about Citi’s transformation and the consent orders, see “Citi’s Consent Order Compliance” and “Risk Factors—Compliance Risks” in Citi’s 2020 Annual Report on Form 10-K.
COVID-19 PANDEMIC
In addition to the widespread public health implications, the COVID-19 pandemic has continued to have an extraordinary impact on macroeconomic conditions in the U.S. and around the world. Despite these impacts, Citi has maintained strong capital and liquidity positions with consistently strong business operations. For information on Citi’s support of its colleagues, customers and communities and its management of pandemic risks, see “COVID-19 Pandemic Overview” in Citigroup’s 2020 Annual Report on Form 10-K.
RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA
Citigroup Inc. and Consolidated Subsidiaries
| | | | | | | | | | | | | | |
| First Quarter | | | |
| In millions of dollars, except per share amounts | 2021 | 2020(1) | % Change | | | |
| Net interest revenue | $ | 10,166 | | $ | 11,492 | | (12) | % | | | |
| Non-interest revenue | 9,161 | | 9,239 | | (1) | | | | |
| Revenues, net of interest expense | $ | 19,327 | | $ | 20,731 | | (7) | % | | | |
| Operating expenses | 11,073 | | 10,643 | | 4 | | | | |
| Provisions for credit losses and for benefits and claims | (2,055) | | 6,960 | | NM | | | |
| Income from continuing operations before income taxes | $ | 10,309 | | $ | 3,128 | | NM | | | |
| Income taxes | 2,332 | | 580 | | NM | | | |
| Income from continuing operations | $ | 7,977 | | $ | 2,548 | | NM | | | |
| Income (loss) from discontinued operations, net of taxes | (2) | | (18) | | 89 | % | | | |
| Net income before attribution of noncontrolling interests | $ | 7,975 | | $ | 2,530 | | NM | | | |
| Net income attributable to noncontrolling interests | 33 | | (6) | | NM | | | |
| Citigroup’s net income | $ | 7,942 | | $ | 2,536 | | NM | | | |
| Earnings per share | | | | | | |
| Basic | | | | | | |
| Income from continuing operations | $ | 3.64 | | $ | 1.07 | | NM | | | |
| Net income | 3.64 | | 1.06 | | NM | | | |
| Diluted | | | | | | |
| Income from continuing operations | $ | 3.62 | | $ | 1.06 | | NM | | | |
| Net income | 3.62 | | 1.06 | | NM | | | |
| Dividends declared per common share | 0.51 | | 0.51 | | — | % | | | |
| Common dividends | $ | 1,074 | | $ | 1,081 | | (1) | % | | | |
Preferred dividends(2) | 292 | | 291 | | — | | | | |
| Common share repurchases | 1,600 | | 2,925 | | (45) | | | | |
| | | | | | | | | | | | | | |
| First Quarter | | | |
| In millions of dollars, except per share amounts | 2022 | 2021(1) | % Change | | | |
| Net interest income | $ | 10,871 | | $ | 10,506 | | 3 | % | | | |
| Non-interest revenue | 8,315 | | 9,161 | | (9) | | | | |
| Revenues, net of interest expense | $ | 19,186 | | $ | 19,667 | | (2) | % | | | |
| Operating expenses | 13,165 | | 11,413 | | 15 | | | | |
| Provisions for credit losses and for benefits and claims | 755 | | (2,055) | | NM | | | |
| Income from continuing operations before income taxes | $ | 5,266 | | $ | 10,309 | | (49) | % | | | |
| Income taxes | 941 | | 2,332 | | (60) | | | | |
| Income from continuing operations | $ | 4,325 | | $ | 7,977 | | (46) | % | | | |
| Income (loss) from discontinued operations, net of taxes | (2) | | (2) | | — | | | | |
| Net income before attribution of noncontrolling interests | $ | 4,323 | | $ | 7,975 | | (46) | % | | | |
| Net income attributable to noncontrolling interests | 17 | | 33 | | (48) | | | | |
| Citigroup’s net income | $ | 4,306 | | $ | 7,942 | | (46) | % | | | |
| Earnings per share | | | | | | |
| Basic | | | | | | |
| Income from continuing operations | $ | 2.03 | | $ | 3.64 | | (44) | % | | | |
| Net income | 2.03 | | 3.64 | | (44) | | | | |
| Diluted | | | | | | |
| Income from continuing operations | $ | 2.02 | | $ | 3.62 | | (44) | % | | | |
| Net income | 2.02 | | 3.62 | | (44) | | | | |
| Dividends declared per common share | 0.51 | | 0.51 | | — | | | | |
| Common dividends | $ | 1,014 | | $ | 1,074 | | (6) | % | | | |
Preferred dividends(2) | 279 | | 292 | | (4) | | | | |
| Common share repurchases | 3,000 | | 1,600 | | NM | | | |
Table continues on the next page, including footnotes.
SUMMARY OF SELECTED FINANCIAL DATA
(Continued)
Citigroup Inc. and Consolidated Subsidiaries
| | | | | | | | | | | | | | |
In millions of dollars, except per share amounts, ratios and
direct staff | First Quarter | | | |
| 2021 | 2020(1) | % Change | | | |
| At March 31: | | | | | | |
| Total assets | $ | 2,314,266 | | $ | 2,220,114 | | 4 | % | | | |
| Total deposits | 1,300,975 | | 1,184,911 | | 10 | | | | |
| Long-term debt | 256,335 | | 266,098 | | (4) | | | | |
| Citigroup common stockholders’ equity | 182,269 | | 174,695 | | 4 | | | | |
| Total Citigroup stockholders’ equity | 202,549 | | 192,675 | | 5 | | | | |
| Average assets | 2,316,793 | | 2,080,054 | | 11 | | | | |
Direct staff (in thousands) | 211 | | 201 | | 5 | % | | | |
| Performance metrics | | | | | | |
| Return on average assets | 1.39 | % | 0.49 | % | | | | |
Return on average common stockholders’ equity(3) | 17.2 | | 5.2 | | | | | |
Return on average total stockholders’ equity(3) | 16.1 | | 5.3 | | | | | |
Return on tangible common equity (RoTCE)(4) | 20.1 | | 6.1 | | | | | |
| Efficiency ratio (total operating expenses/total revenues, net) | 57.3 | | 51.3 | | | | | |
| Basel III ratios | | | | | | |
Common Equity Tier 1 Capital(5) | 11.78 | % | 11.11 | % | | | | |
Tier 1 Capital(5) | 13.49 | | 12.54 | | | | | |
Total Capital(5) | 15.64 | | 14.97 | | | | | |
| Supplementary Leverage ratio | 6.96 | | 5.96 | | | | | |
| Citigroup common stockholders’ equity to assets | 7.88 | % | 7.87 | % | | | | |
| Total Citigroup stockholders’ equity to assets | 8.75 | | 8.68 | | | | | |
Dividend payout ratio(6) | 14 | | 48 | | | | | |
Total payout ratio(7) | 35 | | 178 | | | | | |
| Book value per common share | $ | 88.18 | | $ | 83.92 | | 5 | % | | | |
Tangible book value (TBV) per share(4) | 75.50 | | 71.69 | | 5 | | | | |
| | | | | | | | | | | | | | |
In millions of dollars, except per share amounts, ratios and
direct staff | First Quarter | | | |
| 2022 | 2021(1) | % Change | | | |
| At March 31: | | | | | | |
| Total assets | $ | 2,394,105 | | $ | 2,314,266 | | 3 | % | | | |
| Total deposits | 1,333,711 | | 1,300,975 | | 3 | | | | |
| Long-term debt | 253,954 | | 256,335 | | (1) | | | | |
| Citigroup common stockholders’ equity | 178,714 | | 182,269 | | (2) | | | | |
| Total Citigroup stockholders’ equity | 197,709 | | 202,549 | | (2) | | | | |
| Average assets | 2,374,040 | | 2,316,793 | | 2 | | | | |
Direct staff (in thousands) | 228 | | 211 | | 8 | % | | | |
| Performance metrics | | | | | | |
| Return on average assets | 0.74 | % | 1.39 | % | | | | |
Return on average common stockholders’ equity(3) | 9.0 | | 17.2 | | | | | |
Return on average total stockholders’ equity(3) | 8.7 | | 16.1 | | | | | |
Return on tangible common equity (RoTCE)(4) | 10.5 | | 20.1 | | | | | |
| Efficiency ratio (total operating expenses/total revenues, net) | 68.6 | | 58.0 | | | | | |
| Basel III ratios | | | | | | |
Common Equity Tier 1 Capital(5) | 11.38 | % | 11.57 | % | | | | |
Tier 1 Capital(5) | 12.98 | | 13.24 | | | | | |
Total Capital(5) | 14.84 | | 15.36 | | | | | |
| Supplementary Leverage ratio | 5.58 | | 6.95 | | | | | |
| Citigroup common stockholders’ equity to assets | 7.46 | % | 7.88 | % | | | | |
| Total Citigroup stockholders’ equity to assets | 8.26 | | 8.75 | | | | | |
Dividend payout ratio(6) | 25 | | 14 | | | | | |
Total payout ratio(7) | 100 | | 35 | | | | | |
| Book value per common share | $ | 92.03 | | $ | 88.18 | | 4 | % | | | |
Tangible book value (TBV) per share(4) | 79.03 | | 75.50 | | 5 | | | | |
(1) InDuring the fourth quarter of 2020,2021, Citi revised the 2020 second quarter accounting conclusionreclassified deposit insurance expenses from Interest expense to Other operating expenses for its variable post-charge-off third-party collection costs from a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to January 1, 2020 opening retained earnings, rather than 2020 net income. As a result, Citi’s full-year and quarterly resultsall periods presented. Amount reclassified for 2020 were revised to reflect this change as if it were effective as of January 1, 2020, as follows: an increase to beginning retained earnings on January 1, 2020 of $330 million and a decrease of $443 million in the allowance for credit losses on loans, as well as a $113 million decrease in other assets related to income taxes; a decrease of $18 million to provisions for credit losses on loans in the first quarter and increases of $339 million and $122 million to provisions for credit losses on loans in the second and third quarters, respectively; and increases in operating expenses of $49 million and $45 million with a corresponding decrease in net credit losses, in the first and second quarters, respectively. See Note 1 to the Consolidated Financial Statements for additional information.2021 was $340 million.
(2) Certain series of preferred stock have semi-annualsemiannual payment dates. See Note 9 to the Consolidated Financial Statements.20 in Citi’s 2021 Form 10-K.
(3) The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
(4) RoTCE and TBV are non-GAAP financial measures. For information on RoTCE and TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Return on Equity” below.
(5) Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach framework as of March 31, 2022, and Total Capitalunder the Basel III Advanced Approaches framework as of March 31, 2021, and March 31, 2020 werewhereas Citi’s reportable Total Capital ratio was derived under the Basel III Advanced Approaches frameworks.framework for both periods presented.
(6) Dividend payout ratio is calculated as dividendsDividends declared per common share as a percentage of net income per diluted share.
(7) Total payout ratio is calculated as total common dividends declared plus common share repurchases as a percentage of net income available to common shareholders (Net income, less preferred dividends). See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 9 to the Consolidated Financial Statements and “Equity Security Repurchases”“Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends” below for the component details.
NM Not meaningful
SEGMENT REVENUES AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
| | | | | | | | | | | | | | |
| First Quarter | | | |
| In millions of dollars | 2021 | 2020 | % Change | | | |
| Income (loss) from continuing operations | | | | | | |
| Global Consumer Banking | | | | | | |
| North America | $ | 1,857 | | $ | (916) | | NM | | | |
| Latin America | 53 | | (29) | | NM | | | |
Asia(1) | 264 | | 204 | | 29 | % | | | |
| Total | $ | 2,174 | | $ | (741) | | NM | | | |
| Institutional Clients Group | | | | | | |
| North America | $ | 2,798 | | $ | 896 | | NM | | | |
| EMEA | 1,476 | | 1,035 | | 43 | % | | | |
| Latin America | 646 | | 526 | | 23 | | | | |
| Asia | 1,052 | | 1,169 | | (10) | | | | |
| Total | $ | 5,972 | | $ | 3,626 | | 65 | % | | | |
| Corporate/Other | (169) | | (337) | | 50 | | | | |
| Income from continuing operations | $ | 7,977 | | $ | 2,548 | | NM | | | |
| Discontinued operations | $ | (2) | | $ | (18) | | 89 | % | | | |
| Less: Net income attributable to noncontrolling interests | 33 | | (6) | | NM | | | |
| Citigroup’s net income | $ | 7,942 | | $ | 2,536 | | NM | | | |
REVENUES
(1)
| | | | | | | | | | | | | | |
| First Quarter | | | |
| In millions of dollars | 2022 | 2021 | % Change | | | |
| Institutional Clients Group | $ | 11,160 | | $ | 11,388 | | (2) | % | | | |
| Personal Banking and Wealth Management | 5,905 | | 5,992 | | (1) | | | | |
| Legacy Franchises | 1,931 | | 2,243 | | (14) | | | | |
| Corporate/Other | 190 | | 44 | | NM | | | |
| Total Citigroup net revenues | $ | 19,186 | | $ | 19,667 | | (2) | % | | | |
Asia GCB includes the results of operations of GCB activities in certain EMEA countries.
NM Not meaningful
INCOME
CITIGROUP REVENUES
| | | | | | | | | | | | | | |
| First Quarter | | | |
| In millions of dollars | 2021 | 2020 | % Change | | | |
| Global Consumer Banking | | | | | | |
| North America | $ | 4,428 | | $ | 5,224 | | (15) | % | | | |
| Latin America | 1,008 | | 1,199 | | (16) | | | | |
Asia(1) | 1,601 | | 1,751 | | (9) | | | | |
| Total | $ | 7,037 | | $ | 8,174 | | (14) | % | | | |
| Institutional Clients Group | | | | | | |
| North America | $ | 4,898 | | $ | 4,947 | | (1) | % | | | |
| EMEA | 3,713 | | 3,470 | | 7 | | | | |
| Latin America | 1,136 | | 1,418 | | (20) | | | | |
| Asia | 2,473 | | 2,649 | | (7) | | | | |
| Total | $ | 12,220 | | $ | 12,484 | | (2) | % | | | |
| Corporate/Other | 70 | | 73 | | (4) | | | | |
| Total Citigroup net revenues | $ | 19,327 | | $ | 20,731 | | (7) | % | | | |
(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries. | | | | | | | | | | | | | | |
| First Quarter | | | |
| In millions of dollars | 2022 | 2021 | % Change | | | |
| Income (loss) from continuing operations | | | | | | |
| Institutional Clients Group | $ | 2,658 | | $ | 5,430 | | (51) | % | | | |
| Personal Banking and Wealth Management | 1,860 | | 2,420 | | (23) | | | | |
| Legacy Franchises | (385) | | 320 | | NM | | | |
| Corporate/Other | 192 | | (193) | | NM | | | |
| Income from continuing operations | $ | 4,325 | | $ | 7,977 | | (46) | % | | | |
| Discontinued operations | $ | (2) | | $ | (2) | | — | % | | | |
| Less: Net income attributable to noncontrolling interests | 17 | | 33 | | (48) | | | | |
| Citigroup’s net income | $ | 4,306 | | $ | 7,942 | | (46) | % | | | |
SEGMENT BALANCE SHEET(1)—MARCH 31, 20212022
| | In millions of dollars | 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 | In millions of dollars | Institutional
Clients
Group | Personal Banking
and Wealth Management | Legacy Franchises | Corporate/Other and consolidating eliminations(2) | Citigroup parent company- issued long-term debt and stockholders’ equity(3) | Total
Citigroup
consolidated |
| Assets | Assets | | | | | Assets | | | | | |
| Cash and deposits with banks, net of allowance | Cash and deposits with banks, net of allowance | $ | 7,403 | | $ | 82,109 | | $ | 235,170 | | $ | — | | $ | 324,682 | | Cash and deposits with banks, net of allowance | $ | 100,393 | | $ | 5,372 | | $ | 3,576 | | $ | 162,746 | | $ | — | | $ | 272,087 | |
| Securities borrowed and purchased under agreements to resell, net of allowance | Securities borrowed and purchased under agreements to resell, net of allowance | 235 | | 314,639 | | 198 | | — | | 315,072 | | Securities borrowed and purchased under agreements to resell, net of allowance | 345,056 | | — | | 354 | | — | | — | | 345,410 | |
| Trading account assets | Trading account assets | 1,828 | | 345,604 | | 13,227 | | — | | 360,659 | | Trading account assets | 342,986 | | 2,645 | | 1,298 | | 11,068 | | — | | 357,997 | |
| Investments, net of allowance | Investments, net of allowance | 1,239 | | 129,331 | | 342,389 | | — | | 472,959 | | Investments, net of allowance | 132,308 | | 71 | | 1,875 | | 380,348 | | — | | 514,602 | |
Loans, net of unearned income and allowance
for credit losses on loans | Loans, net of unearned income and allowance
for credit losses on loans | 250,566 | | 387,916 | | 5,868 | | — | | 644,350 | | Loans, net of unearned income and allowance for credit losses on loans | 299,351 | | 302,551 | | 42,374 | | — | | — | | 644,276 | |
| Other assets, net of allowance | Other assets, net of allowance | 39,902 | | 114,004 | | 42,638 | | — | | 196,544 | | Other assets, net of allowance | 136,983 | | 27,332 | | 45,430 | | 49,988 | | — | | 259,733 | |
Net inter-segment liquid assets(4) | Net inter-segment liquid assets(4) | 137,666 | | 402,604 | | (540,270) | | — | | — | | Net inter-segment liquid assets(4) | 347,381 | | 138,508 | | 27,002 | | (512,891) | | — | | — | |
| Total assets | Total assets | $ | 438,839 | | $ | 1,776,207 | | $ | 99,220 | | $ | — | | $ | 2,314,266 | | Total assets | $ | 1,704,458 | | $ | 476,479 | | $ | 121,909 | | $ | 91,259 | | $ | — | | $ | 2,394,105 | |
| Liabilities and equity | Liabilities and equity | | | | | Liabilities and equity | | | | | |
| Total deposits | Total deposits | $ | 353,423 | | $ | 938,292 | | $ | 9,260 | | $ | — | | $ | 1,300,975 | | Total deposits | $ | 825,515 | | $ | 451,590 | | $ | 51,401 | | $ | 5,205 | | $ | — | | $ | 1,333,711 | |
Securities loaned and sold under agreements
to repurchase | Securities loaned and sold under agreements
to repurchase | 2,095 | | 217,071 | | 2 | | — | | 219,168 | | Securities loaned and sold under agreements
to repurchase | 200,623 | | 515 | | 3,349 | | 7 | | — | | 204,494 | |
| Trading account liabilities | Trading account liabilities | 1,208 | | 177,139 | | 770 | | — | | 179,117 | | Trading account liabilities | 185,652 | | 1,809 | | 250 | | 348 | | — | | 188,059 | |
| Short-term borrowings | Short-term borrowings | — | | 28,078 | | 4,009 | | — | | 32,087 | | Short-term borrowings | 29,759 | | 7 | | 106 | | 272 | | — | | 30,144 | |
Long-term debt(3) | Long-term debt(3) | 1,174 | | 74,804 | | 16,258 | | 164,099 | | 256,335 | | Long-term debt(3) | 70,178 | | 176 | | 555 | | 12,903 | | 170,142 | | 253,954 | |
| Other liabilities, net of allowance | 19,267 | | 82,471 | | 21,573 | | — | | 123,311 | | |
| Other liabilities | | Other liabilities | 116,714 | | 10,494 | | 43,515 | | 14,667 | | — | | 185,390 | |
Net inter-segment funding (lending)(3) | Net inter-segment funding (lending)(3) | 61,672 | | 258,352 | | 46,624 | | (366,648) | | — | | Net inter-segment funding (lending)(3) | 276,017 | | 11,888 | | 22,733 | | 57,213 | | (367,851) | | — | |
| Total liabilities | Total liabilities | $ | 438,839 | | $ | 1,776,207 | | $ | 98,496 | | $ | (202,549) | | $ | 2,110,993 | | Total liabilities | $ | 1,704,458 | | $ | 476,479 | | $ | 121,909 | | $ | 90,615 | | $ | (197,709) | | $ | 2,195,752 | |
Total stockholders’ equity(5) | Total stockholders’ equity(5) | — | | — | | 724 | | 202,549 | | 203,273 | | Total stockholders’ equity(5) | — | | — | | — | | 644 | | 197,709 | | 198,353 | |
| Total liabilities and equity | Total liabilities and equity | $ | 438,839 | | $ | 1,776,207 | | $ | 99,220 | | $ | — | | $ | 2,314,266 | | Total liabilities and equity | $ | 1,704,458 | | $ | 476,479 | | $ | 121,909 | | $ | 91,259 | | $ | — | | $ | 2,394,105 | |
(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of March 31, 2021.reportable segment. The respective segment information depicts the assets and liabilities managed by each segment as of such date.segment.
(2)Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within Corporate/Other.
(3)The total stockholders’ equity and the majority of long-term debt of Citigroup are reflected on the Citigroup parent company balance sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)Represents the attribution of Citigroup’s liquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage ratio (LCR) assumptions.
(5)Corporate/Other equity represents noncontrolling interests.
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, Citi-branded cards and, in the U.S., Citi retail services. GCB is focused on markets in the U.S., Mexico and Asia. As of March 31, 2021, GCB had 2,241 branches in 19 countries and jurisdictions with $439 billion in assets and $353 billion in retail banking deposits.
GCB’s strategy is to leverage its global footprint and digital capabilities to develop multi-product relationships with customers—both in and out of Citi’s branch footprint. To achieve this, GCB strives to optimize its clients’ experiences across lending, payments and wealth management through continued digitization, new partnerships and innovation. For information on Citi’s recently announced strategic actions, including its intention to pursue exits of consumer franchises in 13 markets across Asia and EMEA, see “Asia GCB” below.
| | | | | | | | | | | | | | |
| First Quarter | | | |
| In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | | | |
| Net interest revenue | $ | 5,953 | | $ | 7,072 | | (16) | % | | | |
| Non-interest revenue | 1,084 | | 1,102 | | (2) | | | | |
| Total revenues, net of interest expense | $ | 7,037 | | $ | 8,174 | | (14) | % | | | |
| Total operating expenses | $ | 4,396 | | $ | 4,417 | | — | % | | | |
| Net credit losses on loans | $ | 1,580 | | $ | 1,934 | | (18) | % | | | |
| Credit reserve build (release) for loans | (1,806) | | 2,811 | | NM | | | |
| Provision (release) for credit losses on unfunded lending commitments | — | | (1) | | 100 | | | | |
| Provisions for benefits and claims, HTM debt securities and other assets | 35 | | 20 | | 75 | | | | |
| Provisions (releases) for credit losses and for benefits and claims (PBC) | $ | (191) | | $ | 4,764 | | NM | | | |
| Income (loss) from continuing operations before taxes | $ | 2,832 | | $ | (1,007) | | NM | | | |
| Income taxes (benefits) | 658 | | (266) | | NM | | | |
| Income (loss) from continuing operations | $ | 2,174 | | $ | (741) | | NM | | | |
| Noncontrolling interests | (3) | | (1) | | NM | | | |
| Net income (loss) | $ | 2,177 | | $ | (740) | | NM | | | |
| Balance Sheet data and ratios | | | | | | |
EOP assets (in billions of dollars) | $ | 439 | | $ | 403 | | 9 | % | | | |
Average assets (in billions of dollars) | 439 | | 406 | | 8 | | | | |
| Return on average assets | 2.01 | % | (0.73) | % | | | | |
| Efficiency ratio | 62 | | 54 | | | | | |
Average retail banking deposits (in billions of dollars) | $ | 345 | | $ | 290 | | 19 | | | | |
| Net credit losses as a percentage of average loans | 2.36 | % | 2.68 | % | | | | |
| Revenue by business | | | | | | |
| Retail banking | $ | 2,844 | | $ | 3,046 | | (7) | % | | | |
Cards(1) | 4,193 | | 5,128 | | (18) | | | | |
| Total | $ | 7,037 | | $ | 8,174 | | (14) | % | | | |
| Income (loss) from continuing operations by business | | | | | | |
| Retail banking | $ | 261 | | $ | 127 | | NM | | | |
Cards(1) | 1,913 | | (868) | | NM | | | |
| Total | $ | 2,174 | | $ | (741) | | NM | | | |
Table continues on the next page, including footnotes.
| | | | | | | | | | | | | | |
| Foreign currency (FX) translation impact | | | | | | |
| Total revenue—as reported | $ | 7,037 | | $ | 8,174 | | (14) | % | | | |
Impact of FX translation(2) | — | | 69 | | | | | |
Total revenues—ex-FX(3) | $ | 7,037 | | $ | 8,243 | | (15) | % | | | |
| Total operating expenses—as reported | $ | 4,396 | | $ | 4,417 | | — | % | | | |
Impact of FX translation(2) | — | | 44 | | | | | |
Total operating expenses—ex-FX(3) | $ | 4,396 | | $ | 4,461 | | (1) | % | | | |
| Total provisions for credit losses and PBC—as reported | $ | (191) | | $ | 4,764 | | NM | | | |
Impact of FX translation(2) | — | | 20 | | | | | |
Total provisions for credit losses and PBC—ex-FX(3) | $ | (191) | | $ | 4,784 | | NM | | | |
| Net income—as reported | $ | 2,177 | | $ | (740) | | NM | | | |
Impact of FX translation(2) | — | | 3 | | | | | |
Net income—ex-FX(3) | $ | 2,177 | | $ | (737) | | NM | | | |
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the first quarter of 2021 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful
NORTH AMERICA GCB
North America GCB provides traditional retail banking and Citi-branded and Citi retail services card products to retail and small business customers 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.
At March 31, 2021, North America GCB had 687 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 March 31, 2021, North America GCB had $50.9 billion in retail banking loans and $204.0 billion in retail banking deposits. In addition, North America GCB had $121.0 billion in outstanding card loan balances.
| | | | | | | | | | | | | | |
| First Quarter | | | |
| In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | | | |
| Net interest revenue | $ | 4,307 | | $ | 5,036 | | (14) | % | | | |
| Non-interest revenue | 121 | | 188 | | (36) | | | | |
| Total revenues, net of interest expense | $ | 4,428 | | $ | 5,224 | | (15) | % | | | |
| Total operating expenses | $ | 2,478 | | $ | 2,572 | | (4) | % | | | |
| Net credit losses on loans | $ | 950 | | $ | 1,490 | | (36) | % | | | |
| Credit reserve build (release) for loans | (1,417) | | 2,371 | | NM | | | |
| Provision (release) for credit losses on unfunded lending commitments | — | | (1) | | 100 | | | | |
| Provisions for benefits and claims, HTM debt securities and other assets | 2 | | 5 | | (60) | | | | |
| Provisions (releases) for credit losses and for benefits and claims | $ | (465) | | $ | 3,865 | | NM | | | |
| Income (loss) from continuing operations before taxes | $ | 2,415 | | $ | (1,213) | | NM | | | |
| Income taxes (benefits) | 558 | | (297) | | NM | | | |
| Income (loss) from continuing operations | $ | 1,857 | | $ | (916) | | NM | | | |
| Noncontrolling interests | — | | — | | — | % | | | |
| Net income (loss) | $ | 1,857 | | $ | (916) | | NM | | | |
| Balance Sheet data and ratios | | | | | | |
Average assets (in billions of dollars) | $ | 265 | | $ | 246 | | 8 | % | | | |
| Return on average assets | 2.84 | % | (1.50) | % | | | | |
| Efficiency ratio | 56 | | 49 | | | | | |
Average retail banking deposits (in billions of dollars) | $ | 197 | | $ | 161 | | 22 | | | | |
| Net credit losses as a percentage of average loans | 2.21 | % | 3.10 | % | | | | |
| Revenue by business | | | | | | |
| Retail banking | $ | 1,041 | | $ | 1,130 | | (8) | % | | | |
| Citi-branded cards | 2,091 | | 2,347 | | (11) | | | | |
| Citi retail services | 1,296 | | 1,747 | | (26) | | | | |
| Total | $ | 4,428 | | $ | 5,224 | | (15) | % | | | |
| Income (loss) from continuing operations by business | | | | | | |
| Retail banking | $ | 3 | | $ | (73) | | NM | | | |
| Citi-branded cards | 1,119 | | (523) | | NM | | | |
| Citi retail services | 735 | | (320) | | NM | | | |
| Total | $ | 1,857 | | $ | (916) | | NM | | | |
NM Not meaningful
1Q21 vs. 1Q20
Net income was $1.9 billion, compared to a net loss of $916 million in the prior-year period, reflecting significantly lower cost of credit and lower expenses, partially offset by lower revenues.
Revenues decreased 15%, reflecting lower revenues in Citi retail services, Citi-branded cards and retail banking, primarily reflecting the continued impact of the pandemic, including lower interest rates.
Retail banking revenues decreased 8%, as the benefit of stronger deposit volumes and growth in assets under management (increase of 32%) was more than offset by lower deposit spreads, reflecting lower interest rates. Average deposits increased 22%, driven by government stimulus payments and a reduction in overall consumer spending related to the pandemic, as well as continued strategic efforts to drive organic growth.
Cards revenues decreased 17%. Citi-branded cards revenues decreased 11%, primarily reflecting lower average loans (decline of 15%), driven by higher payment rates, reflecting increased customer liquidity from government stimulus. Purchase sales were largely unchanged, reflecting a continued recovery in sales activity.
Citi retail services revenues decreased 26%, primarily driven by higher contractual partner payments, reflecting higher income sharing as a result of lower forecasted losses, as well as lower average loans. (For additional information on partner payments, see Note 5 to the Consolidated Financial Statements.) Average loans were down 13%, reflecting higher payment rates, driven by the increased customer liquidity. Purchase sales increased 4%, reflecting a continued recovery in sales activity.
Expenses decreased 4%, primarily driven by lower marketing costs and volume-related expenses, partially offset by investments.
Provisions reflected a benefit of $465 million in the first quarter of 2021 compared to costs of $3.9 billion in the prior-year period, primarily driven by a net ACL release in the current period compared to a net ACL build in the prior-year period, as well as lower net credit losses. Net credit losses decreased 36%, comprised of lower net credit losses in Citi retail services (down 44% to $373 million) and Citi-branded cards (down 29% to $551 million), primarily reflecting lower loan volumes and improved delinquencies, due to the benefits of relief programs, higher levels of liquidity and lower overall customer spending activity.
The net ACL release in the first quarter was $1.4 billion (compared to a build of $2.4 billion in the prior-year period), reflecting lower loan volumes, as well as the impact of Citi’s improved macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on North America GCB’s retail banking, and its Citi-branded cards and Citi retail services portfolios, see “Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to North America GCB’s future results, see “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
LATIN AMERICA GCB
Latin America GCB provides traditional retail banking and Citi-branded card products to retail and small business customers in Mexico through Citibanamex, one of Mexico’s largest banks.
At March 31, 2021, Latin America GCB had 1,331 retail branches in Mexico, with $9.1 billion in retail banking loans and $24.0 billion in deposits. In addition, the business had $4.3 billion in outstanding card loan balances.
| | | | | | | | | | | | | | |
| First Quarter | | | |
| In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | | |
| Net interest revenue | $ | 658 | | $ | 887 | | (26) | % | | | |
| Non-interest revenue | 350 | | 312 | | 12 | | | | |
| Total revenues, net of interest expense | $ | 1,008 | | $ | 1,199 | | (16) | % | | | |
| Total operating expenses | $ | 701 | | $ | 705 | | (1) | % | | | |
| Net credit losses on loans | $ | 365 | | $ | 271 | | 35 | % | | | |
| Credit reserve build (release) for loans | (163) | | 256 | | NM | | | |
| Provision for credit losses on unfunded lending commitments | — | | — | | — | | | | |
| Provisions for benefits and claims, HTM debt securities and other assets | 29 | | 15 | | 93 | | | | |
| Provisions for credit losses and for benefits and claims (PBC) | $ | 231 | | $ | 542 | | (57) | % | | | |
| Income (loss) from continuing operations before taxes | $ | 76 | | $ | (48) | | NM | | | |
| Income taxes (benefits) | 23 | | (19) | | NM | | | |
| Income (loss) from continuing operations | $ | 53 | | $ | (29) | | NM | | | |
| | | | | | |
| Net income (loss) | $ | 53 | | $ | (29) | | NM | | | |
| Balance Sheet data and ratios | | | | | | |
Average assets (in billions of dollars) | $ | 34 | | $ | 35 | | (3) | % | | | |
| Return on average assets | 0.63 | % | (0.33) | % | | | | |
| Efficiency ratio | 70 | | 59 | | | | | |
Average deposits (in billions of dollars) | $ | 25 | | $ | 23 | | 9 | | | | |
| Net credit losses as a percentage of average loans | 10.65 | % | 6.53 | % | | | | |
| Revenue by business | | | | | | |
| Retail banking | $ | 723 | | $ | 783 | | (8) | % | | | |
| Citi-branded cards | 285 | | 416 | | (31) | | | | |
| Total | $ | 1,008 | | $ | 1,199 | | (16) | % | | | |
| Income (loss) from continuing operations by business | | | | | | |
| Retail banking | $ | 41 | | $ | (20) | | NM | | | |
| Citi-branded cards | 12 | | (9) | | NM | | | |
| Total | $ | 53 | | $ | (29) | | NM | | | |
| FX translation impact | | | | | | |
| Total revenues—as reported | $ | 1,008 | | $ | 1,199 | | (16) | % | | | |
Impact of FX translation(1) | — | | 2 | | | | | |
Total revenues—ex-FX(2) | $ | 1,008 | | $ | 1,201 | | (16) | % | | | |
| Total operating expenses—as reported | $ | 701 | | $ | 705 | | (1) | % | | | |
Impact of FX translation(1) | — | | 1 | | | | | |
Total operating expenses—ex-FX(2) | $ | 701 | | $ | 706 | | (1) | % | | | |
| Provisions for credit losses and PBC—as reported | $ | 231 | | $ | 542 | | (57) | % | | | |
Impact of FX translation(1) | — | | 1 | | | | | |
Provisions for credit losses and PBC—ex-FX(2) | $ | 231 | | $ | 543 | | (57) | % | | | |
| Net income (loss)—as reported | $ | 53 | | $ | (29) | | NM | | | |
Impact of FX translation(1) | — | | — | | | | | |
Net income (loss)—ex-FX(2) | $ | 53 | | $ | (29) | | NM | | | |
(1)Reflects the impact of FX translation into U.S. dollars at the first quarter of 2021 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.
1Q21 vs. 1Q20
Net income was $53 million, compared to a net loss of $29 million in the prior-year period, reflecting significantly lower cost of credit, partially offset by lower revenues.
Revenues decreased 16%, reflecting lower cards and retail banking revenues, largely reflecting the continued impact of the pandemic and the ongoing slowdown in overall economic growth and industry volumes in Mexico.
Retail banking revenues decreased 8%, driven by a decline in loan volumes and lower deposit spreads, partially offset by deposit growth. Average deposits increased 9%, while average loans decreased 13%, reflecting the impact of the pandemic on customer activity, as well as the ongoing economic slowdown. Assets under management increased 17%, including the continued benefit of market movements, as well as improved client engagement.
Cards revenues decreased 32%, primarily driven by lower purchase sales (down 8%) and lower average loans (down 17%), reflecting the continued impact of the pandemic on customer activity and the ongoing economic slowdown.
Expenses decreased 1%, as efficiency savings more than offset investments.
Provisions decreased 57%, primarily driven by a net ACL release compared to a net ACL build in the prior-year period, partially offset by higher net credit losses. Net credit losses increased 34%, driven by the expiration of consumer relief programs and the continued adverse pandemic-related macroeconomic impacts in Mexico.
The net ACL release in the first quarter was $163 million, compared to a build of $256 million in the prior-year period. The release reflected Citi’s improved macroeconomic outlook, as well as lower loan volumes. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on LatinAmerica GCB’s retail banking and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to Latin America GCB’s future results, see “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
ASIA GCB
Asia GCB provides traditional retail banking and Citi-branded card products to retail and small business customers. During the first quarter of 2021, Asia GCB’s most significant revenueswere from Hong Kong, Singapore, South Korea, Taiwan, Australia, India, Thailand, China, the Philippines and Indonesia. Included within Asia GCB are traditional retail banking and Citi-branded card products provided to retail customers in certain EMEA countries, primarily the UAE, Russia and Poland.
At March 31, 2021, on a combined basis, the businesses had 223 retail branches, $65.8 billion in retail banking loans and $125.3 billion in deposits. In addition, the businesses had $16.8 billion in outstanding card loan balances.
As discussed above, Citi will focus its consumer banking franchise in Asia and EMEA on four wealth centers: Singapore, Hong Kong, the UAE and London. As a result, Citi intends to pursue exits of its consumer franchises in the remaining 13 markets across the two regions: Australia, Bahrain, China, India, Indonesia, South Korea, Malaysia, the Philippines, Poland, Russia, Taiwan, Thailand and Vietnam. These consumer franchises had a combined $82 billion of assets, $56 billion of total loans and $56 billion in deposits as of December 31, 2020.
| | | | | | | | | | | | | | |
| First Quarter | | | |
In millions of dollars, except as otherwise noted(1) | 2021 | 2020 | % Change | | |
| Net interest revenue | $ | 988 | | $ | 1,149 | | (14) | % | | | |
| Non-interest revenue | 613 | | 602 | | 2 | | | | |
| Total revenues, net of interest expense | $ | 1,601 | | $ | 1,751 | | (9) | % | | | |
| Total operating expenses | $ | 1,217 | | $ | 1,140 | | 7 | % | | | |
| Net credit losses on loans | $ | 265 | | $ | 173 | | 53 | % | | | |
| Credit reserve build (release) for loans | (226) | | 184 | | NM | | | |
| Provisions for HTM debt securities and other assets | 4 | | — | | 100 | | | | |
| Provisions for credit losses | $ | 43 | | $ | 357 | | (88) | % | | | |
| Income from continuing operations before taxes | $ | 341 | | $ | 254 | | 34 | % | | | |
| Income taxes | 77 | | 50 | | 54 | | | | |
| Income from continuing operations | $ | 264 | | $ | 204 | | 29 | % | | | |
| Noncontrolling interests | (3) | | (1) | | NM | | | |
| Net income | $ | 267 | | $ | 205 | | 30 | % | | | |
| Balance Sheet data and ratios | | | | | | |
Average assets (in billions of dollars) | $ | 140 | | $ | 125 | | 12 | % | | | |
| Return on average assets | 0.77 | % | 0.66 | % | | | | |
| Efficiency ratio | 76 | | 65 | | | | | |
Average deposits (in billions of dollars) | $ | 124 | | $ | 106 | | 17 | | | | |
| Net credit losses as a percentage of average loans | 1.29 | % | 0.87 | % | | | | |
| Revenue by business | | | | | | |
| Retail banking | $ | 1,080 | | $ | 1,133 | | (5) | % | | | |
| Citi-branded cards | 521 | | 618 | | (16) | | | | |
| Total | $ | 1,601 | | $ | 1,751 | | (9) | % | | | |
| Income (loss) from continuing operations by business | | | | | | |
| Retail banking | $ | 217 | | $ | 220 | | (1) | % | | | |
| Citi-branded cards | 47 | | (16) | | NM | | | |
| Total | $ | 264 | | $ | 204 | | 29 | % | | | |
| | | | | | | | | | | | | | |
| FX translation impact | | | | | | |
| Total revenues—as reported | $ | 1,601 | | $ | 1,751 | | (9) | % | | | |
Impact of FX translation(2) | — | | 67 | | | | | |
Total revenues—ex-FX(3) | $ | 1,601 | | $ | 1,818 | | (12) | % | | | |
| Total operating expenses—as reported | $ | 1,217 | | $ | 1,140 | | 7 | % | | | |
Impact of FX translation(2) | — | | 43 | | | | | |
Total operating expenses—ex-FX(3) | $ | 1,217 | | $ | 1,183 | | 3 | % | | | |
| Provisions for credit losses—as reported | $ | 43 | | $ | 357 | | (88) | % | | | |
Impact of FX translation(2) | — | | 19 | | | | | |
Provisions for credit losses—ex-FX(3) | $ | 43 | | $ | 376 | | (89) | % | | | |
| Net income—as reported | $ | 267 | | $ | 205 | | 30 | % | | | |
Impact of FX translation(2) | — | | 3 | | | | | |
Net income—ex-FX(3) | $ | 267 | | $ | 208 | | 28 | % | | | |
(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
(2) Reflects the impact of FX translation into U.S. dollars at the first quarter of 2021 average exchange rates for all periods presented.
(3) Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful
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.
1Q21 vs. 1Q20
Net income increased 28%, reflecting significantly lower cost of credit, partially offset by lower revenues and higher expenses.
Revenues decreased 12%, reflecting lower cards and retail banking revenues, largely due to the continued impact of the pandemic, including lower interest rates.
Retail banking revenues decreased 8%, primarily driven by lower deposit spreads due to lower interest rates and lower FX revenues, partially offset by strong investment revenues and deposit growth. Average deposits increased 13% and average loans increased 2%. Assets under management increased 29% and investment sales increased 49%, reflecting strong client engagement as well as favorable market conditions. The decline in retail banking was also impacted by a 2% decrease in retail lending revenues, as growth in mortgages was more than offset by a decline in personal loans, driven by the continued impact of the pandemic.
Cards revenues decreased 19%, primarily driven by lower spreads and by lower average loans (down 13%) and purchase sales (down 5%), largely reflecting the continued impact of the pandemic on customer activity, including lower travel spend in the region, given Citi’s skew to an affluent client base and a greater proportion of fee revenues coming from travel-related interchange and foreign transaction fees.
Expenses increased 3%, primarily driven by investments, partially offset by efficiency savings and volume-related expenses.
Provisions decreased 89%, primarily driven by a net ACL release compared to a net ACL build in the prior-year period, partially offset by higher net credit losses. Net credit losses increased 46%, driven by the expiration of consumer relief programs and the continued adverse pandemic-related macroeconomic impacts in the region.
The net ACL release in the first quarter was $226 million, compared to a build of $194 million in the prior-year period.
The release reflected Citi’s improved macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on Asia GCB’s retail banking portfolios and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to Asia GCB’s future results, see “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
INSTITUTIONAL CLIENTS GROUP
Institutional Clients Group (ICG) includes Banking and Services, Markets and securities servicesBanking (for additional information on these businesses, see “Citigroup Operating Segments” above). ICG provides corporate, institutional and 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 2020 Annual Report on2021 Form 10-K.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 9695 countries and jurisdictions. At March 31, 2021,2022, ICG had $1.8$1.7 trillion in assets and $938$825 billion in deposits, while two of its businesses—securitiesdeposits. Securities services and issuer services—managed $24.8$23.0 trillion in assets under custody comparedand administration at March 31, 2022, of which Citi provided both custody and administrative services to $24.0certain clients related to $1.9 trillion at December 31, 2020 and $18.7of such assets. Managed assets under trust were $4.0 trillion at March 31, 2020.2022. For additional information on these operations, see “Administration and Other Fiduciary Fees” in Note 5.
| | | | | | | | | | | | | | |
| First Quarter | | | |
| In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | | |
| Commissions and fees | $ | 1,252 | | $ | 1,222 | | 2 | % | | | |
| Administration and other fiduciary fees | 814 | | 691 | | 18 | | | | |
| Investment banking | 1,800 | | 1,231 | | 46 | | | | |
| Principal transactions | 3,842 | | 5,359 | | (28) | | | | |
| Other | 360 | | (114) | | NM | | | |
| Total non-interest revenue | $ | 8,068 | | $ | 8,389 | | (4) | % | | | |
| Net interest revenue (including dividends) | 4,152 | | 4,095 | | 1 | | | | |
| Total revenues, net of interest expense | $ | 12,220 | | $ | 12,484 | | (2) | % | | | |
| Total operating expenses | $ | 6,264 | | $ | 5,810 | | 8 | % | | | |
| Net credit losses on loans | $ | 186 | | $ | 127 | | 46 | % | | | |
| Credit reserve build (release) for loans | (1,312) | | 1,316 | | NM | | | |
| Provision (release) for credit losses on unfunded lending commitments | (621) | | 553 | | NM | | | |
| Provisions (releases) for credit losses on HTM debt securities and other assets | (5) | | 8 | | NM | | | |
| Provisions (releases) for credit losses | $ | (1,752) | | $ | 2,004 | | NM | | | |
| Income from continuing operations before taxes | $ | 7,708 | | $ | 4,670 | | 65 | % | | | |
| Income taxes | 1,736 | | 1,044 | | 66 | | | | |
| Income from continuing operations | $ | 5,972 | | $ | 3,626 | | 65 | % | | | |
| Noncontrolling interests | 37 | | (1) | | NM | | | |
| Net income | $ | 5,935 | | $ | 3,627 | | 64 | % | | | |
Balance Sheet data and ratios (in billions of dollars) | | | | | | |
EOP assets (in billions of dollars) | $ | 1,776 | | $ | 1,723 | | 3 | % | | | |
Average assets (in billions of dollars) | 1,787 | | 1,580 | | 13 | | | | |
| Return on average assets | 1.35 | % | 0.92 | % | | | | |
| Efficiency ratio | 51 | | 47 | | | | | |
| Revenues by region | | | | | | |
| North America | $ | 4,898 | | $ | 4,947 | | (1) | % | | | |
| EMEA | 3,713 | | 3,470 | | 7 | | | | |
| Latin America | 1,136 | | 1,418 | | (20) | | | | |
| Asia | 2,473 | | 2,649 | | (7) | | | | |
| Total | $ | 12,220 | | $ | 12,484 | | (2) | % | | | |
| Income from continuing operations by region | | | | | | |
| North America | $ | 2,798 | | $ | 896 | | NM | | | |
| EMEA | 1,476 | | 1,035 | | 43 | % | | | |
| Latin America | 646 | | 526 | | 23 | | | | |
| Asia | 1,052 | | 1,169 | | (10) | | | | |
| Total | $ | 5,972 | | $ | 3,626 | | 65 | % | | | |
| | | | | | | | | | | | | | |
Average loans by region (in billions of dollars) | | | | | | |
| North America | $ | 195 | | $ | 196 | | (1) | % | | | |
| EMEA | 89 | | 88 | | 1 | | | | |
| Latin America | 32 | | 38 | | (16) | | | | |
| Asia | 71 | | 73 | | (3) | | | | |
| Total | $ | 387 | | $ | 395 | | (2) | % | | | |
EOP deposits by business (in billions of dollars) | | | | | | |
| Treasury and trade solutions | $ | 649 | | $ | 622 | | 4 | % | | | |
All other ICG businesses | 289 | | 256 | | 13 | | | | |
| Total | $ | 938 | | $ | 878 | | 7 | % | | | |
| | | | | | | | | | | | | | |
| First Quarter | | | |
| In millions of dollars, except as otherwise noted | 2022 | 2021 | % Change | | | |
| Commissions and fees | $ | 1,130 | | $ | 1,110 | | 2 | % | | | |
| Administration and other fiduciary fees | 672 | | 657 | | 2 | | | | |
| Investment banking | 1,039 | | 1,787 | | (42) | | | | |
| Principal transactions | 4,442 | | 3,745 | | 19 | | | | |
| Other | 93 | | 356 | | (74) | | | | |
| Total non-interest revenue | $ | 7,376 | | $ | 7,655 | | (4) | % | | | |
| Net interest income (including dividends) | 3,784 | | 3,733 | | 1 | | | | |
| Total revenues, net of interest expense | $ | 11,160 | | $ | 11,388 | | (2) | % | | | |
| Total operating expenses | $ | 6,723 | | $ | 5,932 | | 13 | % | | | |
| Net credit losses on loans | $ | 30 | | $ | 175 | | (83) | % | | | |
| Credit reserve build (release) for loans | 596 | | (1,103) | | NM | | | |
| Provision (release) for credit losses on unfunded lending commitments | 352 | | (606) | | NM | | | |
| Provisions (releases) for credit losses on HTM debt securities and other assets | (7) | | (5) | | (40) | | | | |
| Provisions (releases) for credit losses | $ | 971 | | $ | (1,539) | | NM | | | |
| Income from continuing operations before taxes | $ | 3,466 | | $ | 6,995 | | (50) | % | | | |
| Income taxes | 808 | | 1,565 | | (48) | | | | |
| Income from continuing operations | $ | 2,658 | | $ | 5,430 | | (51) | % | | | |
| Noncontrolling interests | 18 | | 37 | | (51) | | | | |
| Net income | $ | 2,640 | | $ | 5,393 | | (51) | % | | | |
Balance Sheet data (in billions of dollars) | | | | | | |
| EOP assets | $ | 1,704 | | $ | 1,636 | | 4 | % | | | |
| Average assets | 1,685 | | 1,649 | | 2 | | | | |
| Efficiency ratio | 60 | % | 52 | % | | | | |
Average loans by reporting unit (in billions of dollars) | | | | | | |
| Services | $ | 81 | | $ | 70 | | 16 | % | | | |
| Banking | 194 | | 197 | | (2) | | | | |
| Markets | 14 | | 14 | | — | | | | |
| Total | $ | 289 | | $ | 281 | | 3 | % | | | |
Average deposits by reporting unit (in billions of dollars) | | | | | | |
| TTS | $ | 664 | | $ | 653 | | 2 | % | | | |
| Securities services | 135 | | 128 | | 5 | | | | |
| Services | $ | 799 | | $ | 781 | | 2 | % | | | |
| Markets | 27 | | 28 | | (4) | | | | |
| Total | $ | 826 | | $ | 809 | | 2 | % | | | |
NM Not meaningful
ICG Revenue Details
| | | | | | | | | | | | | | |
| First Quarter | | | |
| In millions of dollars | 2021 | 2020 | % Change | | |
Investment banking revenue details | | | | | | |
| Advisory | $ | 281 | | $ | 386 | | (27) | % | | | |
| Equity underwriting | 876 | | 180 | | NM | | | |
| Debt underwriting | 816 | | 788 | | 4 | | | | |
| Total investment banking | $ | 1,973 | | $ | 1,354 | | 46 | % | | | |
| Treasury and trade solutions | 2,165 | | 2,423 | | (11) | | | | |
Corporate lending—excluding gains (losses) on loan hedges(1) | 483 | | 448 | | 8 | | | | |
Private bank—excluding gains (losses) on loan hedges(1) | 1,027 | | 949 | | 8 | | | | |
Total Banking revenues (ex-gains (losses) on loan hedges) | $ | 5,648 | | $ | 5,174 | | 9 | % | | | |
Gains (losses) on loan hedges(1) | $ | (81) | | $ | 816 | | NM | | | |
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense | $ | 5,567 | | $ | 5,990 | | (7) | % | | | |
| Fixed income markets | $ | 4,550 | | $ | 4,786 | | (5) | % | | | |
| Equity markets | 1,476 | | 1,169 | | 26 | | | | |
| Securities services | 653 | | 645 | | 1 | | | | |
| Other | (26) | | (106) | | 75 | | | | |
Total Markets and securities services revenues, net of interest expense | $ | 6,653 | | $ | 6,494 | | 2 | % | | | |
| Total revenues, net of interest expense | $ | 12,220 | | $ | 12,484 | | (2) | % | | | |
| Commissions and fees | $ | 200 | | $ | 189 | | 6 | % | | | |
Principal transactions(2) | 2,930 | | 3,549 | | (17) | | | | |
| Other | 356 | | (63) | | NM | | | |
| Total non-interest revenue | $ | 3,486 | | $ | 3,675 | | (5) | % | | | |
| Net interest revenue | 1,064 | | 1,111 | | (4) | | | | |
Total fixed income markets(3) | $ | 4,550 | | $ | 4,786 | | (5) | % | | | |
| Rates and currencies | $ | 3,039 | | $ | 4,034 | | (25) | % | | | |
| Spread products/other fixed income | 1,511 | | 752 | | NM | | | |
| Total fixed income markets | $ | 4,550 | | $ | 4,786 | | (5) | % | | | |
| Commissions and fees | $ | 392 | | $ | 362 | | 8 | % | | | |
Principal transactions(2) | 835 | | 774 | | 8 | | | | |
| Other | 32 | | 8 | | NM | | | |
| Total non-interest revenue | $ | 1,259 | | $ | 1,144 | | 10 | % | | | |
| Net interest revenue | 217 | | 25 | | NM | | | |
Total equity markets(3) | $ | 1,476 | | $ | 1,169 | | 26 | % | | | |
| | | | | | | | | | | | | | |
| First Quarter | | | |
| In millions of dollars | 2022 | 2021 | % Change | | | |
| Services | | | | | | |
| Net interest income | $ | 1,907 | | $ | 1,617 | | 18 | % | | | |
| Non-interest revenue | 1,541 | | 1,383 | | 11 | | | | |
| Total Services revenues | $ | 3,448 | | $ | 3,000 | | 15 | % | | | |
| Net interest income | $ | 1,659 | | $ | 1,405 | | 18 | % | | | |
| Non-interest revenue | 931 | | 783 | | 19 | | | | |
| TTS revenues | $ | 2,590 | | $ | 2,188 | | 18 | % | | | |
| Net interest income | $ | 248 | | $ | 212 | | 17 | % | | | |
| Non-interest revenue | 610 | | 600 | | 2 | | | | |
| Securities services revenues | $ | 858 | | $ | 812 | | 6 | % | | | |
| Markets | | | | | | |
| Net interest income | $ | 1,109 | | $ | 1,309 | | (15) | % | | | |
| Non-interest revenue | 4,717 | | 4,624 | | 2 | | | | |
Total Markets revenues(1) | $ | 5,826 | | $ | 5,933 | | (2) | % | | | |
| Fixed income markets | $ | 4,299 | | $ | 4,346 | | (1) | % | | | |
| Equity markets | 1,527 | | 1,587 | | (4) | | | | |
| Total Markets revenues | $ | 5,826 | | $ | 5,933 | | (2) | % | | | |
| Rates and currencies | $ | 3,231 | | $ | 3,024 | | 7 | % | | | |
| Spread products / other fixed income | 1,068 | | 1,322 | | (19) | | | | |
| Total Fixed income markets revenues | $ | 4,299 | | $ | 4,346 | | (1) | % | | | |
| Banking | | | | | | |
| Net interest income | $ | 768 | | $ | 807 | | (5) | % | | | |
| Non-interest revenue | 1,118 | | 1,648 | | (32) | | | | |
| Total Banking revenues | $ | 1,886 | | $ | 2,455 | | (23) | % | | | |
| Investment banking | | | | | | |
| Advisory | $ | 347 | | $ | 281 | | 23 | % | | | |
| Equity underwriting | 185 | | 835 | | (78) | | | | |
| Debt underwriting | 496 | | 682 | | (27) | | | | |
| Total investment banking revenues | $ | 1,028 | | $ | 1,798 | | (43) | % | | | |
Corporate lending (excluding gains (losses) on loan hedges)(2) | $ | 689 | | $ | 735 | | (6) | % | | | |
Total Banking revenues (excluding gains (losses) on loan hedges)(2) | $ | 1,717 | | $ | 2,533 | | (32) | % | | | |
Gain (loss) on loan hedges(2) | 169 | | (78) | | NM | | | |
Total Banking revenues (including gains (losses) on loan hedges)(2) | $ | 1,886 | | $ | 2,455 | | (23) | % | | | |
Total ICG revenues, net of interest expense | $ | 11,160 | | $ | 11,388 | | (2) | % | | | |
(1) 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 income may be risk managed with derivatives that are recorded in Principal transactions revenue within Non-interest revenue. For a description of the composition of these revenue line items, see Notes 4, 5 and 6.
(2) Credit derivatives are used to economically hedge a portion of the private bank and 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 private bank and corporate lending revenues to reflect the cost of credit protection. Gains (losses) on loan hedges include $(72) million and $754 million related to the corporate loan portfolio and $(9) million and $62 million related to the private bank for the three months ended March 31, 2021 and March 31, 2020, respectively. All of gains (losses) on loan hedges are related to corporate loan portfolio for the three months ended March 31, 2020. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.
(2) Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
(3) Citi assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate Net interest revenue may be risk managed by derivatives that are recorded in Principal transactions revenue. For a description of the composition of these revenue line items, see Notes 4, 5 and 6 to the Consolidated Financial Statements.
NM Not meaningful
The discussion of the results of operations for ICG below excludes (where noted) the impact of gains (losses) on hedges of accrual loans, which are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above.
1Q211Q22 vs. 1Q201Q21
Net income increased 64%of $2.6 billion decreased 51%, primarily driven by significantly lowerhigher cost of credit, partially offset by lower revenues and higher expenses.
Revenues declineddecreased 2%, primarily reflecting higher Services revenues more than offset by lower Banking and Markets revenues. Services revenues (decline of 7% includingwere up 15%, driven by higher revenues in TTS and Securities services. Banking revenues were down 23% (including the impact of gains (losses) on loan hedges), partially offset by higher Markets and securities services revenues (increase of 2%). Excluding the impact of gains/(losses) on loan hedges, Banking revenues were up 9%, driven by higher revenues in investment banking, corporate lending and the private bank, partially offset byreflecting lower revenues in treasuryboth Investment banking and trade solutions. Markets and securities services revenues were up 2%, reflecting higher revenues in equity markets, partially offset by lower revenues in fixed income markets.
Citi expects that revenues in its markets and investment banking businesses will likely continue to reflect the overall market environment in the near term.
Within Banking:
•Investment banking revenues were up 46%, reflecting growth in overall market wallet as well as gains in wallet share, particularly in equity underwriting. Advisory revenues decreased 27%, largely reflecting a decline in wallet share, driven by North America, partially offset by EMEA. Equity underwriting revenues increased significantly, driven by continued strength in the market wallet as well as wallet share gains, with growth in all regions. The increase in equity underwriting also reflected higher underwriting activity for special purpose acquisition companies (SPAC). Debt underwriting revenues increased 4%, reflecting strength in EMEA, Asia and Latin America, largely driven by the higher market wallet, partially offset by a decline in wallet share.
•Treasury and trade solutions revenues decreased 11%. Excluding the impact of FX translation, revenues declined 10%, reflecting declines in all regions. The decline in revenues was driven by the cash business, reflecting the continued impact of lower USD and non-USD interest rates and a slowdown in commercial cards spend both due to the continued impact of the pandemic, partially offset by strong deposit volumes. Average deposit balances increased 16% (14% excluding the impact of FX translation), due to strong client engagement and an elevated level of liquidity in the financial system. In trade, revenues were largely unchanged, as a decline in loans, driven by continued softness in underlying trade flows
due to the pandemic, was offset by improved loan spreads.
•Corporate lending revenues decreased 66%, including(excluding the impact of gains (losses) on loan hedges, primarily driven by the widening of credit spreads in the prior-year period, reflecting market volatility related to the pandemic. Excluding the impact of gains (losses) on loan hedges,hedges). Markets revenues increased 8%, primarily due to the absence of marks on the portfolio driven by the elevated market volatility related to the pandemic in the prior-year period. The increase was partially offset by lower average loan volumes, reflecting paydowns on draws in 2020 and continued weakness in demand given stronger client liquidity positions.
•Private bank revenues increased 1%. Excluding the impact of gains (losses) on loan hedges, revenues increased 8%were down 2%, reflecting growth across all regions. The increase was driven by higher loan volumesdeclines in revenues in Fixed income and spreads, as well as higher deposit volumes and managed investments revenue, all driven by continued client activity, partially offset by lower deposit spreads due to the ongoing low interest rate environment.Equity markets.
Within Markets and securities services:Services:
•FixedTTS revenues increased 18%, with increases across both net interest income marketsand non-interest revenue. The increase in net interest income was driven by higher deposit balances and spreads, and higher loan volumes, driven by client momentum and the overall market rebound. The increase in non-interest revenue was primarily due to strong fee growth across both cash and trade, reflecting solid client engagement, including higher transaction volumes across cross-border solutions, commercial cards and USD clearing.
•Securities services revenues decreased 5%increased 6%, asdriven by an increase in fee revenues due to growth in assets under custody and clearing volumes, and net interest income due to higher interest rates across currencies and higher average deposit balances.
Within Markets:
•North AmericaTotal Markets revenues declined 2% versus a strong prior-year quarter. In the current quarter, activity levels benefited from client repositioning and EMEA were more than offsetstrong risk management, driven by declines in Asiathe Federal Reserve Board’s interest rate increases and Latin America overall geopolitical and macroeconomic uncertainty. Non-interest revenues increased 2%, reflecting a strong performance inthe higher client activity, particularly across rates and currencies, in the prior-year period. Non-interest revenueswhile net interest income decreased reflecting lower corporate and investor activity in rates and currencies, partially offset by higher activity in spread products. Net interest revenues also decreased,15%, largely reflecting a change in the mix of trading positions.
•Fixed income markets revenues decreased 1%, as growth in EMEA and Latin America was more than offset by a decline in North America. The decline in revenues was largely driven by lower client activity in spread products, partially offset by strength in FX and commodities.
Rates and currencies revenues decreased 25%increased 7%, primarily reflecting the strong performance in the prior-year period, particularly in G10 rates and currencies, driven by record volatility relatedFX, due to the impact of the pandemic.strong client engagement, particularly with corporate clients. Spread products and other fixed income revenues increased significantly,decreased 19%, reflecting stronglower client activity as clients searched for yield inand a low-ratechallenging environment with steady demand across flow trading and structured products.due to widening spreads.
•Equity markets revenues decreased 4% reflecting a strong prior-year period comparison, with declines in cash equities, equity derivatives and prime finance. Cash equities revenue decreased, reflecting lower client activity.
Equity derivatives revenue decreased against a strong comparison in the prior-year period. Prime finance revenue decreased driven by lower spreads, partially offset by increased financing balances.
Within Banking:
•Investment banking revenues declined 43%, reflecting a decline in the overall market wallet, as heightened geopolitical uncertainty and the overall macroeconomic backdrop reduced activity in debt and equity capital markets, as well as a decline in wallet share. Advisory revenues increased 26%23%, primarily reflecting strength in North America and Asia, driven by growth across all products. Cash equities revenues increased, reflecting elevated levels of client activityin the market wallet as well as favorablewallet share gains. Equity underwriting revenues decreased 78%, reflecting a decline in North America, EMEA and Asia, driven by a decline in the market conditions, particularly in North America and Asia. Equity derivatives revenues increased, due to strong client activity and favorable market
conditions, particularly in North America. The increase in prime finance revenues was largely due to higher client balanceswallet, as well as favorable market conditions. Non-interesta decline in wallet share. Debt underwriting revenues increased, primarilydecreased 27%, reflecting weakness in North America, EMEA and Asia, driven by higher principal transactions and commissions and fee revenues, primarily due toa decline in the higher client activity.market wallet, as well as a decline in wallet share.
•Securities servicesCorporate lending revenues increased 1%.31%, including the impact of gains (losses) on loan hedges. Excluding the impact of FX translation,gains (losses) on loan hedges, revenues were unchanged, as an increase in fee revenues, driven by growth in assets under custody and settlement volumes as well as higher deposit volumes, was offset by lower deposit spreadsdecreased 6%, primarily due to thelower average loans, reflecting continued low interest rate environment.
For additional information on trends in ICG’s depositstrong client liquidity positions and loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.higher hedging costs.
Expenses were up 8%13%, reflectingprimarily driven by continued investments in infrastructureCiti’s transformation, business-led investments and controls, as well as other strategic investments, higher compensation costs and volume-driven growth,volume-related expenses, partially offset by efficiencyproductivity savings.
Provisions forincreased during the quarter reflectedto $971 million compared to a net benefit of $1.8$1.5 billion in the prior-year period, driven by an ACL release, partially offset by higher netbuild.
Net credit losses of $186declined to $30 million compared to $127from $175 million in the prior-year period.period, driven by improvements in portfolio credit quality.
The ACL releasebuild for the quarter was $1.9 billion,$941 million compared to a buildrelease of $1.9$1.7 billion infor the prior-year period. The release wasperiod, primarily driven by a $1.5 billion ACL build related to Citi’s improvedexposures in Russia and the broader impact of the war in Ukraine on the macroeconomic outlook, including global GDP, and modest improvements in portfolioenvironment, partially offset by strong credit quality.performance across the portfolio. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
As of March 31, 2021, reserves held on Citi’s balance sheet represented 1.1% of funded loans, compared to 1.4% as of December 31, 2020, including 3.6% of reserves held against the non-investment grade portion, compared to 4.4% as of December 31, 2020.
For additional information on ICG’s corporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information on trends in ICG’s deposits and loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.
For additional information about trends, uncertainties and risks related to ICG’s future results, see “COVID-19 Pandemic Overview”“Managing Global Risk—Other Risks—Country Risk—Argentina” and “—Russia” below and “Risk Factors” in Citi’s 2021 Form 10-K.
PERSONAL BANKING AND WEALTH MANAGEMENT
Personal Banking and Wealth Management (PBWM) consists of U.S. Personal Banking and Global Wealth Management (Global Wealth). U.S. Personal Banking includes Retail banking, which provides traditional banking services to retail and small business customers. U.S. Personal Banking’s cards product portfolio includes its proprietary portfolio (Double Cash, Custom Cash, ThankYou and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within Branded cards, as well as its co-brand and private label relationships (including, among others, The Home Depot, Sears, Best Buy and Macy’s) within Retail services. Global Wealth includes Private bank, Wealth at Work and Citigold and provides financial services to the entire continuum of wealth clients—from affluent to ultra-high-net-worth—through banking, lending, mortgages, investment, custody and trust product offerings in approximately 20 countries including the U.S., Mexico and the four wealth management centers: Singapore, Hong Kong, the UAE and London.
At March 31, 2022, U.S. Personal Banking had 658 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 March 31, 2022, U.S. Personal Banking had $33 billion in retail banking loans and $120 billion in deposits, and $130 billion in outstanding card loan balances.
At March 31, 2022, Global Wealth had a combined $150 billion in loans and $332 billion in deposits.
| | | | | | | | | | | | | | |
| First Quarter | | | |
| In millions of dollars, except as otherwise noted | 2022 | 2021 | % Change | | | |
| Net interest income | $ | 5,385 | | $ | 5,165 | | 4 | % | | | |
| Non-interest revenue | 520 | | 827 | | (37) | | | | |
| Total revenues, net of interest expense | $ | 5,905 | | $ | 5,992 | | (1) | % | | | |
| Total operating expenses | $ | 3,889 | | $ | 3,422 | | 14 | % | | | |
| Net credit losses on loans | $ | 691 | | $ | 990 | | (30) | % | | | |
| Credit reserve build (release) for loans | (1,062) | | (1,542) | | 31 | | | | |
| Provision (release) for credit losses on unfunded lending commitments | (2) | | (11) | | 82 | | | | |
| Provisions (release) for benefits and claims, and other assets | (3) | | 6 | | NM | | | |
| Provisions (releases) for credit losses and for benefits and claims (PBC) | $ | (376) | | $ | (557) | | 32 | % | | | |
| Income (loss) from continuing operations before taxes | $ | 2,392 | | $ | 3,127 | | (24) | % | | | |
| Income taxes (benefits) | 532 | | 707 | | (25) | | | | |
| Income (loss) from continuing operations | $ | 1,860 | | $ | 2,420 | | (23) | % | | | |
| Noncontrolling interests | — | | — | | NM | | | |
| Net income (loss) | $ | 1,860 | | $ | 2,420 | | (23) | % | | | |
Balance Sheet data (in billions of dollars) | | | | | | |
| EOP assets | $ | 476 | | $ | 461 | | 3 | % | | | |
| Average assets | 474 | | 458 | | 3 | | | | |
| Average loans | 312 | | 303 | | 3 | | | | |
| Average deposits | 447 | | 397 | | 13 | | | | |
| Efficiency ratio | 66 | % | 57 | % | | | | |
| Net credit losses as a percentage of average loans | 0.90 | | 1.32 | | | | | |
| Revenue by reporting unit and component | | | | | | |
| Branded cards | $ | 2,090 | | $ | 2,104 | | (1) | % | | | |
| Retail services | 1,299 | | 1,305 | | — | | | | |
| Retail banking | 595 | | 635 | | (6) | | | | |
| U.S. Personal Banking | $ | 3,984 | | $ | 4,044 | | (1) | % | | | |
| Private bank | $ | 779 | | $ | 786 | | (1) | % | | | |
| Wealth at Work | 183 | | 171 | | 7 | | | | |
| Citigold | 959 | | 991 | | (3) | | | | |
| Global Wealth Management | $ | 1,921 | | $ | 1,948 | | (1) | % | | | |
| Total | $ | 5,905 | | $ | 5,992 | | (1) | % | | | |
NM Not meaningful
1Q22 vs. 1Q21
Net income was $1.9 billion, compared to $2.4 billion in the prior-year period, largely driven by lower revenues, higher expenses and a lower net ACL release.
Revenues decreased 1%, as higher net interest income was more than offset by lower non-interest revenue.
U.S. Personal Banking revenues decreased 1%, reflecting lower revenues in Retail banking and Branded cards.
Cards revenues decreased 1%. Branded cards revenues decreased 1%, primarily driven by higher payment rates and higher acquisition and rewards costs, reflecting increases in new accounts and customer engagement. Branded card spend volume increased 24%, reflecting a continued recovery in sales activity from the pandemic-driven lower levels in the prior year.
Retail services revenues were largely unchanged, as higher net interest income was offset by higher partner payments, driven by lower net credit losses. For additional information on partner payments, see Note 5. Retail services card spend volume increased 14%, also reflecting a continued recovery in sales activity from the pandemic-driven lower levels in the prior year.
Retail banking revenues decreased 6%, as the benefit of strong deposit growth was more than offset by lower mortgage revenues due to lower mortgage originations. Average deposits increased 9%, driven by higher levels of consumer liquidity and strategic efforts to drive organic growth.
Global Wealth revenues decreased 1%, driven by lower revenues in Asia and Latin America, partially offset by higher revenues in North America and EMEA. The decrease reflected lower client activity in investment products (particularly in Asia), partially offset by higher loans (average loans up 5%) and higher deposit volumes and spreads (average deposits up 14%). Private bank and Citigold revenues were down 1% and 3%, respectively, while Wealth at Work revenues increased 7% with strength across all products.
Expenses increased 14%, primarily driven by transformation and business-led investments, and higher volume-driven expenses, partially offset by productivity savings.
Provisions reflected a benefit of $376 million, compared to a benefit of $557 million in the prior-year period, primarily driven by a lower net ACL release, partially offset by lower net credit losses. Net credit losses decreased 30%, consisting of lower net credit losses in both Branded cards (down 45% to $303 million) and Retail services (down 33% to $252 million), primarily driven by lower loan volumes and improved delinquencies, primarily as a result of the higher payment rates.
The net ACL release was $1.1 billion, compared to a net release of $1.6 billion in the prior-year period. The net ACL release in the current quarter primarily reflected improvement in portfolio credit quality and the continued improvement in the macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates.”
For additional information on U.S. Personal Banking’s Retail banking, and its Branded cards and Retail services portfolios, see “Credit Risk—Consumer Credit.”
For additional information about trends, uncertainties and risks related to PBWM’s future results, see “Executive Summary” above and “Forward-Looking Statements” below, and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on2021 Form 10-K.
LEGACY FRANCHISES
Legacy Franchises includes Asia Consumer Banking (Asia Consumer), representing the operations of the 13 Asia and EMEA exit countries; Mexico Consumer Banking (Mexico Consumer) and Mexico Small Business and Middle-Market Banking (Mexico SBMM), collectively Mexico Consumer/SBMM; and Legacy Holdings Assets (certain North America consumer mortgage loans and other legacy assets).
Asia Consumer provides traditional retail banking and branded card products to retail and small business customers across the 13 Asia and EMEA exit countries. In 2021, Citi entered into agreements to sell its consumer banking businesses in Australia and the Philippines, and made a decision to wind down and close its Korea consumer banking business (see Note 2 for additional information). In early 2022, Citi entered into agreements to sell its consumer banking businesses in Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam.
Mexico Consumer/SBMM provides traditional retail banking and branded card products to consumer and small business customers and provides traditional middle-market banking products and services to commercial customers through Citibanamex. As previously disclosed, Citi is also pursuing an exit of Mexico Consumer/SBMM. For additional information, see Citi’s Current Report on Form 8-K filed with the SEC on January 11, 2022.
At March 31, 2022, on a combined basis, the Legacy Franchises businesses had 1,467 retail branches, $29 billion in retail banking loans and $51 billion in deposits. In addition, the businesses had $8 billion in outstanding card loan balances, and Mexico SBMM had $7 billion in outstanding corporate loan balances. These amounts exclude approximately $29 billion of loans ($20 billion of retail banking loans and $9 billion of credit card loan balances) and $31 billion of deposits, all of which were reclassified to Other assets and Other liabilities held-for-sale (HFS) at March 31, 2022 as a result of Citi’s agreements to sell its consumer banking businesses in the above listed countries. See Note 2 for additional information.
| | | | | | | | | | | | | | |
| First Quarter | | | |
In millions of dollars, except as otherwise noted(1) | 2022 | 2021 | % Change | | |
| Net interest income | $ | 1,508 | | $ | 1,563 | | (4) | % | | | |
| Non-interest revenue | 423 | | 680 | | (38) | | | | |
| Total revenues, net of interest expense | $ | 1,931 | | $ | 2,243 | | (14) | % | | | |
| Total operating expenses | $ | 2,293 | | $ | 1,752 | | 31 | % | | | |
| Net credit losses on loans | $ | 151 | | $ | 583 | | (74) | % | | | |
| Credit reserve build (release) for loans | (146) | | (582) | | 75 | | | | |
| Provision (release) for credit losses on unfunded lending commitments | 124 | | (9) | | NM | | | |
| Provisions for benefits and claims, HTM debt securities and other assets | 31 | | 52 | | (40) | | | | |
| Provisions for credit losses | $ | 160 | | $ | 44 | | NM | | | |
| Income (loss) from continuing operations before taxes | $ | (522) | | $ | 447 | | NM | | | |
| Income taxes (benefits) | (137) | | 127 | | NM | | | |
| Income (loss) from continuing operations | $ | (385) | | $ | 320 | | NM | | | |
| Noncontrolling interests | (2) | | (3) | | NM | | | |
| Net income (loss) | $ | (383) | | $ | 323 | | NM | | | |
Balance Sheet data (in billions of dollars) | | | | | | |
| EOP assets | $ | 122 | | $ | 129 | | (5) | % | | | |
| Average assets | 124 | | 129 | | (4) | | | | |
| EOP loans | 44 | | 80 | | (45) | | | | |
| EOP deposits | 51 | | 87 | | (41) | | | | |
| Efficiency ratio | 119 | % | 78 | % | | | | |
| Revenue by reporting unit and component | | | | | | |
| Asia Consumer | $ | 787 | | $ | 1,075 | | (27) | % | | | |
| Mexico Consumer/SBMM | 1,139 | | 1,137 | | — | | | | |
| Legacy Holdings Assets | 5 | | 31 | | (84) | | | | |
| Total | $ | 1,931 | | $ | 2,243 | | (14) | % | | | |
NM Not meaningful
1Q22 vs. 1Q21
Net loss was $383 million, compared to net income of $323
million in the prior-year period, reflecting lower revenues, higher expenses and higher cost of credit.
Results for the current quarter included Asia Consumer divestiture-related impacts of $677 million ($588 million after-tax) due to (i) costs consisting of a goodwill write-down of $535 million ($489 million after-tax), recorded in expenses, due to the re-segmentation and timing of divestitures, as well as additional costs related to the Korea voluntary early retirement program (VERP) of $24 million (approximately $18 million after-tax); and (ii) the revenue impact due to a pretax loss from the sale of the Australia consumer business of $(118) million ($81 million after-tax). This pretax loss included an ACL release of $(104) million and a net revenue impact of $(14) million due to contractual adjustments of the divestiture recorded in Other revenue.
Revenues decreased 14%, reflecting lower revenues across Asia Consumer.
Asia Consumer revenues decreased 27%, largely resulting from the Korea wind-down and lower investments and insurance revenues due to muted investment activity in Asia. Average loans decreased 58% and average deposits decreased 57%, due to approximately $27 billion of average loans and approximately $26 billion of average deposits reclassified to held-for-sale as a result of Citi’s entry into agreements to sell its consumer banking businesses in multiple exit markets.
Mexico Consumer/SBMM revenues were largely unchanged. Retail banking revenues increased 2% and cards revenues decreased 2%, the latter due to higher acquisition and rewards costs.
Expenses increased 31%, including the Asia divestiture-related costs. Excluding the Asia divestiture-related costs, expenses decreased 1%, primarily driven by productivity savings, partially offset by continued investments in Citi’s transformation.
Provisions of $160 million compared to $44 million in the prior-year period, primarily driven by a lower net ACL release, partially offset by lower net credit losses. Net credit losses decreased 74%, primarily reflecting lower loan volumes and improved delinquencies.
The net ACL release was $146 million, compared to a release of $582 million in the prior-year period. The net ACL release in the current quarter primarily reflected an improvement in portfolio credit quality. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates.”
For additional information about trends, uncertainties and risks related to Legacy Franchises’ future results, see “Executive Summary” above and “Forward-Looking Statements” below, and “Risk Factors—Strategic Risks” in Citi’s 2021 Form 10-K.
CORPORATE/OTHER
Activities not assigned to the operating segments (ICG, PBWM and Legacy Franchises) are included in Corporate/Other. Corporate/Other includesincluded certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance)compliance-related costs), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as results of Corporate Treasury certain North America legacy consumer loan portfolios, other legacy assetsinvestment activities and discontinued operations (for additional information on Corporate/Other, see “Citigroup Segments” above).operations. At March 31, 2021,2022, Corporate/Other had $99$92 billion in assets.
| | | | | | | | | | | | | | |
| First Quarter | | | |
| In millions of dollars | 2021 | 2020 | % Change | | |
| Net interest revenue | $ | 61 | | $ | 325 | | (81) | % | | | |
| Non-interest revenue | 9 | | (252) | | NM | | | |
| Total revenues, net of interest expense | $ | 70 | | $ | 73 | | (4) | % | | | |
| Total operating expenses | $ | 413 | | $ | 416 | | (1) | % | | | |
| Net credit losses (recoveries) on loans | $ | (18) | | $ | (2) | | NM | | | |
| Credit reserve build (release) for loans | (109) | | 191 | | NM | | | |
| Provision (release) for credit losses on unfunded lending commitments | (5) | | 5 | | NM | | | |
| Provisions (releases) for benefits and claims, HTM debt securities and other assets | 20 | | (2) | | NM | | | |
| Provisions (release) for credit losses and for benefits and claims | $ | (112) | | $ | 192 | | NM | | | |
| Income (loss) from continuing operations before taxes | $ | (231) | | $ | (535) | | 57 | % | | | |
| Income taxes (benefits) | (62) | | (198) | | 69 | | | | |
| Income (loss) from continuing operations | $ | (169) | | $ | (337) | | 50 | % | | | |
| Income (loss) from discontinued operations, net of taxes | (2) | | (18) | | 89 | | | | |
| Net income (loss) before attribution of noncontrolling interests | $ | (171) | | $ | (355) | | 52 | % | | | |
| Noncontrolling interests | (1) | | (4) | | 75 | | | | |
| Net income (loss) | $ | (170) | | $ | (351) | | 52 | % | | | |
| | | | | | | | | | | | | | |
| First Quarter | | | |
| In millions of dollars | 2022 | 2021 | % Change | | |
| Net interest income | $ | 194 | | $ | 45 | | NM | | | |
| Non-interest revenue | (4) | | (1) | | NM | | | |
| Total revenues, net of interest expense | $ | 190 | | $ | 44 | | NM | | | |
| Total operating expenses | $ | 260 | | $ | 307 | | (15) | % | | | |
| Provisions (releases) for HTM debt securities and other assets | $ | — | | $ | (3) | | 100 | % | | | |
| Income (loss) from continuing operations before taxes | $ | (70) | | $ | (260) | | 73 | % | | | |
| Income taxes (benefits) | (262) | | (67) | | NM | | | |
| Income (loss) from continuing operations | $ | 192 | | $ | (193) | | NM | | | |
| Income (loss) from discontinued operations, net of taxes | (2) | | (2) | | — | % | | | |
| Net income (loss) before attribution of noncontrolling interests | $ | 190 | | $ | (195) | | NM | | | |
| Noncontrolling interests | 1 | | (1) | | NM | | | |
| Net income (loss) | $ | 189 | | $ | (194) | | NM | | | |
NM Not meaningful
1Q211Q22 vs. 1Q201Q21
Net lossincome was $170$189 million in the first quarter of 2022, compared to a net loss of $351 million in the prior-year period, driven by significantly lower cost of credit.
Revenues of $70 million declined from $73 million in the prior-year period, as the impact of lower interest rates was largely offset by the absence of marks on securities in the prior-year period and certain episodic gains in the current quarter.
Expenses decreased 1%, as investments in infrastructure, risk and controls were largely offset by the allocation of certain costs to GCB and ICG.
Provisions reflected a benefit of $112 million, compared to costs of $192$194 million in the prior-year period, primarily driven by a net ACL release on legacy assets in the current period.higher revenues and lower expenses.
The net ACL release in the first quarter was $109Revenues of $190 million compared to a build of $191increased from $44 million in the prior-year period, primarilylargely reflecting Citi’s improved macroeconomic outlook.
For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.higher net revenue from the investment portfolio.
For additional information about trends, uncertainties and risks related to Corporate Corporate/Other’s future results, see “COVID-19 Pandemic Overview”“Forward-Looking Statements” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on2021 Form 10-K.
CAPITAL RESOURCES
For additional information about capital resources, including Citi’s capital management, current regulatory capital standards, regulatory capital buffers, the stress testing component of capital planning and current regulatory capital standards and developments, see “Capital Resources” and “Risk Factors” in Citi’s 2020 Annual Report on2021 Form 10-K.
As previously announced, Citi commenced share repurchases in February 2021. During the first quarter of 2021,2022, Citi returned a total of $2.7$4.0 billion of capital to common shareholders in the form of $1.0 billion in dividends and $3.0 billion in share repurchases (approximately 23totaling approximately 50 million common shares) and dividends.shares. For additional information, see “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends—Equity Security Repurchases”Dividends” below.
Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 (CET1) Capital ratio under the Basel III Standardized Approach was 11.8%11.4% as of March 31, 2021,2022, compared to 11.7%12.2% as of December 31, 2020,2021, relative to an effective regulatory minimum CET1 Capital ratio requirement of 10.5% under the Standardized Approach for both periods. Citi’s CET1 Capital ratio under the Basel III Advanced Approaches framework,was 11.4% as quarterly net income of $7.9 billion was partially offset by a netMarch 31, 2022, compared to 12.3% as of December 31, 2021, relative to an effective regulatory minimum CET1 Capital ratio requirement of 10.0% under the Advanced Approaches for both periods. Citi’s CET1 Capital ratio decreased under both the Standardized Approach and Advanced Approaches during the three months ended March 31, 2022, as an increase in risk-weighted assets due to the adoption of SA-CCR (see below), the return of $2.7 billion of capital to common shareholders in the form of share repurchases and dividends, andinterest-rate-driven adverse net movements in Accumulated other comprehensiveAOCI were partially offset by net income (AOCI).of $4.3 billion.
Temporary Supplementary Leverage Ratio Relief
In March 2021, the Federal Reserve Board announced that temporary Supplementary Leverage ratio relief for bank holding companies would expire as scheduled on March 31, 2021. The temporary Supplementary Leverage ratio relief has been in place since the second quarter of 2020 and has permitted Citigroup to exclude U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure. Commencing April 1, 2021, U.S. Treasuries and deposits at Federal Reserve Banks will once again be included in Citigroup’s Total Leverage Exposure.
During the first quarter of 2021, as a resultAdoption of the Standardized Approach for Counterparty Credit Risk (SA-CCR)
temporary relief,As previously disclosed, Citi adopted SA-CCR as of January 1, 2022. SA-CCR replaced the Current Exposure Method (CEM), which was the previous methodology used to calculate exposure for derivative contracts.
Adoption of SA-CCR increased Citigroup’s reported Supplementary Leveragerisk-weighted assets measured under the Standardized Approach by approximately $51 billion, which resulted in a 49 basis point decrease to Citigroup’s Common Equity Tier 1 Capital ratio under the Standardized Approach on January 1, 2022. Adoption of 7.0% benefitedSA-CCR also increased Citigroup’s risk-weighted assets measured under the Advanced Approaches by approximately 100$29 billion, which resulted in a 29 basis points. point decrease to Citigroup’s CET1 Capital ratio under the Advanced Approaches on January 1, 2022.
For additional information on temporary Supplementary Leverage ratio relief,SA-CCR, see “Capital Resources—Current Regulatory Capital Standards—Temporary Supplementary Leverage Ratio Relief”Adoption of the Standardized Approach for Counterparty Credit Risk” in Citi’s 2020 Annual Report on2021 Form 10-K.
Federal Reserve Board Limitations on Capital Distributions
In March 2021, the Federal Reserve Board announced that it was extending for an additional quarter several measures that were previously announced for the first quarter of 2021 to ensure that large banks maintain a high level of capital resilience. Through the end of the second quarter of 2021, the Federal Reserve Board has authorized firms, including Citi, to pay common stock dividends and make share repurchases that, in the aggregate, do not exceed an amount equal to the average of the firm’s net income for the four preceding calendar quarters, unless otherwise specified by the Federal Reserve Board, provided that the firm does not exceed the amount of
common stock dividends paid in the second quarter of 2020. Additionally, through the end of the second quarter of 2021, the Federal Reserve Board has authorized firms to make share repurchases relating to issuances of common stock related to employee stock ownership plans, and to redeem and make scheduled payments on Additional Tier 1 Capital and Tier 2 Capital instruments.
Under the Federal Reserve Board’s capital distribution limitations, Citi is permitted to return capital to common shareholders of up to $4.1 billion during the second quarter of 2021, including the previously announced common dividends of $0.51 per share in the quarter.
The Federal Reserve Board also announced in March 2021 that the temporary limitations on capital distributions that are currently in place will be lifted for most firms after June 30, 2021, based on the results of the Federal Reserve Board’s 2021 Comprehensive Capital Analysis and Review (CCAR), which will be released by July 1, 2021. If firms, including Citi, remain above all of their minimum risk-based requirements in the 2021 CCAR, the temporary limitations on capital distributions will end after June 30 and those firms will be subject to the normal Stress Capital Buffer framework. However, if firms, including Citi, fall below any of their minimum risk-based capital requirements in the 2021 CCAR, those firms will remain subject to the temporary limitations on capital distributions for an additional three months through September 30, 2021. For the fourth quarter of 2021 and onward, unless the Federal Reserve Board further extends the temporary limitations on capital distributions, Citi and all other firms would be authorized to make distributions consistent with their Stress Capital Buffer requirements.
Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology
As previously disclosed, Citi’s regulatory capital ratios reflect certain deferrals based on the modified regulatory capital transition provision related to the current expected credit losses (CECL) standard. On January 1, 2022, these deferrals commenced phase-in to regulatory capital at 25% per year, which resulted in an approximate 6 basis point decrease to Citigroup’s CET1 Capital ratio. The CECL transition provision will continue to phase-in to regulatory capital on January 1 of each year through January 1, 2025.
For additional information on the impact of the modified CECL transition provision, see “Capital Resources (Full Adoption of CECL)” below, and “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2021 Form 10-K.
Citigroup’s Capital Resources
The following tables settable sets forth Citi’s effective minimum risk-based capital componentsrequirements as of March 31, 2022 and ratios:December 31, 2021:
| | | | | | | | | | | | | | | | | |
| | Advanced Approaches | Standardized Approach |
| In millions of dollars, except ratios | Effective Minimum Requirement(1) | March 31,
2021 | December 31,
2020 | March 31,
2021 | December 31,
2020 |
Common Equity Tier 1 Capital(2) | | $ | 148,944 | | $ | 147,274 | | $ | 148,944 | | $ | 147,274 | |
| Tier 1 Capital | | 170,484 | | 167,053 | | 170,484 | | 167,053 | |
Total Capital (Tier 1 Capital + Tier 2 Capital)(2) | | 197,700 | | 195,959 | | 206,971 | | 204,849 | |
| Total Risk-Weighted Assets | | 1,263,926 | | 1,255,284 | | 1,260,080 | | 1,221,576 | |
Credit Risk(2) | | $ | 845,718 | | $ | 844,374 | | $ | 1,143,975 | | $ | 1,109,435 | |
| Market Risk | | 112,592 | | 107,812 | | 116,105 | | 112,141 | |
| Operational Risk | | 305,616 | | 303,098 | | — | | — | |
Common Equity Tier 1 Capital ratio(3) | 10.0 | % | 11.78 | % | 11.73 | % | 11.82 | % | 12.06 | % |
Tier 1 Capital ratio(3) | 11.5 | | 13.49 | | 13.31 | | 13.53 | | 13.68 | |
Total Capital ratio(3) | 13.5 | | 15.64 | | 15.61 | | 16.43 | | 16.77 | |
| | | | | | | | | | | |
| In millions of dollars, except ratios | Effective Minimum Requirement | March 31,
2021 | December 31,
2020 |
Quarterly Adjusted Average Total Assets(2)(4) | | $ | 2,282,935 | | $ | 2,265,615 | |
Total Leverage Exposure(2)(5) | | 2,450,412 | | 2,386,881 | |
| Tier 1 Leverage ratio | 4.0 | % | 7.47 | % | 7.37 | % |
| Supplementary Leverage ratio | 5.0 | | 6.96 | | 7.00 | |
| | | | | | | | | | | | | | |
| Advanced Approaches | Standardized Approach |
| March 31, 2022 | December 31, 2021 | March 31, 2022 | December 31, 2021 |
Common Equity Tier 1 Capital ratio(1) | 10.0 | % | 10.0 | % | 10.5 | % | 10.5 | % |
Tier 1 Capital ratio(1) | 11.5 | | 11.5 | | 12.0 | | 12.0 | |
Total Capital ratio(1) | 13.5 | | 13.5 | | 14.0 | | 14.0 | |
(1)Citi’s effective minimum risk-based capital requirements include the 2.5%3.0% Stress Capital Buffer and 3.0% GSIB surcharge under the Standardized Approach, and the 2.5% Capital Conservation Buffer and 3.0% GSIB surcharge under the Advanced Approaches (all of which must be composed of Common Equity Tier 1 Capital). Commencing January 1, 2023, Citi’s GSIB surcharge will increase from 3.0% to 3.5%, which will be applicable to both the Standardized Approach and Advanced Approaches.
(2)
The following tables set forth Citi’s capital components and ratios:
| | | | | | | | | | | | | | |
| Advanced Approaches | Standardized Approach |
| In millions of dollars, except ratios | March 31,
2022 | December 31,
2021 | March 31,
2022 | December 31,
2021 |
Common Equity Tier 1 Capital(1) | $ | 143,749 | | $ | 149,305 | | $ | 143,749 | | $ | 149,305 | |
| Tier 1 Capital | 164,015 | | 169,568 | | 164,015 | | 169,568 | |
Total Capital (Tier 1 Capital + Tier 2 Capital)(1) | 186,980 | | 194,006 | | 197,133 | | 203,838 | |
| Total Risk-Weighted Assets | 1,259,935 | | 1,209,374 | | 1,263,298 | | 1,219,175 | |
Credit Risk(1) | $ | 885,880 | | $ | 840,483 | | $ | 1,178,657 | | $ | 1,135,906 | |
| Market Risk | 81,797 | | 78,634 | | 84,641 | | 83,269 | |
| Operational Risk | 292,258 | | 290,257 | | — | | — | |
Common Equity Tier 1 Capital ratio(2) | 11.41 | % | 12.35 | % | 11.38 | % | 12.25 | % |
Tier 1 Capital ratio(2) | 13.02 | | 14.02 | | 12.98 | | 13.91 | |
Total Capital ratio(2) | 14.84 | | 16.04 | | 15.60 | | 16.72 | |
| | | | | | | | | | | |
| In millions of dollars, except ratios | Effective Minimum Requirement | March 31, 2022 | December 31, 2021 |
Quarterly Adjusted Average Total Assets(1)(3) | | $ | 2,337,375 | | $ | 2,351,434 | |
Total Leverage Exposure(1)(4) | | 2,939,533 | | 2,957,764 | |
| Tier 1 Leverage ratio | 4.0 | % | 7.02 | % | 7.21 | % |
| Supplementary Leverage ratio | 5.0 | | 5.58 | | 5.73 | |
(1)Citi has elected to applyCiti’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the impactcurrent expected credit losses (CECL) standard. For additional information, see “Regulatory Capital Treatment—Modified Transition of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differencesCurrent Expected Credit Losses Methodology” above and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25%“Capital Resources—Regulatory Capital Treatment—Modified Transition of the changeCurrent Expected Credit Losses Methodology” in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31,Citi’s 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. In addition, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.Form 10-K.
(3)(2)Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital andratios were the lower derived under the Basel III Standardized Approach, whereas Citi’s Total Capital ratios wereratio was derived under the Basel III Advanced Approaches framework as of March 31, 2021 and December 31, 2020.for all periods presented.
(4)(3)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(5)(4)Supplementary Leverage ratio denominator. Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and deposits at Federal Reserve Banks. This temporary Supplementary Leverage ratio relief expired as scheduled on March 31, 2021. During the first quarter of 2021, as a result of the temporary relief, Citigroup’s reported Supplementary Leverage ratio benefited approximately 100 basis points. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.
As indicated in the table above, Citigroup’s risk-based capital ratios at March 31, 20212022 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citi was also “well capitalized” under current federal bank regulatory agency definitions as of March 31, 2021.
Components of Citigroup Capital
| | | | | | | | |
| In millions of dollars | March 31,
2021 | December 31,
2020 |
| Common Equity Tier 1 Capital | | |
Citigroup common stockholders’ equity(1) | $ | 182,402 | | $ | 180,118 | |
| Add: Qualifying noncontrolling interests | 132 | | 141 | |
| Regulatory capital adjustments and deductions: | | |
Add: CECL transition and 25% provision deferral(2) | 4,359 | | 5,348 | |
| Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax | 1,037 | | 1,593 | |
Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax | (1,172) | | (1,109) | |
| Less: Intangible assets: | | |
Goodwill, net of related DTLs(3) | 20,854 | | 21,124 | |
Identifiable intangible assets other than MSRs, net of related DTLs | 4,054 | | 4,166 | |
| Less: Defined benefit pension plan net assets | 1,485 | | 921 | |
Less: DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards(4) | 11,691 | | 11,638 | |
| Total Common Equity Tier 1 Capital (Advanced Approaches and Standardized Approach) | $ | 148,944 | | $ | 147,274 | |
| Additional Tier 1 Capital | | |
Qualifying noncumulative perpetual preferred stock(1) | $ | 20,147 | | $ | 19,324 | |
Qualifying trust preferred securities(5) | 1,395 | | 1,393 | |
| Qualifying noncontrolling interests | 33 | | 35 | |
| Regulatory capital deductions: | | |
Less: Permitted ownership interests in covered funds(6) | — | | 917 | |
| Less: Other | 35 | | 56 | |
| Total Additional Tier 1 Capital (Advanced Approaches and Standardized Approach) | $ | 21,540 | | $ | 19,779 | |
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital) (Advanced Approaches and Standardized Approach) | $ | 170,484 | | $ | 167,053 | |
| Tier 2 Capital | | |
| Qualifying subordinated debt | $ | 21,890 | | $ | 23,481 | |
Qualifying trust preferred securities(7) | 248 | | 331 | |
| Qualifying noncontrolling interests | 39 | | 41 | |
Excess of eligible credit reserves over expected credit losses(2)(8) | 5,081 | | 5,084 | |
| Regulatory capital deduction: | | |
| Less: Other | 42 | | 31 | |
| Total Tier 2 Capital (Advanced Approaches) | $ | 27,216 | | $ | 28,906 | |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches) | $ | 197,700 | | $ | 195,959 | |
Adjustment for eligible allowance for credit losses(2)(8) | $ | 9,271 | | $ | 8,890 | |
| Total Tier 2 Capital (Standardized Approach) | $ | 36,487 | | $ | 37,796 | |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach) | $ | 206,971 | | $ | 204,849 | |
| | | | | | | | |
| In millions of dollars | March 31,
2022 | December 31,
2021 |
| Common Equity Tier 1 Capital | | |
Citigroup common stockholders’ equity(1) | $ | 178,845 | | $ | 183,108 | |
| Add: Qualifying noncontrolling interests | 126 | | 143 | |
| Regulatory capital adjustments and deductions: | | |
Add: CECL transition provision(2) | 2,271 | | 3,028 | |
| Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax | (1,440) | | 101 | |
Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax | 27 | | (896) | |
| Less: Intangible assets: | | |
Goodwill, net of related DTLs(3) | 20,120 | | 20,619 | |
Identifiable intangible assets other than MSRs, net of related DTLs | 3,698 | | 3,800 | |
| Less: Defined benefit pension plan net assets; other | 2,230 | | 2,080 | |
Less: DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards(4) | 11,701 | | 11,270 | |
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments, and MSRs(4)(5) | 1,157 | | — | |
| Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches) | $ | 143,749 | | $ | 149,305 | |
| Additional Tier 1 Capital | | |
Qualifying noncumulative perpetual preferred stock(1) | $ | 18,864 | | $ | 18,864 | |
Qualifying trust preferred securities(6) | 1,401 | | 1,399 | |
| Qualifying noncontrolling interests | 30 | | 34 | |
| Regulatory capital deductions: | | |
| Less: Other | 29 | | 34 | |
| Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches) | $ | 20,266 | | $ | 20,263 | |
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital) (Standardized Approach and Advanced Approaches) | $ | 164,015 | | $ | 169,568 | |
| Tier 2 Capital | | |
| Qualifying subordinated debt | $ | 18,660 | | $ | 20,064 | |
Qualifying trust preferred securities(7) | — | | 248 | |
| Qualifying noncontrolling interests | 36 | | 42 | |
Eligible allowance for credit losses(2)(8) | 14,758 | | 14,209 | |
| Regulatory capital deduction: | | |
| Less: Other | 336 | | 293 | |
| Total Tier 2 Capital (Standardized Approach) | $ | 33,118 | | $ | 34,270 | |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach) | $ | 197,133 | | $ | 203,838 | |
Adjustment for excess of eligible credit reserves over expected credit losses(2)(8) | $ | (10,153) | | $ | (9,832) | |
| Total Tier 2 Capital (Advanced Approaches) | $ | 22,965 | | $ | 24,438 | |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches) | $ | 186,980 | | $ | 194,006 | |
(1)Issuance costs of $133 million and $156$131 million related to outstanding noncumulative perpetual preferred stock as ofat March 31, 20212022 and December 31, 2020, respectively,2021 are excluded from common stockholders’ equity and are netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)Citi has elected to applyCiti’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the impactcurrent expected credit losses (CECL) standard. For additional information, see “Regulatory Capital Treatment—Modified Transition of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax)Current Expected Credit Losses Methodology” above and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25%“Capital Resources—Regulatory Capital Treatment—Modified Transition of the changeCurrent Expected Credit Losses Methodology” in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31,Citi’s 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date.Form 10-K.
(3)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
Footnotes continue on the following page.
(4)Of Citi’s $24.2$26.7 billion of net DTAs at March 31, 2021, $14.42022, $15.4 billion was includableincluded in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $9.8$11.3 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of March 31, 20212022 was $11.7$12.9 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards.carry-forwards as well as timing differences. The amount excluded was reduced by $1.9$1.6 billion of net DTLs primarily associated with goodwill and certain other intangible assets that are separately deducted from capital. DTAs arising from tax carry-forwards are required to be entirely deducted from Common Equity Tier 1 Capital under the U.S. Basel III rules. DTAs arising from temporary differences are required to be deducted from capital only if these DTAs exceed 10%/15% limitations under the U.S. Basel III rules. Citi’s DTAs do not currently exceed these limitations and, therefore, are not
(5)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At March 31, 2022, this deduction related only to DTAs arising from Common Equity Tier 1 Capital, but are subject to risk weighting at 250%.temporary differences that exceeded the 10% limitation. At December 31, 2021, none of these assets were in excess of the 10%/15% limitations.
(5)(6)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(6)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Commencing January 1, 2021, Citi no longer deducts permitted market making positions in third-party covered funds from Tier 1 Capital, in accordance with the revised Volcker Rule 2.0 issued by the U.S. agencies in November 2019. Upon the removal of the capital deduction, permitted market making positions in third-party covered funds are included in risk-weighted assets.
(7)Represents the amount of non-grandfathered trust preferred securities that were previously eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will berules. Commencing January 1, 2022, non-grandfathered trust preferred securities have been fully phased out of Tier 2 Capital by January 1, 2022.Capital.
(8)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, 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 allowance foreligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Standardized ApproachAdvanced Approaches framework was $14.4$4.6 billion and $14.0$4.4 billion at March 31, 20212022 and December 31, 2020,2021, respectively.
Citigroup Capital Rollforward
| | | | | |
| In millions of dollars | Three Months Ended
March 31, 20212022 |
| Common Equity Tier 1 Capital, beginning of period | $ | 147,274149,305 | |
| Net income | 7,9424,306 | |
| Common and preferred dividends declared | (1,366)(1,293) | |
| Net increase in treasury stock | (1,132)(2,504) | |
Net decreaseincrease in common stock and additional paid-in capital | (175)47 | |
| Net change in foreign currency translation adjustment net of hedges, net of tax | (1,274)(14) | |
Net increasechange in unrealized gains (losses) on debt securities AFS, net of tax | (1,785)(4,277) | |
| Net decrease in defined benefit plans liability adjustment, net of tax | 714171 | |
Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax | 21(130) | |
Net increasedecrease in excluded component of fair value hedges | (10)48 | |
| Net decrease in goodwill, net of related DTLs | 270499 | |
| Net decrease in identifiable intangible assets other than MSRs, net of related DTLs | 112102 | |
| Net increase in defined benefit pension plan net assets | (564)(186) | |
| Net increase in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards | (53)(431) | |
| Net increase in excess over 10%/15% limitations for other DTAs, certain common stock investments and MSRs | (1,157) | |
Net decrease in CECL 25%transition provision deferral | (989)(757) | |
| Other | (41)20 | |
Net increasedecrease in Common Equity Tier 1 Capital | $ | 1,670(5,556) | |
Common Equity Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches and Standardized Approach)Approaches) | $ | 148,944143,749 | |
| Additional Tier 1 Capital, beginning of period | $ | 19,779 | |
Net increase in qualifying perpetual preferred stock | 82320,263 | |
| Net increase in qualifying trust preferred securities | 2 | |
Net decrease in permitted ownership interests in covered funds | 917 | |
| Other | 191 | |
| Net increase in Additional Tier 1 Capital | $ | 1,7613 | |
Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches and Standardized Approach)Approaches) | $ | 170,484164,015 | |
| Tier 2 Capital, beginning of period (Standardized Approach) | $ | 34,270 | |
| Net decrease in qualifying subordinated debt | (1,404) | |
| Net increase in eligible allowance for credit losses | 549 | |
| Other | (297) | |
| Net decrease in Tier 2 Capital (Standardized Approach) | $ | (1,152) | |
| Tier 2 Capital, end of period (Standardized Approach) | $ | 33,118 | |
| Total Capital, end of period (Standardized Approach) | $ | 197,133 | |
| Tier 2 Capital, beginning of period (Advanced Approaches) | $ | 28,90624,438 | |
| Net decrease in qualifying subordinated debt | (1,591)(1,404) | |
Net decreaseincrease in excess of eligible credit reserves over expected credit losses | (3)228 | |
| Other | (96)(297) | |
| Net decrease in Tier 2 Capital (Advanced Approaches) | $ | (1,690)(1,473) | |
| Tier 2 Capital, end of period (Advanced Approaches) | $ | 27,21622,965 | |
| Total Capital, end of period (Advanced Approaches) | $ | 197,700 | |
Tier 2 Capital, beginning of period (Standardized Approach) | $ | 37,796 | |
Net decrease in qualifying subordinated debt | (1,591) | |
Net increase in eligible allowance for credit losses | 378 | |
Other | (96) | |
Net decrease in Tier 2 Capital (Standardized Approach) | $ | (1,309) | |
Tier 2 Capital, end of period (Standardized Approach) | $ | 36,487 | |
Total Capital, end of period (Standardized Approach) | $ | 206,971186,980 | |
Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach)
| | | | | |
| In millions of dollars | Three Months Ended
March 31, 2022 |
| Total Risk-Weighted Assets, beginning of period | $ | 1,219,175 | |
| Changes in Credit Risk-Weighted Assets | |
General credit risk exposures(1) | 3,265 | |
Repo-style transactions(2) | (2,828) | |
| Securitization exposures | (480) | |
| Equity exposures | 1,316 | |
Over-the-counter (OTC) derivatives(3) | 45,720 | |
| Other exposures | 494 | |
Off-balance sheet exposures(4) | (4,736) | |
| Net increase in Credit Risk-Weighted Assets | $ | 42,751 | |
| Changes in Market Risk-Weighted Assets | |
| Risk levels | $ | 263 | |
| Model and methodology updates | 1,109 | |
| Net increase in Market Risk-Weighted Assets | $ | 1,372 | |
| Total Risk-Weighted Assets, end of period | $ | 1,263,298 | |
(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased during the three months ended March 31, 2022 primarily due to increases in wholesale loans and cash deposits.
(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions decreased during the three months ended March 31, 2022 primarily due to business activities.
(3)OTC derivatives increased during the three months ended March 31, 2022 primarily due to the adoption of SA-CCR. For additional information, see “Adoption of the Standardized Approach for Counterparty Credit Risk” above and “Capital Resources—Adoption of the Standardized Approach for Counterparty Credit Risk” in Citi’s 2021 Form 10-K.
(4)Off-balance sheet exposures decreased during the three months ended March 31, 2022 primarily due to a decrease in wholesale loan commitments.
Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
| | | | | |
| In millions of dollars | Three Months Ended
March 31, 20212022 |
| Total Risk-Weighted Assets, beginning of period | $ | 1,255,2841,209,374 | |
| Changes in Credit Risk-Weighted Assets | |
Retail exposures(1) | (10,755)(1,901) | |
Wholesale exposures(2)(1) | 9,4208,936 | |
Repo-style transactions(2) | (2,786)(5,751) | |
Securitization exposures(3) | 3,729198 | |
| Equity exposures | (586)1,705 | |
Over-the-counter (OTC) derivatives(4)(3) | 7,82417,160 | |
Derivatives CVA(5)(3) | (7,779)25,533 | |
Other exposures(6) | 1,866(1,607) | |
| Supervisory 6% multiplier | 4111,124 | |
| Net increase in Credit Risk-Weighted Assets | $ | 1,34445,397 | |
| Changes in Market Risk-Weighted Assets | |
Risk levels(7) | $ | 4,2222,054 | |
| Model and methodology updates | 558 | |
Net increase in Market Risk-Weighted Assets | $ | 4,7801,109 | |
Net changeincrease in OperationalMarket Risk-Weighted Assets(8)(4) | $ | 2,5183,163 | |
| Net increase in Operational Risk-Weighted Assets | $ | 2,001 | |
| Total Risk-Weighted Assets, end of period | $ | 1,263,9261,259,935 | |
(1)Retail exposures decreased during the three months ended March 31, 2021, primarily driven by seasonal holiday spending repayments and less spending on qualifying revolving (cards) exposures.
(2)Wholesale exposures increased during the three months ended March 31, 2021, primarily due to an increase in wholesale loan commitments.
(3)Securitization exposures increased during the three months ended March 31, 2021, primarily2022 mainly due to increases in new deals.
(4)OTC derivatives increased during the three months ended March 31, 2021, primarily due to changes in risk parameters, partially offset by a decrease in exposure.
(5)Derivatives CVA decreased during the three months ended March 31, 2021, primarily driven by a decrease in exposure.
(6)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios.
(7)Risk levels increased during the three months ended March 31, 2021, primarily due to exposure changes.
(8)Operational risk-weighted assets increased during the three months ended March 31, 2021, mainly driven by changes in operational loss severity.
Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach)
| | | | | |
In millions of dollars | Three Months Ended
March 31, 2021 |
Total Risk-Weighted Assets, beginning of period | $ | 1,221,576 | |
Changes in Credit Risk-Weighted Assets | |
General credit risk exposures(1)
| (12,940) | |
Repo-style transactions(2)
| 3,038 | |
Securitization exposures(3)
| 3,647 | |
Equity exposures | (579) | |
Over-the-counter (OTC) derivatives(4)
| 19,628 | |
Other exposures(5)
| 11,306 | |
Off-balance sheet exposures(6)
| 10,440 | |
Net change in Credit Risk-Weighted Assets | $ | 34,540 | |
Changes in Market Risk-Weighted Assets | |
Risk levels(7)
| $ | 3,406 | |
Model and methodology updates | 558 | |
Net increase in Market Risk-Weighted Assets | $ | 3,964 | |
Total Risk-Weighted Assets, end of period | $ | 1,260,080 | |
(1)General credit risk exposures include cash and balances due from depository institutions, securities, andwholesale loans and leases. General credit risk exposures decreased during the three months ended March 31, 2021, primarily due to seasonal holiday spending repayments and less spending on qualifying revolving (cards).cash deposits.
(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions decreased during the three months ended March 31, 2022 primarily due to business activities.
(3)OTC derivatives and derivatives CVA both increased during the three months ended March 31, 2021,2022 primarily due to volume-the adoption of SA-CCR. For additional information, see “Adoption of the Standardized Approach for Counterparty Credit Risk” above and exposure-driven increases.“Capital Resources—Adoption of the Standardized Approach for Counterparty Credit Risk” in Citi’s 2021 Form 10-K.
(3)(4)Securitization exposuresMarket risk-weighted assets increased during the three months ended March 31, 2021, primarily due to increases in new deals.
(4)OTC derivatives increased during the three months ended March 31, 2021, mainly due to changes in risk parameters and an increase in notionals.
(5)Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures increased during the three months ended March 31, 2021, primarily due to an increase in various other assets.
(6)Off-balance sheet exposures increased during the three months ended March 31, 2021, primarily due to an increase in wholesale loan commitments.
(7)Risk levels increased during the three months ended March 31, 2021,2022 primarily due to exposure changes.
Supplementary Leverage Ratio
The following table sets forth Citi’s Supplementary Leverage ratio and related components:
| | | | | | | | |
| In millions of dollars, except ratios | March 31, 2021 | December 31, 2020 |
| Tier 1 Capital | $ | 170,484 | | $ | 167,053 | |
| Total Leverage Exposure | | |
On-balance sheet assets(1)(2)(3) | $ | 1,906,422 | | $ | 1,864,374 | |
Certain off-balance sheet exposures:(4) | | |
| Potential future exposure on derivative contracts | 201,735 | | 183,604 | |
Effective notional of sold credit derivatives, net(5) | 27,164 | | 32,640 | |
Counterparty credit risk for repo-style transactions(6) | 21,805 | | 20,168 | |
| Unconditionally cancellable commitments | 71,293 | | 71,163 | |
| Other off-balance sheet exposures | 260,112 | | 253,754 | |
| Total of certain off-balance sheet exposures | $ | 582,109 | | $ | 561,329 | |
| Less: Tier 1 Capital deductions | 38,119 | | 38,822 | |
Total Leverage Exposure(3) | $ | 2,450,412 | | $ | 2,386,881 | |
| Supplementary Leverage ratio | 6.96 | % | 7.00 | % |
| | | | | | | | |
| In millions of dollars, except ratios | March 31, 2022 | December 31, 2021 |
| Tier 1 Capital | $ | 164,015 | | $ | 169,568 | |
| Total Leverage Exposure | | |
On-balance sheet assets(1)(2) | $ | 2,376,310 | | $ | 2,389,237 | |
Certain off-balance sheet exposures:(3) | | |
| Potential future exposure on derivative contracts | 200,710 | | 222,241 | |
Effective notional of sold credit derivatives, net(4) | 30,493 | | 23,788 | |
Counterparty credit risk for repo-style transactions(5) | 23,902 | | 25,775 | |
| Other off-balance sheet exposures | 347,053 | | 334,526 | |
| Total of certain off-balance sheet exposures | $ | 602,158 | | $ | 606,330 | |
| Less: Tier 1 Capital deductions | 38,935 | | 37,803 | |
| Total Leverage Exposure | $ | 2,939,533 | | $ | 2,957,764 | |
| Supplementary Leverage ratio | 5.58 | % | 5.73 | % |
(1)Represents the daily average of on-balance sheet assets for the quarter.
(2)Citi has elected to applyCiti’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in DTAs arising from temporary differences and the allowance forcurrent expected credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in Total Leverage Exposure.
(3)Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and deposits at Federal Reserve Banks. This temporary Supplementary Leverage ratio relief expired as scheduled on March 31, 2021. During the first quarter of 2021, as a result of the temporary relief, Citigroup’s reported Supplementary Leverage ratio benefited approximately 100 basis points.(CECL) standard. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.“Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” above and “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2021 Form 10-K.
(4)(3)Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(5)(4)Under the U.S. Basel III rules, banking organizations are required to include in Total Leverage Exposure the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.
(6)(5)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 approximately 7.0%5.6% at March 31, 2021 and2022, compared to 5.7% at December 31, 2020,2021, as the return of capital to common shareholders in the form of share repurchases and dividends, adverse net movements in AOCI and an increase in Total Leverage Exposure duethe return of capital to an increase in both average on-balance sheet assets and average off-balance sheet exposurescommon shareholders were partially offset by net income in the quarter.income.
Capital Resources of Citigroup’s Subsidiary U.S. Depository Institutions
Citigroup’s subsidiary U.S. depository institutions are also subject to regulatory capital standards issued by their respective primary bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.
The following tables set forth the capital components and ratios for Citibank, Citi’s primary subsidiary U.S. depository institution:
| | | | | | | | | | | | | | | | | |
| | Advanced Approaches | Standardized Approach |
| In millions of dollars, except ratios | Effective Minimum Requirement(1) | March 31, 2021 | December 31, 2020 | March 31, 2021 | December 31, 2020 |
Common Equity Tier 1 Capital(2) | | $ | 146,359 | | $ | 142,854 | | $ | 146,359 | | $ | 142,854 | |
| Tier 1 Capital | | 148,487 | | 144,962 | | 148,487 | | 144,962 | |
Total Capital (Tier 1 Capital + Tier 2 Capital)(2)(3) | | 164,921 | | 161,319 | | 173,212 | | 169,303 | |
Total Risk-Weighted Assets(4) | | 1,043,858 | | 1,021,479 | | 1,069,933 | | 1,038,031 | |
Credit Risk(2) | | $ | 731,159 | | $ | 716,513 | | $ | 1,011,308 | | $ | 977,366 | |
| Market Risk | | 57,808 | | 59,815 | | 58,625 | | 60,665 | |
| Operational Risk | | 254,891 | | 245,151 | | — | | — | |
Common Equity Tier 1 Capital ratio(4)(5) | 7.0 | % | 14.02 | % | 13.99 | % | 13.68 | % | 13.76 | % |
Tier 1 Capital ratio(4)(5) | 8.5 | | 14.22 | | 14.19 | | 13.88 | | 13.97 | |
Total Capital ratio(4)(5) | 10.5 | | 15.80 | | 15.79 | | 16.19 | | 16.31 | |
| | | | | | | | | | | |
| In millions of dollars, except ratios | Effective Minimum Requirement | March 31, 2021 | December 31, 2020 |
Quarterly Adjusted Average Total Assets(2)(6) | | $ | 1,665,791 | | $ | 1,680,026 | |
Total Leverage Exposure(2)(7) | | 2,182,668 | | 2,180,821 | |
Tier 1 Leverage ratio(5) | 5.0 | % | 8.91 | % | 8.63 | % |
Supplementary Leverage ratio(5) | 6.0 | | 6.80 | | 6.65 | |
| | | | | | | | | | | | | | | | | |
| | Advanced Approaches(1) | Standardized Approach(1) |
| In millions of dollars, except ratios | Effective Minimum Requirement(2) | March 31, 2022 | December 31, 2021 | March 31, 2022 | December 31, 2021 |
Common Equity Tier 1 Capital(3) | | $ | 147,400 | | $ | 148,548 | | $ | 147,400 | | $ | 148,548 | |
| Tier 1 Capital | | 149,527 | | 150,679 | | 149,527 | | 150,679 | |
Total Capital (Tier 1 Capital + Tier 2 Capital)(3)(4) | | 165,783 | | 166,921 | | 174,315 | | 175,427 | |
| Total Risk-Weighted Assets | | 1,063,411 | | 1,017,774 | | 1,094,456 | | 1,066,015 | |
Credit Risk(3) | | $ | 787,496 | | $ | 737,802 | | $ | 1,043,646 | | $ | 1,016,293 | |
| Market Risk | | 48,434 | | 48,089 | | 50,810 | | 49,722 | |
| Operational Risk | | 227,481 | | 231,883 | | — | | — | |
Common Equity Tier 1 Capital ratio(5)(6) | 7.0 | % | 13.86 | % | 14.60 | % | 13.47 | % | 13.93 | % |
Tier 1 Capital ratio(5)(6) | 8.5 | | 14.06 | | 14.80 | | 13.66 | | 14.13 | |
Total Capital ratio(5)(6) | 10.5 | | 15.59 | | 16.40 | | 15.93 | | 16.46 | |
| | | | | | | | | | | |
| In millions of dollars, except ratios | Effective Minimum Requirement | March 31, 2022 | December 31, 2021 |
Quarterly Adjusted Average Total Assets(3)(7) | | $ | 1,697,393 | | $ | 1,716,596 | |
Total Leverage Exposure(3)(8) | | 2,210,947 | | 2,236,839 | |
Tier 1 Leverage ratio(6) | 5.0 | % | 8.81 | % | 8.78 | % |
Supplementary Leverage ratio(6) | 6.0 | | 6.76 | | 6.74 | |
(1)Certain of the above prior-period amounts have been revised to conform with enhancements made in the current period.
(2)Citibank’s effective minimum risk-based capital requirements are inclusive of the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).
(2)(3)Citibank has elected to applyCitibank’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the impactcurrent expected credit losses (CECL) standard. For additional information, see “Regulatory Capital Treatment—Modified Transition of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differencesCurrent Expected Credit Losses Methodology” above and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citibank is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25%“Capital Resources—Regulatory Capital Treatment—Modified Transition of the changeCurrent Expected Credit Losses Methodology” in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31,Citi’s 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. In addition, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.Form 10-K.
(3)(4)Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the ACL is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess ACL being deducted in arriving at credit risk-weighted assets.
(4)(5)Citibank’s reportable Total Capital ratio was derived under the Basel III Advanced Approaches framework as of March 31, 2021 and December 31, 2020, whereas Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas Citibank’s Total Capital ratio was derived under the Basel III Advanced Approaches framework for all periods presented.
(5)(6)Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. Citibank must also maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.”
(6)(7)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(7)(8)Supplementary Leverage ratio denominator. Citibank did not elect to temporarily exclude U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure. For additional information, see “Capital Resources—Current Regulatory Capital Standards—Temporary Supplementary Leverage Ratio Relief” in Citi’s 2020 Annual Report on Form 10-K.
As indicated in the table above, Citibank’s capital ratios at March 31, 20212022 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citibank was also “well capitalized” as of March 31, 2021.2022.
Impact of Changes on Citigroup and Citibank Capital Ratios
The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to changes of $100 million in Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in
Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of March 31, 2021.2022. 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 ratio | Total Capital ratio | | Common Equity Tier 1 Capital ratio | Tier 1 Capital ratio | Total Capital ratio |
| In basis points | 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 | In basis points | Impact of $100 million change in Common Equity Tier 1 Capital | Impact of $1 billion change in risk- weighted assets | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in risk- weighted assets | Impact of $100 million change in Total Capital | Impact of $1 billion change in risk- weighted assets |
| Citigroup | Citigroup | | | | | | Citigroup | | | | | |
| Advanced Approaches | Advanced Approaches | 0.8 | 0.9 | 0.8 | 1.1 | 0.8 | 1.2 | Advanced Approaches | 0.8 | 0.9 | 0.8 | 1.0 | 0.8 | 1.2 |
| Standardized Approach | Standardized Approach | 0.8 | 0.9 | 0.8 | 1.1 | 0.8 | 1.3 | Standardized Approach | 0.8 | 0.9 | 0.8 | 1.0 | 0.8 | 1.2 |
| Citibank | Citibank | | | | | | Citibank | | | | | |
| Advanced Approaches | Advanced Approaches | 1.0 | 1.3 | 1.0 | 1.4 | 1.0 | 1.5 | Advanced Approaches | 0.9 | 1.3 | 0.9 | 1.3 | 0.9 | 1.5 |
| Standardized Approach | Standardized Approach | 0.9 | 1.3 | 0.9 | 1.3 | 0.9 | 1.5 | Standardized Approach | 0.9 | 1.2 | 0.9 | 1.3 | 0.9 | 1.5 |
| | | Tier 1 Leverage ratio | Supplementary Leverage ratio | | Tier 1 Leverage ratio | Supplementary Leverage ratio |
| In basis points | 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 | In basis points | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in quarterly adjusted average total assets | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in Total Leverage Exposure |
| Citigroup | Citigroup | 0.4 | 0.3 | 0.4 | 0.3 | Citigroup | 0.4 | 0.3 | 0.3 | 0.2 |
| Citibank | Citibank | 0.6 | 0.5 | 0.5 | 0.3 | Citibank | 0.6 | 0.5 | 0.5 | 0.3 |
Citigroup Broker-Dealer Subsidiaries
At March 31, 2021,2022, 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 $11.8$10 billion, which exceeded the minimum requirement by $8.1$5 billion.
Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total regulatory capital of $27.0$28 billion at March 31, 2021,2022, 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 March 31, 2021.2022.
Total Loss-Absorbing Capacity (TLAC)
The table below details Citi’s eligible external TLAC and long-term debt (LTD) amounts and ratios, and each effective minimum TLAC and LTD ratio requirement, as well as the surplus amount in dollars in excess of each requirement.
As of March 31, 2021, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $24 billion surplus above its binding TLAC requirement of LTD as a percentage of Advanced Approaches risk-weighted assets.
| | | March 31, 2021 | | March 31, 2022 |
| In billions of dollars, except ratios | In billions of dollars, except ratios | External TLAC | LTD | In billions of dollars, except ratios | External TLAC | LTD |
| Total eligible amount | Total eligible amount | $ | 313 | | $ | 138 | | Total eligible amount | $ | 323 | | $ | 156 | |
% of Advanced Approaches risk-
weighted assets | 24.8 | % | 10.9 | % | |
% of Standardized Approach risk-
weighted assets | | % of Standardized Approach risk-
weighted assets | 25.6 | % | 12.3 | % |
Effective minimum requirement(1)(2) | Effective minimum requirement(1)(2) | 22.5 | % | 9.0 | % | Effective minimum requirement(1)(2) | 22.5 | | 9.0 | |
| Surplus amount | Surplus amount | $ | 29 | | $ | 24 | | Surplus amount | $ | 39 | | $ | 42 | |
% of Total Leverage Exposure(3) | % of Total Leverage Exposure(3) | 12.8 | % | 5.6 | % | % of Total Leverage Exposure(3) | 11.0 | % | 5.3 | % |
| Effective minimum requirement | Effective minimum requirement | 9.5 | % | 4.5 | % | Effective minimum requirement | 9.5 | | 4.5 | |
| Surplus amount | Surplus amount | $ | 81 | | $ | 28 | | Surplus amount | $ | 44 | | $ | 23 | |
(1) External TLAC includes Method 1 GSIB surcharge of 2.0%.
(2) LTD includes Method 2 GSIB surcharge of 3.0%.
(3) Commencing with the second quarter
As of 2020, Citigroup’s Total Leverage Exposure temporarily excludes U.S. Treasuries and deposits at Federal Reserve Banks. These exclusions expired as scheduled on March 31, 2021. Excluding2022, Citi exceeded each of the temporary relief, Citigroup’sminimum TLAC and LTD requirements, resulting in a $23 billion surplus above its binding TLAC requirement would have beenof LTD as a percentage of Total Leverage Exposure, with a surplus of $9 billion. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.Exposure.
For additional information on Citi’s TLAC-related requirements, see “Capital Resources—Total Loss-Absorbing Capacity (TLAC)” and “Risk Factors—Compliance Risks” in Citi’s 2020 Annual Report on2021 Form 10-K.
Capital Resources (Full Adoption of CECL, and Excluding Temporary Supplementary Leverage Ratio Relief for Citigroup)CECL)(1)
The following tables set forth Citigroup’s and Citibank’s capital components and ratios reflecting the full impact of CECL and excluding temporary Supplementary Leverage ratio relief for Citigroup, as of March 31, 2021:2022:
| | | | | | | | | | | | | | | | | | | | |
| Citigroup | Citibank |
| Effective Minimum Requirement | Advanced Approaches | Standardized Approach | Effective Minimum Requirement | Advanced Approaches | Standardized Approach |
| Common Equity Tier 1 Capital ratio | 10.0 | % | 11.46 | % | 11.50 | % | 7.0 | % | 13.67 | % | 13.33 | % |
| Tier 1 Capital ratio | 11.5 | | 13.17 | | 13.21 | | 8.5 | | 13.87 | | 13.53 | |
| Total Capital ratio | 13.5 | | 15.33 | | 16.12 | | 10.5 | | 15.45 | | 15.85 | |
| | | | | | | | | | | | | | | | | | | | |
| Effective Minimum Requirement | Citigroup | Effective Minimum Requirement | Citibank |
| Tier 1 Leverage ratio | 4.0 | % | 7.29 | % | 5.0 | % | 8.69 | % |
Supplementary Leverage ratio(1) | 5.0 | | 5.80 | | 6.0 | | 6.63 | |
(1)Citigroup’s Supplementary Leverage ratio, as presented in the table above, reflects the full impact of CECL as well as the inclusion of U.S. Treasuries and deposits at Federal Reserve Banks in Total Leverage Exposure. | | | | | | | | | | | | | | | | | | | | | | | |
| Citigroup | Citibank |
| Effective Minimum Requirement, Advanced Approaches | Effective Minimum Requirement, Standardized Approach | Advanced Approaches | Standardized Approach | Effective Minimum Requirement(2) | Advanced Approaches | Standardized Approach |
| Common Equity Tier 1 Capital ratio | 10.0 | % | 10.5 | % | 11.19 | % | 11.16 | % | 7.0 | % | 13.67 | % | 13.28 | % |
| Tier 1 Capital ratio | 11.5 | | 12.0 | | 12.80 | | 12.77 | | 8.5 | | 13.87 | | 13.48 | |
| Total Capital ratio | 13.5 | | 14.0 | | 14.68 | | 15.40 | | 10.5 | | 15.42 | | 15.74 | |
| | | | | | | | | | | | | | | | | | | | |
| Effective Minimum Requirement | Citigroup | Effective Minimum Requirement | Citibank |
| Tier 1 Leverage ratio | 4.0 | % | 6.89 % | 5.0 | % | 8.69 % |
| Supplementary Leverage ratio | 5.0 | | 5.48 | 6.0 | | 6.67 |
TLAC Holdings(1)See footnote 2 on the “Components of Citigroup Capital” table above.
In January 2021,(2)Citibank’s effective minimum requirements were the U.S. banking agencies issued a final rule that creates a new regulatory capital deduction applicable tosame under the Standardized Approach and the Advanced Approaches banking organizations for certain investments in covered debt instruments issued by GSIBs. The final rule became effective for Citigroup and Citibank on April 1, 2021, and did not have a significant impact on either Citigroup’s or Citibank’s regulatory capital. For additional information, see “Capital Resources—Regulatory Capital Standards Developments—U.S. Banking Agencies—TLAC Holdings” in Citi’s 2020 Annual Report on Form 10-K.
Regulatory Capital Standards Developments
Supplementary Leverage Ratio
In March 2021, the Federal Reserve Board announced that it would soon invite public comment on several potential modifications to the Supplementary Leverage ratio. The Federal Reserve Board noted that, because of recent growth in the supply of central bank reserves and issuance of U.S. Treasuries, the Federal Reserve Board may need to address the current design and calibration of the Supplementary Leverage ratio over time to prevent strains from developing that could both constrain economic growth and undermine financial stability. Additional details on any forthcoming proposals are not yet available.
Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Return on Equity
Tangible common equity (TCE), as defined by Citi, represents common stockholders’ equity less goodwill and identifiable intangible assets (other than MSRs)mortgage servicing rights (MSRs)). RoTCE represents net income available to common
shareholders as a percentage of average TCE. Tangible book value per share represents TCE divided by common shares outstanding. Other companies may calculate TCEthese measures in a different manner. TCE, tangible book value (TBV) per share and return on average TCERoTCE are non-GAAP financial measures.
| | | | | | | | |
| In millions of dollars or shares, except per share amounts | March 31,
2022 | December 31,
2021 |
| Total Citigroup stockholders’ equity | $ | 197,709 | | $ | 201,972 | |
| Less: Preferred stock | 18,995 | | 18,995 | |
| Common stockholders’ equity | $ | 178,714 | | $ | 182,977 | |
| Less: | | |
| Goodwill | 19,865 | | 21,299 | |
| Identifiable intangible assets (other than MSRs) | 4,002 | | 4,091 | |
Goodwill and identifiable intangible assets (other than MSRs) related to assets held-for-sale (HFS) | 1,384 | | 510 | |
| Tangible common equity (TCE) | $ | 153,463 | | $ | 157,077 | |
| Common shares outstanding (CSO) | 1,941.9 | | 1,984.4 | |
| Book value per share (common stockholders’ equity/CSO) | $ | 92.03 | | $ | 92.21 | |
| Tangible book value per share (TCE/CSO) | 79.03 | | 79.16 | |
| | | | | | | | |
| In millions of dollars or shares, except per share amounts | March 31,
2021 | December 31,
2020 |
| Total Citigroup stockholders’ equity | $ | 202,549 | | $ | 199,442 | |
| Less: Preferred stock | 20,280 | | 19,480 | |
| Common stockholders’ equity | $ | 182,269 | | $ | 179,962 | |
| Less: | | |
| Goodwill | 21,905 | | 22,162 | |
| Identifiable intangible assets (other than MSRs) | 4,308 | | 4,411 | |
| | |
| Tangible common equity (TCE) | $ | 156,056 | | $ | 153,389 | |
| Common shares outstanding (CSO) | 2,067.0 | | 2,082.1 | |
| Book value per share (common equity/CSO) | $ | 88.18 | | $ | 86.43 | |
| Tangible book value per share (TCE/CSO) | 75.50 | | 73.67 | |
| | | | | | | | | | |
| Three Months Ended March 31, | |
| In millions of dollars | 2021 | 2020 | | |
| Net income available to common shareholders | $ | 7,650 | | $ | 2,245 | | | |
| Average common stockholders’ equity | 180,421 | | 174,468 | | | |
| Average TCE | 154,723 | | 149,024 | | | |
| Return on average common stockholders’ equity | 17.2 | % | 5.2 | % | | |
Return on average TCE (RoTCE)(1) | 20.1 | | 6.1 | | | |
(1)RoTCE represents net income available to common shareholders as a percentage of average TCE.
| | | | | | | | | | |
| Three Months Ended March 31, | |
| In millions of dollars | 2022 | 2021 | | |
| Net income available to common shareholders | $ | 4,027 | | $ | 7,650 | | | |
| Average common stockholders’ equity | 181,169 | | 180,421 | | | |
| Average TCE | 155,270 | | 154,723 | | | |
| Return on average common stockholders’ equity | 9.0 | % | 17.2 | % | | |
| RoTCE | 10.5 | | 20.1 | | | |
Managing Global Risk Table of Contents
| | | | | | | | |
| MANAGING GLOBAL RISK | | |
CREDIT RISK(1) | | |
| Corporate Credit | | |
| Consumer Credit | | |
Corporate Credit | | |
| Additional Consumer and Corporate Credit Details | | |
| Loans Outstanding | | |
| Details of Credit Loss Experience | | |
| Allowance for Credit Losses on Loans (ACLL) | | 5244 |
| Non-Accrual Loans and Assets and Renegotiated Loans | | |
| LIQUIDITY RISK | | |
| High-Quality Liquid Assets (HQLA) | | |
| Liquidity Coverage Ratio (LCR) | | |
| Loans | | 5851 |
| Deposits | | 5851 |
| Long-Term Debt | | 5952 |
| Secured Funding Transactions and Short-Term Borrowings | | 6154 |
| Credit Ratings | | 6255 |
MARKET RISK(1) | | |
| Market Risk of Non-Trading Portfolios | | |
| Market Risk of Trading Portfolios | | |
STRATEGIC RISKOTHER RISKS | | |
| LIBOR Transition Risk | | |
| Country Risk | | |
| Russia | | |
| Ukraine | | |
| Argentina | | |
(1) For additional information regarding certain credit risk, market risk and other quantitative and qualitative information, refer to Citi’s Pillar 3 Basel III Advanced Approaches Disclosures, as required by the rules of the Federal Reserve Board, on Citi’s Investor Relations website.
MANAGING GLOBAL RISK
For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to monitor, evaluate and manage the principal risks it assumes in conducting its activities. Specifically, the activities that Citi engages in, and the risks those activities generate, must be consistent with Citi’s mission, strategy, value proposition, key guiding principles and risk appetite. For more information on Citi’s management of global risk, see “Managing Global Risk” in Citi’s 2020 Annual Report on Form 10-K. As discussed above, Citi is continuing its efforts to comply with the Federal Reserve Board and OCC consent orders, relating principally to various aspects of risk management, compliance, data quality management and governance, and internal controls. See “Citi’s Consent Order Compliance” above and in Citi’s 2020 Annual Report on Form 10-K..
CREDIT RISK
For more 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 2020 Annual Report on2021 Form 10-K.
The following table details Citi’s corporate credit portfolio within ICG and the Mexico SBMM component of Legacy Franchises (excluding certain loans managed on a delinquency basis, loans carried at fair value and loans held-for-sale), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | March 31, 2022 | December 31, 2021 | March 31, 2021 |
| In billions of dollars | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure |
Direct outstandings (on-balance sheet)(1) | $ | 164 | | $ | 117 | | $ | 21 | | $ | 302 | | $ | 145 | | $ | 119 | | $ | 20 | | $ | 284 | | $ | 141 | | $ | 120 | | $ | 21 | | $ | 282 | |
Unfunded lending commitments (off-balance sheet)(2) | 148 | | 268 | | 10 | | 426 | | 147 | | 269 | | 13 | | 429 | | 158 | | 275 | | 11 | | 444 | |
| Total exposure | $ | 312 | | $ | 385 | | $ | 31 | | $ | 728 | | $ | 292 | | $ | 388 | | $ | 33 | | $ | 713 | | $ | 299 | | $ | 395 | | $ | 32 | | $ | 726 | |
(1) Includes drawn loans, overdrafts, bankers’ acceptances and leases.
(2) Includes unused commitments to lend, letters of credit and financial guarantees.
Portfolio Mix—Geography and Counterparty
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region based on Citi’s internal management geography:
| | | | | | | | | | | |
| March 31,
2022 | December 31, 2021 | March 31,
2021 |
| North America | 56 | % | 56 | % | 56 | % |
| EMEA | 25 | | 25 | | 26 | |
| Asia | 13 | | 13 | | 12 | |
| Latin America | 6 | | 6 | | 6 | |
| Total | 100 | % | 100 | % | 100 | % |
The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived 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.
The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:
| | | | | | | | | | | |
| | Total exposure |
| | March 31,
2022 | December 31,
2021 | March 31,
2021 |
| AAA/AA/A | 49 | % | 48 | % | 47 | % |
| BBB | 33 | | 34 | | 33 | |
| BB/B | 16 | | 16 | | 17 | |
| CCC or below | 2 | | 2 | | 3 | |
| Total | 100 | % | 100 | % | 100 | % |
Note: Total exposure includes direct outstandings and unfunded lending commitments.
In addition to the obligor and facility risk ratings assigned to all exposures, Citi may classify exposures in the corporate credit portfolio. These classifications are consistent with Citi’s interpretation of the U.S. banking regulators’ definition of criticized exposures, which may categorize exposures as special mention, substandard, doubtful or loss.
Risk ratings and classifications are reviewed regularly, and adjusted as appropriate. The credit review process incorporates quantitative and qualitative factors, including financial and non-financial disclosures or metrics, idiosyncratic events or changes to the competitive, regulatory or macroeconomic environment.
Citigroup believes the corporate credit portfolio to be appropriately rated and classified as of March 31, 2022. Citigroup has taken action to adjust internal ratings and classifications of exposures as both the macroeconomic environment and obligor-specific factors have changed, particularly where additional stress has been seen.
As obligor risk ratings are downgraded, the probability of default increases. Downgrades of obligor risk ratings tend to result in a higher provision for credit losses. In addition, downgrades may result in the purchase of additional credit derivatives or other risk mitigants to hedge the incremental credit risk, or may result in Citi’s seeking to reduce exposure to an obligor or an industry sector. Citi will continue to review exposures to ensure that the appropriate probability of default is incorporated into all risk assessments.
See Note 13 for additional information on Citi’s corporate credit portfolio.
Portfolio Mix—Industry
Citi’s corporate credit portfolio is diversified by industry. The following table details the allocation of Citi’s total corporate credit portfolio by industry:
| | | | | | | | | | | |
| | Total exposure |
| | March 31,
2022 | December 31,
2021 | March 31,
2021 |
| Transportation and industrials | 20 | % | 20 | % | 20 | % |
| Technology, media and telecom | 12 | | 12 | | 12 | |
| Consumer retail | 11 | | 11 | | 11 | |
| Real estate | 9 | | 10 | | 9 | |
| Power, chemicals, metals and mining | 9 | | 9 | | 9 | |
| Banks and finance companies | 9 | | 8 | | 8 | |
| Asset managers and funds | 8 | | 8 | | 8 | |
| Energy and commodities | 7 | | 7 | | 7 | |
| Health | 5 | | 5 | | 5 | |
| Insurance | 4 | | 4 | | 4 | |
| Public sector | 3 | | 3 | | 4 | |
| Financial markets infrastructure | 2 | | 2 | | 2 | |
| Securities firms | — | | — | | — | |
| Other industries | 1 | | 1 | | 1 | |
| Total | 100 | % | 100 | % | 100 | % |
The following table details Citi’s corporate credit portfolio by industry as of March 31, 2022:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing | Net credit losses (recoveries) | Credit derivative hedges(3) |
| Transportation and industrials | $ | 147,271 | | $ | 54,122 | | $ | 93,149 | | $ | 110,888 | | $ | 21,297 | | $ | 13,854 | | $ | 1,233 | | | $ | 296 | | $ | 1 | | $ | (8,643) | |
Autos(4) | 49,443 | | 19,203 | | 30,240 | | 39,597 | | 5,815 | | 3,910 | | 121 | | | 69 | | — | | (3,221) | |
| Transportation | 27,010 | | 11,703 | | 15,307 | | 19,372 | | 2,654 | | 4,340 | | 644 | | | 47 | | — | | (1,315) | |
| Industrials | 70,818 | | 23,216 | | 47,602 | | 51,919 | | 12,828 | | 5,604 | | 468 | | | 180 | | 1 | | (4,107) | |
| Technology, media and telecom | 86,035 | | 31,969 | | 54,066 | | 65,764 | | 16,983 | | 3,175 | | 113 | | | 132 | | — | | (6,549) | |
| Consumer retail | 79,591 | | 36,130 | | 43,461 | | 61,780 | | 13,633 | | 3,788 | | 390 | | | 324 | | 1 | | (5,000) | |
| Real estate | 68,956 | | 46,517 | | 22,439 | | 58,713 | | 6,316 | | 3,918 | | 10 | | | 348 | | — | | (752) | |
| Power, chemicals, metals and mining | 64,456 | | 21,787 | | 42,669 | | 50,606 | | 11,938 | | 1,656 | | 256 | | | 212 | | — | | (5,281) | |
| Power | 23,703 | | 5,851 | | 17,852 | | 19,929 | | 3,284 | | 398 | | 92 | | | 48 | | — | | (2,555) | |
| Chemicals | 26,511 | | 9,272 | | 17,239 | | 21,782 | | 3,987 | | 618 | | 124 | | | 127 | | — | | (2,103) | |
| Metals and mining | 14,242 | | 6,664 | | 7,578 | | 8,895 | | 4,667 | | 640 | | 40 | | | 37 | | — | | (623) | |
| Banks and finance companies | 62,266 | | 39,791 | | 22,475 | | 52,668 | | 5,813 | | 3,730 | | 55 | | | 98 | | 1 | | (641) | |
| Asset managers and funds | 54,791 | | 25,160 | | 29,631 | | 53,428 | | 1,252 | | 106 | | 5 | | | 484 | | — | | (893) | |
Energy and commodities(5) | 54,024 | | 17,741 | | 36,283 | | 44,225 | | 7,549 | | 2,037 | | 214 | | | 286 | | 19 | | (3,680) | |
| Health | 35,129 | | 8,968 | | 26,161 | | 29,495 | | 4,691 | | 835 | | 107 | | | 107 | | — | | (2,475) | |
| Insurance | 30,245 | | 2,880 | | 27,365 | | 29,383 | | 847 | | 15 | | — | | | 3 | | | (2,654) | |
| Public sector | 25,022 | | 13,707 | | 11,315 | | 20,609 | | 1,879 | | 2,407 | | 127 | | | 17 | | 4 | | (1,272) | |
| Financial markets infrastructure | 13,133 | | 176 | | 12,957 | | 13,110 | | 23 | | — | | — | | | — | | — | | (23) | |
| Securities firms | 1,357 | | 520 | | 837 | | 798 | | 387 | | 172 | | — | | | 2 | | — | | (3) | |
| Other industries | 5,628 | | 2,714 | | 2,914 | | 3,031 | | 2,223 | | 340 | | 32 | | | 81 | | 5 | | (4) | |
| Total | $ | 727,904 | | $ | 302,182 | | $ | 425,722 | | $ | 594,498 | | $ | 94,831 | | $ | 36,033 | | $ | 2,542 | | | $ | 2,390 | | $ | 31 | | $ | (37,870) | |
(1) Excludes $1.4 billion and $0.1 billion of funded and unfunded exposure at March 31, 2022, respectively, primarily related to the delinquency-managed loans and unearned income. Funded balance also excludes loans carried at fair value of $5.7 billion at March 31, 2022.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $37.9 billion of purchased credit protection, $34.6 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.4 billion ($6.6 billion in funded, with more than 99% rated investment grade) as of March 31, 2022.
(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of March 31, 2022, Citi’s total exposure to these energy-related entities was approximately $5.3 billion, of which approximately $3.1 billion consisted of direct outstanding funded loans.
The following table details Citi’s corporate credit portfolio by industry as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing | Net credit losses (recoveries) | Credit derivative hedges(3) |
| Transportation and industrials | $ | 143,445 | | $ | 51,502 | | $ | 91,943 | | $ | 110,047 | | $ | 19,051 | | $ | 13,196 | | $ | 1,151 | | | $ | 384 | | $ | 127 | | $ | (8,791) | |
Autos(4) | 48,210 | | 18,662 | | 29,548 | | 39,824 | | 5,365 | | 2,906 | | 115 | | | 49 | | 2 | | (3,228) | |
| Transportation | 26,897 | | 12,085 | | 14,812 | | 19,233 | | 2,344 | | 4,447 | | 873 | | | 105 | | 104 | | (1,334) | |
| Industrials | 68,338 | | 20,755 | | 47,583 | | 50,990 | | 11,342 | | 5,843 | | 163 | | | 230 | | 21 | | (4,229) | |
| Technology, media and telecom | 84,333 | | 28,542 | | 55,791 | | 64,676 | | 15,873 | | 3,587 | | 197 | | | 156 | | 11 | | (6,875) | |
| Consumer retail | 78,994 | | 32,894 | | 46,100 | | 60,686 | | 13,590 | | 4,311 | | 407 | | | 224 | | 100 | | (5,115) | |
| Real estate | 69,808 | | 46,220 | | 23,588 | | 58,089 | | 6,761 | | 4,923 | | 35 | | | 116 | | 50 | | (798) | |
| Power, chemicals, metals and mining | 65,641 | | 20,224 | | 45,417 | | 53,575 | | 10,708 | | 1,241 | | 117 | | | 292 | | 22 | | (5,808) | |
| Power | 26,199 | | 5,610 | | 20,589 | | 22,860 | | 2,832 | | 420 | | 87 | | | 100 | | 17 | | (3,032) | |
| Chemicals | 25,550 | | 8,525 | | 17,025 | | 20,788 | | 4,224 | | 528 | | 10 | | | 88 | | 6 | | (2,141) | |
| Metals and mining | 13,892 | | 6,089 | | 7,803 | | 9,927 | | 3,652 | | 293 | | 20 | | | 104 | | (1) | | (635) | |
| Banks and finance companies | 58,252 | | 36,804 | | 21,448 | | 49,465 | | 4,892 | | 3,890 | | 5 | | | 150 | | (5) | | (680) | |
| Asset managers and funds | 55,517 | | 26,879 | | 28,638 | | 54,119 | | 1,019 | | 377 | | 2 | | | 211 | | — | | (869) | |
Energy and commodities(5) | 48,973 | | 13,485 | | 35,488 | | 38,972 | | 7,517 | | 2,220 | | 264 | | | 224 | | 78 | | (3,679) | |
| Health | 33,393 | | 8,826 | | 24,567 | | 27,600 | | 4,702 | | 942 | | 149 | | | 95 | | — | | (2,465) | |
| Insurance | 28,495 | | 3,162 | | 25,333 | | 27,447 | | 987 | | 61 | | — | | | 2 | | 1 | | (2,711) | |
| Public sector | 23,842 | | 12,464 | | 11,378 | | 21,035 | | 1,527 | | 1,275 | | 5 | | | 37 | | (3) | | (1,282) | |
| Financial markets infrastructure | 14,341 | | 109 | | 14,232 | | 14,323 | | 18 | | — | | — | | | — | | — | | (22) | |
| Securities firms | 1,472 | | 613 | | 859 | | 605 | | 816 | | 51 | | — | | | 4 | | — | | (5) | |
| Other industries | 6,591 | | 2,803 | | 3,788 | | 4,151 | | 1,890 | | 489 | | 61 | | | — | | 5 | | (169) | |
| Total | $ | 713,097 | | $ | 284,527 | | $ | 428,570 | | $ | 584,790 | | $ | 89,351 | | $ | 36,563 | | $ | 2,393 | | | $ | 1,895 | | $ | 386 | | $ | (39,269) | |
(1) Excludes $0.6 billion and $0.1 billion of funded and unfunded exposure at December 31, 2021, respectively, primarily related to the delinquency-managed loans and unearned income. Funded balance also excludes loans carried at fair value of $6.1 billion at December 31, 2021.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $39.3 billion of purchased credit protection, $36.0 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.9 billion ($6.5 billion in funded, with more than 99% rated investment grade) as of December 31, 2021.
(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2021, Citi’s total exposure to these energy-related entities was approximately $5.1 billion, of which approximately $2.6 billion consisted of direct outstanding funded loans.
Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. Citi may enter into partial-term hedges as well as full-term hedges. In advance of the expiration of partial-term hedges, Citi will determine, among other factors, the economic feasibility of hedging the remaining life of the instrument. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Principal transactions in the Consolidated Statement of Income.
At March 31, 2022, December 31, 2021 and March 31, 2021, ICG had economic hedges on the corporate credit portfolio of $37.9 billion, $39.3 billion and $38.5 billion, respectively. Citigroup’s expected credit loss model used in the calculation of its ACL 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 ICG corporate credit portfolio exposures with the following risk rating distribution:
Rating of Hedged Exposure
| | | | | | | | | | | |
| March 31,
2022 | December 31,
2021 | March 31,
2021 |
| AAA/AA/A | 38 | % | 35 | % | 32 | % |
| BBB | 46 | | 49 | | 47 | |
| BB/B | 13 | | 13 | | 18 | |
| CCC or below | 3 | | 3 | | 3 | |
| Total | 100 | % | 100 | % | 100 | % |
Consumer Credit Portfolio
The following table shows Citi’s quarterly end-of-period consumer loans:loans(1):
| | | | | | | | | | | | | | | | | | |
| In billions of dollars | 1Q’20 | 2Q’20 | 3Q’20 | 4Q’20 | 1Q’21 | |
| Retail banking: | | | | | | |
| Mortgages | $ | 83.6 | | $ | 86.0 | | $ | 87.5 | | $ | 88.9 | | $ | 86.7 | | |
| Personal, small business and other | 36.6 | | 37.6 | | 38.3 | | 40.1 | | 39.1 | | |
| Total retail banking | $ | 120.2 | | $ | 123.6 | | $ | 125.8 | | $ | 129.0 | | $ | 125.8 | | |
| Cards: | | | | | | |
| Citi-branded cards | $ | 110.2 | | $ | 103.6 | | $ | 102.2 | | $ | 106.7 | | $ | 99.6 | | |
| Citi retail services | 48.9 | | 45.4 | | 44.4 | | 46.4 | | 42.5 | | |
| Total cards | $ | 159.1 | | $ | 149.0 | | $ | 146.6 | | $ | 153.1 | | $ | 142.1 | | |
Total GCB | $ | 279.3 | | $ | 272.6 | | $ | 272.4 | | $ | 282.1 | | $ | 267.9 | | |
GCB regional distribution: | | | | | | |
| North America | 67 | % | 66 | % | 66 | % | 65 | % | 64 | % | |
| Latin America | 5 | | 5 | | 5 | | 5 | | 5 | | |
Asia(2) | 28 | | 29 | | 29 | | 30 | | 31 | | |
Total GCB | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Corporate/Other(3) | $ | 9.1 | | $ | 8.5 | | $ | 7.6 | | $ | 6.7 | | $ | 6.1 | | |
| Total consumer loans | $ | 288.4 | | $ | 281.1 | | $ | 280.0 | | $ | 288.8 | | $ | 274.0 | | |
| | | | | | | | | | | | | | | | | | |
| In billions of dollars | 1Q21 | 2Q21 | 3Q21(2) | 4Q21(2) | 1Q22(2) | |
| Personal Banking and Wealth Management | | | | | | |
| U.S. Personal Banking | | | | | | |
| Cards | | | | | | |
| Branded cards | $ | 78.5 | | $ | 82.1 | | $ | 82.8 | | $ | 87.9 | | $ | 85.9 | | |
| Retail services | 42.5 | | 42.7 | | 42.7 | | 46.0 | | 44.1 | | |
| Retail banking | | | | | | |
| Mortgages | 32.0 | | 31.0 | | 30.5 | | 30.2 | | 30.5 | | |
| Personal, small business and other | 3.6 | | 3.3 | | 2.9 | | 2.8 | | 2.8 | | |
| Global Wealth Management | | | | | | |
Private bank and Wealth at Work(3) | 101.5 | | 104.9 | | 105.0 | | 105.3 | | 104.6 | | |
Citigold(4) | 43.9 | | 44.8 | | 45.3 | | 46.0 | | 45.6 | | |
| Total | $ | 302.0 | | $ | 308.8 | | $ | 309.2 | | $ | 318.2 | | $ | 313.5 | | |
| Legacy Franchises | | | | | | |
Asia Consumer(5) | $ | 54.0 | | $ | 53.5 | | $ | 42.9 | | $ | 41.1 | | $ | 19.5 | | |
| Mexico Consumer (excludes Mexico SBMM) | 13.4 | | 13.5 | | 13.0 | | 13.3 | | 13.6 | | |
Legacy Holdings Assets(6) | 6.1 | | 5.0 | | 4.2 | | 3.9 | | 3.7 | | |
| Total | $ | 73.5 | | $ | 72.0 | | $ | 60.1 | | $ | 58.3 | | $ | 36.8 | | |
| Total consumer loans | $ | 375.5 | | $ | 380.8 | | $ | 369.3 | | $ | 376.5 | | $ | 350.3 | | |
(1)End-of-period loans include interest and fees on credit cards.
(2)AsiaLegacy Franchises—1Q22 Asia Consumer loan balances exclude approximately $29 billion of loans ($20 billion of retail banking loans and $9 billion of credit card loan balances) reclassified to held-for-sale (HFS) (Other assets on the Consolidated Balance Sheet) as a result of Citi’s signed agreements to sell its consumer banking businesses in nine countries (see Legacy Franchises above and Note 2 for additional information). In addition, the Australia consumer banking business was also reclassified to HFS in 3Q21 and 4Q21, and the Philippines consumer banking business was reclassified to HFS in 4Q21, with loans from both businesses excluded from the Asia Consumer loan balances as of such periods.
(3)Primarily consists of residential and commercial real estate lending, margin security-backed financing and other tailored lending programs.
(4)Primarily consists of residential real estate lending, margin security-backed financing and unsecured lending.
(5)Asia Consumer also includes loans and leases in certain EMEA countries for all periods presented.
(3)(6)Primarily consists of legacy assets, principally certain North America consumer mortgages.
For information on changes to Citi’s consumer loans, see “Liquidity Risk—Loans” below.
Overall Consumer Credit Trends
Personal Banking and Wealth Management (PBWM)
| | |
Global ConsumerPersonal Banking and Wealth Management |
As shown in the chart above, GCB’s net credit loss rate and the 90+ days past due delinquency rate decreased year-over-year as of the first quarter of 2021, driven by North AmericaGCB, primarily reflecting the benefit of significant government stimulus and assistance, and lower customer spending.
Quarter-over-quarter, GCB’s net credit loss rate increased and its 90+ days past due rate decreased, driven by Asia GCB and Latin America GCB, as Citi charged off most of the spike in delinquencies from the fourth quarter of 2020 related to customer accounts exiting consumer relief programs, as well as the seasonality observed in North America GCB’s net credit loss rate.
For additional information on consumer credit trends, see “Managing Global Risk—Credit Risk—Overall Consumer Credit Trends” in Citi’s 2020 Annual Report on Form 10-K.
North America GCBPBWM provides mortgage, home equity, small business and personal loans through Citi’s retailRetail banking network andnetwork; card products through Citi-brandedBranded cards and Citi retailRetail services businesses.businesses; and Private bank loans. The retail bank is concentrated in six major metropolitan cities in the U.S. (for additional information on the U.S. retail bank, see “North America GCB” above).
As of March 31, 2021,2022, approximately 70%80% of North America GCBU.S. Personal Banking consumer loans consisted of Citi-brandedBranded cards and Citi retailRetail 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).U.S. Personal Banking.
As shown in the chart above, the net credit loss rate in North America GCBPBWM as offor the first quarter of 2021 2022increased quarter-over-quarter, primarily driven bydue to seasonality in bothU.S. Personal Banking’s cards portfolios, and decreased year-over-year, primarily reflecting the high payment rates in Branded cards and Retail services, driven by government stimulus, and unemployment benefits and consumer relief programs in U.S. Personal Banking.
PBWM’s 90+ days past due delinquency rate remained broadly stable quarter-over-quarter. The 90+ days past due delinquency rate decreased year-over-year, primarily due to the continued impacts of government stimulus, unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate in North America GCB decreased quarter-over-quarter, reflecting higher payment rates driven by government stimulus. Year-over-year, the decrease in the 90+ days past due delinquency rate was driven by the continued impacts of government stimulus, unemployment benefits and consumer relief programs.
Latin America GCB operates in Mexico through Citibanamex, one of Mexico’s largest banks, and provides credit cards, consumer mortgages and small business and personal loans. Latin America GCB serves a more mass-market segment in Mexico and focuses on developing multiproduct relationships with customers.
As shown in the chart above, the net credit loss rate in Latin America GCB as of the first quarter of 2021 increased significantly quarter-over quarter and year-over-year, driven by a majority of customers exiting consumer relief programs at the end of the third quarter of 2020 as well as the continued adverse pandemic-related macroeconomic impacts.
The 90+ days past due delinquency rate increased year-over-year, primarily due to the continued adverse pandemic-related macroeconomic impacts, including lower loan balances. The 90+ days past due delinquency rate decreased quarter-over-quarter, primarily due to the charge-off of most of the spike in delinquent balances from the fourth quarter of 2020 related to customers exiting consumer relief programs.
(1)Asia includes GCB activities in certain EMEA countries for all periods presented.
Asia GCB operates in 17 countries and jurisdictions in Asia and EMEA and provides credit cards, consumer mortgages and small business and personal loans.
As shown in the chart above, the net credit loss rate in Asia GCB as of the first quarter of 2021 increased quarter-over-quarter and year-over-year, driven by customers exiting consumer relief programs in certain countries, as well as the continued adverse pandemic-related macroeconomic impacts in the region.U.S. Personal Banking.
The 90+ days past due delinquency rate was largely unchanged year-over-year. Quarter-over-quarter, the 90+ days past due delinquency rate decreased due to the charge-off of most of the spike in delinquent balances from the fourth quarter of 2020 related to customers exiting consumer relief programs in 2020.
The performance of Asia GCB’s portfolios continues to reflect the strong credit profiles in the region’s target customer segments. Regulatory changes in many markets in Asia over the past few years have also resulted in improved 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 Notes 13 and 14 to the Consolidated Financial Statements.
Credit Card Trends
The following charts show the quarterly trends in delinquencies and net credit losses for total GCB cards, North America Citi-branded cards and Citi retail services portfolios, as well as for Citi’s Latin America and Asia Citi-branded cards portfolios.
| | |
North America Citi-Branded Cards |
North America GCB’s Citi-brandedU.S. Personal Banking’s Branded cards portfolio issuesincludes proprietary and co-branded cards.
As shown in the chart above, the net credit loss rate in Citi-brandedBranded cards as offor the first quarter of 20212022 increased quarter-over-quarter, primarilyquarter-
over-quarter, driven by seasonality, and decreased year-over-year, primarily reflecting the benefitcontinued impact of significanthigh payment rates, driven by government stimulus,stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate increased quarter-over-quarter due to seasonality, and decreased quarter-over-quarter,year-over year, primarily reflecting higherthe continued impact of high payment rates, due todriven by government stimulus. Year-over-year, the 90+ days past due delinquency rate decreased, drivenpayment rates were also impacted by the continued impact of government stimulus, unemployment benefits and consumer relief programs.
| | |
North America Citi Retail Services |
Citi retailU.S. Personal Banking’s Retail services partners directly with more than 20 retailers and dealers to offer private label and co-branded cards. Citi retailRetail services’ target market focuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel.
Citi retailRetail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
As shown in the chart above, the net credit loss rate in Citi retailRetail services as offor the first quarter of 20212022 increased quarter-over-quarter primarily due todriven by seasonality, and decreased year-over-year, primarily reflecting the benefitcontinued impact of significanthigh payment rates, driven by government stimulus,stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate was largely unchanged quarter-over-quarter. Year-over-year, the 90+ days pastincreased quarter-over-quarter due delinquency rate declined, driven byto seasonality, and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by government stimulus,stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.
| | |
Latin America Citi-Branded Cards |
Latin America GCB issues proprietary and co-branded cards.
As shown in the chart above, the net credit loss rate in Latin America Citi-branded cards as of the first quarter of 2021 increased significantly quarter-over quarter and year-over-year, driven by a majority of customers exiting
consumer relief programs at the end of the third quarter in 2020, as well as the continued adverse pandemic-related macroeconomic impacts.
The 90+ days past due delinquency rate increased year-over-year, due to the continued adverse pandemic-related macroeconomic impacts, including lower loan balances. The 90+ days past due delinquency rate decreased quarter-over-
quarter, primarily due to the charge-off of most of the spike in delinquent balances from the fourth quarter of 2020 related to customers exiting consumer relief programs.
| | |
Asia Citi-Branded Cards(1)
|
(1)Asia includes loans and leases in certain EMEA countries for all periods presented.
As shown in the chart above, the net credit loss rate in Asia Citi-branded cards as of the first quarter of 2021 increased quarter-over-quarter and year-over-year, primarily driven by customers exiting consumer relief programs in certain countries, as well as the continued adverse pandemic-related macroeconomic impacts in the region.
The 90+ days past due delinquency rate increased year-over-year, due to the continued adverse macroeconomic impacts of the pandemic, and decreased quarter-over-quarter, due to the charge-off of most of the spike in delinquent balances from the fourth quarter of 2020 relating to customers exiting consumer relief programs in 2020.
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.13.
North AmericaLegacy Franchises
Legacy Franchises provides traditional retail banking and branded card products to retail and small business customers in Asia Consumer and Mexico Consumer.
(1)Asia includes Legacy Franchises activities in certain EMEA countries for all periods presented.
Asia Consumer operates in 13 countries and jurisdictions in Asia and EMEA and provides credit cards, consumer mortgages and small business and personal loans.
As shown in the chart above, the first quarter of 2022 net credit loss rate in Asia Consumer decreased quarter-over-quarter and year-over-year, driven by the impact of the charge-off of peak delinquent loans in recent quarters, resulting in lower delinquencies that led to lower net credit losses in the current quarter. The decrease was also driven by the reclassification of approximately $29 billion of loans ($20 billion of retail banking loans and $9 billion of credit card loan balances) to held-for-sale as a result of Citi’s agreements to sell its consumer banking businesses in Australia, the Philippines, Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (Asia HFS reclass).
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, mainly driven by the impact of the Asia HFS reclass and the charge-off of peak delinquencies in recent quarters, as elevated losses returned to pre-pandemic levels.
The performance of Asia Consumer’s portfolios continues to reflect the strong credit profiles in the region’s target customer segments. Regulatory changes in many markets in Asia over the past few years have also resulted in improved credit quality.
Mexico Consumer operates in Mexico through Citibanamex and provides credit cards, consumer mortgages and small business and personal loans. Mexico Consumer serves a more mass-market segment in Mexico and focuses on developing multiproduct relationships with customers.
As shown in the chart above, the net credit loss rate in Mexico Consumer for the first quarter of 2022 decreased quarter-over-quarter and year-over-year. The impact of charge-offs of delinquent loans in prior quarters resulted in lower delinquencies that led to lower net credit losses in the current quarter.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year. The impact of charge-offs of delinquent loans in prior quarters and higher payment rates resulted in a lower 90+ days past due delinquency rate in the current quarter.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see PBWM and Legacy Franchises results of operations above and Note 13.
U.S. Cards FICO Distribution
The following tables show the current FICO score distributions for Citi’s North AmericaU.S. 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-BrandedBranded Cards
| | | | | | | | | | | |
FICO distribution(1) | March 31, 2021 | December 31, 2020 | March 31, 2020 |
| > 760 | 46 | % | 46 | % | 39 | % |
| 680–760 | 40 | | 39 | | 42 | |
| < 680 | 14 | | 15 | | 19 | |
| Total | 100 | % | 100 | % | 100 | % |
| | | | | | | | | | | |
FICO distribution(1) | March 31, 2022 | December 31, 2021 | March 31, 2021 |
| > 760 | 48 | % | 49 | % | 46 | % |
| 680–760 | 39 | | 38 | | 40 | |
| < 680 | 13 | | 13 | | 14 | |
| Total | 100 | % | 100 | % | 100 | % |
Citi Retail Services
| | | | | | | | | | | |
FICO distribution(1) | March 31, 2021 | December 31, 2020 | March 31, 2020 |
| > 760 | 26 | % | 27 | % | 23 | % |
| 680–760 | 45 | | 44 | | 42 | |
| < 680 | 29 | | 29 | | 35 | |
| Total | 100 | % | 100 | % | 100 | % |
| | | | | | | | | | | |
FICO distribution(1) | March 31, 2022 | December 31, 2021 | March 31, 2021 |
| > 760 | 27 | % | 28 | % | 26 | % |
| 680–760 | 44 | | 44 | | 45 | |
| < 680 | 29 | | 28 | | 29 | |
| Total | 100 | % | 100 | % | 100 | % |
(1) The FICO bands in the tables are consistent with general industry peer presentations.
The FICO distribution of both cards portfolios remained broadlylargely stable compared to the prior quarter and improved compared to the prior year, demonstrating strong underlying credit quality as well asand a benefit from the impactimpacts of government stimulus, unemployment benefits and customer relief programs, andas well as lower credit utilization due to reduced customer spending. Forutilization. See Note 13 for additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.scores.
Additional Consumer Credit Details
Consumer Loan Delinquencies Amounts and Ratios
(1)
| | | | EOP loans(2) | 90+ days past due(3) | 30–89 days past due(3) | | EOP loans(1) | 90+ days past due(2) | 30–89 days past due(2) |
In millions of dollars,
except EOP loan amounts in billions | In millions of dollars,
except EOP loan amounts in billions | March 31,
2021 | March 31,
2021 | December 31,
2020 | March 31,
2020 | March 31,
2021 | December 31,
2020 | March 31,
2020 | In millions of dollars,
except EOP loan amounts in billions | March 31,
2022 | March 31,
2022 | December 31,
2021 | March 31,
2021 | March 31,
2022 | December 31,
2021 | March 31,
2021 |
Global Consumer Banking(4)(5) | | | | | | |
Personal Banking and Wealth Management(3)(4)(5) | | Personal Banking and Wealth Management(3)(4)(5) | | | | | |
| Total | Total | $ | 267.9 | | $ | 2,175 | | $ | 2,507 | | $ | 2,603 | | $ | 2,003 | | $ | 2,517 | | $ | 2,870 | | Total | $ | 254.8 | | $ | 1,383 | | $ | 1,278 | | $ | 1,558 | | $ | 1,397 | | $ | 1,934 | | $ | 2,078 | |
| Ratio | Ratio | | 0.81 | % | 0.89 | % | 0.93 | % | 0.75 | % | 0.89 | % | 0.90 | % | Ratio | | 0.54 | % | 0.50 | % | 0.64 | % | 0.55 | % | 0.75 | % | 0.86 | % |
| Retail banking | | | | | | |
U.S. Cards(4) | | U.S. Cards(4) | | | | | |
| Total | Total | $ | 125.8 | | $ | 598 | | $ | 632 | | $ | 429 | | $ | 662 | | $ | 860 | | $ | 794 | | Total | $ | 130.0 | | $ | 910 | | $ | 871 | | $ | 1,181 | | $ | 987 | | $ | 947 | | $ | 997 | |
| Ratio | Ratio | | 0.48 | % | 0.49 | % | 0.36 | % | 0.53 | % | 0.67 | % | 0.66 | % | Ratio | | 0.70 | % | 0.65 | % | 0.98 | % | 0.76 | % | 0.71 | % | 0.82 | % |
| North America | 50.9 | | 263 | | 299 | | 161 | | 220 | | 328 | | 298 | | |
| Branded cards | | Branded cards | 85.9 | | 404 | | 389 | | 590 | | 425 | | 408 | | 484 | |
| Ratio | Ratio | | 0.52 | % | 0.58 | % | 0.32 | % | 0.44 | % | 0.63 | % | 0.59 | % | Ratio | | 0.47 | % | 0.44 | % | 0.75 | % | 0.49 | % | 0.46 | % | 0.62 | % |
| Latin America | 9.1 | | 142 | | 130 | | 90 | | 164 | | 220 | | 140 | | |
| Retail services | | Retail services | 44.1 | | 506 | | 482 | | 591 | | 562 | | 539 | | 513 | |
| Ratio | Ratio | | 1.56 | % | 1.33 | % | 0.98 | % | 1.80 | % | 2.24 | % | 1.52 | % | Ratio | | 1.15 | % | 1.05 | % | 1.39 | % | 1.27 | % | 1.17 | % | 1.21 | % |
Asia(6) | 65.8 | | 193 | | 203 | | 178 | | 278 | | 312 | | 356 | | |
U.S. Retail Banking and Global Wealth Management(3)(5) | | U.S. Retail Banking and Global Wealth Management(3)(5) | 124.8 | | $ | 473 | | $ | 407 | | $ | 377 | | $ | 410 | | $ | 987 | | $ | 1,081 | |
| Ratio | Ratio | | 0.29 | % | 0.31 | % | 0.30 | % | 0.42 | % | 0.47 | % | 0.59 | % | Ratio | | 0.38 | % | 0.33 | % | 0.31 | % | 0.33 | % | 0.80 | % | 0.89 | % |
| Cards | | | | | | |
| Legacy Franchises | | Legacy Franchises | | | | | |
| Total | Total | $ | 142.1 | | $ | 1,577 | | $ | 1,875 | | $ | 2,174 | | $ | 1,341 | | $ | 1,657 | | $ | 2,076 | | Total | $ | 36.8 | | $ | 432 | | $ | 613 | | $ | 960 | | $ | 316 | | $ | 546 | | $ | 874 | |
| Ratio | Ratio | | 1.11 | % | 1.22 | % | 1.37 | % | 0.94 | % | 1.08 | % | 1.30 | % | Ratio | | 1.19 | % | 1.06 | % | 1.31 | % | 0.87 | % | 0.94 | % | 1.20 | % |
North America—Citi-branded | 78.5 | | 590 | | 686 | | 891 | | 484 | | 589 | | 770 | | |
Asia Consumer(6)(7) | | Asia Consumer(6)(7) | 19.5 | | 54 | | 209 | | 368 | | 62 | | 285 | | 457 | |
| Ratio | Ratio | | 0.75 | % | 0.82 | % | 1.01 | % | 0.62 | % | 0.70 | % | 0.87 | % | Ratio | | 0.28 | % | 0.51 | % | 0.68 | % | 0.32 | % | 0.69 | % | 0.85 | % |
North America—Citi retail services | 42.5 | | 591 | | 644 | | 958 | | 513 | | 639 | | 903 | | |
| Mexico Consumer | | Mexico Consumer | 13.6 | | 180 | | 183 | | 315 | | 177 | | 173 | | 279 | |
| Ratio | Ratio | | 1.39 | % | 1.39 | % | 1.96 | % | 1.21 | % | 1.38 | % | 1.85 | % | Ratio | | 1.32 | % | 1.38 | % | 2.35 | % | 1.30 | % | 1.30 | % | 2.08 | % |
| Latin America | 4.3 | | 173 | | 233 | | 121 | | 115 | | 170 | | 132 | | |
Legacy Holdings Assets (consumer)(8) | | Legacy Holdings Assets (consumer)(8) | 3.7 | | 198 | | 221 | | 277 | | 77 | | 88 | | 138 | |
| Ratio | Ratio | | 4.02 | % | 4.85 | % | 2.69 | % | 2.67 | % | 3.54 | % | 2.93 | % | Ratio | | 6.00 | % | 6.31 | % | 4.86 | % | 2.33 | % | 2.51 | % | 2.42 | % |
Asia(6) | 16.8 | | 223 | | 312 | | 204 | | 229 | | 259 | | 271 | | |
Global Wealth Management classifiably managed loans(9) | | Global Wealth Management classifiably managed loans(9) | $ | 58.7 | | N/A | N/A | N/A | N/A |
| Total Citigroup consumer | | Total Citigroup consumer | $ | 350.3 | | $ | 1,815 | | $ | 1,891 | | $ | 2,518 | | $ | 1,713 | | $ | 2,480 | | $ | 2,952 | |
| Ratio | Ratio | | 1.33 | % | 1.74 | % | 1.18 | % | 1.36 | % | 1.45 | % | 1.57 | % | Ratio | | 0.63 | % | 0.60 | % | 0.80 | % | 0.59 | % | 0.79 | % | 0.94 | % |
Corporate/Other—Consumer(7) | | | | | | |
| Total | $ | 6.1 | | $ | 277 | | $ | 313 | | $ | 281 | | $ | 138 | | $ | 179 | | $ | 252 | | |
| Ratio | | 4.86 | % | 5.13 | % | 3.23 | % | 2.42 | % | 2.93 | % | 2.90 | % | |
| | Total Citigroup | $ | 274.0 | | $ | 2,452 | | $ | 2,820 | | $ | 2,884 | | $ | 2,141 | | $ | 2,696 | | $ | 3,122 | | |
| Ratio | | 0.90 | % | 0.98 | % | 1.00 | % | 0.78 | % | 0.94 | % | 1.09 | % | |
(1)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification (which have various durations, and certain of which may be renewed by the customer). Consumer relief programs in Asia and Mexico largely expired during the fourth quarter of 2020.
(2)End-of-period (EOP) loans include interest and fees on credit cards.
(3)(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)Excludes EOP classifiably managed Private bank loans. These loans are not included in the delinquency numerator, denominator and ratios.
(4)The 90+ days past due balances for North America—Citi-brandedBranded cards and North America—Citi retailRetail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(5)The 90+ days past due and 30–89 days past due and related ratios for North America GCB Retail banking exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $161 million ($0.9 billion), $185 million ($1.1 billion) and $176 million ($0.7 billion), $171 million ($0.7 billion) and $124 million ($0.5 billion) as of at March 31, 2021,2022, December 31, 20202021 and March 31, 2020,2021, respectively. The amounts excluded for loans 30–89 days past due and (EOP(the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $62 million, $74 million and $84 million ($0.7 billion), $98 million ($0.7 billion)at March 31, 2022, December 31, 2021 and $64 million ($0.5 billion) as of March 31, 2021, December 31, 2020 and March 31, 2020, respectively. The EOP loans in the table include the guaranteed loans.
(6)Asia Consumer includes delinquencies and loans in certain EMEA countries for all periods presented.
(7)Citi recently entered into agreements to sell certain Asia consumer banking businesses. Accordingly, the loans of these businesses have been reclassified as HFS in Other assets on the Consolidated Balance Sheet and hence the loans and related delinquencies and ratios are not included in this table. The loansreclassifications commenced as follows: Australia (3Q21), the Philippines (4Q21) and Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (1Q22). See Note 2 for additional information.
(8)The 90+ days past due and 30–89 days past due and related ratios exclude U.S. mortgage loans that are primarily related to U.S. mortgages 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 $124 million ($0.4 billion), $138 million ($0.4 billion) and $169 million ($0.4 billion), $183 million ($0.5 billion) and $167 million ($0.4 billion) as of at March 31, 2021,2022, December 31, 20202021 and March 31, 2020,2021, respectively. The amounts excluded for loans 30–89 days past due and (EOP(the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) for each period were $34 million, $35 million and $55 million ($0.4 billion), $73 million ($0.5 billion)at March 31, 2022, December 31, 2021 and $58 million ($0.4 billion) as of March 31, 2021, December 31, 2020respectively. The EOP loans in the table include the guaranteed loans.
(9)These loans are evaluated for non-accrual status and March 31, 2020, respectively.write-off based on their internal risk classification and not on their delinquency status.
N/A Not applicable
CORPORATE CREDIT
The following table details Citi’s corporate credit portfolio within ICG and the Mexico SBMM component of Legacy Franchises (excluding certain loans managed on a delinquency basis, loans carried at fair value and loans held-for-sale), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | March 31, 2022 | December 31, 2021 | March 31, 2021 |
| In billions of dollars | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure |
Direct outstandings (on-balance sheet)(1) | $ | 164 | | $ | 117 | | $ | 21 | | $ | 302 | | $ | 145 | | $ | 119 | | $ | 20 | | $ | 284 | | $ | 141 | | $ | 120 | | $ | 21 | | $ | 282 | |
Unfunded lending commitments (off-balance sheet)(2) | 148 | | 268 | | 10 | | 426 | | 147 | | 269 | | 13 | | 429 | | 158 | | 275 | | 11 | | 444 | |
| Total exposure | $ | 312 | | $ | 385 | | $ | 31 | | $ | 728 | | $ | 292 | | $ | 388 | | $ | 33 | | $ | 713 | | $ | 299 | | $ | 395 | | $ | 32 | | $ | 726 | |
(1) Includes drawn loans, overdrafts, bankers’ acceptances and leases.
(2) Includes unused commitments to lend, letters of credit and financial guarantees.
Portfolio Mix—Geography and Counterparty
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region based on Citi’s internal management geography:
| | | | | | | | | | | |
| March 31,
2022 | December 31, 2021 | March 31,
2021 |
| North America | 56 | % | 56 | % | 56 | % |
| EMEA | 25 | | 25 | | 26 | |
| Asia | 13 | | 13 | | 12 | |
| Latin America | 6 | | 6 | | 6 | |
| Total | 100 | % | 100 | % | 100 | % |
The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived 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.
The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:
| | | | | | | | | | | |
| | Total exposure |
| | March 31,
2022 | December 31,
2021 | March 31,
2021 |
| AAA/AA/A | 49 | % | 48 | % | 47 | % |
| BBB | 33 | | 34 | | 33 | |
| BB/B | 16 | | 16 | | 17 | |
| CCC or below | 2 | | 2 | | 3 | |
| Total | 100 | % | 100 | % | 100 | % |
Note: Total exposure includes direct outstandings and unfunded lending commitments.
In addition to the obligor and facility risk ratings assigned to all exposures, Citi may classify exposures in the corporate credit portfolio. These classifications are consistent with Citi’s interpretation of the U.S. banking regulators’ definition of criticized exposures, which may categorize exposures as special mention, substandard, doubtful or loss.
Risk ratings and classifications are reviewed regularly, and adjusted as appropriate. The credit review process incorporates quantitative and qualitative factors, including financial and non-financial disclosures or metrics, idiosyncratic events or changes to the competitive, regulatory or macroeconomic environment.
Citigroup believes the corporate credit portfolio to be appropriately rated and classified as of March 31, 2022. Citigroup has taken action to adjust internal ratings and classifications of exposures as both the macroeconomic environment and obligor-specific factors have changed, particularly where additional stress has been seen.
As obligor risk ratings are downgraded, the probability of default increases. Downgrades of obligor risk ratings tend to result in a higher provision for credit losses. In addition, downgrades may result in the purchase of additional credit derivatives or other risk mitigants to hedge the incremental credit risk, or may result in Citi’s seeking to reduce exposure to an obligor or an industry sector. Citi will continue to review exposures to ensure that the appropriate probability of default is incorporated into all risk assessments.
See Note 13 for additional information on Citi’s corporate credit portfolio.
Portfolio Mix—Industry
Citi’s corporate credit portfolio is diversified by industry. The following table details the allocation of Citi’s total corporate credit portfolio by industry:
| | | | | | | | | | | |
| | Total exposure |
| | March 31,
2022 | December 31,
2021 | March 31,
2021 |
| Transportation and industrials | 20 | % | 20 | % | 20 | % |
| Technology, media and telecom | 12 | | 12 | | 12 | |
| Consumer retail | 11 | | 11 | | 11 | |
| Real estate | 9 | | 10 | | 9 | |
| Power, chemicals, metals and mining | 9 | | 9 | | 9 | |
| Banks and finance companies | 9 | | 8 | | 8 | |
| Asset managers and funds | 8 | | 8 | | 8 | |
| Energy and commodities | 7 | | 7 | | 7 | |
| Health | 5 | | 5 | | 5 | |
| Insurance | 4 | | 4 | | 4 | |
| Public sector | 3 | | 3 | | 4 | |
| Financial markets infrastructure | 2 | | 2 | | 2 | |
| Securities firms | — | | — | | — | |
| Other industries | 1 | | 1 | | 1 | |
| Total | 100 | % | 100 | % | 100 | % |
The following table details Citi’s corporate credit portfolio by industry as of March 31, 2022:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing | Net credit losses (recoveries) | Credit derivative hedges(3) |
| Transportation and industrials | $ | 147,271 | | $ | 54,122 | | $ | 93,149 | | $ | 110,888 | | $ | 21,297 | | $ | 13,854 | | $ | 1,233 | | | $ | 296 | | $ | 1 | | $ | (8,643) | |
Autos(4) | 49,443 | | 19,203 | | 30,240 | | 39,597 | | 5,815 | | 3,910 | | 121 | | | 69 | | — | | (3,221) | |
| Transportation | 27,010 | | 11,703 | | 15,307 | | 19,372 | | 2,654 | | 4,340 | | 644 | | | 47 | | — | | (1,315) | |
| Industrials | 70,818 | | 23,216 | | 47,602 | | 51,919 | | 12,828 | | 5,604 | | 468 | | | 180 | | 1 | | (4,107) | |
| Technology, media and telecom | 86,035 | | 31,969 | | 54,066 | | 65,764 | | 16,983 | | 3,175 | | 113 | | | 132 | | — | | (6,549) | |
| Consumer retail | 79,591 | | 36,130 | | 43,461 | | 61,780 | | 13,633 | | 3,788 | | 390 | | | 324 | | 1 | | (5,000) | |
| Real estate | 68,956 | | 46,517 | | 22,439 | | 58,713 | | 6,316 | | 3,918 | | 10 | | | 348 | | — | | (752) | |
| Power, chemicals, metals and mining | 64,456 | | 21,787 | | 42,669 | | 50,606 | | 11,938 | | 1,656 | | 256 | | | 212 | | — | | (5,281) | |
| Power | 23,703 | | 5,851 | | 17,852 | | 19,929 | | 3,284 | | 398 | | 92 | | | 48 | | — | | (2,555) | |
| Chemicals | 26,511 | | 9,272 | | 17,239 | | 21,782 | | 3,987 | | 618 | | 124 | | | 127 | | — | | (2,103) | |
| Metals and mining | 14,242 | | 6,664 | | 7,578 | | 8,895 | | 4,667 | | 640 | | 40 | | | 37 | | — | | (623) | |
| Banks and finance companies | 62,266 | | 39,791 | | 22,475 | | 52,668 | | 5,813 | | 3,730 | | 55 | | | 98 | | 1 | | (641) | |
| Asset managers and funds | 54,791 | | 25,160 | | 29,631 | | 53,428 | | 1,252 | | 106 | | 5 | | | 484 | | — | | (893) | |
Energy and commodities(5) | 54,024 | | 17,741 | | 36,283 | | 44,225 | | 7,549 | | 2,037 | | 214 | | | 286 | | 19 | | (3,680) | |
| Health | 35,129 | | 8,968 | | 26,161 | | 29,495 | | 4,691 | | 835 | | 107 | | | 107 | | — | | (2,475) | |
| Insurance | 30,245 | | 2,880 | | 27,365 | | 29,383 | | 847 | | 15 | | — | | | 3 | | | (2,654) | |
| Public sector | 25,022 | | 13,707 | | 11,315 | | 20,609 | | 1,879 | | 2,407 | | 127 | | | 17 | | 4 | | (1,272) | |
| Financial markets infrastructure | 13,133 | | 176 | | 12,957 | | 13,110 | | 23 | | — | | — | | | — | | — | | (23) | |
| Securities firms | 1,357 | | 520 | | 837 | | 798 | | 387 | | 172 | | — | | | 2 | | — | | (3) | |
| Other industries | 5,628 | | 2,714 | | 2,914 | | 3,031 | | 2,223 | | 340 | | 32 | | | 81 | | 5 | | (4) | |
| Total | $ | 727,904 | | $ | 302,182 | | $ | 425,722 | | $ | 594,498 | | $ | 94,831 | | $ | 36,033 | | $ | 2,542 | | | $ | 2,390 | | $ | 31 | | $ | (37,870) | |
(1) Excludes $1.4 billion and $0.1 billion of funded and unfunded exposure at March 31, 2022, respectively, primarily related to the delinquency-managed loans and unearned income. Funded balance also excludes loans carried at fair value of $5.7 billion at March 31, 2022.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $37.9 billion of purchased credit protection, $34.6 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.4 billion ($6.6 billion in funded, with more than 99% rated investment grade) as of March 31, 2022.
(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of March 31, 2022, Citi’s total exposure to these energy-related entities was approximately $5.3 billion, of which approximately $3.1 billion consisted of direct outstanding funded loans.
The following table details Citi’s corporate credit portfolio by industry as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing | Net credit losses (recoveries) | Credit derivative hedges(3) |
| Transportation and industrials | $ | 143,445 | | $ | 51,502 | | $ | 91,943 | | $ | 110,047 | | $ | 19,051 | | $ | 13,196 | | $ | 1,151 | | | $ | 384 | | $ | 127 | | $ | (8,791) | |
Autos(4) | 48,210 | | 18,662 | | 29,548 | | 39,824 | | 5,365 | | 2,906 | | 115 | | | 49 | | 2 | | (3,228) | |
| Transportation | 26,897 | | 12,085 | | 14,812 | | 19,233 | | 2,344 | | 4,447 | | 873 | | | 105 | | 104 | | (1,334) | |
| Industrials | 68,338 | | 20,755 | | 47,583 | | 50,990 | | 11,342 | | 5,843 | | 163 | | | 230 | | 21 | | (4,229) | |
| Technology, media and telecom | 84,333 | | 28,542 | | 55,791 | | 64,676 | | 15,873 | | 3,587 | | 197 | | | 156 | | 11 | | (6,875) | |
| Consumer retail | 78,994 | | 32,894 | | 46,100 | | 60,686 | | 13,590 | | 4,311 | | 407 | | | 224 | | 100 | | (5,115) | |
| Real estate | 69,808 | | 46,220 | | 23,588 | | 58,089 | | 6,761 | | 4,923 | | 35 | | | 116 | | 50 | | (798) | |
| Power, chemicals, metals and mining | 65,641 | | 20,224 | | 45,417 | | 53,575 | | 10,708 | | 1,241 | | 117 | | | 292 | | 22 | | (5,808) | |
| Power | 26,199 | | 5,610 | | 20,589 | | 22,860 | | 2,832 | | 420 | | 87 | | | 100 | | 17 | | (3,032) | |
| Chemicals | 25,550 | | 8,525 | | 17,025 | | 20,788 | | 4,224 | | 528 | | 10 | | | 88 | | 6 | | (2,141) | |
| Metals and mining | 13,892 | | 6,089 | | 7,803 | | 9,927 | | 3,652 | | 293 | | 20 | | | 104 | | (1) | | (635) | |
| Banks and finance companies | 58,252 | | 36,804 | | 21,448 | | 49,465 | | 4,892 | | 3,890 | | 5 | | | 150 | | (5) | | (680) | |
| Asset managers and funds | 55,517 | | 26,879 | | 28,638 | | 54,119 | | 1,019 | | 377 | | 2 | | | 211 | | — | | (869) | |
Energy and commodities(5) | 48,973 | | 13,485 | | 35,488 | | 38,972 | | 7,517 | | 2,220 | | 264 | | | 224 | | 78 | | (3,679) | |
| Health | 33,393 | | 8,826 | | 24,567 | | 27,600 | | 4,702 | | 942 | | 149 | | | 95 | | — | | (2,465) | |
| Insurance | 28,495 | | 3,162 | | 25,333 | | 27,447 | | 987 | | 61 | | — | | | 2 | | 1 | | (2,711) | |
| Public sector | 23,842 | | 12,464 | | 11,378 | | 21,035 | | 1,527 | | 1,275 | | 5 | | | 37 | | (3) | | (1,282) | |
| Financial markets infrastructure | 14,341 | | 109 | | 14,232 | | 14,323 | | 18 | | — | | — | | | — | | — | | (22) | |
| Securities firms | 1,472 | | 613 | | 859 | | 605 | | 816 | | 51 | | — | | | 4 | | — | | (5) | |
| Other industries | 6,591 | | 2,803 | | 3,788 | | 4,151 | | 1,890 | | 489 | | 61 | | | — | | 5 | | (169) | |
| Total | $ | 713,097 | | $ | 284,527 | | $ | 428,570 | | $ | 584,790 | | $ | 89,351 | | $ | 36,563 | | $ | 2,393 | | | $ | 1,895 | | $ | 386 | | $ | (39,269) | |
(1) Excludes $0.6 billion and $0.1 billion of funded and unfunded exposure at December 31, 2021, respectively, primarily related to the delinquency-managed loans and unearned income. Funded balance also excludes loans carried at fair value of $6.1 billion at December 31, 2021.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $39.3 billion of purchased credit protection, $36.0 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.9 billion ($6.5 billion in funded, with more than 99% rated investment grade) as of December 31, 2021.
(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2021, Citi’s total exposure to these energy-related entities was approximately $5.1 billion, of which approximately $2.6 billion consisted of direct outstanding funded loans.
Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. Citi may enter into partial-term hedges as well as full-term hedges. In advance of the expiration of partial-term hedges, Citi will determine, among other factors, the economic feasibility of hedging the remaining life of the instrument. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Principal transactions in the Consolidated Statement of Income.
At March 31, 2022, December 31, 2021 and March 31, 2021, ICG had economic hedges on the corporate credit portfolio of $37.9 billion, $39.3 billion and $38.5 billion, respectively. Citigroup’s expected credit loss model used in the calculation of its ACL 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 ICG corporate credit portfolio exposures with the following risk rating distribution:
Rating of Hedged Exposure
| | | | | | | | | | | |
| March 31,
2022 | December 31,
2021 | March 31,
2021 |
| AAA/AA/A | 38 | % | 35 | % | 32 | % |
| BBB | 46 | | 49 | | 47 | |
| BB/B | 13 | | 13 | | 18 | |
| CCC or below | 3 | | 3 | | 3 | |
| Total | 100 | % | 100 | % | 100 | % |
Consumer Loan Net Credit Losses and RatiosPortfolio
| | | | | | | | | | | | | | |
| | Average loans(1) | Net credit losses(2) |
| In millions of dollars, except average loan amounts in billions | 1Q21 | 1Q21 | 4Q20 | 1Q20 |
| Global Consumer Banking | | | | |
| Total | $ | 271.7 | | $ | 1,580 | | $ | 1,272 | | $ | 1,934 | |
| Ratio | | 2.36 | % | 1.83 | % | 2.68 | % |
| Retail banking | | | | |
| Total | $ | 127.4 | | $ | 274 | | $ | 185 | | $ | 230 | |
| Ratio | | 0.87 | % | 0.58 | % | 0.75 | % |
| North America | 51.9 | | 26 | | 31 | | 37 | |
| Ratio | | 0.20 | % | 0.23 | % | 0.29 | % |
| Latin America | 9.4 | | 168 | | 68 | | 127 | |
| Ratio | | 7.25 | % | 2.82 | % | 4.60 | % |
Asia(3) | 66.1 | | 80 | | 86 | | 66 | |
| Ratio | | 0.49 | % | 0.52 | % | 0.43 | % |
| Cards | | | | |
| Total | $ | 144.3 | | $ | 1,306 | | $ | 1,087 | | $ | 1,704 | |
| Ratio | | 3.67 | % | 2.91 | % | 4.10 | % |
North America—Citi-branded | 78.7 | | 551 | | 500 | | 781 | |
| Ratio | | 2.84 | % | 2.43 | % | 3.40 | % |
North America—Citi retail services | 43.8 | | 373 | | 339 | | 672 | |
| Ratio | | 3.45 | % | 3.00 | % | 5.35 | % |
| Latin America | 4.5 | | 197 | | 94 | | 144 | |
| Ratio | | 17.75 | % | 7.96 | % | 10.34 | % |
Asia(3) | 17.3 | | 185 | | 154 | | 107 | |
| Ratio | | 4.34 | % | 3.56 | % | 2.29 | % |
Corporate/Other—Consumer | | | | |
| Total | $ | 6.4 | | $ | (18) | | $ | (10) | | $ | (2) | |
| Ratio | | (1.14) | % | (0.54) | % | (0.09) | % |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| Total Citigroup | $ | 278.1 | | $ | 1,562 | | $ | 1,262 | | $ | 1,932 | |
| Ratio | | 2.28 | % | 1.77 | % | 2.59 | % |
| | | | | | | | | | | | | | | | | | |
| In billions of dollars | 1Q21 | 2Q21 | 3Q21(2) | 4Q21(2) | 1Q22(2) | |
| Personal Banking and Wealth Management | | | | | | |
| U.S. Personal Banking | | | | | | |
| Cards | | | | | | |
| Branded cards | $ | 78.5 | | $ | 82.1 | | $ | 82.8 | | $ | 87.9 | | $ | 85.9 | | |
| Retail services | 42.5 | | 42.7 | | 42.7 | | 46.0 | | 44.1 | | |
| Retail banking | | | | | | |
| Mortgages | 32.0 | | 31.0 | | 30.5 | | 30.2 | | 30.5 | | |
| Personal, small business and other | 3.6 | | 3.3 | | 2.9 | | 2.8 | | 2.8 | | |
| Global Wealth Management | | | | | | |
Private bank and Wealth at Work(3) | 101.5 | | 104.9 | | 105.0 | | 105.3 | | 104.6 | | |
Citigold(4) | 43.9 | | 44.8 | | 45.3 | | 46.0 | | 45.6 | | |
| Total | $ | 302.0 | | $ | 308.8 | | $ | 309.2 | | $ | 318.2 | | $ | 313.5 | | |
| Legacy Franchises | | | | | | |
Asia Consumer(5) | $ | 54.0 | | $ | 53.5 | | $ | 42.9 | | $ | 41.1 | | $ | 19.5 | | |
| Mexico Consumer (excludes Mexico SBMM) | 13.4 | | 13.5 | | 13.0 | | 13.3 | | 13.6 | | |
Legacy Holdings Assets(6) | 6.1 | | 5.0 | | 4.2 | | 3.9 | | 3.7 | | |
| Total | $ | 73.5 | | $ | 72.0 | | $ | 60.1 | | $ | 58.3 | | $ | 36.8 | | |
| Total consumer loans | $ | 375.5 | | $ | 380.8 | | $ | 369.3 | | $ | 376.5 | | $ | 350.3 | | |
(1)AverageEnd-of-period loans include interest and fees on credit cards.
(2)Legacy Franchises—1Q22 Asia Consumer loan balances exclude approximately $29 billion of loans ($20 billion of retail banking loans and $9 billion of credit card loan balances) reclassified to held-for-sale (HFS) (Other assets on the Consolidated Balance Sheet) as a result of Citi’s signed agreements to sell its consumer banking businesses in nine countries (see Legacy Franchises above and Note 2 for additional information). In addition, the Australia consumer banking business was also reclassified to HFS in 3Q21 and 4Q21, and the Philippines consumer banking business was reclassified to HFS in 4Q21, with loans from both businesses excluded from the Asia Consumer loan balances as of such periods.
(3)Primarily consists of residential and commercial real estate lending, margin security-backed financing and other tailored lending programs.
(4)Primarily consists of residential real estate lending, margin security-backed financing and unsecured lending.
(5)Asia Consumer also includes loans and leases in certain EMEA countries for all periods presented.
(6)Primarily consists of certain North America consumer mortgages.
For information on changes to Citi’s consumer loans, see “Liquidity Risk—Loans” below.
Consumer Credit Trends
Personal Banking and Wealth Management (PBWM)
| | |
| Personal Banking and Wealth Management |
PBWM provides mortgage, home equity, small business and personal loans through Citi’s Retail banking network; card products through Branded cards and Retail services businesses; and Private bank loans. The retail bank is concentrated in six major metropolitan cities in the U.S.
As of March 31, 2022, approximately 80% of U.S. Personal Banking consumer loans consisted of Branded cards and Retail services cards, which generally drives the overall credit performance of U.S. Personal Banking.
As shown in the chart above, the net credit loss rate in PBWM for the first quarter of 2022increased quarter-over-quarter, primarily due to seasonality in U.S. Personal Banking’s cards portfolios, and decreased year-over-year, primarily reflecting the high payment rates in Branded cards and Retail services, driven by government stimulus, and unemployment benefits and consumer relief programs in U.S. Personal Banking.
PBWM’s 90+ days past due delinquency rate remained broadly stable quarter-over-quarter. The 90+ days past due delinquency rate decreased year-over-year, primarily due to the continued impacts of government stimulus, unemployment benefits and consumer relief programs in U.S. Personal Banking.
U.S. Personal Banking’s Branded cards portfolio includes proprietary and co-branded cards.
As shown in the chart above, the net credit loss rate in Branded cards for the first quarter of 2022 increased quarter-
over-quarter, driven by seasonality, and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate increased quarter-over-quarter due to seasonality, and decreased year-over year, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.
U.S. Personal Banking’s Retail services partners directly with more than 20 retailers and dealers to offer private label and co-branded cards. Retail services’ target market focuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel.
Retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
As shown in the chart above, the net credit loss rate in Retail services for the first quarter of 2022 increased quarter-over-quarter driven by seasonality, and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate increased quarter-over-quarter due to seasonality, and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs. 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.
Legacy Franchises
Legacy Franchises provides traditional retail banking and branded card products to retail and small business customers in Asia Consumer and Mexico Consumer.
(1)Asia includes Legacy Franchises activities in certain EMEA countries for all periods presented.
Asia Consumer operates in 13 countries and jurisdictions in Asia and EMEA and provides credit cards, consumer mortgages and small business and personal loans.
As shown in the chart above, the first quarter of 2022 net credit loss rate in Asia Consumer decreased quarter-over-quarter and year-over-year, driven by the impact of the charge-off of peak delinquent loans in recent quarters, resulting in lower delinquencies that led to lower net credit losses in the current quarter. The decrease was also driven by the reclassification of approximately $29 billion of loans ($20 billion of retail banking loans and $9 billion of credit card loan balances) to held-for-sale as a result of Citi’s agreements to sell its consumer banking businesses in Australia, the Philippines, Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (Asia HFS reclass).
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, mainly driven by the impact of the Asia HFS reclass and the charge-off of peak delinquencies in recent quarters, as elevated losses returned to pre-pandemic levels.
The performance of Asia Consumer’s portfolios continues to reflect the strong credit profiles in the region’s target customer segments. Regulatory changes in many markets in Asia over the past few years have also resulted in improved credit quality.
Mexico Consumer operates in Mexico through Citibanamex and provides credit cards, consumer mortgages and small business and personal loans. Mexico Consumer serves a more mass-market segment in Mexico and focuses on developing multiproduct relationships with customers.
As shown in the chart above, the net credit loss rate in Mexico Consumer for the first quarter of 2022 decreased quarter-over-quarter and year-over-year. The impact of charge-offs of delinquent loans in prior quarters resulted in lower delinquencies that led to lower net credit losses in the current quarter.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year. The impact of charge-offs of delinquent loans in prior quarters and higher payment rates resulted in a lower 90+ days past due delinquency rate in the current quarter.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see PBWM and Legacy Franchises results of operations above and Note 13.
U.S. Cards FICO Distribution
The following tables show the current FICO score distributions for Citi’s U.S. 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.
Branded Cards
| | | | | | | | | | | |
FICO distribution(1) | March 31, 2022 | December 31, 2021 | March 31, 2021 |
| > 760 | 48 | % | 49 | % | 46 | % |
| 680–760 | 39 | | 38 | | 40 | |
| < 680 | 13 | | 13 | | 14 | |
| Total | 100 | % | 100 | % | 100 | % |
Retail Services
| | | | | | | | | | | |
FICO distribution(1) | March 31, 2022 | December 31, 2021 | March 31, 2021 |
| > 760 | 27 | % | 28 | % | 26 | % |
| 680–760 | 44 | | 44 | | 45 | |
| < 680 | 29 | | 28 | | 29 | |
| Total | 100 | % | 100 | % | 100 | % |
(1) The FICO bands in the tables are consistent with general industry peer presentations.
The FICO distribution of both cards portfolios remained largely stable compared to the prior quarter and improved compared to the prior year, demonstrating strong underlying credit quality and a benefit from the impacts of government stimulus, unemployment benefits and customer relief programs, as well as lower credit utilization. See Note 13 for additional information on FICO scores.
Additional Consumer Credit Details
Consumer Loan Delinquencies Amounts and Ratios
| | | | | | | | | | | | | | | | | | | | | | | |
| | EOP loans(1) | 90+ days past due(2) | 30–89 days past due(2) |
In millions of dollars,
except EOP loan amounts in billions | March 31,
2022 | March 31,
2022 | December 31,
2021 | March 31,
2021 | March 31,
2022 | December 31,
2021 | March 31,
2021 |
Personal Banking and Wealth Management(3)(4)(5) | | | | | | | |
| Total | $ | 254.8 | | $ | 1,383 | | $ | 1,278 | | $ | 1,558 | | $ | 1,397 | | $ | 1,934 | | $ | 2,078 | |
| Ratio | | 0.54 | % | 0.50 | % | 0.64 | % | 0.55 | % | 0.75 | % | 0.86 | % |
U.S. Cards(4) | | | | | | | |
| Total | $ | 130.0 | | $ | 910 | | $ | 871 | | $ | 1,181 | | $ | 987 | | $ | 947 | | $ | 997 | |
| Ratio | | 0.70 | % | 0.65 | % | 0.98 | % | 0.76 | % | 0.71 | % | 0.82 | % |
| Branded cards | 85.9 | | 404 | | 389 | | 590 | | 425 | | 408 | | 484 | |
| Ratio | | 0.47 | % | 0.44 | % | 0.75 | % | 0.49 | % | 0.46 | % | 0.62 | % |
| Retail services | 44.1 | | 506 | | 482 | | 591 | | 562 | | 539 | | 513 | |
| Ratio | | 1.15 | % | 1.05 | % | 1.39 | % | 1.27 | % | 1.17 | % | 1.21 | % |
U.S. Retail Banking and Global Wealth Management(3)(5) | 124.8 | | $ | 473 | | $ | 407 | | $ | 377 | | $ | 410 | | $ | 987 | | $ | 1,081 | |
| Ratio | | 0.38 | % | 0.33 | % | 0.31 | % | 0.33 | % | 0.80 | % | 0.89 | % |
| Legacy Franchises | | | | | | | |
| Total | $ | 36.8 | | $ | 432 | | $ | 613 | | $ | 960 | | $ | 316 | | $ | 546 | | $ | 874 | |
| Ratio | | 1.19 | % | 1.06 | % | 1.31 | % | 0.87 | % | 0.94 | % | 1.20 | % |
Asia Consumer(6)(7) | 19.5 | | 54 | | 209 | | 368 | | 62 | | 285 | | 457 | |
| Ratio | | 0.28 | % | 0.51 | % | 0.68 | % | 0.32 | % | 0.69 | % | 0.85 | % |
| Mexico Consumer | 13.6 | | 180 | | 183 | | 315 | | 177 | | 173 | | 279 | |
| Ratio | | 1.32 | % | 1.38 | % | 2.35 | % | 1.30 | % | 1.30 | % | 2.08 | % |
Legacy Holdings Assets (consumer)(8) | 3.7 | | 198 | | 221 | | 277 | | 77 | | 88 | | 138 | |
| Ratio | | 6.00 | % | 6.31 | % | 4.86 | % | 2.33 | % | 2.51 | % | 2.42 | % |
Global Wealth Management classifiably managed loans(9) | $ | 58.7 | | N/A | N/A | N/A | N/A | N/A | N/A |
| Total Citigroup consumer | $ | 350.3 | | $ | 1,815 | | $ | 1,891 | | $ | 2,518 | | $ | 1,713 | | $ | 2,480 | | $ | 2,952 | |
| Ratio | | 0.63 | % | 0.60 | % | 0.80 | % | 0.59 | % | 0.79 | % | 0.94 | % |
(1)End-of-period (EOP) loans include interest and fees on credit cards.
(2)The ratios of net credit losses90+ days past due and 30–89 days past due are calculated based on averageEOP loans, net of unearned income.
(3)Excludes EOP classifiably managed Private bank loans. These loans are not included in the delinquency numerator, denominator and ratios.
(4)The 90+ days past due balances for Branded cards and Retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(5)The 90+ days past due and 30–89 days past due and related ratios forRetail banking exclude loans guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $161 million ($0.9 billion), $185 million ($1.1 billion) and $176 million ($0.7 billion) at March 31, 2022, December 31, 2021 and March 31, 2021, respectively. The amounts excluded for loans 30–89 days past due (the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $62 million, $74 million and $84 million at March 31, 2022, December 31, 2021 and March 31, 2021, respectively. The EOP loans in the table include the guaranteed loans.
(6)Asia Consumer includes NCLsdelinquencies and average loans in certain EMEAEMEA countries for all periods presented.
The following table details Citi’s corporate credit portfolio within ICG (excludingand the Mexico SBMM component of Legacy Franchises (excluding certain loans in the private bank, which are managed on a delinquency basis)basis, loans carried at fair value and loans held-for-sale), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | March 31, 2021 | December 31, 2020 | March 31, 2020 |
| In billions of dollars | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure |
Direct outstandings (on-balance sheet)(1) | $ | 182 | | $ | 142 | | $ | 22 | | $ | 346 | | $ | 177 | | $ | 142 | | $ | 25 | | $ | 344 | | $ | 195 | | $ | 175 | | $ | 24 | | $ | 394 | |
Unfunded lending commitments (off-balance sheet)(2) | 170 | | 284 | | 12 | | 466 | | 158 | | 272 | | 11 | | 441 | | 152 | | 231 | | 11 | | 394 | |
| Total exposure | $ | 352 | | $ | 426 | | $ | 34 | | $ | 812 | | $ | 335 | | $ | 414 | | $ | 36 | | $ | 785 | | $ | 347 | | $ | 406 | | $ | 35 | | $ | 788 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | March 31, 2022 | December 31, 2021 | March 31, 2021 |
| In billions of dollars | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure |
Direct outstandings (on-balance sheet)(1) | $ | 164 | | $ | 117 | | $ | 21 | | $ | 302 | | $ | 145 | | $ | 119 | | $ | 20 | | $ | 284 | | $ | 141 | | $ | 120 | | $ | 21 | | $ | 282 | |
Unfunded lending commitments (off-balance sheet)(2) | 148 | | 268 | | 10 | | 426 | | 147 | | 269 | | 13 | | 429 | | 158 | | 275 | | 11 | | 444 | |
| Total exposure | $ | 312 | | $ | 385 | | $ | 31 | | $ | 728 | | $ | 292 | | $ | 388 | | $ | 33 | | $ | 713 | | $ | 299 | | $ | 395 | | $ | 32 | | $ | 726 | |
(1) Includes drawn loans, overdrafts, bankers’ acceptances and leases.
(2) Includes unused commitments to lend, letters of credit and financial guarantees.
Portfolio Mix—Geography and Counterparty
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region (excluding the delinquency-managed private bank portfolio) based on Citi’s internal management geography:
| | | | | | | | | | | |
| March 31,
2021 | December 31,
2020 | March 31,
2020 |
| North America | 57 | % | 56 | % | 57 | % |
| EMEA | 25 | | 25 | | 25 | |
| Asia | 13 | | 13 | | 12 | |
| Latin America | 5 | | 6 | | 6 | |
| Total | 100 | % | 100 | % | 100 | % |
| | | | | | | | | | | |
| March 31,
2022 | December 31, 2021 | March 31,
2021 |
| North America | 56 | % | 56 | % | 56 | % |
| EMEA | 25 | | 25 | | 26 | |
| Asia | 13 | | 13 | | 12 | |
| Latin America | 6 | | 6 | | 6 | |
| Total | 100 | % | 100 | % | 100 | % |
The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived 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.
The following table presents the corporate credit portfolio (excluding the delinquency-managed private bank portfolio) by facility risk rating as a percentage of the total corporate credit portfolio:
| | | | Total exposure | | Total exposure |
| | | March 31,
2021 | December 31,
2020 | March 31,
2020 | | March 31,
2022 | December 31,
2021 | March 31,
2021 |
| AAA/AA/A | AAA/AA/A | 50 | % | 49 | % | 48 | % | AAA/AA/A | 49 | % | 48 | % | 47 | % |
| BBB | BBB | 31 | | 31 | | 33 | | BBB | 33 | | 34 | | 33 | |
| BB/B | BB/B | 16 | | 17 | | 17 | | BB/B | 16 | | 16 | | 17 | |
| CCC or below | CCC or below | 3 | | 3 | | 2 | | CCC or below | 2 | | 2 | | 3 | |
| Total | Total | 100 | % | 100 | % | 100 | % | Total | 100 | % | 100 | % | 100 | % |
Note: Total exposure includes direct outstandings and unfunded lending commitments.
In addition to the obligor and facility risk ratings assigned to all exposures, Citi may classify exposures in the corporate credit portfolio. These classifications are consistent with Citi’s interpretation of the U.S. banking regulators’ definition of criticized exposures, which may categorize exposures as special mention, substandard, doubtful or loss.
Risk ratings and classifications are reviewed regularly, and adjusted as appropriate. The credit review process incorporates quantitative and qualitative factors, including financial and non-financial disclosures or metrics, idiosyncratic events or changes to the competitive, regulatory or macroeconomic environment. This includes but is not limited to exposures in those sectors significantly impacted by the pandemic (including consumer retail, commercial real estate and transportation).
Citigroup believes the corporate credit portfolio to be appropriately rated and classified as of March 31, 2021. Since the onset of the COVID-19 pandemic,2022. Citigroup has taken action to adjust internal ratings and classifications of exposures as both the macroeconomic environment and obligor-specific factors have changed, particularly where additional stress has been seen.
As obligor risk ratings are downgraded, the probability of default increases. Downgrades of obligor risk ratings tend to result in a higher provision for credit losses. In addition,
downgrades may result in the purchase of additional credit derivatives or other risk mitigants to hedge the incremental credit risk, or may result in Citi’s seeking to reduce exposure to an obligor or an industry sector. Citi will continue to review exposures to ensure that the appropriate probability of default is incorporated into all risk assessments.
ForSee Note 13 for additional information on Citi’s corporate credit portfolio, see Note 13 to the Consolidated Financial Statements.portfolio.
Portfolio Mix—Industry
Citi’s corporate credit portfolio is diversified by industry. The following table details the allocation of Citi’s total corporate credit portfolio by industry (excluding the delinquency-managed private bank portfolio):industry:
| | | | | | | | | | | |
| | Total exposure |
| | March 31,
2021 | December 31,
2020 | March 31,
2020 |
| Transportation and industrials | 19 | % | 19 | % | 19 | % |
| Private bank | 14 | | 14 | | 13 | |
| Consumer retail | 10 | | 10 | | 11 | |
| Technology, media and telecom | 11 | | 11 | | 10 | |
| Real estate | 8 | | 8 | | 7 | |
| Power, chemicals, metals and mining | 8 | | 8 | | 9 | |
| Banks and finance companies | 7 | | 7 | | 8 | |
| Energy and commodities | 6 | | 6 | | 7 | |
| Health | 5 | | 5 | | 4 | |
| Public sector | 3 | | 3 | | 3 | |
| Insurance | 3 | | 3 | | 3 | |
| Asset managers and funds | 3 | | 3 | | 3 | |
| Financial markets infrastructure | 2 | | 2 | | 2 | |
| Securities firms | — | | — | | — | |
| Other industries | 1 | | 1 | | 1 | |
| Total | 100 | % | 100 | % | 100 | % |
| | | | | | | | | | | |
| | Total exposure |
| | March 31,
2022 | December 31,
2021 | March 31,
2021 |
| Transportation and industrials | 20 | % | 20 | % | 20 | % |
| Technology, media and telecom | 12 | | 12 | | 12 | |
| Consumer retail | 11 | | 11 | | 11 | |
| Real estate | 9 | | 10 | | 9 | |
| Power, chemicals, metals and mining | 9 | | 9 | | 9 | |
| Banks and finance companies | 9 | | 8 | | 8 | |
| Asset managers and funds | 8 | | 8 | | 8 | |
| Energy and commodities | 7 | | 7 | | 7 | |
| Health | 5 | | 5 | | 5 | |
| Insurance | 4 | | 4 | | 4 | |
| Public sector | 3 | | 3 | | 4 | |
| Financial markets infrastructure | 2 | | 2 | | 2 | |
| Securities firms | — | | — | | — | |
| Other industries | 1 | | 1 | | 1 | |
| Total | 100 | % | 100 | % | 100 | % |
The following table details Citi’s corporate credit portfolio by industry as of March 31, 2021:2022:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing(3) | Net charge-offs (recoveries)(4) | Credit derivative hedges(5) |
| Transportation and industrials | $ | 149,737 | | $ | 57,653 | | $ | 92,084 | | $ | 109,655 | | $ | 19,267 | | $ | 19,083 | | $ | 1,732 | | | $ | 209 | | $ | 75 | | $ | (8,628) | |
Autos(6) | 51,939 | | 23,993 | | 27,946 | | 41,823 | | 4,895 | | 5,018 | | 203 | | | 50 | | 1 | | (3,521) | |
| Transportation | 31,387 | | 13,436 | | 17,951 | | 20,581 | | 3,354 | | 6,064 | | 1,388 | | | 16 | | 57 | | (1,140) | |
| Industrials | 66,411 | | 20,224 | | 46,187 | | 47,251 | | 11,018 | | 8,001 | | 141 | | | 143 | | 17 | | (3,967) | |
| Private bank | 116,606 | | 78,556 | | 38,050 | | 111,784 | | 2,243 | | 2,364 | | 215 | | | 898 | | (1) | | (1,080) | |
| Consumer retail | 79,201 | | 33,424 | | 45,777 | | 59,944 | | 11,452 | | 7,129 | | 676 | | | 148 | | 9 | | (5,394) | |
| Technology, media and telecom | 89,307 | | 29,314 | | 59,993 | | 69,458 | | 14,801 | | 4,785 | | 263 | | | 72 | | 1 | | (6,929) | |
| Real estate | 66,712 | | 43,938 | | 22,774 | | 55,302 | | 5,929 | | 5,141 | | 340 | | | 90 | | 13 | | (597) | |
| Power, chemicals, metals and mining | 64,069 | | 21,086 | | 42,983 | | 49,505 | | 10,474 | | 3,837 | | 253 | | | 102 | | 51 | | (5,426) | |
| Power | 26,922 | | 6,278 | | 20,644 | | 23,055 | | 3,036 | | 626 | | 205 | | | 7 | | 47 | | (2,624) | |
| Chemicals | 22,962 | | 8,499 | | 14,463 | | 16,838 | | 4,429 | | 1,685 | | 10 | | | 9 | | 4 | | (2,170) | |
| Metals and mining | 14,185 | | 6,309 | | 7,876 | | 9,612 | | 3,009 | | 1,526 | | 38 | | | 86 | | — | | (632) | |
| Banks and finance companies | 56,327 | | 32,840 | | 23,487 | | 46,764 | | 4,775 | | 4,760 | | 28 | | | 90 | | — | | (867) | |
Energy and commodities(7) | 47,741 | | 14,024 | | 33,717 | | 33,749 | | 7,465 | | 5,899 | | 628 | | | 101 | | 33 | | (3,934) | |
| Health | 39,384 | | 8,126 | | 31,258 | | 29,701 | | 7,403 | | 2,093 | | 187 | | | 43 | | — | | (2,059) | |
| Public sector | 27,699 | | 14,522 | | 13,177 | | 22,939 | | 2,090 | | 2,654 | | 16 | | | 27 | | (3) | | (1,146) | |
| Insurance | 27,869 | | 2,517 | | 25,352 | | 27,055 | | 712 | | 102 | | — | | | — | | — | | (2,541) | |
| Asset managers and funds | 20,158 | | 4,793 | | 15,365 | | 18,358 | | 1,228 | | 572 | | — | | | 1 | | — | | (82) | |
| Financial markets infrastructure | 15,531 | | 853 | | 14,678 | | 15,504 | | 27 | | — | | — | | | — | | — | | (8) | |
| Securities firms | 1,422 | | 227 | | 1,195 | | 762 | | 563 | | 89 | | 8 | | | 12 | | — | | (6) | |
| Other industries | 10,319 | | 4,597 | | 5,722 | | 5,523 | | 2,431 | | 2,077 | | 288 | | | 22 | | 6 | | (94) | |
| Total | $ | 812,082 | | $ | 346,470 | | $ | 465,612 | | $ | 656,003 | | $ | 90,860 | | $ | 60,585 | | $ | 4,634 | | | $ | 1,815 | | $ | 184 | | $ | (38,791) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing | Net credit losses (recoveries) | Credit derivative hedges(3) |
| Transportation and industrials | $ | 147,271 | | $ | 54,122 | | $ | 93,149 | | $ | 110,888 | | $ | 21,297 | | $ | 13,854 | | $ | 1,233 | | | $ | 296 | | $ | 1 | | $ | (8,643) | |
Autos(4) | 49,443 | | 19,203 | | 30,240 | | 39,597 | | 5,815 | | 3,910 | | 121 | | | 69 | | — | | (3,221) | |
| Transportation | 27,010 | | 11,703 | | 15,307 | | 19,372 | | 2,654 | | 4,340 | | 644 | | | 47 | | — | | (1,315) | |
| Industrials | 70,818 | | 23,216 | | 47,602 | | 51,919 | | 12,828 | | 5,604 | | 468 | | | 180 | | 1 | | (4,107) | |
| Technology, media and telecom | 86,035 | | 31,969 | | 54,066 | | 65,764 | | 16,983 | | 3,175 | | 113 | | | 132 | | — | | (6,549) | |
| Consumer retail | 79,591 | | 36,130 | | 43,461 | | 61,780 | | 13,633 | | 3,788 | | 390 | | | 324 | | 1 | | (5,000) | |
| Real estate | 68,956 | | 46,517 | | 22,439 | | 58,713 | | 6,316 | | 3,918 | | 10 | | | 348 | | — | | (752) | |
| Power, chemicals, metals and mining | 64,456 | | 21,787 | | 42,669 | | 50,606 | | 11,938 | | 1,656 | | 256 | | | 212 | | — | | (5,281) | |
| Power | 23,703 | | 5,851 | | 17,852 | | 19,929 | | 3,284 | | 398 | | 92 | | | 48 | | — | | (2,555) | |
| Chemicals | 26,511 | | 9,272 | | 17,239 | | 21,782 | | 3,987 | | 618 | | 124 | | | 127 | | — | | (2,103) | |
| Metals and mining | 14,242 | | 6,664 | | 7,578 | | 8,895 | | 4,667 | | 640 | | 40 | | | 37 | | — | | (623) | |
| Banks and finance companies | 62,266 | | 39,791 | | 22,475 | | 52,668 | | 5,813 | | 3,730 | | 55 | | | 98 | | 1 | | (641) | |
| Asset managers and funds | 54,791 | | 25,160 | | 29,631 | | 53,428 | | 1,252 | | 106 | | 5 | | | 484 | | — | | (893) | |
Energy and commodities(5) | 54,024 | | 17,741 | | 36,283 | | 44,225 | | 7,549 | | 2,037 | | 214 | | | 286 | | 19 | | (3,680) | |
| Health | 35,129 | | 8,968 | | 26,161 | | 29,495 | | 4,691 | | 835 | | 107 | | | 107 | | — | | (2,475) | |
| Insurance | 30,245 | | 2,880 | | 27,365 | | 29,383 | | 847 | | 15 | | — | | | 3 | | | (2,654) | |
| Public sector | 25,022 | | 13,707 | | 11,315 | | 20,609 | | 1,879 | | 2,407 | | 127 | | | 17 | | 4 | | (1,272) | |
| Financial markets infrastructure | 13,133 | | 176 | | 12,957 | | 13,110 | | 23 | | — | | — | | | — | | — | | (23) | |
| Securities firms | 1,357 | | 520 | | 837 | | 798 | | 387 | | 172 | | — | | | 2 | | — | | (3) | |
| Other industries | 5,628 | | 2,714 | | 2,914 | | 3,031 | | 2,223 | | 340 | | 32 | | | 81 | | 5 | | (4) | |
| Total | $ | 727,904 | | $ | 302,182 | | $ | 425,722 | | $ | 594,498 | | $ | 94,831 | | $ | 36,033 | | $ | 2,542 | | | $ | 2,390 | | $ | 31 | | $ | (37,870) | |
(1) Excludes $45,484 million$1.4 billion and $6,774 million$0.1 billion of funded and unfunded exposure at March 31, 2021,2022, respectively, primarily related to the delinquency-managed private bank portfolio.loans and unearned income. Funded balance also excludes loans carried at fair value of $5.7 billion at March 31, 2022.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Excludes $411 million of past due loans primarily related to delinquency-managed private bank portfolio.
(4) Net charge-offs (recoveries) are for the three months ended March 31, 2021 and exclude delinquency-managed private bank charge-offs of $2 million.
(5) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $38.8$37.9 billion of purchased credit protection, $36.8$34.6 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.0$3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.1$28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(6)(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $19.1$17.4 billion ($9.86.6 billion in funded, with more than 99% rated investment grade) as of March 31, 2021.2022.
(7)(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrialindustrials sector (e.g., off-shore drilling entities) included in the table above. As of March 31, 2021,2022, Citi’s total exposure to these energy-related entities was approximately $6.9$5.3 billion, of which approximately $3.6$3.1 billion consisted of direct outstanding funded loans.
Exposure to Commercial Real Estate
As of March 31, 2021, ICG’s total corporate credit exposure to commercial real estate (CRE) was $62 billion, with $44 billion consisting of direct outstanding funded loans (mainly included in the real estate and private bank categories in the above table), or 7% of Citi’s total outstanding loans. In addition, as of March 31, 2021, more than 70% of ICG’s total corporate CRE exposure was to borrowers in the United States. Also as of March 31, 2021, approximately 73% of ICG’s total corporate CRE exposure was rated investment grade.
As of March 31, 2021, the ACLL was 1.8% of funded CRE exposure, including 4.3% of funded non-investment grade exposure.
Of the total CRE exposure:
•$20 billion of the exposure ($13 billion of direct outstanding funded loans) relates to Community Reinvestment Act-related lending provided pursuant to Citi’s regulatory requirements to meet the credit needs of borrowers in low and moderate income neighborhoods.
•$18 billion of the exposure ($15 billion of direct outstanding funded loans) relates to exposure secured by mortgages on underlying properties or in well-rated securitization exposures.
•$13 billion of the exposure ($5 billion of direct outstanding funded loans) relates to unsecured loans to large REITs, with nearly 74% of the exposure rated investment grade.
•$11 billion of exposure ($11 billion of direct outstanding funded loans) relates to CRE exposure in the private bank of which 100% is secured by mortgages. In addition, 44% of the exposure is also full recourse to the client. As of March 31, 2021, 78% of the exposure was rated investment grade.
The following table details Citi’s corporate credit portfolio by industry as of December 31, 2020:2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing(3) | Net charge-offs (recoveries)(4) | Credit derivative hedges(5) |
| Transportation and industrials | $ | 147,218 | | $ | 60,122 | | $ | 87,096 | | $ | 106,041 | | $ | 17,452 | | $ | 21,927 | | $ | 1,798 | | | $ | 136 | | $ | 239 | | $ | (8,110) | |
Autos(6) | 53,874 | | 25,310 | | 28,564 | | 43,059 | | 4,374 | | 6,167 | | 274 | | | 8 | | 45 | | (3,220) | |
| Transportation | 27,693 | | 14,107 | | 13,586 | | 16,410 | | 2,993 | | 6,872 | | 1,418 | | | 17 | | 144 | | (1,166) | |
| Industrials | 65,651 | | 20,705 | | 44,946 | | 46,572 | | 10,085 | | 8,888 | | 106 | | | 111 | | 50 | | (3,724) | |
| Private bank | 109,397 | | 75,693 | | 33,704 | | 104,244 | | 2,395 | | 2,510 | | 248 | | | 963 | | 78 | | (1,080) | |
| Consumer retail | 82,129 | | 34,809 | | 47,320 | | 60,741 | | 11,653 | | 9,418 | | 317 | | | 146 | | 64 | | (5,493) | |
| Technology, media and telecom | 82,657 | | 30,880 | | 51,777 | | 61,296 | | 15,924 | | 5,214 | | 223 | | | 107 | | 74 | | (7,237) | |
| Real estate | 65,392 | | 43,285 | | 22,107 | | 54,413 | | 5,342 | | 5,453 | | 184 | | | 334 | | 18 | | (642) | |
| Power, chemicals, metals and mining | 63,926 | | 20,810 | | 43,116 | | 47,923 | | 11,554 | | 4,257 | | 192 | | | 59 | | 70 | | (5,341) | |
| Power | 26,916 | | 6,379 | | 20,537 | | 22,665 | | 3,336 | | 761 | | 154 | | | 14 | | 57 | | (2,637) | |
| Chemicals | 22,356 | | 7,969 | | 14,387 | | 16,665 | | 3,804 | | 1,882 | | 5 | | | 32 | | 8 | | (2,102) | |
| Metals and mining | 14,654 | | 6,462 | | 8,192 | | 8,593 | | 4,414 | | 1,614 | | 33 | | | 13 | | 5 | | (602) | |
| Banks and finance companies | 52,925 | | 29,856 | | 23,069 | | 43,831 | | 4,648 | | 4,387 | | 59 | | | 27 | | 79 | | (765) | |
Energy and commodities(7) | 49,524 | | 15,086 | | 34,438 | | 34,636 | | 7,345 | | 6,546 | | 997 | | | 70 | | 285 | | (4,199) | |
| Health | 35,504 | | 8,658 | | 26,846 | | 29,164 | | 4,354 | | 1,749 | | 237 | | | 17 | | 17 | | (1,964) | |
| Public sector | 26,887 | | 13,599 | | 13,288 | | 22,276 | | 1,887 | | 2,708 | | 16 | | | 45 | | 9 | | (1,089) | |
| Insurance | 26,576 | | 1,925 | | 24,651 | | 25,864 | | 575 | | 136 | | 1 | | | 27 | | 1 | | (2,682) | |
| Asset managers and funds | 19,745 | | 4,491 | | 15,254 | | 18,528 | | 1,013 | | 191 | | 13 | | | 41 | | (1) | | (84) | |
| Financial markets infrastructure | 12,610 | | 229 | | 12,381 | | 12,590 | | 20 | | — | | — | | | — | | — | | (9) | |
| Securities firms | 976 | | 430 | | 546 | | 573 | | 298 | | 97 | | 8 | | | — | | — | | (6) | |
| Other industries | 9,307 | | 4,545 | | 4,762 | | 4,980 | | 2,702 | | 1,442 | | 183 | | | 10 | | 43 | | (138) | |
| Total | $ | 784,773 | | $ | 344,418 | | $ | 440,355 | | $ | 627,100 | | $ | 87,162 | | $ | 66,035 | | $ | 4,476 | | | $ | 1,982 | | $ | 976 | | $ | (38,839) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing | Net credit losses (recoveries) | Credit derivative hedges(3) |
| Transportation and industrials | $ | 143,445 | | $ | 51,502 | | $ | 91,943 | | $ | 110,047 | | $ | 19,051 | | $ | 13,196 | | $ | 1,151 | | | $ | 384 | | $ | 127 | | $ | (8,791) | |
Autos(4) | 48,210 | | 18,662 | | 29,548 | | 39,824 | | 5,365 | | 2,906 | | 115 | | | 49 | | 2 | | (3,228) | |
| Transportation | 26,897 | | 12,085 | | 14,812 | | 19,233 | | 2,344 | | 4,447 | | 873 | | | 105 | | 104 | | (1,334) | |
| Industrials | 68,338 | | 20,755 | | 47,583 | | 50,990 | | 11,342 | | 5,843 | | 163 | | | 230 | | 21 | | (4,229) | |
| Technology, media and telecom | 84,333 | | 28,542 | | 55,791 | | 64,676 | | 15,873 | | 3,587 | | 197 | | | 156 | | 11 | | (6,875) | |
| Consumer retail | 78,994 | | 32,894 | | 46,100 | | 60,686 | | 13,590 | | 4,311 | | 407 | | | 224 | | 100 | | (5,115) | |
| Real estate | 69,808 | | 46,220 | | 23,588 | | 58,089 | | 6,761 | | 4,923 | | 35 | | | 116 | | 50 | | (798) | |
| Power, chemicals, metals and mining | 65,641 | | 20,224 | | 45,417 | | 53,575 | | 10,708 | | 1,241 | | 117 | | | 292 | | 22 | | (5,808) | |
| Power | 26,199 | | 5,610 | | 20,589 | | 22,860 | | 2,832 | | 420 | | 87 | | | 100 | | 17 | | (3,032) | |
| Chemicals | 25,550 | | 8,525 | | 17,025 | | 20,788 | | 4,224 | | 528 | | 10 | | | 88 | | 6 | | (2,141) | |
| Metals and mining | 13,892 | | 6,089 | | 7,803 | | 9,927 | | 3,652 | | 293 | | 20 | | | 104 | | (1) | | (635) | |
| Banks and finance companies | 58,252 | | 36,804 | | 21,448 | | 49,465 | | 4,892 | | 3,890 | | 5 | | | 150 | | (5) | | (680) | |
| Asset managers and funds | 55,517 | | 26,879 | | 28,638 | | 54,119 | | 1,019 | | 377 | | 2 | | | 211 | | — | | (869) | |
Energy and commodities(5) | 48,973 | | 13,485 | | 35,488 | | 38,972 | | 7,517 | | 2,220 | | 264 | | | 224 | | 78 | | (3,679) | |
| Health | 33,393 | | 8,826 | | 24,567 | | 27,600 | | 4,702 | | 942 | | 149 | | | 95 | | — | | (2,465) | |
| Insurance | 28,495 | | 3,162 | | 25,333 | | 27,447 | | 987 | | 61 | | — | | | 2 | | 1 | | (2,711) | |
| Public sector | 23,842 | | 12,464 | | 11,378 | | 21,035 | | 1,527 | | 1,275 | | 5 | | | 37 | | (3) | | (1,282) | |
| Financial markets infrastructure | 14,341 | | 109 | | 14,232 | | 14,323 | | 18 | | — | | — | | | — | | — | | (22) | |
| Securities firms | 1,472 | | 613 | | 859 | | 605 | | 816 | | 51 | | — | | | 4 | | — | | (5) | |
| Other industries | 6,591 | | 2,803 | | 3,788 | | 4,151 | | 1,890 | | 489 | | 61 | | | — | | 5 | | (169) | |
| Total | $ | 713,097 | | $ | 284,527 | | $ | 428,570 | | $ | 584,790 | | $ | 89,351 | | $ | 36,563 | | $ | 2,393 | | | $ | 1,895 | | $ | 386 | | $ | (39,269) | |
(1) Excludes $42.6$0.6 billion and $4.4$0.1 billion of funded and unfunded exposure at December 31, 2020,2021, respectively, primarily related to the delinquency-managed private bank portfolio.loans and unearned income. Funded balance also excludes loans carried at fair value of $6.1 billion at December 31, 2021.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Excludes $162 million of past due loans primarily related to the delinquency-managed private bank portfolio.
(4) Net charge-offs (recoveries) are for the year ended December 31, 2020 and exclude delinquency-managed private bank charge-offs of $10 million.
(5) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $38.8$39.3 billion of purchased credit protection, $36.8$36.0 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.0$3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.1$28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(6)(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $20.2$17.9 billion ($10.36.5 billion in funded, with more than 99% rated investment grade) as of December 31, 2020.2021.
(7)(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2020,2021, Citi’s total exposure to these energy-related entities was approximately $7.0$5.1 billion, of which approximately $3.8$2.6 billion consisted of direct outstanding funded loans.
Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. Citi may enter into partial-term hedges as well as full-term hedges. In advance of the expiration of partial-term hedges, Citi will determine, among other factors, the economic feasibility of hedging the remaining life of the instrument. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Principal transactions in the Consolidated Statement of Income.
At March 31, 2021,2022, December 31, 20202021 and March 31, 2020,2021, ICG (excluding the delinquency-managed private bank portfolio) had economic hedges on the corporate credit portfolio of $38.8$37.9 billion, $38.8$39.3 billion and $33.0$38.5 billion, respectively. Citigroup’s expected credit loss model used in the calculation of its ACL 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 ICG (excluding the delinquency-managed private bank portfolio) corporate credit portfolio exposures with the following risk rating distribution:
Rating of Hedged Exposure
| | | | | | | | | | | |
| March 31,
2021 | December 31,
2020 | March 31,
2020 |
| AAA/AA/A | 32 | % | 30 | % | 32 | % |
| BBB | 47 | | 48 | | 52 | |
| BB/B | 18 | | 19 | | 14 | |
| CCC or below | 3 | | 3 | | 2 | |
| Total | 100 | % | 100 | % | 100 | % |
| | | | | | | | | | | |
| March 31,
2022 | December 31,
2021 | March 31,
2021 |
| AAA/AA/A | 38 | % | 35 | % | 32 | % |
| BBB | 46 | | 49 | | 47 | |
| BB/B | 13 | | 13 | | 18 | |
| CCC or below | 3 | | 3 | | 3 | |
| Total | 100 | % | 100 | % | 100 | % |
Consumer Credit Portfolio
The following table shows Citi’s quarterly end-of-period consumer loans(1):
| | | | | | | | | | | | | | | | | | |
| In billions of dollars | 1Q21 | 2Q21 | 3Q21(2) | 4Q21(2) | 1Q22(2) | |
| Personal Banking and Wealth Management | | | | | | |
| U.S. Personal Banking | | | | | | |
| Cards | | | | | | |
| Branded cards | $ | 78.5 | | $ | 82.1 | | $ | 82.8 | | $ | 87.9 | | $ | 85.9 | | |
| Retail services | 42.5 | | 42.7 | | 42.7 | | 46.0 | | 44.1 | | |
| Retail banking | | | | | | |
| Mortgages | 32.0 | | 31.0 | | 30.5 | | 30.2 | | 30.5 | | |
| Personal, small business and other | 3.6 | | 3.3 | | 2.9 | | 2.8 | | 2.8 | | |
| Global Wealth Management | | | | | | |
Private bank and Wealth at Work(3) | 101.5 | | 104.9 | | 105.0 | | 105.3 | | 104.6 | | |
Citigold(4) | 43.9 | | 44.8 | | 45.3 | | 46.0 | | 45.6 | | |
| Total | $ | 302.0 | | $ | 308.8 | | $ | 309.2 | | $ | 318.2 | | $ | 313.5 | | |
| Legacy Franchises | | | | | | |
Asia Consumer(5) | $ | 54.0 | | $ | 53.5 | | $ | 42.9 | | $ | 41.1 | | $ | 19.5 | | |
| Mexico Consumer (excludes Mexico SBMM) | 13.4 | | 13.5 | | 13.0 | | 13.3 | | 13.6 | | |
Legacy Holdings Assets(6) | 6.1 | | 5.0 | | 4.2 | | 3.9 | | 3.7 | | |
| Total | $ | 73.5 | | $ | 72.0 | | $ | 60.1 | | $ | 58.3 | | $ | 36.8 | | |
| Total consumer loans | $ | 375.5 | | $ | 380.8 | | $ | 369.3 | | $ | 376.5 | | $ | 350.3 | | |
(1)End-of-period loans include interest and fees on credit cards.
(2)Legacy Franchises—1Q22 Asia Consumer loan balances exclude approximately $29 billion of loans ($20 billion of retail banking loans and $9 billion of credit card loan balances) reclassified to held-for-sale (HFS) (Other assets on the Consolidated Balance Sheet) as a result of Citi’s signed agreements to sell its consumer banking businesses in nine countries (see Legacy Franchises above and Note 2 for additional information). In addition, the Australia consumer banking business was also reclassified to HFS in 3Q21 and 4Q21, and the Philippines consumer banking business was reclassified to HFS in 4Q21, with loans from both businesses excluded from the Asia Consumer loan balances as of such periods.
(3)Primarily consists of residential and commercial real estate lending, margin security-backed financing and other tailored lending programs.
(4)Primarily consists of residential real estate lending, margin security-backed financing and unsecured lending.
(5)Asia Consumer also includes loans and leases in certain EMEA countries for all periods presented.
(6)Primarily consists of certain North America consumer mortgages.
For information on changes to Citi’s consumer loans, see “Liquidity Risk—Loans” below.
Consumer Credit Trends
Personal Banking and Wealth Management (PBWM)
| | |
| Personal Banking and Wealth Management |
PBWM provides mortgage, home equity, small business and personal loans through Citi’s Retail banking network; card products through Branded cards and Retail services businesses; and Private bank loans. The retail bank is concentrated in six major metropolitan cities in the U.S.
As of March 31, 2022, approximately 80% of U.S. Personal Banking consumer loans consisted of Branded cards and Retail services cards, which generally drives the overall credit performance of U.S. Personal Banking.
As shown in the chart above, the net credit loss rate in PBWM for the first quarter of 2022increased quarter-over-quarter, primarily due to seasonality in U.S. Personal Banking’s cards portfolios, and decreased year-over-year, primarily reflecting the high payment rates in Branded cards and Retail services, driven by government stimulus, and unemployment benefits and consumer relief programs in U.S. Personal Banking.
PBWM’s 90+ days past due delinquency rate remained broadly stable quarter-over-quarter. The 90+ days past due delinquency rate decreased year-over-year, primarily due to the continued impacts of government stimulus, unemployment benefits and consumer relief programs in U.S. Personal Banking.
U.S. Personal Banking’s Branded cards portfolio includes proprietary and co-branded cards.
As shown in the chart above, the net credit loss rate in Branded cards for the first quarter of 2022 increased quarter-
over-quarter, driven by seasonality, and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate increased quarter-over-quarter due to seasonality, and decreased year-over year, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.
U.S. Personal Banking’s Retail services partners directly with more than 20 retailers and dealers to offer private label and co-branded cards. Retail services’ target market focuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel.
Retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
As shown in the chart above, the net credit loss rate in Retail services for the first quarter of 2022 increased quarter-over-quarter driven by seasonality, and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate increased quarter-over-quarter due to seasonality, and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs. 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.
Legacy Franchises
Legacy Franchises provides traditional retail banking and branded card products to retail and small business customers in Asia Consumer and Mexico Consumer.
(1)Asia includes Legacy Franchises activities in certain EMEA countries for all periods presented.
Asia Consumer operates in 13 countries and jurisdictions in Asia and EMEA and provides credit cards, consumer mortgages and small business and personal loans.
As shown in the chart above, the first quarter of 2022 net credit loss rate in Asia Consumer decreased quarter-over-quarter and year-over-year, driven by the impact of the charge-off of peak delinquent loans in recent quarters, resulting in lower delinquencies that led to lower net credit losses in the current quarter. The decrease was also driven by the reclassification of approximately $29 billion of loans ($20 billion of retail banking loans and $9 billion of credit card loan balances) to held-for-sale as a result of Citi’s agreements to sell its consumer banking businesses in Australia, the Philippines, Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (Asia HFS reclass).
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, mainly driven by the impact of the Asia HFS reclass and the charge-off of peak delinquencies in recent quarters, as elevated losses returned to pre-pandemic levels.
The performance of Asia Consumer’s portfolios continues to reflect the strong credit profiles in the region’s target customer segments. Regulatory changes in many markets in Asia over the past few years have also resulted in improved credit quality.
Mexico Consumer operates in Mexico through Citibanamex and provides credit cards, consumer mortgages and small business and personal loans. Mexico Consumer serves a more mass-market segment in Mexico and focuses on developing multiproduct relationships with customers.
As shown in the chart above, the net credit loss rate in Mexico Consumer for the first quarter of 2022 decreased quarter-over-quarter and year-over-year. The impact of charge-offs of delinquent loans in prior quarters resulted in lower delinquencies that led to lower net credit losses in the current quarter.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year. The impact of charge-offs of delinquent loans in prior quarters and higher payment rates resulted in a lower 90+ days past due delinquency rate in the current quarter.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see PBWM and Legacy Franchises results of operations above and Note 13.
U.S. Cards FICO Distribution
The following tables show the current FICO score distributions for Citi’s U.S. 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.
Branded Cards
| | | | | | | | | | | |
FICO distribution(1) | March 31, 2022 | December 31, 2021 | March 31, 2021 |
| > 760 | 48 | % | 49 | % | 46 | % |
| 680–760 | 39 | | 38 | | 40 | |
| < 680 | 13 | | 13 | | 14 | |
| Total | 100 | % | 100 | % | 100 | % |
Retail Services
| | | | | | | | | | | |
FICO distribution(1) | March 31, 2022 | December 31, 2021 | March 31, 2021 |
| > 760 | 27 | % | 28 | % | 26 | % |
| 680–760 | 44 | | 44 | | 45 | |
| < 680 | 29 | | 28 | | 29 | |
| Total | 100 | % | 100 | % | 100 | % |
(1) The FICO bands in the tables are consistent with general industry peer presentations.
The FICO distribution of both cards portfolios remained largely stable compared to the prior quarter and improved compared to the prior year, demonstrating strong underlying credit quality and a benefit from the impacts of government stimulus, unemployment benefits and customer relief programs, as well as lower credit utilization. See Note 13 for additional information on FICO scores.
Additional Consumer Credit Details
Consumer Loan Delinquencies Amounts and Ratios
| | | | | | | | | | | | | | | | | | | | | | | |
| | EOP loans(1) | 90+ days past due(2) | 30–89 days past due(2) |
In millions of dollars,
except EOP loan amounts in billions | March 31,
2022 | March 31,
2022 | December 31,
2021 | March 31,
2021 | March 31,
2022 | December 31,
2021 | March 31,
2021 |
Personal Banking and Wealth Management(3)(4)(5) | | | | | | | |
| Total | $ | 254.8 | | $ | 1,383 | | $ | 1,278 | | $ | 1,558 | | $ | 1,397 | | $ | 1,934 | | $ | 2,078 | |
| Ratio | | 0.54 | % | 0.50 | % | 0.64 | % | 0.55 | % | 0.75 | % | 0.86 | % |
U.S. Cards(4) | | | | | | | |
| Total | $ | 130.0 | | $ | 910 | | $ | 871 | | $ | 1,181 | | $ | 987 | | $ | 947 | | $ | 997 | |
| Ratio | | 0.70 | % | 0.65 | % | 0.98 | % | 0.76 | % | 0.71 | % | 0.82 | % |
| Branded cards | 85.9 | | 404 | | 389 | | 590 | | 425 | | 408 | | 484 | |
| Ratio | | 0.47 | % | 0.44 | % | 0.75 | % | 0.49 | % | 0.46 | % | 0.62 | % |
| Retail services | 44.1 | | 506 | | 482 | | 591 | | 562 | | 539 | | 513 | |
| Ratio | | 1.15 | % | 1.05 | % | 1.39 | % | 1.27 | % | 1.17 | % | 1.21 | % |
U.S. Retail Banking and Global Wealth Management(3)(5) | 124.8 | | $ | 473 | | $ | 407 | | $ | 377 | | $ | 410 | | $ | 987 | | $ | 1,081 | |
| Ratio | | 0.38 | % | 0.33 | % | 0.31 | % | 0.33 | % | 0.80 | % | 0.89 | % |
| Legacy Franchises | | | | | | | |
| Total | $ | 36.8 | | $ | 432 | | $ | 613 | | $ | 960 | | $ | 316 | | $ | 546 | | $ | 874 | |
| Ratio | | 1.19 | % | 1.06 | % | 1.31 | % | 0.87 | % | 0.94 | % | 1.20 | % |
Asia Consumer(6)(7) | 19.5 | | 54 | | 209 | | 368 | | 62 | | 285 | | 457 | |
| Ratio | | 0.28 | % | 0.51 | % | 0.68 | % | 0.32 | % | 0.69 | % | 0.85 | % |
| Mexico Consumer | 13.6 | | 180 | | 183 | | 315 | | 177 | | 173 | | 279 | |
| Ratio | | 1.32 | % | 1.38 | % | 2.35 | % | 1.30 | % | 1.30 | % | 2.08 | % |
Legacy Holdings Assets (consumer)(8) | 3.7 | | 198 | | 221 | | 277 | | 77 | | 88 | | 138 | |
| Ratio | | 6.00 | % | 6.31 | % | 4.86 | % | 2.33 | % | 2.51 | % | 2.42 | % |
Global Wealth Management classifiably managed loans(9) | $ | 58.7 | | N/A | N/A | N/A | N/A | N/A | N/A |
| Total Citigroup consumer | $ | 350.3 | | $ | 1,815 | | $ | 1,891 | | $ | 2,518 | | $ | 1,713 | | $ | 2,480 | | $ | 2,952 | |
| Ratio | | 0.63 | % | 0.60 | % | 0.80 | % | 0.59 | % | 0.79 | % | 0.94 | % |
(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)Excludes EOP classifiably managed Private bank loans. These loans are not included in the delinquency numerator, denominator and ratios.
(4)The 90+ days past due balances for Branded cards and Retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(5)The 90+ days past due and 30–89 days past due and related ratios forRetail banking exclude loans guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $161 million ($0.9 billion), $185 million ($1.1 billion) and $176 million ($0.7 billion) at March 31, 2022, December 31, 2021 and March 31, 2021, respectively. The amounts excluded for loans 30–89 days past due (the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $62 million, $74 million and $84 million at March 31, 2022, December 31, 2021 and March 31, 2021, respectively. The EOP loans in the table include the guaranteed loans.
(6)Asia Consumer includes delinquencies and loans in certain EMEAcountries for all periods presented.
(7)Citi recently entered into agreements to sell certain Asia consumer banking businesses. Accordingly, the loans of these businesses have been reclassified as HFS in Other assets on the Consolidated Balance Sheet and hence the loans and related delinquencies and ratios are not included in this table. The reclassifications commenced as follows: Australia (3Q21), the Philippines (4Q21) and Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (1Q22). See Note 2 for additional information.
(8)The 90+ days past due and 30–89 days past due and related ratios exclude U.S. mortgage loans that are primarily related to U.S. mortgages 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) were $124 million ($0.4 billion), $138 million ($0.4 billion) and $169 million ($0.4 billion) at March 31, 2022, December 31, 2021 and March 31, 2021, respectively. The amounts excluded for loans 30–89 days past due (the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $34 million, $35 million and $55 million at March 31, 2022, December 31, 2021 and March 31, 2021, respectively. The EOP loans in the table include the guaranteed loans.
(9)These loans are evaluated for non-accrual status and write-off based on their internal risk classification and not on their delinquency status.
N/A Not applicable
Consumer Loan Net Credit Losses and Ratios
| | | | | | | | | | | | | | |
| | Average loans(1) | Net credit losses(2) |
| In millions of dollars, except average loan amounts in billions | 1Q22 | 1Q22 | 4Q21 | 1Q21 |
Personal Banking and Wealth Management(2) | | | | |
| Total | $ | 312.0 | | $ | 691 | | $ | 568 | | $ | 990 | |
| Ratio | | 0.90 | % | 0.72 | % | 1.32 | % |
| U.S. Cards | | | | |
| Total | $ | 128.2 | | $ | 555 | | $ | 516 | | $ | 924 | |
| Ratio | | 1.76 | % | 1.60 | % | 3.06 | % |
| Branded cards | 84.0 | | 303 | | 284 | | 551 | |
| Ratio | | 1.46 | % | 1.33 | % | 2.84 | % |
| Retail services | 44.2 | | 252 | | 232 | | 373 | |
| Ratio | | 2.31 | % | 2.10 | % | 3.45 | % |
U.S. Retail banking and Global Wealth Management(2) | 183.8 | | 136 | | 52 | | 66 | |
| Ratio | | 0.30 | % | 0.11 | % | 0.15 | % |
| Legacy Franchises | | | | |
| Total | $ | 40.2 | | $ | 150 | | $ | 213 | | $ | 573 | |
| Ratio | | 1.51 | % | 1.43 | % | 3.09 | % |
Asia Consumer(3)(4) | 23.1 | | 45 | | 102 | | 226 | |
| Ratio | | 0.79 | % | 0.96 | % | 1.67 | % |
| Mexico Consumer | 13.1 | | 122 | | 130 | | 365 | |
| Ratio | | 3.78 | % | 3.97 | % | 10.65 | % |
| Legacy Holdings Assets (consumer) | 4.0 | | (17) | | (19) | | (18) | |
| Ratio | | (1.72) | % | (1.70) | % | (1.06) | % |
| Total Citigroup | $ | 352.2 | | $ | 841 | | $ | 781 | | $ | 1,563 | |
| Ratio | | 0.97 | % | 0.83 | % | 1.68 | % |
(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 Consumer includes NCLs and average loans in certain EMEA countries (Russia, Poland and UAE) for all periods presented.
(4)Citi recently entered into agreements to sell certain Asia consumer banking businesses, which have been reclassified as HFS. As a result, approximately $53 million and $1 million of related net credit losses (NCLs) was recorded as a reduction in revenue (Other revenue) in the first quarter of 2022 and fourth quarter of 2021, respectively. Accordingly, these NCLs are not included in this table. The reclassifications commenced as follows: Australia (3Q21), the Philippines (4Q21) and Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (1Q22). See Note 2 for additional information.
ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS
Loans Outstanding
| | | 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. | 1st Qtr. | | 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. | 1st Qtr. |
| In millions of dollars | In millions of dollars | 2021 | 2020 | In millions of dollars | 2022 | 2021 |
| Consumer loans | Consumer loans | | Consumer loans | |
In North America offices(1) | In North America offices(1) | | In North America offices(1) | |
Residential first mortgages(2) | Residential first mortgages(2) | $ | 45,739 | | $ | 47,778 | | $ | 48,370 | | $ | 48,167 | | $ | 47,260 | | Residential first mortgages(2) | $ | 84,569 | | $ | 83,361 | | $ | 83,593 | | $ | 83,227 | | $ | 82,645 | |
Home equity loans(2) | Home equity loans(2) | 6,638 | | 7,128 | | 7,625 | | 8,524 | | 8,936 | | Home equity loans(2) | 5,328 | | 5,745 | | 6,194 | | 6,892 | | 7,328 | |
| Credit cards | Credit cards | 121,048 | | 130,385 | | 125,485 | | 128,032 | | 137,316 | | Credit cards | 129,989 | | 133,868 | | 125,526 | | 124,823 | | 121,048 | |
| Personal, small business and other | Personal, small business and other | 4,600 | | 4,509 | | 4,689 | | 4,859 | | 3,675 | | Personal, small business and other | 41,297 | | 40,713 | | 39,909 | | 40,835 | | 39,748 | |
| Total | Total | $ | 178,025 | | $ | 189,800 | | $ | 186,169 | | $ | 189,582 | | $ | 197,187 | | Total | $ | 261,183 | | $ | 263,687 | | $ | 255,222 | | $ | 255,777 | | $ | 250,769 | |
In offices outside North America(1) | In offices outside North America(1) | | In offices outside North America(1) | |
Residential first mortgages(2) | $ | 39,833 | | $ | 39,969 | | $ | 38,507 | | $ | 37,194 | | $ | 35,744 | | |
Residential mortgages(2) | | Residential mortgages(2) | $ | 29,017 | | $ | 37,889 | | $ | 46,920 | | $ | 43,260 | | $ | 42,676 | |
| Credit cards | Credit cards | 21,137 | | 22,692 | | 21,108 | | 20,966 | | 21,801 | | Credit cards | 11,546 | | 17,808 | | 17,763 | | 20,776 | | 21,137 | |
| Personal, small business and other | Personal, small business and other | 35,039 | | 36,378 | | 34,241 | | 33,371 | | 33,698 | | Personal, small business and other | 48,582 | | 57,150 | | 49,387 | | 60,991 | | 60,950 | |
| Total | Total | $ | 96,009 | | $ | 99,039 | | $ | 93,856 | | $ | 91,531 | | $ | 91,243 | | Total | $ | 89,145 | | $ | 112,847 | | $ | 114,070 | | $ | 125,027 | | $ | 124,763 | |
Consumer loans, net of unearned income(3) | Consumer loans, net of unearned income(3) | $ | 274,034 | | $ | 288,839 | | $ | 280,025 | | $ | 281,113 | | $ | 288,430 | | Consumer loans, net of unearned income(3) | $ | 350,328 | | $ | 376,534 | | $ | 369,292 | | $ | 380,804 | | $ | 375,532 | |
| Corporate loans | Corporate loans | | Corporate loans | |
In North America offices(1) | In North America offices(1) | | In North America offices(1) | |
| Commercial and industrial | Commercial and industrial | $ | 55,497 | | $ | 57,731 | | $ | 59,921 | | $ | 70,755 | | $ | 81,231 | | Commercial and industrial | $ | 54,063 | | $ | 48,364 | | $ | 52,988 | | $ | 49,759 | | $ | 51,820 | |
| Financial institutions | Financial institutions | 57,009 | | 55,809 | | 52,884 | | 53,860 | | 60,653 | | Financial institutions | 47,930 | | 49,804�� | | 44,172 | | 46,369 | | 39,770 | |
Mortgage and real estate(2) | Mortgage and real estate(2) | 60,976 | | 60,675 | | 59,340 | | 57,821 | | 55,428 | | Mortgage and real estate(2) | 17,536 | | 15,965 | | 16,422 | | 15,801 | | 15,947 | |
| Installment and other | Installment and other | 29,186 | | 26,744 | | 26,858 | | 25,602 | | 30,591 | | Installment and other | 18,812 | | 20,143 | | 16,944 | | 16,985 | | 19,347 | |
| Lease financing | Lease financing | 539 | | 673 | | 704 | | 869 | | 988 | | Lease financing | 379 | | 415 | | 425 | | 547 | | 539 | |
| Total | Total | $ | 203,207 | | $ | 201,632 | | $ | 199,707 | | $ | 208,907 | | $ | 228,891 | | Total | $ | 138,720 | | $ | 134,691 | | $ | 130,951 | | $ | 129,461 | | $ | 127,423 | |
In offices outside North America(1) | In offices outside North America(1) | | In offices outside North America(1) | |
| Commercial and industrial | Commercial and industrial | $ | 102,666 | | $ | 104,072 | | $ | 108,551 | | $ | 115,471 | | $ | 121,703 | | Commercial and industrial | $ | 112,732 | | $ | 102,735 | | $ | 105,124 | | $ | 104,857 | | $ | 101,801 | |
| Financial institutions | Financial institutions | 34,729 | | 32,334 | | 32,583 | | 35,173 | | 37,003 | | Financial institutions | 27,657 | | 22,158 | | 25,013 | | 27,285 | | 26,099 | |
Mortgage and real estate(2) | Mortgage and real estate(2) | 11,166 | | 11,371 | | 10,424 | | 10,332 | | 9,639 | | Mortgage and real estate(2) | 4,705 | | 4,374 | | 4,749 | | 4,886 | | 5,167 | |
| Installment and other | Installment and other | 35,347 | | 33,759 | | 32,323 | | 30,678 | | 31,728 | | Installment and other | 21,275 | | 22,812 | | 25,277 | | 25,092 | | 25,127 | |
| Lease financing | Lease financing | 56 | | 65 | | 63 | | 66 | | 72 | | Lease financing | 47 | | 40 | | 47 | | 54 | | 56 | |
| Governments and official institutions | Governments and official institutions | 4,783 | | 3,811 | | 3,235 | | 3,552 | | 3,554 | | Governments and official institutions | 4,205 | | 4,423 | | 4,311 | | 4,395 | | 4,783 | |
| Total | Total | $ | 188,747 | | $ | 185,412 | | $ | 187,179 | | $ | 195,272 | | $ | 203,699 | | Total | $ | 170,621 | | $ | 156,542 | | $ | 164,521 | | $ | 166,569 | | $ | 163,033 | |
Corporate loans, net of unearned income(4) | Corporate loans, net of unearned income(4) | $ | 391,954 | | $ | 387,044 | | $ | 386,886 | | $ | 404,179 | | $ | 432,590 | | Corporate loans, net of unearned income(4) | $ | 309,341 | | $ | 291,233 | | $ | 295,472 | | $ | 296,030 | | $ | 290,456 | |
| Total loans—net of unearned income | Total loans—net of unearned income | $ | 665,988 | | $ | 675,883 | | $ | 666,911 | | $ | 685,292 | | $ | 721,020 | | Total loans—net of unearned income | $ | 659,669 | | $ | 667,767 | | $ | 664,764 | | $ | 676,834 | | $ | 665,988 | |
| Allowance for credit losses on loans (ACLL) | Allowance for credit losses on loans (ACLL) | (21,638) | | (24,956) | | (26,426) | | (26,420) | | (20,841) | | Allowance for credit losses on loans (ACLL) | (15,393) | | (16,455) | | (17,715) | | (19,238) | | (21,638) | |
| Total loans—net of unearned income and ACLL | Total loans—net of unearned income and ACLL | $ | 644,350 | | $ | 650,927 | | $ | 640,485 | | $ | 658,872 | | $ | 700,179 | | Total loans—net of unearned income and ACLL | $ | 644,276 | | $ | 651,312 | | $ | 647,049 | | $ | 657,596 | | $ | 644,350 | |
ACLL as a percentage of total loans—
net of unearned income(5) | ACLL as a percentage of total loans—
net of unearned income(5) | 3.29 | % | 3.73 | % | 4.00 | % | 3.87 | % | 2.84 | % | ACLL as a percentage of total loans—
net of unearned income(5) | 2.35 | % | 2.49 | % | 2.69 | % | 2.88 | % | 3.29 | % |
ACLL for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5) | ACLL for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5) | 6.41 | % | 6.77 | % | 6.96 | % | 6.93 | % | 5.87 | % | ACLL for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5) | 3.53 | % | 3.73 | % | 4.09 | % | 4.35 | % | 4.82 | % |
ACLL for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5) | ACLL for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5) | 1.06 | % | 1.42 | % | 1.82 | % | 1.71 | % | 0.81 | % | ACLL for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5) | 1.00 | % | 0.85 | % | 0.91 | % | 0.93 | % | 1.25 | % |
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.America. The classification of corporate loans between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Consumer loans are net of unearned income of $700$591 million, $749$629 million, $739$616 million, $734$633 million and $771$642 million at March 31, 2021,2022, December 31, 2020,2021, September 30, 2020,2021, June 30, 20202021 and March 31, 2020,2021, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(4)Corporate loans include private bankMexico SBMM loans and are net of unearned income of $(844)$(766) million, $(844)$(770) million, $(857)$(798) million, $(854)$(798) million and $(791)$(787) million at March 31, 2021,2022, December 31, 2020,2021, September 30, 2020,2021, June 30, 20202021 and March 31, 2020,2021, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
(5)Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.
Details of Credit Loss Experience
| | | | | | | | | | | | | | | | | |
| 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. | 1st Qtr. |
| In millions of dollars | 2021 | 2020 | 2020 | 2020 | 2020 |
| Allowance for credit losses on loans (ACLL) at beginning of period | $ | 24,956 | | $ | 26,426 | | $ | 26,298 | | $ | 20,380 | | $ | 12,783 | |
| Adjustment to opening balance: | | | | | |
Financial instruments—credit losses (CECL)(1) | — | | — | | — | | — | | 4,201 | |
Variable post-charge-off third-party collection costs(2) | — | | — | | — | | — | | (443) | |
| Adjusted ACLL at beginning of period | $ | 24,956 | | $ | 26,426 | | $ | 26,298 | | $ | 20,380 | | $ | 16,541 | |
| Provision for credit losses on loans (PCLL) | | | | | |
Consumer(2) | $ | (354) | | $ | 1,034 | | $ | 1,500 | | $ | 4,297 | | $ | 4,934 | |
| Corporate | (1,125) | | (1,410) | | 431 | | 3,693 | | 1,443 | |
| Total | $ | (1,479) | | $ | (376) | | $ | 1,931 | | $ | 7,990 | | $ | 6,377 | |
| Gross credit losses on loans | | | | | |
| Consumer | | | | | |
| In U.S. offices | $ | 1,247 | | $ | 1,130 | | $ | 1,479 | | $ | 1,675 | | $ | 1,763 | |
| In offices outside the U.S. | 758 | | 524 | | 537 | | 506 | | 577 | |
| Corporate | | | | | |
| In U.S. offices | 156 | | 159 | | 194 | | 177 | | 117 | |
| In offices outside the U.S. | 47 | | 76 | | 157 | | 170 | | 22 | |
| Total | $ | 2,208 | | $ | 1,889 | | $ | 2,367 | | $ | 2,528 | | $ | 2,479 | |
Credit recoveries on loans(2) | | | | | |
| Consumer | | | | | |
| In U.S. offices | $ | 316 | | $ | 270 | | $ | 304 | | $ | 235 | | $ | 274 | |
| In offices outside the U.S. | 127 | | 122 | | 118 | | 109 | | 134 | |
| Corporate | | | | | |
| In U.S. offices | 10 | | 16 | | 8 | | 12 | | 7 | |
| In offices outside the U.S. | 7 | | 9 | | 18 | | 11 | | 5 | |
| Total | $ | 460 | | $ | 417 | | $ | 448 | | $ | 367 | | $ | 420 | |
| Net credit losses on loans (NCLs) | | | | | |
| In U.S. offices | $ | 1,077 | | $ | 980 | | $ | 1,361 | | $ | 1,605 | | $ | 1,599 | |
| In offices outside the U.S. | 671 | | 492 | | 558 | | 556 | | 460 | |
| Total | $ | 1,748 | | $ | 1,472 | | $ | 1,919 | | $ | 2,161 | | $ | 2,059 | |
Other—net(3)(4)(5)(6)(7)(8) | $ | (91) | | $ | 378 | | $ | 116 | | $ | 89 | | $ | (479) | |
| Allowance for credit losses on loans (ACLL) at end of period | $ | 21,638 | | $ | 24,956 | | $ | 26,426 | | $ | 26,298 | | $ | 20,380 | |
ACLL as a percentage of EOP loans(9) | 3.29 | % | 3.73 | % | 4.00 | % | 3.87 | % | 2.84 | % |
Allowance for credit losses on unfunded lending commitments (ACLUC)(10)(11) | $ | 2,012 | | $ | 2,655 | | $ | 2,299 | | $ | 1,859 | | $ | 1,813 | |
| Total ACLL and ACLUC | $ | 23,650 | | $ | 27,611 | | $ | 28,725 | | $ | 28,157 | | $ | 22,193 | |
| Net consumer credit losses on loans | $ | 1,562 | | $ | 1,262 | | $ | 1,594 | | $ | 1,837 | | $ | 1,932 | |
| As a percentage of average consumer loans | 2.28 | % | 1.77 | % | 2.26 | % | 2.63 | % | 2.59 | % |
| Net corporate credit losses on loans | $ | 186 | | $ | 210 | | $ | 325 | | $ | 324 | | $ | 127 | |
| As a percentage of average corporate loans | 0.20 | % | 0.22 | % | 0.33 | % | 0.31 | % | 0.13 | % |
ACLL by type at end of period(12) | | | | | |
| Consumer | $ | 17,554 | | $ | 19,554 | | $ | 19,488 | | $ | 19,474 | | $ | 16,929 | |
| Corporate | 4,084 | | 5,402 | | 6,938 | | 6,824 | | 3,451 | |
| Total | $ | 21,638 | | $ | 24,956 | | $ | 26,426 | | $ | 26,298 | | $ | 20,380 | |
(1)On January 1, 2020, Citi adopted Accounting Standards Update (ASC) 326, Financial Instruments—Credit Losses (CECL). The ASU introduces a new credit loss methodology requiring earlier recognition of credit losses while also providing additional transparency about credit risk. On January 1, 2020, Citi recorded a $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the consumer allowance for credit losses due to longer estimated tenors for cards than under the incurred loss methodology under prior U.S. GAAP, net of recoveries; and (ii) a $(0.8) billion decrease to the corporate allowance for
51 | | | | | | | | | | | | | | | | | |
| 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. | 1st Qtr. |
| In millions of dollars | 2022 | 2021 | 2021 | 2021 | 2021 |
| Allowance for credit losses on loans (ACLL) at beginning of period | $ | 16,455 | | $ | 17,715 | | $ | 19,238 | | $ | 21,638 | | $ | 24,956 | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| Provision for credit losses on loans (PCLL) | | | | | |
Consumer(1) | $ | (372) | | $ | (202) | | $ | (180) | | $ | (340) | | $ | (437) | |
| Corporate | 632 | | (108) | | (8) | | (786) | | (1,042) | |
| Total | $ | 260 | | $ | (310) | | $ | (188) | | $ | (1,126) | | $ | (1,479) | |
| Gross credit losses on loans | | | | | |
| Consumer | | | | | |
| In U.S. offices | $ | 947 | | $ | 802 | | $ | 893 | | $ | 1,131 | | $ | 1,249 | |
| In offices outside the U.S. | 245 | | 360 | | 449 | | 576 | | 760 | |
| Corporate | | | | | |
| In U.S. offices | 29 | | 27 | | 17 | | 42 | | 153 | |
| In offices outside the U.S. | 19 | | 90 | | 30 | | 95 | | 46 | |
| Total | $ | 1,240 | | $ | 1,279 | | $ | 1,389 | | $ | 1,844 | | $ | 2,208 | |
Gross recoveries on loans(1) | | | | | |
| Consumer | | | | | |
| In U.S. offices | $ | 293 | | $ | 273 | | $ | 299 | | $ | 324 | | $ | 318 | |
| In offices outside the U.S. | 58 | | 108 | | 121 | | 140 | | 128 | |
| Corporate | | | | | |
| In U.S. offices | 13 | | 8 | | 5 | | 38 | | 8 | |
| In offices outside the U.S. | 4 | | 24 | | 3 | | 22 | | 6 | |
| Total | $ | 368 | | $ | 413 | | $ | 428 | | $ | 524 | | $ | 460 | |
| Net credit losses on loans (NCLs) | | | | | |
| In U.S. offices | $ | 670 | | $ | 548 | | $ | 606 | | $ | 811 | | $ | 1,076 | |
| In offices outside the U.S. | 202 | | 318 | | 355 | | 509 | | 672 | |
| Total | $ | 872 | | $ | 866 | | $ | 961 | | $ | 1,320 | | $ | 1,748 | |
Other—net(2)(3)(4)(5)(6)(7) | $ | (450) | | $ | (84) | | $ | (374) | | $ | 46 | | $ | (91) | |
| Allowance for credit losses on loans (ACLL) at end of period | $ | 15,393 | | $ | 16,455 | | $ | 17,715 | | $ | 19,238 | | $ | 21,638 | |
ACLL as a percentage of EOP loans(8) | 2.35 | % | 2.49 | % | 2.69 | % | 2.88 | % | 3.29 | % |
Allowance for credit losses on unfunded lending commitments (ACLUC)(9) | $ | 2,343 | | $ | 1,871 | | $ | 2,063 | | $ | 2,073 | | $ | 2,012 | |
| Total ACLL and ACLUC | $ | 17,736 | | $ | 18,326 | | $ | 19,778 | | $ | 21,311 | | $ | 23,650 | |
| Net consumer credit losses on loans | $ | 841 | | $ | 781 | | $ | 922 | | $ | 1,243 | | $ | 1,563 | |
| As a percentage of average consumer loans | 0.97 | % | 0.83 | % | 0.98 | % | 1.32 | % | 1.68 | % |
| Net corporate credit losses on loans | $ | 31 | | $ | 85 | | $ | 39 | | $ | 77 | | $ | 185 | |
| As a percentage of average corporate loans | 0.04 | % | 0.11 | % | 0.05 | % | 0.11 | % | 0.26 | % |
ACLL by type at end of period(10) | | | | | |
| Consumer | $ | 12,368 | | $ | 14,040 | | $ | 15,105 | | $ | 16,566 | | $ | 18,096 | |
| Corporate | 3,025 | | 2,415 | | 2,610 | | 2,672 | | 3,542 | |
| Total | $ | 15,393 | | $ | 16,455 | | $ | 17,715 | | $ | 19,238 | | $ | 21,638 | |
credit losses due to shorter remaining tenors, incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies. See Note 1 to the Consolidated Financial Statements for further discussion on the impact of Citi’s adoption of CECL.
(2)(1)Citi had a change in accounting related to its variable post-charge-off third-party collection costs that was recorded as an adjustment to its January 1, 2020 opening allowance for credit losses on loans of $443 million. See Note 1 to the Consolidated Financial Statements.1.
(3)(2)Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.
(3)The first quarter of 2022 includes an approximate $350 million reclass related to the announced sales of Citi’s consumer banking businesses in Thailand, India, Malaysia, Taiwan, Indonesia, Bahrain and Vietnam. The ACLL was reclassified to Other assets during 1Q22. 1Q22 consumer also includes a decrease of approximately $100 million related to FX translation.
(4)The fourth quarter of 2021 includes an approximate $90 million reclass related to the announced sale of Citi’s consumer banking operations in the Philippines. The ACLL was reclassified to Other assets during 4Q21. 4Q21 consumer also includes a decrease of approximately $6 million related to FX translation.
(5)The third quarter of 2021 includes an approximate $280 million reclass related to the announced sale of Citi’s consumer banking business in Australia. The ACLL was reclassified to Other assets during 3Q21. 3Q21 consumer also includes a decrease of approximately $93 million related to FX translation.
(6)The second quarter of 2021 includes an increase of approximately $62 million related to FX translation.
(7)The first quarter of 2021 includes a decrease of approximately $108 million related to FX translation.
(5)The fourth quarter of 2020 includes an increase of approximately $376 million related to FX translation.
(6)The third quarter of 2020 includes an increase of approximately $116 million related to FX translation.
(7)The second quarter of 2020 includes an increase of approximately $88 million related to FX translation.
(8)The first quarter of 2020 includes a decrease of approximately $483 million related to FX translation.
(9)March 31, 2021,2022, December 31, 2020,2021, September 30, 2020,2021, June 30, 20202021 and March 31, 2020,2021 exclude $7.5$5.7 billion, $6.9$6.1 billion, $5.5$7.2 billion, $5.8$7.7 billion and $4.0$7.5 billion, respectively, of loans that are carried at fair value.
(10)At June 30, 2020, the corporate ACLUC includes a non-provision transfer of $68 million, representing reserves on performance guarantees as of March 31, 2020. The reserves on these contracts have been reclassified out of the allowance for credit losses on unfunded lending commitments and into other liabilities as of June 30, 2020.
(11)(9)Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(12)(10)See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements.below. 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 Credit Losses on Loans (ACLL)
The following tables detail information on Citi’s ACLL, loans and coverage ratios:
| | | | | | | | | | | |
| | March 31, 2021 |
| In billions of dollars | ACLL | EOP loans, net of
unearned income | ACLL as a percentage of EOP loans(1) |
North America cards(2) | $ | 13.3 | | $ | 121.0 | | 11.0 | % |
North America mortgages(3) | 0.5 | | 52.4 | | 1.0 | |
North America other | 0.3 | | 4.6 | | 6.5 | |
| International cards | 1.8 | | 21.1 | | 8.5 | |
International other(4) | 1.6 | | 74.9 | | 2.1 | |
| Total consumer | $ | 17.5 | | $ | 274.0 | | 6.4 | % |
| Total corporate | 4.1 | | 392.0 | | 1.1 | |
| Total Citigroup | $ | 21.6 | | $ | 666.0 | | 3.3 | % |
| | | | | | | | | | | |
| | March 31, 2022 |
| In billions of dollars | ACLL | EOP loans, net of
unearned income | ACLL as a percentage of EOP loans(1) |
| Consumer | | | |
North America cards(2) | $ | 9.9 | | $ | 130.0 | | 7.6 | % |
| North America mortgages | 0.4 | | 89.9 | | 0.4 | |
| North America other | 0.4 | | 41.3 | | 1.0 | |
| International cards | 0.9 | | 11.5 | | 7.8 | |
International other(3) | 0.8 | | 77.6 | | 1.0 | |
| Total | $ | 12.4 | | $ | 350.3 | | 3.5 | % |
| Corporate | | | |
| Commercial and industrial | $ | 2.1 | | $ | 163.4 | | 1.3 | % |
| Financial institutions | 0.2 | | 75.3 | | 0.3 | |
| Mortgage and real estate | 0.3 | | 22.2 | | 1.4 | |
| Installment and other | 0.4 | | 42.8 | | 0.9 | |
| Total | $ | 3.0 | | $ | 303.7 | | 1.0 | % |
Loans at fair value(1) | N/A | $ | 5.7 | | N/A |
| Total Citigroup | $ | 15.4 | | $ | 659.7 | | 2.4 | % |
(1)Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)Includes both Citi-brandedBranded cards and Citi retailRetail services. The $13.3$9.9 billion of loan loss reserves represented approximately 4353 months of coincident net credit loss coverage. As of March 31, 2021, North America Citi-branded2022, Branded cards ACLL as a percentage of EOP loans was 9.8%6.6% and North America Citi retailRetail services ACLL as a percentage of EOP loans was 13.4%9.5%.
(3)Of the $0.5 billion, approximately $0.2 billion was allocated to North America mortgages in Corporate/Other, including approximately $0.4 billion and $0.1 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $52.4 billion in loans, approximately $50.6 billion and $1.8 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.
| | | | | | | | | | | |
| | December 31, 2020 |
| In billions of dollars | ACLL | EOP loans, net of
unearned income | ACLL as a percentage of EOP loans(1) |
North America cards(2) | $ | 14.7 | | $ | 130.4 | | 11.3 | % |
North America mortgages(3) | 0.7 | | 54.9 | | 1.3 | |
North America other | 0.3 | | 4.5 | | 6.7 | |
| International cards | 2.1 | | 22.7 | | 9.3 | |
International other(4) | 1.8 | | 76.3 | | 2.4 | |
| Total consumer | $ | 19.6 | | $ | 288.8 | | 6.8 | % |
| Total corporate | 5.4 | | 387.1 | | 1.4 | |
| Total Citigroup | $ | 25.0 | | $ | 675.9 | | 3.7 | % |
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| | December 31, 2021 |
| In billions of dollars | ACLL | EOP loans, net of
unearned income | ACLL as a percentage of EOP loans(1) |
| Consumer | | | |
North America cards(2) | $ | 10.8 | | $ | 133.9 | | 8.1 | % |
| North America mortgages | 0.5 | | 89.1 | | 0.6 | |
| North America other | 0.4 | | 40.7 | | 1.0 | |
| International cards | 1.2 | | 17.8 | | 6.7 | |
International other(3) | 1.2 | | 95.0 | | 1.3 | |
| Total | $ | 14.1 | | $ | 376.5 | | 3.7 | % |
| Corporate | | | |
| Commercial and industrial | $ | 1.6 | | $ | 147.0 | | 1.1 | % |
| Financial institutions | 0.3 | | 71.8 | | 0.4 | |
| Mortgage and real estate | 0.3 | | 20.3 | | 1.5 | |
| Installment and other | 0.2 | | 46.1 | | 0.4 | |
| Total | $ | 2.4 | | $ | 285.2 | | 0.8 | % |
Loans at fair value(1) | N/A | $ | 6.1 | | N/A |
| Total Citigroup | $ | 16.5 | | $ | 667.8 | | 2.5 | % |
(1)Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)Includes both Citi-brandedBranded cards and Citi retailRetail services. The $14.7$10.8 billion of loan loss reserves represented approximately 5363 months of coincident net credit loss coverage. As of December 31, 2020, North America Citi-branded2021, Branded cards ACLL as a percentage of EOP loans was 10.0%7.1% and North America Citi retailRetail services ACLL as a percentage of EOP loans was 13.6%10.0%.
(3)Of the $0.7 billion, approximately $0.3 billion was allocated to North America mortgages in Corporate/Other, including approximately $0.5 billion and $0.2 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $54.9 billion in loans, approximately $53.0 billion and $1.9 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.
N/A Not applicable
The following table details Citi’s corporate credit allowance for credit losses on loans (ACLL)ACLL by industry exposure:
| | | | | | | | | | | |
| March 31, 2021 |
| In millions of dollars, except percentages | Funded exposure(1) | ACLL(2)(3) | ACLL as a % of funded exposure |
| Transportation and industrials | $ | 55,775 | | $ | 1,075 | | 1.9 | % |
| Private bank | 78,556 | | 228 | | 0.3 | |
| Consumer retail | 33,415 | | 414 | | 1.2 | |
| Technology, media and telecom | 28,288 | | 275 | | 1.0 | |
| Real estate | 42,977 | | 594 | | 1.4 | |
| Power, chemicals, metals and mining | 20,148 | | 202 | | 1.0 | |
| Banks and finance companies | 32,581 | | 85 | | 0.3 | |
| Energy and commodities | 13,844 | | 446 | | 3.2 | |
| Health | 8,063 | | 102 | | 1.3 | |
| Public sector | 14,353 | | 229 | | 1.6 | |
| Insurance | 2,517 | | 9 | | 0.4 | |
| Asset managers and funds | 4,793 | | 21 | | 0.4 | |
| Financial markets infrastructure | 853 | | 1 | | 0.1 | |
| Securities firms | 227 | | 5 | | 2.2 | |
| Other industries | 2,570 | | 85 | | 3.3 | |
| Total | $ | 338,960 | | $ | 3,771 | | 1.1 | % |
| | | | | | | | | | | |
| March 31, 2022 |
| In millions of dollars, except percentages | Funded exposure(1) | ACLL | ACLL as a % of funded exposure |
| Transportation and industrials | $ | 54,122 | | $ | 629 | | 1.2 | % |
| Technology, media and telecom | 31,969 | | 181 | | 0.6 | |
| Consumer retail | 36,130 | | 437 | | 1.2 | |
| Real estate | 46,517 | | 411 | | 0.9 | |
| Power, chemicals, metals and mining | 21,787 | | 511 | | 2.3 | |
| Banks and finance companies | 39,791 | | 118 | | 0.3 | |
| Asset managers and funds | 25,160 | | 27 | | — | |
| Energy and commodities | 17,741 | | 272 | | 1.5 | |
| Health | 8,968 | | 76 | | 0.8 | |
| Insurance | 2,880 | | 8 | | 0.3 | |
| Public sector | 13,707 | | 133 | | 1.0 | |
| Financial markets infrastructure | 176 | | — | | — | |
| Securities firms | 520 | | 3 | | 0.6 | |
| Other industries | 2,714 | | 213 | | 7.8 | |
Total classifiably managed loans(2) | $ | 302,182 | | $ | 3,019 | | 1.0 | % |
Loans managed on a delinquency basis(3) | $ | 1,468 | | $ | 6 | | 0.4 | % |
| Total | $ | 303,650 | | $ | 3,025 | | 1.0 | % |
(1) Funded exposure excludes approximately $45.5 billion, primarily related to the delinquency-managed credit portfolio of the private bank, with an associated ACLL of $313 million and $7.5 billion of loans carried at fair value of $5.7 billion that are not subject to ACLL under the CECL standard.
(2) As of March 31, 2022, the ACLL shown above reflects coverage of 0.4% of funded investment-grade exposure and 3.0% of funded non-investment-grade exposure.
(3) Primarily associated with delinquency-managed loans including commercial credit cards and other loans at March 31, 2022.
The following table details Citi’s corporate credit ACLL by industry exposure:
| | | | | | | | | | | |
| |
| December 31, 2021 |
| In millions of dollars, except percentages | Funded exposure(1) | ACLL | ACLL as a % of funded exposure |
| Transportation and industrials | $ | 51,502 | | $ | 597 | | 1.2 | % |
| Technology, media and telecom | 28,542 | | 170 | | 0.6 | |
| Consumer retail | 32,894 | | 288 | | 0.9 | |
| Real estate | 46,220 | | 509 | | 1.1 | |
| Power, chemicals, metals and mining | 20,224 | | 151 | | 0.7 | |
| Banks and finance companies | 36,804 | | 197 | | 0.5 | |
| Asset managers and funds | 26,879 | | 34 | | 0.1 | |
| Energy and commodities | 13,485 | | 268 | | 2.0 | |
| Health | 8,826 | | 73 | | 0.8 | |
| Insurance | 3,162 | | 8 | | 0.3 | |
| Public sector | 12,464 | | 74 | | 0.6 | |
| Financial markets infrastructure | 109 | | — | | — | |
| Securities firms | 613 | | 10 | | 1.6 | |
| Other industries | 2,803 | | 28 | | 1.0 | |
Total classifiably managed loans(2) | $ | 284,527 | | $ | 2,407 | | 0.8 | % |
Loans managed on a delinquency basis(3) | $ | 636 | | $ | 8 | | 1.3 | % |
| Total | $ | 285,163 | | $ | 2,415 | | 0.8 | % |
(1) Funded exposure excludes loans carried at fair value of $6.1 billion that are not subject to ACLL under the CECL standard.
(2) As of December 31, 2021, the ACLL shown above reflects coverage of 0.3%0.7% of funded investment-grade exposure and 3.6%2.3% of funded non-investment-grade exposure.
(3) Excludes $313 million of ACLLPrimarily associated with delinquency-managed private bank exposuresloans including commercial credit cards and other loans at MarchDecember 31, 2021. Including those reserves and exposures, the total ACLL is 1.1% of total funded exposure, including 0.4% of funded investment-grade exposure and 3.6% of funded non-investment-grade exposure.
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 2020 Annual Report on2021 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.
| | | Mar. 31, | Dec. 31, | Sept. 30, | Jun. 30, | Mar. 31, | | Mar. 31, | Dec. 31, | Sept. 30, | Jun. 30, | Mar. 31, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | In millions of dollars | 2022 | 2021 |
Corporate non-accrual loans(1)(2) | | |
Corporate non-accrual loans by region(1)(2)(3) | | Corporate non-accrual loans by region(1)(2)(3) | |
| North America | North America | $ | 1,566 | | $ | 1,928 | | $ | 2,018 | | $ | 2,466 | | $ | 1,138 | | North America | $ | 462 | | $ | 510 | | $ | 923 | | $ | 895 | | $ | 1,211 | |
| EMEA | EMEA | 591 | | 661 | | 720 | | 812 | | 720 | | EMEA | 688 | | 367 | | 407 | | 447 | | 562 | |
| Latin America | Latin America | 739 | | 719 | | 609 | | 585 | | 447 | | Latin America | 631 | | 568 | | 679 | | 767 | | 739 | |
| Asia | Asia | 210 | | 219 | | 237 | | 153 | | 179 | | Asia | 85 | | 108 | | 110 | | 141 | | 204 | |
| Total corporate non-accrual loans | $ | 3,106 | | $ | 3,527 | | $ | 3,584 | | $ | 4,016 | | $ | 2,484 | | |
| Consumer non-accrual loans | | |
| North America | $ | 961 | | $ | 1,059 | | $ | 934 | | $ | 928 | | $ | 926 | | |
| Latin America | 720 | | 774 | | 493 | | 608 | | 489 | | |
Asia(3) | 303 | | 308 | | 263 | | 293 | | 284 | | |
| Total consumer non-accrual loans | $ | 1,984 | | $ | 2,141 | | $ | 1,690 | | $ | 1,829 | | $ | 1,699 | | |
| Total | | Total | $ | 1,866 | | $ | 1,553 | | $ | 2,119 | | $ | 2,250 | | $ | 2,716 | |
Corporate non-accrual loans(1)(2)(3) | | Corporate non-accrual loans(1)(2)(3) | |
| Banking | | Banking | $ | 1,323 | | $ | 1,239 | | $ | 1,739 | | $ | 1,852 | | $ | 2,362 | |
| Services | | Services | 297 | | 70 | | 74 | | 81 | | 84 | |
| Markets | | Markets | 13 | | 12 | | 13 | | 12 | | 20 | |
| Mexico SBMM | | Mexico SBMM | 233 | | 232 | | 293 | | 305 | | 250 | |
| Total | | Total | $ | 1,866 | | $ | 1,553 | | $ | 2,119 | | $ | 2,250 | | $ | 2,716 | |
Consumer non-accrual loans(1) | | Consumer non-accrual loans(1) | |
| Personal Banking and Global Wealth Management | | Personal Banking and Global Wealth Management | $ | 586 | | $ | 680 | | $ | 637 | | $ | 711 | | $ | 817 | |
Asia Consumer(4) | | Asia Consumer(4) | 38 | | 209 | | 259 | | 303 | | 292 | |
| Mexico Consumer | | Mexico Consumer | 512 | | 524 | | 549 | | 612 | | 720 | |
| Legacy Holdings Assets—Consumer | | Legacy Holdings Assets—Consumer | 381 | | 413 | | 425 | | 506 | | 545 | |
| Total | | Total | $ | 1,517 | | $ | 1,826 | | $ | 1,870 | | $ | 2,132 | | $ | 2,374 | |
| Total non-accrual loans | Total non-accrual loans | $ | 5,090 | | $ | 5,668 | | $ | 5,274 | | $ | 5,845 | | $ | 4,183 | | Total non-accrual loans | $ | 3,383 | | $ | 3,379 | | $ | 3,989 | | $ | 4,382 | | $ | 5,090 | |
(1)Corporate loans are placed on non-accrual status based upon a review by Citigroup’s risk officers. Corporate non-accrual loans may still be current on interest payments. With limited exceptions, the following practices are applied for consumer loans: consumer loans, excluding credit cards and mortgages, are placed on non-accrual status at 90 days past due, and are charged off at 120 days past due; residential mortgage loans are placed on non-accrual status at 90 days past due and written down to net realizable value at 180 days past due. Consistent with industry conventions, Citigroup generally accrues interest on credit card loans until such loans are charged off, which typically occurs at 180 days contractual delinquency. As such, the non-accrual loan disclosures do not include credit card loans. The balances above represent non-accrual loans within Consumer loans and Corporate loans on the Consolidated Balance Sheet. The increase in corporate non-accrual loans relates to Russia exposures, which are adequately reserved for.
(2)Approximately 51%66%, 59%56%, 58%58%, 63%55% and 45%54% of Citi’s corporate non-accrual loans were performing at March 31, 2021,2022, December 31, 2020,2021, September 30, 2020,2021, June 30, 20202021 and March 31, 2020,2021, respectively.
(2)(3)The March 31, 20212022 total corporate non-accrual loans represented 0.79%0.60% of total corporate loans.
(3) (4) Asia GCBConsumer includes balances in certain EMEAEMEA countries for all periods presented.
The changes in Citigroup’s non-accrual loans were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Three Months Ended | Three Months Ended |
| March 31, 2021 | March 31, 2020 |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Non-accrual loans at beginning of period | $ | 3,527 | | $ | 2,141 | | $ | 5,668 | | $ | 2,188 | | $ | 1,816 | | $ | 4,004 | |
| Additions | 491 | | 682 | | 1,173 | | 816 | | 952 | | 1,768 | |
| Sales and transfers to HFS | (1) | | (58) | | (59) | | (1) | | (20) | | (21) | |
| Returned to performing | (46) | | (189) | | (235) | | (48) | | (91) | | (139) | |
| Paydowns/settlements | (773) | | (120) | | (893) | | (354) | | (324) | | (678) | |
| Charge-offs | (75) | | (445) | | (520) | | (91) | | (327) | | (418) | |
| Other | (17) | | (27) | | (44) | | (26) | | (307) | | (333) | |
| Ending balance | $ | 3,106 | | $ | 1,984 | | $ | 5,090 | | $ | 2,484 | | $ | 1,699 | | $ | 4,183 | |
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| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Non-accrual loans at beginning of quarter | $ | 1,553 | | $ | 1,826 | | $ | 3,379 | | $ | 3,046 | | $ | 2,621 | | $ | 5,667 | |
| Additions | 820 | | 299 | | 1,119 | | 475 | | 698 | | 1,173 | |
| Sales and transfers to HFS | (1) | | (188) | | (189) | | (56) | | (58) | | (114) | |
| Returned to performing | (133) | | (179) | | (312) | | — | | (235) | | (235) | |
| Paydowns/settlements | (323) | | (96) | | (419) | | (549) | | (174) | | (723) | |
| Charge-offs | (49) | | (155) | | (204) | | (189) | | (449) | | (638) | |
| Other | (1) | | 10 | | 9 | | (11) | | (29) | | (40) | |
| Ending balance | $ | 1,866 | | $ | 1,517 | | $ | 3,383 | | $ | 2,716 | | $ | 2,374 | | $ | 5,090 | |
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The table below summarizes Citigroup’s other real estate owned (OREO) assets. OREO is recorded on the Consolidated Balance Sheet within Other assets. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:
| | | | | | | | | | | | | | | | | |
| Mar. 31, | Dec. 31, | Sept. 30, | Jun. 30, | Mar. 31, |
| In millions of dollars | 2021 | 2020 | 2020 | 2020 | 2020 |
| OREO | | | | | |
| North America | $ | 14 | | $ | 19 | | $ | 22 | | $ | 32 | | $ | 35 | |
| EMEA | — | | — | | — | | — | | 1 | |
| Latin America | 10 | | 7 | | 8 | | 6 | | 6 | |
| Asia | 19 | | 17 | | 12 | | 6 | | 8 | |
| Total OREO | $ | 43 | | $ | 43 | | $ | 42 | | $ | 44 | | $ | 50 | |
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| Non-accrual assets | | | | | |
| Corporate non-accrual loans | $ | 3,106 | | $ | 3,527 | | $ | 3,584 | | $ | 4,016 | | $ | 2,484 | |
| Consumer non-accrual loans | 1,984 | | 2,141 | | 1,690 | | 1,829 | | 1,699 | |
| Non-accrual loans (NAL) | $ | 5,090 | | $ | 5,668 | | $ | 5,274 | | $ | 5,845 | | $ | 4,183 | |
| OREO | $ | 43 | | $ | 43 | | $ | 42 | | $ | 44 | | $ | 50 | |
| Non-accrual assets (NAA) | $ | 5,133 | | $ | 5,711 | | $ | 5,316 | | $ | 5,889 | | $ | 4,233 | |
| NAL as a percentage of total loans | 0.76 | % | 0.84 | % | 0.79 | % | 0.85 | % | 0.58 | % |
| NAA as a percentage of total assets | 0.22 | | 0.25 | | 0.24 | | 0.26 | | 0.19 | |
ACLL as a percentage of NAL(1) | 425 | % | 440 | % | 501 | % | 450 | % | 487 | % |
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| Mar. 31, | Dec. 31, | Sept. 30, | Jun. 30, | Mar. 31, |
| In millions of dollars | 2022 | 2021 | 2021 | 2021 | 2021 |
| OREO | | | | | |
| North America | $ | 14 | | $ | 15 | | $ | 10 | | $ | 12 | | $ | 14 | |
| EMEA | — | | — | | — | | — | | — | |
| Latin America | 7 | | 8 | | 10 | | 11 | | 10 | |
| Asia | 5 | | 4 | | 1 | | 10 | | 19 | |
| Total OREO | $ | 26 | | $ | 27 | | $ | 21 | | $ | 33 | | $ | 43 | |
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| Non-accrual assets | | | | | |
| Corporate non-accrual loans | $ | 1,866 | | $ | 1,553 | | $ | 2,119 | | $ | 2,250 | | $ | 2,716 | |
| Consumer non-accrual loans | 1,517 | | 1,826 | | 1,870 | | 2,132 | | 2,374 | |
| Non-accrual loans (NAL) | $ | 3,383 | | $ | 3,379 | | $ | 3,989 | | $ | 4,382 | | $ | 5,090 | |
| OREO | $ | 26 | | $ | 27 | | $ | 21 | | $ | 33 | | $ | 43 | |
| Non-accrual assets (NAA) | $ | 3,409 | | $ | 3,406 | | $ | 4,010 | | $ | 4,415 | | $ | 5,133 | |
| NAL as a percentage of total loans | 0.51 | % | 0.51 | % | 0.60 | % | 0.65 | % | 0.76 | % |
| NAA as a percentage of total assets | 0.14 | | 0.15 | | 0.17 | | 0.19 | | 0.22 | |
ACLL as a percentage of NAL(1) | 455 | % | 487 | % | 444 | % | 439 | % | 425 | % |
(1)The ACLL includes the allowance for Citi’s credit card portfolios and purchased distressedcredit-deteriorated loans, while the non-accrual loans exclude credit card balances (with the exception of certain international portfolios).
Renegotiated Loans
The following table presents Citi’s loans modified in TDRs:
| | | | | | | | |
| In millions of dollars | Mar. 31, 2021 | Dec. 31, 2020 |
Corporate renegotiated loans(1) | | |
| In U.S. offices | | |
Commercial and industrial(2) | $ | 175 | | $ | 193 | |
| Mortgage and real estate | 56 | | 60 | |
| Financial institutions | — | | — | |
| Other | 31 | | 30 | |
| Total | $ | 262 | | $ | 283 | |
| In offices outside the U.S. | | |
Commercial and industrial(2) | $ | 108 | | $ | 132 | |
| Mortgage and real estate | 27 | | 32 | |
| Financial institutions | — | | — | |
| Other | 4 | | 3 | |
| Total | $ | 139 | | $ | 167 | |
| Total corporate renegotiated loans | $ | 401 | | $ | 450 | |
Consumer renegotiated loans(3) | | |
| In U.S. offices | | |
| Mortgage and real estate | $ | 1,808 | | $ | 1,904 | |
| Cards | 1,483 | | 1,449 | |
| Installment and other | 34 | | 33 | |
| Total | $ | 3,325 | | $ | 3,386 | |
| In offices outside the U.S. | | |
| Mortgage and real estate | $ | 357 | | $ | 361 | |
| Cards | 509 | | 533 | |
| Installment and other | 542 | | 519 | |
| Total | $ | 1,408 | | $ | 1,413 | |
| Total consumer renegotiated loans | $ | 4,733 | | $ | 4,799 | |
| | | | | | | | |
| In millions of dollars | Mar. 31, 2022 | Dec. 31, 2021 |
Corporate renegotiated loans(1) | | |
| In U.S. offices | | |
Commercial and industrial(2) | $ | 96 | | $ | 103 | |
| Mortgage and real estate | 1 | | 2 | |
| Financial institutions | — | | — | |
| Other | 19 | | 20 | |
| Total | $ | 116 | | $ | 125 | |
| In offices outside the U.S. | | |
Commercial and industrial(2) | $ | 109 | | $ | 133 | |
| Mortgage and real estate | 19 | | 18 | |
| Financial institutions | — | | — | |
| Other | 4 | | 8 | |
| Total | $ | 132 | | $ | 159 | |
| Total corporate renegotiated loans | $ | 248 | | $ | 284 | |
Consumer renegotiated loans(3) | | |
| In U.S. offices | | |
| Mortgage and real estate | $ | 1,509 | | $ | 1,484 | |
| Cards | 1,213 | | 1,269 | |
| Installment and other | 23 | | 26 | |
| Total | $ | 2,745 | | $ | 2,779 | |
| In offices outside the U.S. | | |
| Mortgage and real estate | $ | 164 | | $ | 227 | |
| Cards | 76 | | 313 | |
| Installment and other | 109 | | 428 | |
| Total | $ | 349 | | $ | 968 | |
| Total consumer renegotiated loans | $ | 3,094 | | $ | 3,747 | |
(1)Includes $372$204 million and $415$284 million of non-accrual loans included in the non-accrual loans table above at March 31, 20212022 and December 31, 2020,2021, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at March 31, 20212022 and December 31, 2020,2021, Citi also modified none and $47 million, respectively, of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices outside the U.S. Thesemay have modifications that were not considered TDRs because the modifications did not involve a concession or because the modificationsthey qualified for exemptions from TDR accounting provided by the CARES Act or Interagency Guidance.the interagency guidance.
(3)Includes $864$586 million and $873$664 million of non-accrual loans included in the non-accrual loans table above at March 31, 20212022 and December 31, 2020,2021, respectively. The remaining loans were accruing interest.
LIQUIDITY RISK
For additional information on funding and liquidity at Citigroup,Citi, including its objectives, management and measurement, see “Liquidity Risk” and “Risk Factors—Liquidity Risks” in Citi’s 2020 Annual Report on2021 Form 10-K.
High-Quality Liquid Assets (HQLA)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Citibank | Citi non-bank and other entities | Total |
| In billions of dollars | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 |
| Available cash | $ | 276.6 | | $ | 304.3 | | $ | 170.9 | | $ | 3.0 | | $ | 2.1 | | $ | 3.1 | | $ | 279.6 | | $ | 306.4 | | $ | 174.0 | |
| U.S. sovereign | 85.0 | | 77.8 | | 92.1 | | 67.7 | | 64.8 | | 34.7 | | 152.7 | | 142.6 | | 126.8 | |
| U.S. agency/agency MBS | 37.0 | | 31.8 | | 52.4 | | 6.3 | | 6.5 | | 7.2 | | 43.3 | | 38.3 | | 59.6 | |
Foreign government debt(1) | 43.6 | | 39.6 | | 66.3 | | 13.7 | | 16.2 | | 12.7 | | 57.3 | | 55.8 | | 78.9 | |
| Other investment grade | 1.4 | | 1.2 | | 1.5 | | 0.6 | | 0.5 | | 1.1 | | 2.0 | | 1.7 | | 2.7 | |
| Total HQLA (AVG) | $ | 443.6 | | $ | 454.7 | | $ | 383.2 | | $ | 91.3 | | $ | 90.1 | | $ | 58.8 | | $ | 534.8 | | $ | 544.8 | | $ | 442.0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Citibank | Citi non-bank and other entities | Total |
| In billions of dollars | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 |
| Available cash | $ | 214.9 | | $ | 253.6 | | $ | 276.6 | | $ | 2.2 | | $ | 2.6 | | $ | 3.0 | | $ | 217.1 | | $ | 256.2 | | $ | 279.6 | |
| U.S. sovereign | 139.7 | | 119.6 | | 85.0 | | 57.5 | | 63.1 | | 67.7 | | 197.2 | | 182.7 | | 152.7 | |
| U.S. agency/agency MBS | 49.8 | | 45.0 | | 37.0 | | 5.2 | | 5.7 | | 6.3 | | 55.0 | | 50.7 | | 43.3 | |
Foreign government debt(1) | 53.8 | | 48.9 | | 43.6 | | 13.8 | | 13.6 | | 13.7 | | 67.6 | | 62.5 | | 57.3 | |
| Other investment grade | 1.9 | | 1.6 | | 1.4 | | 1.4 | | 0.8 | | 0.6 | | 3.3 | | 2.4 | | 2.0 | |
| Total HQLA (AVG) | $ | 460.1 | | $ | 468.7 | | $ | 443.6 | | $ | 80.1 | | $ | 85.8 | | $ | 91.3 | | $ | 540.2 | | $ | 554.5 | | $ | 534.8 | |
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 applicable under the U.S. LCR rule. 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 Japan, Mexico, Hong Kong, South Korea and India.
The table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the calculation of Citigroup’s consolidated Liquidity Coverage ratio (LCR)(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 average HQLA for the first quarter of 2022 decreased quarter-over-quarter, primarily reflecting a decreasereduction in cash as Citi optimized its overall HQLA and deployed liquidity.average deposits, partially offset by an increase in unsecured benchmark senior debt.
As of March 31, 2021,2022, Citigroup had approximately $957$965 billion of available liquidity resources to support client and business needs, including end-of-period HQLA assets; additional unencumbered securities, including excess liquidity held at bank entities that is non-transferable to other entities within Citigroup; and available assets not already accounted for within Citi’s HQLA to support Federal Home Loan Bank (FHLB) and Federal Reserve Bank discount window borrowing capacity.
Short-Term Liquidity Measurement: Liquidity Coverage Ratio (LCR)
In addition to internal 30-day liquidity stress testing performed for Citi’s major entities, operating subsidiaries and countries, Citi also monitors its liquidity by reference to the LCR. The table below details the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:
| | | | | | | | | | | |
| In billions of dollars | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 |
| HQLA | $ | 534.8 | | $ | 544.8 | | $ | 442.0 | |
| Net outflows | 463.7 | | 460.7 | | 385.8 | |
| LCR | 115 | % | 118 | % | 115 | % |
| HQLA in excess of net outflows | $ | 71.1 | | $ | 84.1 | | $ | 56.2 | |
| | | | | | | | | | | |
| In billions of dollars | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 |
| HQLA | $ | 540.2 | | $ | 554.5 | | $ | 534.8 | |
| Net outflows | 466.2 | | 482.9 | | 463.7 | |
| LCR | 116 | % | 115 | % | 115 | % |
| HQLA in excess of net outflows | $ | 74.0 | | $ | 71.6 | | $ | 71.1 | |
Note: The amounts are presented on an average basis.
As of March 31, 2021,2022, Citigroup’s average LCR decreasedincreased from the fourth quarter of 2020.ended December 31, 2021. The decreaseincrease was primarily driven by Citi’s deploying liquidity and optimizing its overalla reduction in non-operational deposit outflows, partially offset by a decrease in average HQLA.
Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR)
As previously disclosed, in October 2020, the U.S. banking agencies adopted a final rule to assess the availability of a bank’s stable funding against a required level.
In general, a bank’s available stable funding will include portions of equity, deposits and long-term debt, while its required stable funding will be based on the liquidity characteristics of its assets, derivatives and commitments. The ratio of available stable funding to required stable funding will be required to be greater than 100%.
The final rule becomesbecame effective beginning July 1, 2021, while public disclosure requirements to report the ratio will occur on a semi-annualsemiannual basis beginning June 30, 2023. Citi expects to bewas in compliance with the final rule upon its effective date.as of March 31, 2022.
Loans
The table below details the average loans, by business and/or segment, and the total Citigroup end-of-period loans for each of the periods indicated:
| | | | | | | | | | | |
| In billions of dollars | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 |
| Global Consumer Banking | | | |
| North America | $ | 174.4 | | $ | 179.4 | | $ | 193.3 | |
| Latin America | 13.9 | | 14.3 | | 16.7 | |
Asia(1) | 83.4 | | 82.4 | | 80.3 | |
| Total | $ | 271.7 | | $ | 276.1 | | $ | 290.3 | |
| Institutional Clients Group | | | |
| Corporate lending | $ | 138.0 | | $ | 146.2 | | $ | 159.9 | |
| Treasury and trade solutions (TTS) | 67.9 | | 67.1 | | 73.1 | |
| Private bank | 119.8 | | 113.3 | | 109.9 | |
Markets and securities services and other | 61.7 | | 56.1 | | 52.1 | |
| Total | $ | 387.4 | | $ | 382.7 | | $ | 395.0 | |
Total Corporate/Other | $ | 6.9 | | $ | 7.4 | | $ | 9.4 | |
| Total Citigroup loans (AVG) | $ | 666.0 | | $ | 666.2 | | $ | 694.7 | |
| Total Citigroup loans (EOP) | $ | 666.0 | | $ | 676.1 | | $ | 721.0 | |
| | | | | | | | | | | |
| In billions of dollars | 1Q22 | 4Q21 | 1Q21 |
| Personal Banking and Wealth Management | | | |
| U.S. Retail banking | $ | 33 | | $ | 34 | | $ | 36 | |
| U.S. Cards | 128 | | 128 | | 123 | |
| Global Wealth Management | 151 | | 150 | | 144 | |
| Total | $ | 312 | | $ | 312 | | $ | 303 | |
| Institutional Clients Group | | | |
| Services | $ | 81 | | $ | 77 | | $ | 70 | |
| Banking | 194 | | 195 | | 197 | |
| Markets | 14 | | 17 | | 14 | |
| Total | $ | 289 | | $ | 289 | | $ | 281 | |
Total Legacy Franchises(1) | $ | 48 | | $ | 66 | | $ | 82 | |
| Total Citigroup loans (AVG) | $ | 649 | | $ | 667 | | $ | 666 | |
| Total Citigroup loans (EOP) | $ | 660 | | $ | 668 | | $ | 666 | |
(1)Includes loansSee footnote 2 to the table in certain EMEA countries for all periods presented.“Credit Risk—Consumer Credit—Consumer Credit Portfolio” above.
End-of-period loans declined 8%decreased 1% year-over-year and 1% quarter-over-quarter.sequentially.
On an average basis, loans declined 4%3% both year-over-year and were unchanged sequentially. Excludingsequentially, driven by lower loans in Legacy Franchises, primarily reflecting the impact of FX translation,held-for-sale accounting as a result of the entry into sale agreements for consumer franchises in Asia and EMEA. PBWM average loans declined 5%increased 3% year-over-year, and 1% sequentially. On this basis, average GCB loans declined 8% year-over-year, primarily reflecting higher payment rates given high levels of liquidity due to U.S. fiscal stimulus and the impact of lower customer spending, primarily in Citi’s cards businesses in Asia and Mexico.
Excluding the impact of FX translation, average ICG loans declined 3% year-over-year. Loans in corporate lending declined 15% on an average basis, reflecting net repayments as Citi continued to assist its clients in accessing the capital markets, as well as lower demand. Private bank loans
increased 8%, largely driven by secured lending to high-net-worth clients,in the Private bank, including residential real estate lending. TTSICG average loans decreased 8%, reflecting weaknessincreased 3% year-over-year as a result of growth in underlying trade flows and the continued low level of spend in commercial cards driven by the impact of the pandemic.
Average Corporate/Other loans continued to decline (down 32%), driven by the wind-down of legacy assets.within TTS.
Deposits
The table below details the average deposits, by business and/or segment, and the total Citigroup end-of-period deposits for each of the periods indicated:
| | | | | | | | | | | |
| In billions of dollars | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 |
Global Consumer Banking(1) | | | |
| North America | $ | 197.0 | | $ | 188.9 | | $ | 161.3 | |
| Latin America | 24.5 | | 24.3 | | 22.9 | |
Asia(2) | 123.8 | | 120.0 | | 105.9 | |
| Total | $ | 345.3 | | $ | 333.2 | | $ | 290.1 | |
| Institutional Clients Group | | | |
| Treasury and trade solutions (TTS) | $ | 661.4 | | $ | 686.5 | | $ | 571.3 | |
Banking ex-TTS | 165.6 | | 163.2 | | 140.1 | |
| Markets and securities services | 120.2 | | 109.3 | | 100.1 | |
| Total | $ | 947.3 | | $ | 959.0 | | $ | 811.5 | |
| Corporate/Other | $ | 11.4 | | $ | 13.1 | | $ | 12.9 | |
| Total Citigroup deposits (AVG) | $ | 1,304.0 | | $ | 1,305.3 | | $ | 1,114.5 | |
| Total Citigroup deposits (EOP) | $ | 1,301.0 | | $ | 1,280.7 | | $ | 1,184.9 | |
| | | | | | | | | | | |
| In billions of dollars | 1Q22 | 4Q21 | 1Q21 |
| Personal Banking and Wealth Management | | | |
| U.S. Personal Banking | $ | 118 | | $ | 114 | | $ | 108 | |
| Global Wealth Management | 329 | | 323 | | 289 | |
| Total | $ | 447 | | $ | 437 | | $ | 397 | |
| Institutional Clients Group | | | |
| TTS | $ | 664 | | $ | 684 | | $ | 653 | |
| Securities services | 135 | | 140 | | 128 | |
| Markets | 27 | | 28 | | 28 | |
| Total | $ | 826 | | $ | 852 | | $ | 809 | |
Legacy Franchises(1) | $ | 55 | | $ | 74 | | $ | 87 | |
| Corporate/Other | $ | 6 | | $ | 7 | | $ | 11 | |
| Total Citigroup deposits (AVG) | $ | 1,334 | | $ | 1,370 | | $ | 1,304 | |
| Total Citigroup deposits (EOP) | $ | 1,334 | | $ | 1,317 | | $ | 1,301 | |
(1)Reflects deposits within retail banking.
(2)Includes depositsSee footnote 2 to the table in certain EMEA countriesfor all periods presented.“Credit Risk—Consumer Credit—Consumer Credit Portfolio” above.
End-of-period deposits increased 10%3% year-over-year and 2%1% sequentially.
On an average basis, deposits increased 17%2% year-over-year and were largely unchanged sequentially. Excluding the impact of FX translation, average deposits grew 15% from the prior-year period and declined 1%3% sequentially. The year-over-year increase in average deposits reflected continued client engagement as well as thea continuation of elevated levellevels of liquidity in the financial system. On this basis, averagesystem as well as client engagement, partially offset by the impact of held-for-
sale accounting as a result of the entry into sale agreements for
consumer franchises in Asia and EMEA. Average deposits in GCBPBWM increased 18%13%, with strongled by growth across all regions.
Excludingin the impact of FX translation, average deposits inPrivate bank. ICG average deposits grew 15%2% year-over-year, primarily driven by growth inan increase across both TTS as well as continued growth in the private bank and securitiesSecurities services.
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 8.98.5 years as of March 31, 2021,2022, compared to 9.08.9 years as of the prior year and 8.6 years as of the prior quarter. The weighted-average maturity is calculated based on the contractual maturity of each security. For securities that are redeemable prior to maturity at the option of the holder, the weighted-average maturity is calculated based on the earliest date an option becomes exercisable.
Citi’s long-term debt outstanding at the Citigroup parent company includes benchmark senior and subordinated debt and 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 bank notes, FHLB advances and securitizations.
Long-Term Debt Outstanding
The following table sets forth Citi’s end-of-period total long-term debt outstanding for each of the dates indicated:
| | | | | | | | | | | |
| In billions of dollars | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 |
Non-bank(1) | | | |
| Benchmark debt: | | | |
| Senior debt | $ | 120.1 | | $ | 126.2 | | $ | 115.5 | |
| Subordinated debt | 25.9 | | 27.1 | | 27.5 | |
| Trust preferred | 1.7 | | 1.7 | | 1.7 | |
| Customer-related debt | 66.2 | | 65.2 | | 51.7 | |
Local country and other(2) | 5.9 | | 6.7 | | 7.3 | |
| Total non-bank | $ | 219.8 | | $ | 226.9 | | $ | 203.7 | |
| Bank | | | |
| FHLB borrowings | $ | 10.9 | | $ | 10.9 | | $ | 16.0 | |
Securitizations(3) | 12.8 | | 16.6 | | 20.8 | |
| Citibank benchmark senior debt | 9.2 | | 13.6 | | 22.2 | |
Local country and other(2) | 3.6 | | 3.7 | | 3.4 | |
| Total bank | $ | 36.5 | | $ | 44.8 | | $ | 62.4 | |
| Total long-term debt | $ | 256.3 | | $ | 271.7 | | $ | 266.1 | |
| | | | | | | | | | | |
| In billions of dollars | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 |
Non-bank(1) | | | |
| Benchmark debt: | | | |
| Senior debt | $ | 122.2 | | $ | 117.8 | | $ | 120.1 | |
| Subordinated debt | 24.7 | | 25.7 | | 25.9 | |
| Trust preferred | 1.6 | | 1.7 | | 1.7 | |
| Customer-related debt | 78.4 | | 78.3 | | 66.2 | |
Local country and other(2) | 7.8 | | 7.3 | | 5.9 | |
| Total non-bank | $ | 234.7 | | $ | 230.8 | | $ | 219.8 | |
| Bank | | | |
| FHLB borrowings | $ | 1.0 | | $ | 5.3 | | $ | 10.9 | |
Securitizations(3) | 9.5 | | 9.6 | | 12.8 | |
| Citibank benchmark senior debt | 3.5 | | 3.6 | | 9.2 | |
Local country and other(2) | 5.3 | | 5.1 | | 3.6 | |
| Total bank | $ | 19.3 | | $ | 23.6 | | $ | 36.5 | |
| Total long-term debt | $ | 254.0 | | $ | 254.4 | | $ | 256.3 | |
Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet that, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
(1)Non-bank includes long-term debt issued to third parties by the parent holding company (Citigroup) and Citi’s non-bank subsidiaries (including broker-dealer subsidiaries) that are consolidated into Citigroup. As of March 31, 2021,2022, non-bank included $55.7$64.5 billion of long-term debt issued by Citi’s broker-dealer and other subsidiaries as well as certainthat are consolidated into Citigroup Inc., the parent holding company. Certain Citigroup consolidated hedging activities.activities are also included in this line.
(2)Local country and other includes debt issued by Citi’s affiliates in support of their local operations. Within non-bank, certain secured financing is also included.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit cardBranded cards receivables.
Citi’s total long-term debt outstanding decreasedwas largely unchanged year-over-year, primarily driven byas declines in FHLB borrowings and unsecured benchmark senior debt FHLB borrowings and securitizations at the bank partiallywere offset by the issuance of unsecured benchmark senior debt and customer-related debt at the non-bank entities. Sequentially, long-term debt outstanding decreased, driven primarilywas largely unchanged as decreases in FHLB borrowings at the bank were mostly offset by declinesan increase in unsecured benchmark senior debt at the non-bank entities, as well as declines in unsecured benchmark senior debt and securitizations at the bank.entities.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to redeem or repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such redemptions and repurchases help reduce Citi’s overall funding costs. During the first quarter of 2021,2022, Citi redeemed or repurchased an aggregate of approximately $10.7$5.7 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:
| | | | | | | | | | | | | | | | | | | | |
| | 1Q21 | 4Q20 | 1Q20 |
| In billions of dollars | Maturities | Issuances | Maturities | Issuances | Maturities | Issuances |
| Non-bank | | | | | | |
| Benchmark debt: | | | | | | |
| Senior debt | $ | 4.3 | | $ | 2.5 | | $ | 3.0 | | $ | 2.5 | | $ | 2.1 | | $ | 7.6 | |
| Subordinated debt | — | | — | | — | | — | | — | | — | |
| Trust preferred | — | | — | | — | | — | | — | | — | |
| Customer-related debt | 8.6 | | 12.2 | | 6.3 | | 7.4 | | 6.4 | | 7.9 | |
| Local country and other | 1.4 | | 0.5 | | 1.6 | | 0.2 | | 0.4 | | 0.2 | |
| Total non-bank | $ | 14.3 | | $ | 15.2 | | $ | 10.9 | | $ | 10.1 | | $ | 8.9 | | $ | 15.7 | |
| Bank | | | | | | |
| FHLB borrowings | $ | — | | $ | — | | $ | 3.8 | | $ | — | | $ | 2.4 | | $ | 12.9 | |
| Securitizations | 3.7 | | — | | 0.1 | | 0.3 | | 0.1 | | — | |
| Citibank benchmark senior debt | 4.3 | | — | | 0.7 | | — | | 1.0 | | — | |
| Local country and other | 0.1 | | 0.3 | | 0.4 | | 0.5 | | 0.7 | | 0.3 | |
| Total bank | $ | 8.1 | | $ | 0.3 | | $ | 5.0 | | $ | 0.8 | | $ | 4.2 | | $ | 13.2 | |
| Total | $ | 22.4 | | $ | 15.5 | | $ | 15.9 | | $ | 10.9 | | $ | 13.1 | | $ | 28.9 | |
| | | | | | | | | | | | | | | | | | | | |
| | 1Q22 | 4Q21 | 1Q21 |
| In billions of dollars | Maturities | Issuances | Maturities | Issuances | Maturities | Issuances |
| Non-bank | | | | | | |
| Benchmark debt: | | | | | | |
| Senior debt | $ | 4.6 | | $ | 13.8 | | $ | 8.7 | | $ | 4.0 | | $ | 4.3 | | $ | 2.5 | |
| Subordinated debt | — | | — | | — | | — | | — | | — | |
| Trust preferred | — | | — | | — | | — | | — | | — | |
| Customer-related debt | 7.5 | | 14.5 | | 7.2 | | 11.2 | | 8.6 | | 12.2 | |
| Local country and other | 0.3 | | 0.9 | | 0.3 | | 0.3 | | 1.4 | | 0.5 | |
| Total non-bank | $ | 12.4 | | $ | 29.2 | | $ | 16.2 | | $ | 15.5 | | $ | 14.3 | | $ | 15.2 | |
| Bank | | | | | | |
| FHLB borrowings | $ | 4.3 | | $ | — | | $ | 0.5 | | $ | — | | $ | — | | $ | — | |
| Securitizations | — | | — | | 1.3 | | — | | 3.7 | | — | |
| Citibank benchmark senior debt | — | | — | | — | | — | | 4.3 | | — | |
| Local country and other | 0.4 | | 0.5 | | 0.5 | | 1.2 | | 0.1 | | 0.3 | |
| Total bank | $ | 4.7 | | $ | 0.5 | | $ | 2.3 | | $ | 1.2 | | $ | 8.1 | | $ | 0.3 | |
| Total | $ | 17.1 | | $ | 29.7 | | $ | 18.5 | | $ | 16.7 | | $ | 22.4 | | $ | 15.5 | |
The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2021,2022, as well as its aggregate expected remaining long-term debt maturities by year as of March 31, 2021:2022:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 1Q21 | Maturities |
| In billions of dollars | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 | Thereafter | Total |
| Non-bank | | | | | | | | | |
| Benchmark debt: | | | | | | | | | |
| Senior debt | $ | 4.3 | | $ | 10.2 | | $ | 11.5 | | $ | 12.8 | | $ | 11.2 | | $ | 7.3 | | $ | 18.8 | | $ | 48.2 | | $ | 120.1 | |
| Subordinated debt | — | | — | | 0.8 | | 1.3 | | 1.1 | | 5.2 | | 2.6 | | 15.0 | | 25.9 | |
| Trust preferred | — | | — | | — | | — | | — | | — | | — | | 1.7 | | 1.7 | |
| Customer-related debt | 8.6 | | 5.9 | | 9.6 | | 7.5 | | 4.9 | | 4.8 | | 2.9 | | 30.6 | | 66.2 | |
| Local country and other | 1.4 | | 0.7 | | 1.5 | | 2.3 | | — | | 0.1 | | 0.7 | | 0.7 | | 5.9 | |
| Total non-bank | $ | 14.3 | | $ | 16.8 | | $ | 23.4 | | $ | 23.9 | | $ | 17.2 | | $ | 17.4 | | $ | 25.0 | | $ | 96.2 | | $ | 219.8 | |
| Bank | | | | | | | | | |
| FHLB borrowings | $ | — | | $ | 5.7 | | $ | 5.3 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 10.9 | |
| Securitizations | 3.7 | | 3.4 | | 2.1 | | 2.4 | | 1.3 | | 0.4 | | — | | 3.2 | | 12.8 | |
| Citibank benchmark senior debt | 4.3 | | — | | 2.5 | | 4.0 | | — | | 2.7 | | — | | — | | 9.2 | |
| Local country and other | 0.1 | | 0.8 | | 1.4 | | 0.2 | | 0.6 | | 0.1 | | 0.1 | | 0.3 | | 3.6 | |
| Total bank | $ | 8.1 | | $ | 9.9 | | $ | 11.3 | | $ | 6.6 | | $ | 1.9 | | $ | 3.2 | | $ | 0.1 | | $ | 3.5 | | $ | 36.5 | |
| Total long-term debt | $ | 22.4 | | $ | 26.7 | | $ | 34.7 | | $ | 30.5 | | $ | 19.1 | | $ | 20.6 | | $ | 25.1 | | $ | 99.7 | | $ | 256.3 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 1Q22 | Maturities |
| In billions of dollars | 2022 | 2023 | 2024 | 2025 | 2026 | 2027 | Thereafter | Total |
| Non-bank | | | | | | | | | |
| Benchmark debt: | | | | | | | | | |
| Senior debt | $ | 4.6 | | $ | 5.7 | | $ | 10.4 | | $ | 10.8 | | $ | 10.3 | | $ | 22.0 | | $ | 7.3 | | $ | 55.7 | | $ | 122.2 | |
| Subordinated debt | — | | 0.8 | | 1.3 | | 1.0 | | 5.0 | | 2.4 | | 3.8 | | 10.3 | | 24.7 | |
| Trust preferred | — | | — | | — | | — | | — | | — | | — | | 1.6 | | 1.6 | |
| Customer-related debt | 7.5 | | 8.2 | | 11.0 | | 9.9 | | 6.3 | | 5.3 | | 4.1 | | 33.6 | | 78.4 | |
| Local country and other | 0.3 | | 1.7 | | 2.7 | | — | | — | | 0.7 | | — | | 2.7 | | 7.8 | |
| Total non-bank | $ | 12.4 | | $ | 16.4 | | $ | 25.4 | | $ | 21.7 | | $ | 21.6 | | $ | 30.4 | | $ | 15.2 | | $ | 103.9 | | $ | 234.7 | |
| Bank | | | | | | | | | |
| FHLB borrowings | $ | 4.3 | | $ | 1.0 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 1.0 | |
| Securitizations | — | | 2.0 | | 3.4 | | 1.3 | | 0.3 | | — | | 0.8 | | 1.7 | | 9.5 | |
| Citibank benchmark senior debt | — | | 0.9 | | — | | 2.6 | | — | | — | | — | | — | | 3.5 | |
| Local country and other | 0.4 | | 1.4 | | 0.7 | | 1.4 | | 0.2 | | 0.1 | | — | | 1.5 | | 5.3 | |
| Total bank | $ | 4.7 | | $ | 5.3 | | $ | 4.1 | | $ | 5.3 | | $ | 0.5 | | $ | 0.1 | | $ | 0.8 | | $ | 3.2 | | $ | 19.3 | |
| Total long-term debt | $ | 17.1 | | $ | 21.7 | | $ | 29.5 | | $ | 27.0 | | $ | 22.1 | | $ | 30.5 | | $ | 16.0 | | $ | 107.1 | | $ | 254.0 | |
Secured Funding Transactions and Short-Term Borrowings
Citi supplements its primary sources of funding with short-term financings that generally include (i) secured funding transactions consisting of securities loaned or sold under agreements to repurchase, i.e., repos, and (ii) to a lesser extent, short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participants.
Secured Funding Transactions
Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to fund efficiently both (i) secured lending activity and (ii) a portion of the securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which are typically collateralized by 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 $219$204 billion as of March 31, 2021 declined 1%2022 decreased 7% from the prior-year period and increased 10% sequentially. Excluding the impact of FX translation, secured funding declined 6% from the prior-year period and increased 12%7% sequentially, both driven by normal business activity. The average balance for secured funding was approximately $235$210 billion for the quarter ended March 31, 2021.2022.
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 which 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 establishing minimum required funding tenors. The weighted average maturity of Citi’s secured funding of less liquid securities inventory was greater than 110 days as of March 31, 2021.2022.
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenor, haircut, collateral profile and client actions. In addition, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.
Short-Term Borrowings
Citi’s short-term borrowings of $32$30 billion decreased 42%6% year-over-year, primarily driven byreflecting a decline in FHLB advances. Sequentially,advances, partially offset by commercial paper issuance. On a sequential basis, short-term borrowingsborrowing increased by 9%8%, driven primarily by customer-related debtcommercial paper issuance (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-term and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were BBB+/A-2A/A-1 at Standard & Poor’sS&P Global Ratings and A/A+/F1 at Fitch as of March 31, 2021.2022.
Ratings as of March 31, 20212022
| | | | | | | | | | | | | | | | | | | | |
| Citigroup Inc. | Citibank, N.A. |
| | Senior
debt | Commercial
paper | Outlook | Long-
term | Short-
term | Outlook |
| Fitch Ratings (Fitch) | A | F1 | NegativeStable | A+ | F1 | NegativeStable |
| Moody’s Investors Service (Moody’s) | A3 | P-2 | Stable | Aa3 | P-1 | Stable |
Standard & Poor’sS&P Global Ratings (S&P) | BBB+ | A-2 | Stable | A+ | A-1 | Stable |
Potential Impacts of Ratings Downgrades
Ratings downgrades by Moody’s, Fitch or S&P could negatively impact Citigroup’s and/or Citibank’s funding and liquidity due to reduced funding capacity, including derivative triggers, which could take the form of cash obligations and collateral requirements.
The following information is provided for the purpose of analyzing the potential funding and liquidity impact to Citigroup and Citibank of a hypothetical simultaneous
ratings downgrade across all three major rating agencies. This analysis is subject to certain estimates, estimation methodologies, judgments and uncertainties. Uncertainties include potential ratings limitations that certain entities may have with respect to permissible counterparties, as well as general subjective counterparty behavior. For example, certain corporate customers and markets counterparties could re-evaluate their business relationships with Citi and limit transactions in certain contracts or market instruments with Citi. Changes in counterparty behavior could impact Citi’s funding and liquidity, as well as the results of operations of certain of its businesses. The actual impact to Citigroup or Citibank is unpredictable and may differ materially from the potential funding and liquidity impacts described below. For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors—Liquidity Risks” and “Credit Ratings” in Citi’s 2020 Annual Report on2021 Form 10-K.
Citigroup Inc. and Citibank—Potential Derivative Triggers
As of March 31, 2021,2022, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $1.5$1.1 billion, compared to $0.6$0.8 billion as of December 31, 2020.2021. 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 March 31, 2021,2022, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity due to derivative triggers by approximately $0.5$0.6 billion, compared to $0.4 billion as ofunchanged from December 31, 2020.2021. Other funding sources, such as secured funding transactions and other margin requirements, for which there are no explicit triggers, could also be adversely impacted.
In total, as of March 31, 2021,2022, 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 $1.9$1.7 billion, compared to $1.0$1.4 billion as of December 31, 20202021 (see also Note 19 to the Consolidated Financial Statements)19). As detailed under “High-Quality Liquid Assets”Assets (HQLA)” above, Citigroup has various liquidity resources available to its bank and non-bank entities 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 at 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 March 31, 2021,2022, Citibank had liquidity commitments of approximately $10.0$9.1 billion to consolidated asset-backed commercial paper conduits, unchanged from the prior quarter (for additional information, seecompared to $9.0 billion as of December 31, 2021 (see Note 18 to the Consolidated Financial Statements)for additional information).
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 emanatesarises 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 2020 Annual Report on2021 Form 10-K.
Market Risk of Non-Trading Portfolios
The following table sets forth the estimated impact to Citi’s net interest revenue,income (referred to as interest rate exposure or IRE), AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point (bps) increase in interest rates:
| | In millions of dollars, except as otherwise noted | In millions of dollars, except as otherwise noted | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | In millions of dollars, except as otherwise noted | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 |
| Estimated annualized impact to net interest revenue | | |
| Estimated annualized impact to net interest income | | Estimated annualized impact to net interest income | |
U.S. dollar(1) | U.S. dollar(1) | $ | 102 | | $ | 373 | | $ | (142) | | U.S. dollar(1) | $ | 482 | | $ | 563 | | $ | 102 | |
| All other currencies | All other currencies | 636 | | 683 | | 660 | | All other currencies | 705 | | 612 | | 636 | |
| Total | Total | $ | 738 | | $ | 1,056 | | $ | 518 | | Total | $ | 1,187 | | $ | 1,175 | | $ | 738 | |
| As a percentage of average interest-earning assets | As a percentage of average interest-earning assets | 0.03 | % | 0.05 | % | 0.03 | % | As a percentage of average interest-earning assets | 0.05 | % | 0.05 | % | 0.03 | % |
Estimated initial negative impact to AOCI (after-tax)(2) | Estimated initial negative impact to AOCI (after-tax)(2) | $ | (5,395) | | $ | (5,645) | | $ | (5,746) | | Estimated initial negative impact to AOCI (after-tax)(2) | $ | (3,439) | | $ | (4,609) | | $ | (5,395) | |
| Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) | Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) | (32) | | (34) | | (34) | | Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) | (18) | | (30) | | (32) | |
(1)Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the estimated impact to net interest revenueincome 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 $(9)$(127) million for a 100 bps instantaneous increase in interest rates as of March 31, 2021.2022.
(2)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, Citi decreased its
The estimated impact to Citi’s net interest revenue exposureincome (IRE) was largely unchanged from the fourth quarter of 2021, with increased expected gains in non-USD currencies offset by decreased expected gains due to an increase in interest rates. The decrease was predominantly in U.S. dollar exposure, which was $102 million as of March 31, 2021, primarily driven by an increase in investment securities.USD rate moves.
The relatively small quarterly changedecline in the estimated impact to AOCI primarily reflected a continuation of the positioning strategy of Citi Treasury’sCiti’s investment securities and related interest rate derivatives portfolio.
In the event of a parallel instantaneous 100 bps increase in interest rates, as of March 31, 2022, Citi expects that the $3.4 billion initial negative impact to AOCI would be offset in stockholders’ equity through the expected recovery of the impact on AOCI through accretion of Citi’s investment portfolio over a period of time. As of March 31, 2021, Citi expects that the negative $5.4 billion impact to AOCI in such a scenario could potentially be offset over approximately 3515 months.
Citi is planning to transition the sensitivity analysis for its net interest income, employing enhanced methodologies and changes to certain assumptions. The changes include, among other things, assumptions around the projected balance sheet (holding it static), coupled with revisions to the treatment of certain business contributions to IRE. These changes will be implemented and disclosed before the end of 2022 and will result in a better reflection of the nature of the portfolios.
The following table sets forth the estimated impact to Citi’s net interest revenue,income, 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. The 100 bps downward rate scenarios are impacted by the low level of interest rates in several countries and the assumption that market interest rates, as well as rates paid to depositors and charged to borrowers, do not fall below zero (i.e., the “flooring assumption”). The rate scenarios are also impacted by convexity related to mortgage products.
In addition, in the table below, the magnitude of the impact to Citi’s net interest revenue and AOCI is greater under Scenario 2 as compared to Scenario 3. This is because the combination of changes to Citi’s investment portfolio, partially offset by changes related to Citi’s pension liabilities, results in a net position that is more sensitive to rates at shorter- and intermediate-term maturities.
| | | | | | | | | | | | | | | | | |
| In millions of dollars, except as otherwise noted | Scenario 1 | Scenario 2 | Scenario 3 | Scenario 4 | Scenario 5 |
| Overnight rate change (bps) | 100 | | 100 | | — | | — | | (100) | |
| 10-year rate change (bps) | 100 | | — | | 100 | | (100) | | (100) | |
Estimated annualized impact to net interest revenue | | | | | |
| U.S. dollar | $ | 102 | | $ | 167 | | $ | 64 | | $ | (264) | | $ | (549) | |
| All other currencies | 636 | | 594 | | 37 | | (37) | | (391) | |
| Total | $ | 738 | | $ | 761 | | $ | 101 | | $ | (301) | | $ | (940) | |
Estimated initial impact to AOCI (after-tax)(1) | $ | (5,395) | | $ | (3,356) | | $ | (2,361) | | $ | 1,843 | | $ | 3,301 | |
| Estimated initial impact to Common Equity Tier 1 Capital ratio (bps) | (32) | | (20) | | (15) | | 11 | | 16 | |
| | | | | | | | | | | | | | | | | |
| In millions of dollars, except as otherwise noted | Scenario 1 | Scenario 2 | Scenario 3 | Scenario 4 | Scenario 5 |
| Overnight rate change (bps) | 100 | | 100 | | — | | — | | (100) | |
| 10-year rate change (bps) | 100 | | — | | 100 | | (100) | | (100) | |
| Estimated annualized impact to net interest income | | | | | |
| U.S. dollar | $ | 482 | | $ | 604 | | $ | 27 | | $ | (36) | | $ | (752) | |
| All other currencies | 705 | | 660 | | 41 | | (41) | | (523) | |
| Total | $ | 1,187 | | $ | 1,264 | | $ | 68 | | $ | (77) | | $ | (1,275) | |
Estimated initial impact to AOCI (after-tax)(1) | $ | (3,439) | | $ | (1,844) | | $ | (1,213) | | $ | 796 | | $ | 3,041 | |
| Estimated initial impact to Common Equity Tier 1 Capital ratio (bps) | (18) | | (11) | | (8) | | 5 | | 14 | |
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 income 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 March 31, 2021,2022, 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 $1.8$1.4 billion, or 1.1%0.9%, 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, Euro and Indian rupee.
This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency
translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign currency-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further affect the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.
The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates, and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio, are shown in the table below. ForSee Note 17 for additional information on the changes in AOCI, see Note 17 to the Consolidated Financial Statements..
| | | | | | | | | | | |
| For the quarter ended |
| In millions of dollars, except as otherwise noted | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 |
Change in FX spot rate(1) | (2.3) | % | 5.5 | % | (9.2) | % |
| Change in TCE due to FX translation, net of hedges | $ | (1,030) | | $ | 1,829 | | $ | (3,201) | |
| As a percentage of TCE | (0.7) | % | 1.2 | % | (2.1) | % |
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) | | 2 | | (5) | |
| | | | | | | | | | | |
| For the quarter ended |
| In millions of dollars, except as otherwise noted | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 |
Change in FX spot rate(1) | 0.09 | % | (0.6) | % | (2.3) | % |
| Change in TCE due to FX translation, net of hedges | $ | (40) | | $ | (438) | | $ | (1,030) | |
| As a percentage of TCE | — | % | (0.3) | % | (0.7) | % |
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) | | (1) | |
(1) FX spot rate change is a weighted average based on Citi’s quarterly average GAAP capital exposure to foreign countries.
Interest Revenue/Expense and Net Interest Margin (NIM)
| | | 1st Qtr. | | 4th Qtr. | | 1st Qtr. | | Change | | 1st Qtr. | | 4th Qtr. | | 1st Qtr. | | Change |
| In millions of dollars, except as otherwise noted | In millions of dollars, except as otherwise noted | 2021 | | 2020 | | 2020 | | 1Q21 vs. 1Q20 | In millions of dollars, except as otherwise noted | 2022 | | 2021 | | 2021 | | 1Q22 vs. 1Q21 |
Interest revenue(1) | Interest revenue(1) | $ | 12,587 | | | $ | 13,095 | | | $ | 17,185 | | | (27) | % | | Interest revenue(1) | $ | 13,193 | | | $ | 12,870 | | | $ | 12,587 | | | 5 | % | |
Interest expense(2) | Interest expense(2) | 2,368 | | | 2,564 | | | 5,647 | | | (58) | | | Interest expense(2) | 2,280 | | | 2,009 | | | 2,028 | | | 12 | | |
| Net interest revenue, taxable equivalent basis | $ | 10,219 | | | $ | 10,531 | | | $ | 11,538 | | | (11) | % | | |
Net interest income, taxable equivalent basis(1) | | Net interest income, taxable equivalent basis(1) | $ | 10,913 | | | $ | 10,861 | | | $ | 10,559 | | | 3 | % | |
Interest revenue—average rate(3) | Interest revenue—average rate(3) | 2.41 | % | | 2.48 | % | | 3.69 | % | | (128) | | bps | Interest revenue—average rate(3) | 2.47 | % | | 2.35 | % | | 2.41 | % | | 6 | | bps |
| Interest expense—average rate | Interest expense—average rate | 0.56 | | | 0.60 | | | 1.49 | | | (93) | | bps | Interest expense—average rate | 0.54 | | | 0.46 | | | 0.48 | | | 6 | | bps |
Net interest margin(3)(4) | Net interest margin(3)(4) | 1.95 | | | 2.00 | | | 2.48 | | | (53) | | bps | Net interest margin(3)(4) | 2.05 | | | 1.98 | | | 2.02 | | | 3 | | bps |
| Interest-rate benchmarks | Interest-rate benchmarks | | | Interest-rate benchmarks | | |
| Two-year U.S. Treasury note—average rate | Two-year U.S. Treasury note—average rate | 0.13 | % | | 0.15 | % | | 1.08 | % | | (95) | | bps | Two-year U.S. Treasury note—average rate | 1.46 | % | | 0.53 | % | | 0.13 | % | | 133 | | bps |
| 10-year U.S. Treasury note—average rate | 10-year U.S. Treasury note—average rate | 1.34 | | | 0.86 | | | 1.37 | | | (3) | | bps | 10-year U.S. Treasury note—average rate | 1.95 | | | 1.53 | | | 1.34 | | | 61 | | bps |
| 10-year vs. two-year spread | 10-year vs. two-year spread | 121 | | bps | 71 | | bps | 29 | | bps | | 10-year vs. two-year spread | 49 | | bps | 100 | | bps | 121 | | bps | |
Note: All interest expense amounts include FDIC, as well as other similar deposit insurance assessments outside of the U.S.
(1)Interest revenue and Net interest revenueincome includesinclude the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio and certain tax-advantaged loan programs (based on the U.S. federal statutory tax rate of 21%) of $53$42 million, $48$42 million and $46$53 million for the three months ended March 31, 2021,2022, December 31, 20202021 and March 31, 2020,2021, respectively.
(2)Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated Statement of Income and is therefore not reflected in Interest expense in the table above.
(3)The average rate on interest revenue and net interest margin reflects the taxable equivalent gross-up adjustment. See footnote 1 above.
(4)Citi’s net interest margin (NIM) is calculated by dividing net interest revenueincome by average interest-earning assets.
Non-ICG MarketsMarkets Net Interest RevenueIncome
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| 1st Qtr. | | 4th Qtr. | | 1st Qtr. | | Change |
| In millions of dollars | 2021 | | 2020 | | 2020 | | 1Q21 vs. 1Q20 |
Net interest revenue (NIR)—taxable equivalent basis(1) per above | $ | 10,219 | | | $ | 10,531 | | | $ | 11,538 | | | (11) | % |
ICG Markets NIR—taxable equivalent basis(1) | 1,334 | | | 1,348 | | | 1,182 | | | 13 | |
Non-ICG Markets NIR—taxable equivalent basis(1) | $ | 8,885 | | | $ | 9,183 | | | $ | 10,356 | | | (14) | % |
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| 1st Qtr. | 4th Qtr. | 1st Qtr. | Change |
| In millions of dollars | 2022 | 2021 | 2021 | 1Q22 vs. 1Q21 |
Net interest income (NII)—taxable equivalent basis(1) per above | $ | 10,913 | | $ | 10,861 | | $ | 10,559 | | 3 | % |
ICG Markets NII—taxable equivalent basis(1) | 1,111 | | 1,250 | | 1,311 | | (15) | |
Non-ICG Markets NII—taxable equivalent basis(1) | $ | 9,802 | | $ | 9,611 | | $ | 9,248 | | 6 | % |
(1)Interest revenue and Net interest revenueincome includesinclude the taxable equivalent adjustments primarily related todiscussed in the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21%) of $53 million, $48 million and $46 million for the three months ended March 31, 2021, December 31, 2020 and March 31, 2020, respectively.table above.
Citi’s net interest revenue (NIR)NII in the first quarter of 2021 decreased 12%2022 increased 3% to $10.2$10.9 billion versus the prior-year period. As set forth in the table above, Citi’s NIRNII on a taxable equivalent basis decreased 11% (as set forth in the table above). Excluding the impact of FX translation, this NIR declinedalso increased 3% year-over-year, or $354 million, driven by approximately $1.4 billion, as a decline of approximately $1.5 billionhigher NII in non-ICG Markets NIR wasMarkets, partially offset by a $140 million increaselower NII in ICG Markets (fixedMarkets (Fixed income markets and equityEquity markets) NIR.. The increase in non-ICG Markets NII primarily reflected higher interest income from cards, higher deposit volumes and spreads as well as income from Citi’s investment portfolio. The decrease in non-ICG Markets NIR primarily reflected the impact of lower interest rates and lower loan balances in the consumer businesses as well as the impact of one fewer day versus last year. The increase in ICG Markets NIR NII largely reflected a change in the mix of trading positions in support of client activity.
Citi’s NIM was 1.95%2.05% on a taxable equivalent basis in the first quarter of 2021, a decrease2022, an increase of 57 basis points from the prior quarter, primarily reflecting theas higher interest income from loans and lower NIR,average deposits in Services were partially offset by Citi Treasury actions and balance sheet optimization.
Citi’sgrowth and the lower NII in ICG Markets NIR and non-ICG Markets NIR are non-GAAP financial measures.Markets.
Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3)
Taxable Equivalent Basis
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| Quarterly—Assets | Average volume | Interest revenue | % Average rate |
| 1st Qtr. | 4th Qtr. | 1st Qtr. | 1st Qtr. | 4th Qtr. | 1st Qtr. | 1st Qtr. | 4th Qtr. | 1st Qtr. |
| In millions of dollars, except rates | 2021 | 2020 | 2020 | 2021 | 2020 | 2020 | 2021 | 2020 | 2020 |
Deposits with banks(4) | $ | 307,340 | | $ | 334,056 | | $ | 207,130 | | $ | 145 | | $ | 126 | | $ | 527 | | 0.19 | % | 0.15 | % | 1.02 | % |
Securities borrowed and purchased under agreements to resell(5) | | | | | | | | | |
| In U.S. offices | $ | 163,790 | | $ | 158,013 | | $ | 141,351 | | $ | 117 | | $ | 126 | | $ | 749 | | 0.29 | % | 0.32 | % | 2.13 | % |
In offices outside the U.S.(4) | 142,591 | | 140,628 | | 127,549 | | 177 | | 196 | | 459 | | 0.50 | | 0.55 | | 1.45 | |
| Total | $ | 306,381 | | $ | 298,641 | | $ | 268,900 | | $ | 294 | | $ | 322 | | $ | 1,208 | | 0.39 | % | 0.43 | % | 1.81 | % |
Trading account assets(6)(7) | | | | | | | | | |
| In U.S. offices | $ | 154,798 | | $ | 147,080 | | $ | 130,138 | | $ | 752 | | $ | 835 | | $ | 975 | | 1.97 | % | 2.26 | % | 3.01 | % |
In offices outside the U.S.(4) | 153,019 | | 148,317 | | 122,320 | | 586 | | 571 | | 619 | | 1.55 | | 1.53 | | 2.04 | |
| Total | $ | 307,817 | | $ | 295,397 | | $ | 252,458 | | $ | 1,338 | | $ | 1,406 | | $ | 1,594 | | 1.76 | % | 1.89 | % | 2.54 | % |
| Investments | | | | | | | | | |
| In U.S. offices | | | | | | | | | |
| Taxable | $ | 295,570 | | $ | 282,847 | | $ | 238,298 | | $ | 806 | | $ | 801 | | $ | 1,158 | | 1.11 | % | 1.13 | % | 1.95 | % |
| Exempt from U.S. income tax | 12,902 | | 13,300 | | 14,170 | | 118 | | 91 | | 109 | | 3.71 | | 2.72 | | 3.09 | |
In offices outside the U.S.(4) | 149,477 | | 146,221 | | 128,867 | | 856 | | 873 | | 1,038 | | 2.32 | | 2.38 | | 3.24 | |
| Total | $ | 457,949 | | $ | 442,368 | | $ | 381,335 | | $ | 1,780 | | $ | 1,765 | | $ | 2,305 | | 1.58 | % | 1.59 | % | 2.43 | % |
Loans (net of unearned income)(8) | | | | | | | | | |
| In U.S. offices | $ | 379,956 | | $ | 383,623 | | $ | 403,558 | | $ | 6,042 | | $ | 6,334 | | $ | 7,318 | | 6.45 | % | 6.57 | % | 7.29 | % |
In offices outside the U.S.(4) | 286,014 | | 282,606 | | 291,117 | | 2,891 | | 3,055 | | 3,950 | | 4.10 | | 4.30 | | 5.46 | |
| Total | $ | 665,970 | | $ | 666,229 | | $ | 694,675 | | $ | 8,933 | | $ | 9,389 | | $ | 11,268 | | 5.44 | % | 5.61 | % | 6.52 | % |
Other interest-earning assets(9) | $ | 76,091 | | $ | 62,587 | | $ | 68,737 | | $ | 97 | | $ | 87 | | $ | 283 | | 0.52 | % | 0.55 | % | 1.66 | % |
| Total interest-earning assets | $ | 2,121,548 | | $ | 2,099,278 | | $ | 1,873,235 | | $ | 12,587 | | $ | 13,095 | | $ | 17,185 | | 2.41 | % | 2.48 | % | 3.69 | % |
Non-interest-earning assets(6) | $ | 195,245 | | $ | 200,002 | | $ | 206,819 | | | | | | | |
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| Total assets | $ | 2,316,793 | | $ | 2,299,280 | | $ | 2,080,054 | | | | | | | |
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| Quarterly—Assets | Average volume | Interest revenue | % Average rate |
| 1st Qtr. | 4th Qtr. | 1st Qtr. | 1st Qtr. | 4th Qtr. | 1st Qtr. | 1st Qtr. | 4th Qtr. | 1st Qtr. |
| In millions of dollars, except rates | 2022 | 2021 | 2021 | 2022 | 2021 | 2021 | 2022 | 2021 | 2021 |
Deposits with banks(4) | $ | 260,536 | | $ | 295,330 | | $ | 307,340 | | $ | 296 | | $ | 159 | | $ | 145 | | 0.46 | % | 0.21 | % | 0.19 | % |
Securities borrowed and purchased under agreements to resell(5) | | | | | | | | | |
| In U.S. offices | $ | 177,996 | | $ | 178,582 | | $ | 163,790 | | $ | 109 | | $ | 113 | | $ | 117 | | 0.25 | % | 0.25 | % | 0.29 | % |
In offices outside the U.S.(4) | 165,640 | | 162,674 | | 142,591 | | 285 | | 176 | | 177 | | 0.70 | | 0.43 | | 0.50 | |
| Total | $ | 343,636 | | $ | 341,256 | | $ | 306,381 | | $ | 394 | | $ | 289 | | $ | 294 | | 0.46 | % | 0.34 | % | 0.39 | % |
Trading account assets(6)(7) | | | | | | | | | |
| In U.S. offices | $ | 136,857 | | $ | 129,944 | | $ | 154,798 | | $ | 592 | | $ | 657 | | $ | 752 | | 1.75 | % | 2.01 | % | 1.97 | % |
In offices outside the U.S.(4) | 133,603 | | 139,205 | | 153,019 | | 556 | | 619 | | 586 | | 1.69 | | 1.76 | | 1.55 | |
| Total | $ | 270,460 | | $ | 269,149 | | $ | 307,817 | | $ | 1,148 | | $ | 1,276 | | $ | 1,338 | | 1.72 | % | 1.88 | % | 1.76 | % |
| Investments | | | | | | | | | |
| In U.S. offices | | | | | | | | | |
| Taxable | $ | 353,906 | | $ | 343,423 | | $ | 295,570 | | $ | 1,021 | | $ | 939 | | $ | 806 | | 1.17 | % | 1.08 | % | 1.11 | % |
| Exempt from U.S. income tax | 11,612 | | 11,697 | | 12,902 | | 95 | | 106 | | 118 | | 3.32 | | 3.60 | | 3.71 | |
In offices outside the U.S.(4) | 153,302 | | 157,061 | | 149,477 | | 951 | | 906 | | 856 | | 2.52 | | 2.29 | | 2.32 | |
| Total | $ | 518,820 | | $ | 512,181 | | $ | 457,949 | | $ | 2,067 | | $ | 1,951 | | $ | 1,780 | | 1.62 | % | 1.51 | % | 1.58 | % |
Consumer loans(8) | | | | | | | | | |
| In U.S. offices | $ | 257,257 | | $ | 256,639 | | $ | 251,520 | | $ | 5,045 | | $ | 5,070 | | $ | 4,991 | | 7.95 | % | 7.84 | % | 8.05 | % |
In offices outside the U.S.(4) | 94,973 | | 114,842 | | 126,565 | | 1,217 | | 1,548 | | 1,711 | | 5.20 | | 5.35 | | 5.48 | |
| Total | $ | 352,230 | | $ | 371,481 | | $ | 378,085 | | $ | 6,262 | | $ | 6,618 | | $ | 6,702 | | 7.21 | % | 7.07 | % | 7.19 | % |
Corporate loans(8) | | | | | | | | | |
| In U.S. offices | $ | 136,876 | | $ | 136,849 | | $ | 128,436 | | $ | 1,112 | | $ | 1,076 | | $ | 1,051 | | 3.29 | % | 3.12 | % | 3.32 | % |
In offices outside the U.S.(4) | 159,470 | | 159,078 | | 159,449 | | 1,365 | | 1,252 | | 1,180 | | 3.47 | | 3.12 | | 3.00 | |
| Total | $ | 296,346 | | $ | 295,927 | | $ | 287,885 | | $ | 2,477 | | $ | 2,328 | | $ | 2,231 | | 3.39 | % | 3.12 | % | 3.14 | % |
Total loans(8) | | | | | | | | | |
| In U.S. offices | $ | 394,133 | | $ | 393,488 | | $ | 379,956 | | $ | 6,157 | | $ | 6,146 | | $ | 6,042 | | 6.34 | % | 6.20 | % | 6.45 | % |
In offices outside the U.S.(4) | 254,443 | | 273,920 | | 286,014 | | 2,582 | | 2,800 | | 2,891 | | 4.12 | | 4.06 | | 4.10 | |
| Total | $ | 648,576 | | $ | 667,408 | | $ | 665,970 | | $ | 8,739 | | $ | 8,946 | | $ | 8,933 | | 5.46 | % | 5.32 | % | 5.44 | % |
Other interest-earning assets(9) | $ | 119,815 | | $ | 86,527 | | $ | 76,091 | | $ | 549 | | $ | 249 | | $ | 97 | | 1.86 | % | 1.14 | % | 0.52 | % |
| Total interest-earning assets | $ | 2,161,843 | | $ | 2,171,851 | | $ | 2,121,548 | | $ | 13,193 | | $ | 12,870 | | $ | 12,587 | | 2.47 | % | 2.35 | % | 2.41 | % |
Non-interest-earning assets(6) | $ | 212,197 | | $ | 214,358 | | $ | 195,245 | | | | | | | |
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| Total assets | $ | 2,374,040 | | $ | 2,386,209 | | $ | 2,316,793 | | | | | | | |
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(1)Interest revenue and Net interest revenueincome includesinclude the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio and certain tax-advantaged loan programs (based on the U.S. federal statutory tax rate of 21%) of $53$42 million, $48$42 million and $46$53 million for the three months ended March 31, 2021,2022, December 31, 20202021 and March 31, 2020,2021, 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)Net of unearned income. Includes cash-basis loans.
(9)Includes assets from businesses held-for-sale (See Note 2) and Brokerage receivables.
Average Balances and Interest Rates—Liabilities and Equity, and Net Interest RevenueIncome(1)(2)(3)
Taxable Equivalent Basis
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| Quarterly—Liabilities | Average volume | Interest expense | % Average rate |
| 1st Qtr. | 4th Qtr. | 1st Qtr. | 1st Qtr. | 4th Qtr. | 1st Qtr. | 1st Qtr. | 4th Qtr. | 1st Qtr. |
| In millions of dollars, except rates | 2021 | 2020 | 2020 | 2021 | 2020 | 2020 | 2021 | 2020 | 2020 |
| Deposits | | | | | | | | | |
In U.S. offices(4) | $ | 505,694 | | $ | 516,844 | | $ | 427,957 | | $ | 531 | | $ | 606 | | $ | 1,360 | | 0.43 | % | 0.47 | % | 1.28 | % |
In offices outside the U.S.(5) | 568,133 | | 564,257 | | 506,494 | | 521 | | 555 | | 1,254 | | 0.37 | | 0.39 | | 1.00 | |
| Total | $ | 1,073,827 | | $ | 1,081,101 | | $ | 934,451 | | $ | 1,052 | | $ | 1,161 | | $ | 2,614 | | 0.40 | % | 0.43 | % | 1.13 | % |
Securities loaned and sold under agreements to repurchase(6) | | | | | | | | | |
| In U.S. offices | $ | 146,942 | | $ | 138,118 | | $ | 128,499 | | $ | 171 | | $ | 166 | | $ | 718 | | 0.47 | % | 0.48 | % | 2.25 | % |
In offices outside the U.S.(5) | 88,321 | | 89,139 | | 70,011 | | 82 | | 81 | | 367 | | 0.38 | | 0.36 | | 2.11 | |
| Total | $ | 235,263 | | $ | 227,257 | | $ | 198,510 | | $ | 253 | | $ | 247 | | $ | 1,085 | | 0.44 | % | 0.43 | % | 2.20 | % |
Trading account liabilities(7)(8) | | | | | | | | | |
| In U.S. offices | $ | 51,797 | | $ | 41,271 | | $ | 36,453 | | $ | 22 | | $ | 44 | | $ | 138 | | 0.17 | % | 0.42 | % | 1.52 | % |
In offices outside the U.S.(5) | 65,567 | | 54,204 | | 48,047 | | 92 | | 78 | | 101 | | 0.57 | | 0.57 | | 0.85 | |
| Total | $ | 117,364 | | $ | 95,475 | | $ | 84,500 | | $ | 114 | | $ | 122 | | $ | 239 | | 0.39 | % | 0.51 | % | 1.14 | % |
Short-term borrowings and other interest-bearing liabilities(9) | | | | | | | | | |
| In U.S. offices | $ | 72,414 | | $ | 69,785 | | $ | 86,710 | | $ | — | | $ | 6 | | $ | 326 | | — | % | 0.03 | % | 1.51 | % |
In offices outside the U.S.(5) | 20,930 | | 18,768 | | 19,850 | | 31 | | 12 | | 58 | | 0.60 | | 0.25 | | 1.18 | |
| Total | $ | 93,344 | | $ | 88,553 | | $ | 106,560 | | $ | 31 | | $ | 18 | | $ | 384 | | 0.13 | % | 0.08 | % | 1.45 | % |
Long-term debt(10) | | | | | | | | | |
| In U.S. offices | $ | 201,491 | | $ | 217,148 | | $ | 198,006 | | $ | 905 | | $ | 1,016 | | $ | 1,318 | | 1.82 | % | 1.86 | % | 2.68 | % |
In offices outside the U.S.(5) | 4,773 | | 3,810 | | 4,186 | | 13 | | — | | 7 | | 1.10 | | — | | 0.67 | |
| Total | $ | 206,264 | | $ | 220,958 | | $ | 202,192 | | $ | 918 | | $ | 1,016 | | $ | 1,325 | | 1.80 | % | 1.83 | % | 2.64 | % |
| Total interest-bearing liabilities | $ | 1,726,062 | | $ | 1,713,344 | | $ | 1,526,213 | | $ | 2,368 | | $ | 2,564 | | $ | 5,647 | | 0.56 | % | 0.60 | % | 1.49 | % |
| Demand deposits in U.S. offices | $ | 56,632 | | $ | 33,739 | | $ | 26,709 | | | | | | | |
Other non-interest-bearing liabilities(7) | 333,113 | | 355,944 | | 333,293 | | | | | | | |
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| Total liabilities | $ | 2,115,807 | | $ | 2,103,027 | | $ | 1,886,215 | | | | | | | |
| Citigroup stockholders’ equity | $ | 200,301 | | $ | 195,584 | | $ | 193,198 | | | | | | | |
| Noncontrolling interests | 685 | | 669 | | 641 | | | | | | | |
| Total equity | $ | 200,986 | | $ | 196,253 | | $ | 193,839 | | | | | | | |
| Total liabilities and stockholders’ equity | $ | 2,316,793 | | $ | 2,299,280 | | $ | 2,080,054 | | | | | | | |
Net interest revenue as a percentage of average interest-earning assets(11) | | | | | | | | | |
| In U.S. offices | $ | 1,231,795 | | $ | 1,231,902 | | $ | 1,077,873 | | $ | 6,335 | | $ | 6,477 | | $ | 7,001 | | 2.09 | % | 2.09 | % | 2.61 | % |
In offices outside the U.S.(6) | 889,753 | | 867,376 | | 795,362 | | 3,884 | | 4,054 | | 4,537 | | 1.77 | | 1.86 | | 2.29 | |
| Total | $ | 2,121,548 | | $ | 2,099,278 | | $ | 1,873,235 | | $ | 10,219 | | $ | 10,531 | | $ | 11,538 | | 1.95 | % | 2.00 | % | 2.48 | % |
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| Quarterly—Liabilities | Average volume | Interest expense | % Average rate |
| 1st Qtr. | 4th Qtr. | 1st Qtr. | 1st Qtr. | 4th Qtr. | 1st Qtr. | 1st Qtr. | 4th Qtr. | 1st Qtr. |
| In millions of dollars, except rates | 2022 | 2021 | 2021 | 2022 | 2021 | 2021 | 2022 | 2021 | 2021 |
| Deposits | | | | | | | | | |
In U.S. offices(4) | $ | 560,018 | | $ | 568,931 | | $ | 505,694 | | $ | 237 | | $ | 260 | | $ | 282 | | 0.17 | % | 0.18 | % | 0.23 | % |
In offices outside the U.S.(5) | 520,087 | | 543,013 | | 568,133 | | 634 | | 518 | | 430 | | 0.49 | | 0.38 | | 0.31 | |
| Total | $ | 1,080,105 | | $ | 1,111,944 | | $ | 1,073,827 | | $ | 871 | | $ | 778 | | $ | 712 | | 0.33 | % | 0.28 | % | 0.27 | % |
Securities loaned and sold under agreements to repurchase(6) | | | | | | | | | |
| In U.S. offices | $ | 117,793 | | $ | 127,362 | | $ | 146,942 | | $ | 161 | | $ | 140 | | $ | 171 | | 0.55 | % | 0.44 | % | 0.47 | % |
In offices outside the U.S.(5) | 92,308 | | 94,586 | | 88,321 | | 121 | | 72 | | 82 | | 0.53 | | 0.30 | | 0.38 | |
| Total | $ | 210,101 | | $ | 221,948 | | $ | 235,263 | | $ | 282 | | $ | 212 | | $ | 253 | | 0.54 | % | 0.38 | % | 0.44 | % |
Trading account liabilities(7)(8) | | | | | | | | | |
| In U.S. offices | $ | 48,593 | | $ | 47,518 | | $ | 51,797 | | $ | 36 | | $ | 29 | | $ | 22 | | 0.30 | % | 0.24 | % | 0.17 | % |
In offices outside the U.S.(5) | 65,720 | | 66,715 | | 65,567 | | 111 | | 83 | | 92 | | 0.68 | | 0.49 | | 0.57 | |
| Total | $ | 114,313 | | $ | 114,233 | | $ | 117,364 | | $ | 147 | | $ | 112 | | $ | 114 | | 0.52 | % | 0.39 | % | 0.39 | % |
Short-term borrowings and other interest-bearing liabilities(9) | | | | | | | | | |
| In U.S. offices | $ | 78,662 | | $ | 70,792 | | $ | 72,414 | | $ | 13 | | $ | 9 | | $ | — | | 0.07 | % | 0.05 | % | — | % |
In offices outside the U.S.(5) | 60,199 | | 32,731 | | 20,930 | | 42 | | 42 | | 31 | | 0.28 | | 0.51 | | 0.60 | |
| Total | $ | 138,861 | | $ | 103,523 | | $ | 93,344 | | $ | 55 | | $ | 51 | | $ | 31 | | 0.16 | % | 0.20 | % | 0.13 | % |
Long-term debt(10) | | | | | | | | | |
| In U.S. offices | $ | 166,974 | | $ | 171,865 | | $ | 201,491 | | $ | 889 | | $ | 825 | | $ | 905 | | 2.16 | % | 1.90 | % | 1.82 | % |
In offices outside the U.S.(5) | 3,953 | | 3,939 | | 4,773 | | 36 | | 31 | | 13 | | 3.69 | | 3.12 | | 1.10 | |
| Total | $ | 170,927 | | $ | 175,804 | | $ | 206,264 | | $ | 925 | | $ | 856 | | $ | 918 | | 2.19 | % | 1.93 | % | 1.80 | % |
| Total interest-bearing liabilities | $ | 1,714,307 | | $ | 1,727,452 | | $ | 1,726,062 | | $ | 2,280 | | $ | 2,009 | | $ | 2,028 | | 0.54 | % | 0.46 | % | 0.48 | % |
| Demand deposits in U.S. offices | $ | 129,349 | | $ | 135,629 | | $ | 56,632 | | | | | | | |
Other non-interest-bearing liabilities(7) | 329,572 | | 321,245 | | 333,113 | | | | | | | |
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| Total liabilities | $ | 2,173,228 | | $ | 2,184,326 | | $ | 2,115,807 | | | | | | | |
| Citigroup stockholders’ equity | $ | 200,164 | | $ | 201,164 | | $ | 200,301 | | | | | | | |
| Noncontrolling interests | 648 | | 719 | | 685 | | | | | | | |
| Total equity | $ | 200,812 | | $ | 201,883 | | $ | 200,986 | | | | | | | |
| Total liabilities and stockholders’ equity | $ | 2,374,040 | | $ | 2,386,209 | | $ | 2,316,793 | | | | | | | |
Net interest income as a percentage of average interest-earning assets(11) | | | | | | | | | |
| In U.S. offices | $ | 1,247,057 | | $ | 1,263,333 | | $ | 1,231,795 | | $ | 6,858 | | $ | 6,865 | | $ | 6,583 | | 2.23 | % | 2.16 | % | 2.17 | % |
In offices outside the U.S.(6) | 914,786 | | 908,518 | | 889,753 | | 4,055 | | 3,996 | | 3,976 | | 1.80 | | 1.75 | | 1.81 | |
| Total | $ | 2,161,843 | | $ | 2,171,851 | | $ | 2,121,548 | | $ | 10,913 | | $ | 10,861 | | $ | 10,559 | | 2.05 | % | 1.98 | % | 2.02 | % |
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(1)Interest revenue and Net interest revenueincome includesinclude the taxable equivalent adjustments primarily related todiscussed in the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21%) of $53 million, $48 million and $46 million for the three months ended March 31, 2021, December 31, 2020 and March 31, 2020, respectively.table above.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.
(5)Average 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.
Analysis of Changes in Interest Revenue(1)(2)(3)
| | | | | | | | | | | | | | | | | | | | |
| | 1Q21 vs. 4Q20 | 1Q21 vs. 1Q20 |
| | 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) | $ | (11) | | $ | 30 | | $ | 19 | | $ | 178 | | $ | (560) | | $ | (382) | |
| Securities borrowed and purchased under agreements to resell | | | | | | |
| In U.S. offices | $ | 4 | | $ | (13) | | $ | (9) | | $ | 103 | | $ | (735) | | $ | (632) | |
In offices outside the U.S.(3) | 3 | | (22) | | (19) | | 49 | | (331) | | (282) | |
| Total | $ | 7 | | $ | (35) | | $ | (28) | | $ | 152 | | $ | (1,066) | | $ | (914) | |
Trading account assets(4) | | | | | | |
| In U.S. offices | $ | 42 | | $ | (125) | | $ | (83) | | $ | 162 | | $ | (385) | | $ | (223) | |
In offices outside the U.S.(3) | 18 | | (3) | | 15 | | 136 | | (169) | | (33) | |
| Total | $ | 60 | | $ | (128) | | $ | (68) | | $ | 298 | | $ | (554) | | $ | (256) | |
Investments(1) | | | | | | |
| In U.S. offices | $ | 37 | | $ | (5) | | $ | 32 | | $ | 241 | | $ | (584) | | $ | (343) | |
In offices outside the U.S.(3) | 19 | | (36) | | (17) | | 149 | | (331) | | (182) | |
| Total | $ | 56 | | $ | (41) | | $ | 15 | | $ | 390 | | $ | (915) | | $ | (525) | |
Loans (net of unearned income)(5) | | | | | | |
| In U.S. offices | $ | (60) | | $ | (232) | | $ | (292) | | $ | (411) | | $ | (865) | | $ | (1,276) | |
In offices outside the U.S.(3) | 36 | | (200) | | (164) | | (68) | | (991) | | (1,059) | |
| Total | $ | (24) | | $ | (432) | | $ | (456) | | $ | (479) | | $ | (1,856) | | $ | (2,335) | |
Other interest-earning assets(6) | $ | 18 | | $ | (8) | | $ | 10 | | $ | 27 | | $ | (213) | | $ | (186) | |
| Total interest revenue | $ | 106 | | $ | (614) | | $ | (508) | | $ | 566 | | $ | (5,164) | | $ | (4,598) | |
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| | 1Q22 vs. 4Q21 | 1Q22 vs. 1Q21 |
| | 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) | $ | (21) | | $ | 158 | | $ | 137 | | $ | (25) | | $ | 176 | | $ | 151 | |
| Securities borrowed and purchased under agreements to resell | | | | | | |
| In U.S. offices | $ | — | | $ | (4) | | $ | (4) | | $ | 9 | | $ | (17) | | $ | (8) | |
In offices outside the U.S.(3) | 3 | | 106 | | 109 | | 32 | | 76 | | 108 | |
| Total | $ | 3 | | $ | 102 | | $ | 105 | | $ | 41 | | $ | 59 | | $ | 100 | |
Trading account assets(4) | | | | | | |
| In U.S. offices | $ | 33 | | $ | (98) | | $ | (65) | | $ | (82) | | $ | (78) | | $ | (160) | |
In offices outside the U.S.(3) | (24) | | (39) | | (63) | | (78) | | 48 | | (30) | |
| Total | $ | 9 | | $ | (137) | | $ | (128) | | $ | (160) | | $ | (30) | | $ | (190) | |
Investments(1) | | | | | | |
| In U.S. offices | $ | 31 | | $ | 40 | | $ | 71 | | $ | 174 | | $ | 18 | | $ | 192 | |
In offices outside the U.S.(3) | (22) | | 67 | | 45 | | 22 | | 73 | | 95 | |
| Total | $ | 9 | | $ | 107 | | $ | 116 | | $ | 196 | | $ | 91 | | $ | 287 | |
Consumer loans (net of unearned income)(5) | | | | | | |
| In U.S. offices | $ | 13 | | $ | (38) | | $ | (25) | | $ | 113 | | $ | (59) | | $ | 54 | |
In offices outside the U.S.(3) | (258) | | (73) | | (331) | | (409) | | (85) | | (494) | |
| Total | $ | (245) | | $ | (111) | | $ | (356) | | $ | (296) | | $ | (144) | | $ | (440) | |
Corporate loans (net of unearned income)(5) | | | | | | |
| In U.S. offices | $ | — | | $ | 36 | | $ | 36 | | $ | 69 | | $ | (8) | | $ | 61 | |
In offices outside the U.S.(3) | 3 | | 110 | | 113 | | — | | 185 | | 185 | |
| Total | $ | 3 | | $ | 146 | | $ | 149 | | $ | 69 | | $ | 177 | | $ | 246 | |
Loans (net of unearned income)(5) | | | | | | |
| In U.S. offices | $ | 13 | | $ | (2) | | $ | 11 | | $ | 182 | | $ | (67) | | $ | 115 | |
In offices outside the U.S.(3) | (255) | | 37 | | (218) | | (409) | | 100 | | (309) | |
| Total | $ | (242) | | $ | 35 | | $ | (207) | | $ | (227) | | $ | 33 | | $ | (194) | |
Other interest-earning assets(6) | $ | 118 | | $ | 182 | | $ | 300 | | $ | 82 | | $ | 370 | | $ | 452 | |
| Total interest revenue | $ | (124) | | $ | 447 | | $ | 323 | | $ | (93) | | $ | 699 | | $ | 606 | |
(1)TheInterest revenue and Net interest income include the taxable equivalent adjustments primarily related todiscussed in the tax-exempt bond portfolio, based on the U.S. federal statutory tax rate of 21% in 2021 and 2020, are included in this presentation.table above.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes cash-basis loans.
(6)Includes Brokerage receivables.
Analysis of Changes in Interest Expense and Net Interest RevenueIncome(1)(2)(3)
| | | | 1Q21 vs. 4Q20 | 1Q21 vs. 1Q20 | | 1Q22 vs. 4Q21 | 1Q22 vs. 1Q21 |
| | | 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 | In millions of dollars | Average
volume | Average
rate | Net
change | Average
volume | Average
rate | Net
change | In millions of dollars | Average
volume | Average
rate | Net
change | Average
volume | Average
rate | Net
change |
| Deposits | Deposits | | | | | | Deposits | | | | | |
| In U.S. offices | In U.S. offices | $ | (13) | | $ | (62) | | $ | (75) | | $ | 212 | | $ | (1,041) | | $ | (829) | | In U.S. offices | $ | (4) | | $ | (19) | | $ | (23) | | $ | 28 | | $ | (73) | | $ | (45) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 4 | | (38) | | (34) | | 137 | | (870) | | (733) | | In offices outside the U.S.(3) | (23) | | 139 | | 116 | | (39) | | 243 | | 204 | |
| Total | Total | $ | (9) | | $ | (100) | | $ | (109) | | $ | 349 | | $ | (1,911) | | $ | (1,562) | | Total | $ | (27) | | $ | 120 | | $ | 93 | | $ | (11) | | $ | 170 | | $ | 159 | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | | | | | | Securities loaned and sold under agreements to repurchase | | | | | |
| In U.S. offices | In U.S. offices | $ | 11 | | $ | (6) | | $ | 5 | | $ | 90 | | $ | (637) | | $ | (547) | | In U.S. offices | $ | (11) | | $ | 32 | | $ | 21 | | $ | (37) | | $ | 27 | | $ | (10) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | (1) | | 2 | | 1 | | 77 | | (362) | | (285) | | In offices outside the U.S.(3) | (2) | | 51 | | 49 | | 4 | | 35 | | 39 | |
| Total | Total | $ | 10 | | $ | (4) | | $ | 6 | | $ | 167 | | $ | (999) | | $ | (832) | | Total | $ | (13) | | $ | 83 | | $ | 70 | | $ | (33) | | $ | 62 | | $ | 29 | |
Trading account liabilities(4) | Trading account liabilities(4) | | | | | | Trading account liabilities(4) | | | | | |
| In U.S. offices | In U.S. offices | $ | 9 | | $ | (31) | | $ | (22) | | $ | 42 | | $ | (158) | | $ | (116) | | In U.S. offices | $ | — | | $ | 7 | | $ | 7 | | $ | (1) | | $ | 15 | | $ | 14 | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 16 | | (2) | | 14 | | 30 | | (39) | | (9) | | In offices outside the U.S.(3) | (1) | | 29 | | 28 | | — | | 19 | | 19 | |
| Total | Total | $ | 25 | | $ | (33) | | $ | (8) | | $ | 72 | | $ | (197) | | $ | (125) | | Total | $ | (1) | | $ | 36 | | $ | 35 | | $ | (1) | | $ | 34 | | $ | 33 | |
Short-term borrowings and other interest-bearing liabilities(5) | Short-term borrowings and other interest-bearing liabilities(5) | | | | | | Short-term borrowings and other interest-bearing liabilities(5) | | | | | |
| In U.S. offices | In U.S. offices | $ | — | | $ | (6) | | $ | (6) | | $ | (46) | | $ | (280) | | $ | (326) | | In U.S. offices | $ | 1 | | $ | 3 | | $ | 4 | | $ | — | | $ | 13 | | $ | 13 | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 2 | | 17 | | 19 | | 3 | | (30) | | (27) | | In offices outside the U.S.(3) | 25 | | (25) | | — | | 34 | | (23) | | 11 | |
| Total | Total | $ | 2 | | $ | 11 | | $ | 13 | | $ | (43) | | $ | (310) | | $ | (353) | | Total | $ | 26 | | $ | (22) | | $ | 4 | | $ | 34 | | $ | (10) | | $ | 24 | |
| Long-term debt | Long-term debt | | | | | | Long-term debt | | | | | |
| In U.S. offices | In U.S. offices | $ | (71) | | $ | (40) | | $ | (111) | | $ | 23 | | $ | (436) | | $ | (413) | | In U.S. offices | $ | (24) | | $ | 88 | | $ | 64 | | $ | (168) | | $ | 152 | | $ | (16) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | — | | 13 | | 13 | | 1 | | 5 | | 6 | | In offices outside the U.S.(3) | — | | 5 | | 5 | | (3) | | 26 | | 23 | |
| Total | Total | $ | (71) | | $ | (27) | | $ | (98) | | $ | 24 | | $ | (431) | | $ | (407) | | Total | $ | (24) | | $ | 93 | | $ | 69 | | $ | (171) | | $ | 178 | | $ | 7 | |
| Total interest expense | Total interest expense | $ | (43) | | $ | (153) | | $ | (196) | | $ | 569 | | $ | (3,848) | | $ | (3,279) | | Total interest expense | $ | (39) | | $ | 310 | | $ | 271 | | $ | (182) | | $ | 434 | | $ | 252 | |
| Net interest revenue | $ | 151 | | $ | (463) | | $ | (312) | | $ | (3) | | $ | (1,316) | | $ | (1,319) | | |
| Net interest income | | Net interest income | $ | (31) | | $ | 83 | | $ | 52 | | $ | 218 | | $ | 136 | | $ | 354 | |
(1)TheInterest revenue and Net interest income include the taxable equivalent adjustments primarily related todiscussed in the tax-exempt bond portfolio, based on the U.S. federal statutory tax rate of 21% in 2021 and 2020, are included in this presentation.table above.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes Brokerage payables.
Market Risk of Trading Portfolios
Value at Risk (VAR)
As of March 31, 2021, Citi believes its VAR model is conservatively calibrated to incorporate fat-tail scaling and the greater of short-term (approximately the most recent month) and long-term (three years) market volatility, andvolatility. As of March 31, 2022, Citi estimates that the conservative features of the VAR calibration contribute an approximate 34%41% add-on to what would be a VAR estimated under the assumption of stable and perfectly, normally distributed markets. As of December 31, 2020,2021, the add-on was 32%33%.
As set forth in the table below, Citi’s average trading VAR for the first quarter of 2022 increased to $102 million at March 31, 2021 from $93 million at December 31, 2020,quarter-over-quarter, mainly due to an increase in foreign exchange and commodity exposureshigher volatilities in ICG’s Markets businesses, whilebusinesses. Citi’s average trading and credit portfolio VAR declined to $123 million from $126 millionfor the first quarter of 2022 increased quarter-over-quarter due to a reduction in market volatility.additional hedging and higher volatilities.
Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
| | | | | | | | | | | | | | | | | | | | |
| | First Quarter | | Fourth Quarter | | First Quarter |
| In millions of dollars | March 31, 2021 | 2021 Average | Dec. 31, 2020 | 2020 Average | March 31, 2020 | 2020 Average |
| Interest rate | $ | 68 | | $ | 66 | | $ | 72 | | $ | 64 | | $ | 78 | | $ | 38 | |
| Credit spread | 67 | | 72 | | 70 | | 73 | | 157 | | 55 | |
Covariance adjustment(1) | (43) | | (43) | | (51) | | (47) | | (55) | | (26) | |
Fully diversified interest rate and credit spread(2) | $ | 92 | | $ | 95 | | $ | 91 | | $ | 90 | | $ | 180 | | $ | 67 | |
| Foreign exchange | 45 | | 45 | | 40 | | 33 | | 29 | | 21 | |
| Equity | 37 | | 30 | | 31 | | 32 | | 92 | | 37 | |
| Commodity | 30 | | 29 | | 17 | | 21 | | 45 | | 16 | |
Covariance adjustment(1) | (105) | | (97) | | (85) | | (83) | | (155) | | (66) | |
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2) | $ | 99 | | $ | 102 | | $ | 94 | | $ | 93 | | $ | 191 | | $ | 75 | |
Specific risk-only component(3) | $ | (2) | | $ | 5 | | $ | (1) | | $ | 3 | | $ | (16) | | $ | 7 | |
| Total trading VAR—general market risk factors only (excluding credit portfolios) | $ | 101 | | $ | 97 | | $ | 95 | | $ | 90 | | $ | 207 | | $ | 68 | |
Incremental impact of the credit portfolio(4) | $ | 28 | | $ | 21 | | $ | 29 | | $ | 33 | | $ | 217 | | $ | 44 | |
| Total trading and credit portfolio VAR | $ | 127 | | $ | 123 | | $ | 123 | | $ | 126 | | $ | 408 | | $ | 119 | |
| | | | | | | | | | | | | | | | | | | | |
| | First Quarter | | Fourth Quarter | | First Quarter |
| In millions of dollars | March 31, 2022 | 2022 Average | Dec. 31, 2021 | 2021 Average | March 31, 2021 | 2021 Average |
| Interest rate | $ | 84 | | $ | 57 | | $ | 50 | | $ | 56 | | $ | 68 | | $ | 66 | |
| Credit spread | 70 | | 66 | | 59 | | 65 | | 67 | | 72 | |
Covariance adjustment(1) | (51) | | (32) | | (35) | | (38) | | (43) | | (43) | |
Fully diversified interest rate and credit spread(2) | $ | 103 | | $ | 91 | | $ | 74 | | $ | 83 | | $ | 92 | | $ | 95 | |
| Foreign exchange | 35 | | 36 | | 36 | | 39 | | 45 | | 45 | |
| Equity | 29 | | 30 | | 29 | | 33 | | 37 | | 30 | |
| Commodity | 65 | | 42 | | 28 | | 36 | | 30 | | 29 | |
Covariance adjustment(1) | (116) | | (100) | | (88) | | (98) | | (105) | | (97) | |
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2) | $ | 116 | | $ | 99 | | $ | 79 | | $ | 93 | | $ | 99 | | $ | 102 | |
Specific risk-only component(3) | $ | — | | $ | 6 | | $ | 3 | | $ | — | | $ | (2) | | $ | 5 | |
| Total trading VAR—general market risk factors only (excluding credit portfolios) | $ | 116 | | $ | 93 | | $ | 76 | | $ | 93 | | $ | 101 | | $ | 97 | |
Incremental impact of the credit portfolio(4) | $ | 29 | | $ | 38 | | $ | 45 | | $ | 35 | | $ | 28 | | $ | 21 | |
| Total trading and credit portfolio VAR | $ | 145 | | $ | 137 | | $ | 124 | | $ | 128 | | $ | 127 | | $ | 123 | |
(1)Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each risk type. The benefit reflects the fact that the risks within individual and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes.
(2) The total trading VAR includes mark-to-market and certain fair value option trading positions in ICG, with the exception of hedges to the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.
(3) The specific risk-only component represents the level of equity and fixed income issuer-specific risk embedded in VAR.
(4) The credit portfolio is composed of mark-to-market positions associated with non-trading business units including Citi Treasury, the CVA relating to derivative counterparties and all associated CVA hedges. FVA and DVA are not included. The credit portfolio also includes hedges to the loan portfolio, fair value option loans and hedges to the leveraged finance pipeline within capital markets origination in ICG.
The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:
| | | | | | | | | | | | | | | | | | | | |
| | First Quarter | Fourth Quarter | First Quarter |
| 2021 | 2020 | 2020 |
| In millions of dollars | Low | High | Low | High | Low | High |
| Interest rate | $ | 51 | | $ | 84 | | $ | 40 | | $ | 89 | | $ | 28 | | $ | 78 | |
| Credit spread | 63 | | 82 | | 63 | | 78 | | 36 | | 162 | |
| | | | | | |
| Fully diversified interest rate and credit spread | $ | 86 | | $ | 106 | | $ | 80 | | $ | 106 | | $ | 44 | | $ | 180 | |
| Foreign exchange | 41 | | 49 | | 27 | | 40 | | 14 | | 32 | |
| Equity | 21 | | 37 | | 26 | | 41 | | 13 | | 141 | |
| Commodity | 17 | | 42 | | 15 | | 29 | | 12 | | 45 | |
| | | | | | |
| Total trading | $ | 89 | | $ | 120 | | $ | 77 | | $ | 112 | | $ | 47 | | $ | 191 | |
| Total trading and credit portfolio | 108 | | 139 | | 115 | | 135 | | 58 | | 414 | |
| | | | | | | | | | | | | | | | | | | | |
| | First Quarter | Fourth Quarter | First Quarter |
| 2022 | 2021 | 2021 |
| In millions of dollars | Low | High | Low | High | Low | High |
| Interest rate | $ | 45 | | $ | 102 | | $ | 47 | | $ | 65 | | $ | 51 | | $ | 84 | |
| Credit spread | 59 | | 71 | | 54 | | 75 | | 63 | | 82 | |
| | | | | | |
| Fully diversified interest rate and credit spread | $ | 72 | | $ | 125 | | $ | 74 | | $ | 93 | | $ | 86 | | $ | 106 | |
| Foreign exchange | 33 | | 61 | | 33 | | 46 | | 41 | | 49 | |
| Equity | 12 | | 44 | | 25 | | 47 | | 21 | | 37 | |
| Commodity | 29 | | 65 | | 27 | | 53 | | 17 | | 42 | |
| | | | | | |
| Total trading | $ | 78 | | $ | 127 | | $ | 79 | | $ | 106 | | $ | 89 | | $ | 120 | |
| Total trading and credit portfolio | 110 | | 159 | | 115 | | 144 | | 108 | | 139 | |
Note: No covariance adjustment can be inferred from the above table as the high and low for each market factor will be from different close-of-business dates.
The following table provides the VAR for ICG, excluding the CVA relating to derivative counterparties, hedges of CVA, fair value option loans and hedges to the loan portfolio:
| | | | | |
| In millions of dollars | Mar. 31, 20212022 |
Total—all market risk factors, including
general and specific risk | |
| Average—during quarter | $ | 104100 | |
| High—during quarter | 123133 | |
| Low—during quarter | 9081 | |
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 exceed the Regulatory VAR. Given the conservative calibration of Citi’s VAR model (as a result of taking the greater of short- and long-term volatilities and fat-tail scaling of volatilities), Citi would expect fewer exceptions under normal and stable market conditions. Periods of unstable market conditions could increase the number of back-testing exceptions.
As of March 31, 2021,2022, there were nowas one back-testing exceptionsexception observed for Citi’s Regulatory VAR for the prior 12 months.
STRATEGIC RISKOTHER RISKS
For additional information regarding strategic risk,other risks, including Citi’s management of strategic risk,other risks, see “Managing Global Risk—Strategic Risk”Other Risks” in Citi’s 2020 Annual Report on2021 Form 10-K.
LIBOR Transition Risk
Citi has continued its efforts to transition away from LIBOR, including implementing its LIBOR transition action plans and associated roadmaps under its key workstreams, as well as working with clients, regulators and various industry groups such as the Alternative Reference Rates Committee (ARRC). In addition, Citi has been monitoring regulatory, legislative and market developments regarding LIBOR transition, including the following:
•In March 2021, following2022, U.S. federal legislation was signed into law that provides for the completionuse of its consultation,a statutory replacement for the ICE Benchmark Administration, the authorized LIBOR administrator, notified the U.K. Financial Conduct Authority of its intention to cease publication of GBP, EUR, CHFovernight, one-month, three-month, six-month and JPY LIBOR settings for all12-month tenors as well as USD LIBOR settings for one-week and two-month tenors after December 31, 2021, while the publication of USD LIBOR settingsin all contracts governed by U.S. law. The Federal Reserve Board is required to select a Secured Overnight Funding Rate (SOFR)-based replacement for overnight and one-, three-, six- and 12-month tenors would cease after June 30, 2023.
•In April 2021, New York State legislation addressing USD LIBOR discontinuance became effective. Theand issue rules to implement the legislation addressesno later than 180 days after its enactment. Citi continues to review the effect of this legislation, which is expected to facilitate the transition away fromto replacement rates for Citi’s USD LIBOR-linked securities, loans and contracts without fallbacks or fallbacks based on USD LIBOR for legacy contracts that are governed by New York law and that lack fallback provisions or contain fallback provisions that are based in any way on USD LIBOR. Upon USD LIBOR’s permanent discontinuance, USD LIBOR in such contracts will be replaced with a rate based on SOFR plus a spread adjustment by operation of law.
For additional information about Citi’s actions to address a transition away from and discontinuance of LIBOR, see “Managing Global Risk—Strategic Risk—Other Risks—LIBOR Transition Risk” in Citi’s 2020 Annual Report on2021 Form 10-K. For information about Citi’s LIBOR transition risks, see “Risk Factors—StrategicOther Risks” in Citi’s 2020 Annual Report onthe 2021 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 March 31, 2021.2022. (Including the U.S,U.S., the total exposure as of March 31, 20212022 to the top 25 countries would represent approximately 96%97% 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 35%34% of corporate loans presented in the table below are to U.K. domiciled entities (38%(37% for unfunded commitments), with the balance of the loans predominately to European domiciled counterparties. Approximately 82%85% of the total U.K. funded loans and 84% of the total U.K. unfunded commitments were investment grade as of March 31, 2021.2022.
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.
| | In billions of dollars | 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
1Q21 | Total
as of
4Q20 | Total
as of
1Q20 | Total as a % of Citi as of 1Q21 | In billions of dollars | ICG
loans | PBWM loans(1) | Legacy Franchises | 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
1Q22 | Total
as of
4Q21 | Total
as of
1Q21 | Total
as a %
of Citi
as of
1Q22 |
| United Kingdom | United Kingdom | $ | 45.4 | | $ | — | | $ | 1.7 | | $ | 54.9 | | $ | 16.7 | | $ | (6.4) | | $ | 4.7 | | $ | (1.7) | | $ | 115.3 | | $ | 115.2 | | $ | 118.9 | | 6.5 | % | United Kingdom | $ | 37.8 | | $ | 5.8 | | $ | — | | $ | 1.4 | | $ | 44.3 | | $ | 13.2 | | $ | (5.4) | | $ | 4.4 | | $ | 0.6 | | $ | 102.1 | | $ | 95.9 | | $ | 115.3 | | 5.7 | % |
| Mexico | Mexico | 13.9 | | 13.4 | | 0.3 | | 8.2 | | 3.9 | | (0.9) | | 19.1 | | 4.3 | | 62.2 | | 64.5 | | 56.9 | | 3.5 | | Mexico | 8.2 | | 0.1 | | 20.7 | | 0.3 | | 7.7 | | 2.5 | | (1.0) | | 19.0 | | 2.8 | | 60.3 | | 59.6 | | 62.2 | | 3.4 | |
| Hong Kong | Hong Kong | 20.4 | | 13.5 | | 0.3 | | 7.2 | | 2.5 | | (6.5) | | 8.7 | | 1.7 | | 47.8 | | 49.0 | | 49.3 | | 2.7 | | Hong Kong | 13.3 | | 21.6 | | — | | 0.3 | | 6.6 | | 1.3 | | (1.7) | | 9.5 | | 0.9 | | 51.8 | | 50.4 | | 47.8 | | 2.9 | |
| Ireland | Ireland | 12.3 | | — | | 0.7 | | 30.0 | | 0.5 | | (0.1) | | — | | 0.7 | | 44.1 | | 43.9 | | 40.5 | | 2.5 | | Ireland | 17.3 | | — | | — | | 1.1 | | 29.4 | | 0.7 | | (0.2) | | — | | 0.6 | | 48.9 | | 44.5 | | 44.1 | | 2.7 | |
| Singapore | Singapore | 14.5 | | 13.6 | | 0.1 | | 6.2 | | 1.9 | | (3.5) | | 7.0 | | 1.7 | | 41.5 | | 45.8 | | 44.6 | | 2.4 | | Singapore | 10.7 | | 20.2 | | — | | 0.1 | | 7.0 | | 1.7 | | (0.6) | | 7.8 | | 1.7 | | 48.6 | | 45.7 | | 41.5 | | 2.7 | |
| South Korea | South Korea | 3.3 | | 17.8 | | 0.1 | | 2.4 | | 1.3 | | (0.8) | | 10.6 | | 0.3 | | 35.0 | | 35.8 | | 33.5 | | 2.0 | | South Korea | 3.8 | | — | | 13.8 | | 0.1 | | 2.2 | | 2.0 | | (0.8) | | 9.7 | | 0.5 | | 31.3 | | 32.0 | | 35.0 | | 1.8 | |
| India | 6.9 | | 4.1 | | 1.0 | | 6.3 | | 2.2 | | (0.5) | | 9.1 | | 0.5 | | 29.6 | | 31.4 | | 30.2 | | 1.7 | | |
| Brazil | | Brazil | 12.6 | | — | | — | | 0.1 | | 3.3 | | 6.7 | | (0.7) | | 5.6 | | 2.8 | | 30.4 | | 27.3 | | 23.7 | | 1.7 | |
India(7) | | India(7) | 7.3 | | — | | — | | 0.5 | | 5.3 | | 4.6 | | (0.7) | | 8.9 | | 0.5 | | 26.4 | | 29.8 | | 29.6 | | 1.5 | |
| China | | China | 8.0 | | — | | 3.5 | | 0.7 | | 1.7 | | 3.3 | | (0.9) | | 6.5 | | (0.1) | | 22.7 | | 23.4 | | 21.1 | | 1.3 | |
| Germany | Germany | 0.3 | | — | | 0.2 | | 6.2 | | 5.0 | | (3.9) | | 9.9 | | 8.1 | | 25.8 | | 24.4 | | 21.5 | | 1.5 | | Germany | 0.4 | | — | | — | | 0.1 | | 5.8 | | 5.4 | | (3.6) | | 8.9 | | 3.4 | | 20.4 | | 19.4 | | 25.8 | | 1.1 | |
| Brazil | 11.0 | | — | | — | | 2.8 | | 3.4 | | (0.6) | | 4.1 | | 3.0 | | 23.7 | | 26.2 | | 26.2 | | 1.3 | | |
| Australia | 4.8 | | 9.3 | | — | | 6.7 | | 1.5 | | (0.7) | | 1.4 | | 0.1 | | 23.1 | | 21.7 | | 22.6 | | 1.3 | | |
| China | 8.5 | | 3.5 | | 0.6 | | 3.7 | | 1.1 | | (0.5) | | 5.5 | | (1.3) | | 21.1 | | 21.8 | | 21.5 | | 1.2 | | |
| Japan | Japan | 2.0 | | — | | 0.1 | | 3.2 | | 4.8 | | (1.9) | | 5.4 | | 5.3 | | 18.9 | | 21.8 | | 20.5 | | 1.1 | | Japan | 2.2 | | — | | — | | — | | 3.2 | | 4.7 | | (1.9) | | 4.8 | | 4.3 | | 17.3 | | 15.9 | | 18.9 | | 1.0 | |
| Taiwan | 5.5 | | 8.3 | | 0.2 | | 1.2 | | 0.7 | | (0.1) | | 0.2 | | 1.0 | | 17.0 | | 17.3 | | 16.6 | | 1.0 | | |
Australia(8) | | Australia(8) | 5.7 | | 0.5 | | — | | (0.1) | | 8.7 | | 1.8 | | (0.8) | | 1.3 | | 0.1 | | 17.2 | | 16.4 | | 23.1 | | 1.0 | |
| Jersey | | Jersey | 3.1 | | 3.9 | | — | | — | | 9.2 | | 0.1 | | (0.2) | | — | | — | | 16.1 | | 17.7 | | 14.0 | | 0.9 | |
| Canada | Canada | 2.0 | | 0.5 | | 0.1 | | 7.6 | | 2.4 | | (1.1) | | 4.2 | | 0.4 | | 16.1 | | 17.8 | | 18.2 | | 0.9 | | Canada | 1.4 | | 1.5 | | — | | 0.1 | | 6.6 | | 1.9 | | (1.8) | | 3.7 | | 2.5 | | 15.9 | | 14.7 | | 16.1 | | 0.9 | |
| Jersey | 7.1 | | — | | 0.1 | | 7.2 | | — | | (0.4) | | — | | — | | 14.0 | | 13.4 | | 11.7 | | 0.8 | | |
| United Arab Emirates | United Arab Emirates | 7.0 | | 1.3 | | — | | 3.7 | | 0.3 | | (0.4) | | 1.7 | | (0.1) | | 13.5 | | 12.4 | | 14.2 | | 0.8 | | United Arab Emirates | 7.5 | | 1.5 | | — | | 0.1 | | 4.4 | | 0.4 | | (0.5) | | 2.0 | | 0.1 | | 15.5 | | 14.9 | | 13.5 | | 0.9 | |
| Poland | Poland | 3.6 | | 1.8 | | — | | 2.7 | | 0.2 | | (0.1) | | 2.6 | | 0.6 | | 11.4 | | 15.0 | | 14.7 | | 0.6 | | Poland | 3.5 | | — | | 1.7 | | — | | 2.5 | | 0.4 | | (0.2) | | 5.4 | | 0.9 | | 14.2 | | 13.1 | | 11.4 | | 0.8 | |
| Malaysia | 1.5 | | 3.6 | | 0.1 | | 0.8 | | 0.2 | | — | | 1.6 | | 0.6 | | 8.4 | | 8.3 | | 8.6 | | 0.5 | | |
| Thailand | 0.9 | | 2.8 | | — | | 2.2 | | — | | — | | 1.5 | | — | | 7.4 | | 8.0 | | 7.3 | | 0.4 | | |
| Indonesia | 2.1 | | 0.6 | | — | | 1.3 | | 0.3 | | (0.1) | | 1.7 | | 0.2 | | 6.1 | | 6.0 | | 5.3 | | 0.3 | | |
Taiwan(7) | | Taiwan(7) | 5.0 | | — | | — | | 0.1 | | 1.3 | | 0.7 | | (0.1) | | 0.2 | | 0.7 | | 7.9 | | 15.3 | | 17.0 | | 0.4 | |
Thailand(7) | | Thailand(7) | 1.2 | | — | | — | | — | | 2.1 | | — | | — | | 1.8 | | 0.1 | | 5.2 | | 7.9 | | 7.4 | | 0.3 | |
Indonesia(7) | | Indonesia(7) | 2.3 | | — | | — | | — | | 1.3 | | 0.5 | | (0.1) | | 1.3 | | (0.1) | | 5.2 | | 5.5 | | 6.1 | | 0.3 | |
Malaysia(7) | | Malaysia(7) | 1.5 | | — | | — | | 0.2 | | 0.9 | | 0.3 | | (0.1) | | 1.9 | | — | | 4.7 | | 7.8 | | 8.4 | | 0.3 | |
| Luxembourg | Luxembourg | 0.8 | | — | | — | | — | | 0.5 | | (1.0) | | 5.0 | | 0.2 | | 5.5 | | 5.1 | | 6.1 | | 0.3 | | Luxembourg | 0.2 | | 0.9 | | — | | — | | — | | 0.1 | | (0.6) | | 3.7 | | 0.2 | | 4.5 | | 4.0 | | 5.5 | | 0.3 | |
| Cayman Islands | — | | — | | — | | — | | 0.1 | | (0.8) | | 5.1 | | 0.7 | | 5.1 | | 2.1 | | 3.1 | | 0.3 | | |
| Russia | Russia | 2.0 | | 0.8 | | — | | 0.9 | | 0.1 | | (0.1) | | 1.5 | | (0.1) | | 5.1 | | 5.2 | | 5.1 | | 0.3 | | Russia | 1.7 | | — | | 0.6 | | — | | 0.5 | | 0.4 | | (0.2) | | 0.9 | | — | | 3.9 | | 5.4 | | 5.1 | | 0.2 | |
| South Africa | | South Africa | 1.5 | | — | | — | | — | | 0.6 | | 0.1 | | (0.1) | | 1.8 | | (0.1) | | 3.8 | | 3.8 | | 3.6 | | 0.2 | |
| Czech Republic | Czech Republic | 0.8 | | — | | — | | 0.7 | | 2.2 | | — | | 0.7 | | 0.1 | | 4.5 | | 4.3 | | 3.3 | | 0.3 | | Czech Republic | 0.7 | | — | | — | | — | | 0.9 | | 1.5 | | (0.1) | | 0.3 | | 0.1 | | 3.4 | | 3.5 | | 4.5 | | 0.2 | |
Philippines | Philippines | 0.7 | | 1.3 | | 0.1 | | 0.5 | | — | | — | | 1.7 | | (0.2) | | 4.1 | | 4.5 | | 5.0 | | 0.2 | | Philippines | 0.8 | | — | | — | | 0.1 | | 0.5 | | 0.7 | | — | | 1.2 | | (0.3) | | 3.0 | | 2.3 | | 4.1 | | 0.2 | |
| Total as a % of Citi’s total exposure | Total as a % of Citi’s total exposure | | 34.4 | % | Total as a % of Citi’s total exposure | | 32.7 | % |
| Total as a % of Citi’s non-U.S. total exposure | Total as a % of Citi’s non-U.S. total exposure | | 91.2 | % | Total as a % of Citi’s non-U.S. total exposure | | 91.6 | % |
(1) ICGPBWM loans reflect funded corporate loans and privatePrivate bank loans, net of unearned income. As of March 31, 2021, private2022, Private bank loans in the table above totaled $33.5$24.8 billion, concentrated in Hong Kong ($106.5 billion), Singapore ($6.4 billion) and the U.K. ($8.5 billion) and Singapore ($7.35.7 billion).
(2) Other funded includesLegacy Franchises and other direct exposures such as accounts receivable, loans HFS other loans in Corporate/Other and investments accounted for under the equity method.
(3) Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.
(4) Net mark-to-market counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.
(5) Investment securities include debt securities available-for-sale, recorded at fair market value, and debt securities held-to-maturity, recorded at historicalamortized cost.
(6) Trading account assets are shown on a net basis and include issuer risk on cash products and derivative exposure where the underlying reference entity/issuer is located in that country.
(7) March 31, 2022 excludes Legacy Franchises loans reclassified to HFS as a result of Citi’s agreement to sell its consumer banking business in this country. For additional information, see “Asia Consumer” above and Note 2.
(8) March 31, 2022 and December 31, 2021 exclude Legacy Franchises loans reclassified to HFS as a result of Citi’s agreement to sell its consumer banking business in Australia. For additional information, see “Asia Consumer” above and Note 2.
(9) March 31, 2022 and December 31, 2021 exclude Legacy Franchises loans reclassified to HFS as a result of Citi’s agreement to sell its consumer banking business in the Philippines. For additional information, see “Asia Consumer” above and Note 2.
Russia
Introduction
In Russia, Citi operates through both its ICG and Legacy Franchises segments. In March 2022, Citi announced it had expanded the scope of the previously announced divestiture to include other lines of business beyond its consumer activities. Citi will continue to reduce its operations and exposures in Russia. Citi has ceased soliciting any new business or new clients in Russia. Due to the nature of banking and financial services operations, escalation of the war in Ukraine, the financial and economic sanctions that have been implemented by the U.S., the U.K., the EU and other jurisdictions, the divestiture and other reduction of activities will take time to complete. Citi will continue to manage its existing regulatory commitments and obligations to depositors, as well as support its employees during this period.
Citi continues to monitor the war, sanctions and economic conditions and intends to mitigate its exposures and risks as appropriate. For additional information about Citi’s risks related to its Russia exposures, see “Forward-Looking Statements” below and “Risk Factors—Market-Related Risk,” “—Operational Risks” and “—Other Risks” in Citi’s 2021 Form 10-K.
Impact of Russia’s Invasion of Ukraine on Citi’s Businesses
Russia-related Balance Sheet Exposures
Citi’s domestic operations in Russia are conducted through a subsidiary of Citibank, AO Citibank, which uses the Russian ruble as its functional currency.
The following table summarizes Citi’s exposures related to its Russia operations:
| | | | | | | | | | | |
| In billions of dollars | March 31,
2022 | December 31, 2021 | Change 1Q22 vs. 4Q21 |
| Loans | $ | 2.3 | | $ | 2.9 | | $ | (0.6) | |
Investment securities(1) | 0.9 | | 1.5 | | (0.6) | |
Net MTM on derivatives/repos(2) | 0.4 | | 0.4 | | — | |
| Total hedges (on loans and CVA) | (0.2) | | (0.1) | | (0.1) | |
Unfunded(3) | 0.5 | | 0.7 | | (0.2) | |
Country risk exposure (included in Top 25 Country Exposures) | $ | 3.9 | | $ | 5.4 | | $ | (1.5) | |
Cash on deposit and placements(4) | 2.6 | | 1.0 | | 1.6 | |
| Reverse repurchase agreements | 0.6 | | 1.8 | | (1.2) | |
Total third-party exposure(5) | $ | 7.1 | | $ | 8.2 | | $ | (1.1) | |
| Additional exposures to Russian counterparties that are not held on the Russian subsidiary | 0.8 | | 1.6 | | (0.8) | |
| Total Russia exposure | $ | 7.9 | | $ | 9.8 | | $ | (1.9) | |
(1) Investment securities include debt securities available-for-sale (AFS), recorded at fair market value, primarily local government debt securities. AO Citibank had AFS debt securities losses during the first quarter of 2022 due to yield increases, which were reflected in AOCI, although no credit impairment was recognized on the losses.
(2) Net mark-to-market on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of credit valuation adjustments (CVA) and include margin loans.
(3) Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.
(4) Cash on deposit and placements are primarily with the Central Bank of Russia.
(5) The majority of AO Citibank’s third-party exposures were funded with domestic deposit liabilities from both ICG and personal banking clients.
Beginning in January 2022, Citi began actively reducing its operations in Russia and Russia-related exposures, resulting in a $1.9 billion decline in Citi’s Russia-related exposures during the first quarter of 2022. This reduction primarily reflected a decrease in ICG loans in the quarter due to borrower paydowns, limiting extension of new credit and a depreciation in the ruble against the US dollar. The reduction was also driven by a decrease in AFS securities in the quarter, largely driven by sales and mark-to-market losses in AOCI from higher yields and the impact of depreciation of the ruble. The increase in cash and deposits with banks in the quarter was due to Citi’s actions to reduce credit exposures as well as the placement of higher excess client liquidity and higher client deposit balances. Reverse repurchase agreements declined in the quarter due to a wind-down of positions with financial institutions and clearinghouse counterparties. Finally, the decline in the quarter of Citi’s additional exposures to Russian counterparties not held by AO Citibank was also due to Citi’s risk mitigation efforts.
Citi’s resulting net investment in Russia was approximately $0.7 billion as of March 31, 2022 (compared to $1 billion as of December 31, 2021). The majority of Citi’s net investment was hedged for foreign currency depreciation as of March 31, 2022, using forward foreign exchange contracts executed with international peer banks. In addition, Citi is exposed to a currency translation adjustment (CTA) loss of approximately $1.0 billion related to Russia in the event of a loss of control or substantial liquidation of AO Citibank (see “Deconsolidation Risk” below).
1Q22 Earnings Impacts on Citi’s Businesses
Both Citi’s ICG and Legacy Franchises segments were impacted by a broad array of macroeconomic factors, including the effects of the war in Ukraine:
•ICG Markets revenues declined 2% versus a very strong first quarter in the prior year. Activity levels in Markets benefited from client repositioning and strong risk management, driven by the Federal Reserve Board’s interest rate increases and overall geopolitical and macroeconomic uncertainty. During the quarter, Markets also benefited from significantly higher FX and commodities volatilities and increased spreads.
•ICG Banking revenues of $1.9 billion decreased 23%, including the gain (loss) on loan hedges, driven by heightened geopolitical uncertainty, including the impact of the war in Ukraine, and overall macroeconomic backdrop, which reduced activity in debt and equity capital markets. Investment banking revenues declined 43%, reflecting a decline in the overall market wallet. Specifically, equity underwriting revenues and debt underwriting revenues decreased by 78% and 27%, respectively, due to weakness in the market wallet across North America, EMEA and Asia, largely due to uncertainty caused by the war in Ukraine, which created a less conducive market backdrop for capital markets origination activities during the quarter.
•Legacy Franchises revenues of $1.9 billion decreased 14%, largely resulting from the Korea wind-down, as well as muted investment activity in Asia. Revenues in Citi’s
Russia consumer business in Asia Consumer decreased 6% year-over-year to $32 million, primarily driven by the impact of sanctions, the cessation of the acquisition of new accounts and a reduction in investment sales.
•Citigroup cost of credit included a net ACL build of $1.9 billion, consisting of approximately $1 billion related to Citi’s exposures to Russian counterparties and approximately $900 million related to the impact of the war in Ukraine on the broader global macroeconomic environment. Citi’s corporate non-accrual loans increased by approximately $320 million, primarily related to Citi’s ICG exposures in Russia, which Citi believes are adequately reserved for. Approximately 66% of Citi’s overall corporate non-accrual loans were performing at March 31, 2022.
Sanctions and Other Operational Risks
Citi has undertaken significantly more sanctions screening and other requirements as a result of the war in Ukraine, as the U.S., the U.K. and the EU have imposed increasingly extensive sanctions and export controls against Russian-related entities and individuals. This has resulted in increased operational complexity for Citi related to its Russia-related exposures, including delaying payments to counterparties as a result of the need for additional controls. Citi’s Russia-related ACL build in the first quarter of 2022 also reflected specific corporate clients that were sanctioned by various governmental authorities.
Citi continues to comply with all applicable sanction requirements and export controls, including obtaining required sanctions-related licenses. This response has included enhanced operational controls and management oversight to maintain compliance and minimize disruption to client operations.
Goodwill and Long-Lived Assets
In the first quarter of 2022, Citi completed a goodwill impairment test and recorded a goodwill impairment charge of $535 million to the Asia Consumer reporting unit within Legacy Franchises, due to the re-segmentation and timing of divestitures and unrelated to the war in Ukraine. In the quarter, Citi did not experience any impairments related to the reporting units within ICG based on its latest impairment test. In addition, Citi had approximately $50 million of long-lived assets in Russia that did not experience any impairment. For additional information on goodwill impairment, see Note 15.
Citi’s Planned Sale of Certain Russia Businesses
As discussed above, Citi announced it had expanded the scope of the divestiture of certain activities in Russia beyond the consumer business to include commercial banking. Citi has commenced sale discussions with a number of potential buyers. Any additional financial or economic sanctions that may be implemented by the U.S., the U.K., the EU and any other jurisdictions, as well as any governmental approvals that may be required for any transaction, may cause delays or reduce the certainty of such transaction being concluded. Such delays may be significant.
Deconsolidation Risk
Citi’s continued operations in Russia subject it to various risks, including, among others, foreign currency volatility, including devaluations; business restrictions; sanctions or asset freezes; or other deconsolidation events (for additional information, see “Risk Factors—Other Risks” in Citi’s 2021 Form 10-K). Examples of triggers that may result in deconsolidation of AO Citibank include voluntary or forced sale of ownership or loss of control due to actions of relevant governmental authorities, including expropriation (i.e., the entity becomes subject to the complete control of a government, court, administrator or regulator); revocation of banking license; and loss of ability to elect a board of directors or appoint members of senior management. As of March 31, 2022, Citi continued to consolidate AO Citibank because none of the deconsolidation triggers was met.
In the event of a loss of control or substantial liquidation of AO Citibank, Citi would be required to write off its net investment of approximately $0.7 billion (compared to $1 billion as of December 31, 2021) and recognize a CTA loss of approximately $1.0 billion through earnings. Once recognized in earnings, this CTA loss would be removed from the AOCI component of equity and therefore would have a neutral impact to Citi’s Capital. As discussed above, the majority of Citi’s net investment was hedged for foreign currency depreciation as of March 31, 2022. For information about CTA components of AOCI and related risks, see Note 17.
Citi as Paying Agent for Russian-related Clients
Citi serves as paying agent on bonds issued by various entities in Russia, including both Russian corporate clients and the Russian Ministry of Finance. Citi’s role as paying agent is administrative. In its role as paying agent, Citi acts as an agent of its client, the bond issuer, receiving interest and principal payments from the bond issuer and then making payments to international central securities depositories (e.g., Depository Trust Company, Euroclear, Clearstream). The international central securities depositories (ICSDs) make payments to those participants or account holders (e.g., broker/dealers) that have clients that are investors in the applicable bonds (i.e., bondholders). As a paying agent, Citi generally does not have information about the identity of the bondholders. Citi may be exposed to risks due to its responsibilities for receiving and processing payments on behalf of its clients as a result of sanctions or other governmental requirements and prohibitions. To mitigate operational and sanctions risks, Citi has established policies, procedures and controls for client relationships and payment processing to help ensure compliance with U.S., U.K., EU and other jurisdictions’ sanctions laws.
These processes may require Citi to delay or withhold the processing of payments as a result of sanctions on the bond issuer. Citi is also prevented from making payments to accounts on behalf of bondholders should the ICSDs disclose to Citi the presence of sanctioned bondholders. In both instances, Citi is generally required to segregate, restrict or block the funds until applicable sanctions are lifted or the payment is otherwise authorized under applicable law.
Reputational Risks
Citi has continued its efforts to enhance and protect its reputation with its colleagues, clients, customers, investors, regulators and the public. Citi’s response to the war in Ukraine, including any action or inaction, may have a negative impact on Citi’s reputation with some or all of these parties.
For example, Citi is exposed to reputational risk as a result of its presence in Russia and association with Russian individuals or entities, whether subject to sanctions or not, including Citi’s inability to support its global clients in Russia as part of its core value proposition, which could adversely affect its broader client relationships and businesses; involvement in transactions or supporting activities involving Russian assets or interests; failure to correctly interpret and apply laws and regulations; perceived misalignment of Citi’s actions to its stated strategy toward Russia; and the reputational impact on Citi’s Russia business from its activity and engagement with Ukraine or with non-Russian clients exiting their Russia businesses. Citi has considered the potential for reputation risk and taken actions to mitigate such risks. Citi established a new Russia Special Review Process with Management’s Reputations Risk Committee with oversight for significant Russia-related reputation risks and completed a number of reputation risk reviews of matters with a Russian nexus.
While Citi announced its intention to divest certain businesses in Russia, Citi will continue to manage those operations during the sale process, which may take significant time to complete. Also, sanctions and sanctions compliance are highly complex and may change over time and result in increased operational risk. Failure to fully comply with relevant sanctions or the application of sanctions where they should not be applied may negatively impact Citi’s reputation. In addition, Citi continues to perform services for, conduct business with, or deal in, non-sanctioned Russian-owned businesses and Russian assets. This has attracted, and will likely continue to attract, negative attention, despite the expansion of the scope of Citi’s divestiture, cessation of new business and client originations, and reduction of other exposures.
Citi’s continued presence or divestiture of businesses in Russia could also increase its susceptibility to cyberattacks that could negatively impact its relationships with clients and customers, harm its reputation, increase its compliance costs and adversely affect its business operations and results of operations. For additional information on operational and cyber risks, see “Risk Factors—Operational Risk” in Citi’s 2021 Form 10-K.
Board’s Role in Overseeing Related Risks
The Citi Board of Directors (Board) and the Board’s Risk Management Committee (RMC) and its other Committees have received and continue to receive regular reports from senior management regarding the war in Ukraine and its impact on Citi’s operations in Russia, Ukraine and elsewhere, as well as the war’s broader geopolitical, macroeconomic and reputational impacts. In addition to receiving regular briefings from management, the full Board has routinely been invited to attend portions of the RMC meetings for discussions related to the war in Ukraine, including with respect to Citi’s risk
exposures and stress testing. The reports to the Board and its Committees from senior management who represent the impacted businesses and the EMEA region, Independent Risk Management, Finance, Independent Compliance Risk Management, including those individuals responsible for sanctions compliance, and Human Resources, have included detailed information regarding financial impacts, impacts on capital, cybersecurity, strategic considerations, sanctions compliance, employee assistance and reputational risks, enabling the Board and its Committees to properly exercise their oversight responsibilities. In addition, senior management has also provided updates to Citi’s Executive Management Team and the Board, outside of formal meetings, regarding Citi’s Russia-related risks, including with respect to cybersecurity matters.
Ukraine
Citi has continued to operate in Ukraine throughout the war through its ICG businesses, serving the local subsidiaries of multinationals, along with local financial institutions and the public sector. Citi employs approximately 250 people in Ukraine and their safety is a top priority.
All of Citi’s domestic operations in Ukraine are conducted through a subsidiary of Citibank, which uses the Ukrainian hryvnia as its functional currency. Citi exposures in Ukraine are not significant enough to be included in the “Top 25 Country Exposures” table above. As of March 31, 2022, these exposures amounted to $0.9 billion (compared to $1.2 billion as of December 31, 2021) and were exclusively composed of third-party assets held on the Citi Ukraine subsidiary.
Argentina
Citi operates in Argentina through its ICG businesses. As of March 31, 2021,2022, Citi’s net investment in its Argentine operations was approximately $1.1$1.6 billion. Citi uses the U.S. dollar as the functional currency for its operations in Argentina because the Argentine economy is consideredcountries that are deemed highly inflationary under U.S. GAAP. Citi uses Argentina’s official market exchange rate to remeasure its net Argentine peso-denominated assets into the U.S. dollar. As of March 31, 2022, the official Argentine peso exchange rate against the U.S. dollar was 111.00.
As previously disclosed, the governmentCentral Bank of Argentina has continued to maintain certain capital and currency controls that restrict Citi’s ability to access U.S. dollars in Argentina and remit earnings from its Argentine operations. As a result, Citi’s net investment in its Argentine operations is likely to continue to increase as Citi generates net income in its Argentine franchise and its earnings are unable tocannot be remitted.
Due to the currency controls implemented by the Central Bank of Argentina, certain indirect foreign exchange mechanisms have developed that some Argentine entities may use to obtain U.S. dollars, generally at rates that are significantly higher than Argentina’s official exchange rate. Citibank Argentina is precluded from accessing these alternative mechanisms, and these exchange mechanisms cannot be used to remeasure Citi’s net monetary assets into the U.S. dollar under U.S. GAAP. Citi cannot predict future fluctuations in Argentina’s official market exchange rate or to what extent Citi may be able to access U.S. dollars at the official exchange rate in the future.
Citi economically hedges the foreign currency risk in its net Argentine peso-denominated assets to the extent possible and prudent using non-deliverable forward (NDF) derivative instruments that are primarily executed outside of Argentina. As of March 31, 2021,2022, the international NDF market had very limited liquidity, resulting in Citi’sCiti being unable to economically hedge nearly all of its Argentine peso exposure. As a result,Accordingly, and to the extent that Citi does not execute NDF contracts for this unhedged exposure in the future, Citi would record devaluations on its net Argentine peso‐denominated assets in earnings, without any benefit from a change in the fair value of derivative positions used to economically hedge the exposure.
Citi continually evaluates its economic exposure to its Argentine counterparties and reserves for changes in credit risk and sovereign risk associated with its Argentine assets. Citi believes it has established appropriate allowances for credit lossesACL on its Argentine loans, and appropriate fair value adjustments on Argentine assets and liabilities measured at fair value, for suchcredit and sovereign risks under U.S. GAAP as of March 31, 2021.2022. However, U.S. regulatory agencies may require Citi to record additional reserves in the future, increasing ICG’s cost of credit, based on the perceived country risk associated with its Argentine exposures. For additional information on emerging markets risks, see “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on2021 Form 10-K.
SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES
This section contains a summary of Citi’s most significant accounting policies. Note 1 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report onCiti’s 2021 Form 10-K contains a summary of all of Citigroup’s significant accounting policies. These policies, as well as estimates made by management, are integral to the presentation of Citi’s results of operations and financial condition. While all of these policies require a certain level of management judgment and estimates, this section highlights and discusses the significant accounting policies that require management to make highly difficult, complex or subjective judgments and estimates at times regarding matters that are inherently uncertain and susceptible to change (see also “Risk Factors—Operational Risks” in Citigroup’s 2020 Annual Report onCiti’s 2021 Form 10-K). Management has discussed each of these significant accounting policies, the related estimates and its judgments with the Audit Committee of the Citigroup Board of Directors.
Valuations of Financial Instruments
Citigroup holds debt and equity securities, derivatives, retained interests in securitizations, investments in private equity and other financial instruments. A substantial portion of these assets and liabilities is reflected at fair value on Citi’s Consolidated Balance Sheet as Trading account assets, Available-for-sale securities and Trading account liabilities.
Citi purchases securities under agreements to resell (reverse repos or resale agreements) and sells securities under agreements to repurchase (repos), a substantial portion of which is carried at fair value. In addition, certain loans, short-term borrowings, long-term debt and deposits, as well as certain securities borrowed and loaned positions that are collateralized with cash, are carried at fair value. Citigroup holds its investments, trading assets and liabilities, and resale and repurchase agreements on Citi’s Consolidated Balance Sheet to meet customer needs and to manage liquidity needs, interest rate risks and private equity investing.
When available, Citi generally uses quoted market prices to determine fair value and classifies such items within Level 1 of the fair value hierarchy established under ASC 820-10, Fair Value Measurement. If quoted market prices are not available, fair value is based upon internally developed valuation models that use, where possible, current market-based or independently sourced market parameters, such as interest rates, currency rates and option volatilities. Such models are often based on a discounted cash flow analysis. In addition, items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified under the fair value hierarchy as Level 3 even though there may be some significant inputs that are readily observable.
Citi is required to exercise subjective judgments relating to the applicability and functionality of internal valuation models, the significance of inputs or value drivers to the valuation of an instrument and the degree of illiquidity and subsequent lack of observability in certain markets. These judgments have the potential to impact the Company’sThe fair value of these instruments is reported on Citi’s Consolidated
financial performance for instruments whereBalance Sheet with the changes in fair value are recognized in either the Consolidated Statement of Income or in AOCI.
Losses on available-for-sale securities whose fair values are less than the amortized cost, where Citi intends to sell the security or could more-likely-than-not be required to sell the security, are recognized in earnings. Where Citi does not intend to sell the security nor could more-likely-than-not be required to sell the security, the portion of the loss related to credit is recognized as an allowance for credit losses with a corresponding provision for credit losses and the remainder of the loss is recognized in other comprehensive income. Such losses are capped at the difference between the fair value and amortized cost of the security.
For equity securities carried at cost or under the measurement alternative, decreases in fair value below the carrying value are recognized as impairment in the Consolidated Statement of Income. Moreover, for certain equity method investments, decreases in fair value are only recognized in earnings in the Consolidated Statement of Income if such decreases are judged to be an other-than-temporary impairment (OTTI). Adjudicating the temporary nature of fair value impairments is also inherently judgmental.
The fair value of financial instruments incorporates the effects of Citi’s own credit risk and the market view of counterparty credit risk, the quantification of which is also complex and judgmental. For additional information on Citi’s fair value analysis, see Notes 6, 20 and 21 to the Consolidated Financial Statements in this Form 10-Q and Note 1 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
Citi’s Allowance for Credit Losses (ACL)
The table below shows Citi’s ACL duringas of the first quarter of 2021.2022. For information on the drivers of Citi’s ACL release in the first quarter, see below. For additional information on Citi’s accounting policy on accounting for credit losses under CECL,ASC Topic 326, Financial Instruments—Credit losses; Current Expected Credit Losses (CECL), see Note 1 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
| | | | | | | | | | | | | | | | | | | | | | | |
| | ACL |
| In millions of dollars | Balance Dec. 31, 2020 | 1Q21 build (release) | 1Q21 FX/Other | Balance Mar. 31, 2021 | | | | | | | ACLL/EOP loans Mar. 31, 2021(1) |
Cards(1) | $ | 16,805 | | $ | (1,523) | | $ | (42) | | $ | 15,240 | | | | | | | | 10.72 | % |
All other GCB | 2,419 | | (283) | | (42) | | 2,094 | | | | | | | | |
| Global Consumer Banking | $ | 19,224 | | $ | (1,806) | | $ | (84) | | $ | 17,334 | | | | | | | | 6.47 | % |
| Institutional Clients Group | 5,402 | | (1,312) | | (6) | | 4,084 | | | | | | | | 1.06 | |
| Corporate/Other | 330 | | (109) | | (1) | | 220 | | | | | | | | |
| Allowance for credit losses on loans (ACLL) | $ | 24,956 | | $ | (3,227) | | $ | (91) | | $ | 21,638 | | | | | | | | 3.29 | % |
| Allowance for credit losses on unfunded lending commitments (ACLUC) | 2,655 | | (626) | | (17) | | 2,012 | | | | | | | | |
| Other | 146 | | 1 | | (1) | | 146 | | | | | | | | |
| Total ACL | $ | 27,757 | | $ | (3,852) | | $ | (109) | | $ | 23,796 | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| ACL |
| In millions of dollars | Balance Dec. 31, 2021 | 1Q22
build
(release) | 1Q22 FX/Other | Balance Mar. 31, 2022 | | | | | | | ACLL/EOP loans Mar. 31, 2022(1) |
| ICG | $ | 2,241 | | $ | 596 | | $ | 5 | | $ | 2,842 | | | | | | | | |
Legacy Franchises corporate (Mexico SBMM) | 174 | | 5 | | 4 | | 183 | | | | | | | | |
| Total corporate ACLL | $ | 2,415 | | $ | 601 | | $ | 9 | | $ | 3,025 | | | | | | | | 1.00 | % |
U.S. Cards(1) | $ | 10,840 | | $ | (1,009) | | $ | — | | $ | 9,831 | | | | | | | | 7.56 | % |
| Retail banking and Global Wealth Management | 1,181 | | (53) | | (5) | | 1,123 | | | | | | | | |
Total PBWM | $ | 12,021 | | $ | (1,062) | | $ | (5) | | $ | 10,954 | | | | | | | | |
Legacy Franchises consumer | 2,019 | | (151) | | (454) | | 1,414 | | | | | | | | |
| Total consumer ACLL | $ | 14,040 | | $ | (1,213) | | $ | (459) | | $ | 12,368 | | | | | | | | 3.53 | % |
| Total ACLL | $ | 16,455 | | $ | (612) | | $ | (450) | | $ | 15,393 | | | | | | | | 2.35 | % |
| Allowance for credit losses on unfunded lending commitments (ACLUC) | $ | 1,871 | | $ | 474 | | $ | (2) | | $ | 2,343 | | | | | | | | |
| Total ACLL and ACLUC | $ | 18,326 | | $ | (138) | | $ | (452) | | $ | 17,736 | | | | | | | | |
Other(2) | 148 | | (6) | | (6) | | 136 | | | | | | | | |
| Total ACL | $ | 18,474 | | $ | (144) | | $ | (458) | | $ | 17,872 | | | | | | | | |
(1) As of March 31, 2021,2022, in North America GCB, Citi-brandedU.S. Personal Banking, Branded cards ACLL/EOP loans was 9.8%6.6% and Citi retailRetail services ACLL/EOP loans was 13.4%9.5%.
Citi providesCiti’s reserves for an estimate of current expected credit losses in theon funded loan portfolioloans and for unfunded lending commitments, standby letters of credit and financial guarantees (excluding those that are performance guarantees),reflected on the Consolidated Balance Sheet in the Allowance for credit losses on loans (ACLL) and Other liabilities(Allowance for credit losses on unfunded lending commitments (ACLUC)), respectively. In addition, Citi provides allowancesreserves for an estimate of current expected credit losses foron other financial assets measuredcarried at amortized cost, including held-to-maturity securities, reverse repurchase agreements, securities borrowed, deposits with banks and other financial receivables carried at amortized cost (these allowances,receivables. These reserves, together with the ACLL and ACLUC, are referred to as the ACL).ACL.Changes in the ACL are reflected as Provision for credit losses in the Consolidated Statement of Income for each reporting period. Citi’s ability to estimate expected credit losses over the reasonable and supportable (R&S) period is based on the ability to forecast economic activity over an R&S timeframe. During the first quarter of 2022, Citi updated its R&S forecast periods to use an eight-quarter R&S period for consumer and corporate loans.
The ACL is composed of quantitative and qualitative management adjustment components. For theThe quantitative component Citi uses a forward-looking base macroeconomic forecast that is complemented by aforecast. The qualitative management adjustment component reflects economic uncertainty using alternative downside macroeconomic scenarios and portfolio characteristics and current economic conditions not captured in the quantitative
component. AsBoth the quantitative and qualitative components are further discussed below, this qualitative component reflects (i) economic uncertainty related to an alternative downside scenario, (ii) loss adjustments for concentration and collateral, and (iii) specific adjustments based on the associated portfolio for estimating the ACL, including adjustments that reflect the current uncertainty around the estimated impact of the pandemic on credit loss estimates.below.
Quantitative Component
Citi estimates expected credit losses for its quantitative component based onusing (i) its comprehensive internal data on loss and default history, and system of(ii) internal credit risk ratings, (ii)(iii) external credit bureau and rating agencies information, and score agency information regarding default rates and loss data, including internal data on the severity of losses in the event of default,
and (iii)(iv) a reasonable and supportable forecast of future macroeconomic conditions.
For its consumer and corporate portfolios, Citi’s expected credit loss islosses are determined primarily by utilizing models forthat consider the borrowers’ probability of default (PD), loss given default (LGD) and exposure at default (EAD). The loss likelihood and severity models used for estimating expected credit losses are sensitive to changes in macroeconomic variables that inform the forecasts.
For corporate portfolios, the loss likelihoodforecasts, and loss severity models cover a wide range of geographic, industry, product and business segments that contribute to the portfolios.segments.
In addition, Citi’s delinquency-managed portfolios containing smaller-balance homogeneous loans also primarily use PD, LGD and EAD models to determine expected credit losses and reserve balances based on leading credit indicators, including loan delinquencies, and changes in portfolio size, default frequency, risk ratings and loss recovery rates (among other things), as well as other current economic factors and credit trends, including housing prices, unemployment and gross domestic product (GDP). This methodology is applied separately for each product within each geographic region in which these portfolios exist, including the U.S., Mexico and Asia.
Default frequency, risk ratings, loss recovery rates, size and diversity of individual large credits and ability of borrowers with foreign currency obligations to obtain the foreign currency necessary for orderly debt servicing, among other things, are all taken into account. Changes in these estimates could have a direct impact on Citi’s credit costs and the allowance in any period.
Qualitative Management Adjustment Component
The qualitative management adjustment component considers,includes, among other things, themanagement adjustments to reflect economic uncertainty of forward-looking economic scenarios based on the likelihood and severity of downside scenarios and certain portfolio characteristics andnot captured in the quantitative component, such as concentrations, collateral coverage,valuation, model limitations, idiosyncratic events and other relevant criteria underfactors as required by banking supervisory guidance for the ACL. The qualitative management adjustment component also reflects the currentremaining uncertainty around the estimated impact of the COVID-19 pandemic and the war in Ukraine on credit loss estimates.losses. This includes, among other things, potential delay in credit losses due to various government stimulus actions and potential effects on consumer behavior and market liquidity. The extent of the impact of the war in Ukraine will depend on the spillover effects on European and global macroeconomic and market factors, including inflation, interest rates and commodity prices.
1Q21 Combined Quantitative and Qualitative Components1Q22 Changes in the ACL
In the first quarter of 2021,2022, Citi (i) released $1.9$1.1 billion of the ACL for its consumer portfolios and (ii) released $1.9 billion ofincreased the ACL by $1.0 billion for its corporate portfolios. Consumer andportfolios primarily related to Russia, for a net release of $0.1 billion. The release in the consumer ACL was driven primarily a reduction in reserves related to COVID uncertainty. The build in the corporate ACLs were impacted by improvementsACL was primarily related to Citi’s exposures in both macroeconomic conditions for the quantitative base scenarioRussia and the qualitative management adjustment associated with an alternative downside scenario, which incorporated a lower severity and likelihood. This release was partially offset by an increasebroader impact of the war in other qualitative adjustments related to ongoing uncertainty due to the pandemic, with focusUkraine on the collectability of consumer balances associated with borrowers who may be participating in non-Citi forbearance or rent moratorium programs.
The extent of the pandemic’s ultimate impactglobal macroeconomic environment. Based on Citi’s ACL will depend on, among other things, (i) how consumers respond to the conclusion of government stimulus and assistance programs; (ii) the impact on unemployment; (iii) the timing and extent of the economic recovery; (iv) the severity and duration of any resurgence of COVID-19; (v) the rate of distribution and administration of vaccines; and (vi) the extent of any market volatility.its latest macroeconomic forecast, Citi believes its analysis of the ACL reflects the forward view of the economic analysisenvironment as of March 31, 2021, based on its latest available base macroeconomic forecast.2022.
Macroeconomic Variables
Citi usesconsiders a multitude of macroeconomic variables in its base macroeconomic forecast as part of its calculation offor both the quantitativebase and qualitative (including the downside scenario) components ofmacroeconomic forecasts it uses to estimate the ACL, including both domestic and international variables for its global portfolios and exposures. Citi’s forecasts of the U.S. unemployment rate and U.S. Real GDP growth rate represent the key macroeconomic variables that most significantly affect its estimate of its consumer and corporate ACLs.the ACL.
The tables below show these macroeconomic variables used in determining Citi’s 1Q20, 2Q20, 3Q20, 4Q20 and 1Q21 consumer and corporate ACLs, comparing Citi’s forecasted 2Q21, 4Q21 and 2Q22 quarterly average U.S. unemployment rate and Citi’s forecasted 2021, 2022 and 2023 year-over-year U.S. Real GDP growth rate:
| | | | | | | | | | | | | | |
| Quarterly average | |
| U.S. unemployment | 2Q21 | 4Q21 | 2Q22 | 13-quarter average(1) |
| Citi forecast at 1Q20 | 6.7 | % | 6.5 | % | 6.1 | % | 6.1 | % |
| Citi forecast at 2Q20 | 7.2 | | 5.9 | | 5.7 | | 7.2 | |
| Citi forecast at 3Q20 | 7.6 | | 6.4 | | 6.1 | | 6.6 | |
| Citi forecast at 4Q20 | 7.0 | | 6.3 | | 6.1 | | 6.1 | |
| Citi forecast at 1Q21 | 5.6 | | 4.9 | | 4.1 | | 4.3 | |
| | | | | | | | | | | | | | |
| Quarterly average | |
| U.S. unemployment | 2Q22 | 4Q22 | 2Q23 | 13-quarter average(1) |
| Citi forecast at 1Q21 | 4.1 | % | 3.8 | % | 3.7 | % | 4.3 | % |
| Citi forecast at 2Q21 | 4.1 | | 3.9 | | 3.7 | | 4.1 | |
| Citi forecast at 3Q21 | 4.1 | | 3.9 | | 3.8 | | 4.0 | |
| Citi forecast at 4Q21 | 4.0 | | 3.8 | | 3.7 | | 3.8 | |
| Citi forecast at 1Q22 | 3.7 | | 3.5 | | 3.5 | | 3.6 | |
(1) Represents the average unemployment rate for the rolling, forward-looking 13 quarters in the forecast horizon.
| | | | | | | | | | | |
| Year-over-year growth rate(1) |
| Full year |
| U.S. Real GDP | 2021 | 2022 | 2023 |
| Citi forecast at 1Q20 | 1.5 | % | 1.9 | % | 1.9 | % |
| Citi forecast at 2Q20 | 5.5 | | 3.3 | | 2.1 | |
| Citi forecast at 3Q20 | 3.3 | | 2.8 | | 2.6 | |
| Citi forecast at 4Q20 | 3.7 | | 2.7 | | 2.6 | |
| Citi forecast at 1Q21 | 6.2 | | 4.1 | | 1.9 | |
| | | | | | | | | | | |
| Year-over-year growth rate(1) |
| Full year |
| U.S. Real GDP | 2022 | 2023 | 2024 |
| Citi forecast at 1Q21 | 4.1 | % | 1.9 | % | 1.5 | % |
| Citi forecast at 2Q21 | 3.7 | | 2.0 | | 1.8 | |
| Citi forecast at 3Q21 | 3.9 | | 2.1 | | 1.8 | |
| Citi forecast at 4Q21 | 4.0 | | 2.2 | | 1.8 | |
| Citi forecast at 1Q22 | 3.3 | | 2.4 | | 2.1 | |
(1) The year-over-year growth rate is the percentage change in the Real (inflation adjusted) GDP level.
Under the base macroeconomic forecast as of 1Q21,1Q22, U.S. Real GDP growth is expected to remain strong during the remainder of 2022 and in 2021 and 20222023, and the unemployment rate is expected to continue to improve as the U.S. moves past the peak of the pandemic-related health and economic crisis.
Consumer
As discussed above, Citi’s totalCiti released $1.1 billion of the ACL for its consumer ACL release (including Corporate/Other) of $1.9 billionportfolios in the first quarter of 20212022, which reduced the ACL balance to $17.6$12.4 billion, or 6.41%3.53% of total consumer loans at March 31, 2021. The release was primarily driven by the improved macroeconomic forecast for the first quarter, as well as a decrease in loan volumes.2022. Citi’s consumer ACL is largely driven by the cards businesses.
For cards, including Citi’s international businesses,U.S. Cards, the level of reserves relativeas a percentage to EOP loans decreased to 10.72%7.56% at March 31, 2021,2022, compared to 10.98%8.10% at December 31, 2020,2021, primarily duedriven by a reduction in reserves related to the improved base macroeconomic forecast
for the first quarter of 2021.COVID uncertainty. For the remaining consumer exposures, the level of reserves relative to EOP loans decreased slightly to 1.8%1.2% at March 31, 2021,2022, compared to 2.0%1.3% at December 31, 2020.2021.
Corporate
Citi’sCiti had a corporate ACLL release of $1.3 billion in the first quarter of 2021 reduced the ACLL reserve balance to $4.1 billion, or 1.06% of total funded loans, and was primarily driven by the improved macroeconomic forecast scenario for the first quarter, as well as modest improvements in portfolio credit quality.
The ACLUC releasebuild of $0.6 billion in the first quarter of 2021 decreased2022, which increased the ACLL reserve balance to $3.0 billion, or 1.00% of total corporatefunded loans. The build was primarily driven by exposures in Russia and the broader impact of the war in Ukraine on the global macroeconomic environment.
ACLUC
The total allowance for credit losses on unfunded lending commitments (ACLUC) build in the first quarter of 2022 increased $0.5 billion, primarily driven by exposures in Russia and the broader impact of the war in Ukraine. The total ACLUC reserve balance included in Other liabilities to $2.0was $2.3 billion at March 31, 2021.2022.
ACLL and Non-accrual Ratios
At March 31, 2021,2022, the ratio of the allowance for credit lossesACLL to total funded loans was 3.29% (6.41%2.35% (3.53% for consumer loans and 1.06%1.00% for corporate loans), compared to 3.73%2.49% at December 31, 2020 (6.77%2021 (3.73% for consumer loans and 1.42%0.85% for corporate loans).
Citi’s total non-accrual loans were $5.1$3.4 billion at March 31, 2021, down $578 million2022, largely unchanged from December 31, 2020.2021. Consumer non-accrual loans decreased $157$309 million to $2.0$1.5 billion at March 31, 20212022 from $2.1$1.8 billion at December 31, 2020,2021, while corporate non-accrual loans decreased $421 increased $313
million to $3.1$1.9 billion at March 31, 20212022 from $3.5$1.6 billion at December 31, 2020.2021. In addition, the ratio of non-accrual loans to total corporate loans was 0.79%0.60%, and 0.72%0.43% of non-accrual loans to total consumer loans, at March 31, 2021.2022.
Regulatory Capital Impact
Citi has elected to phase in the CECL impact for regulatory capital purposes. The transition provisions were recently modified to defer the phase-in. After two years with no impact on capital, the CECL transitionadoption impact willcommenced phase in over a three-year transition period with 25% of the impact (net of deferred taxes) recognized on January 1, 2022, with an additional 25% to be recognized on the first day of each subsequent year commencing January 1, 2022, and will be fully implemented onthrough January 1, 2025. In addition, 25% of the build (pretax) made in 2020 and 2021 will bewas deferred and is being amortized over the same timeframe.
ForSee Notes 1 and 14 for a further description of the ACL and related accounts, see Notes 1 and 14 to the Consolidated Financial Statements.
For a discussion of the adoption of the CECL accounting pronouncement, see Note 1 to the Consolidated Financial Statements.accounts.
Goodwill
Citi tests goodwill for impairment annually as of July 1 (the annual test) and through interim assessments between annual tests if an event occurs or circumstances change that couldwould more-likely-than-not reduce the fair value of a reporting unit below its carrying amount, such as a significant adverse change in the business climate, a decision to sell or dispose of all or a significant portion of a reporting unit or a significant decline in Citi’s stock price.
Citi performed the annual testinterim goodwill impairment tests as of July 1, 2020. The fair valuesa result of the Company’spreviously discussed changes in operating segments and reporting units during the first quarter of 2022. The tests resulted in an impairment of $535 million to the Asia Consumer reporting unit within Legacy Franchises, due to implementation of Citi’s operating segment and reporting unit changes in the first quarter of 2022, as well as the timing of the entry into its Asia consumer banking business sale agreements. Based on the interim impairment tests, the fair value of Citi’s other reporting units as a percentage of their allocated carrying values ranged from approximately 115%114% to 136%267%, resulting in no impairment.further impairment recognized as of March 31, 2022. While the inherent risk related to uncertainty is embedded in the key assumptions used in the valuations of the current environment continuesreporting units, the economic and business environments continue to evolve due to the COVID-19 pandemic. Deterioration in business performance or macroeconomicas management implements its strategic refresh. If management’s future estimate of key economic and market conditions, including potential adverse effects to economic forecasts due to the severity and duration of the pandemic, as well as the responses of governments, customers and clients, could negatively influence the assumptions used in the valuations, in particular, the discount and growth rates used in the net income projections. If the future were to differ from management’s best estimate of key economicits current assumptions, and associated cash flows were to decrease, Citi could potentially experience material goodwill impairment charges in the future. See Note 15 to the Consolidated Financial Statements16 for a further discussion onof goodwill.
Litigation Accruals
See the discussion in Note 23 to the Consolidated Financial Statements for information regarding Citi’s policies on establishing accruals for litigation and regulatory contingencies.
INCOME TAXES
Deferred Tax Assets
For additional information on Citi’s deferred tax assets (DTAs), see “Capital Resources,” “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 2020 Annual Report on2021 Form 10-K.
At March 31, 2021, Citigroup had recorded net DTAs of approximately $24.2 billion, a decrease of $0.6 billion from December 31, 2020, primarily driven by the $3.9 billion ACL release, partially offset by losses in Other comprehensive income.
The table below summarizes Citi’s net DTAs balance:
| | | | | | | | | |
| Jurisdiction/Component | DTAs balance |
| In billions of dollars | March 31,
2021 | | December 31, 2020 |
| Total U.S. | $ | 21.4 | | | $ | 22.2 | |
| Total foreign | 2.8 | | | 2.6 | |
| Total | $ | 24.2 | | | $ | 24.8 | |
| | | | | | | | | |
| Jurisdiction/Component | DTAs balance |
| In billions of dollars | March 31,
2022 | | December 31, 2021 |
| Total U.S. | $ | 23.8 | | | $ | 22.1 | |
| Total foreign | 2.9 | | | 2.7 | |
| Total | $ | 26.7 | | | $ | 24.8 | |
Of Citi’s totalAt March 31, 2022, Citigroup had recorded net DTAs of $24.2approximately $26.7 billion, asan increase of March$1.9 billion from December 31, 2021, $9.8primarily as a result of losses in Other comprehensive income. Of Citi’s $26.7 billion (primarily relatingof net DTAs, $15.4 billion was not deducted in calculating regulatory capital, and was appropriately risk weighted under the Basel III rules.
The remaining $11.3 billion (compared to net operating losses, foreign tax credit (FTC) and general business credit carry-forwards, which were largely unchanged in the current quarter)$9.5 billion at December 31, 2021) was deducted in calculating Citi’s regulatory capital. Net
Of the $11.3 billion, Citi had $11.7 billion related to tax carry-forward DTAs, reduced by net deferred tax liabilities (DTLs) of $1.6 billion (for a net deduction of $10.1 billion). The $1.6 billion of net DTLs was primarily associated with goodwill and certain other intangible assets that are separately deducted from capital.
In addition, net DTAs arising from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations (see “Capital Resources” above). For the quarter endedlimitations. Citi had $1.2 billion of such DTAs excluded from regulatory capital at March 31, 2021, Citi did not have any2022 (compared to no such DTAs. Accordingly, the remaining $14.4 billion of net DTAs as of Marchat December 31, 2021 was not deducted2021), primarily due to tax benefits on losses in calculating regulatory capital pursuant to Basel III standards and was appropriately risk weighted under those rules.
DTA Realizability
Citi believes that the realization of the recognized net DTAs of $24.2$26.7 billion at March 31, 20212022 is more-likely-than-not based uponon management’s expectations as toof future taxable income generation 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).
In the second quarter of 2021, as part of the normal planning process, Citi will update its forecasts of operating income and its foreign source income forecast. These updates could affect Citi’s valuation allowance against FTC carry-forwards.
Effective Tax Rate
Citi’s reported effective tax rate for the first quarter of 20212022 was approximately 23%. This compares18%, compared to anthe first quarter of 2021 effective tax rate of approximately 19%23%. The decline in the first quarter of 2020. The highereffective tax rate in the quarter reflected the increase in pretax earnings.
DISCLOSURE CONTROLS AND PROCEDURES
Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of March 31, 2021.2022. Based on that evaluation, the CEO and CFO have concluded that at that date Citigroup’s disclosure controls and procedures were effective.
DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT
Pursuant to Section 219 of the Iran Threat Reduction and Syria Human Rights Act of 2012 (Section 219), which added Section 13(r) to the Securities Exchange Act of 1934, as amended, Citi is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with certain individuals or entities that are the subject toof sanctions under U.S. law. Disclosure is generally required even where the activities, transactions or dealings were conducted in compliance with applicable law.
Citi had no reportable activities pursuant to Section 219 forDuring the first quarter of 2021.
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 2020 Annual Report on2021 Form 10-K and other SEC filings; (ii) the factors listed and described under “Risk Factors” in Citi’s 2020 Annual Report on2021 Form 10-K; and (iii) the risks and uncertainties summarized below:
•the potential impact to Citi from macroeconomic, geopolitical and other challenges and uncertainties and volatilities, including, among others, governmental fiscal and monetary actions or expected actions, such as further changes in interest rate policies, including an abrupt and sustained increase in interest rates, and reductions in central bank balance sheets; a continued elevated level of inflation; slowing of the Chinese economy and related impacts or any policy actions; significant disruptions and volatility in financial markets; geopolitical tensions and conflicts; protracted or widespread trade tensions; financial market, other economic and political disruption driven by anti-establishment movements; natural disasters; additional pandemics; and election outcomes;
•impacts related to or resulting from the war in Ukraine, including further escalation of tensions between Russia and the U.S. and its allies; the potential adverse effects on Citi’s businesses and customers in and related to Russia and Ukraine, including credit costs or other losses, charges or other negative financial or strategic impacts, including from any expropriation or other deconsolidation event; existing and future financial and economic sanctions and export controls against Russian organizations and/or individuals imposed by the U.S., the EU, the U.K. and other jurisdictions; commodity and energy market disruptions; inflationary impacts; additional supply chain disruptions; the impact of cyber incidents; and the resulting negative impacts and uncertainties on regional and global financial markets and economic conditions;
•rapidly evolving challenges and uncertainties related to the COVID-19 pandemic in the U.S. and globally, including the duration and further spread of the coronavirus; the potential for newcoronavirus as well as any variants becoming more prevalent and impactful; further production, distribution, acceptance and effectiveness of the virus; timely development, productionvaccines; availability and distributionefficiency of effective vaccines;testing; the public response;response and government actions; any delayweakness or weaknessslowing in the economic recovery or any futurea further economic downturn;downturn, whether due to further supply chain disruptions, higher inflation, higher interest rates or otherwise; the impact of the pandemic on Citi’s consumer and corporate borrowers, including greater stress levels on some borrowers as the benefits of credit and customer assistance support wanes; the potential impact of pandemic restrictions; and the potential impact on Citi’s businesses and overall results of operations and financial condition;
•the potential impact on Citi’s ability to return capital to common shareholders consistent with its capital planning efforts and targets, due to, among other things,things: regulatory capital requirements, including annual recalibration of the Stress Capital Buffer, which is based upon the results of the CCAR process as well as supervisory stress tests; Citi’s results of operations and financial condition,condition; the capital impact related to Citi’s divestitures, including the timing of transaction signings and closings; Citi’s DTA utilization; forecasts of macroeconomic conditions, regulatory evaluationsconditions; Citi’s implementation and maintenance of Citi’s ability to maintain an effective capital managementplanning framework, and Citi’s effectiveness in planning, managing and calculating its level of risk-weighted assets under both the Advanced Approaches and the Standardized Approach, Supplementary Leverage Ratioratio and GSIB surcharge, whether duesurcharge; elevated levels of liquidity in the financial system related to the impactpandemic; changes in regulatory capital rules, requirements or interpretations, including adoption of the pandemic,U.S. SA-CCR rule for purposes of future supervisory stress testing or otherwise; and changes to the results ofU.S. regulatory capital framework, including among other things, revisions to the CCAR process and regulatory stress tests or otherwise;U.S. Basel III rules;
•the ongoing regulatory and legislative uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, such as potential fiscal, monetary, regulatory, corporate and other income tax and other changes due to the newdiffering priorities of the current U.S. presidential administration, changes in regulatory leadership or focus and Congress or in response to the
pandemic;actions of Congress; potential changes to various aspects of the regulatory capital framework; the future legislative and regulatory framework resulting fromrequirements in the U.K.’s exit fromU.S. and globally relating to climate change, including any new disclosure requirements, such as those recently proposed by the European Union, including with respect to financial services;SEC; and the potential impact these uncertainties and changes could have on Citi’s businesses, results of operations, financial condition, business planning and compliance risks and costs;
•the additional disclosure and other requirements proposed by the SEC regarding Special Purpose Acquisition Companies (SPACs) that more closely align SPAC transaction requirements with those for an initial public offering with the objective of enhancing investor
protection and expanding the responsibilities of underwriters; and the potential impact of these final requirements on ICG’s results of operations;
•Citi’s ability, as part of its transformation initiatives and strategic refresh, to achieve its projected or expected results from its continued investments and efficiencyother initiatives, such as deepening client relationships, revenue growth, expense management and transformation ofincluding to improve its infrastructure, risk management and controls as partand further enhance safety and soundness, deepen client relationships and enhance client offerings and capabilities in order to simplify Citi and enhance its allocation of Citi’s overall strategy to meet operational and financial objectives,resources, including as a result of factors that Citi cannot control;control, which could make the initiatives more costly and more challenging to implement, and limit their effectiveness;
•Citi’s ability to achieve its objectives from theits strategic refresh, of its strategy, including, among others, those related to its Global Wealth Management business and the plans to pursueits exits of consumer businesses in 13 markets in Asia and EMEA and EMEA,the consumer, small business and middle-market banking operations in Mexico, which involve significant execution complexity, may not be as productive, effective or effectivetimely as Citi expects and could result in additional foreign currency translation adjustment (CTA) or other losses, charges or other negative financial or strategic impacts;impacts, which could be material;
• the transition away from or discontinuance of LIBOR or any other interest rate benchmark and the adverse consequences it could have for market participants, including Citi;
• Citi’s ability to utilize its DTAs (including the foreign tax credit component of its DTAs) and thus reduce the negative impact of the DTAs on Citi’s regulatory capital, including as a result of its ability to generate U.S. taxable income;
•the potential impact to Citi if its interpretation or application of the complex income and non-income based tax laws to which it is subject, such as the Tax Cuts and Jobs Act (Tax Reform), the recent Foreign Tax Credit guidelines published in the Federal register, and withholding, stamp, service and other non-income taxes, differs from those of the relevant governmental taxing authorities, including as a result of litigation or examinations regarding non-income based tax matters;matters, and the resulting payment of additional taxes, penalties or interest;
• the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, limitations of hedges on foreign investments, foreign currency volatility, sovereign volatility, election outcomes, 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; confiscation of assets, as well as U.S. regulators imposing mandatory loan loss or other reserve requirements on Citi; and higher compliance and regulatory risks and costs;
• the potential impact from a deterioration in or failure to maintain Citi’s co-branding or private label credit card relationships, due to, among other things, the general economic environment, decliningenvironment; changes in consumer sentiment, spending patterns and credit card usage behaviors; a decline in sales and revenues, partner store closures, government-imposed restrictions, reduced air and business travel or other operational difficulties of the retailer or merchant,merchant; early termination of a
particular relationship; or other factors, such as bankruptcies, liquidations, restructurings, consolidations or other similar events, whether due to the impact of the pandemic or otherwise;
•Citi’s ability in its resolution plan submissions to address any shortcomings or deficiencies identified or guidance provided by the Federal Reserve Board and FDIC;
•the potential impact on Citi’s 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;employees, particularly given the highly competitive environment for talent;
•Citi’s ability to effectively compete within the U.S. and non-U.S.globally with both financial and non-financial services companies and others,firms, including as a result of certain competitors being subject to less stringent legal and regulatory requirements; emerging technologies;
• changes in the potential impact to Citi from climate change, including both physicalpayments space; growth of digital assets; and transition risks as well as higher regulatory,the increased operational, compliance and reputationalother risks resulting from the need to develop new or change or adapt existing products and costs;services to attract and retain customers or clients or to compete more effectively with competitors;
• the potential impact to Citi’s businesses, and results of operations and financial condition, as well as its macroeconomic outlook, due to macroeconomic, geopolitical and other challenges and uncertainties and volatilities, including, among others, governmental fiscal and monetary actions or expected actions, such as changes in interest rate policies and any program implemented to change the size of central bank balance sheets; geopolitical tensions and conflicts; protracted or widespread trade tensions; natural disasters; additional pandemics; and election outcomes;
• the potential impact to Citi from a prior or future failure in or disruption of its operational processes or systems, including as a result of, among other things, human error, such as manual transaction processing errors (e.g., a manual error by any Citi trader that causes system or market disruptions or losses for Citi or its clients); fraud or malice,malice; accidental system or technological failure,failure; electrical or telecommunication outages oroutages; failure of or cyber incidents involving computer servers or infrastructureinfrastructure; or other similar losses or damage to Citi’s property or assets, orassets; failures by third parties, as well as disruptions in the operations of Citi’s businesses, clients, customers or other third parties; and the increased reputational, legal and compliance risks resulting from any such failure or disruption of its operational process or systems, including fines or legal or regulatory actions or proceedings;
•the increasing risk of continually evolving, sophisticated cybersecurity activities faced by financial institutions and others, including Citi and third parties with which it does business, that could result in, among other things, theft, loss, misuse or disclosure of confidential client customer or corporatecustomer information or assets and a disruption of computer, software or network systems; and the potential impact from such risks, including reputational damage, regulatory penalties, loss of revenues, additional costs (including repair, remediation and other costs), exposure to litigation and other financial losses;
•the potential impact of changes to, or the application of incorrect, assumptions, judgments or estimates in Citi’s financial statements, including estimates of Citi’s ACL, which depends on its CECL models and assumptions and forecasted macroeconomic conditions and qualitative management adjustments;adjustment component; reserves related to litigation, regulatory and tax matters exposures; valuation of DTAs; and fair value
of certain assets and liabilities, such asliabilities; and the assessment of goodwill or any other assetassets for impairment;
•the financial impact from reclassification of any foreign currency translation adjustment (CTA)CTA component of AOCI, including related hedges and taxes, into Citi’s earnings, due to the sale, or substantial liquidation or any other deconsolidation event of any foreign entity, such as those related to itsany of Citi’s legacy or exit businesses, whether due to Citi’s evaluation orstrategic refresh of its strategy or otherwise;
•the impact of 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 comprehensive stress testing initiatives or ability to manage and aggregate data, are deficient or ineffective, or Citi’s Basel III regulatory capital models require refinement, modification or enhancement, or any related action is taken by Citi’s U.S. banking regulators;
•the potential impact of credit risk and concentrations of risk on Citi’s results of operations, whether due to a default of or deterioration involving consumer, corporate or public sector borrowers or other counterparties in the U.S. or in various countries and jurisdictions globally, including from indemnification obligations in connection with various transactions, such as hedging or reinsurance arrangements related to those obligations, whether dueor Citi being unable to liquidate or realize the pandemic or otherwise;fair value of its collateral;
•the potential impact on Citi’s liquidity and/or costs of funding as a result of externalvarious factors, including, among others, the competitive environment for deposits, general disruptions in the financial markets, governmental fiscal and monetary policies, regulatory changes or negative investor perceptions of Citi’s creditworthiness, unexpected increases in cash or collateral requirements and the inability to monetize available liquidity resources, whether due to the pandemic or otherwise;competitive environment for deposits, changes in Citi’s credit spreads, higher interest rates and changes in currency exchange rates;
•the impact of a ratings downgrade of Citi or one or more of its more significant subsidiaries or issuing entities on Citi’s funding and liquidity as well as operations of certain of its businesses;
•the potential impact to Citi of ongoing interpretation and implementation of regulatory and legislative requirements and changes in the U.S. and globally, as well as heightened regulatory scrutiny and expectations for large financial institutions and their employees and agents, with respect to among other things, governance, infrastructure, data and risk management practices and controls, customer and client protection, market practices, anti-money laundering and sanctions, including the impact on Citi’s compliance, regulatory and other risks and costs, such as increased regulatory oversight and restrictions, enforcement proceedings, penalties and fines; and
•the potential outcomes of the extensive legal and regulatory proceedings, examinations, investigations, consent orders and related compliance efforts and other inquiries, to which Citi is or may be subject at any given time, such as the previously disclosed October 2020 FRB and OCC consent orders, particularly given the increased focus by regulators on riskrisks and controls, such as risk
management, compliance, data quality management and governance and internal controls, and policies and procedures; as well as the transformative effortsCiti’s ability to remediate deficiencies on a timely and sufficient basis, and increased expensesincluding the resulting significant investments required for such remediation efforts, together withefforts; as well as the heightened scrutiny and
expectations generally from regulators, and the severity of the remedies sought by regulators, such as civil moneysignificant monetary penalties, supervisory or enforcement orders, business restrictions, limitations on dividends and changes to directors and/or officers, and potential collateral consequences to Citi arising from such outcomes.outcomes;
•the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, limitations or unavailability of hedges on foreign investments; foreign currency volatility and devaluations; sovereign volatility; election outcomes; regulatory changes and political events; foreign exchange controls, including inability to access indirect foreign exchange mechanisms; macroeconomic volatility and disruptions, including with respect to commodity prices; 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; confiscation of assets, whether related to geopolitical conflicts or otherwise; U.S. regulators imposing mandatory loan loss or other reserve requirements on Citi; and increased compliance and regulatory risks and costs;
•the potential impact to Citi from climate change and the transition to a low carbon economy, including both physical risks, such as increased frequency and/or severity of adverse weather events and transition risks, such as those arising from changes in regulations or market preferences toward a low-carbon economy, as well as higher regulatory, compliance and reputational risks and costs and data-related challenges, including as a result of any new SEC rules related to climate change disclosures, such as those recently proposed by the SEC, and an increased focus by banking regulators and others on the issue of climate change at financial institutions directly and with respect to their clients; and
•the transition away from and discontinuance of LIBOR and any other interest rate benchmark and the adverse consequences it could have for market participants, including Citi.
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 Months Ended March 31, 2021
2022 and 20202021 | |
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three Months Ended March 31, 20212022 and 20202021 | |
Consolidated Balance Sheet—March 31, 20212022 (Unaudited) and December 31, 20202021 | |
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three Months Ended March 31, 20212022 and 20202021 | |
Consolidated Statement of Cash Flows (Unaudited)—
For the Three Months Ended March 31, 20212022 and 20202021 | |
| | | | | |
| NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) | |
Note 1—Basis of Presentation, Updated Accounting Policies
and Accounting Changes | |
Note 2—Discontinued Operations, and Significant Disposals
and Other Business Exits | |
Note 3—BusinessOperating Segments | |
| Note 4—Interest Revenue and Expense | |
Note 5—Commissions and Fees; Administration and Other
Fiduciary Fees | |
| Note 6—Principal Transactions | |
| Note 7—Incentive Plans | |
| Note 8—Retirement Benefits | |
| Note 9—Earnings per Share | |
Note 10—Securities Borrowed, Loaned and
Subject to Repurchase Agreements | |
| Note 11—Brokerage Receivables and Brokerage Payables | |
| Note 12—Investments | |
| | | | | |
| |
| Note 13—Loans | |
| Note 14—Allowance for Credit Losses | |
| Note 15—Goodwill and Intangible Assets | |
| Note 16—Debt | |
Note 17—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI) | |
| Note 18—Securitizations and Variable Interest Entities | |
| Note 19—Derivatives | |
| Note 20—Fair Value Measurement | |
| Note 21—Fair Value Elections | |
| Note 22—Guarantees, Leases and Commitments | |
| Note 23—Contingencies | |
| Note 24—Condensed Consolidating Financial Statements | |
CONSOLIDATED FINANCIAL STATEMENTS
| | | | | | | | |
| CONSOLIDATED STATEMENT OF INCOME (UNAUDITED) | | Citigroup Inc. and Subsidiaries |
| | | | Three Months Ended March 31, | | | Three Months Ended March 31, | |
| In millions of dollars, except per share amounts | In millions of dollars, except per share amounts | 2021 | 2020 | | In millions of dollars, except per share amounts | 2022 | 2021 | |
| Revenues | Revenues | | | Revenues | | |
| Interest revenue | Interest revenue | $ | 12,534 | | $ | 17,139 | | | Interest revenue | $ | 13,151 | | $ | 12,534 | | |
| Interest expense | Interest expense | 2,368 | | 5,647 | | | Interest expense | 2,280 | | 2,028 | | |
| Net interest revenue | $ | 10,166 | | $ | 11,492 | | | |
| Net interest income | | Net interest income | $ | 10,871 | | $ | 10,506 | | |
| Commissions and fees | Commissions and fees | $ | 3,670 | | $ | 3,021 | | | Commissions and fees | $ | 2,568 | | $ | 3,670 | | |
| Principal transactions | Principal transactions | 3,913 | | 5,261 | | | Principal transactions | 4,590 | | 3,913 | | |
| Administration and other fiduciary fees | Administration and other fiduciary fees | 961 | | 854 | | | Administration and other fiduciary fees | 966 | | 961 | | |
| Realized gains on sales of investments, net | Realized gains on sales of investments, net | 401 | | 432 | | | Realized gains on sales of investments, net | 80 | | 401 | | |
| Impairment losses on investments: | Impairment losses on investments: | | | Impairment losses on investments: | | |
| Impairment losses on investments and other assets | Impairment losses on investments and other assets | (69) | | (55) | | | Impairment losses on investments and other assets | (90) | | (69) | | |
Provision for credit losses on AFS debt securities(1) | Provision for credit losses on AFS debt securities(1) | 0 | | 0 | | | Provision for credit losses on AFS debt securities(1) | — | | — | | |
| | Net impairment losses recognized in earnings | Net impairment losses recognized in earnings | $ | (69) | | $ | (55) | | | Net impairment losses recognized in earnings | $ | (90) | | $ | (69) | | |
| Other revenue (loss) | $ | 285 | | $ | (274) | | | |
| Other revenue | | Other revenue | $ | 201 | | $ | 285 | | |
| Total non-interest revenues | Total non-interest revenues | $ | 9,161 | | $ | 9,239 | | | Total non-interest revenues | $ | 8,315 | | $ | 9,161 | | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 19,327 | | $ | 20,731 | | | Total revenues, net of interest expense | $ | 19,186 | | $ | 19,667 | | |
| Provisions for credit losses and for benefits and claims | Provisions for credit losses and for benefits and claims | | | Provisions for credit losses and for benefits and claims | | |
| Provision for credit losses on loans | Provision for credit losses on loans | $ | (1,479) | | $ | 6,377 | | | Provision for credit losses on loans | $ | 260 | | $ | (1,479) | | |
| Provision for credit losses on held-to-maturity (HTM) debt securities | Provision for credit losses on held-to-maturity (HTM) debt securities | (11) | | 6 | | | Provision for credit losses on held-to-maturity (HTM) debt securities | (2) | | (11) | | |
| Provision for credit losses on other assets | Provision for credit losses on other assets | 9 | | (4) | | | Provision for credit losses on other assets | (4) | | 9 | | |
| Policyholder benefits and claims | Policyholder benefits and claims | 52 | | 24 | | | Policyholder benefits and claims | 27 | | 52 | | |
| Provision for credit losses on unfunded lending commitments | Provision for credit losses on unfunded lending commitments | (626) | | 557 | | | Provision for credit losses on unfunded lending commitments | 474 | | (626) | | |
Total provisions for credit losses and for benefits and claims | Total provisions for credit losses and for benefits and claims | $ | (2,055) | | $ | 6,960 | | | Total provisions for credit losses and for benefits and claims | $ | 755 | | $ | (2,055) | | |
| Operating expenses | Operating expenses | | | Operating expenses | | |
| Compensation and benefits | Compensation and benefits | $ | 6,001 | | $ | 5,654 | | | Compensation and benefits | $ | 6,820 | | $ | 6,001 | | |
| Premises and equipment | Premises and equipment | 576 | | 565 | | | Premises and equipment | 543 | | 576 | | |
| Technology/communication | Technology/communication | 1,852 | | 1,723 | | | Technology/communication | 2,016 | | 1,852 | | |
| Advertising and marketing | Advertising and marketing | 270 | | 328 | | | Advertising and marketing | 311 | | 270 | | |
| Other operating | Other operating | 2,374 | | 2,373 | | | Other operating | 3,475 | | 2,714 | | |
| Total operating expenses | Total operating expenses | $ | 11,073 | | $ | 10,643 | | | Total operating expenses | $ | 13,165 | | $ | 11,413 | | |
| Income from continuing operations before income taxes | Income from continuing operations before income taxes | $ | 10,309 | | $ | 3,128 | | | Income from continuing operations before income taxes | $ | 5,266 | | $ | 10,309 | | |
| Provision for income taxes | Provision for income taxes | 2,332 | | 580 | | | Provision for income taxes | 941 | | 2,332 | | |
| Income from continuing operations | Income from continuing operations | $ | 7,977 | | $ | 2,548 | | | Income from continuing operations | $ | 4,325 | | $ | 7,977 | | |
| Discontinued operations | Discontinued operations | | | Discontinued operations | | |
| Loss from discontinued operations | $ | (2) | | $ | (18) | | | |
| Income (loss) from discontinued operations | | Income (loss) from discontinued operations | $ | (2) | | $ | (2) | | |
| | Benefit for income taxes | Benefit for income taxes | 0 | | 0 | | | Benefit for income taxes | — | | — | | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | $ | (2) | | $ | (18) | | | Income (loss) from discontinued operations, net of taxes | $ | (2) | | $ | (2) | | |
| Net income before attribution of noncontrolling interests | Net income before attribution of noncontrolling interests | $ | 7,975 | | $ | 2,530 | | | Net income before attribution of noncontrolling interests | $ | 4,323 | | $ | 7,975 | | |
| Noncontrolling interests | Noncontrolling interests | 33 | | (6) | | | Noncontrolling interests | 17 | | 33 | | |
| Citigroup’s net income | Citigroup’s net income | $ | 7,942 | | $ | 2,536 | | | Citigroup’s net income | $ | 4,306 | | $ | 7,942 | | |
Basic earnings per share(2)(3) | Basic earnings per share(2)(3) | | | Basic earnings per share(2)(3) | | |
| Income from continuing operations | Income from continuing operations | $ | 3.64 | | $ | 1.07 | | | Income from continuing operations | $ | 2.03 | | $ | 3.64 | | |
| Income from discontinued operations, net of taxes | Income from discontinued operations, net of taxes | 0 | | (0.01) | | | Income from discontinued operations, net of taxes | — | | — | | |
| Net income | Net income | $ | 3.64 | | $ | 1.06 | | | Net income | $ | 2.03 | | $ | 3.64 | | |
Weighted average common shares outstanding (in millions) | Weighted average common shares outstanding (in millions) | 2,082.0 | | 2,097.9 | | | Weighted average common shares outstanding (in millions) | 1,971.7 | | 2,082.0 | | |
Diluted earnings per share(2)(3) | Diluted earnings per share(2)(3) | | | Diluted earnings per share(2)(3) | | |
| Income from continuing operations | Income from continuing operations | $ | 3.62 | | $ | 1.06 | | | Income from continuing operations | $ | 2.02 | | $ | 3.62 | | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | 0 | | (0.01) | | | Income (loss) from discontinued operations, net of taxes | — | | — | | |
| Net income | Net income | $ | 3.62 | | $ | 1.06 | | | Net income | $ | 2.02 | | $ | 3.62 | | |
Adjusted weighted average common shares outstanding (in millions) | Adjusted weighted average common shares outstanding (in millions) | 2,096.6 | | 2,113.7 | | | Adjusted weighted average common shares outstanding (in millions) | 1,988.2 | | 2,096.6 | | |
(1) In accordance with ASC 326.326, which requires the provision for credit losses on AFS securities to be included in revenue.
(2) This total excludes the provision for credit losses on AFS securities, which is disclosed separately above.
(3) Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
| | | | | | | | |
| CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME | | Citigroup Inc. and Subsidiaries |
| (UNAUDITED) | | |
| | | | Three Months Ended March 31, | | | Three Months Ended March 31, | |
| In millions of dollars | In millions of dollars | 2021 | 2020 | | In millions of dollars | 2022 | 2021 | |
| Citigroup’s net income | Citigroup’s net income | $ | 7,942 | | $ | 2,536 | | | Citigroup’s net income | $ | 4,306 | | $ | 7,942 | | |
Add: Citigroup’s other comprehensive income(1) | Add: Citigroup’s other comprehensive income(1) | | | Add: Citigroup’s other comprehensive income(1) | | |
Net change in unrealized gains and losses on debt securities, net of taxes(1) | Net change in unrealized gains and losses on debt securities, net of taxes(1) | $ | (1,785) | | $ | 3,128 | | | Net change in unrealized gains and losses on debt securities, net of taxes(1) | $ | (4,277) | | $ | (1,785) | | |
Net change in debt valuation adjustment (DVA), net of taxes(2) | Net change in debt valuation adjustment (DVA), net of taxes(2) | (42) | | 3,140 | | | Net change in debt valuation adjustment (DVA), net of taxes(2) | 793 | | (42) | | |
| Net change in cash flow hedges, net of taxes | Net change in cash flow hedges, net of taxes | (556) | | 1,897 | | | Net change in cash flow hedges, net of taxes | (1,541) | | (556) | | |
| Benefit plans liability adjustment, net of taxes | Benefit plans liability adjustment, net of taxes | 714 | | (286) | | | Benefit plans liability adjustment, net of taxes | 171 | | 714 | | |
| Net change in foreign currency translation adjustment, net of taxes and hedges | Net change in foreign currency translation adjustment, net of taxes and hedges | (1,274) | | (4,109) | | | Net change in foreign currency translation adjustment, net of taxes and hedges | (14) | | (1,274) | | |
| Net change in excluded component of fair value hedges, net of taxes | Net change in excluded component of fair value hedges, net of taxes | (10) | | 27 | | | Net change in excluded component of fair value hedges, net of taxes | 48 | | (10) | | |
| Citigroup’s total other comprehensive income (loss) | Citigroup’s total other comprehensive income (loss) | $ | (2,953) | | $ | 3,797 | | | Citigroup’s total other comprehensive income (loss) | $ | (4,820) | | $ | (2,953) | | |
| Citigroup’s total comprehensive income | Citigroup’s total comprehensive income | $ | 4,989 | | $ | 6,333 | | | Citigroup’s total comprehensive income | $ | (514) | | $ | 4,989 | | |
Add: Other comprehensive loss attributable to
noncontrolling interests | Add: Other comprehensive loss attributable to
noncontrolling interests | $ | (58) | | $ | (51) | | | Add: Other comprehensive loss attributable to
noncontrolling interests | $ | (29) | | $ | (58) | | |
| Add: Net income (loss) attributable to noncontrolling interests | Add: Net income (loss) attributable to noncontrolling interests | 33 | | (6) | | | Add: Net income (loss) attributable to noncontrolling interests | 17 | | 33 | | |
| Total comprehensive income | Total comprehensive income | $ | 4,964 | | $ | 6,276 | | | Total comprehensive income | $ | (526) | | $ | 4,964 | | |
(1)See Note 17 to the Consolidated Financial Statements.17.
(2)See Note 20 to the Consolidated Financial Statements.20.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
| | | | | | | | |
| CONSOLIDATED BALANCE SHEET | | Citigroup Inc. and Subsidiaries |
| | | March 31, | | | March 31, | |
| | 2021 | December 31, | | 2022 | December 31, |
| In millions of dollars | In millions of dollars | (Unaudited) | 2020 | In millions of dollars | (Unaudited) | 2021 |
| Assets | Assets | | Assets | |
| Cash and due from banks (including segregated cash and other deposits) | Cash and due from banks (including segregated cash and other deposits) | $ | 26,204 | | $ | 26,349 | | Cash and due from banks (including segregated cash and other deposits) | $ | 27,768 | | $ | 27,515 | |
| Deposits with banks, net of allowance | Deposits with banks, net of allowance | 298,478 | | 283,266 | | Deposits with banks, net of allowance | 244,319 | | 234,518 | |
| Securities borrowed and purchased under agreements to resell (including $198,908 and $185,204 as of March 31, 2021 and December 31, 2020, respectively, at fair value), net of allowance | 315,072 | | 294,712 | | |
| Securities borrowed and purchased under agreements to resell (including $234,349 and $216,466 as of March 31, 2022 and December 31, 2021, respectively, at fair value), net of allowance | | Securities borrowed and purchased under agreements to resell (including $234,349 and $216,466 as of March 31, 2022 and December 31, 2021, respectively, at fair value), net of allowance | 345,410 | | 327,288 | |
| Brokerage receivables, net of allowance | Brokerage receivables, net of allowance | 60,465 | | 44,806 | | Brokerage receivables, net of allowance | 89,218 | | 54,340 | |
| Trading account assets (including $175,125 and $168,967 pledged to creditors at March 31, 2021 and December 31, 2020, respectively) | 360,659 | | 375,079 | | |
| Trading account assets (including $147,835 and $133,828 pledged to creditors at March 31, 2022 and December 31, 2021, respectively) | | Trading account assets (including $147,835 and $133,828 pledged to creditors at March 31, 2022 and December 31, 2021, respectively) | 357,997 | | 331,945 | |
| Investments: | Investments: | | Investments: | |
| Available-for-sale debt securities (including $6,740 and $5,921 pledged to creditors as of March 31, 2021 and December 31, 2020, respectively), net of allowance | 304,036 | | 335,084 | | |
| Held-to-maturity debt securities (including $1,031 and $547 pledged to creditors as of March 31, 2021 and December 31, 2020, respectively), net of allowance | 161,742 | | 104,943 | | |
| Equity securities (including $784 and $1,066 at fair value as of March 31, 2021 and December 31, 2020, respectively) | 7,181 | | 7,332 | | |
| Available-for-sale debt securities (including $5,659 and $9,226 pledged to creditors as of March 31, 2022 and December 31, 2021, respectively), net of allowance | | Available-for-sale debt securities (including $5,659 and $9,226 pledged to creditors as of March 31, 2022 and December 31, 2021, respectively), net of allowance | 264,774 | | 288,522 | |
| Held-to-maturity debt securities (including $1,294 and $1,460 pledged to creditors as of March 31, 2022 and December 31, 2021, respectively), net of allowance | | Held-to-maturity debt securities (including $1,294 and $1,460 pledged to creditors as of March 31, 2022 and December 31, 2021, respectively), net of allowance | 242,547 | | 216,963 | |
| Equity securities (including $957 and $1,032 at fair value as of March 31, 2022 and December 31, 2021, respectively) | | Equity securities (including $957 and $1,032 at fair value as of March 31, 2022 and December 31, 2021, respectively) | 7,281 | | 7,337 | |
| Total investments | Total investments | $ | 472,959 | | $ | 447,359 | | Total investments | $ | 514,602 | | $ | 512,822 | |
| Loans: | Loans: | | Loans: | |
| Consumer (including $15 and $14 as of March 31, 2021 and December 31, 2020, respectively, at fair value) | 274,034 | | 288,839 | | |
| Corporate (including $7,510 and $6,840 as of March 31, 2021 and December 31, 2020, respectively, at fair value) | 391,954 | | 387,044 | | |
| Consumer (including $10 and $12 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | | Consumer (including $10 and $12 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | 350,328 | | 376,534 | |
| Corporate (including $5,722 and $6,070 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | | Corporate (including $5,722 and $6,070 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | 309,341 | | 291,233 | |
| Loans, net of unearned income | Loans, net of unearned income | $ | 665,988 | | $ | 675,883 | | Loans, net of unearned income | $ | 659,669 | | $ | 667,767 | |
| Allowance for credit losses on loans (ACLL) | Allowance for credit losses on loans (ACLL) | (21,638) | | (24,956) | | Allowance for credit losses on loans (ACLL) | (15,393) | | (16,455) | |
| Total loans, net | Total loans, net | $ | 644,350 | | $ | 650,927 | | Total loans, net | $ | 644,276 | | $ | 651,312 | |
| Goodwill | Goodwill | 21,905 | | 22,162 | | Goodwill | 19,865 | | 21,299 | |
| Intangible assets (including MSRs of $433 and $336 as of March 31, 2021 and December 31, 2020, respectively, at fair value) | 4,741 | | 4,747 | | |
| Other assets (including $10,175 and $14,613 as of March 31, 2021 and December 31, 2020, respectively, at fair value), net of allowance | 109,433 | | 110,683 | | |
| Intangible assets (including MSRs of $520 and $404 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | | Intangible assets (including MSRs of $520 and $404 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | 4,522 | | 4,495 | |
| Other assets (including $11,789 and $12,342 as of March 31, 2022 and December 31, 2021, respectively, at fair value), net of allowance | | Other assets (including $11,789 and $12,342 as of March 31, 2022 and December 31, 2021, respectively, at fair value), net of allowance | 146,128 | | 125,879 | |
| | Total assets | Total assets | $ | 2,314,266 | | $ | 2,260,090 | | Total assets | $ | 2,394,105 | | $ | 2,291,413 | |
The following table presents certain assets of consolidated variable interest entities (VIEs), which are included on 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. In addition, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
| | | | | | | | |
| March 31, | |
| 2021 | December 31, |
| In millions of dollars | (Unaudited) | 2020 |
| Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | | |
| Cash and due from banks | $ | 156 | | $ | 281 | |
| Trading account assets | 7,659 | | 8,104 | |
| Investments | 903 | | 837 | |
| Loans, net of unearned income | | |
| Consumer | 34,514 | | 37,561 | |
| Corporate | 16,789 | | 17,027 | |
| Loans, net of unearned income | $ | 51,303 | | $ | 54,588 | |
| Allowance for credit losses on loans (ACLL) | (3,416) | | (3,794) | |
| Total loans, net | $ | 47,887 | | $ | 50,794 | |
| Other assets | 51 | | 43 | |
| Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | $ | 56,656 | | $ | 60,059 | |
| | | | | | | | |
| March 31, | |
| 2022 | December 31, |
| In millions of dollars | (Unaudited) | 2021 |
| Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | | |
| Cash and due from banks | $ | 121 | | $ | 260 | |
| Trading account assets | 10,206 | | 10,038 | |
| Investments | 837 | | 844 | |
| Loans, net of unearned income | | |
| Consumer | 33,568 | | 34,677 | |
| Corporate | 13,844 | | 14,312 | |
| Loans, net of unearned income | $ | 47,412 | | $ | 48,989 | |
| Allowance for credit losses on loans (ACLL) | (2,462) | | (2,668) | |
| Total loans, net | $ | 44,950 | | $ | 46,321 | |
| Other assets | 1,142 | | 1,174 | |
| Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | $ | 57,256 | | $ | 58,637 | |
Statement continues on the next page.
CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries
(Continued)
| | | March 31, | | | March 31, | |
| | 2021 | December 31, | | 2022 | December 31, |
| In millions of dollars, except shares and per share amounts | In millions of dollars, except shares and per share amounts | (Unaudited) | 2020 | In millions of dollars, except shares and per share amounts | (Unaudited) | 2021 |
| Liabilities | Liabilities | | Liabilities | |
| Non-interest-bearing deposits in U.S. offices | Non-interest-bearing deposits in U.S. offices | $ | 138,192 | | $ | 126,942 | | Non-interest-bearing deposits in U.S. offices | $ | 153,666 | | $ | 158,552 | |
| Interest-bearing deposits in U.S. offices (including $962 and $879 as of March 31, 2021 and December 31, 2020, respectively, at fair value) | 497,335 | | 503,213 | | |
| Interest-bearing deposits in U.S. offices (including $893 and $879 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | | Interest-bearing deposits in U.S. offices (including $893 and $879 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | 557,327 | | 543,283 | |
| Non-interest-bearing deposits in offices outside the U.S. | Non-interest-bearing deposits in offices outside the U.S. | 101,662 | | 100,543 | | Non-interest-bearing deposits in offices outside the U.S. | 98,579 | | 97,270 | |
| Interest-bearing deposits in offices outside the U.S. (including $2,178 and $1,079 as of March 31, 2021 and December 31, 2020, respectively, at fair value) | 563,786 | | 549,973 | | |
| Interest-bearing deposits in offices outside the U.S. (including $945 and $787 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | | Interest-bearing deposits in offices outside the U.S. (including $945 and $787 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | 524,139 | | 518,125 | |
| Total deposits | Total deposits | $ | 1,300,975 | | $ | 1,280,671 | | Total deposits | $ | 1,333,711 | | $ | 1,317,230 | |
| Securities loaned and sold under agreements to repurchase (including $68,713 and $60,206 as of March 31, 2021 and December 31, 2020, respectively, at fair value) | 219,168 | | 199,525 | | |
| Brokerage payables | 60,907 | | 50,484 | | |
| Securities loaned and sold under agreements to repurchase (including $65,543 and $56,694 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | | Securities loaned and sold under agreements to repurchase (including $65,543 and $56,694 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | 204,494 | | 191,285 | |
Brokerage payables (including $3,668 and $3,575 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | | Brokerage payables (including $3,668 and $3,575 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | 91,324 | | 61,430 | |
| Trading account liabilities | Trading account liabilities | 179,117 | | 168,027 | | Trading account liabilities | 188,059 | | 161,529 | |
| Short-term borrowings (including $7,406 and $4,683 as of March 31, 2021 and December 31, 2020, respectively, at fair value) | 32,087 | | 29,514 | | |
| Long-term debt (including $68,071 and $67,063 as of March 31, 2021 and December 31, 2020, respectively, at fair value) | 256,335 | | 271,686 | | |
| Other liabilities (including $2,675 and $6,835 as of March 31, 2021 and December 31, 2020, respectively, at fair value), including allowance | 62,404 | | 59,983 | | |
| Short-term borrowings (including $7,367 and $7,358 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | | Short-term borrowings (including $7,367 and $7,358 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | 30,144 | | 27,973 | |
| Long-term debt (including $83,277 and $82,609 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | | Long-term debt (including $83,277 and $82,609 as of March 31, 2022 and December 31, 2021, respectively, at fair value) | 253,954 | | 254,374 | |
| Other liabilities | | Other liabilities | 94,066 | | 74,920 | |
| | Total liabilities | Total liabilities | $ | 2,110,993 | | $ | 2,059,890 | | Total liabilities | $ | 2,195,752 | | $ | 2,088,741 | |
| Stockholders’ equity | Stockholders’ equity | | Stockholders’ equity | |
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of March 31, 2021—811,200 and as of December 31, 2020—779,200, at aggregate liquidation value | $ | 20,280 | | $ | 19,480 | | |
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of March 31, 2021—3,099,690,888 and as of December 31, 2020—3,099,763,661 | 31 | | 31 | | |
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of March 31, 2022—759,800 and as of December 31, 2021—759,800, at aggregate liquidation value | | Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of March 31, 2022—759,800 and as of December 31, 2021—759,800, at aggregate liquidation value | $ | 18,995 | | $ | 18,995 | |
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of March 31, 2022—3,099,669,033 and as of December 31, 2021—3,099,651,835 | | Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of March 31, 2022—3,099,669,033 and as of December 31, 2021—3,099,651,835 | 31 | | 31 | |
| Additional paid-in capital | Additional paid-in capital | 107,694 | | 107,846 | | Additional paid-in capital | 108,050 | | 108,003 | |
| Retained earnings | Retained earnings | 174,816 | | 168,272 | | Retained earnings | 187,962 | | 184,948 | |
Treasury stock, at cost: March 31, 2021—1,032,643,369 shares and
December 31, 2020—1,017,674,452 shares | (65,261) | | (64,129) | | |
Treasury stock, at cost: March 31, 2022—1,157,748,491 shares and
December 31, 2021—1,115,296,641 shares | | Treasury stock, at cost: March 31, 2022—1,157,748,491 shares and
December 31, 2021—1,115,296,641 shares | (73,744) | | (71,240) | |
Accumulated other comprehensive income (loss) (AOCI) | Accumulated other comprehensive income (loss) (AOCI) | (35,011) | | (32,058) | | Accumulated other comprehensive income (loss) (AOCI) | (43,585) | | (38,765) | |
| Total Citigroup stockholders’ equity | Total Citigroup stockholders’ equity | $ | 202,549 | | $ | 199,442 | | Total Citigroup stockholders’ equity | $ | 197,709 | | $ | 201,972 | |
| Noncontrolling interests | Noncontrolling interests | 724 | | 758 | | Noncontrolling interests | 644 | | 700 | |
| Total equity | Total equity | $ | 203,273 | | $ | 200,200 | | Total equity | $ | 198,353 | | $ | 202,672 | |
| Total liabilities and equity | Total liabilities and equity | $ | 2,314,266 | | $ | 2,260,090 | | Total liabilities and equity | $ | 2,394,105 | | $ | 2,291,413 | |
The following table presents certain liabilities of consolidated VIEs, which are included on the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.
| | | | | | | | |
| March 31, | |
| 2021 | December 31, |
| In millions of dollars | (Unaudited) | 2020 |
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup | | |
| Short-term borrowings | $ | 9,344 | | $ | 9,278 | |
| Long-term debt | 15,699 | | 20,405 | |
| Other liabilities | 384 | | 463 | |
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup | $ | 25,427 | | $ | 30,146 | |
| | | | | | | | |
| March 31, | |
| 2022 | December 31, |
| In millions of dollars | (Unaudited) | 2021 |
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup | | |
| Short-term borrowings | $ | 8,394 | | $ | 8,376 | |
| Long-term debt | 12,556 | | 12,579 | |
| Other liabilities | 844 | | 694 | |
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup | $ | 21,794 | | $ | 21,649 | |
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
| | | | | | | | |
| CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED) | | Citigroup Inc. and Subsidiaries |
| | | Three Months Ended March 31, | | | Three Months Ended March 31, | |
| In millions of dollars | In millions of dollars | 2021 | 2020 | | In millions of dollars | 2022 | 2021 | |
| Preferred stock at aggregate liquidation value | Preferred stock at aggregate liquidation value | | | Preferred stock at aggregate liquidation value | | |
| Balance, beginning of period | Balance, beginning of period | $ | 19,480 | | $ | 17,980 | | | Balance, beginning of period | $ | 18,995 | | $ | 19,480 | | |
| Issuance of new preferred stock | Issuance of new preferred stock | 2,300 | | 1,500 | | | Issuance of new preferred stock | — | | 2,300 | | |
| Redemption of preferred stock | Redemption of preferred stock | (1,500) | | (1,500) | | | Redemption of preferred stock | — | | (1,500) | | |
| Balance, end of period | Balance, end of period | $ | 20,280 | | $ | 17,980 | | | Balance, end of period | $ | 18,995 | | $ | 20,280 | | |
| Common stock and additional paid-in capital (APIC) | Common stock and additional paid-in capital (APIC) | | | | Common stock and additional paid-in capital (APIC) | | | |
| Balance, beginning of period | Balance, beginning of period | $ | 107,877 | | $ | 107,871 | | | Balance, beginning of period | $ | 108,034 | | $ | 107,877 | | |
| Employee benefit plans | Employee benefit plans | (175) | | (292) | | | Employee benefit plans | 46 | | (175) | | |
| Preferred stock issuance costs (new issuances, net of reclassifications to retained earnings for redemptions) | Preferred stock issuance costs (new issuances, net of reclassifications to retained earnings for redemptions) | 23 | | 2 | | | Preferred stock issuance costs (new issuances, net of reclassifications to retained earnings for redemptions) | — | | 23 | | |
| Other | Other | — | | — | | | Other | 1 | | — | | |
| Balance, end of period | Balance, end of period | $ | 107,725 | | $ | 107,581 | | | Balance, end of period | $ | 108,081 | | $ | 107,725 | | |
| Retained earnings | Retained earnings | | | Retained earnings | | |
| Balance, beginning of period | Balance, beginning of period | $ | 168,272 | | $ | 165,369 | | | Balance, beginning of period | $ | 184,948 | | $ | 168,272 | | |
Adjustments to opening balance, net of taxes(1) | | | |
| Financial instruments—credit losses (CECL adoption) | — | | (3,076) | | | |
| Variable post-charge-off third-party collection costs | — | | 330 | | | |
| Adjusted balance, beginning of period | $ | 168,272 | | $ | 162,623 | | | |
| | Citigroup’s net income | Citigroup’s net income | 7,942 | | 2,536 | | | Citigroup’s net income | 4,306 | | 7,942 | | |
Common dividends(2)(1) | Common dividends(2)(1) | (1,074) | | (1,081) | | | Common dividends(2)(1) | (1,014) | | (1,074) | | |
| Preferred dividends | Preferred dividends | (292) | | (291) | | | Preferred dividends | (279) | | (292) | | |
| Other (primarily reclassifications from APIC for preferred issuance costs on redemptions) | Other (primarily reclassifications from APIC for preferred issuance costs on redemptions) | (32) | | (5) | | | Other (primarily reclassifications from APIC for preferred issuance costs on redemptions) | 1 | | (32) | | |
| Balance, end of period | Balance, end of period | $ | 174,816 | | $ | 163,782 | | | Balance, end of period | $ | 187,962 | | $ | 174,816 | | |
| Treasury stock, at cost | Treasury stock, at cost | | | | Treasury stock, at cost | | | |
| Balance, beginning of period | Balance, beginning of period | $ | (64,129) | | $ | (61,660) | | | Balance, beginning of period | $ | (71,240) | | $ | (64,129) | | |
Employee benefit plans(3)(2) | Employee benefit plans(3)(2) | 468 | | 438 | | | Employee benefit plans(3)(2) | 496 | | 468 | | |
Treasury stock acquired(4)(3) | Treasury stock acquired(4)(3) | (1,600) | | (2,925) | | | Treasury stock acquired(4)(3) | (3,000) | | (1,600) | | |
| Balance, end of period | Balance, end of period | $ | (65,261) | | $ | (64,147) | | | Balance, end of period | $ | (73,744) | | $ | (65,261) | | |
| Citigroup’s accumulated other comprehensive income (loss) | Citigroup’s accumulated other comprehensive income (loss) | | | | Citigroup’s accumulated other comprehensive income (loss) | | | |
| Balance, beginning of period | Balance, beginning of period | $ | (32,058) | | $ | (36,318) | | | Balance, beginning of period | $ | (38,765) | | $ | (32,058) | | |
| | Citigroup’s total other comprehensive income | Citigroup’s total other comprehensive income | (2,953) | | 3,797 | | | Citigroup’s total other comprehensive income | (4,820) | | (2,953) | | |
| Balance, end of period | Balance, end of period | $ | (35,011) | | $ | (32,521) | | | Balance, end of period | $ | (43,585) | | $ | (35,011) | | |
| Total Citigroup common stockholders’ equity | Total Citigroup common stockholders’ equity | $ | 182,269 | | $ | 174,695 | | | Total Citigroup common stockholders’ equity | $ | 178,714 | | $ | 182,269 | | |
| Total Citigroup stockholders’ equity | Total Citigroup stockholders’ equity | $ | 202,549 | | $ | 192,675 | | | Total Citigroup stockholders’ equity | $ | 197,709 | | $ | 202,549 | | |
| Noncontrolling interests | Noncontrolling interests | | | | Noncontrolling interests | | | |
| Balance, beginning of period | Balance, beginning of period | $ | 758 | | $ | 704 | | | Balance, beginning of period | $ | 700 | | $ | 758 | | |
| Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary | Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary | — | | (6) | | | Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary | — | | — | | |
| Transactions between Citigroup and the noncontrolling-interest shareholders | Transactions between Citigroup and the noncontrolling-interest shareholders | — | | — | | | Transactions between Citigroup and the noncontrolling-interest shareholders | (33) | | — | | |
| Net income attributable to noncontrolling-interest shareholders | Net income attributable to noncontrolling-interest shareholders | 33 | | (6) | | | Net income attributable to noncontrolling-interest shareholders | 17 | | 33 | | |
| Distributions paid to noncontrolling-interest shareholders | Distributions paid to noncontrolling-interest shareholders | — | | — | | | Distributions paid to noncontrolling-interest shareholders | — | | — | | |
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders | Other comprehensive income (loss) attributable to noncontrolling-interest shareholders | (58) | | (51) | | | Other comprehensive income (loss) attributable to noncontrolling-interest shareholders | (29) | | (58) | | |
| Other | Other | (9) | | 10 | | | Other | (11) | | (9) | | |
| Net change in noncontrolling interests | Net change in noncontrolling interests | $ | (34) | | $ | (53) | | | Net change in noncontrolling interests | $ | (56) | | $ | (34) | | |
| Balance, end of period | Balance, end of period | $ | 724 | | $ | 651 | | | Balance, end of period | $ | 644 | | $ | 724 | | |
| Total equity | Total equity | $ | 203,273 | | $ | 193,326 | | | Total equity | $ | 198,353 | | $ | 203,273 | | |
(1) See Note 1 to the Consolidated Financial Statements for additional details.
(2) Common dividends declared were $0.51 per share in bothfor each of the first quarters of 20212022 and 2020.2021.
(3)(2) Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements.
(4)(3) Primarily consists of open market purchases under Citi’s Board of Directors-approved common share repurchase program.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
| | | | | | | | |
CONSOLIDATED STATEMENT OF CASH FLOWS | | Citigroup Inc. and Subsidiaries |
| (UNAUDITED) | | |
| | | | | | | | |
| | Three Months Ended March 31, |
| In millions of dollars | 2021 | 2020 |
| Cash flows from operating activities of continuing operations | | |
| Net income before attribution of noncontrolling interests | $ | 7,975 | | $ | 2,530 | |
| Net income attributable to noncontrolling interests | 33 | | (6) | |
| Citigroup’s net income | $ | 7,942 | | $ | 2,536 | |
| Loss from discontinued operations, net of taxes | (2) | | (18) | |
| | |
| Income from continuing operations—excluding noncontrolling interests | $ | 7,944 | | $ | 2,554 | |
| Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations | | |
| | |
| | |
| | |
| Depreciation and amortization | 962 | | 927 | |
| | |
| Provisions for credit losses on loans and unfunded lending commitments | (2,105) | | 6,934 | |
| Realized gains from sales of investments | (401) | | (432) | |
| Impairment losses on investments and other assets | 69 | | 55 | |
| Change in trading account assets | 14,405 | | (88,875) | |
| Change in trading account liabilities | 11,090 | | 44,101 | |
| Change in brokerage receivables net of brokerage payables | (5,236) | | (2,931) | |
| Change in loans HFS | 1,561 | | (1,393) | |
| Change in other assets | (383) | | (3,123) | |
| Change in other liabilities | 3,047 | | 1,605 | |
| Other, net | (7,755) | | 15,045 | |
| Total adjustments | $ | 15,254 | | $ | (28,087) | |
| Net cash provided by (used in) operating activities of continuing operations | $ | 23,198 | | $ | (25,533) | |
| Cash flows from investing activities of continuing operations | | |
| Change in securities borrowed and purchased under agreements to resell | $ | (20,360) | | $ | (11,214) | |
| Change in loans | 9,933 | | (26,743) | |
| Proceeds from sales and securitizations of loans | 323 | | 596 | |
| Purchases of investments | (111,187) | | (108,658) | |
| Proceeds from sales of investments | 46,049 | | 44,399 | |
| Proceeds from maturities of investments | 35,088 | | 29,203 | |
| | |
| | |
| Capital expenditures on premises and equipment and capitalized software | (830) | | (460) | |
| Proceeds from sales of premises and equipment, subsidiaries and affiliates and repossessed assets | 10 | | 2 | |
| Other, net | 40 | | 18 | |
| Net cash used in investing activities of continuing operations | $ | (40,934) | | $ | (72,857) | |
| Cash flows from financing activities of continuing operations | | |
| Dividends paid | $ | (1,356) | | $ | (1,365) | |
| Issuance of preferred stock | 2,300 | | 1,500 | |
| Redemption of preferred stock | (1,500) | | (1,500) | |
| Treasury stock acquired | (1,481) | | (2,925) | |
| Stock tendered for payment of withholding taxes | (312) | | (406) | |
| Change in securities loaned and sold under agreements to repurchase | 19,643 | | 55,985 | |
| Issuance of long-term debt | 15,516 | | 28,927 | |
| Payments and redemptions of long-term debt | (22,432) | | (13,081) | |
| Change in deposits | 20,304 | | 114,321 | |
| Change in short-term borrowings | 2,573 | | 9,902 | |
| | | | | | | | |
| | Three Months Ended March 31, |
| In millions of dollars | 2022 | 2021 |
| Cash flows from operating activities of continuing operations | | |
| Net income before attribution of noncontrolling interests | $ | 4,323 | | $ | 7,975 | |
| Net income attributable to noncontrolling interests | 17 | | 33 | |
| Citigroup’s net income | $ | 4,306 | | $ | 7,942 | |
| Loss from discontinued operations, net of taxes | (2) | | (2) | |
| | |
| Income from continuing operations—excluding noncontrolling interests | $ | 4,308 | | $ | 7,944 | |
| Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations | | |
Net loss on significant disposals(1) | 118 | | — | |
| | |
| | |
| Depreciation and amortization | 1,015 | | 962 | |
| | |
| | |
| Provisions for credit losses on loans and unfunded lending commitments | 734 | | (2,105) | |
| Goodwill impairment | 535 | | — | |
| Realized gains from sales of investments | (80) | | (401) | |
| Impairment losses on investments and other assets | 90 | | 69 | |
| Change in trading account assets | (26,073) | | 14,405 | |
| Change in trading account liabilities | 26,530 | | 11,090 | |
| Change in brokerage receivables net of brokerage payables | (4,984) | | (5,236) | |
| Change in loans HFS | 3,223 | | 1,561 | |
| Change in other assets | (7,497) | | (383) | |
| Change in other liabilities | 310 | | 3,047 | |
| Other, net | (11,773) | | (7,755) | |
| Total adjustments | $ | (17,852) | | $ | 15,254 | |
| Net cash provided by (used in) operating activities of continuing operations | $ | (13,544) | | $ | 23,198 | |
| Cash flows from investing activities of continuing operations | | |
| Change in securities borrowed and purchased under agreements to resell | $ | (18,122) | | $ | (20,360) | |
| Change in loans | (9,643) | | 9,933 | |
| Proceeds from sales and securitizations of loans | 676 | | 323 | |
Available-for-sale debt securities(2): | | |
| Purchases of investments | (66,115) | | (48,998) | |
| Proceeds from sales of investments | 57,084 | | 45,960 | |
| Proceeds from maturities of investments | 28,333 | | 30,003 | |
Held-to-maturity debt securities(2): | | |
| Purchases of investments | (28,406) | | (62,067) | |
| Proceeds from maturities of investments | 2,775 | | 5,085 | |
| | |
| | |
| | |
| | |
| | |
| Capital expenditures on premises and equipment and capitalized software | (1,229) | | (830) | |
Proceeds from sales of premises and equipment, subsidiaries and affiliates
and repossessed assets | 15 | | 10 | |
| Other, net | 109 | | 7 | |
| Net cash used in investing activities of continuing operations | $ | (34,523) | | $ | (40,934) | |
| Cash flows from financing activities of continuing operations | | |
| Dividends paid | $ | (1,286) | | $ | (1,356) | |
| Issuance of preferred stock | — | | 2,300 | |
| Redemption of preferred stock | — | | (1,500) | |
| | CONSOLIDATED STATEMENT OF CASH FLOWS | CONSOLIDATED STATEMENT OF CASH FLOWS | | CONSOLIDATED STATEMENT OF CASH FLOWS | |
| (UNAUDITED) (Continued) | (UNAUDITED) (Continued) | | (UNAUDITED) (Continued) | |
| | Three Months Ended March 31, | | Three Months Ended March 31, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | In millions of dollars | 2022 | 2021 |
| Treasury stock acquired | | Treasury stock acquired | $ | (2,833) | | $ | (1,481) | |
| Stock tendered for payment of withholding taxes | | Stock tendered for payment of withholding taxes | (330) | | (312) | |
| Change in securities loaned and sold under agreements to repurchase | | Change in securities loaned and sold under agreements to repurchase | 13,209 | | 19,643 | |
| Issuance of long-term debt | | Issuance of long-term debt | 29,668 | | 15,516 | |
| Payments and redemptions of long-term debt | | Payments and redemptions of long-term debt | (17,061) | | (22,432) | |
| Change in deposits | | Change in deposits | 34,816 | | 20,304 | |
| Change in short-term borrowings | | Change in short-term borrowings | 2,171 | | 2,573 | |
| Net cash provided by financing activities of continuing operations | Net cash provided by financing activities of continuing operations | $ | 33,255 | | $ | 191,358 | | Net cash provided by financing activities of continuing operations | $ | 58,354 | | $ | 33,255 | |
| Effect of exchange rate changes on cash and due from banks | Effect of exchange rate changes on cash and due from banks | $ | (452) | | $ | (967) | | Effect of exchange rate changes on cash and due from banks | $ | (233) | | $ | (452) | |
| | Change in cash, due from banks and deposits with banks | Change in cash, due from banks and deposits with banks | 15,067 | | 92,001 | | Change in cash, due from banks and deposits with banks | 10,054 | | 15,067 | |
| Cash, due from banks and deposits with banks at beginning of period | Cash, due from banks and deposits with banks at beginning of period | 309,615 | | 193,919 | | Cash, due from banks and deposits with banks at beginning of period | 262,033 | | 309,615 | |
| Cash, due from banks and deposits with banks at end of period | Cash, due from banks and deposits with banks at end of period | $ | 324,682 | | $ | 285,920 | | Cash, due from banks and deposits with banks at end of period | $ | 272,087 | | $ | 324,682 | |
| Cash and due from banks (including segregated cash and other deposits) | Cash and due from banks (including segregated cash and other deposits) | $ | 26,204 | | $ | 23,755 | | Cash and due from banks (including segregated cash and other deposits) | $ | 27,768 | | $ | 26,204 | |
| Deposits with banks, net of allowance | Deposits with banks, net of allowance | 298,478 | | 262,165 | | Deposits with banks, net of allowance | 244,319 | | 298,478 | |
| Cash, due from banks and deposits with banks at end of period | Cash, due from banks and deposits with banks at end of period | $ | 324,682 | | $ | 285,920 | | Cash, due from banks and deposits with banks at end of period | $ | 272,087 | | $ | 324,682 | |
| Supplemental disclosure of cash flow information for continuing operations | Supplemental disclosure of cash flow information for continuing operations | | Supplemental disclosure of cash flow information for continuing operations | |
| Cash paid during the period for income taxes | Cash paid during the period for income taxes | $ | 950 | | $ | 1,441 | | Cash paid during the period for income taxes | $ | 631 | | $ | 950 | |
| Cash paid during the period for interest | Cash paid during the period for interest | 1,729 | | 5,424 | | Cash paid during the period for interest | 2,782 | | 1,389 | |
Non-cash investing activities(1) | | | |
Non-cash investing activities(1)(3) | | Non-cash investing activities(1)(3) | | |
| | Decrease in net loans associated with significant disposals reclassified to HFS | | Decrease in net loans associated with significant disposals reclassified to HFS | $ | 14,970 | | $ | — | |
| | Decrease in goodwill associated with significant disposals reclassified to HFS | | Decrease in goodwill associated with significant disposals reclassified to HFS | 715 | | — | |
| Transfers to loans HFS (Other assets) from loans | | Transfers to loans HFS (Other assets) from loans | 328 | | 636 | |
| Non-cash financing activities(1) | | Non-cash financing activities(1) | |
| Decrease in deposits associated with significant disposals reclassified to HFS | | Decrease in deposits associated with significant disposals reclassified to HFS | $ | 18,334 | | $ | — | |
| Decrease in long-term debt associated with significant disposals reclassified to HFS | | Decrease in long-term debt associated with significant disposals reclassified to HFS | 28 | | — | |
| Transfers to loans HFS (Other assets) from loans | $ | 636 | | $ | 224 | | |
|
(1) See Note 2 for further information on significant disposals.
(2) Citi has revised the Consolidated Statement of Cash Flows to present purchases of investments, sales of investments and proceeds from maturities of investments separately between available-for-sale debt securities and held-to-maturity debt securities. Citi had no sales of held-to-maturity debt securities during the periods presented.
(3) Operating and finance lease right-of-use assets and lease liabilities represent non-cash investing and financing activities, respectively, and are not included in the non-cash investing activities presented here. See Note 22 to the Consolidated Financial Statements for more information and balances as of March 31, 2021.2022.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION, UPDATED ACCOUNTING POLICIES AND ACCOUNTING CHANGES
Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of March 31, 20212022 and for the three-month periods ended March 31, 20212022 and 20202021 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, 2020 (2020 Annual Report on2021 (2021 Form 10-K).
Certain financial information that is normally included in annual financial statements prepared in accordance with U.S. generally accepted accounting principles (GAAP), but is not required for interim reporting purposes, has been condensed or omitted.
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related footnote disclosures. While management uses its best judgment, actual results could differ from those estimates.
As noted above, the Notes to these Consolidated Financial Statements are unaudited.
Throughout these Notes, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Certain reclassifications and updates have been made to the prior periods’ financial statements and notes to conform to the current period’s presentation.
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
See Note 1 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report on2021 Form 10-K for a summary of all of Citigroup’s significant accounting policies.
ACCOUNTING CHANGES
Accounting for Financial Instruments—Credit Losses
Overview
In June 2016, the Financial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326). The ASU introduced a new credit loss methodology, the current expected credit losses (CECL) methodology, which requires earlier recognition of credit losses while also providing additional disclosure about credit risk. Citi adopted the ASU as of January 1, 2020, which, as discussed below, resulted in an increase in Citi’s Allowance for credit losses and a decrease to opening Retained earnings, net of deferred income taxes, at January 1, 2020.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities, receivables and other financial assets measured at amortized cost at the time the financial asset is originated or acquired. The ACL is adjusted each period for changes in expected lifetime credit losses. The CECL methodology represents a significant change from prior U.S. GAAP and replaced the prior multiple existing impairment methods, which generally required that a loss be incurred before it was recognized. Within the life cycle of a loan or other financial asset, the methodology generally results in the earlier recognition of the provision for credit losses and the related ACL than prior U.S. GAAP. For available-for-sale debt securities where fair value is less than cost that Citi intends to hold or more-likely-than-not will not be required to sell, credit-related impairment, if any, is recognized through an ACL and adjusted each period for changes in credit risk.
January 1, 2020 CECL Transition (Day 1) Impact
The CECL methodology’s impact on expected credit losses, among other things, reflects Citi’s view of the current state of the economy, forecasted macroeconomic conditions and Citi’s portfolios. At the January 1, 2020 date of adoption, based on forecasts of macroeconomic conditions and exposures at that time, the aggregate impact to Citi was an approximate $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the Allowance for credit losses for Citi’s consumer exposures, primarily driven by the impact on credit card receivables of longer estimated tenors under the CECL lifetime expected credit loss methodology (loss coverage of approximately 23 months) compared to shorter estimated tenors under the probable loss methodology under prior U.S. GAAP (loss coverage of approximately 14 months), net of recoveries; and (ii) a release of $0.8 billion of reserves primarily related to Citi’s corporate net loan loss exposures, largely due to more precise contractual maturities that result in shorter remaining tenors, incorporation of recoveries and use
of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies.
Under the CECL methodology, the Allowance for credit losses consists of quantitative and qualitative components. Citi’s quantitative component of the Allowance for credit losses is model based and utilizes a single forward-looking macroeconomic forecast, complemented by the qualitative component described below, in estimating expected credit losses and discounts inputs for the corporate classifiably managed portfolios. Reasonable and supportable forecast periods vary by product. For example, Citi’s consumer models use a 13-quarter reasonable and supportable period and revert to historical loss experience thereafter, while its corporate loan models use a nine-quarter reasonable and supportable period followed by a three-quarter graduated transition to historical loss experience.
Citi’s qualitative component of the Allowance for credit losses considers (i) the uncertainty of forward-looking scenarios based on the likelihood and severity of a possible recession as another possible scenario; (ii) certain portfolio characteristics, such as portfolio concentration and collateral coverage; and (iii) model limitations as well as idiosyncratic events. Citi calculates a judgmental management adjustment, which is an alternative, more adverse scenario that only considers downside risk.
Accounting for Variable Post-Charge-Off Third-Party Collection CostsDeposit Insurance Expenses
InDuring the fourth quarter of 2020,2021, Citi revisedchanged its presentation of accounting for deposit insurance costs paid to the 2020 second quarter accounting conclusionFederal Deposit Insurance Corporation (FDIC) and similar foreign regulators. These costs were previously presented within Interest expense and, as a result of this change, are now presented within Other operating expenses. Citi concluded that this presentation was preferable in Citi’s circumstances, as it better reflected the nature of these deposit insurance costs in that these costs do not directly represent interest payments to creditors, but are similar in nature to other payments to regulatory agencies that are accounted for its variable post-charge-off third-party collection costs fromas operating expenses.
This change in income statement presentation represents a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to January 1, 2020 opening retained earnings, rather than 2020 net income. As a result, Citi’s full-year and quarterly results for 2020 were revised to reflect this change as if it were effective as of January 1, 2020, as follows:
•An increase to beginning retained earnings on January 1, 2020 of $330 million and a decrease of $443 million in the allowance for credit losses on loans, as well as a $113 million decrease in other assets related to income taxes.
•A decrease of $18 million to provisions for credit losses on loans in the first quarter and increases of $339 million and $122 million to provisions for credit losses on loans in the second and third quarters, respectively.
•Increases in operating expenses of $49 million and $45 million with a corresponding decrease in net credit losses, in the first and second quarters, respectively.
In making these revisions, Citi considered the guidance inunder ASC Topic 250, Accounting Changes and Error Corrections; ASC Topic 270,, with retrospective application to the earliest period presented. This change in accounting principle resulted in a reclassification of $340 million of deposit insurance expenses from Interim ReportingInterest expense; ASC Topic 250-S99-1, to Assessing Materiality; and ASC Topic 250-S99-23, Accounting Changes Not Retroactively Applied Due to Immateriality, Considering the Effects of Prior Year Misstatements when Quantifying Misstatements in Current Year Financial Statements. Citi believes that the effects of the
revisions were not material to any previously reported quarterly or annual period.
Reference Rate Reform
In March 2020, the FASB issued ASU No. 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial ReportingOther operating expenses, which provides optional guidance to easefor the potential burden in accounting for (or recognizingquarter ended March 31, 2021. This change had no impact on Citi’s net income or the effects of) reference rate reform on financial reporting. Specifically, the guidance permits an entity, when certain criteria are met, to consider amendments to contracts made to comply with reference rate reform to meet the definition of a modification under U.S. GAAP. It further allows hedge accounting to be maintained and permits a one-time transfer or sale of qualifying held-to-maturity securities. The expedients and exceptions providedtotal deposit insurance expense incurred by the amendments are permitted to be adopted any time through December 31, 2022 and do not apply to contract modifications made and hedging relationships entered into or evaluated after December 31, 2022, except for certain optional expedients elected for certain hedging relationships existing as of December 31, 2022. The ASU was adopted by Citi as of June 30, 2020 with prospective application and did not impact financial results in 2020.
In January 2021, the FASB issued ASU No. 2021-01, Reference Rate Reform (Topic 848): Scope, which clarifies that the scope of the initial accounting relief issued by the FASB in March 2020 includes derivative instruments that do not reference a rate that is expected to be discontinued but that use an interest rate for margining, discounting or contract price alignment that is modified as a result of reference rate reform (commonly referred to as the “discounting transition”). The amendments do not apply to contract modifications made after December 31, 2022, new hedging relationships entered into after December 31, 2022 and existing hedging relationships evaluated for effectiveness in periods after December 31, 2022, except for hedging relationships existing as of December 31, 2022, that apply certain optional expedients in which the accounting effects are recorded through the end of the hedging relationship. The ASU was adopted by Citi on a full retrospective basis upon issuance and did not impact financial results in 2020.Citi.
FUTURE ACCOUNTING CHANGES
Obligations to Safeguard Crypto-assets Held for Platform Users
In March 2022, the SEC issued Staff Accounting Bulletin (SAB) No. 121, which expresses the views of the SEC staff regarding the accounting for obligations to safeguard crypto-assets an entity holds for platform users. Specifically, the guidance requires issuers that hold digital assets for their platform users to recognize a liability for their obligation to safeguard the digital assets held and a corresponding asset, measured initially and subsequently at fair value. The guidance is effective for interim and annual periods ending after June 15, 2022, with retrospective application to the beginning of the fiscal year, with early adoption permitted. Citi is currently assessing the application of SAB 121, but based on its current activity does not expect any impact to its results of operations as a result of adopting SAB 121.
Fair Value Hedging—Portfolio Layer Method
In March 2022, the FASB issued ASU No. 2022-01, Derivatives and Hedging (Topic 815): Fair Value Hedging—Portfolio Layer Method, intended to better align hedge accounting with an organization’s risk management strategies. Specifically, the guidance expands the current single-layer method to allow multiple hedge layers of a single closed portfolio of qualifying assets, which include both prepayable and non-prepayable assets. Upon the adoption of the guidance, entities may elect to reclassify securities held-to-maturity to the available-for-sale category as long as the reclassified securities are designated in a portfolio hedge. The guidance is effective for fiscal years beginning after December 15, 2022, and interim periods within those fiscal years with early adoption permitted. Citi is evaluating when to adopt the amendments in ASU 2022-01. Citi does not expect a material impact to its results of operations as a result of adopting the amendments.
Troubled Debt Restructurings and Vintage Disclosures
In March 2022, the FASB issued ASU No. 2022-02, Financial Instruments—Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures. The ASU eliminates the accounting guidance for troubled debt restructurings by creditors, enhances disclosure requirements for certain loan refinancings and restructurings by creditors and requires that an entity disclose current-period gross write-offs by year of origination for financing receivables and net investments in
leases within the scope of Subtopic 326-20. The guidance is effective beginning January 1, 2023 and early adoption is permitted. Citi is evaluating whether to early adopt and the effect that ASU 2022-02 will have on its Consolidated Financial Statements and related disclosures.
Long-Duration Insurance Contracts
In August 2018, the FASB issued ASU No. 2018-12, Financial Services—Insurance: Targeted Improvements to the Accounting for Long-Duration Contracts, which changes the existing recognition, measurement, presentation and disclosures for long-duration contracts issued by an insurance entity. Specifically, the guidance (i) improves the timeliness of recognizing changes in the liability for future policy benefits and prescribes the rate used to discount future cash flows for long-duration insurance contracts, (ii) simplifies and improves the accounting for certain market-based options or guarantees associated with deposit (or account balance) contracts, (iii) simplifies the amortization of deferred acquisition costs and (iv) introduces additional quantitative and qualitative disclosures. Citi has certain insurance subsidiaries, primarily in Mexico, that issue long-duration insurance contracts such as traditional life insurance policies and life-contingent annuity contracts that will be impacted by the requirements of ASU 2018-12.
The effective date of ASU 2018-12 was deferred for all insurance entities by ASU 2019-09, FinanceFinancial Services—Insurance: Effective Date (issued in October 2019) and by ASU 2020-11, Financial Services—Insurance: Effective Date and Early Application (issued in November 2020). Citi plans to adopt the targeted improvements in ASU 2018-12 on January 1, 2023 and is currently evaluating the impact of the standard on its insurance subsidiaries. Citi does not expect a material impact to its results of operations as a result of adopting the standard.
2. DISCONTINUED OPERATIONS, AND SIGNIFICANT DISPOSALS AND OTHER BUSINESS EXITS
Discontinued Operations
The Company’s results from Discontinued operations consisted of residual activities related to previously divested operations. All Discontinued operations results are recorded within Corporate/Other.
The following table summarizes financial information for all Discontinued operations:
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| Three Months Ended March 31, | | | | | |
| In millions of dollars | 2021 | 2020 | | | | | | |
| Total revenues, net of interest expense | $ | 0 | | $ | 0 | | | | | | | |
Loss from discontinued operations(1) | $ | (2) | | $ | (18) | | | | | | | |
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| Benefit for income taxes | 0 | | 0 | | | | | | | |
| Income (loss) from discontinued operations, net of taxes | $ | (2) | | $ | (18) | | | | | | | |
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| Three Months Ended March 31, | | | | | |
| In millions of dollars | 2022 | 2021 | | | | | | |
| Total revenues, net of interest expense | $ | — | | $ | — | | | | | | | |
Income (loss) from discontinued operations(1) | $ | (2) | | $ | (2) | | | | | | | |
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| Benefit for income taxes | — | | — | | | | | | | |
| Income (loss) from discontinued operations, net of taxes | $ | (2) | | $ | (2) | | | | | | | |
(1)Amounts in each period relate to the sale of the Egg Banking business in 2011.
Cash flows from Discontinued operations were not material for the periods presented.
As
Significant Disposals
The following five consumer banking business sale agreements (of nine total) were identified as significant disposals that are recorded within the Legacy Franchises segment, including the assets and liabilities that were reclassified to HFS within Other assets and Other liabilities on the Consolidated Balance Sheet and the Income (loss) before taxes (benefits) related to each business. All sales agreements in the table below are subject to regulatory approvals and other closing conditions:
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March 31, | March 31, 2022 |
| In millions of dollars | | Income (loss) before taxes(1) | Assets | | Liabilities | |
| Consumer banking business in | Sale agreement date | Expected close | 2022 | 2021 | Cash and deposits with banks | Loans(2) | Goodwill(3) | Other assets, advances to/from subsidiaries | Other assets | Total assets | Deposits | Long-term debt | Other liabilities | Total liabilities |
Australia(4) | 8/9/21 | first half 2022 | $ | 164 | | $ | 73 | | $ | 18 | | $ | 9,370 | | $ | 257 | | $ | — | | $ | 105 | | $ | 9,750 | | $ | 7,098 | | $ | 451 | | $ | 147 | | $ | 7,696 | |
Philippines(5) | 12/23/21 | second half 2022 | 40 | | 36 | | 30 | | 1,161 | | 244 | | 570 | | 35 | | 2,040 | | 1,386 | | — | | 82 | | 1,468 | |
Thailand(5) | 1/14/22 | second half 2022 | $ | (11) | | $ | 48 | | $ | 17 | | $ | 2,545 | | $ | 157 | | $ | 223 | | $ | 71 | | $ | 3,013 | | $ | 945 | | $ | — | | $ | 224 | | $ | 1,169 | |
Taiwan(5) | 1/28/22 | second half 2023 | 46 | | 85 | | 103 | | 8,170 | | 212 | | 5,199 | | 223 | | 13,907 | | 10,733 | | — | | 220 | | 10,953 | |
India(5) | 3/30/22 | first half 2023 | 72 | | 69 | | 33 | | 3,669 | | 346 | | 2,984 | | 129 | | 7,161 | | 6,579 | | — | | 185 | | 6,764 | |
(1) Income before taxes for the period in which the individually significant component was classified as HFS for all prior periods presented. For Australia, excludes the pretax loss on sale.
(2) Loans, net of allowance as of March 31, 2022: Australia $145 million, Philippines $71 million, Thailand $71 million, Taiwan $66 million and India $69 million.
(3) For Australia, includes intangible assets.
(4) Beginning in the third quarter of 2021, Citi reported the business as HFS. In the third and fourth quarters of 2021, Citi recognized an aggregate pretax loss on sale of approximately $700 million ($600 million after-tax), subject to closing adjustments. The loss on sale primarily reflects the impact of a pretax $625 million currency translation adjustment (CTA) loss (net of hedges) ($475 million after-tax) already reflected in the Accumulated other comprehensive income(AOCI) component of equity. Upon closing, the CTA-related balance will be removed from the AOCI component of equity, resulting in a neutral CTA impact to Citi’s Common Equity Tier 1 Capital. In the first quarter of 2022, Citi recorded an additional pretax loss on sale of approximately $118 million recorded in Other revenue ($81 million after-tax), primarily reflecting the impact of a pretax ACL release of $104 million and contractual adjustments of $14 million.
(5) These sales are expected to result in an after-tax gain upon closing.
Citi did not have any other significant disposals to report as of March 31, 2022. As of May 9, 2022, Citi had not entered into any other definitive sales transactionsagreements related to its recently announced intention to pursue exits of its consumer franchises in 13 markets across Asia and EMEA. In addition, Citi did not have any significant disposals to report as of March 31, 2021.EMEA.
For a description of the Company’s significant disposal transactions in prior periods and financial impact, see Note 2 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
Other Business Exits
Wind-Down of Korea Consumer Banking Business
On October 25, 2021, Citi announced its decision to wind down and close its Korea consumer banking business, which is reported in the Legacy Franchises operating segment. In connection with the announcement, Citibank Korea Inc. (CKI) commenced a voluntary early termination program (Korea VERP). Due to the voluntary nature of this termination program, no liabilities for termination benefits are recorded until CKI makes formal offers to employees that are then irrevocably accepted by those employees. Related charges are recorded as Compensation and benefits.
For the quarter ended March 31, 2022, Citigroup recorded an additional pretax charge of $31 million, composed of gross charges connected to the Korea VERP.
The following table summarizes the reserve charges related to the Korea VERP and other initiatives reported in the Legacy Franchises operating segment and Corporate/Other:
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| In millions of dollars | Employee termination costs |
| Total Citigroup (pretax) | |
| Original charges | $ | 1,052 | |
| Utilization | (1) | |
| Foreign exchange | 3 | |
| Balance at December 31, 2021 | $ | 1,054 | |
| Additional charges | $ | 31 | |
| Utilization | (347) | |
| Foreign exchange | (24) | |
| Balance at March 31, 2022 | $ | 714 | |
The total estimated cash charges for the wind-down are $1.1 billion, most of which were recognized in 2021. Citi will recognize the remaining charges through 2022, as voluntary retirements are phased in and irrevocably accepted in order to minimize business and operational impacts.
3. BUSINESSOPERATING SEGMENTS
Citigroup’s activities are conducted through
Effective January 1, 2022, Citi changed its management structure resulting in changes in its operating segments and reporting units to reflect how the following businessCEO, who is the chief operating decision maker, intends to manage the Company, allocate resources and measure performance. Citi reorganized its management reporting into 3 operating segments:Global Consumer Banking (GCB) and Institutional Clients Group (ICG), Personal Banking and Wealth Management (PBWM) and Legacy Franchises, with Corporate/Other including activities not assigned to a specific operating segment, as well as discontinued operations. The prior-period balances reflect reclassifications to conform the presentation in those periods to the current operating segment structure. Citi’s consolidated results were not impacted by the changes discussed above and remain unchanged for all periods presented.
The operating segments are determined based on how management allocates resources and measures financial performance to make business decisions, and are reflective of the types of customers served and the products and services provided.
ICG consists of Services, Markets and Banking, providing corporate, institutional and public sector clients around the world with a full range of wholesale banking products and services.
PBWM consists of U.S. Personal Banking and Global Wealth Management, providing traditional banking services and credit cards to retail and small business customers in the U.S., and financial services to the entire continuum of wealth clients—from affluent to ultra-high-net-worth—through banking, lending, mortgages, investment, custody and trust product offerings in approximately 20 countries, including the U.S., Mexico and the four wealth management centers: Singapore, Hong Kong, the UAE and London.
Legacy Franchises consists of Asia Consumer and Mexico Consumer/SBMM businesses that Citi intends to exit, and its remaining Legacy Holdings Assets. In addition,
Corporate/Other includes activities not assigned to a specific business segment,the operating segments, including certain unallocated costs of global functions, other corporate expenses and net treasury results, offsets to certain line-item reclassifications and eliminations, and unallocated taxes, as well as certain North America legacy loan portfolios, discontinued operations and other legacy assets.operations.
Beginning in the first quarter of 2021, Citi changed its allocation for certain recurring expenses that are attributable to the business segments from Corporate/Other to GCB and ICG. These expenses include incremental investments related to risk and controls, technology capabilities and information security initiatives, as well as some incremental spend related to pandemic remediation. This change had no impact to earnings before interest and taxes at the Citi level, and given that these expenses were immaterial, the change is not reflected retrospectively. Citi’s consolidated results remained unchanged for all periods presented.
For additional information regarding Citigroup’s business segments, see Note 3 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
The following table presentstables present certain information regarding the Company’s continuing operations by segment:operating segment and Corporate/Other:
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| Three Months Ended March 31, |
| In millions of dollars, except identifiable assets, average loans and average deposits in billions | ICG | PBWM | Legacy Franchises | Corporate/Other | Total Citi |
| 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 |
| Net interest income | $ | 3,784 | | $ | 3,733 | | $ | 5,385 | | $ | 5,165 | | $ | 1,508 | | $ | 1,563 | | $ | 194 | | $ | 45 | | $ | 10,871 | | $ | 10,506 | |
| Non-interest revenue | 7,376 | | 7,655 | | 520 | | 827 | | 423 | | 680 | | (4) | | (1) | | 8,315 | | 9,161 | |
| Total revenues, net of interest expense | $ | 11,160 | | $ | 11,388 | | $ | 5,905 | | $ | 5,992 | | $ | 1,931 | | $ | 2,243 | | $ | 190 | | $ | 44 | | $ | 19,186 | | $ | 19,667 | |
| Operating expense | 6,723 | | 5,932 | | 3,889 | | 3,422 | | 2,293 | | 1,752 | | 260 | | 307 | | 13,165 | | 11,413 | |
| Provision for credit losses | 971 | | (1,539) | | (376) | | (557) | | 160 | | 44 | | — | | (3) | | 755 | | (2,055) | |
| Income (loss) from continuing operations before taxes | $ | 3,466 | | $ | 6,995 | | $ | 2,392 | | $ | 3,127 | | $ | (522) | | $ | 447 | | $ | (70) | | $ | (260) | | $ | 5,266 | | $ | 10,309 | |
| Provision (benefits) for income taxes | 808 | | 1,565 | | 532 | | 707 | | (137) | | 127 | | (262) | | (67) | | 941 | | 2,332 | |
| Income (loss) from continuing operations | $ | 2,658 | | $ | 5,430 | | $ | 1,860 | | $ | 2,420 | | $ | (385) | | $ | 320 | | $ | 192 | | $ | (193) | | $ | 4,325 | | $ | 7,977 | |
| Identifiable assets (March 31, 2022 and December 31, 2021) | $ | 1,704 | | $ | 1,613 | | $ | 476 | | $ | 464 | | $ | 122 | | $ | 125 | | $ | 92 | | $ | 89 | | $ | 2,394 | | $ | 2,291 | |
| Average loans | 289 | | 281 | | 312 | | 303 | | 48 | | 82 | | — | | — | | 649 | | 666 | |
| Average deposits | 826 | | 809 | | 447 | | 397 | | 55 | | 87 | | 6 | | 11 | | 1,334 | | 1,304 | |
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| Three Months Ended March 31, | | |
| Revenues,
net of interest expense(1) | Provision (benefits)
for income taxes | Income (loss) from
continuing operations(2) | Identifiable assets |
| In millions of dollars, except identifiable assets in billions | 2021 | 2020 | 2021 | 2020 | 2021 | 2020 | March 31,
2021 | December 31, 2020 |
| Global Consumer Banking | $ | 7,037 | | $ | 8,174 | | $ | 658 | | $ | (266) | | $ | 2,174 | | $ | (741) | | $ | 439 | | $ | 434 | |
| Institutional Clients Group | 12,220 | | 12,484 | | 1,736 | | 1,044 | | 5,972 | | 3,626 | | 1,776 | | 1,730 | |
| Corporate/Other | 70 | | 73 | | (62) | | (198) | | (169) | | (337) | | 99 | | 96 | |
| Total | $ | 19,327 | | $ | 20,731 | | $ | 2,332 | | $ | 580 | | $ | 7,977 | | $ | 2,548 | | $ | 2,314 | | $ | 2,260 | |
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(1) Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $9.3 billion and $10.2 billion; in EMEA of $3.7 billion and $3.5 billion; in Latin America of $2.1 billion and $2.6 billion; and in Asia of $4.1 billion and $4.4 billion for the three months ended March 31, 2021 and 2020, respectively. These regional numbers exclude Corporate/Other, which largely operates within the U.S.
(2) Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $(0.2) billion and $4.8 billion; in the ICG results of $(1.8) billion and $2.0 billion; and in the Corporate/Other results of $(0.1) billion and $0.2 billion for the three months ended March 31, 2021 and 2020, respectively.
4. INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
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| Three Months Ended March 31, | | |
| In millions of dollars | 2021 | 2020 | | | |
| Interest revenue | | | | | |
| Loan interest, including fees | $ | 8,909 | | $ | 11,250 | | | | |
| Deposits with banks | 145 | | 527 | | | | |
| Securities borrowed and purchased under agreements to resell | 294 | | 1,208 | | | | |
| Investments, including dividends | 1,752 | | 2,281 | | | | |
Trading account assets(1) | 1,337 | | 1,590 | | | | |
| Other interest-bearing assets | 97 | | 283 | | | | |
| Total interest revenue | $ | 12,534 | | $ | 17,139 | | | | |
| Interest expense | | | | | |
Deposits(2) | $ | 1,052 | | $ | 2,614 | | | | |
| Securities loaned and sold under agreements to repurchase | 253 | | 1,085 | | | | |
Trading account liabilities(1) | 114 | | 239 | | | | |
| Short-term borrowings and other interest-bearing liabilities | 31 | | 384 | | | | |
| Long-term debt | 918 | | 1,325 | | | | |
| Total interest expense | $ | 2,368 | | $ | 5,647 | | | | |
| Net interest revenue | $ | 10,166 | | $ | 11,492 | | | | |
| Provision for credit losses on loans | (1,479) | | 6,377 | | | | |
| Net interest revenue after provision for credit losses on loans | $ | 11,645 | | $ | 5,115 | | | | |
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| Three Months Ended March 31, | | |
| In millions of dollars | 2022 | 2021 | | | |
| Interest revenue | | | | | |
| Consumer loans | $ | 6,262 | | $ | 6,702 | | | | |
| Corporate loans | 2,454 | | 2,207 | | | | |
| Loan interest, including fees | $ | 8,716 | | $ | 8,909 | | | | |
| Deposits with banks | 296 | | 145 | | | | |
| Securities borrowed and purchased under agreements to resell | 394 | | 294 | | | | |
| Investments, including dividends | 2,050 | | 1,752 | | | | |
Trading account assets(1) | 1,146 | | 1,337 | | | | |
| Other interest-bearing assets | 549 | | 97 | | | | |
| Total interest revenue | $ | 13,151 | | $ | 12,534 | | | | |
| Interest expense | | | | | |
| Deposits | $ | 871 | | $ | 712 | | | | |
| Securities loaned and sold under agreements to repurchase | 282 | | 253 | | | | |
Trading account liabilities(1) | 147 | | 114 | | | | |
| Short-term borrowings and other interest-bearing liabilities | 55 | | 31 | | | | |
| Long-term debt | 925 | | 918 | | | | |
| Total interest expense | $ | 2,280 | | $ | 2,028 | | | | |
| Net interest income | $ | 10,871 | | $ | 10,506 | | | | |
| Provision (benefit) for credit losses on loans | 260 | | (1,479) | | | | |
| Net interest income after provision for credit losses on loans | $ | 10,611 | | $ | 11,985 | | | | |
(1)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(2)Includes deposit insurance fees and charges of $340 million and $225 million for the three months ended March 31, 2021 and 2020, respectively.
5. COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES
For additional information on Citi’s commissions and fees, and administration and other fiduciary fees, see Note 5 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
The following tables present Commissions and fees revenue:
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| Three Months Ended March 31, | |
| 2021 | |
| In millions of dollars | ICG | GCB | Corporate/Other | Total | | | | |
| Investment banking | $ | 1,624 | | $ | 0 | | $ | 0 | | $ | 1,624 | | | | | |
| Brokerage commissions | 615 | | 327 | | 0 | | 942 | | | | | |
| Credit- and bank-card income | | | | | | | | |
| Interchange fees | 158 | | 1,906 | | 0 | | 2,064 | | | | | |
| Card-related loan fees | 5 | | 177 | | 0 | | 182 | | | | | |
Card rewards and partner payments(1) | (75) | | (2,096) | | 0 | | (2,171) | | | | | |
Deposit-related fees(2) | 244 | | 85 | | 0 | | 329 | | | | | |
| Transactional service fees | 241 | | 24 | | 0 | | 265 | | | | | |
Corporate finance(3) | 158 | | 0 | | 0 | | 158 | | | | | |
| Insurance distribution revenue | 5 | | 130 | | 0 | | 135 | | | | | |
| Insurance premiums | 0 | | 20 | | 0 | | 20 | | | | | |
| Loan servicing | 12 | | 7 | | 4 | | 23 | | | | | |
| Other | 41 | | 58 | | 0 | | 99 | | | | | |
Total commissions and fees(4) | $ | 3,028 | | $ | 638 | | $ | 4 | | $ | 3,670 | | | | | |
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| In millions of dollars | ICG | PBWM | Legacy Franchises | Corporate/Other | Total | | | | |
| Investment banking | $ | 908 | | $ | — | | $ | — | | $ | — | | $ | 908 | | | | | |
| Brokerage commissions | 460 | | 240 | | 67 | | — | | 767 | | | | | |
| Credit and bank card income | | | | | | | | | |
| Interchange fees | 240 | | 2,099 | | 221 | | — | | 2,560 | | | | | |
| Card-related loan fees | 9 | | 64 | | 81 | | — | | 154 | | | | | |
Card rewards and partner payments(1) | (118) | | (2,499) | | (172) | | — | | (2,789) | | | | | |
Deposit-related fees(2) | 267 | | 59 | | 18 | | — | | 344 | | | | | |
| Transactional service fees | 254 | | 4 | | 26 | | — | | 284 | | | | | |
Corporate finance(3) | 116 | | 3 | | — | | — | | 119 | | | | | |
| Insurance distribution revenue | — | | 52 | | 36 | | — | | 88 | | | | | |
| Insurance premiums | — | | 1 | | 25 | | — | | 26 | | | | | |
| Loan servicing | 12 | | 10 | | 4 | | — | | 26 | | | | | |
| Other | (1) | | 47 | | 35 | | — | | 81 | | | | | |
Total commissions and fees(4) | $ | 2,147 | | $ | 80 | | $ | 341 | | $ | — | | $ | 2,568 | | | | | |
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| | 2020 | | | Three Months Ended March 31, 2021 | |
| In millions of dollars | In millions of dollars | ICG | GCB | Corporate/Other | Total | | In millions of dollars | ICG | PBWM | Legacy Franchises | Corporate/Other | Total | |
| Investment banking | Investment banking | $ | 1,040 | | $ | 0 | | $ | 0 | | $ | 1,040 | | | Investment banking | $ | 1,624 | | $ | — | | $ | — | | $ | — | | $ | 1,624 | | |
| Brokerage commissions | Brokerage commissions | 577 | | 249 | | 0 | | 826 | | | Brokerage commissions | 521 | | 289 | | 132 | | — | | 942 | | |
| Credit- and bank-card income | | | | |
| Credit and bank card income | | Credit and bank card income | | | |
| Interchange fees | Interchange fees | 261 | | 1,917 | | 0 | | 2,178 | | | Interchange fees | 158 | | 1,694 | | 212 | | — | | 2,064 | | |
| Card-related loan fees | Card-related loan fees | 11 | | 166 | | 0 | | 177 | | | Card-related loan fees | 5 | | 78 | | 99 | | — | | 182 | | |
Card rewards and partner payments(1) | Card rewards and partner payments(1) | (149) | | (2,093) | | 0 | | (2,242) | | | Card rewards and partner payments(1) | (75) | | (1,956) | | (140) | | — | | (2,171) | | |
Deposit-related fees(2) | Deposit-related fees(2) | 233 | | 115 | | 0 | | 348 | | | Deposit-related fees(2) | 242 | | 55 | | 32 | | — | | 329 | | |
| Transactional service fees | Transactional service fees | 227 | | 24 | | 0 | | 251 | | | Transactional service fees | 232 | | 5 | | 28 | | — | | 265 | | |
Corporate finance(3) | Corporate finance(3) | 146 | | 0 | | 0 | | 146 | | | Corporate finance(3) | 155 | | 3 | | — | | — | | 158 | | |
| Insurance distribution revenue | Insurance distribution revenue | 4 | | 125 | | 0 | | 129 | | | Insurance distribution revenue | — | | 83 | | 52 | | — | | 135 | | |
| Insurance premiums | Insurance premiums | 0 | | 43 | | 0 | | 43 | | | Insurance premiums | — | | 1 | | 19 | | — | | 20 | | |
| Loan servicing | Loan servicing | 20 | | 11 | | 8 | | 39 | | | Loan servicing | 12 | | 7 | | 4 | | — | | 23 | | |
| Other | Other | 30 | | 56 | | 0 | | 86 | | | Other | 10 | | 56 | | 33 | | — | | 99 | | |
Total commissions and fees(4) | Total commissions and fees(4) | $ | 2,400 | | $ | 613 | | $ | 8 | | $ | 3,021 | | | Total commissions and fees(4) | $ | 2,884 | | $ | 315 | | $ | 471 | | $ | — | | $ | 3,670 | | |
(1)Citi’s consumer credit card programs have certain partner-sharing agreements that vary by partner. These agreements are subject to contractually based performance thresholds that, if met, would require Citi to make ongoing payments to the partner. The threshold is based on the profitability of a program and is generally calculated based on predefined program revenues less predefined program expenses. In most of Citi’s partner-sharing agreements, program expenses include net credit losses and, to the extent that the increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, would generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales and new account acquisitions.
(2)Includes overdraft fees of $24$32 million and $31$24 million for the three months ended March 31, 20212022 and 2020,2021, respectively. Overdraft fees are accounted for under ASC 310.
(3)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
(4)Commissions and fees includes $(1,749)include $(2,427) million and $(1,802)$(1,749) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended March 31, 20212022 and 2020,2021, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.
The following table presentstables present Administration and other fiduciary fees revenue:
| | | | | | | | | | | | | | | | | | |
| Three Months Ended March 31, | |
| 2021 | |
| In millions of dollars | ICG | GCB | Corporate/Other | Total | | | | |
| Custody fees | $ | 451 | | $ | 6 | | $ | 0 | | $ | 457 | | | | | |
| Fiduciary fees | 192 | | 167 | | 0 | | 359 | | | | | |
| Guarantee fees | 142 | | 2 | | 1 | | 145 | | | | | |
Total administration and other fiduciary fees(1) | $ | 785 | | $ | 175 | | $ | 1 | | $ | 961 | | | | | |
| | | Three Months Ended March 31, | | | | | | | | | | | | | | | | | | | |
| | 2020 | | | Three Months Ended March 31, 2022 | |
| In millions of dollars | In millions of dollars | ICG | GCB | Corporate/Other | Total | | In millions of dollars | ICG | PBWM | Legacy Franchises | Corporate/Other | Total | |
| Custody fees | Custody fees | $ | 366 | | $ | 8 | | $ | 15 | | $ | 389 | | | Custody fees | $ | 447 | | $ | 23 | | $ | 3 | | $ | — | | $ | 473 | | |
| Fiduciary fees | Fiduciary fees | 172 | | 156 | | 0 | | 328 | | | Fiduciary fees | 64 | | 205 | | 80 | | — | | 349 | | |
| Guarantee fees | Guarantee fees | 134 | | 2 | | 1 | | 137 | | | Guarantee fees | 132 | | 10 | | 2 | | — | | 144 | | |
Total administration and other fiduciary fees(1) | Total administration and other fiduciary fees(1) | $ | 672 | | $ | 166 | | $ | 16 | | $ | 854 | | | Total administration and other fiduciary fees(1) | $ | 643 | | $ | 238 | | $ | 85 | | $ | — | | $ | 966 | | |
| | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended March 31, 2021 | |
| In millions of dollars | ICG | PBWM | Legacy Franchises | Corporate/Other | Total | | | | |
| Custody fees | $ | 432 | | $ | 21 | | $ | 4 | | $ | — | | $ | 457 | | | | | |
| Fiduciary fees | 61 | | 191 | | 107 | | — | | 359 | | | | | |
| Guarantee fees | 132 | | 11 | | 2 | | — | | 145 | | | | | |
Total administration and other fiduciary fees(1) | $ | 625 | | $ | 223 | | $ | 113 | | $ | — | | $ | 961 | | | | | |
(1) Administration and other fiduciary fees includes $145include $144 million and $136$145 million for the three months ended March 31, 20212022 and 2020,2021, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amountsgenerally 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 and characterized below based on the primary risk managed by each trading desk. Not included in the table below is the impact of net interest revenueincome 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 revenueincome 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. These adjustments are discussed further in Note 20 to the Consolidated Financial Statements.20.
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 March 31, | |
| In millions of dollars | 2022 | 2021 | | |
Interest rate risks(1) | $ | 1,470 | | $ | 1,433 | | | |
Foreign exchange risks(2) | 1,547 | | 962 | | | |
Equity risks(3) | 932 | | 845 | | | |
Commodity and other risks(4) | 451 | | 200 | | | |
Credit products and risks(5) | 190 | | 473 | | | |
| Total | $ | 4,590 | | $ | 3,913 | | | |
| | | | | | | | | | |
| Three Months Ended March 31, | |
| In millions of dollars | 2021 | 2020 | | |
Interest rate risks(1) | $ | 1,433 | | $ | 1,838 | | | |
Foreign exchange risks(2) | 962 | | 1,066 | | | |
Equity risks(3) | 845 | | 819 | | | |
Commodity and other risks(4) | 200 | | 395 | | | |
Credit products and risks(5) | 473 | | 1,143 | | | |
| Total | $ | 3,913 | | $ | 5,261 | | | |
(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 2020 Annual Report on2021 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 2020 Annual Report on2021 Form 10-K.
Net (Benefit) Expense
The following table summarizestables summarize the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s pension and postretirement plans for Significant Plans and All Other Plans:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended March 31, |
| | Pension plans | Postretirement benefit plans |
| | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | |
| | | | | | | | | | | | |
| Benefits earned during the period | $ | 0 | | $ | 0 | | | $ | 39 | | $ | 37 | | | $ | 0 | | $ | 0 | | | $ | 2 | | $ | 2 | | |
| Interest cost on benefit obligation | 82 | | 106 | | | 62 | | 64 | | | 3 | | 5 | | | 25 | | 24 | | |
| Expected return on assets | (182) | | (208) | | | (61) | | (65) | | | (4) | | (5) | | | (22) | | (20) | | |
| Amortization of unrecognized: | | | | | | | | | | | | |
| Prior service cost (benefit) | 1 | | 1 | | | (1) | | (1) | | | (2) | | 0 | | | (2) | | (2) | | |
| Net actuarial loss | 62 | | 56 | | | 18 | | 17 | | | 0 | | 0 | | | 5 | | 5 | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Total net (benefit) expense | $ | (37) | | $ | (45) | | | $ | 57 | | $ | 52 | | | $ | (3) | | $ | 0 | | | $ | 8 | | $ | 9 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended March 31, |
| | Pension plans | Postretirement benefit plans |
| | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| In millions of dollars | 2022 | 2021 | | 2022 | 2021 | | 2022 | 2021 | | 2022 | 2021 |
| | | | | | | | | | | |
| Benefits earned during the period | $ | — | | $ | — | | | $ | 34 | | $ | 39 | | | $ | — | | $ | — | | | $ | 1 | | $ | 2 | |
| Interest cost on benefit obligation | 86 | | 82 | | | 73 | | 62 | | | 3 | | 3 | | | 23 | | 25 | |
| Expected return on assets | (154) | | (182) | | | (66) | | (61) | | | (3) | | (4) | | | (20) | | (22) | |
| Amortization of unrecognized: | | | | | | | | | | | |
| Prior service cost (benefit) | 1 | | 1 | | | (2) | | (1) | | | (2) | | (2) | | | (3) | | (2) | |
| Net actuarial loss (gain) | 56 | | 62 | | | 13 | | 18 | | | (1) | | — | | | 1 | | 5 | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| Total net (benefit) expense | $ | (11) | | $ | (37) | | | $ | 52 | | $ | 57 | | | $ | (3) | | $ | (3) | | | $ | 2 | | $ | 8 | |
Funded Status and Accumulated Other Comprehensive Income (AOCI)(AOCI)
The following table summarizes the funded status and amounts recognized on the Consolidated Balance Sheet for the Company’s
Significant Plans:
| | | | | | | | | | | | | | |
| | | | |
| Three Months Ended March 31, 2021 |
| | Pension plans | Postretirement benefit plans |
| In millions of dollars | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| | | | |
| Change in projected benefit obligation | | | | |
| | | | |
| Projected benefit obligation at beginning of year | $ | 13,815 | | $ | 8,629 | | $ | 559 | | $ | 1,390 | |
| Plans measured annually | (25) | | (2,248) | | 0 | | (277) | |
| Projected benefit obligation at beginning of year—Significant Plans | $ | 13,790 | | $ | 6,381 | | $ | 559 | | $ | 1,113 | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| Benefits earned during the period | 0 | | 23 | | 0 | | 1 | |
| Interest cost on benefit obligation | $ | 82 | | $ | 52 | | 3 | | 22 | |
Actuarial gain(1) | (849) | | (428) | | (31) | | (123) | |
| Benefits paid, net of participants’ contributions and government subsidy | $ | (216) | | $ | (84) | | (9) | | (18) | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| Foreign exchange impact and other | 0 | | (135) | | 0 | | (28) | |
| | | | |
| | | | |
| Projected benefit obligation at period end—Significant Plans | $ | 12,807 | | $ | 5,809 | | $ | 522 | | $ | 967 | |
| Change in plan assets | | | | |
| | | | |
| Plan assets at fair value at beginning of year | $ | 13,309 | | $ | 7,831 | | $ | 331 | | $ | 1,146 | |
| Plans measured annually | 0 | | (1,500) | | 0 | | (8) | |
| Plan assets at fair value at beginning of year—Significant Plans | $ | 13,309 | | $ | 6,331 | | $ | 331 | | $ | 1,138 | |
| | | | |
| | | | |
| | | | |
| | | | |
| Actual return on plan assets | (232) | | (230) | | (4) | | 4 | |
| Company contributions, net of reimbursements | 13 | | 18 | | 5 | | 0 | |
| | | | |
| Benefits paid, net of participants’ contributions and government subsidy | (216) | | (84) | | (9) | | (18) | |
| | | | |
| | | | |
| | | | |
| Foreign exchange impact and other | 0 | | (108) | | 0 | | (30) | |
| | | | |
| | | | |
| Plan assets at fair value at period end—Significant Plans | $ | 12,874 | | $ | 5,927 | | $ | 323 | | $ | 1,094 | |
| Funded status of the Significant Plans | | | | |
Qualified plans(2) | $ | 730 | | $ | 118 | | $ | (199) | | $ | 127 | |
Nonqualified plans(3) | (663) | | 0 | | 0 | | 0 | |
| Funded status of the plans at period end—Significant Plans | $ | 67 | | $ | 118 | | $ | (199) | | $ | 127 | |
| Net amount recognized at period end | | | | |
| Benefit asset | $ | 730 | | $ | 705 | | $ | 0 | | $ | 127 | |
| Benefit liability | (663) | | (587) | | (199) | | 0 | |
| Net amount recognized on the balance sheet—Significant Plans | $ | 67 | | $ | 118 | | $ | (199) | | $ | 127 | |
Amounts recognized in AOCI at period end | | | |
| | | | |
| Prior service benefit | $ | 0 | | $ | 1 | | $ | 99 | | $ | 55 | |
| Net actuarial (loss) gain | (6,627) | | (1,043) | | 78 | | (221) | |
| Net amount recognized in equity (pretax)—Significant Plans | $ | (6,627) | | $ | (1,042) | | $ | 177 | | $ | (166) | |
| Accumulated benefit obligation at period end—Significant Plans | $ | 12,804 | | $ | 5,211 | | $ | 522 | | $ | 967 | |
| | | | | | | | | | | | | | |
| | | | |
| Three Months Ended March 31, 2022 |
| | Pension plans | Postretirement benefit plans |
| In millions of dollars | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| | | | |
| Change in projected benefit obligation | | | | |
| | | | |
| Projected benefit obligation at beginning of year | $ | 12,766 | | $ | 8,001 | | $ | 501 | | $ | 1,169 | |
| Plans measured annually | (23) | | (2,071) | | — | | (298) | |
| Projected benefit obligation at beginning of year—Significant Plans | $ | 12,743 | | $ | 5,930 | | $ | 501 | | $ | 871 | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| Benefits earned during the period | — | | 18 | | — | | — | |
| Interest cost on benefit obligation | 86 | | 62 | | 3 | | 21 | |
Actuarial gain(1) | (1,102) | | (362) | | (44) | | (8) | |
| Benefits paid, net of participants’ contributions and government subsidy | (218) | | (119) | | (9) | | (13) | |
| | | | |
| | | | |
Settlement gain(2) | — | | (56) | | — | | — | |
Curtailment gain(2) | — | | (9) | | — | | — | |
| | | | |
| Foreign exchange impact and other | — | | 181 | | — | | (71) | |
| | | | |
| | | | |
| Projected benefit obligation at period end—Significant Plans | $ | 11,509 | | $ | 5,645 | | $ | 451 | | $ | 800 | |
| Change in plan assets | | | | |
| | | | |
| Plan assets at fair value at beginning of year | $ | 12,977 | | $ | 7,614 | | $ | 319 | | $ | 1,043 | |
| Plans measured annually | — | | (1,419) | | — | | (7) | |
| Plan assets at fair value at beginning of year—Significant Plans | $ | 12,977 | | $ | 6,195 | | $ | 319 | | $ | 1,036 | |
| | | | |
| | | | |
| | | | |
| | | | |
| Actual return on plan assets | (825) | | (335) | | (15) | | (55) | |
| Company contributions, net of reimbursements | 13 | | 96 | | 5 | | — | |
| | | | |
| Benefits paid, net of participants’ contributions and government subsidy | (218) | | (119) | | (9) | | (13) | |
| | | | |
Settlements gain(2) | — | | (56) | | — | | — | |
| | | | |
| Foreign exchange impact and other | — | | 188 | | — | | (67) | |
| | | | |
| | | | |
| Plan assets at fair value at period end—Significant Plans | $ | 11,947 | | $ | 5,969 | | $ | 300 | | $ | 901 | |
| | | | |
Qualified plans(3) | $ | 1,035 | | $ | 324 | | $ | (151) | | $ | 101 | |
Nonqualified plans(4) | (597) | | — | | — | | — | |
| Funded status of the plans at period end—Significant Plans | $ | 438 | | $ | 324 | | $ | (151) | | $ | 101 | |
| Net amount recognized at period end | | | | |
| Benefit asset | $ | 1,035 | | $ | 940 | | $ | — | | $ | 101 | |
| Benefit liability | (597) | | (616) | | (151) | | — | |
| Net amount recognized on the balance sheet—Significant Plans | $ | 438 | | $ | 324 | | $ | (151) | | $ | 101 | |
Amounts recognized in AOCI at period end(5) | | | |
| | | | |
| Prior service benefit | $ | — | | $ | 1 | | $ | 89 | | $ | 39 | |
| Net actuarial (loss) gain | (6,389) | | (932) | | 103 | | (197) | |
| Net amount recognized in equity (pretax)—Significant Plans | $ | (6,389) | | $ | (931) | | $ | 192 | | $ | (158) | |
| Accumulated benefit obligation at period end—Significant Plans | $ | 11,508 | | $ | 5,407 | | $ | 451 | | $ | 800 | |
(1)During 2021,2022, the actuarial gain is primarily due to the increase in global discount rates.
(2)Gains due to settlement and curtailment relate to divestiture activities.
(3)The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 20212022 and no minimum required funding is expected for 2021.2022.
(3)(4)The nonqualified plans of the Company are unfunded.
The following table shows the change in AOCI related to the Company’s pension, postretirement and post-employmentpost employment plans:
| | | | | | | | | | | |
| In millions of dollars | Three Months Ended March 31, 2021 | For Year Ended December 31, 2020 | |
| | | |
Beginning of period balance, net of tax(1)(2) | $ | (6,864) | | $ | (6,809) | | |
| | | |
| | | |
| Actuarial assumptions changes and plan experience | 1,430 | | (1,464) | | |
| Net asset (loss) gain due to difference between actual and expected returns | (718) | | 1,076 | | |
| Net amortization | 81 | | 318 | | |
| Prior service credit | 0 | | 108 | | |
Curtailment/settlement loss(3) | 0 | | (8) | | |
| Foreign exchange impact and other | 114 | | (108) | | |
| Change in deferred taxes, net | (193) | | 23 | | |
| Change, net of tax | $ | 714 | | $ | (55) | | |
End of period balance, net of tax(1)(2) | $ | (6,150) | | $ | (6,864) | | |
| | | | | | | | | | | | |
| In millions of dollars | Three Months Ended March 31, 2022 | | Twelve Months Ended December 31, 2021 | Three Months Ended March 31, 2021 |
| | | | |
Beginning of period balance, net of tax(1)(2) | $ | (5,852) | | | $ | (6,864) | | $ | (6,864) | |
| | | | |
| | | | |
| Actuarial assumptions changes and plan experience | 1,525 | | | 963 | | 1,430 | |
| Net asset loss due to difference between actual and expected returns | (1,462) | | | (148) | | (718) | |
| Net amortization | 64 | | | 280 | | 81 | |
| Prior service cost | — | | | (7) | | — | |
Curtailment/settlement gain(3) | — | | | 11 | | — | |
| Foreign exchange impact and other | 50 | | | 153 | | 114 | |
| Change in deferred taxes, net | (6) | | | (240) | | (193) | |
| Change, net of tax | $ | 171 | | | $ | 1,012 | | $ | 714 | |
End of period balance, net of tax(1)(2) | $ | (5,681) | | | $ | (5,852) | | $ | (6,150) | |
(1)See Note 17 to the Consolidated Financial Statements for further discussion of net AOCI balance.
(2)Includes net-of-tax amounts for certain profit-sharing plans outside the U.S.
(3)Curtailment and settlement relate to repositioning and divestiture activities.
Plan Assumptions
The discount rates utilized during the period in determining the pension and postretirement net (benefit) expense for the Significant Plans are as follows:
| | | | | | | | | |
| Net (benefit) expense assumed discount rates during the period | Three Months Ended |
| Mar. 31, 2021 | | Dec. 31, 2020 |
| U.S. plans | | | |
| Qualified pension | 2.45 | % | | 2.55 | % |
| Nonqualified pension | 2.35 | | | 2.50 | |
| Postretirement | 2.20 | | | 2.35 | |
| Non-U.S. plans | | | |
| Pension | 0.05-8.15 | | 0.05-8.55 |
| Weighted average | 3.60 | | | 3.74 | |
| Postretirement | 8.55 | | | 9.00 | |
| | | | | | | | | |
| Net (benefit) expense assumed discount rates during the period | Three Months Ended |
| Mar. 31, 2022 | | Dec. 31, 2021 |
| U.S. plans | | | |
| Qualified pension | 2.80 | % | | 2.80 | % |
| Nonqualified pension | 2.80 | | | 2.75 | |
| Postretirement | 2.75 | | | 2.65 | |
| Non-U.S. plans | | | |
| Pension | 0.25–9.80 | | 0.30–9.55 |
| Weighted average | 4.56 | | | 4.37 | |
| Postretirement | 10.00 | | | 9.80 | |
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 ended | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | |
| U.S. plans | | | | |
| Qualified pension | 3.10 | % | 2.45 | % | 3.20 | % | |
| Nonqualified pension | 3.00 | | 2.35 | | 3.25 | | |
| Postretirement | 2.85 | | 2.20 | | 3.20 | | |
| Non-U.S. plans | | | | |
| Pension | 0.25-9.30 | 0.05-8.15 | 0.45-9.45 | |
| Weighted average | 3.59 | | 3.60 | | 4.38 | | |
| Postretirement | 9.70 | | 8.55 | | 9.75 | | |
| | | | | | | | | | | | |
| Plan obligations assumed discount rates at period ended | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | |
| U.S. plans | | | | |
| Qualified pension | 3.80 | % | 2.80 | % | 3.10 | % | |
| Nonqualified pension | 3.85 | | 2.80 | | 3.00 | | |
| Postretirement | 3.85 | | 2.75 | | 2.85 | | |
| Non-U.S. plans | | | | |
| Pension | 1.10–10.00 | 0.25–9.80 | 0.25–9.30 | |
| Weighted average | 5.55 | | 4.56 | | 3.59 | | |
| Postretirement | 10.10 | | 10.00 | | 9.70 | | |
Sensitivities of Certain Key Assumptions
The following table summarizes the estimated effect on the Company’s Significant Plans quarterly expense of a one-percentage-point change in the discount rate:
| | | | | | | | | | |
| Three Months Ended March 31, 2021 |
| In millions of dollars | One-percentage-point increase | | | One-percentage-point decrease |
| Pension | | | | |
| U.S. plans | $ | 9 | | | | $ | (15) | |
| Non-U.S. plans | 0 | | | | 5 | |
| Postretirement | | | | |
| U.S. plans | 0 | | | | (1) | |
| Non-U.S. plans | (3) | | | | 3 | |
| | | | | | | | | | |
| Three Months Ended March 31, 2022 |
| In millions of dollars | One-percentage-point increase | | | One-percentage-point decrease |
| Pension | | | | |
| U.S. plans | $ | 8 | | | | $ | (12) | |
| Non-U.S. plans | (6) | | | | 5 | |
| Postretirement | | | | |
| U.S. plans | — | | | | — | |
| Non-U.S. plans | (1) | | | | 1 | |
For the U.S. pension plans, there were no required minimum cash contributions during the first three months of 2021.2022.
The following table summarizes the Company’s actual contributions for the three months ended March 31, 20212022 and 2020,2021, as well as expected Company contributions for the remainder of 20212022 and the actual contributions made in 2020:2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Pension plans | Postretirement plans |
| | U.S. plans(1) | | Non-U.S. plans | | U.S. plans | | Non-U.S. plans | |
| In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | |
Company contributions(2) for the three months ended March 31 | $ | 14 | | $ | 14 | | | $ | 37 | | $ | 37 | | | $ | 5 | | $ | 0 | | | $ | 2 | | $ | 2 | | |
Company contributions (reimbursements) made during the
remainder of the year | — | | 42 | | | — | | 121 | | | — | | (15) | | | — | | 7 | | |
Company contributions expected to be made during
the remainder of the year | 43 | | — | | | 114 | | — | | | 5 | | — | | | 6 | | — | | |
| | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Pension plans | Postretirement plans |
| | U.S. plans(1) | | Non-U.S. plans | | U.S. plans | | Non-U.S. plans | |
| In millions of dollars | 2022 | 2021 | | 2022 | 2021 | | 2022 | 2021 | | 2022 | 2021 | |
Company contributions(2) for the three months ended March 31 | $ | 14 | | $ | 14 | | | $ | 136 | | $ | 37 | | | $ | 5 | | $ | 5 | | | $ | 3 | | $ | 2 | | |
Company contributions (reimbursements) made during the
remainder of the year | — | | 42 | | | — | | 118 | | | — | | 17 | | | — | | 6 | | |
Company contributions expected to be made during the remainder of the year(3) | 43 | | — | | | 344 | | — | | | 4 | | — | | | 7 | | — | | |
| | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | | | |
(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.
(3)Estimated 2022 benefit payments have increased due to the wind-down of Citi’s consumer banking business in Korea, as it is expected that employees who elected the VERP will be withdrawing their pension plan assets. See Note 2 for additional information.
Defined Contribution Plans
The following table summarizes the Company’s contributions for the defined contribution plans:
| | | | | | | | |
| Three Months Ended March 31, |
| In millions of dollars | 2021 | 2020 |
| U.S. plans | $ | 105 | | $ | 101 | |
| Non-U.S. plans | 92 | | 76 | |
| | | | | | | | | | |
| Three Months Ended March 31, | |
| In millions of dollars | 2022 | 2021 | | |
| U.S. plans | $ | 119 | | $ | 105 | | | |
| Non-U.S. plans | 106 | | 92 | | | |
Post Employment Plans
The following table summarizes the net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:
| | | | | | | | |
| Three Months Ended March 31, |
| In millions of dollars | 2021 | 2020 |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Non-service-related expense | $ | 5 | | $ | 5 | |
| Total net expense | $ | 5 | | $ | 5 | |
| | | | | | | | | | |
| Three Months Ended March 31, | |
| In millions of dollars | 2022 | 2021 | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| Non-service-related expense | $ | 5 | | $ | 5 | | | |
| Total net expense | $ | 5 | | $ | 5 | | | |
9. EARNINGS PER SHARE
The following table reconciles the income and share data used in the basic and diluted earnings per share (EPS) computations:
| | | | | | | | | | |
| Three Months Ended March 31, | |
| In millions of dollars, except per share amounts | 2021 | 2020 | | |
| Earnings per common share | | | | |
| Income from continuing operations before attribution of noncontrolling interests | $ | 7,977 | | $ | 2,548 | | | |
| Less: Noncontrolling interests from continuing operations | 33 | | (6) | | | |
| Net income from continuing operations (for EPS purposes) | $ | 7,944 | | $ | 2,554 | | | |
| Loss from discontinued operations, net of taxes | (2) | | (18) | | | |
| Citigroup’s net income | $ | 7,942 | | $ | 2,536 | | | |
Less: Preferred dividends(1) | 292 | | 291 | | | |
| Net income available to common shareholders | $ | 7,650 | | $ | 2,245 | | | |
| Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS | 66 | | 21 | | | |
| Net income allocated to common shareholders for basic EPS | $ | 7,584 | | $ | 2,224 | | | |
Weighted-average common shares outstanding applicable to basic EPS (in millions) | 2,082.0 | | 2,097.9 | | | |
Basic earnings per share(2) | | | | |
| Income from continuing operations | $ | 3.64 | | $ | 1.07 | | | |
| Discontinued operations | 0 | | (0.01) | | | |
| Net income per share—basic | $ | 3.64 | | $ | 1.06 | | | |
| Diluted earnings per share | | | | |
| Net income allocated to common shareholders for basic EPS | $ | 7,584 | | $ | 2,224 | | | |
| Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable | 7 | | 7 | | | |
| Net income allocated to common shareholders for diluted EPS | $ | 7,591 | | $ | 2,231 | | | |
Weighted-average common shares outstanding applicable to basic EPS (in millions) | 2,082.0 | | 2,097.9 | | | |
| Effect of dilutive securities | | | | |
Options(3) | 0.1 | | 0.1 | | | |
| Other employee plans | 14.5 | | 15.7 | | | |
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(4) | 2,096.6 | | 2,113.7 | | | |
Diluted earnings per share(2) | | | | |
| Income from continuing operations | $ | 3.62 | | $ | 1.06 | | | |
| Discontinued operations | 0 | | (0.01) | | | |
| Net income per share—diluted | $ | 3.62 | | $ | 1.06 | | | |
| | | | | | | | | | |
| Three Months Ended March 31, | |
| In millions of dollars, except per share amounts | 2022 | 2021 | | |
| Earnings per common share | | | | |
| Income from continuing operations before attribution of noncontrolling interests | $ | 4,325 | | $ | 7,977 | | | |
| Less: Noncontrolling interests from continuing operations | 17 | | 33 | | | |
| Net income from continuing operations (for EPS purposes) | $ | 4,308 | | $ | 7,944 | | | |
| Income (loss) from discontinued operations, net of taxes | (2) | | (2) | | | |
| Citigroup’s net income | $ | 4,306 | | $ | 7,942 | | | |
| Less: Preferred dividends | 279 | | 292 | | | |
| Net income available to common shareholders | $ | 4,027 | | $ | 7,650 | | | |
| Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS | 25 | | 66 | | | |
| Net income allocated to common shareholders for basic EPS | $ | 4,002 | | $ | 7,584 | | | |
Weighted-average common shares outstanding applicable to basic EPS (in millions) | 1,971.7 | | 2,082.0 | | | |
Basic earnings per share(1) | | | | |
| Income from continuing operations | $ | 2.03 | | $ | 3.64 | | | |
| Discontinued operations | — | | — | | | |
| Net income per share—basic | $ | 2.03 | | $ | 3.64 | | | |
| Diluted earnings per share | | | | |
| Net income allocated to common shareholders for basic EPS | $ | 4,002 | | $ | 7,584 | | | |
| Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable | 8 | | 7 | | | |
| Net income allocated to common shareholders for diluted EPS | $ | 4,010 | | $ | 7,591 | | | |
Weighted-average common shares outstanding applicable to basic EPS (in millions) | 1,971.7 | | 2,082.0 | | | |
| Effect of dilutive securities | | | | |
Options(2) | — | | 0.1 | | | |
| Other employee plans | 16.5 | | 14.5 | | | |
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(3) | 1,988.2 | | 2,096.6 | | | |
Diluted earnings per share(1) | | | | |
| Income from continuing operations | $ | 2.02 | | $ | 3.62 | | | |
| Discontinued operations | — | | — | | | |
| Net income per share—diluted | $ | 2.02 | | $ | 3.62 | | | |
(1)On April 1, 2021, Citi declared preferred dividends of approximately $253 million for the second quarter of 2021. During the first quarter of 2021, Citi redeemed all of its 41.4 million Series S preferred shares for $1.035 billion and 465,000 shares of its Series R preferred shares for $465 million; in February, Citi also issued 2.3 million of Series X preferred shares for $2.3 billion. On April 16, 2021, Citi announced that it will be redeeming all of its 1.25 million Series Q preferred shares for $1.25 billion and 1.035 million shares of its Series R preferred shares for $1.035 billion. As of May 5, 2021, Citi estimates it will distribute preferred dividends of approximately $266 million and $228 million in the third and fourth quarters of 2021, respectively, subject to such dividends being declared by the Citi Board of Directors.
(2)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
(3)(2) During the first quarterquarters of 20212022 and 2020,2021, no significant options to purchase shares of common stock were outstanding.
(4)(3) 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.
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 2020 Annual Report on2021 Form 10-K.
Securities borrowed and purchased under agreements to resell, at their respective carrying values, consisted of the following:
| | | | | | | | |
| In millions of dollars | March 31,
2021 | December 31, 2020 |
| Securities purchased under agreements to resell | $ | 220,276 | | $ | 204,655 | |
| Deposits paid for securities borrowed | 94,801 | | 90,067 | |
Total, net(1) | $ | 315,077 | | $ | 294,722 | |
Allowance for credit losses on securities purchased and borrowed(2) | (5) | | (10) | |
| Total, net of allowance | $ | 315,072 | | $ | 294,712 | |
| | | | | | | | |
| In millions of dollars | March 31,
2022 | December 31, 2021 |
| Securities purchased under agreements to resell | $ | 248,474 | | $ | 236,252 | |
| Deposits paid for securities borrowed | 96,940 | | 91,042 | |
Total, net(1) | $ | 345,414 | | $ | 327,294 | |
Allowance for credit losses on securities purchased and borrowed(2) | (4) | | (6) | |
| Total, net of allowance | $ | 345,410 | | $ | 327,288 | |
Securities loaned and sold under agreements to repurchase, at their respective carrying values, consisted of the following:
| | | | | | | | |
| In millions of dollars | March 31,
2021 | December 31, 2020 |
| Securities sold under agreements to repurchase | $ | 198,029 | | $ | 181,194 | |
| Deposits received for securities loaned | 21,139 | | 18,331 | |
Total, net(1) | $ | 219,168 | | $ | 199,525 | |
| | | | | | | | |
| In millions of dollars | March 31,
2022 | December 31, 2021 |
| Securities sold under agreements to repurchase | $ | 182,941 | | $ | 174,255 | |
| Deposits received for securities loaned | 21,553 | | 17,030 | |
Total, net(1) | $ | 204,494 | | $ | 191,285 | |
(1) The above tables do not include securities-for-securities lending transactions of $2.7$3.7 billion and $6.8$3.6 billion at March 31, 20212022 and December 31, 2020,2021, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.
(2) See Note 14 to the Consolidated Financial Statements for further information.
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.21. 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.21. 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 obtainsposts or postsobtains 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 amounts 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 March 31, 2021 |
| In millions of dollars | Gross amounts
of recognized
assets | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
assets included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) |
| Securities purchased under agreements to resell | $ | 336,164 | | $ | 115,888 | | $ | 220,276 | | $ | 184,850 | | $ | 35,426 | |
| Deposits paid for securities borrowed | 106,008 | | 11,207 | | 94,801 | | 20,754 | | 74,047 | |
| Total | $ | 442,172 | | $ | 127,095 | | $ | 315,077 | | $ | 205,604 | | $ | 109,473 | |
| | | | | | | | | | | | | | | | | |
| | As of March 31, 2022 |
| In millions of dollars | Gross amounts
of recognized
assets | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
assets included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) |
| Securities purchased under agreements to resell | $ | 369,843 | | $ | 121,369 | | $ | 248,474 | | $ | 224,591 | | $ | 23,883 | |
| Deposits paid for securities borrowed | 106,841 | | 9,901 | | 96,940 | | 20,914 | | 76,026 | |
| Total | $ | 476,684 | | $ | 131,270 | | $ | 345,414 | | $ | 245,505 | | $ | 99,909 | |
| | In millions of dollars | In millions of dollars | Gross amounts
of recognized
liabilities | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
liabilities included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) | In millions of dollars | Gross amounts
of recognized
liabilities | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
liabilities included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) |
| Securities sold under agreements to repurchase | Securities sold under agreements to repurchase | $ | 313,917 | | $ | 115,888 | | $ | 198,029 | | $ | 102,256 | | $ | 95,773 | | Securities sold under agreements to repurchase | $ | 304,310 | | $ | 121,369 | | $ | 182,941 | | $ | 78,390 | | $ | 104,551 | |
| Deposits received for securities loaned | Deposits received for securities loaned | 32,346 | | 11,207 | | 21,139 | | 11,085 | | 10,054 | | Deposits received for securities loaned | 31,454 | | 9,901 | | 21,553 | | 3,943 | | 17,610 | |
| Total | Total | $ | 346,263 | | $ | 127,095 | | $ | 219,168 | | $ | 113,341 | | $ | 105,827 | | Total | $ | 335,764 | | $ | 131,270 | | $ | 204,494 | | $ | 82,333 | | $ | 122,161 | |
| | | | As of December 31, 2020 | | | As of December 31, 2021 | |
| In millions of dollars | In millions of dollars | Gross amounts
of recognized
assets | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
assets included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) | | In millions of dollars | Gross amounts
of recognized
assets | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
assets included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) | |
| Securities purchased under agreements to resell | Securities purchased under agreements to resell | $ | 362,025 | | $ | 157,370 | | $ | 204,655 | | $ | 159,232 | | $ | 45,423 | | | Securities purchased under agreements to resell | $ | 367,594 | | $ | 131,342 | | $ | 236,252 | | $ | 205,349 | | $ | 30,903 | | |
| Deposits paid for securities borrowed | Deposits paid for securities borrowed | 96,425 | | 6,358 | | 90,067 | | 13,474 | | 76,593 | | | Deposits paid for securities borrowed | 107,041 | | 15,999 | | 91,042 | | 17,326 | | 73,716 | | |
| Total | Total | $ | 458,450 | | $ | 163,728 | | $ | 294,722 | | $ | 172,706 | | $ | 122,016 | | | Total | $ | 474,635 | | $ | 147,341 | | $ | 327,294 | | $ | 222,675 | | $ | 104,619 | | |
| | In millions of dollars | In millions of dollars | Gross amounts
of recognized
liabilities | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
liabilities included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) | In millions of dollars | Gross amounts
of recognized
liabilities | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
liabilities included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) |
| Securities sold under agreements to repurchase | Securities sold under agreements to repurchase | $ | 338,564 | | $ | 157,370 | | $ | 181,194 | | $ | 95,563 | | $ | 85,631 | | Securities sold under agreements to repurchase | $ | 305,597 | | $ | 131,342 | | $ | 174,255 | | $ | 85,184 | | $ | 89,071 | |
| Deposits received for securities loaned | Deposits received for securities loaned | 24,689 | | 6,358 | | 18,331 | | 7,982 | | 10,349 | | Deposits received for securities loaned | 33,029 | | 15,999 | | 17,030 | | 2,868 | | 14,162 | |
| Total | Total | $ | 363,253 | | $ | 163,728 | | $ | 199,525 | | $ | 103,545 | | $ | 95,980 | | Total | $ | 338,626 | | $ | 147,341 | | $ | 191,285 | | $ | 88,052 | | $ | 103,233 | |
(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 amounts of liabilities associated with repurchase agreements and securities lending agreements by remaining contractual maturity:
| | | | | | | | | | | | | | | | | |
| As of March 31, 2021 |
| In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total |
| Securities sold under agreements to repurchase | $ | 154,646 | | $ | 74,302 | | $ | 39,859 | | $ | 45,110 | | $ | 313,917 | |
| Deposits received for securities loaned | 22,498 | | 1,265 | | 2,730 | | 5,853 | | 32,346 | |
| Total | $ | 177,144 | | $ | 75,567 | | $ | 42,589 | | $ | 50,963 | | $ | 346,263 | |
| | | | | | | | | | | | | | | | | |
| As of March 31, 2022 |
| In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total |
| Securities sold under agreements to repurchase | $ | 137,220 | | $ | 80,290 | | $ | 33,962 | | $ | 52,838 | | $ | 304,310 | |
| Deposits received for securities loaned | 20,858 | | 406 | | 1,539 | | 8,651 | | 31,454 | |
| Total | $ | 158,078 | | $ | 80,696 | | $ | 35,501 | | $ | 61,489 | | $ | 335,764 | |
| | | As of December 31, 2020 | | As of December 31, 2021 |
| In millions of dollars | In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total | In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total |
| Securities sold under agreements to repurchase | Securities sold under agreements to repurchase | $ | 160,754 | | $ | 98,226 | | $ | 41,679 | | $ | 37,905 | | $ | 338,564 | | Securities sold under agreements to repurchase | $ | 127,679 | | $ | 93,257 | | $ | 32,908 | | $ | 51,753 | | $ | 305,597 | |
| Deposits received for securities loaned | Deposits received for securities loaned | 17,038 | | 3 | | 2,770 | | 4,878 | | 24,689 | | Deposits received for securities loaned | 23,387 | | 6 | | 1,392 | | 8,244 | | 33,029 | |
| Total | Total | $ | 177,792 | | $ | 98,229 | | $ | 44,449 | | $ | 42,783 | | $ | 363,253 | | Total | $ | 151,066 | | $ | 93,263 | | $ | 34,300 | | $ | 59,997 | | $ | 338,626 | |
The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by class of underlying collateral:
| | | | | | | | | | | |
| As of March 31, 2021 |
| In millions of dollars | Repurchase agreements | Securities lending agreements | Total |
| U.S. Treasury and federal agency securities | $ | 106,286 | | $ | 0 | | $ | 106,286 | |
| State and municipal securities | 636 | | 0 | | 636 | |
| Foreign government securities | 118,501 | | 1,909 | | 120,410 | |
| Corporate bonds | 21,778 | | 148 | | 21,926 | |
| Equity securities | 22,651 | | 30,136 | | 52,787 | |
| Mortgage-backed securities | 36,336 | | 0 | | 36,336 | |
| Asset-backed securities | 2,501 | | 0 | | 2,501 | |
| Other | 5,228 | | 153 | | 5,381 | |
| Total | $ | 313,917 | | $ | 32,346 | | $ | 346,263 | |
| | | | | | | | | | | |
| As of March 31, 2022 |
| In millions of dollars | Repurchase agreements | Securities lending agreements | Total |
| U.S. Treasury and federal agency securities | $ | 102,415 | | $ | 132 | | $ | 102,547 | |
| State and municipal securities | 893 | | — | | 893 | |
| Foreign government securities | 121,092 | | 185 | | 121,277 | |
| Corporate bonds | 23,112 | | 187 | | 23,299 | |
| Equity securities | 22,182 | | 30,663 | | 52,845 | |
| Mortgage-backed securities | 26,263 | | — | | 26,263 | |
| Asset-backed securities | 1,654 | | — | | 1,654 | |
| Other | 6,699 | | 287 | | 6,986 | |
| Total | $ | 304,310 | | $ | 31,454 | | $ | 335,764 | |
| | | As of December 31, 2020 | | As of December 31, 2021 |
| In millions of dollars | In millions of dollars | Repurchase agreements | Securities lending agreements | Total | In millions of dollars | Repurchase agreements | Securities lending agreements | Total |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | $ | 112,437 | | $ | 0 | | $ | 112,437 | | U.S. Treasury and federal agency securities | $ | 85,861 | | $ | 90 | | $ | 85,951 | |
| State and municipal securities | State and municipal securities | 664 | | 2 | | 666 | | State and municipal securities | 1,053 | | — | | 1,053 | |
| Foreign government securities | Foreign government securities | 130,017 | | 194 | | 130,211 | | Foreign government securities | 133,352 | | 212 | | 133,564 | |
| Corporate bonds | Corporate bonds | 20,149 | | 78 | | 20,227 | | Corporate bonds | 20,398 | | 152 | | 20,550 | |
| Equity securities | Equity securities | 21,497 | | 24,149 | | 45,646 | | Equity securities | 25,653 | | 32,517 | | 58,170 | |
| Mortgage-backed securities | Mortgage-backed securities | 45,566 | | 0 | | 45,566 | | Mortgage-backed securities | 33,573 | | — | | 33,573 | |
| Asset-backed securities | Asset-backed securities | 3,307 | | 0 | | 3,307 | | Asset-backed securities | 1,681 | | — | | 1,681 | |
| Other | Other | 4,927 | | 266 | | 5,193 | | Other | 4,026 | | 58 | | 4,084 | |
| Total | Total | $ | 338,564 | | $ | 24,689 | | $ | 363,253 | | Total | $ | 305,597 | | $ | 33,029 | | $ | 338,626 | |
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 2020 Annual Report on2021 Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
| | | | | | | | |
| In millions of dollars | March 31,
2021 | December 31, 2020 |
| Receivables from customers | $ | 25,661 | | $ | 18,097 | |
| Receivables from brokers, dealers and clearing organizations | 34,804 | | 26,709 | |
Total brokerage receivables(1) | $ | 60,465 | | $ | 44,806 | |
| Payables to customers | $ | 45,065 | | $ | 39,319 | |
| Payables to brokers, dealers and clearing organizations | 15,842 | | 11,165 | |
Total brokerage payables(1) | $ | 60,907 | | $ | 50,484 | |
| | | | | | | | |
| In millions of dollars | March 31,
2022 | December 31, 2021 |
| Receivables from customers | $ | 29,948 | | $ | 26,403 | |
| Receivables from brokers, dealers and clearing organizations | 59,270 | | 27,937 | |
Total brokerage receivables(1) | $ | 89,218 | | $ | 54,340 | |
| Payables to customers | $ | 67,958 | | $ | 52,158 | |
| Payables to brokers, dealers and clearing organizations | 23,366 | | 9,272 | |
Total brokerage payables(1) | $ | 91,324 | | $ | 61,430 | |
(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 impairment, see Note 13 to the Consolidated Financial Statements
in Citi’s 2020 Annual Report on2021 Form 10-K.
The following table presents Citi’s investments by category:
| | | | | | | | | |
| In millions of dollars | March 31,
2021 | December 31, 2020 | |
|
| Debt securities available-for-sale (AFS) | $ | 304,036 | | $ | 335,084 | | |
Debt securities held-to-maturity (HTM)(1) | 161,742 | | 104,943 | | |
Marketable equity securities carried at fair value(2) | 249 | | 515 | | |
Non-marketable equity securities carried at fair value(2) | 535 | | 551 | | |
Non-marketable equity securities measured using the measurement alternative(3) | 1,079 | | 962 | | |
Non-marketable equity securities carried at cost(4) | 5,318 | | 5,304 | | |
| Total investments | $ | 472,959 | | $ | 447,359 | | |
| | | | | | | | | |
| In millions of dollars | March 31,
2022 | December 31, 2021 | |
|
| Debt securities available-for-sale (AFS) | $ | 264,774 | | $ | 288,522 | | |
Debt securities held-to-maturity (HTM)(1) | 242,547 | | 216,963 | | |
Marketable equity securities carried at fair value(2) | 483 | | 543 | | |
Non-marketable equity securities carried at fair value(2) | 474 | | 489 | | |
Non-marketable equity securities measured using the measurement alternative(3) | 1,622 | | 1,413 | | |
Non-marketable equity securities carried at cost(4) | 4,702 | | 4,892 | | |
| Total investments | $ | 514,602 | | $ | 512,822 | | |
(1)Carried at adjusted amortized cost basis, net of any ACL.
(2)Unrealized gains and losses are recognized in earnings.
(3)Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings. See ”Non-Marketable“Non-Marketable Equity Securities Not Carried at Fair Value” below.
(4) Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.
The following table presents interest and dividend income on investments:
| | | | | | | | | | |
| Three Months Ended March 31, | |
| In millions of dollars | 2021 | 2020 | | |
| Taxable interest | $ | 1,652 | | $ | 2,179 | | | |
| Interest exempt from U.S. federal income tax | 66 | | 76 | | | |
| Dividend income | 34 | | 26 | | | |
| Total interest and dividend income on investments | $ | 1,752 | | $ | 2,281 | | | |
| | | | | | | | | | |
| Three Months Ended March 31, | |
| In millions of dollars | 2022 | 2021 | | |
| Taxable interest | $ | 2,013 | | $ | 1,652 | | | |
| Interest exempt from U.S. federal income tax | 5 | | 66 | | | |
| Dividend income | 32 | | 34 | | | |
| Total interest and dividend income on investments | $ | 2,050 | | $ | 1,752 | | | |
The following table presents realized gains and losses on the sales of investments, which exclude impairment losses:
| | | | | | | | | | |
| Three Months Ended March 31, | |
| In millions of dollars | 2021 | 2020 | | |
| Gross realized investment gains | $ | 460 | | $ | 461 | | | |
| Gross realized investment losses | (59) | | (29) | | | |
| Net realized gains on sales of investments | $ | 401 | | $ | 432 | | | |
| | | | | | | | | | |
| Three Months Ended March 31, | |
| In millions of dollars | 2022 | 2021 | | |
| Gross realized investment gains | $ | 153 | | $ | 460 | | | |
| Gross realized investment losses | (73) | | (59) | | | |
| Net realized gains on sales of investments | $ | 80 | | $ | 401 | | | |
Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | March 31, 2021 | December 31, 2020 |
| In millions of dollars | Amortized
cost | Gross
unrealized
gains | Gross
unrealized
losses | Allowance for credit losses | Fair
value | Amortized
cost | Gross
unrealized
gains | Gross
unrealized
losses | Allowance for credit losses | Fair
value |
| Debt securities AFS | | | | | | | | | | |
Mortgage-backed securities(1) | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 42,058 | | $ | 894 | | $ | 249 | | $ | 0 | | $ | 42,703 | | $ | 42,836 | | $ | 1,134 | | $ | 52 | | $ | 0 | | $ | 43,918 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| Non-U.S. residential | 435 | | 2 | | 0 | | 0 | | 437 | | 568 | | 3 | | 0 | | 0 | | 571 | |
| Commercial | 44 | | 1 | | 0 | | 0 | | 45 | | 49 | | 1 | | 0 | | 0 | | 50 | |
| Total mortgage-backed securities | $ | 42,537 | | $ | 897 | | $ | 249 | | $ | 0 | | $ | 43,185 | | $ | 43,453 | | $ | 1,138 | | $ | 52 | | $ | 0 | | $ | 44,539 | |
| U.S. Treasury and federal agency securities | | | | | | | | | | |
| U.S. Treasury | $ | 121,573 | | $ | 1,532 | | $ | 455 | | $ | 0 | | $ | 122,650 | | $ | 144,094 | | $ | 2,108 | | $ | 49 | | $ | 0 | | $ | 146,153 | |
| Agency obligations | 50 | | 0 | | 0 | | 0 | | 50 | | 50 | | 1 | | 0 | | 0 | | 51 | |
| Total U.S. Treasury and federal agency securities | $ | 121,623 | | $ | 1,532 | | $ | 455 | | $ | 0 | | $ | 122,700 | | $ | 144,144 | | $ | 2,109 | | $ | 49 | | $ | 0 | | $ | 146,204 | |
| State and municipal | $ | 3,283 | | $ | 87 | | $ | 119 | | $ | 0 | | $ | 3,251 | | $ | 3,753 | | $ | 123 | | $ | 157 | | $ | 0 | | $ | 3,719 | |
| Foreign government | 119,126 | | 979 | | 491 | | 0 | | 119,614 | | 123,467 | | 1,623 | | 122 | | 0 | | 124,968 | |
| Corporate | 10,274 | | 97 | | 118 | | 5 | | 10,248 | | 10,444 | | 152 | | 91 | | 5 | | 10,500 | |
Asset-backed securities(1) | 272 | | 2 | | 0 | | 0 | | 274 | | 277 | | 5 | | 4 | | 0 | | 278 | |
| Other debt securities | 4,758 | | 6 | | 0 | | 0 | | 4,764 | | 4,871 | | 5 | | 0 | | 0 | | 4,876 | |
| | | | | | | | | | |
| Total debt securities AFS | $ | 301,873 | | $ | 3,600 | | $ | 1,432 | | $ | 5 | | $ | 304,036 | | $ | 330,409 | | $ | 5,155 | | $ | 475 | | $ | 5 | | $ | 335,084 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | March 31, 2022 | December 31, 2021 |
| In millions of dollars | Amortized
cost | Gross
unrealized
gains | Gross
unrealized
losses | Allowance for credit losses | Fair
value | Amortized
cost | Gross
unrealized
gains | Gross
unrealized
losses | Allowance for credit losses | Fair
value |
| Debt securities AFS | | | | | | | | | | |
Mortgage-backed securities(1) | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 38,431 | | $ | 82 | | $ | 1,620 | | $ | — | | $ | 36,893 | | $ | 33,064 | | $ | 453 | | $ | 301 | | $ | — | | $ | 33,216 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
| Non-U.S. residential | 322 | | — | | 2 | | — | | 320 | | 380 | | 1 | | 1 | | — | | 380 | |
| Commercial | 18 | | — | | — | | — | | 18 | | 25 | | — | | — | | — | | 25 | |
| Total mortgage-backed securities | $ | 38,771 | | $ | 82 | | $ | 1,622 | | $ | — | | $ | 37,231 | | $ | 33,469 | | $ | 454 | | $ | 302 | | $ | — | | $ | 33,621 | |
| U.S. Treasury and federal agency securities | | | | | | | | | | |
| U.S. Treasury | $ | 93,433 | | $ | 35 | | $ | 2,943 | | $ | — | | $ | 90,525 | | $ | 122,669 | | $ | 615 | | $ | 844 | | $ | — | | $ | 122,440 | |
| Agency obligations | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Total U.S. Treasury and federal agency securities | $ | 93,433 | | $ | 35 | | $ | 2,943 | | $ | — | | $ | 90,525 | | $ | 122,669 | | $ | 615 | | $ | 844 | | $ | — | | $ | 122,440 | |
| State and municipal | $ | 2,632 | | $ | 26 | | $ | 154 | | $ | — | | $ | 2,504 | | $ | 2,643 | | $ | 79 | | $ | 101 | | $ | — | | $ | 2,621 | |
| Foreign government | 125,279 | | 239 | | 2,059 | | — | | 123,459 | | 119,426 | | 337 | | 1,023 | | — | | 118,740 | |
| Corporate | 6,159 | | 9 | | 91 | | 8 | | 6,069 | | 5,972 | | 33 | | 77 | | 8 | | 5,920 | |
Asset-backed securities(1) | 296 | | 1 | | 1 | | — | | 296 | | 304 | | — | | 1 | | — | | 303 | |
| Other debt securities | 4,700 | | — | | 10 | | — | | 4,690 | | 4,880 | | 1 | | 4 | | — | | 4,877 | |
| | | | | | | | | | |
| Total debt securities AFS | $ | 271,270 | | $ | 392 | | $ | 6,880 | | $ | 8 | | $ | 264,774 | | $ | 289,363 | | $ | 1,519 | | $ | 2,352 | | $ | 8 | | $ | 288,522 | |
(1)The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. ForSee Note 18 for mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.involvement.
The following table shows the fair value of AFS debt securities that have been in an unrealized loss position:
| | | | | | | | | | | | | | | | | | | | |
| | Less than 12 months | 12 months or longer | Total |
| In millions of dollars | Fair
value | Gross
unrealized
losses | Fair
value | Gross
unrealized
losses | Fair
value | Gross
unrealized
losses |
| March 31, 2021 | | | | | | |
| Debt securities AFS | | | | | | |
| Mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 17,053 | | $ | 227 | | $ | 262 | | $ | 22 | | $ | 17,315 | | $ | 249 | |
| | | | | | |
| Non-U.S. residential | 15 | | 0 | | 1 | | 0 | | 16 | | 0 | |
| Commercial | 1 | | 0 | | 0 | | 0 | | 1 | | 0 | |
| Total mortgage-backed securities | $ | 17,069 | | $ | 227 | | $ | 263 | | $ | 22 | | $ | 17,332 | | $ | 249 | |
| | | | | | |
| U.S. Treasury | $ | 40,386 | | $ | 455 | | $ | 0 | | $ | 0 | | $ | 40,386 | | $ | 455 | |
| | | | | | |
| | | | | | |
| State and municipal | 191 | | 5 | | 1,215 | | 114 | | 1,406 | | 119 | |
| Foreign government | 46,138 | | 389 | | 4,629 | | 102 | | 50,767 | | 491 | |
| Corporate | 3,017 | | 116 | | 39 | | 2 | | 3,056 | | 118 | |
| Asset-backed securities | 3 | | 0 | | 0 | | 0 | | 3 | | 0 | |
| Other debt securities | 1,079 | | 0 | | 0 | | 0 | | 1,079 | | 0 | |
| Total debt securities AFS | $ | 107,883 | | $ | 1,192 | | $ | 6,146 | | $ | 240 | | $ | 114,029 | | $ | 1,432 | |
| December 31, 2020 | | | | | | |
| Debt securities AFS | | | | | | |
| Mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 3,588 | | $ | 30 | | $ | 298 | | $ | 22 | | $ | 3,886 | | $ | 52 | |
| | | | | | |
| Non-U.S. residential | 1 | | 0 | | 0 | | 0 | | 1 | | 0 | |
| Commercial | 7 | | 0 | | 4 | | 0 | | 11 | | 0 | |
| Total mortgage-backed securities | $ | 3,596 | | $ | 30 | | $ | 302 | | $ | 22 | | $ | 3,898 | | $ | 52 | |
| U.S. Treasury and federal agency securities | | | | | | |
| U.S. Treasury | $ | 25,031 | | $ | 49 | | $ | 0 | | $ | 0 | | $ | 25,031 | | $ | 49 | |
| Agency obligations | 50 | | 0 | | 0 | | 0 | | 50 | | 0 | |
| Total U.S. Treasury and federal agency securities | $ | 25,081 | | $ | 49 | | $ | 0 | | $ | 0 | | $ | 25,081 | | $ | 49 | |
| State and municipal | $ | 836 | | $ | 34 | | $ | 893 | | $ | 123 | | $ | 1,729 | | $ | 157 | |
| Foreign government | 29,344 | | 61 | | 3,502 | | 61 | | 32,846 | | 122 | |
| Corporate | 1,083 | | 90 | | 24 | | 1 | | 1,107 | | 91 | |
| Asset-backed securities | 194 | | 3 | | 39 | | 1 | | 233 | | 4 | |
| Other debt securities | 182 | | 0 | | 0 | | 0 | | 182 | | 0 | |
| Total debt securities AFS | $ | 60,316 | | $ | 267 | | $ | 4,760 | | $ | 208 | | $ | 65,076 | | $ | 475 | |
| | | | | | | | | | | | | | | | | | | | |
| | Less than 12 months | 12 months or longer | Total |
| In millions of dollars | Fair
value | Gross
unrealized
losses | Fair
value | Gross
unrealized
losses | Fair
value | Gross
unrealized
losses |
| March 31, 2022 | | | | | | |
| Debt securities AFS | | | | | | |
| Mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 26,134 | | $ | 1,066 | | $ | 6,722 | | $ | 554 | | $ | 32,856 | | $ | 1,620 | |
| | | | | | |
| Non-U.S. residential | 76 | | 2 | | — | | — | | 76 | | 2 | |
| Commercial | 15 | | — | | 1 | | — | | 16 | | — | |
| Total mortgage-backed securities | $ | 26,225 | | $ | 1,068 | | $ | 6,723 | | $ | 554 | | $ | 32,948 | | $ | 1,622 | |
| | | | | | |
| U.S. Treasury | $ | 55,233 | | $ | 1,271 | | $ | 26,403 | | $ | 1,672 | | $ | 81,636 | | $ | 2,943 | |
| | | | | | |
| | | | | | |
| State and municipal | 688 | | 27 | | 1,083 | | 127 | | 1,771 | | 154 | |
| Foreign government | 74,927 | | 1,598 | | 13,965 | | 461 | | 88,892 | | 2,059 | |
| Corporate | 2,166 | | 80 | | 144 | | 11 | | 2,310 | | 91 | |
| Asset-backed securities | 4 | | 1 | | — | | — | | 4 | | 1 | |
| Other debt securities | 3,894 | | 10 | | — | | — | | 3,894 | | 10 | |
| Total debt securities AFS | $ | 163,137 | | $ | 4,055 | | $ | 48,318 | | $ | 2,825 | | $ | 211,455 | | $ | 6,880 | |
| December 31, 2021 | | | | | | |
| Debt securities AFS | | | | | | |
| Mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 17,039 | | $ | 270 | | $ | 698 | | $ | 31 | | $ | 17,737 | | $ | 301 | |
| | | | | | |
| Non-U.S. residential | 96 | | 1 | | 1 | | — | | 97 | | 1 | |
| Commercial | — | | — | | — | | — | | — | | — | |
| Total mortgage-backed securities | $ | 17,135 | | $ | 271 | | $ | 699 | | $ | 31 | | $ | 17,834 | | $ | 302 | |
| U.S. Treasury and federal agency securities | | | | | | |
| U.S. Treasury | $ | 56,448 | | $ | 713 | | $ | 6,310 | | $ | 131 | | $ | 62,758 | | $ | 844 | |
| Agency obligations | — | | — | | — | | — | | — | | — | |
| Total U.S. Treasury and federal agency securities | $ | 56,448 | | $ | 713 | | $ | 6,310 | | $ | 131 | | $ | 62,758 | | $ | 844 | |
| State and municipal | $ | 229 | | $ | 3 | | $ | 874 | | $ | 98 | | $ | 1,103 | | $ | 101 | |
| Foreign government | 64,319 | | 826 | | 9,924 | | 197 | | 74,243 | | 1,023 | |
| Corporate | 2,655 | | 77 | | 22 | | — | | 2,677 | | 77 | |
| Asset-backed securities | 108 | | 1 | | — | | — | | 108 | | 1 | |
| Other debt securities | 3,439 | | 4 | | — | | — | | 3,439 | | 4 | |
| Total debt securities AFS | $ | 144,333 | | $ | 1,895 | | $ | 17,829 | | $ | 457 | | $ | 162,162 | | $ | 2,352 | |
The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
| | | | | March 31, 2021 | December 31, 2020 | | March 31, 2022 | December 31, 2021 |
| In millions of dollars | In millions of dollars | Amortized
cost | Fair
value | Amortized
cost | Fair
value | In millions of dollars | Amortized
cost | Fair
value | Amortized
cost | Fair
value |
Mortgage-backed securities(1) | Mortgage-backed securities(1) | | | | Mortgage-backed securities(1) | | | |
| Due within 1 year | Due within 1 year | $ | 70 | | $ | 70 | | $ | 27 | | $ | 27 | | Due within 1 year | $ | 165 | | $ | 165 | | $ | 188 | | $ | 189 | |
| After 1 but within 5 years | After 1 but within 5 years | 387 | | 389 | | 567 | | 571 | | After 1 but within 5 years | 229 | | 226 | | 211 | | 211 | |
| After 5 but within 10 years | After 5 but within 10 years | 819 | | 876 | | 688 | | 757 | | After 5 but within 10 years | 430 | | 427 | | 523 | | 559 | |
After 10 years(2) | 41,261 | | 41,850 | | 42,171 | | 43,184 | | |
| After 10 years | | After 10 years | 37,947 | | 36,413 | | 32,547 | | 32,662 | |
| Total | Total | $ | 42,537 | | $ | 43,185 | | $ | 43,453 | | $ | 44,539 | | Total | $ | 38,771 | | $ | 37,231 | | $ | 33,469 | | $ | 33,621 | |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | | | | U.S. Treasury and federal agency securities | | | |
| Due within 1 year | Due within 1 year | $ | 29,917 | | $ | 30,048 | | $ | 34,834 | | $ | 34,951 | | Due within 1 year | $ | 21,050 | | $ | 21,009 | | $ | 34,321 | | $ | 34,448 | |
| After 1 but within 5 years | After 1 but within 5 years | 90,482 | | 91,455 | | 108,160 | | 110,091 | | After 1 but within 5 years | 72,037 | | 69,191 | | 87,987 | | 87,633 | |
| After 5 but within 10 years | After 5 but within 10 years | 1,222 | | 1,195 | | 1,150 | | 1,162 | | After 5 but within 10 years | 346 | | 325 | | 361 | | 359 | |
After 10 years(2) | 2 | | 2 | | 0 | | 0 | | |
| After 10 years | | After 10 years | — | | — | | — | | — | |
| Total | Total | $ | 121,623 | | $ | 122,700 | | $ | 144,144 | | $ | 146,204 | | Total | $ | 93,433 | | $ | 90,525 | | $ | 122,669 | | $ | 122,440 | |
| State and municipal | State and municipal | | | | State and municipal | | | |
| Due within 1 year | Due within 1 year | $ | 408 | | $ | 408 | | $ | 427 | | $ | 428 | | Due within 1 year | $ | 29 | | $ | 29 | | $ | 40 | | $ | 40 | |
| After 1 but within 5 years | After 1 but within 5 years | 117 | | 118 | | 189 | | 198 | | After 1 but within 5 years | 109 | | 108 | | 121 | | 124 | |
| After 5 but within 10 years | After 5 but within 10 years | 240 | | 239 | | 276 | | 267 | | After 5 but within 10 years | 229 | | 222 | | 156 | | 161 | |
After 10 years(2) | 2,518 | | 2,486 | | 2,861 | | 2,826 | | |
| After 10 years | | After 10 years | 2,265 | | 2,145 | | 2,326 | | 2,296 | |
| Total | Total | $ | 3,283 | | $ | 3,251 | | $ | 3,753 | | $ | 3,719 | | Total | $ | 2,632 | | $ | 2,504 | | $ | 2,643 | | $ | 2,621 | |
| Foreign government | Foreign government | | | | Foreign government | | | |
| Due within 1 year | Due within 1 year | $ | 48,334 | | $ | 48,426 | | $ | 48,133 | | $ | 48,258 | | Due within 1 year | $ | 53,275 | | $ | 53,145 | | $ | 49,263 | | $ | 49,223 | |
| After 1 but within 5 years | After 1 but within 5 years | 63,516 | | 63,789 | | 67,365 | | 68,586 | | After 1 but within 5 years | 67,153 | | 65,622 | | 64,555 | | 63,961 | |
| After 5 but within 10 years | After 5 but within 10 years | 5,562 | | 5,599 | | 5,908 | | 6,011 | | After 5 but within 10 years | 3,259 | | 3,090 | | 3,736 | | 3,656 | |
After 10 years(2) | 1,714 | | 1,800 | | 2,061 | | 2,113 | | |
| After 10 years | | After 10 years | 1,592 | | 1,602 | | 1,872 | | 1,900 | |
| Total | Total | $ | 119,126 | | $ | 119,614 | | $ | 123,467 | | $ | 124,968 | | Total | $ | 125,279 | | $ | 123,459 | | $ | 119,426 | | $ | 118,740 | |
All other(3)(2) | All other(3)(2) | | | | All other(3)(2) | | | |
| Due within 1 year | Due within 1 year | $ | 6,332 | | $ | 6,338 | | $ | 6,661 | | $ | 6,665 | | Due within 1 year | $ | 5,202 | | $ | 5,191 | | $ | 5,175 | | $ | 5,180 | |
| After 1 but within 5 years | After 1 but within 5 years | 7,886 | | 7,898 | | 7,814 | | 7,891 | | After 1 but within 5 years | 5,174 | | 5,166 | | 5,177 | | 5,149 | |
| After 5 but within 10 years | After 5 but within 10 years | 992 | | 979 | | 1,018 | | 1,034 | | After 5 but within 10 years | 726 | | 684 | | 750 | | 750 | |
After 10 years(2) | 94 | | 71 | | 99 | | 64 | | |
| After 10 years | | After 10 years | 53 | | 14 | | 54 | | 21 | |
| Total | Total | $ | 15,304 | | $ | 15,286 | | $ | 15,592 | | $ | 15,654 | | Total | $ | 11,155 | | $ | 11,055 | | $ | 11,156 | | $ | 11,100 | |
| Total debt securities AFS | Total debt securities AFS | $ | 301,873 | | $ | 304,036 | | $ | 330,409 | | $ | 335,084 | | Total debt securities AFS | $ | 271,270 | | $ | 264,774 | | $ | 289,363 | | $ | 288,522 | |
(1)Includes mortgage-backed securities of U.S. government-sponsored agencies. The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions.
(2)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate, asset-backed and other debt securities.
Debt Securities Held-to-Maturity
The carrying value and fair value of debt securities HTM were as follows:
| | | | | | | | | | | | | | | | |
| In millions of dollars | | | Amortized cost, net(1) | Gross
unrealized
gains | Gross
unrealized
losses | Fair
value |
| March 31, 2021 | | | | | |
| Debt securities HTM | | | | | | |
Mortgage-backed securities(2) | | | | | | |
| U.S. government-sponsored agency guaranteed | | | $ | 63,783 | | $ | 1,643 | | $ | 718 | | $ | 64,708 | |
| | | | | | |
| Non-U.S. residential | | | 1,107 | | 3 | | 1 | | 1,109 | |
| Commercial | | | 887 | | 2 | | 1 | | 888 | |
| Total mortgage-backed securities | | | $ | 65,777 | | $ | 1,648 | | $ | 720 | | $ | 66,705 | |
| U.S. Treasury securities | | | $ | 58,380 | | $ | 0 | | $ | 925 | | $ | 57,455 | |
State and municipal(3) | | | 9,446 | | 631 | | 17 | | 10,060 | |
| Foreign government | | | 1,877 | | 45 | | 8 | | 1,914 | |
Asset-backed securities(2) | | | 26,262 | | 10 | | 31 | | 26,241 | |
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| Total debt securities HTM, net | | | $ | 161,742 | | $ | 2,334 | | $ | 1,701 | | $ | 162,375 | |
| December 31, 2020 | | | | | | |
| Debt securities HTM | | | | | | |
Mortgage-backed securities(2) | | | | | | |
| U.S. government-sponsored agency guaranteed | | | $ | 49,004 | | $ | 2,162 | | $ | 15 | | $ | 51,151 | |
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| Non-U.S. residential | | | 1,124 | | 3 | | 1 | | 1,126 | |
| Commercial | | | 825 | | 1 | | 1 | | 825 | |
| Total mortgage-backed securities | | | $ | 50,953 | | $ | 2,166 | | $ | 17 | | $ | 53,102 | |
U.S. Treasury securities(4) | | | $ | 21,293 | | $ | 4 | | $ | 55 | | $ | 21,242 | |
| State and municipal | | | 9,185 | | 755 | | 11 | | 9,929 | |
| Foreign government | | | 1,931 | | 91 | | 0 | | 2,022 | |
Asset-backed securities(2) | | | 21,581 | | 6 | | 92 | | 21,495 | |
| Total debt securities HTM, net | | | $ | 104,943 | | $ | 3,022 | | $ | 175 | | $ | 107,790 | |
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| In millions of dollars | | | Amortized cost, net(1) | Gross
unrealized
gains | Gross
unrealized
losses | Fair
value |
| March 31, 2022 | | | | | |
| Debt securities HTM | | | | | | |
Mortgage-backed securities(2) | | | | | | |
| U.S. government-sponsored agency guaranteed | | | $ | 68,988 | | $ | 137 | | $ | 4,034 | | $ | 65,091 | |
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| Non-U.S. residential | | | 714 | | — | | — | | 714 | |
| Commercial | | | 1,038 | | 3 | | 3 | | 1,038 | |
| Total mortgage-backed securities | | | $ | 70,740 | | $ | 140 | | $ | 4,037 | | $ | 66,843 | |
| U.S. Treasury securities | | | $ | 130,004 | | $ | 26 | | $ | 7,664 | | $ | 122,366 | |
| State and municipal | | | 9,035 | | 185 | | 236 | | 8,984 | |
| Foreign government | | | 1,699 | | 1 | | 64 | | 1,636 | |
Asset-backed securities(2) | | | 31,069 | | 5 | | 249 | | 30,825 | |
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| Total debt securities HTM, net | | | $ | 242,547 | | $ | 357 | | $ | 12,250 | | $ | 230,654 | |
| December 31, 2021 | | | | | | |
| Debt securities HTM | | | | | | |
Mortgage-backed securities(2) | | | | | | |
| U.S. government-sponsored agency guaranteed | | | $ | 63,885 | | $ | 1,076 | | $ | 925 | | $ | 64,036 | |
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| Non-U.S. residential | | | 736 | | 3 | | — | | 739 | |
| Commercial | | | 1,070 | | 4 | | 2 | | 1,072 | |
| Total mortgage-backed securities | | | $ | 65,691 | | $ | 1,083 | | $ | 927 | | $ | 65,847 | |
| U.S. Treasury securities | | | $ | 111,819 | | $ | 30 | | $ | 1,632 | | $ | 110,217 | |
State and municipal(3) | | | 8,923 | | 589 | | 12 | | 9,500 | |
| Foreign government | | | 1,651 | | 4 | | 36 | | 1,619 | |
Asset-backed securities(2) | | | 28,879 | | 8 | | 32 | | 28,855 | |
| Total debt securities HTM, net | | | $ | 216,963 | | $ | 1,714 | | $ | 2,639 | | $ | 216,038 | |
(1)Amortized cost is reported net of ACL of $78$85 million and $86$87 million at March 31, 20212022 and December 31, 2020,2021, respectively.
(2)The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. ForSee Note 18 for mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.involvement.
(3)In February 2021, Citibankthe Company transferred $237 million of state and municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized gain position of $14 million. The gain amounts will remain in AOCI and will be amortized over the remaining life of the securities.
(4)In August 2020, Citibank transferred $13.1 billion of investments in U.S. Treasury securities from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized gain position of $144 million. The gain amounts will remain in AOCI and will be amortized over the remaining life of the securities.
The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
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| | March 31, 2021 | December 31, 2020 |
| In millions of dollars | Amortized cost(1) | Fair value | Amortized cost(1) | Fair value |
| Mortgage-backed securities | | | | |
| Due within 1 year | $ | 244 | | $ | 399 | | $ | 81 | | $ | 81 | |
| After 1 but within 5 years | 596 | | 626 | | 463 | | 477 | |
| After 5 but within 10 years | 1,641 | | 1,749 | | 1,699 | | 1,873 | |
After 10 years(2) | 63,296 | | 63,931 | | 48,710 | | 50,671 | |
| Total | $ | 65,777 | | $ | 66,705 | | $ | 50,953 | | $ | 53,102 | |
| U.S. Treasury securities | | | | |
| Due within 1 year | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| After 1 but within 5 years | 28,176 | | 27,697 | | 18,955 | | 19,127 | |
| After 5 but within 10 years | 30,204 | | 29,758 | | 2,338 | | 2,115 | |
After 10 years(2) | 0 | | 0 | | 0 | | 0 | |
| Total | $ | 58,380 | | $ | 57,455 | | $ | 21,293 | | $ | 21,242 | |
| State and municipal | | | | |
| Due within 1 year | $ | 8 | | $ | 7 | | $ | 6 | | $ | 6 | |
| After 1 but within 5 years | 172 | | 176 | | 139 | | 142 | |
| After 5 but within 10 years | 848 | | 887 | | 818 | | 869 | |
After 10 years(2) | 8,418 | | 8,990 | | 8,222 | | 8,912 | |
| Total | $ | 9,446 | | $ | 10,060 | | $ | 9,185 | | $ | 9,929 | |
| Foreign government | | | | |
| Due within 1 year | $ | 352 | | $ | 349 | | $ | 361 | | $ | 360 | |
| After 1 but within 5 years | 1,525 | | 1,565 | | 1,570 | | 1,662 | |
| After 5 but within 10 years | 0 | | 0 | | 0 | | 0 | |
After 10 years(2) | 0 | | 0 | | 0 | | 0 | |
| Total | $ | 1,877 | | $ | 1,914 | | $ | 1,931 | | $ | 2,022 | |
All other(3) | | | | |
| Due within 1 year | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| After 1 but within 5 years | 0 | | 0 | | 0 | | 0 | |
| After 5 but within 10 years | 13,973 | | 13,956 | | 11,795 | | 15,020 | |
After 10 years(2) | 12,289 | | 12,285 | | 9,786 | | 6,475 | |
| Total | $ | 26,262 | | $ | 26,241 | | $ | 21,581 | | $ | 21,495 | |
| Total debt securities HTM | $ | 161,742 | | $ | 162,375 | | $ | 104,943 | | $ | 107,790 | |
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| | March 31, 2022 | December 31, 2021 |
| In millions of dollars | Amortized cost(1) | Fair value | | Amortized cost(1) | Fair value | |
| Mortgage-backed securities | | | | | | |
| Due within 1 year | $ | 79 | | $ | 79 | | | $ | 152 | | $ | 151 | | |
| After 1 but within 5 years | 660 | | 672 | | | 684 | | 725 | | |
| After 5 but within 10 years | 1,641 | | 1,625 | | | 1,655 | | 1,739 | | |
| After 10 years | 68,360 | | 64,467 | | | 63,200 | | 63,232 | | |
| Total | $ | 70,740 | | $ | 66,843 | | | $ | 65,691 | | $ | 65,847 | | |
| U.S. Treasury securities | | | | | | |
| Due within 1 year | $ | — | | $ | — | | | $ | — | | $ | — | | |
| After 1 but within 5 years | 79,392 | | 75,035 | | | 65,498 | | 64,516 | | |
| After 5 but within 10 years | 50,612 | | 47,331 | | | 46,321 | | 45,701 | | |
| After 10 years | — | | — | | | — | | — | | |
| Total | $ | 130,004 | | $ | 122,366 | | | $ | 111,819 | | $ | 110,217 | | |
| State and municipal | | | | | | |
| Due within 1 year | $ | 46 | | $ | 46 | | | $ | 51 | | $ | 50 | | |
| After 1 but within 5 years | 174 | | 174 | | | 166 | | 170 | | |
| After 5 but within 10 years | 937 | | 942 | | | 908 | | 951 | | |
| After 10 years | 7,878 | | 7,822 | | | 7,798 | | 8,329 | | |
| Total | $ | 9,035 | | $ | 8,984 | | | $ | 8,923 | | $ | 9,500 | | |
| Foreign government | | | | | | |
| Due within 1 year | $ | 302 | | $ | 301 | | | $ | 292 | | $ | 291 | | |
| After 1 but within 5 years | 1,397 | | 1,335 | | | 1,359 | | 1,328 | | |
| After 5 but within 10 years | — | | — | | | — | | — | | |
| After 10 years | — | | — | | | — | | — | | |
| Total | $ | 1,699 | | $ | 1,636 | | | $ | 1,651 | | $ | 1,619 | | |
All other(2) | | | | | | |
| Due within 1 year | $ | — | | $ | — | | | $ | — | | $ | — | | |
| After 1 but within 5 years | — | | — | | | — | | — | | |
| After 5 but within 10 years | 11,791 | | 11,729 | | | 11,520 | | 11,515 | | |
| After 10 years | 19,278 | | 19,096 | | | 17,359 | | 17,340 | | |
| Total | $ | 31,069 | | $ | 30,825 | | | $ | 28,879 | | $ | 28,855 | | |
| Total debt securities HTM | $ | 242,547 | | $ | 230,654 | | | $ | 216,963 | | $ | 216,038 | | |
(1)Amortized cost is reported net of ACL of $78$85 million and $86$87 million at March 31, 20212022 and December 31, 2020,2021, respectively.
(2)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate and asset-backed securities.
HTM Debt Securities Delinquency and Non-Accrual Details
Citi did not have any HTM securities that were delinquent or on non-accrual status at March 31, 2021 and2022 or December 31, 2020.2021.
There were no purchased credit-deteriorated HTM debt securities held by the Company as of March 31, 2021 and2022 or December 31, 2020.2021.
Evaluating Investments for Impairment
AFS Debt Securities
Overview—AFS Debt Securities
The Company conducts periodic reviews of all AFS debt securities with unrealized losses to evaluate whether the impairment resulted from expected credit losses or from other factors and to evaluate the Company’s intent to sell such securities.
An AFS debt security is impaired when the current fair value of an individual AFS debt security is less than its amortized cost basis.
The Company recognizes the entire difference between amortized cost basis and fair value in earnings for impaired AFS debt securities that Citi has an intent to sell or for which Citi believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those AFS debt securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings by recording an allowance for credit losses. Any remaining fair value decline for such securities is recorded in AOCI. The Company does not consider the length of time that the fair value of a security is below its amortized cost when determining if a credit loss exists.
For AFS debt securities, credit losses exist where Citi does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security. The allowance for credit losses is limited to the amount by which the AFS debt security’s amortized cost basis exceeds its fair value. The allowance is increased or decreased if credit conditions subsequently worsen or improve. Reversals of credit losses are recognized in earnings.
The Company’s review for impairment of AFS debt securities generally entails:
•identification and evaluation of impaired investments;
•consideration of evidential matter, including an evaluation of factors or triggers that could cause individual positions to qualify as credit impaired and those that would not support credit impairment; and
•documentation of the results of these analyses, as required under business policies.
The sections below describe the Company’s process for identifying expected credit impairments for debt security types that have the most significant unrealized losses as of March 31, 2021.2022.
Mortgage-Backed Securities
Citi records no allowances for credit losses on U.S. government-agency-guaranteed mortgage-backed securities, because the Company expects to incur no credit losses in the event of default due to a history of incurring no credit losses and due to the nature of the counterparties.
State and Municipal Securities
The process for estimating credit losses in Citigroup’s AFS state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings. Citi 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 Aa2/AA. In the event of an external rating downgrade or other indicator of credit impairment (i.e., based on instrument-specific estimates of cash flows or probability of issuer default), the subject bond is specifically reviewed for adverse changes in the amount or timing of expected contractual principal and interest payments.
For AFS state and municipal bonds with unrealized losses that Citi plans to sell or would more-likely-than-not be required to sell, the full impairment is recognized in earnings. For AFS state and municipal bonds where Citi has no intent to sell and it is more-likely-than-not that the Company will not be required to sell, Citi records an allowance for expected credit losses for the amount it expects not to collect, capped at the difference between the bond’s amortized cost basis and fair value.
Equity Method Investments
Management assesses equity method investments that have fair values that are less than their respective carrying values for other-than-temporary impairment (OTTI). Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 20 to the Consolidated Financial Statements).
For impaired equity method investments that Citi plans to sell prior to recovery of value or would more-likely-than-not be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized as OTTI in Other revenue regardless of severity and duration. The measurement of the OTTI does not include partial projected recoveries subsequent to the balance sheet date.
For impaired equity method investments that management does not plan to sell and is not more-likely-than-not to be required to sell prior to recovery of value, the evaluation of whether an impairment is other-than-temporary is based on (i) whether and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary considers the following indicators:
•For more information on evaluating investments for impairment, see Note 13 to 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 recoveryConsolidated Financial Statements in market value; and
•the length of time and extent to which fair value has been less than the carrying value.Citi’s 2021 Form 10-K.
Recognition and Measurement of Impairment
The following table presentstables present total impairment on Investments recognized in earnings:
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| Three Months Ended
March 31, 2021 | Three Months Ended
March 31, 2020 |
| In millions of dollars | AFS | Other
assets | Total | AFS | | Other assets | Total |
| Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | |
| Total impairment losses recognized during the period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | |
Less: portion of impairment loss recognized in AOCI (before taxes) | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | |
| Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | |
| Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise | 69 | | 0 | | 69 | | 52 | | | 0 | | 52 | |
| Total impairment losses recognized in earnings | $ | 69 | | $ | 0 | | $ | 69 | | $ | 52 | | | $ | 0 | | $ | 52 | |
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| Three Months Ended
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| In millions of dollars | AFS | Other
assets | Total | AFS | | Other assets | Total |
| Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | |
| Total impairment losses recognized during the period | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | |
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 more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise | 90 | | — | | 90 | | 69 | | | — | | 69 | |
| Total impairment losses recognized in earnings | $ | 90 | | $ | — | | $ | 90 | | $ | 69 | | | $ | — | | $ | 69 | |
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Allowance for Credit Losses on AFS Debt Securities
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| | | | Three Months Ended March 31, 2021 |
| In millions of dollars | | | | Foreign government | | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | | | | $ | 0 | | | | $ | 5 | | $ | 5 | |
| Less: Write-offs | | | | 0 | | | | 0 | | 0 | |
| Recoveries of amounts written-off | | | | 0 | | | | 0 | | 0 | |
| Net credit losses (NCLs) | | | | $ | 0 | | | | $ | 0 | | $ | 0 | |
| NCLs | | | | $ | 0 | | | | $ | 0 | | $ | 0 | |
| Credit losses on securities without previous credit losses | | | | 0 | | | | 0 | | 0 | |
| Net reserve builds (releases) on securities with previous credit losses | | | | 0 | | | | 0 | | 0 | |
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| Total provision for credit losses | | | | $ | 0 | | | | $ | 0 | | $ | 0 | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | | | | 0 | | | | 0 | | 0 | |
| Allowance for credit losses at end of period | | | | $ | 0 | | | | $ | 5 | | $ | 5 | |
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| In millions of dollars | | | | | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | | | | | | $ | 8 | | $ | 8 | |
| Gross write-offs | | | | | | — | | — | |
| Gross recoveries | | | | | | — | | — | |
| Net credit losses (NCLs) | | | | | | $ | — | | $ | — | |
| NCLs | | | | | | $ | — | | $ | — | |
| Credit losses on securities without previous credit losses | | | | | | — | | — | |
| Net reserve builds (releases) on securities with previous credit losses | | | | | | — | | — | |
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| Total provision for credit losses | | | | | | $ | — | | $ | — | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | | | | | | — | | — | |
| Allowance for credit losses at end of period | | | | | | $ | 8 | | $ | 8 | |
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Citi did 0t have an allowance for credit losses on AFS debt securities at March 31, 2020. | | | | | | | | | | | | | |
| | | | | Three Months Ended March 31, 2021 | |
| In millions of dollars | | | | | Corporate | Total AFS | |
| Allowance for credit losses at beginning of period | | | | | $ | 5 | | $ | 5 | | |
| Gross write-offs | | | | | — | | — | | |
| Gross recoveries | | | | | — | | — | | |
| Net credit losses (NCLs) | | | | | $ | — | | $ | — | | |
| NCLs | | | | | $ | — | | $ | — | | |
| Credit losses on securities without previous credit losses | | | | | — | | — | | |
| Net reserve builds (releases) on securities with previous credit losses | | | | | — | | — | | |
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| Initial allowance on newly purchased credit-deteriorated securities during the period | | | | | — | | — | | |
| Allowance for credit losses at end of period | | | | | $ | 5 | | $ | 5 | | |
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Non-Marketable Equity Securities Not Carried at Fair Value
Non-marketable equity securities are required to be measured at fair value with changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost.
The election to measure a non-marketable equity security using the measurement alternative is made on an instrument-by-instrument basis. Under the measurement alternative, an equity security is carried at cost plus or minus changes resulting from observable prices in orderly transactions for the identical or a similar investment of the same issuer. The carrying value of the equity security is adjusted to fair value on the date of an observed transaction. Fair value may differ from the observed transaction price due to a number of factors, including marketability adjustments and differences in rights and obligations when the observed transaction is not for the identical investment held by Citi.
Equity securities under the measurement alternative are also assessed for impairment. On a quarterly basis, management qualitatively assesses whether each equity security under the measurement alternative is impaired. ImpairmentFor details on impairment indicators that are considered, include, but are not limitedsee Note 13 to the following:
•a significant deteriorationConsolidated Financial Statements 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 March 31, 20212022 and December 31, 2020:
| | | | | | | | |
| In millions of dollars | March 31, 2021 | December 31, 2020 |
| Measurement alternative: | | |
| Carrying value | $ | 1,079 | | $ | 962 | |
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| In millions of dollars | March 31, 2022 | December 31, 2021 |
| Measurement alternative: | | |
| Carrying value | $ | 1,622 | | $ | 1,413 | |
Below are amounts recognized in earnings and life-to-date amounts for non-marketable equity securities measured using the measurement alternative:
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| Three Months Ended
March 31, | |
| In millions of dollars | 2021 | 2020 | | |
Measurement alternative(1): | | | | |
| Impairment losses | $ | 0 | | $ | 3 | | | |
| Downward changes for observable prices | 0 | | 0 | | | |
| Upward changes for observable prices | 81 | | 25 | | | |
| | | | | | | | | | |
| Three Months Ended March 31, | |
| In millions of dollars | 2022 | 2021 | | |
Measurement alternative:(1) | | | | |
| Impairment losses | $ | — | | $ | — | | | |
| Downward changes for observable prices | — | | — | | | |
| Upward changes for observable prices | 85 | | 81 | | | |
(1) See Note 20 to the Consolidated Financial Statements for additional information on these nonrecurring fair value measurements.
| | | | | |
| Life-to-date amounts on securities still held |
| In millions of dollars | March 31, 20212022 |
| Measurement alternative: | |
| Impairment losses | $ | 6880 | |
| Downward changes for observable prices | 533 | |
| Upward changes for observable prices | 567776 | |
A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three months ended March 31, 20212022 and 2020,2021, there was 0no 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 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.
122 | | | | | | | | | | | | | | | | | | | | |
| Fair value | Unfunded
commitments | Redemption frequency
(if currently eligible)
monthly, quarterly, annually | Redemption
notice
period |
| In millions of dollars | March 31,
2022 | December 31, 2021 | March 31,
2022 | December 31, 2021 | | |
| | | | | | |
Private equity funds(1)(2) | $ | 132 | | $ | 123 | | $ | 60 | | $ | 60 | | N/A | N/A |
Real estate funds(2)(3) | 2 | | 2 | | 1 | | 1 | | N/A | N/A |
| Mutual/collective investment funds | 24 | | 20 | | — | | — | | N/A | N/A |
| Total | $ | 158 | | $ | 145 | | $ | 61 | | $ | 61 | | N/A | N/A |
| | | | | | | | | | | | | | | | | | | | |
| Fair value | Unfunded
commitments | Redemption frequency
(if currently eligible)
monthly, quarterly, annually | Redemption
notice
period |
| In millions of dollars | March 31,
2021 | December 31, 2020 | March 31,
2021 | December 31, 2020 | | |
| | | | | | |
Private equity funds(1)(2) | $ | 116 | | $ | 123 | | $ | 60 | | $ | 62 | | — | — |
Real estate funds(2)(3) | 4 | | 9 | | 2 | | 20 | | — | — |
| Mutual/collective investment funds | 19 | | 20 | | 0 | | 0 | | — | — |
| Total | $ | 139 | | $ | 152 | | $ | 62 | | $ | 82 | | — | — |
(1)Private equity funds include funds that invest in infrastructure, emerging markets and venture capital.
(2)With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld.
(3)Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia.
N/A Not applicable
13. LOANS
Citigroup loans are reported in 2 categories: consumercorporate and corporate.consumer. These categories are classified primarily according to the operating segment and subsegmentcomponent that manage the loans. For additional information regarding Citi’s consumercorporate and corporateconsumer loans, including related accounting policies, see Note 1 to the Consolidated Financial Statements and Notes 1 and 14 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
Corporate Loans
Corporate loans represent loans and leases managed by ICG and the Mexico SBMM component of Legacy Franchises. The following table presents information by corporate loan type:
| | | | | | | | |
| In millions of dollars | March 31,
2022 | December 31,
2021 |
In North America offices(1) | | |
| Commercial and industrial | $ | 54,063 | | $ | 48,364 | |
| Financial institutions | 47,930 | | 49,804 | |
Mortgage and real estate(2) | 17,536 | | 15,965 | |
| Installment and other | 18,812 | | 20,143 | |
| Lease financing | 379 | | 415 | |
| Total | $ | 138,720 | | $ | 134,691 | |
In offices outside North America(1) | | |
| Commercial and industrial | $ | 112,732 | | $ | 102,735 | |
| Financial institutions | 27,657 | | 22,158 | |
Mortgage and real estate(2) | 4,705 | | 4,374 | |
| Installment and other | 21,275 | | 22,812 | |
| Lease financing | 47 | | 40 | |
| Governments and official institutions | 4,205 | | 4,423 | |
| Total | $ | 170,621 | | $ | 156,542 | |
Corporate loans, net of unearned income(3) | $ | 309,341 | | $ | 291,233 | |
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Corporate loans are net of unearned income of ($766) million and ($770) million at March 31, 2022 and December 31, 2021, 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 $0.3 billion of corporate loans during the three months ended March 31, 2022, and $0.5 billion of corporate loans during the three months ended March 31, 2021. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three months ended March 31, 2022 or 2021.
Corporate Loan Delinquencies and Non-Accrual Details at March 31, 2022
| | | | | | | | | | | | | | | | | | | | |
| 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 | $ | 932 | | $ | 631 | | $ | 1,563 | | $ | 1,519 | | $ | 160,279 | | $ | 163,361 | |
| Financial institutions | 380 | | 211 | | 591 | | 52 | | 74,599 | | 75,242 | |
| Mortgage and real estate | 50 | | 100 | | 150 | | 119 | | 21,921 | | 22,190 | |
| Lease financing | — | | — | | — | | 15 | | 411 | | 426 | |
| Other | 41 | | 45 | | 86 | | 161 | | 42,153 | | 42,400 | |
| Loans at fair value | | | | | | 5,722 | |
| | | | | | |
| Total | $ | 1,403 | | $ | 987 | | $ | 2,390 | | $ | 1,866 | | $ | 299,363 | | $ | 309,341 | |
Corporate Loan Delinquencies and Non-Accrual Details at December 31, 2021
| | | | | | | | | | | | | | | | | | | | |
| 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 | $ | 1,072 | | $ | 239 | | $ | 1,311 | | $ | 1,263 | | $ | 144,430 | | $ | 147,004 | |
| Financial institutions | 320 | | 166 | | 486 | | 2 | | 71,279 | | 71,767 | |
| Mortgage and real estate | 1 | | 1 | | 2 | | 136 | | 20,153 | | 20,291 | |
| Lease financing | — | | — | | — | | 14 | | 441 | | 455 | |
| Other | 77 | | 19 | | 96 | | 138 | | 45,412 | | 45,646 | |
| Loans at fair value | | | | | | 6,070 | |
| | | | | | |
| Total | $ | 1,470 | | $ | 425 | | $ | 1,895 | | $ | 1,553 | | $ | 281,715 | | $ | 291,233 | |
(1)Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2)Non-accrual loans generally include those loans that are 90 days or more past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest and/or principal is doubtful.
(3)Loans less than 30 days past due are presented as current.
(4)Total loans include loans at fair value, which are not included in the various delinquency columns.
Corporate Loans Credit Quality Indicators
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Recorded investment in loans(1) |
| Term loans by year of origination | Revolving line of credit arrangements(2) | | March 31,
2022 | |
| In millions of dollars | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | |
Investment grade(3) | | | | | | | | | | |
Commercial and industrial(4) | $ | 36,059 | | $ | 13,020 | | $ | 4,742 | | $ | 4,219 | | $ | 3,513 | | $ | 10,875 | | $ | 36,661 | | | $ | 109,089 | | |
Financial institutions(4) | 9,481 | | 6,754 | | 1,663 | | 1,107 | | 931 | | 1,923 | | 42,885 | | | 64,744 | | |
| Mortgage and real estate | 1,862 | | 3,077 | | 3,720 | | 3,409 | | 1,824 | | 2,477 | | 117 | | | 16,486 | | |
Other(5) | 3,343 | | 3,325 | | 2,351 | | 993 | | 2,502 | | 4,488 | | 19,699 | | | 36,701 | | |
| Total investment grade | $ | 50,745 | | $ | 26,176 | | $ | 12,476 | | $ | 9,728 | | $ | 8,770 | | $ | 19,763 | | $ | 99,362 | | | $ | 227,020 | | |
Non-investment grade(3) | | | | | | | | | | |
| Accrual | | | | | | | | | | |
Commercial and industrial(4) | $ | 11,346 | | $ | 8,485 | | $ | 2,448 | | $ | 2,145 | | $ | 1,790 | | $ | 5,253 | | $ | 21,286 | | | $ | 52,753 | | |
Financial institutions(4) | 3,337 | | 1,760 | | 346 | | 553 | | 56 | | 750 | | 3,644 | | | 10,446 | | |
| Mortgage and real estate | 141 | | 922 | | 741 | | 1,005 | | 1,141 | | 1,017 | | 618 | | | 5,585 | | |
Other(5) | 910 | | 949 | | 398 | | 390 | | 201 | | 358 | | 2,743 | | | 5,949 | | |
| Non-accrual | | | | | | | | | | |
Commercial and industrial(4) | 143 | | 148 | | 99 | | 122 | | 112 | | 245 | | 650 | | | 1,519 | | |
| Financial institutions | — | | 50 | | — | | — | | — | | — | | 2 | | | 52 | | |
| Mortgage and real estate | 10 | | — | | 1 | | — | | 42 | | 25 | | 41 | | | 119 | | |
Other(5) | 66 | | 4 | | 3 | | 11 | | 24 | | 63 | | 5 | | | 176 | | |
| Total non-investment grade | $ | 15,953 | | $ | 12,318 | | $ | 4,036 | | $ | 4,226 | | $ | 3,366 | | $ | 7,711 | | $ | 28,989 | | | $ | 76,599 | | |
Loans at fair value(6) | | | | | | | | | $ | 5,722 | | |
| Corporate loans, net of unearned income | $ | 66,698 | | $ | 38,494 | | $ | 16,512 | | $ | 13,954 | | $ | 12,136 | | $ | 27,474 | | $ | 128,351 | | | $ | 309,341 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Recorded investment in loans(1) |
| Term loans by year of origination | Revolving line of credit arrangements(2) | | December 31, 2021 | |
| In millions of dollars | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | |
Investment grade(3) | | | | | | | | | | |
Commercial and industrial(4) | $ | 42,422 | | $ | 5,529 | | $ | 4,642 | | $ | 3,757 | | $ | 2,911 | | $ | 8,392 | | $ | 30,588 | | | $ | 98,241 | | |
Financial institutions(4) | 12,862 | | 1,678 | | 1,183 | | 1,038 | | 419 | | 1,354 | | 43,630 | | | 62,164 | | |
| Mortgage and real estate | 2,423 | | 3,660 | | 3,332 | | 2,015 | | 1,212 | | 1,288 | | 141 | | | 14,071 | | |
Other(5) | 9,037 | | 3,099 | | 1,160 | | 2,789 | | 330 | | 4,601 | | 18,727 | | | 39,743 | | |
| Total investment grade | $ | 66,744 | | $ | 13,966 | | $ | 10,317 | | $ | 9,599 | | $ | 4,872 | | $ | 15,635 | | $ | 93,086 | | | $ | 214,219 | | |
Non-investment grade(3) | | | | | | | | | | |
| Accrual | | | | | | | | | | |
Commercial and industrial(4) | $ | 16,783 | | $ | 2,281 | | $ | 2,343 | | $ | 2,024 | | $ | 1,412 | | $ | 3,981 | | $ | 18,676 | | | $ | 47,500 | | |
Financial institutions(4) | 4,325 | | 347 | | 567 | | 101 | | 71 | | 511 | | 3,679 | | | 9,601 | | |
| Mortgage and real estate | 1,275 | | 869 | | 1,228 | | 1,018 | | 493 | | 586 | | 615 | | | 6,084 | | |
Other(5) | 1,339 | | 349 | | 554 | | 364 | | 119 | | 245 | | 3,236 | | | 6,206 | | |
| Non-accrual | | | | | | | | | | |
Commercial and industrial(4) | 53 | | 119 | | 64 | | 104 | | 94 | | 117 | | 712 | | | 1,263 | | |
| Financial institutions | — | | — | | — | | — | | — | | — | | 2 | | | 2 | | |
| Mortgage and real estate | 11 | | 8 | | 2 | | 49 | | 10 | | 25 | | 31 | | | 136 | | |
Other(5) | 19 | | 5 | | 19 | | 19 | | — | | 90 | | — | | | 152 | | |
| Total non-investment grade | $ | 23,805 | | $ | 3,978 | | $ | 4,777 | | $ | 3,679 | | $ | 2,199 | | $ | 5,555 | | $ | 26,951 | | | $ | 70,944 | | |
Loans at fair value(6) | | | | | | | | | $ | 6,070 | | |
| Corporate loans, net of unearned income | $ | 90,549 | | $ | 17,944 | | $ | 15,094 | | $ | 13,278 | | $ | 7,071 | | $ | 21,190 | | $ | 120,037 | | | $ | 291,233 | | |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)There were no significant revolving line of credit arrangements that converted to term loans during the quarter.
(3)Held-for-investment loans are accounted for on an amortized cost basis.
(4)Includes certain short-term loans with less than one year in tenor.
(5)Other includes installment and other, lease financing and loans to government and official institutions.
(6)Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.
Non-Accrual Corporate Loans
The following tables present non-accrual loan information by corporate loan type and interest income recognized on non-accrual corporate loans:
| | | | | | | | | | | | | | | | | | | | |
| | March 31, 2022 | Three Months Ended
March 31, 2022 | Three Months Ended
March 31, 2021 |
| In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | Interest income recognized | Interest income recognized(3) |
| Non-accrual corporate loans | | | | | | |
| Commercial and industrial | $ | 1,519 | | $ | 2,560 | | $ | 392 | | $ | 1,603 | | $ | 7 | | $ | 10 | |
| Financial institutions | 52 | | 110 | | 31 | | 17 | | — | | — | |
| Mortgage and real estate | 119 | | 119 | | 3 | | 155 | | 2 | | — | |
| Lease financing | 15 | | 15 | | — | | 18 | | — | | — | |
| Other | 161 | | 184 | | 13 | | 155 | | 2 | | 6 | |
| Total non-accrual corporate loans | $ | 1,866 | | $ | 2,988 | | $ | 439 | | $ | 1,948 | | $ | 11 | | $ | 16 | |
| | | | | | | | | | | | | | | | |
| December 31, 2021 | |
| In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | | |
| Non-accrual corporate loans | | | | | | |
| Commercial and industrial | $ | 1,263 | | $ | 1,858 | | $ | 198 | | $ | 1,839 | | | |
| Financial institutions | 2 | | 55 | | — | | 4 | | | |
| Mortgage and real estate | 136 | | 285 | | 10 | | 163 | | | |
| Lease financing | 14 | | 14 | | — | | 21 | | | |
| Other | 138 | | 165 | | 4 | | 134 | | | |
| Total non-accrual corporate loans | $ | 1,553 | | $ | 2,377 | | $ | 212 | | $ | 2,161 | | | |
| | | | | | | | | | | | | | |
| | March 31, 2022 | December 31, 2021 |
| In millions of dollars | Recorded investment(1) | Related specific
allowance | Recorded investment(1) | Related specific
allowance |
| Non-accrual corporate loans with specific allowances | | | | |
| Commercial and industrial | $ | 604 | | $ | 392 | | $ | 637 | | $ | 198 | |
| Financial institutions | 50 | | 31 | | — | | — | |
| Mortgage and real estate | 22 | | 3 | | 29 | | 10 | |
| | | | |
| Other | 21 | | 13 | | 37 | | 4 | |
| Total non-accrual corporate loans with specific allowances | $ | 697 | | $ | 439 | | $ | 703 | | $ | 212 | |
| Non-accrual corporate loans without specific allowances | | | | |
| Commercial and industrial | $ | 915 | | | $ | 626 | | |
| Financial institutions | 2 | | | 2 | | |
| Mortgage and real estate | 97 | | | 107 | | |
| Lease financing | 15 | | | 14 | | |
| Other | 140 | | | 101 | | |
| Total non-accrual corporate loans without specific allowances | $ | 1,169 | | N/A | $ | 850 | | N/A |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Average carrying value represents the average recorded investment balance and does not include related specific allowances.
N/A Not applicable
Corporate Troubled Debt Restructurings(1)
For the Three Months Ended March 31, 2022
| | | | | | | | | | | | | | | | |
| In millions of dollars | Carrying value of TDRs modified during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | | |
| Commercial and industrial | $ | 12 | | $ | — | | $ | — | | $ | 12 | | | |
| | | | | | |
| | | | | | |
| Mortgage and real estate | — | | — | | — | | — | | | |
| | | | | | |
| Other | — | | — | | — | | — | | | |
| Total | $ | 12 | | $ | — | | $ | — | | $ | 12 | | | |
For the Three Months Ended March 31, 2021
| | | | | | | | | | | | | | | | |
| In millions of dollars | Carrying value of TDRs modified
during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | | |
| Commercial and industrial | $ | 21 | | $ | — | | $ | — | | $ | 21 | | | |
| | | | | | |
| Mortgage and real estate | 1 | | — | | — | | 1 | | | |
| | | | | | |
| Other | 1 | | 1 | | — | | — | | | |
| | | | | | |
| Total | $ | 23 | | $ | 1 | | $ | — | | $ | 22 | | | |
(1)The above tables do not include loan modifications that meet the TDR relief criteria in the CARES Act or the interagency guidance.
(2)TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectible may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.
(3)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.
The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
| | | | | | | | | | | | | | | | | | |
| In millions of dollars | TDR balances at
March 31, 2022 | TDR loans that re-defaulted in 2022 within one year of modification | | TDR balances at
March 31, 2021 | TDR loans that re-defaulted in 2021 within one year of modification | |
| Commercial and industrial | $ | 205 | | $ | — | | | | $ | 283 | | $ | — | | | |
| | | | | | | | |
| Mortgage and real estate | 20 | | — | | | | 25 | | — | | | |
| | | | | | | | |
| Other | 23 | | — | | | | 27 | | — | | | |
Total(1) | $ | 248 | | $ | — | | | | $ | 335 | | $ | — | | | |
(1)The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.
ConsumerCorporate Loans Credit Quality Indicators
Consumer loans represent loans and leases managed primarily by GCB and Corporate/Other.
Consumer Loans, Delinquencies and Non-Accrual Status at March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Total current(1)(2) | 30–89 days past due(3)(4) | ≥ 90 days past due(3)(4) | Past due government guaranteed(5) | Total loans | Non-accrual loans for which there is no ACLL | Non-accrual loans for which there is an ACLL | Total
non-accrual | 90 days
past due
and accruing |
In North America offices(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 44,638 | | $ | 272 | | $ | 344 | | $ | 485 | | $ | 45,739 | | $ | 128 | | $ | 460 | | $ | 588 | | $ | 325 | |
Home equity loans(8)(9) | 6,391 | | 61 | | 186 | | 0 | | 6,638 | | 69 | | 268 | | 337 | | 0 | |
| Credit cards | 118,870 | | 997 | | 1,181 | | 0 | | 121,048 | | 0 | | 0 | | 0 | | 1,181 | |
| Personal, small business and other | 4,565 | | 25 | | 10 | | 0 | | 4,600 | | 2 | | 34 | | 36 | | 0 | |
| Total | $ | 174,464 | | $ | 1,355 | | $ | 1,721 | | $ | 485 | | $ | 178,025 | | $ | 199 | | $ | 762 | | $ | 961 | | $ | 1,506 | |
In offices outside North America(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 39,426 | | $ | 205 | | $ | 202 | | $ | 0 | | $ | 39,833 | | $ | 0 | | $ | 479 | | $ | 479 | | $ | 0 | |
| Credit cards | 20,397 | | 344 | | 396 | | 0 | | 21,137 | | 0 | | 281 | | 281 | | 269 | |
| Personal, small business and other | 34,669 | | 237 | | 133 | | 0 | | 35,039 | | 0 | | 263 | | 263 | | 0 | |
| Total | $ | 94,492 | | $ | 786 | | $ | 731 | | $ | 0 | | $ | 96,009 | | $ | 0 | | $ | 1,023 | | $ | 1,023 | | $ | 269 | |
Total Citigroup(10) | $ | 268,956 | | $ | 2,141 | | $ | 2,452 | | $ | 485 | | $ | 274,034 | | $ | 199 | | $ | 1,785 | | $ | 1,984 | | $ | 1,775 | |
(1)Loans less than 30 days past due are presented as current.
(2)Includes $15 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies.
(4)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification. Most modified loans in North America would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer). Consumer relief programs in Asia and Mexico largely expired during the fourth quarter of 2020 and began to age at that time.
(5)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and 90 days or more past due of $0.4 billion.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(8)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Consumer loans are net of unearned income of $700 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts. | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Recorded investment in loans(1) |
| Term loans by year of origination | Revolving line of credit arrangements(2) | | March 31,
2022 | |
| In millions of dollars | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | |
Investment grade(3) | | | | | | | | | | |
Commercial and industrial(4) | $ | 36,059 | | $ | 13,020 | | $ | 4,742 | | $ | 4,219 | | $ | 3,513 | | $ | 10,875 | | $ | 36,661 | | | $ | 109,089 | | |
Financial institutions(4) | 9,481 | | 6,754 | | 1,663 | | 1,107 | | 931 | | 1,923 | | 42,885 | | | 64,744 | | |
| Mortgage and real estate | 1,862 | | 3,077 | | 3,720 | | 3,409 | | 1,824 | | 2,477 | | 117 | | | 16,486 | | |
Other(5) | 3,343 | | 3,325 | | 2,351 | | 993 | | 2,502 | | 4,488 | | 19,699 | | | 36,701 | | |
| Total investment grade | $ | 50,745 | | $ | 26,176 | | $ | 12,476 | | $ | 9,728 | | $ | 8,770 | | $ | 19,763 | | $ | 99,362 | | | $ | 227,020 | | |
Non-investment grade(3) | | | | | | | | | | |
| Accrual | | | | | | | | | | |
Commercial and industrial(4) | $ | 11,346 | | $ | 8,485 | | $ | 2,448 | | $ | 2,145 | | $ | 1,790 | | $ | 5,253 | | $ | 21,286 | | | $ | 52,753 | | |
Financial institutions(4) | 3,337 | | 1,760 | | 346 | | 553 | | 56 | | 750 | | 3,644 | | | 10,446 | | |
| Mortgage and real estate | 141 | | 922 | | 741 | | 1,005 | | 1,141 | | 1,017 | | 618 | | | 5,585 | | |
Other(5) | 910 | | 949 | | 398 | | 390 | | 201 | | 358 | | 2,743 | | | 5,949 | | |
| Non-accrual | | | | | | | | | | |
Commercial and industrial(4) | 143 | | 148 | | 99 | | 122 | | 112 | | 245 | | 650 | | | 1,519 | | |
| Financial institutions | — | | 50 | | — | | — | | — | | — | | 2 | | | 52 | | |
| Mortgage and real estate | 10 | | — | | 1 | | — | | 42 | | 25 | | 41 | | | 119 | | |
Other(5) | 66 | | 4 | | 3 | | 11 | | 24 | | 63 | | 5 | | | 176 | | |
| Total non-investment grade | $ | 15,953 | | $ | 12,318 | | $ | 4,036 | | $ | 4,226 | | $ | 3,366 | | $ | 7,711 | | $ | 28,989 | | | $ | 76,599 | | |
Loans at fair value(6) | | | | | | | | | $ | 5,722 | | |
| Corporate loans, net of unearned income | $ | 66,698 | | $ | 38,494 | | $ | 16,512 | | $ | 13,954 | | $ | 12,136 | | $ | 27,474 | | $ | 128,351 | | | $ | 309,341 | | |
Interest Income Recognized for Non-Accrual Consumer Loans
| | | | | | | | |
| Interest income |
| In millions of dollars | Three Months Ended March 31, 2021 | Three Months Ended March 31, 2020 |
In North America offices(1) | | |
| Residential first mortgages | $ | 3 | | $ | 3 | |
| Home equity loans | 2 | | 2 | |
| Credit cards | 0 | | 0 | |
| Personal, small business and other | 0 | | 0 | |
| Total | $ | 5 | | $ | 5 | |
In offices outside North America(1) | | |
| Residential first mortgages | $ | 0 | | $ | 0 | |
| Credit cards | 0 | | 0 | |
| Personal, small business and other | 0 | | 0 | |
| Total | $ | 0 | | $ | 0 | |
| Total Citigroup | $ | 5 | | $ | 5 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Recorded investment in loans(1) |
| Term loans by year of origination | Revolving line of credit arrangements(2) | | December 31, 2021 | |
| In millions of dollars | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | |
Investment grade(3) | | | | | | | | | | |
Commercial and industrial(4) | $ | 42,422 | | $ | 5,529 | | $ | 4,642 | | $ | 3,757 | | $ | 2,911 | | $ | 8,392 | | $ | 30,588 | | | $ | 98,241 | | |
Financial institutions(4) | 12,862 | | 1,678 | | 1,183 | | 1,038 | | 419 | | 1,354 | | 43,630 | | | 62,164 | | |
| Mortgage and real estate | 2,423 | | 3,660 | | 3,332 | | 2,015 | | 1,212 | | 1,288 | | 141 | | | 14,071 | | |
Other(5) | 9,037 | | 3,099 | | 1,160 | | 2,789 | | 330 | | 4,601 | | 18,727 | | | 39,743 | | |
| Total investment grade | $ | 66,744 | | $ | 13,966 | | $ | 10,317 | | $ | 9,599 | | $ | 4,872 | | $ | 15,635 | | $ | 93,086 | | | $ | 214,219 | | |
Non-investment grade(3) | | | | | | | | | | |
| Accrual | | | | | | | | | | |
Commercial and industrial(4) | $ | 16,783 | | $ | 2,281 | | $ | 2,343 | | $ | 2,024 | | $ | 1,412 | | $ | 3,981 | | $ | 18,676 | | | $ | 47,500 | | |
Financial institutions(4) | 4,325 | | 347 | | 567 | | 101 | | 71 | | 511 | | 3,679 | | | 9,601 | | |
| Mortgage and real estate | 1,275 | | 869 | | 1,228 | | 1,018 | | 493 | | 586 | | 615 | | | 6,084 | | |
Other(5) | 1,339 | | 349 | | 554 | | 364 | | 119 | | 245 | | 3,236 | | | 6,206 | | |
| Non-accrual | | | | | | | | | | |
Commercial and industrial(4) | 53 | | 119 | | 64 | | 104 | | 94 | | 117 | | 712 | | | 1,263 | | |
| Financial institutions | — | | — | | — | | — | | — | | — | | 2 | | | 2 | | |
| Mortgage and real estate | 11 | | 8 | | 2 | | 49 | | 10 | | 25 | | 31 | | | 136 | | |
Other(5) | 19 | | 5 | | 19 | | 19 | | — | | 90 | | — | | | 152 | | |
| Total non-investment grade | $ | 23,805 | | $ | 3,978 | | $ | 4,777 | | $ | 3,679 | | $ | 2,199 | | $ | 5,555 | | $ | 26,951 | | | $ | 70,944 | | |
Loans at fair value(6) | | | | | | | | | $ | 6,070 | | |
| Corporate loans, net of unearned income | $ | 90,549 | | $ | 17,944 | | $ | 15,094 | | $ | 13,278 | | $ | 7,071 | | $ | 21,190 | | $ | 120,037 | | | $ | 291,233 | | |
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2020
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Total current(1)(2) | 30–89 days past due(3)(4) | ≥ 90 days past due(3)(4) | Past due government guaranteed(5) | Total
loans | Non-accrual loans for which there is no ACLL | Non-accrual loans for which there is an ACLL | Total
non-accrual | 90 days
past due
and accruing |
In North America offices(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 46,471 | | $ | 402 | | $ | 381 | | $ | 524 | | $ | 47,778 | | $ | 136 | | $ | 509 | | $ | 645 | | $ | 332 | |
Home equity loans(8)(9) | 6,829 | | 78 | | 221 | | 0 | | 7,128 | | 72 | | 307 | | 379 | | 0 | |
| Credit cards | 127,827 | | 1,228 | | 1,330 | | 0 | | 130,385 | | 0 | | 0 | | 0 | | 1,330 | |
| Personal, small business and other | 4,472 | | 27 | | 10 | | 0 | | 4,509 | | 2 | | 33 | | 35 | | 0 | |
| Total | $ | 185,599 | | $ | 1,735 | | $ | 1,942 | | $ | 524 | | $ | 189,800 | | $ | 210 | | $ | 849 | | $ | 1,059 | | $ | 1,662 | |
In offices outside North America(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 39,557 | | $ | 213 | | $ | 199 | | $ | 0 | | $ | 39,969 | | $ | 0 | | $ | 486 | | $ | 486 | | $ | 0 | |
| Credit cards | 21,718 | | 429 | | 545 | | 0 | | 22,692 | | 0 | | 384 | | 384 | | 376 | |
| Personal, small business and other | 35,925 | | 319 | | 134 | | 0 | | 36,378 | | 0 | | 212 | | 212 | | 0 | |
| Total | $ | 97,200 | | $ | 961 | | $ | 878 | | $ | 0 | | $ | 99,039 | | $ | 0 | | $ | 1,082 | | $ | 1,082 | | $ | 376 | |
Total Citigroup(10) | $ | 282,799 | | $ | 2,696 | | $ | 2,820 | | $ | 524 | | $ | 288,839 | | $ | 210 | | $ | 1,931 | | $ | 2,141 | | $ | 2,038 | |
(1)Loans less than 30 days past due are presented as current.
(2)Includes $14 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies.
(4)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification, and thus almost all would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer).
(5)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.2 billion and 90 days or more past due of $0.3 billion.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(8)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Consumer loans are net of unearned income of $749 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
During the three months ended March 31, 2021 and 2020, the Company sold and/or reclassified to HFS $96 million and $24 million, respectively, of consumer loans.
Consumer Credit Scores (FICO)
The following tables provide details on the Fair Isaac Corporation (FICO) scores for Citi’s U.S. consumer loan portfolio based on end-of-period receivables by year of origination. FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio.
| | | | | | | | | | | | | | | | | |
FICO score distribution in U.S. portfolio(1)(2) | March 31, 2021 |
| In millions of dollars | Less than
680 | 680
to 760 | Greater
than 760 | FICO not available | Total loans |
| Residential first mortgages | | | | | |
| 2021 | $ | 21 | | $ | 730 | | $ | 1,650 | | | |
| 2020 | 195 | | 3,418 | | 8,962 | | | |
| 2019 | 131 | | 1,639 | | 4,700 | | | |
| 2018 | 233 | | 547 | | 1,089 | | | |
| 2017 | 286 | | 740 | | 1,612 | | | |
| Prior | 1,905 | | 4,880 | | 11,365 | | | |
| Total residential first mortgages | $ | 2,771 | | $ | 11,954 | | $ | 29,378 | | $ | 1,636 | | $ | 45,739 | |
Credit cards(3) | $ | 22,931 | | $ | 49,139 | | $ | 46,084 | | $ | 2,364 | | $ | 120,518 | |
| | | | | |
| Home equity loans (pre-reset) | $ | 272 | | $ | 929 | | $ | 1,568 | | | |
| Home equity loans (post-reset) | 965 | | 1,439 | | 1,455 | | | |
| Total home equity loans | $ | 1,237 | | $ | 2,368 | | $ | 3,023 | | $ | 10 | | $ | 6,638 | |
| Installment and other | | | | | |
| 2021 | $ | 1 | | $ | 6 | | $ | 13 | | | |
| 2020 | 26 | | 65 | | 112 | | | |
| 2019 | 70 | | 90 | | 114 | | | |
| 2018 | 67 | | 66 | | 70 | | | |
| 2017 | 20 | | 21 | | 23 | | | |
| Prior | 201 | | 374 | | 501 | | | |
| Personal, small business and other | $ | 385 | | $ | 622 | | $ | 833 | | $ | 2,760 | | $ | 4,600 | |
| Total | $ | 27,324 | | $ | 64,083 | | $ | 79,318 | | $ | 6,770 | | $ | 177,495 | |
| | | | | | | | | | | | | | | | | |
FICO score distribution in U.S. portfolio(1)(2) | December 31, 2020 |
| In millions of dollars | Less than
680 | 680
to 760 | Greater
than 760 | FICO not available | Total
loans |
| Residential first mortgages | | | | | |
| 2020 | $ | 187 | | $ | 3,741 | | $ | 9,052 | | | |
| 2019 | 150 | 1,857 | 5,384 | | |
| 2018 | 246 | 655 | 1,227 | | |
| 2017 | 298 | 846 | 1,829 | | |
| 2016 | 323 | 1,368 | 3,799 | | |
| Prior | 1,708 | 4,133 | 9,105 | | |
| Total residential first mortgages | $ | 2,912 | | $ | 12,600 | | $ | 30,396 | | $ | 1,870 | | $ | 47,778 | |
Credit cards(3) | $ | 26,227 | | $ | 52,778 | | $ | 49,767 | | $ | 1,041 | | $ | 129,813 | |
| Home equity loans (pre-reset) | $ | 292 | | $ | 1,014 | | $ | 1,657 | | | |
| Home equity loans (post-reset) | 1,055 | | 1,569 | | 1,524 | | | |
| Total home equity loans | $ | 1,347 | | $ | 2,583 | | $ | 3,181 | | $ | 17 | | $ | 7,128 | |
| Installment and other | | | | | |
| 2020 | $ | 23 | | $ | 58 | | $ | 95 | | | |
| 2019 | 79 | | 106 | | 134 | | | |
| 2018 | 82 | | 80 | | 84 | | | |
| 2017 | 26 | | 27 | | 30 | | | |
| 2016 | 10 | | 9 | | 8 | | | |
| Prior | 214 | | 393 | | 529 | | | |
| Personal, small business and other | $ | 434 | | $ | 673 | | $ | 880 | | $ | 2,522 | | $ | 4,509 | |
| Total | $ | 30,920 | | $ | 68,634 | | $ | 84,224 | | $ | 5,450 | | $ | 189,228 | |
(1)The FICO bands in the tables are consistent with general industry peer presentations.
(2)FICO scores are updated on either a monthly or quarterly basis. For updates that are made only quarterly, certain current-period loans by year of origination are greater than those disclosed in the prior periods. Loans that did not have FICO scores as of the prior period have been updated with FICO scores as they become available.
(3)Excludes $530 million and $572 million of balances related to Canada for March 31, 2021 and December 31, 2020, respectively.
Loan to Value (LTV) Ratios
The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolios by year of origination. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.
| | | | | | | | | | | | | | | | | |
| LTV distribution in U.S. portfolio | March 31, 2021 | | |
| In millions of dollars | Less than
or equal
to 80% | > 80% but less
than or equal to 100% | Greater
than
100% | LTV not available | Total |
| Residential first mortgages | | | | | |
| 2021 | $ | 1,958 | | $ | 443 | | $ | 0 | | | |
| 2020 | 11,401 | | 1,184 | | 0 | | | |
| 2019 | 6,093 | | 377 | | 3 | | | |
| 2018 | 1,474 | | 392 | | 8 | | | |
| 2017 | 2,449 | | 192 | | 3 | | | |
| Prior | 18,084 | | 98 | | 17 | | | |
| Total residential first mortgages | $ | 41,459 | | $ | 2,686 | | $ | 31 | | $ | 1,563 | | $ | 45,739 | |
| Home equity loans (pre-reset) | $ | 2,684 | | $ | 50 | | $ | 15 | | | |
| Home equity loans (post-reset) | 3,586 | | 211 | | 45 | | | |
| Total home equity loans | $ | 6,270 | | $ | 261 | | $ | 60 | | $ | 47 | | $ | 6,638 | |
| Total | $ | 47,729 | | $ | 2,947 | | $ | 91 | | $ | 1,610 | | $ | 52,377 | |
| | | | | | | | | | | | | | | | | |
| LTV distribution in U.S. portfolio | December 31, 2020 | | |
| In millions of dollars | Less than
or equal
to 80% | > 80% but less
than or equal to 100% | Greater
than
100% | LTV not available | Total |
| Residential first mortgages | | | | | |
| 2020 | $ | 11,447 | | $ | 1,543 | | $ | 0 | | | |
| 2019 | 7,029 | | 376 | | 2 | | | |
| 2018 | 1,617 | | 507 | | 11 | | | |
| 2017 | 2,711 | | 269 | | 4 | | | |
| 2016 | 5,423 | | 84 | | 2 | | | |
| Prior | 14,966 | | 66 | | 16 | | | |
| Total residential first mortgages | $ | 43,193 | | $ | 2,845 | | $ | 35 | | $ | 1,705 | | $ | 47,778 | |
| Home equity loans (pre-reset) | $ | 2,876 | | $ | 50 | | $ | 16 | | | |
| Home equity loans (post-reset) | 3,782 | | 290 | | 58 | | | |
| Total home equity loans | $ | 6,658 | | $ | 340 | | $ | 74 | | $ | 56 | | $ | 7,128 | |
| Total | $ | 49,851 | | $ | 3,185 | | $ | 109 | | $ | 1,761 | | $ | 54,906 | |
Impaired Consumer Loans
The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Three Months Ended
March 31, | | |
| | Balance at March 31, 2021 | 2021 | 2020 | | | | |
| In millions of dollars | Recorded investment(1)(2) | Unpaid
principal balance | Related specific allowance(3) | Average carrying value(4) | Interest income
recognized(5) | Interest income
recognized(5) | | | | |
| Mortgage and real estate | | | | | | | | | | |
| Residential first mortgages | $ | 1,708 | | $ | 1,850 | | $ | 144 | | $ | 1,695 | | $ | 21 | | $ | 14 | | | | | |
| Home equity loans | 457 | | 645 | | 45 | | 498 | | 3 | | 3 | | | | | |
| Credit cards | 1,992 | | 2,593 | | 844 | | 1,946 | | 35 | | 26 | | | | | |
| Personal, small business and other | 576 | | 577 | | 181 | | 502 | | 12 | | 15 | | | | | |
| Total | $ | 4,733 | | $ | 5,665 | | $ | 1,214 | | $ | 4,641 | | $ | 71 | | $ | 58 | | | | | |
(1)
| | | | | | | | | | | | | | | |
| | Balance at December 31, 2020 |
| In millions of dollars | Recorded investment(1)(2) | Unpaid
principal balance | Related specific allowance(3) | Average carrying value(4) | |
| Mortgage and real estate | | | | | |
| Residential first mortgages | $ | 1,787 | | $ | 1,962 | | $ | 157 | | $ | 1,661 | | |
| Home equity loans | 478 | | 651 | | 60 | | 527 | | |
| Credit cards | 1,982 | | 2,135 | | 918 | | 1,926 | | |
| Personal, small business and other | 552 | | 552 | | 210 | | 463 | | |
| Total | $ | 4,799 | | $ | 5,300 | | $ | 1,345 | | $ | 4,577 | | |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, andless any direct write-downs and includes accrued interest only on credit card loans.write-downs.
(2)For March 31, 2021, $209 millionThere were no significant revolving line of residential first mortgages and $136 million of home equitycredit arrangements that converted to term loans do not have a specific allowance. For December 31, 2020, $211 million of residential first mortgages and $147 million of home equity loans do not have a specific allowance.during the quarter.
(3)Included in the AllowanceHeld-for-investment loans are accounted for credit losses on loans.an amortized cost basis.
(4)Includes certain short-term loans with less than one year in tenor.
(5)Other includes installment and other, lease financing and loans to government and official institutions.
(6)Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.
Non-Accrual Corporate Loans
The following tables present non-accrual loan information by corporate loan type and interest income recognized on non-accrual corporate loans:
| | | | | | | | | | | | | | | | | | | | |
| | March 31, 2022 | Three Months Ended
March 31, 2022 | Three Months Ended
March 31, 2021 |
| In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | Interest income recognized | Interest income recognized(3) |
| Non-accrual corporate loans | | | | | | |
| Commercial and industrial | $ | 1,519 | | $ | 2,560 | | $ | 392 | | $ | 1,603 | | $ | 7 | | $ | 10 | |
| Financial institutions | 52 | | 110 | | 31 | | 17 | | — | | — | |
| Mortgage and real estate | 119 | | 119 | | 3 | | 155 | | 2 | | — | |
| Lease financing | 15 | | 15 | | — | | 18 | | — | | — | |
| Other | 161 | | 184 | | 13 | | 155 | | 2 | | 6 | |
| Total non-accrual corporate loans | $ | 1,866 | | $ | 2,988 | | $ | 439 | | $ | 1,948 | | $ | 11 | | $ | 16 | |
| | | | | | | | | | | | | | | | |
| December 31, 2021 | |
| In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | | |
| Non-accrual corporate loans | | | | | | |
| Commercial and industrial | $ | 1,263 | | $ | 1,858 | | $ | 198 | | $ | 1,839 | | | |
| Financial institutions | 2 | | 55 | | — | | 4 | | | |
| Mortgage and real estate | 136 | | 285 | | 10 | | 163 | | | |
| Lease financing | 14 | | 14 | | — | | 21 | | | |
| Other | 138 | | 165 | | 4 | | 134 | | | |
| Total non-accrual corporate loans | $ | 1,553 | | $ | 2,377 | | $ | 212 | | $ | 2,161 | | | |
| | | | | | | | | | | | | | |
| | March 31, 2022 | December 31, 2021 |
| In millions of dollars | Recorded investment(1) | Related specific
allowance | Recorded investment(1) | Related specific
allowance |
| Non-accrual corporate loans with specific allowances | | | | |
| Commercial and industrial | $ | 604 | | $ | 392 | | $ | 637 | | $ | 198 | |
| Financial institutions | 50 | | 31 | | — | | — | |
| Mortgage and real estate | 22 | | 3 | | 29 | | 10 | |
| | | | |
| Other | 21 | | 13 | | 37 | | 4 | |
| Total non-accrual corporate loans with specific allowances | $ | 697 | | $ | 439 | | $ | 703 | | $ | 212 | |
| Non-accrual corporate loans without specific allowances | | | | |
| Commercial and industrial | $ | 915 | | | $ | 626 | | |
| Financial institutions | 2 | | | 2 | | |
| Mortgage and real estate | 97 | | | 107 | | |
| Lease financing | 15 | | | 14 | | |
| Other | 140 | | | 101 | | |
| Total non-accrual corporate loans without specific allowances | $ | 1,169 | | N/A | $ | 850 | | 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 ending balance for the last 4 quarters and does not include the related specific allowance.allowances.
(5)Includes amounts recognized on both accrual and cash basis.
ConsumerCorporate Troubled Debt Restructurings(1)
| | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended March 31, 2021(1) |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post-
modification
recorded
investment(2)(3) | Deferred
principal(4) | Contingent
principal
forgiveness(5) | Principal
forgiveness(6) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 331 | | $ | 57 | | $ | 0 | | $ | 0 | | $ | 0 | | 0 | % |
| Home equity loans | 50 | | 4 | | 0 | | 0 | | 0 | | 0 | |
| Credit cards | 59,046 | | 300 | | 0 | | 0 | | 0 | | 17 | |
| Personal, small business and other | 461 | | 7 | | 0 | | 0 | | 0 | | 4 | |
Total(7) | 59,888 | | $ | 368 | | $ | 0 | | $ | 0 | | $ | 0 | | |
| International | | | | | | |
| Residential first mortgages | 467 | | $ | 24 | | $ | 0 | | $ | 0 | | $ | 0 | | 1 | % |
| Credit cards | 24,599 | | 102 | | 0 | | 0 | | 7 | | 15 | |
| Personal, small business and other | 7,537 | | 57 | | 0 | | 0 | | 2 | | 11 | |
Total(7) | 32,603 | | $ | 183 | | $ | 0 | | $ | 0 | | $ | 9 | | |
| |
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| | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended March 31, 2020(1) |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post- modification recorded investment(2)(8) | Deferred principal(4) | Contingent principal forgiveness(5) | Principal forgiveness(6) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 277 | | $ | 44 | | $ | 0 | | $ | 0 | | $ | 0 | | 0 | % |
| Home equity loans | 82 | | 8 | | 0 | | 0 | | 0 | | 2 | |
| Credit cards | 67,282 | | 305 | | 0 | | 0 | | 0 | | 17 | |
| Personal, small business and other | 433 | | 4 | | 0 | | 0 | | 0 | | 6 | |
Total(7) | 68,074 | | $ | 361 | | $ | 0 | | $ | 0 | | $ | 0 | | |
| International | | | | | | |
| Residential first mortgages | 536 | | $ | 14 | | $ | 0 | | $ | 0 | | $ | 0 | | 5 | % |
| Credit cards | 19,315 | | 73 | | 0 | | 0 | | 3 | | 16 | |
| Personal, small business and other | 7,654 | | 52 | | 0 | | 0 | | 2 | | 11 | |
Total(7) | 27,505 | | $ | 139 | | $ | 0 | | $ | 0 | | $ | 5 | | |
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| In millions of dollars | Carrying value of TDRs modified during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | | |
| Commercial and industrial | $ | 12 | | $ | — | | $ | — | | $ | 12 | | | |
| | | | | | |
| | | | | | |
| Mortgage and real estate | — | | — | | — | | — | | | |
| | | | | | |
| Other | — | | — | | — | | — | | | |
| Total | $ | 12 | | $ | — | | $ | — | | $ | 12 | | | |
For the Three Months Ended March 31, 2021
| | | | | | | | | | | | | | | | |
| In millions of dollars | Carrying value of TDRs modified
during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | | |
| Commercial and industrial | $ | 21 | | $ | — | | $ | — | | $ | 21 | | | |
| | | | | | |
| Mortgage and real estate | 1 | | — | | — | | 1 | | | |
| | | | | | |
| Other | 1 | | 1 | | — | | — | | | |
| | | | | | |
| Total | $ | 23 | | $ | 1 | | $ | — | | $ | 22 | | | |
(1)The above tables do not include loan modifications that meet the TDR relief criteria in the Coronavirus Aid, Relief, and Economic SecurityCARES Act (CARES Act) or the interagency guidance.
(2)Post-modification balances include past-due amounts that are capitalized at the modification date.
(3)Post-modification balances in North America include $3 million of residential first mortgages and $0.1 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcyTDRs involving changes in the three months ended March 31, 2021. These amounts include $1 millionamount or timing of residential first mortgages and $0.1 millionprincipal payments may involve principal forgiveness or deferral of home equity loans that were newly classified as TDRs in the three months ended March 31, 2021, based on previously received OCC guidance.
(4)Represents portionperiodic and/or final principal payments. Because forgiveness of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged offrare 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 uncollectible may be recorded at the time of permanent modification to the extentrestructuring or may have already been recorded in prior periods such that the related loan balance exceeds the underlying collateral value.
(5)Represents portion of contractual loan principal thatno charge-off is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(6)Represents portion of contractual loan principal that was forgivenrequired at the time of permanentthe modification.
(7) The above tables reflect activity for restructured loans that were considered (3)TDRs during the reporting period.
(8) Post-modification balances in North America include $4 million of residential first mortgages and $1 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcyinvolving changes in the three months ended March 31, 2020. These amounts include $3 millionamount or timing of residential first mortgages and $1 million of home equity loans that were newly classified as TDRs in the three months ended March 31, 2020, based on previously received OCC guidance.interest payments may involve a below-market interest rate.
The following table presents consumertotal 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.
| | | | | | | | | | |
| Three Months Ended March 31, | |
| In millions of dollars | 2021 | 2020 | | |
| North America | | | | |
| Residential first mortgages | $ | 18 | | $ | 14 | | | |
| Home equity loans | 4 | | 2 | | | |
| Credit cards | 63 | | 90 | | | |
| Personal, small business and other | 1 | | 1 | | | |
| Total | $ | 86 | | $ | 107 | | | |
| International | | | | |
| Residential first mortgages | $ | 12 | | $ | 6 | | | |
| Credit cards | 52 | | 33 | | | |
| Personal, small business and other | 23 | | 17 | | | |
| Total | $ | 87 | | $ | 56 | | | |
Purchased Credit-Deteriorated Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended March 31, 2021 | Three Months Ended December 31, 2020 | Three Months Ended March 31, 2020 |
| In millions of dollars | Credit
cards | Mortgages(1) | Installment
and other | Credit
cards | Mortgages(1) | Installment
and other | Credit
cards | Mortgages(1) | Installment
and other |
| Purchase price | $ | 0 | | $ | 3 | | $ | 0 | | $ | 0 | | $ | 12 | | $ | 0 | | $ | 4 | | $ | 9 | | $ | 0 | |
| Allowance for credit losses at acquisition date | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 4 | | 0 | | 0 | |
| Discount or premium attributable to non-credit factors | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Par value (amortized cost basis) | $ | 0 | | $ | 3 | | $ | 0 | | $ | 0 | | $ | 12 | | $ | 0 | | $ | 8 | | $ | 9 | | $ | 0 | |
| | | | | | | | | | | | | | | | | | |
| In millions of dollars | TDR balances at
March 31, 2022 | TDR loans that re-defaulted in 2022 within one year of modification | | TDR balances at
March 31, 2021 | TDR loans that re-defaulted in 2021 within one year of modification | |
| Commercial and industrial | $ | 205 | | $ | — | | | | $ | 283 | | $ | — | | | |
| | | | | | | | |
| Mortgage and real estate | 20 | | — | | | | 25 | | — | | | |
| | | | | | | | |
| Other | 23 | | — | | | | 27 | | — | | | |
Total(1) | $ | 248 | | $ | — | | | | $ | 335 | | $ | — | | | |
(1) IncludesThe above table reflects activity for loans sold to agenciesoutstanding that were bought back at par due to repurchase agreements.considered TDRs as of the end of the reporting period.
Corporate Loans
Corporate loans represent loans and leases managed by ICG. The following table presents information by corporate loan type:
| | | | | | | | |
| In millions of dollars | March 31,
2021 | December 31,
2020 |
In North America offices(1) | | |
| Commercial and industrial | $ | 55,497 | | $ | 57,731 | |
| Financial institutions | 57,009 | | 55,809 | |
Mortgage and real estate(2) | 60,976 | | 60,675 | |
| Installment and other | 29,186 | | 26,744 | |
| Lease financing | 539 | | 673 | |
| Total | $ | 203,207 | | $ | 201,632 | |
In offices outside North America(1) | | |
| Commercial and industrial | $ | 102,666 | | $ | 104,072 | |
| Financial institutions | 34,729 | | 32,334 | |
Mortgage and real estate(2) | 11,166 | | 11,371 | |
| Installment and other | 35,347 | | 33,759 | |
| Lease financing | 56 | | 65 | |
| Governments and official institutions | 4,783 | | 3,811 | |
| Total | $ | 188,747 | | $ | 185,412 | |
Corporate loans, net of unearned income(3) | $ | 391,954 | | $ | 387,044 | |
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Corporate loans are net of unearned income of ($844) million and ($844) million at March 31, 2021 and December 31, 2020, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
The Company sold and/or reclassified to held-for-sale $0.5 billion and $0.2 billion of corporate loans during the three months ended March 31, 2021 and 2020, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three months ended March 31, 2021 or 2020.
Corporate Loan Delinquencies and Non-Accrual Details at March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
| 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 | $ | 582 | | $ | 118 | | $ | 700 | | $ | 2,465 | | $ | 148,635 | | $ | 151,800 | |
| Financial institutions | 969 | | 174 | | 1,143 | | 36 | | 90,339 | | 91,518 | |
| Mortgage and real estate | 189 | | 84 | | 273 | | 496 | | 71,373 | | 72,142 | |
| Lease financing | 28 | | 0 | | 28 | | 27 | | 540 | | 595 | |
| Other | 70 | | 12 | | 82 | | 82 | | 68,225 | | 68,389 | |
| Loans at fair value | | | | | | 7,510 | |
| | | | | | |
| Total | $ | 1,838 | | $ | 388 | | $ | 2,226 | | $ | 3,106 | | $ | 379,112 | | $ | 391,954 | |
Corporate Loan Delinquencies and Non-Accrual Details at December 31, 2020
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | 30–89 days past due and accruing(1) | ≥ 90 days past due and accruing(1) | Total past due
and accruing | Total non-accrual(2) | Total current(3) | Total loans(4) |
| Commercial and industrial | $ | 400 | | $ | 109 | | $ | 509 | | $ | 2,795 | | $ | 153,036 | | $ | 156,340 | |
| Financial institutions | 668 | | 65 | | 733 | | 92 | | 86,864 | | 87,689 | |
| Mortgage and real estate | 450 | | 247 | | 697 | | 505 | | 70,836 | | 72,038 | |
| Lease financing | 62 | | 12 | | 74 | | 24 | | 640 | | 738 | |
| Other | 112 | | 19 | | 131 | | 111 | | 63,157 | | 63,399 | |
| Loans at fair value | | | | | | 6,840 | |
| | | | | | |
| Total | $ | 1,692 | | $ | 452 | | $ | 2,144 | | $ | 3,527 | | $ | 374,533 | | $ | 387,044 | |
(1)Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2)Non-accrual loans generally include those loans that are 90 days or more past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest and/or principal is doubtful.
(3)Loans less than 30 days past due are presented as current.
(4)Total loans include loans at fair value, which are not included in the various delinquency columns.
Corporate Loans Credit Quality Indicators
| | | | Recorded investment in loans(1) | | Recorded investment in loans(1) |
| | Term loans by year of origination | Revolving line of credit arrangements(2) | | March 31, 2021 | | | Term loans by year of origination | Revolving line of credit arrangements(2) | | March 31,
2022 | |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | | In millions of dollars | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | Revolving line of credit arrangements(2) | March 31,
2022 |
Investment grade(3) | Investment grade(3) | | | | | Investment grade(3) | | | |
Commercial and industrial(4) | Commercial and industrial(4) | $ | 29,070 | | $ | 11,833 | | $ | 6,534 | | $ | 5,311 | | $ | 3,416 | | $ | 10,120 | | $ | 26,712 | | | $ | 92,996 | | | Commercial and industrial(4) | $ | 36,059 | | $ | 13,020 | | $ | 4,742 | | $ | 4,219 | | $ | 3,513 | | $ | 10,875 | | $ | 36,661 | | | $ | 109,089 | | |
Financial institutions(4) | Financial institutions(4) | 10,473 | | 5,551 | | 2,242 | | 1,582 | | 1,025 | | 2,254 | | 58,910 | | | 82,037 | | | Financial institutions(4) | 9,481 | | 6,754 | | 1,663 | | 1,107 | | 931 | | 1,923 | | 42,885 | | | 64,744 | | |
| Mortgage and real estate | Mortgage and real estate | 2,473 | | 5,494 | | 5,820 | | 4,827 | | 2,205 | | 2,847 | | 1,728 | | | 25,394 | | | Mortgage and real estate | 1,862 | | 3,077 | | 3,720 | | 3,409 | | 1,824 | | 2,477 | | 117 | | | 16,486 | | |
Other(5) | Other(5) | 8,994 | | 6,575 | | 2,392 | | 4,588 | | 606 | | 6,744 | | 32,683 | | | 62,582 | | | Other(5) | 3,343 | | 3,325 | | 2,351 | | 993 | | 2,502 | | 4,488 | | 19,699 | | | 36,701 | | |
| Total investment grade | Total investment grade | $ | 51,010 | | $ | 29,453 | | $ | 16,988 | | $ | 16,308 | | $ | 7,252 | | $ | 21,965 | | $ | 120,033 | | | $ | 263,009 | | | Total investment grade | $ | 50,745 | | $ | 26,176 | | $ | 12,476 | | $ | 9,728 | | $ | 8,770 | | $ | 19,763 | | $ | 99,362 | | | $ | 227,020 | | |
Non-investment grade(3) | Non-investment grade(3) | | | | | Non-investment grade(3) | | | | |
| Accrual | Accrual | | | | | Accrual | | | | |
Commercial and industrial(4) | Commercial and industrial(4) | $ | 12,897 | | $ | 6,422 | | $ | 4,266 | | $ | 3,991 | | $ | 2,850 | | $ | 4,167 | | $ | 21,746 | | | $ | 56,339 | | | Commercial and industrial(4) | $ | 11,346 | | $ | 8,485 | | $ | 2,448 | | $ | 2,145 | | $ | 1,790 | | $ | 5,253 | | $ | 21,286 | | | $ | 52,753 | | |
Financial institutions(4) | Financial institutions(4) | 3,196 | | 2,395 | | 629 | | 555 | | 98 | | 274 | | 2,298 | | | 9,445 | | | Financial institutions(4) | 3,337 | | 1,760 | | 346 | | 553 | | 56 | | 750 | | 3,644 | | | 10,446 | | |
| Mortgage and real estate | Mortgage and real estate | 944 | | 1,319 | | 2,117 | | 1,755 | | 1,415 | | 1,376 | | 578 | | | 9,504 | | | Mortgage and real estate | 141 | | 922 | | 741 | | 1,005 | | 1,141 | | 1,017 | | 618 | | | 5,585 | | |
Other(5) | Other(5) | 1,384 | | 528 | | 682 | | 541 | | 299 | | 591 | | 2,268 | | | 6,293 | | | Other(5) | 910 | | 949 | | 398 | | 390 | | 201 | | 358 | | 2,743 | | | 5,949 | | |
| Non-accrual | Non-accrual | | | | | Non-accrual | | | | |
Commercial and industrial(4) | Commercial and industrial(4) | 81 | | 197 | | 227 | | 86 | | 106 | | 286 | | 1,482 | | | 2,465 | | | Commercial and industrial(4) | 143 | | 148 | | 99 | | 122 | | 112 | | 245 | | 650 | | | 1,519 | | |
| Financial institutions | Financial institutions | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 36 | | | 36 | | | Financial institutions | — | | 50 | | — | | — | | — | | — | | 2 | | | 52 | | |
| Mortgage and real estate | Mortgage and real estate | 0 | | 12 | | 8 | | 55 | | 18 | | 30 | | 373 | | | 496 | | | Mortgage and real estate | 10 | | — | | 1 | | — | | 42 | | 25 | | 41 | | | 119 | | |
Other(5) | Other(5) | 7 | | 4 | | 24 | | 38 | | 10 | | 26 | | 0 | | | 109 | | | Other(5) | 66 | | 4 | | 3 | | 11 | | 24 | | 63 | | 5 | | | 176 | | |
| Total non-investment grade | Total non-investment grade | $ | 18,509 | | $ | 10,877 | | $ | 7,953 | | $ | 7,021 | | $ | 4,796 | | $ | 6,750 | | $ | 28,781 | | | $ | 84,687 | | | Total non-investment grade | $ | 15,953 | | $ | 12,318 | | $ | 4,036 | | $ | 4,226 | | $ | 3,366 | | $ | 7,711 | | $ | 28,989 | | | $ | 76,599 | | |
Non-rated private bank loans managed on a delinquency basis(3)(6) | $ | 2,313 | | $ | 9,755 | | $ | 6,839 | | $ | 3,359 | | $ | 3,488 | | $ | 10,994 | | $ | 0 | | | $ | 36,748 | | | |
Loans at fair value(7) | | | 7,510 | | | |
Loans at fair value(6) | | Loans at fair value(6) | | | $ | 5,722 | | |
| Corporate loans, net of unearned income | Corporate loans, net of unearned income | $ | 71,832 | | $ | 50,085 | | $ | 31,780 | | $ | 26,688 | | $ | 15,536 | | $ | 39,709 | | $ | 148,814 | | | $ | 391,954 | | | Corporate loans, net of unearned income | $ | 66,698 | | $ | 38,494 | | $ | 16,512 | | $ | 13,954 | | $ | 12,136 | | $ | 27,474 | | $ | 128,351 | | | $ | 309,341 | | |
| | | | Recorded investment in loans(1) | | Recorded investment in loans(1) |
| | Term loans by year of origination | Revolving line of credit arrangements(2) | | December 31, 2020 | | | Term loans by year of origination | Revolving line of credit arrangements(2) | | December 31, 2021 | |
| In millions of dollars | In millions of dollars | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | | In millions of dollars | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | Revolving line of credit arrangements(2) | December 31, 2021 |
Investment grade(3) | Investment grade(3) | | | | | Investment grade(3) | | | |
Commercial and industrial(4) | Commercial and industrial(4) | $ | 38,398 | | $ | 7,607 | | $ | 5,929 | | $ | 3,909 | | $ | 2,094 | | $ | 8,670 | | $ | 25,819 | | | $ | 92,426 | | | Commercial and industrial(4) | $ | 42,422 | | $ | 5,529 | | $ | 4,642 | | $ | 3,757 | | $ | 2,911 | | $ | 8,392 | | $ | 30,588 | | | $ | 98,241 | | |
Financial institutions(4) | Financial institutions(4) | 10,560 | | 2,964 | | 2,106 | | 782 | | 681 | | 2,030 | | 56,239 | | | 75,362 | | | Financial institutions(4) | 12,862 | | 1,678 | | 1,183 | | 1,038 | | 419 | | 1,354 | | 43,630 | | | 62,164 | | |
| Mortgage and real estate | Mortgage and real estate | 6,793 | | 6,714 | | 5,174 | | 2,568 | | 1,212 | | 1,719 | | 1,557 | | | 25,737 | | | Mortgage and real estate | 2,423 | | 3,660 | | 3,332 | | 2,015 | | 1,212 | | 1,288 | | 141 | | | 14,071 | | |
Other(5) | Other(5) | 10,874 | | 3,566 | | 4,597 | | 952 | | 780 | | 5,290 | | 31,696 | | | 57,755 | | | Other(5) | 9,037 | | 3,099 | | 1,160 | | 2,789 | | 330 | | 4,601 | | 18,727 | | | 39,743 | | |
| Total investment grade | Total investment grade | $ | 66,625 | | $ | 20,851 | | $ | 17,806 | | $ | 8,211 | | $ | 4,767 | | $ | 17,709 | | $ | 115,311 | | | $ | 251,280 | | | Total investment grade | $ | 66,744 | | $ | 13,966 | | $ | 10,317 | | $ | 9,599 | | $ | 4,872 | | $ | 15,635 | | $ | 93,086 | | | $ | 214,219 | | |
Non-investment grade(3) | Non-investment grade(3) | | | | | Non-investment grade(3) | | | | |
| Accrual | Accrual | | | | | Accrual | | | | |
Commercial and industrial(4) | Commercial and industrial(4) | $ | 19,683 | | $ | 4,794 | | $ | 4,645 | | $ | 2,883 | | $ | 1,182 | | $ | 4,533 | | $ | 23,400 | | | $ | 61,120 | | | Commercial and industrial(4) | $ | 16,783 | | $ | 2,281 | | $ | 2,343 | | $ | 2,024 | | $ | 1,412 | | $ | 3,981 | | $ | 18,676 | | | $ | 47,500 | | |
Financial institutions(4) | Financial institutions(4) | 7,413 | | 700 | | 654 | | 274 | | 141 | | 197 | | 2,855 | | | 12,234 | | | Financial institutions(4) | 4,325 | | 347 | | 567 | | 101 | | 71 | | 511 | | 3,679 | | | 9,601 | | |
| Mortgage and real estate | Mortgage and real estate | 1,882 | | 1,919 | | 2,058 | | 1,457 | | 697 | | 837 | | 551 | | | 9,401 | | | Mortgage and real estate | 1,275 | | 869 | | 1,228 | | 1,018 | | 493 | | 586 | | 615 | | | 6,084 | | |
Other(5) | Other(5) | 1,407 | | 918 | | 725 | | 370 | | 186 | | 657 | | 1,986 | | | 6,249 | | | Other(5) | 1,339 | | 349 | | 554 | | 364 | | 119 | | 245 | | 3,236 | | | 6,206 | | |
| Non-accrual | Non-accrual | | | | | Non-accrual | | | | |
Commercial and industrial(4) | Commercial and industrial(4) | 260 | | 203 | | 192 | | 143 | | 57 | | 223 | | 1,717 | | | 2,795 | | | Commercial and industrial(4) | 53 | | 119 | | 64 | | 104 | | 94 | | 117 | | 712 | | | 1,263 | | |
| Financial institutions | Financial institutions | 1 | | 0 | | 0 | | 0 | | 0 | | 0 | | 91 | | | 92 | | | Financial institutions | — | | — | | — | | — | | — | | — | | 2 | | | 2 | | |
| Mortgage and real estate | Mortgage and real estate | 13 | | 4 | | 3 | | 18 | | 8 | | 32 | | 427 | | | 505 | | | Mortgage and real estate | 11 | | 8 | | 2 | | 49 | | 10 | | 25 | | 31 | | | 136 | | |
Other(5) | Other(5) | 15 | | 3 | | 12 | | 29 | | 2 | | 65 | | 9 | | | 135 | | | Other(5) | 19 | | 5 | | 19 | | 19 | | — | | 90 | | — | | | 152 | | |
| Total non-investment grade | Total non-investment grade | $ | 30,674 | | $ | 8,541 | | $ | 8,289 | | $ | 5,174 | | $ | 2,273 | | $ | 6,544 | | $ | 31,036 | | | $ | 92,531 | | | Total non-investment grade | $ | 23,805 | | $ | 3,978 | | $ | 4,777 | | $ | 3,679 | | $ | 2,199 | | $ | 5,555 | | $ | 26,951 | | | $ | 70,944 | | |
Non-rated private bank loans managed on a delinquency basis(3)(6) | $ | 9,823 | | $ | 7,121 | | $ | 3,533 | | $ | 3,674 | | $ | 4,300 | | $ | 7,942 | | $ | 0 | | | $ | 36,393 | | | |
Loans at fair value(7) | | | 6,840 | | | |
Loans at fair value(6) | | Loans at fair value(6) | | | $ | 6,070 | | |
| Corporate loans, net of unearned income | Corporate loans, net of unearned income | $ | 107,122 | | $ | 36,513 | | $ | 29,628 | | $ | 17,059 | | $ | 11,340 | | $ | 32,195 | | $ | 146,347 | | | $ | 387,044 | | | Corporate loans, net of unearned income | $ | 90,549 | | $ | 17,944 | | $ | 15,094 | | $ | 13,278 | | $ | 7,071 | | $ | 21,190 | | $ | 120,037 | | | $ | 291,233 | | |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)There were no significant revolving line of credit arrangements that converted to term loans during the quarter.
(3)Held-for-investment loans are accounted for on an amortized cost basis.
(4)Includes certain short-term loans with less than one year in tenor.
(5)Other includes installment and other, lease financing and loans to government and official institutions.
(6)Non-rated private bank loans mainly include mortgage and real estate loans to private banking clients.
(7)Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.
Non-Accrual Corporate Loans
The following tables present non-accrual loan information by corporate loan type and interest income recognized on non-accrual corporate loans:
| | | | | | | | | | | | | | | | | | | | | |
| | March 31, 2021 | Three Months Ended
March 31, 2021 | Three Months Ended
March 31, 2020 | |
| In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | Interest income recognized | Interest income recognized | |
| Non-accrual corporate loans | | | | | | | |
| Commercial and industrial | $ | 2,465 | | $ | 3,069 | | $ | 435 | | $ | 2,812 | | $ | 10 | | $ | 2 | | |
| Financial institutions | 36 | | 120 | | 6 | | 134 | | 0 | | 0 | | |
| Mortgage and real estate | 496 | | 798 | | 38 | | 486 | | 0 | | 0 | | |
| Lease financing | 27 | | 27 | | 0 | | 31 | | 0 | | 0 | | |
| Other | 82 | | 205 | | 10 | | 96 | | 6 | | 13 | | |
| Total non-accrual corporate loans | $ | 3,106 | | $ | 4,219 | | $ | 489 | | $ | 3,559 | | $ | 16 | | $ | 15 | | |
| | | December 31, 2020 | | | March 31, 2022 | Three Months Ended
March 31, 2022 | Three Months Ended
March 31, 2021 |
| In millions of dollars | In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | | In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | Interest income recognized | Interest income recognized(3) |
| Non-accrual corporate loans | Non-accrual corporate loans | | | Non-accrual corporate loans | | | | |
| Commercial and industrial | Commercial and industrial | $ | 2,795 | | $ | 3,664 | | $ | 442 | | $ | 2,649 | | | Commercial and industrial | $ | 1,519 | | $ | 2,560 | | $ | 392 | | $ | 1,603 | | $ | 7 | | $ | 10 | |
| Financial institutions | Financial institutions | 92 | | 181 | | 17 | | 132 | | | Financial institutions | 52 | | 110 | | 31 | | 17 | | — | | — | |
| Mortgage and real estate | Mortgage and real estate | 505 | | 803 | | 38 | | 413 | | | Mortgage and real estate | 119 | | 119 | | 3 | | 155 | | 2 | | — | |
| Lease financing | Lease financing | 24 | | 24 | | 0 | | 34 | | | Lease financing | 15 | | 15 | | — | | 18 | | — | | — | |
| Other | Other | 111 | | 235 | | 18 | | 174 | | | Other | 161 | | 184 | | 13 | | 155 | | 2 | | 6 | |
| Total non-accrual corporate loans | Total non-accrual corporate loans | $ | 3,527 | | $ | 4,907 | | $ | 515 | | $ | 3,402 | | | Total non-accrual corporate loans | $ | 1,866 | | $ | 2,988 | | $ | 439 | | $ | 1,948 | | $ | 11 | | $ | 16 | |
| | | | March 31, 2021 | December 31, 2020 | | December 31, 2021 | |
| In millions of dollars | In millions of dollars | Recorded investment(1) | Related specific
allowance | Recorded investment(1) | Related specific
allowance | In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | |
| Non-accrual corporate loans with specific allowances | | | | |
| Non-accrual corporate loans | | Non-accrual corporate loans | | |
| Commercial and industrial | Commercial and industrial | $ | 1,984 | | $ | 435 | | $ | 1,523 | | $ | 442 | | Commercial and industrial | $ | 1,263 | | $ | 1,858 | | $ | 198 | | $ | 1,839 | | |
| Financial institutions | Financial institutions | 34 | | 6 | | 90 | | 17 | | Financial institutions | 2 | | 55 | | — | | 4 | | |
| Mortgage and real estate | Mortgage and real estate | 236 | | 38 | | 246 | | 38 | | Mortgage and real estate | 136 | | 285 | | 10 | | 163 | | |
| Lease financing | Lease financing | 23 | | 0 | | 0 | | 0 | | Lease financing | 14 | | 14 | | — | | 21 | | |
| Other | Other | 30 | | 10 | | 68 | | 18 | | Other | 138 | | 165 | | 4 | | 134 | | |
| Total non-accrual corporate loans with specific allowances | $ | 2,307 | | $ | 489 | | $ | 1,927 | | $ | 515 | | |
| Non-accrual corporate loans without specific allowances | | | | |
| Commercial and industrial | $ | 481 | | | $ | 1,272 | | | |
| Financial institutions | 2 | | | 2 | | | |
| Mortgage and real estate | 260 | | | 259 | | | |
| Lease financing | 4 | | | 24 | | | |
| Other | 52 | | | 43 | | | |
| Total non-accrual corporate loans without specific allowances | $ | 799 | | N/A | $ | 1,600 | | N/A | |
| Total non-accrual corporate loans | | Total non-accrual corporate loans | $ | 1,553 | | $ | 2,377 | | $ | 212 | | $ | 2,161 | | |
| | | | | | | | | | | | | | |
| | March 31, 2022 | December 31, 2021 |
| In millions of dollars | Recorded investment(1) | Related specific
allowance | Recorded investment(1) | Related specific
allowance |
| Non-accrual corporate loans with specific allowances | | | | |
| Commercial and industrial | $ | 604 | | $ | 392 | | $ | 637 | | $ | 198 | |
| Financial institutions | 50 | | 31 | | — | | — | |
| Mortgage and real estate | 22 | | 3 | | 29 | | 10 | |
| | | | |
| Other | 21 | | 13 | | 37 | | 4 | |
| Total non-accrual corporate loans with specific allowances | $ | 697 | | $ | 439 | | $ | 703 | | $ | 212 | |
| Non-accrual corporate loans without specific allowances | | | | |
| Commercial and industrial | $ | 915 | | | $ | 626 | | |
| Financial institutions | 2 | | | 2 | | |
| Mortgage and real estate | 97 | | | 107 | | |
| Lease financing | 15 | | | 14 | | |
| Other | 140 | | | 101 | | |
| Total non-accrual corporate loans without specific allowances | $ | 1,169 | | N/A | $ | 850 | | N/A |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Average carrying value represents the average recorded investment balance and does not include related specific allowances.
N/A Not applicable
Corporate Troubled Debt Restructurings(1)
For the Three Months Ended March 31, 20212022
| | In millions of dollars | In millions of dollars | Carrying value of TDRs modified during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | | In millions of dollars | Carrying value of TDRs modified during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | |
| | Commercial and industrial | Commercial and industrial | $ | 21 | | $ | 0 | | $ | 0 | | $ | 21 | | | Commercial and industrial | $ | 12 | | $ | — | | $ | — | | $ | 12 | | |
| | Mortgage and real estate | Mortgage and real estate | 1 | | 0 | | 0 | | 1 | | | Mortgage and real estate | — | | — | | — | | — | | |
| | Other | Other | 1 | | 1 | | 0 | | 0 | | | Other | — | | — | | — | | — | | |
| Total | Total | $ | 23 | | $ | 1 | | $ | 0 | | $ | 22 | | | Total | $ | 12 | | $ | — | | $ | — | | $ | 12 | | |
|
For the Three Months Ended March 31, 20202021
| | In millions of dollars | In millions of dollars | Carrying value of TDRs modified
during the period | TDRs involving changes in the amount and/or timing of principal payments(3) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | | In millions of dollars | Carrying value of TDRs modified
during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | |
| | Commercial and industrial | Commercial and industrial | $ | 94 | | $ | 0 | | $ | 0 | | $ | 94 | | | Commercial and industrial | $ | 21 | | $ | — | | $ | — | | $ | 21 | | |
| | Mortgage and real estate | Mortgage and real estate | 4 | | 0 | | 0 | | 4 | | | Mortgage and real estate | 1 | | — | | — | | 1 | | |
| | Other | | Other | 1 | | 1 | | — | | — | | |
| | Total | Total | $ | 98 | | $ | 0 | | $ | 0 | | $ | 98 | | | Total | $ | 23 | | $ | 1 | | $ | — | | $ | 22 | | |
|
(1)The above tables do not include loan modifications that meet the TDR relief criteria in the CARES Act or the interagency guidance.
(2)TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectible may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.
(3)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.
The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
| | In millions of dollars | In millions of dollars | TDR balances at March 31, 2021 | TDR loans that re-defaulted in 2021 within one year of modification | | TDR balances at March 31, 2020 | TDR loans that re-defaulted in 2020 within one year of modification | | In millions of dollars | TDR balances at
March 31, 2022 | TDR loans that re-defaulted in 2022 within one year of modification | | TDR balances at
March 31, 2021 | TDR loans that re-defaulted in 2021 within one year of modification | |
| Commercial and industrial | Commercial and industrial | $ | 283 | | $ | 0 | | | $ | 685 | | $ | 0 | | | Commercial and industrial | $ | 205 | | $ | — | | | $ | 283 | | $ | — | | |
| | Mortgage and real estate | Mortgage and real estate | 83 | | 0 | | | 77 | | 0 | | | Mortgage and real estate | 20 | | — | | | 25 | | — | | |
| | Other | Other | 35 | | 0 | | | 15 | | 0 | | | Other | 23 | | — | | | 27 | | — | | |
Total(1) | Total(1) | $ | 401 | | $ | 0 | | | $ | 777 | | $ | 0 | | | Total(1) | $ | 248 | | $ | — | | | $ | 335 | | $ | — | | |
(1)The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.
Consumer Loans
Consumer loans represent loans and leases managed primarily by PBWM and Legacy Franchises, except Mexico SBMM.
Consumer Loans, Delinquencies and Non-Accrual Status at March 31, 2022
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Total current(1)(2) | 30–89 days past due(3)(4) | ≥ 90 days past due(3)(4) | Past due government guaranteed(5) | Total loans | Non-accrual loans for which there is no ACLL | Non-accrual loans for which there is an ACLL | Total
non-accrual | 90 days
past due
and accruing |
In North America offices(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 83,520 | | $ | 329 | | $ | 376 | | $ | 344 | | $ | 84,569 | | $ | 82 | | $ | 506 | | $ | 588 | | $ | 240 | |
Home equity loans(8)(9) | 5,127 | | 36 | | 165 | | — | | 5,328 | | 56 | | 198 | | 254 | | — | |
| Credit cards | 128,091 | | 988 | | 910 | | — | | 129,989 | | — | | — | | — | | 910 | |
| Personal, small business and other | 41,118 | | 76 | | 67 | | 36 | | 41,297 | | 2 | | 70 | | 72 | | 32 | |
| Total | $ | 257,856 | | $ | 1,429 | | $ | 1,518 | | $ | 380 | | $ | 261,183 | | $ | 140 | | $ | 774 | | $ | 914 | | $ | 1,182 | |
In offices outside North America(6) | | | | | | | | | |
Residential mortgages(7) | $ | 28,854 | | $ | 67 | | $ | 96 | | $ | — | | $ | 29,017 | | $ | — | | $ | 326 | | $ | 326 | | $ | 10 | |
| Credit cards | 11,309 | | 116 | | 121 | | — | | 11,546 | | — | | 98 | | 98 | | 48 | |
| Personal, small business and other | 48,401 | | 101 | | 80 | | — | | 48,582 | | — | | 179 | | 179 | | — | |
| Total | $ | 88,564 | | $ | 284 | | $ | 297 | | $ | — | | $ | 89,145 | | $ | — | | $ | 603 | | $ | 603 | | $ | 58 | |
Total Citigroup(10) | $ | 346,420 | | $ | 1,713 | | $ | 1,815 | | $ | 380 | | $ | 350,328 | | $ | 140 | | $ | 1,377 | | $ | 1,517 | | $ | 1,240 | |
(1)Loans less than 30 days past due are presented as current.
(2)Includes $10 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies. Excludes classifiably managed Private bank loans.
(4)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification. Most modified loans in North America would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer). Consumer relief programs in Asia and Mexico largely expired during the fourth quarter of 2020 and began to age at that time.
(5)Consists of loans that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and 90 days or more past due of $0.3 billion.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion and $0.0 billion of residential first mortgage loans in process of foreclosure in North America and outside of North America, respectively.
(8)Includes approximately $0.1 billion and $0.0 billion of home equity loans in process of foreclosure in North America and outside of North America, respectively.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Consumer loans are net of unearned income of $591 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
Interest Income Recognized for Non-Accrual Consumer Loans
| | | | | | | | | | |
| In millions of dollars | Three Months Ended March 31, 2022 | Three Months Ended March 31, 2021 | | |
In North America offices(1) | | | | |
| Residential first mortgages | $ | 3 | | $ | 4 | | | |
| Home equity loans | 1 | | 2 | | | |
| Credit cards | — | | — | | | |
| Personal, small business and other | — | | — | | | |
| Total | $ | 4 | | $ | 6 | | | |
In offices outside North America(1) | | | | |
| Residential mortgages | $ | — | | $ | — | | | |
| Credit cards | — | | — | | | |
| Personal, small business and other | — | | — | | | |
| Total | $ | — | | $ | — | | | |
| Total Citigroup | $ | 4 | | $ | 6 | | | |
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Total current(1)(2) | 30–89 days past due(3)(4) | ≥ 90 days past due(3)(4) | Past due government guaranteed(5) | Total
loans | Non-accrual loans for which there is no ACLL | Non-accrual loans for which there is an ACLL | Total
non-accrual | 90 days
past due
and accruing |
In North America offices(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 82,234 | | $ | 454 | | $ | 279 | | $ | 394 | | $ | 83,361 | | $ | 134 | | $ | 559 | | $ | 693 | | $ | 282 | |
Home equity loans(8)(9) | 5,546 | | 43 | | 156 | | — | | 5,745 | | 64 | | 221 | | 285 | | — | |
| Credit cards | 132,050 | | 947 | | 871 | | — | | 133,868 | | — | | — | | — | | 871 | |
| Personal, small business and other | 39,977 | | 534 | | 164 | | 38 | | 40,713 | | 2 | | 70 | | 72 | | 30 | |
| Total | $ | 259,807 | | $ | 1,978 | | $ | 1,470 | | $ | 432 | | $ | 263,687 | | $ | 200 | | $ | 850 | | $ | 1,050 | | $ | 1,183 | |
In offices outside North America(6) | | | | | | | | | |
Residential mortgages(7) | $ | 37,566 | | $ | 165 | | $ | 158 | | $ | — | | $ | 37,889 | | $ | — | | $ | 409 | | $ | 409 | | $ | 10 | |
| Credit cards | 17,428 | | 192 | | 188 | | — | | 17,808 | | — | | 140 | | 140 | | 120 | |
| Personal, small business and other | 56,930 | | 145 | | 75 | | — | | 57,150 | | — | | 227 | | 227 | | 22 | |
| Total | $ | 111,924 | | $ | 502 | | $ | 421 | | $ | — | | $ | 112,847 | | $ | — | | $ | 776 | | $ | 776 | | $ | 152 | |
Total Citigroup(10) | $ | 371,731 | | $ | 2,480 | | $ | 1,891 | | $ | 432 | | $ | 376,534 | | $ | 200 | | $ | 1,626 | | $ | 1,826 | | $ | 1,335 | |
(1)Loans less than 30 days past due are presented as current.
(2)Includes $12 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies. Excludes classifiably managed Private bank loans.
(4)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification, and thus almost all would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer).
(5)Consists of loans that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and 90 days or more past due of $0.3 billion.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(8)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Consumer loans are net of unearned income of $629 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
During the three months ended March 31, 2022, the Company sold and/or reclassified to HFS $7 million of consumer loans. During the three months ended March 31, 2021, the Company sold and/or reclassified to HFS $96 million of consumer loans. Loans held by a business for sale are not included in the above. See Note 2 for additional information regarding Citigroup’s businesses for sale.
Consumer Credit Scores (FICO)
The following tables provide details on the Fair Isaac Corporation (FICO) scores for Citi’s U.S. consumer loan portfolio based on end-of-period receivables by year of origination. FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio.
| | | | | | | | | | | | | | | | | |
FICO score distribution in U.S. portfolio(1)(2) | March 31, 2022 |
| In millions of dollars | Less than
680 | 680
to 760 | Greater
than 760 | FICO not available | Total loans |
| Residential first mortgages | | | | | |
| 2022 | $ | 107 | | $ | 1,288 | | $ | 2,890 | | | |
| 2021 | 757 | | 6,249 | | 12,930 | | | |
| 2020 | 494 | | 4,776 | | 11,663 | | | |
| 2019 | 342 | | 2,670 | | 5,959 | | | |
| 2018 | 388 | | 1,046 | | 2,185 | | | |
| Prior | 2,366 | | 6,958 | | 14,528 | | | |
| Total residential first mortgages | $ | 4,454 | | $ | 22,987 | | $ | 50,155 | | $ | 6,973 | | $ | 84,569 | |
| Home equity loans (pre-reset) | $ | 247 | | $ | 949 | | $ | 1,426 | | | |
| Home equity loans (post-reset) | 593 | | 963 | | 1,104 | | | |
| Total home equity loans | $ | 840 | | $ | 1,912 | | $ | 2,530 | | $ | 46 | | $ | 5,328 | |
Credit cards(3) | $ | 23,462 | | $ | 51,745 | | $ | 52,433 | | $ | 1,842 | | $ | 129,482 | |
| | | | | |
| Personal, small business and other | | | | | |
| 2022 | $ | 8 | | $ | 34 | | $ | 59 | | | |
| 2021 | 92 | | 251 | | 376 | | | |
| 2020 | 21 | | 34 | | 52 | | | |
| 2019 | 36 | | 44 | | 55 | | | |
| 2018 | 26 | | 27 | | 28 | | | |
| Prior | 124 | | 181 | | 142 | | | |
Total personal, small business and other(4) | $ | 307 | | $ | 571 | | $ | 712 | | $ | 38,769 | | $ | 40,359 | |
| Total | $ | 29,063 | | $ | 77,215 | | $ | 105,830 | | $ | 47,630 | | $ | 259,738 | |
| | | | | | | | | | | | | | | | | |
FICO score distribution in U.S. portfolio(1)(2) | December 31, 2021 |
| In millions of dollars | Less than
680 | 680
to 760 | Greater
than 760 | FICO not available | Total
loans |
| Residential first mortgages | | | | | |
| 2021 | $ | 626 | | $ | 6,729 | | $ | 12,349 | | | |
| 2020 | 508 | 5,102 | 12,153 | | |
| 2019 | 373 | 3,074 | 6,167 | | |
| 2018 | 394 | 1,180 | 2,216 | | |
| 2017 | 343 | 1,455 | 2,568 | | |
| Prior | 2,053 | 6,540 | 12,586 | | |
| Total residential first mortgages | $ | 4,297 | | $ | 24,080 | | $ | 48,039 | | $ | 6,945 | | $ | 83,361 | |
| Home equity loans (pre-reset) | $ | 263 | | $ | 1,030 | | $ | 1,539 | | | |
| Home equity loans (post-reset) | 639 | | 1,047 | | 1,160 | | | |
| Total home equity loans | $ | 902 | | $ | 2,077 | | $ | 2,699 | | $ | 67 | | $ | 5,745 | |
Credit cards(3) | $ | 23,115 | | $ | 52,907 | | $ | 55,137 | | $ | 2,192 | | $ | 133,351 | |
| Personal, small business and other | | | | | |
| 2021 | $ | 59 | | $ | 201 | | $ | 319 | | | |
| 2020 | 22 | | 41 | | 64 | | | |
| 2019 | 42 | | 53 | | 68 | | | |
| 2018 | 34 | | 35 | | 37 | | | |
| 2017 | 7 | | 8 | | 9 | | | |
| Prior | 120 | | 179 | | 143 | | | |
Total personal, small business and other(4) | $ | 284 | | $ | 517 | | $ | 640 | | $ | 38,365 | | $ | 39,806 | |
| Total | $ | 28,598 | | $ | 79,581 | | $ | 106,515 | | $ | 47,569 | | $ | 262,263 | |
(1) The FICO bands in the tables are consistent with general industry peer presentations.
(2) FICO scores are updated on either a monthly or quarterly basis. For updates that are made only quarterly, certain current-period loans by year of origination are greater than those disclosed in the prior periods. Loans that did not have FICO scores as of the prior period have been updated with FICO scores as they become available.
(3) Excludes $507 million and $517 million of balances related to Canada for March 31, 2022 and December 31, 2021, respectively.
(4) Excludes $938 million and $907 million of balances related to Canada for March 31, 2022 and December 31, 2021, respectively.
Loan to Value (LTV) Ratios
The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolios by year of origination. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.
| | | | | | | | | | | | | | | | | |
| LTV distribution in U.S. portfolio | March 31, 2022 | | |
| In millions of dollars | Less than
or equal
to 80% | > 80% but less
than or equal to 100% | Greater
than
100% | LTV not available | Total |
| Residential first mortgages | | | | | |
| 2022 | $ | 3,491 | | $ | 853 | | $ | 3 | | | |
| 2021 | 18,705 | | 2,359 | | 35 | | | |
| 2020 | 17,885 | | 426 | | — | | | |
| 2019 | 9,435 | | 231 | | 29 | | | |
| 2018 | 3,949 | | 124 | | 11 | | | |
| Prior | 25,225 | | 224 | | 15 | | | |
| Total residential first mortgages | $ | 78,690 | | $ | 4,217 | | $ | 93 | | $ | 1,569 | | $ | 84,569 | |
| Home equity loans (pre-reset) | $ | 2,434 | | $ | 37 | | $ | 59 | | | |
| Home equity loans (post-reset) | 2,600 | | 45 | | 33 | | | |
| Total home equity loans | $ | 5,034 | | $ | 82 | | $ | 92 | | $ | 120 | | $ | 5,328 | |
| Total | $ | 83,724 | | $ | 4,299 | | $ | 185 | | $ | 1,689 | | $ | 89,897 | |
| | | | | | | | | | | | | | | | | |
| LTV distribution in U.S. portfolio | December 31, 2021 | | |
| In millions of dollars | Less than
or equal
to 80% | > 80% but less
than or equal to 100% | Greater
than
100% | LTV not available | Total |
| Residential first mortgages | | | | | |
| 2021 | $ | 18,107 | | $ | 2,723 | | $ | 34 | | | |
| 2020 | 18,715 | | 446 | | — | | | |
| 2019 | 10,047 | | 269 | | 29 | | | |
| 2018 | 4,117 | | 136 | | 11 | | | |
| 2017 | 4,804 | | 103 | | 4 | | | |
| Prior | 22,161 | | 128 | | 14 | | | |
| Total residential first mortgages | $ | 77,951 | | $ | 3,805 | | $ | 92 | | $ | 1,513 | | $ | 83,361 | |
| Home equity loans (pre-reset) | $ | 2,637 | | $ | 46 | | $ | 69 | | | |
| Home equity loans (post-reset) | 2,751 | | 52 | | 32 | | | |
| Total home equity loans | $ | 5,388 | | $ | 98 | | $ | 101 | | $ | 158 | | $ | 5,745 | |
| Total | $ | 83,339 | | $ | 3,903 | | $ | 193 | | $ | 1,671 | | $ | 89,106 | |
Impaired Consumer Loans
The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Three Months Ended
March 31, | |
| | Balance at March 31, 2022 | 2022 | 2021 | | |
| In millions of dollars | Recorded investment(1)(2) | Unpaid
principal balance | Related specific allowance(3) | Average carrying value(4) | Interest income
recognized(6) | Interest income
recognized(6) | | |
| Mortgage and real estate | | | | | | | | |
| Residential first mortgages | $ | 1,407 | | $ | 1,556 | | $ | 75 | | $ | 1,489 | | $ | 22 | | $ | 88 | | | |
| Home equity loans | 266 | | 346 | | (6) | | 288 | | 3 | | 9 | | | |
| Credit cards | 1,289 | | 1,290 | | 483 | | 1,620 | | 18 | | 116 | | | |
| Personal, small business and other | 132 | | 138 | | 34 | | 394 | | 3 | | 52 | | | |
| Total | $ | 3,094 | | $ | 3,330 | | $ | 586 | | $ | 3,791 | | $ | 46 | | $ | 265 | | | |
| | | | | | | | | | | | | | | |
| | Balance at December 31, 2021 |
| In millions of dollars | Recorded investment(1)(2) | Unpaid
principal balance | Related specific allowance(3)(4) | Average carrying value(5) | |
| Mortgage and real estate | | | | | |
| Residential first mortgages | $ | 1,521 | | $ | 1,595 | | $ | 87 | | $ | 1,564 | | |
| Home equity loans | 191 | | 344 | | (1) | | 336 | | |
| Credit cards | 1,582 | | 1,609 | | 594 | | 1,795 | | |
| Personal, small business and other | 454 | | 461 | | 133 | | 505 | | |
| Total | $ | 3,748 | | $ | 4,009 | | $ | 813 | | $ | 4,200 | | |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.
(2)For March 31, 2022, $191 million of residential first mortgages and $88 million of home equity loans do not have a specific allowance. For December 31, 2021, $190 million of residential first mortgages and $94 million of home equity loans do not have a specific allowance.
(3)Included in the Allowance for credit losses on loans.
(4)The negative allowance on home equity loans resulted from expected recoveries on previously written-off accounts.
(5)Average carrying value represents the average recorded investment ending balance for the last 4 quarters and does not include the related specific allowance.
(6)Includes amounts recognized on both accrual and cash basis.
Consumer Troubled Debt Restructurings(1)
| | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended March 31, 2022 |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post-
modification
recorded
investment(2)(3) | Deferred
principal(4) | Contingent
principal
forgiveness(5) | Principal
forgiveness(6) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 346 | | $ | 81 | | $ | — | | $ | — | | $ | — | | — | % |
| Home equity loans | 104 | | 9 | | — | | — | | — | | — | |
| Credit cards | 40,740 | | 173 | | — | | — | | — | | 17 | |
| Personal, small business and other | 146 | | 1 | | — | | — | | — | | 5 | |
Total(7) | 41,336 | | $ | 264 | | $ | — | | $ | — | | $ | — | | |
| International | | | | | | |
| Residential mortgages | 183 | | $ | 6 | | $ | — | | $ | — | | $ | — | | — | % |
| Credit cards | 5,000 | | 22 | | — | | — | | 1 | | 19 | |
| Personal, small business and other | 672 | | 9 | | — | | — | | — | | 8 | |
Total(7) | 5,855 | | $ | 37 | | $ | — | | $ | — | | $ | 1 | | |
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| | For the Three Months Ended March 31, 2021 |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post- modification recorded investment(2)(8) | Deferred principal(4) | Contingent principal forgiveness(5) | Principal forgiveness(6) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 336 | | $ | 60 | | $ | — | | $ | — | | $ | — | | — | % |
| Home equity loans | 59 | | 6 | | — | | — | | — | | — | |
| Credit cards | 59,046 | | 300 | | — | | — | | — | | 17 | |
| Personal, small business and other | 461 | | 7 | | — | | — | | — | | 4 | |
Total(7) | 59,902 | | $ | 373 | | $ | — | | $ | — | | $ | — | | |
| International | | | | | | |
| Residential mortgages | 467 | | $ | 24 | | $ | — | | $ | — | | $ | — | | 1 | % |
| Credit cards | 24,599 | | 102 | | — | | — | | 7 | | 16 | |
| Personal, small business and other | 7,538 | | 58 | | — | | — | | 2 | | 10 | |
Total(7) | 32,604 | | $ | 184 | | $ | — | | $ | — | | $ | 9 | | |
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(1)The above tables do not include loan modifications that meet the TDR relief criteria in the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) or the interagency guidance.
(2)Post-modification balances include past-due amounts that are capitalized at the modification date.
(3)Post-modification balances in North America include $1 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the three months ended March 31, 2022. These amounts include $1 million of residential first mortgages that were newly classified as TDRs in the three months ended March 31, 2022, based on previously received OCC guidance.
(4)Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(5)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(6)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(7) The above tables reflect activity for restructured loans that were considered TDRs during the reporting period.
(8) Post-modification balances in North America include $3 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the three months ended March 31, 2021. These amounts include $1 million of residential first mortgages that were newly classified as TDRs in the three months ended March 31, 2021, based on previously received OCC guidance.
The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due:
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| Three Months Ended March 31, | |
| In millions of dollars | 2022 | 2021 | | |
| North America | | | | |
| Residential first mortgages | $ | 4 | | $ | 18 | | | |
| Home equity loans | — | | 4 | | | |
| Credit cards | 57 | | 63 | | | |
| Personal, small business and other | — | | 1 | | | |
| Total | $ | 61 | | $ | 86 | | | |
| International | | | | |
| Residential mortgages | $ | 4 | | $ | 12 | | | |
| Credit cards | 4 | | 52 | | | |
| Personal, small business and other | 1 | | 22 | | | |
| Total | $ | 9 | | $ | 86 | | | |
Purchased Credit-Deteriorated Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended March 31, 2022 | Three Months Ended December 31, 2021 | Three Months Ended March 31,
2021 |
| In millions of dollars | Credit
cards | Mortgages(1) | Installment
and other | Credit
cards | Mortgages(1) | Installment
and other | Credit
cards | Mortgages(1) | Installment
and other |
| Purchase price | $ | — | | $ | 4 | | $ | — | | $ | — | | $ | 4 | | $ | — | | $ | — | | $ | 3 | | $ | — | |
| Allowance for credit losses at acquisition date | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Discount or premium attributable to non-credit factors | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Par value (amortized cost basis) | $ | — | | $ | 4 | | $ | — | | $ | — | | $ | 4 | | $ | — | | $ | — | | $ | 3 | | $ | — | |
(1) Includes loans sold to agencies that were bought back at par due to repurchase agreements.
14. ALLOWANCE FOR CREDIT LOSSES
| | | Three Months Ended March 31, | | | Three Months Ended March 31, | |
| In millions of dollars | In millions of dollars | 2021 | 2020 | | In millions of dollars | 2022 | 2021 | |
| Allowance for credit losses on loans (ACLL) at beginning of period | Allowance for credit losses on loans (ACLL) at beginning of period | $ | 24,956 | | $ | 12,783 | | | Allowance for credit losses on loans (ACLL) at beginning of period | $ | 16,455 | | $ | 24,956 | | |
Adjustments to opening balance:(1) | | | |
Financial instruments—credit losses (CECL)(1) | 0 | | 4,201 | | | |
Variable post-charge-off third-party collection costs(1) | 0 | | (443) | | | |
| Adjusted ACLL at beginning of period | $ | 24,956 | | $ | 16,541 | | | |
| | Gross credit losses on loans | Gross credit losses on loans | $ | (2,208) | | $ | (2,479) | | | Gross credit losses on loans | $ | (1,240) | | $ | (2,208) | | |
| Gross recoveries on loans | Gross recoveries on loans | 460 | | 420 | | | Gross recoveries on loans | 368 | | 460 | | |
| Net credit losses on loans (NCLs) | Net credit losses on loans (NCLs) | $ | (1,748) | | $ | (2,059) | | | Net credit losses on loans (NCLs) | $ | (872) | | $ | (1,748) | | |
| Replenishment of NCLs | Replenishment of NCLs | $ | 1,748 | | $ | 2,059 | | | Replenishment of NCLs | $ | 872 | | $ | 1,748 | | |
| Net reserve builds (releases) for loans | Net reserve builds (releases) for loans | (3,068) | | 4,094 | | | Net reserve builds (releases) for loans | (781) | | (3,068) | | |
| Net specific reserve builds (releases) for loans | Net specific reserve builds (releases) for loans | (159) | | 224 | | | Net specific reserve builds (releases) for loans | 169 | | (159) | | |
| Total provision for credit losses on loans (PCLL) | Total provision for credit losses on loans (PCLL) | $ | (1,479) | | $ | 6,377 | | | Total provision for credit losses on loans (PCLL) | $ | 260 | | $ | (1,479) | | |
| Initial allowance for credit losses on newly purchased credit deteriorated assets during the period | 0 | | 4 | | | |
| | Other, net (see table below) | Other, net (see table below) | (91) | | (483) | | | Other, net (see table below) | (450) | | (91) | | |
| ACLL at end of period | ACLL at end of period | $ | 21,638 | | $ | 20,380 | | | ACLL at end of period | $ | 15,393 | | $ | 21,638 | | |
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2)(1) | Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2)(1) | $ | 2,655 | | $ | 1,456 | | | Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2)(1) | $ | 1,871 | | $ | 2,655 | | |
Adjustment to opening balance for CECL adoption(1) | 0 | | (194) | | | |
| | Provision (release) for credit losses on unfunded lending commitments | Provision (release) for credit losses on unfunded lending commitments | (626) | | 557 | | | Provision (release) for credit losses on unfunded lending commitments | 474 | | (626) | | |
| Other, net | Other, net | (17) | | (6) | | | Other, net | (2) | | (17) | | |
ACLUC at end of period(2)(1) | ACLUC at end of period(2)(1) | $ | 2,012 | | $ | 1,813 | | | ACLUC at end of period(2)(1) | $ | 2,343 | | $ | 2,012 | | |
| Total allowance for credit losses on loans, leases and unfunded lending commitments | Total allowance for credit losses on loans, leases and unfunded lending commitments | $ | 23,650 | | $ | 22,193 | | | Total allowance for credit losses on loans, leases and unfunded lending commitments | $ | 17,736 | | $ | 23,650 | | |
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| Other, net details | Three Months Ended March 31, | |
| In millions of dollars | 2021 | 2020 | | |
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| Sales or transfers of various consumer loan portfolios to HFS | $ | 0 | | $ | (3) | | | |
| FX translation | (108) | | (483) | | | |
| Other | 17 | | 3 | | | |
| Other, net | $ | (91) | | $ | (483) | | | |
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| Other, net details | Three Months Ended March 31, | |
| In millions of dollars | 2022 | 2021 | | |
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Reclasses of consumer ACLL to HFS(2) | $ | (350) | | $ | — | | | |
| FX translation and other | (100) | | (91) | | | |
| Other, net | $ | (450) | | $ | (91) | | | |
(1)See Note 1 to the Consolidated Financial Statements for further discussion of the impact of Citi’s adoption of CECL and the change in accounting principle for collection costs.
(2)Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.
(2)See Note 2.
Allowance for Credit Losses on Loans and End-of-Period Loans
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| Three Months Ended |
| March 31, 2021 | March 31, 2020 |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| ACLL at beginning of period | $ | 5,402 | | $ | 19,554 | | $ | 24,956 | | $ | 2,886 | | $ | 9,897 | | $ | 12,783 | |
Adjustments to opening balance(1) | | | | | | |
| Financial instruments—credit losses (CECL) | 0 | | 0 | | 0 | | (721) | | 4,922 | | 4,201 | |
| Variable post-charge-off third-party collection costs | 0 | | 0 | | 0 | | 0 | | (443) | | (443) | |
| Adjusted ACLL at beginning of period | $ | 5,402 | | $ | 19,554 | | $ | 24,956 | | $ | 2,165 | | $ | 14,376 | | $ | 16,541 | |
| Charge-offs | (203) | | (2,005) | | (2,208) | | (139) | | (2,340) | | (2,479) | |
| Recoveries | 17 | | 443 | | 460 | | 12 | | 408 | | 420 | |
| Replenishment of net charge-offs | 186 | | 1,562 | | 1,748 | | 127 | | 1,932 | | 2,059 | |
| Net reserve builds (releases) | (1,273) | | (1,795) | | (3,068) | | 1,268 | | 2,826 | | 4,094 | |
| Net specific reserve builds (releases) | (38) | | (121) | | (159) | | 48 | | 176 | | 224 | |
| Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period | 0 | | 0 | | 0 | | 0 | | 4 | | 4 | |
| Other | (7) | | (84) | | (91) | | (30) | | (453) | | (483) | |
| Ending balance | $ | 4,084 | | $ | 17,554 | | $ | 21,638 | | $ | 3,451 | | $ | 16,929 | | $ | 20,380 | |
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| Three Months Ended | |
| March 31, 2022 | March 31, 2021 | |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | |
| ACLL at beginning of period | $ | 2,415 | | $ | 14,040 | | $ | 16,455 | | $ | 4,776 | | $ | 20,180 | | $ | 24,956 | | |
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| Gross credit losses on loans | (48) | | (1,192) | | (1,240) | | (199) | | (2,009) | | (2,208) | | |
| Gross recoveries on loans | 17 | | 351 | | 368 | | 14 | | 446 | | 460 | | |
| Replenishment of NCLs | 31 | | 841 | | 872 | | 185 | | 1,563 | | 1,748 | | |
| Net reserve builds (releases) | 376 | | (1,157) | | (781) | | (1,193) | | (1,875) | | (3,068) | | |
| Net specific reserve builds (releases) | 225 | | (56) | | 169 | | (34) | | (125) | | (159) | | |
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| Other | 9 | | (459) | | (450) | | (7) | | (84) | | (91) | | |
| Ending balance | $ | 3,025 | | $ | 12,368 | | $ | 15,393 | | $ | 3,542 | | $ | 18,096 | | $ | 21,638 | | |
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(1)See “Accounting Changes” in Note 1 to the Consolidated Financial Statements for additional details.
| | | March 31, 2021 | December 31, 2020 | | March 31, 2022 | December 31, 2021 |
| In millions of dollars | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Allowance for credit losses on loans | | | | | | |
| ACLL | | ACLL | | | | | |
| Collectively evaluated | Collectively evaluated | $ | 3,595 | | $ | 16,339 | | $ | 19,934 | | $ | 4,887 | | $ | 18,207 | | $ | 23,094 | | Collectively evaluated | $ | 2,586 | | $ | 11,783 | | $ | 14,369 | | $ | 2,203 | | $ | 13,227 | | $ | 15,430 | |
| Individually evaluated | Individually evaluated | 489 | | 1,214 | | 1,703 | | 515 | | 1,345 | | 1,860 | | Individually evaluated | 439 | | 586 | | 1,025 | | 212 | | 813 | | 1,025 | |
| Purchased credit deteriorated | Purchased credit deteriorated | 0 | | 1 | | 1 | | 0 | | 2 | | 2 | | Purchased credit deteriorated | — | | (1) | | (1) | | — | | —�� | | — | |
| Total allowance for credit losses on loans | $ | 4,084 | | $ | 17,554 | | $ | 21,638 | | $ | 5,402 | | $ | 19,554 | | $ | 24,956 | | |
| Total ACLL | | Total ACLL | $ | 3,025 | | $ | 12,368 | | $ | 15,393 | | $ | 2,415 | | $ | 14,040 | | $ | 16,455 | |
| Loans, net of unearned income | Loans, net of unearned income | | | | | | Loans, net of unearned income | | | | | |
| Collectively evaluated | Collectively evaluated | $ | 381,338 | | $ | 269,151 | | $ | 650,489 | | $ | 376,677 | | $ | 283,885 | | $ | 660,562 | | Collectively evaluated | $ | 301,753 | | $ | 347,112 | | $ | 648,865 | | $ | 283,610 | | $ | 372,655 | | $ | 656,265 | |
| Individually evaluated | Individually evaluated | 3,106 | | 4,733 | | 7,839 | | 3,527 | | 4,799 | | 8,326 | | Individually evaluated | 1,866 | | 3,094 | | 4,960 | | 1,553 | | 3,748 | | 5,301 | |
| Purchased credit deteriorated | Purchased credit deteriorated | 0 | | 135 | | 135 | | 0 | | 141 | | 141 | | Purchased credit deteriorated | — | | 112 | | 112 | | — | | 119 | | 119 | |
| Held at fair value | Held at fair value | 7,510 | | 15 | | 7,525 | | 6,840 | | 14 | | 6,854 | | Held at fair value | 5,722 | | 10 | | 5,732 | | 6,070 | | 12 | | 6,082 | |
| Total loans, net of unearned income | Total loans, net of unearned income | $ | 391,954 | | $ | 274,034 | | $ | 665,988 | | $ | 387,044 | | $ | 288,839 | | $ | 675,883 | | Total loans, net of unearned income | $ | 309,341 | | $ | 350,328 | | $ | 659,669 | | $ | 291,233 | | $ | 376,534 | | $ | 667,767 | |
Allowance for Credit Losses on HTM Debt Securities
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| Three Months Ended March 31, 2021 |
| In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-backed | | Total HTM |
Allowance for credit losses on HTM debt securities at beginning
of period | $ | 3 | | | $ | 74 | | $ | 6 | | | $ | 3 | | | $ | 86 | |
| Gross credit losses | 0 | | | 0 | | 0 | | | 0 | | | 0 | |
| Gross recoveries | 3 | | | 0 | | 0 | | | 0 | | | 3 | |
| Net credit losses (NCLs) | $ | 3 | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 3 | |
| NCLs | $ | (3) | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | (3) | |
| Net reserve builds (releases) | 1 | | | (5) | | (1) | | | (3) | | | (8) | |
| Net specific reserve builds (releases) | 0 | | | 0 | | 0 | | | 0 | | | 0 | |
| Total provision for credit losses on HTM debt securities | $ | (2) | | | $ | (5) | | $ | (1) | | | $ | (3) | | | $ | (11) | |
| Other, net | $ | 0 | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | 0 | | | 0 | | 0 | | | 0 | | | 0 | |
| Allowance for credit losses on HTM debt securities at end of period | $ | 4 | | | $ | 69 | | $ | 5 | | | $ | 0 | | | $ | 78 | |
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| Three Months Ended March 31, 2020 |
| In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-
backed | | Total HTM |
Allowance for credit losses on HTM debt securities at beginning
of period | $ | 0 | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| Adjustment to opening balance for CECL adoption | 0 | | | 61 | | 4 | | | 5 | | | 70 | |
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| Net credit losses (NCLs) | $ | 0 | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| NCLs | $ | 0 | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| Net reserve builds (releases) | 0 | | | 5 | | 0 | | | 1 | | | 6 | |
| Net specific reserve builds (releases) | 0 | | | 0 | | 0 | | | 0 | | | 0 | |
| Total provision for credit losses on HTM debt securities | $ | 0 | | | $ | 5 | | $ | 0 | | | $ | 1 | | | $ | 6 | |
| Other, net | $ | 0 | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | |
| Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | 0 | | | 0 | | 0 | | | 0 | | | 0 | |
| Allowance for credit losses on HTM debt securities at end of period | $ | 0 | | | $ | 66 | | $ | 4 | | | $ | 6 | | | $ | 76 | |
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| Three Months Ended March 31, 2022 |
| In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-backed | | Total HTM |
Allowance for credit losses on HTM debt securities
at beginning of quarter | $ | 6 | | | $ | 75 | | $ | 4 | | | $ | 2 | | | $ | 87 | |
| Gross credit losses | — | | | — | | — | | | — | | | — | |
| Gross recoveries | — | | | — | | — | | | — | | | — | |
| Net credit losses (NCLs) | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Replenishment of NCLs | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Net reserve builds (releases) | (2) | | | 4 | | (2) | | | (2) | | | (2) | |
| Net specific reserve builds (releases) | — | | | — | | — | | | — | | | — | |
| Total provision for credit losses on HTM debt securities | $ | (2) | | | $ | 4 | | $ | (2) | | | $ | (2) | | | $ | (2) | |
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Allowance for credit losses on HTM debt securities
at end of quarter | $ | 4 | | | $ | 79 | | $ | 2 | | | $ | — | | | $ | 85 | |
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| Three Months Ended March 31, 2021 |
| In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | Asset-backed | | | Total HTM |
Allowance for credit losses on HTM debt securities
at beginning of quarter | $ | 3 | | | $ | 74 | | $ | 6 | | $ | 3 | | | | $ | 86 | |
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| Gross credit losses | — | | | — | | — | | — | | | | — | |
| Gross recoveries | 3 | | | — | | — | | — | | | | 3 | |
| Net credit losses (NCLs) | $ | 3 | | | $ | — | | $ | — | | $ | — | | | | $ | 3 | |
| Replenishment of NCLs | $ | (3) | | | $ | — | | $ | — | | $ | — | | | | $ | (3) | |
| Net reserve builds (releases) | 1 | | | (5) | | (1) | | (3) | | | | (8) | |
| Net specific reserve builds (releases) | — | | | — | | — | | — | | | | — | |
| Total provision for credit losses on HTM debt securities | $ | (2) | | | $ | (5) | | $ | (1) | | $ | (3) | | | | $ | (11) | |
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Allowance for credit losses on HTM debt securities
at end of quarter | $ | 4 | | | $ | 69 | | $ | 5 | | $ | — | | | | $ | 78 | |
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Allowance for Credit Losses on Other Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended March 31, 2021 | | | |
| In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total | | |
| Allowance for credit losses at beginning of period | $ | 0 | | $ | 20 | | $ | 10 | | $ | 0 | | $ | 25 | | $ | 55 | | | |
| | | | | | | | |
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| Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | |
| NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | |
| Net reserve builds (releases) | 0 | | 9 | | (5) | | 0 | | 5 | | 9 | | | |
| Total provision for credit losses | $ | 0 | | $ | 9 | | $ | (5) | | $ | 0 | | $ | 5 | | $ | 9 | | | |
| Other, net | $ | 0 | | $ | (1) | | $ | 0 | | $ | 0 | | $ | 0 | | $ | (1) | | | |
| Allowance for credit losses on other assets at end of period | $ | 0 | | $ | 28 | | $ | 5 | | $ | 0 | | $ | 30 | | $ | 63 | | | |
| | | | | | | | |
| Three Months Ended March 31, 2020 | | | |
| In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total | | |
| Allowance for credit losses at beginning of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | |
| Adjustment to opening balance for CECL adoption | 6 | | 14 | | 2 | | 1 | | 3 | | 26 | | | |
| | | | | | | | |
| | | | | | | | |
| Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | |
| NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | |
| Net reserve builds (releases) | (6) | | (6) | | 3 | | (1) | | 6 | | (4) | | | |
| Total provision for credit losses | $ | (6) | | $ | (6) | | $ | 3 | | $ | (1) | | $ | 6 | | $ | (4) | | | |
| Other, net | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 32 | | $ | 32 | | | |
| Allowance for credit losses on other assets at end of period | $ | 0 | | $ | 8 | | $ | 5 | | $ | 0 | | $ | 41 | | $ | 54 | | | |
| | | | | | | | | | | | | | | | | | |
| | Three Months Ended March 31, 2022 | |
| In millions of dollars | | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total |
Allowance for credit losses on other assets
at beginning of quarter | | $ | 21 | | $ | 6 | | $ | — | | $ | 26 | | $ | 53 | |
| | | | | | |
| Gross credit losses | | — | | — | | — | | (7) | | (7) | |
| Gross recoveries | | 0 | — | | — | | — | | — | |
| Net credit losses (NCLs) | | $ | — | | $ | — | | $ | — | | $ | (7) | | $ | (7) | |
| Replenishment of NCLs | | $ | — | | $ | — | | $ | — | | $ | 7 | | $ | 7 | |
| Net reserve builds (releases) | | (6) | | (2) | | — | | (3) | | (11) | |
| Total provision for credit losses | | $ | (6) | | $ | (2) | | $ | — | | $ | 4 | | $ | (4) | |
| Other, net | | $ | — | | $ | — | | $ | — | | $ | 1 | | $ | 1 | |
Allowance for credit losses on other assets
at end of quarter | | $ | 15 | | $ | 4 | | $ | — | | $ | 24 | | $ | 43 | |
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(1)Primarily accounts receivable.
Allowance for Credit Losses on Other Assets
| | | | | | | | | | | | | | | | | | |
| | Three Months Ended March 31, 2021 |
| In millions of dollars | | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total |
| Allowance for credit losses at beginning of quarter | | $ | 20 | | $ | 10 | | $ | — | | $ | 25 | | $ | 55 | |
| | | | | | |
| Gross credit losses | | — | | — | | — | | — | | — | |
| Gross recoveries | | — | | — | | — | | — | | — | |
| Net credit losses (NCLs) | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Replenishment of NCLs | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Net reserve builds (releases) | | 9 | | (5) | | — | | 5 | | 9 | |
| Total provision for credit losses | | $ | 9 | | $ | (5) | | $ | — | | $ | 5 | | $ | 9 | |
| Other, net | | $ | (1) | | $ | — | | $ | — | | $ | — | | $ | (1) | |
Allowance for credit losses on other assets
at end of quarter | | $ | 28 | | $ | 5 | | $ | — | | $ | 30 | | $ | 63 | |
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(1) Primarily accounts receivable.
For ACL on AFS debt securities, see Note 12 to the Consolidated Financial Statements.12.
15. GOODWILL AND INTANGIBLE ASSETS
Goodwill
The changes in Goodwill were as follows:
| | | | | | | | | | | |
| In millions of dollars | Global Consumer Banking | Institutional Clients Group | Total |
| Balance at December 31, 2020 | $ | 12,142 | | $ | 10,020 | | $ | 22,162 | |
| Foreign currency translation | (68) | | (189) | | (257) | |
| | | |
| | | |
| | | |
| | | |
| Balance at March 31, 2021 | $ | 12,074 | | $ | 9,831 | | $ | 21,905 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | | | | | | | | | | | | |
| In millions of dollars | Institutional Clients Group | Personal Banking and Wealth Management | Legacy Franchises | Total |
| | | | |
| | | | |
| | | | |
| | | | |
| Balance at December 31, 2021 | $ | 9,215 | | $ | 9,717 | | $ | 2,367 | | $ | 21,299 | |
Impairment(1) | — | | — | | (535) | | (535) | |
Divestitures(2) | — | | — | | (873) | | (873) | |
| Foreign currency translation | (44) | | 18 | | — | | (26) | |
| Balance at March 31, 2022 | $ | 9,171 | | $ | 9,735 | | $ | 959 | | $ | 19,865 | |
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(1)Goodwill impairment of $535 million (approximately $489 million after-tax) was incurred in the Asia Consumer reporting unit of Legacy Franchises due to the re-segmentation and timing of divestitures recorded in the first quarter.
(2)Primarily relates to Citi’s agreement to sell its consumer banking businesses in Malaysia, Thailand, Indonesia, Vietnam, Taiwan, India and Bahrain within Asia Consumer, during the first quarter of 2022 and reclassified as HFS as of March 31, 2022. See Note 2.
Citi tests goodwill for impairment annually as of July 1 (the annual test) and through interim assessments between annual tests if an event occurs or circumstances change that could more-likely-than-not reduce the fair value of a reporting unit below its carrying amount. The results of the 20202021 annual impairment test resulted in no impairment.
As discussed in Note 3, effective January 1, 2022, as part of its strategic refresh, Citi made changes to its management structure, which resulted in changes in its operating segments and reporting units to reflect how the CEO, who is the chief operating decision maker, intends to manage the Company, allocate resources and measure performance. Goodwill balances were reallocated across the new reporting units based on their relative fair values using the valuation performed as of the effective date of the reorganization. Further, the Goodwill balances associated with certain Asia Consumer businesses within the Legacy Franchises operating segment were reclassified to HFS as of March 31, 2022. See Note 2 for a discussion of Citi’s divestiture activities.
The reorganization of Citi’s reporting structure and the announced sales of businesses within a reporting unit were identified as triggering events for purposes of goodwill impairment testing. Consistent with the requirements of ASC 350, interim goodwill impairment tests were performed that resulted in an impairment of $535 million to the Asia Consumer reporting unit within the Legacy Franchises operating segment, due to the implementation of Citi’s revised operating segments and reporting units, as well as the timing of the announced sales of its Asia consumer banking businesses. This impairment was recorded in the first quarter of 2022 as an operating expense.
To determine the goodwill impairment, Citi used a combination of the income approach, market approach and bids from buyers, where available, to determine the fair value of the Asia Consumer reporting unit. Under the market approach, Citi estimated fair value by comparing the business to similar businesses or guideline companies whose securities are actively traded in public markets. Under the income approach, Citi used a discounted cash flow (DCF) model in which cash flows anticipated over several periods, plus a terminal value at the end of that time horizon, are discounted
to their present value using an appropriate rate that is commensurate with the risk inherent within the reporting unit.
The key assumptions used to determine the fair value of the Asia Consumer reporting unit consisted primarily of significant unobservable inputs (Level 3 fair value inputs), including discount rates, estimated cash flows, growth rates, earnings multiples and/or transaction multiples of similar businesses or guideline public companies, and bids from buyers. The DCF method employs a capital asset pricing model in estimating the discount rate based on several factors including market interest rates, and includes adjustments for market risk and company-specific risk. Estimated cash flows are based on internally developed estimates and the growth rates are based on industry knowledge and historical performance.
Based on the interim impairment tests, the fair values of all of Citi’s other reporting units as a percentage of their allocated carrying values between 115% and 136%. During the three months ended March 31, 2021, Citi qualitatively assessed the current environment, including the continuing impact of the COVID-19 pandemic, management’s announced strategyranged from approximately 114% to pursue exits of its consumer franchises267%, resulting in 13 markets within Asia GCB, observed changes in market multiples, actual business performance, together with the latest available management forecasts. Based on the above, Citi determined it was not more-likely-than-not that the fair value of any reporting unit was below its book value and there was no indication offurther impairment recognized as of March 31, 2021.2022.
While the inherent risk related toof uncertainty is embedded in the key assumptions used in the valuations, the current environment continueseconomic and business environments continue to evolve. Deterioration in business performance or macroeconomicevolve as management implements its strategic refresh. If management’s future estimate of key economic and market conditions, including potential adverse effects to economic forecasts due to the severity and duration of the pandemic, as well as the responses of governments, customers and clients, could negatively influence the assumptions used in the valuations, in particular, the discount rates, exit multiples and growth rates used in net income projections. If the future were to differ from management’s best estimate of key economicits current assumptions, and associated cash flows were to decrease, Citi could potentially experience material goodwill impairment charges in the future.
See Note 3 for a description of Citi’s operating segments. For additional information regarding Citi’s accounting policy for goodwill and its related goodwill impairment testing process, see NotesNote 1 and 16 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K. Refer to Note 3 for a description of Citi’s Business Segments.
The components of intangible assets were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | March 31, 2021 | December 31, 2020 |
| In millions of dollars | Gross
carrying
amount | Accumulated
amortization | Net
carrying
amount | Gross
carrying
amount | Accumulated
amortization | Net
carrying
amount |
| Purchased credit card relationships | $ | 5,614 | | $ | 4,239 | | $ | 1,375 | | $ | 5,648 | | $ | 4,229 | | $ | 1,419 | |
Credit card contract-related intangibles(1) | 3,906 | | 1,288 | | 2,618 | | 3,929 | | 1,276 | | 2,653 | |
| Core deposit intangibles | 44 | | 44 | | 0 | | 45 | | 44 | | 1 | |
| Other customer relationships | 426 | | 299 | | 127 | | 455 | | 314 | | 141 | |
| Present value of future profits | 31 | | 29 | | 2 | | 32 | | 30 | | 2 | |
| Indefinite-lived intangible assets | 185 | | — | | 185 | | 190 | | — | | 190 | |
| Other | 61 | | 60 | | 1 | | 72 | | 67 | | 5 | |
| Intangible assets (excluding MSRs) | $ | 10,267 | | $ | 5,959 | | $ | 4,308 | | $ | 10,371 | | $ | 5,960 | | $ | 4,411 | |
Mortgage servicing rights (MSRs)(2) | 433 | | — | | 433 | | 336 | | — | | 336 | |
| Total intangible assets | $ | 10,700 | | $ | 5,959 | | $ | 4,741 | | $ | 10,707 | | $ | 5,960 | | $ | 4,747 | |
| | | | | | | | | | | | | | | | | | | | |
| | March 31, 2022 | December 31, 2021 |
| In millions of dollars | Gross
carrying
amount | Accumulated
amortization | Net
carrying
amount | Gross
carrying
amount | Accumulated
amortization | Net
carrying
amount |
| Purchased credit card relationships | $ | 5,523 | | $ | 4,328 | | $ | 1,195 | | $ | 5,579 | | $ | 4,348 | | $ | 1,231 | |
Credit card contract-related intangibles(1) | 3,904 | | 1,402 | | 2,502 | | 3,912 | | 1,372 | | 2,540 | |
| Core deposit intangibles | 38 | | 38 | | — | | 39 | | 39 | | — | |
| Other customer relationships | 412 | | 297 | | 115 | | 429 | | 305 | | 124 | |
| Present value of future profits | 32 | | 30 | | 2 | | 31 | | 29 | | 2 | |
| Indefinite-lived intangible assets | 188 | | — | | 188 | | 183 | | — | | 183 | |
| Other | — | | — | | — | | 37 | | 26 | | 11 | |
| Intangible assets (excluding MSRs) | $ | 10,097 | | $ | 6,095 | | $ | 4,002 | | $ | 10,210 | | $ | 6,119 | | $ | 4,091 | |
Mortgage servicing rights (MSRs)(2) | 520 | | — | | 520 | | 404 | | — | | 404 | |
| Total intangible assets | $ | 10,617 | | $ | 6,095 | | $ | 4,522 | | $ | 10,614 | | $ | 6,119 | | $ | 4,495 | |
(1)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represented 97% and 96% of the aggregate net carrying amount as of both March 31, 20212022 and December 31, 2020, respectively.2021.
(2)ForSee Note 18 for additional information on Citi’s MSRs, see Note 18 to the Consolidated Financial Statements.MSRs.
The changes in intangible assets were as follows:
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net carrying amount at December 31, 2020 | Acquisitions/renewals/
divestitures | Amortization | Impairments | FX translation and other | Net carrying amount at March 31, 2021 |
Purchased credit card relationships(1) | $ | 1,419 | | $ | 0 | | $ | (43) | | $ | 0 | | $ | (1) | | $ | 1,375 | |
Credit card contract-related intangibles(2) | 2,653 | | 0 | | (35) | | 0 | | 0 | | 2,618 | |
| Core deposit intangibles | 1 | | 0 | | (1) | | 0 | | 0 | | 0 | |
| Other customer relationships | 141 | | 0 | | (6) | | 0 | | (8) | | 127 | |
| Present value of future profits | 2 | | 0 | | 0 | | 0 | | 0 | | 2 | |
| Indefinite-lived intangible assets | 190 | | 0 | | 0 | | 0 | | (5) | | 185 | |
| Other | 5 | | 5 | | (10) | | 0 | | 1 | | 1 | |
| Intangible assets (excluding MSRs) | $ | 4,411 | | $ | 5 | | $ | (95) | | $ | 0 | | $ | (13) | | $ | 4,308 | |
Mortgage servicing rights (MSRs)(3) | 336 | | | | | | 433 | |
| Total intangible assets | $ | 4,747 | | | | | | $ | 4,741 | |
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net carrying amount at December 31, 2021 | Acquisitions/renewals/
divestitures | Amortization | Impairments | FX translation and other | Net carrying amount at March 31, 2022 |
Purchased credit card relationships(1) | $ | 1,231 | | $ | — | | $ | (36) | | $ | — | | $ | — | | $ | 1,195 | |
Credit card contract-related intangibles(2) | 2,540 | | — | | (38) | | — | | — | | 2,502 | |
| Core deposit intangibles | — | | — | | — | | — | | — | | — | |
| Other customer relationships | 124 | | 2 | | (7) | | — | | (4) | | 115 | |
| Present value of future profits | 2 | | — | | — | | — | | — | | 2 | |
| Indefinite-lived intangible assets | 183 | | — | | — | | — | | 5 | | 188 | |
| Other | 11 | | 3 | | (13) | | — | | (1) | | — | |
| Intangible assets (excluding MSRs) | $ | 4,091 | | $ | 5 | | $ | (94) | | $ | — | | $ | — | | $ | 4,002 | |
Mortgage servicing rights (MSRs)(3) | 404 | | | | | | 520 | |
| Total intangible assets | $ | 4,495 | | | | | | $ | 4,522 | |
(1)Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract-related intangibles, and includeincludes credit card accounts primarily in the Costco, Macy’s and Sears portfolios.
(2)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represented 97% and 96% of the aggregate net carrying amount at both March 31, 20212022 and December 31, 2020, respectively.2021.
(3)ForSee Note 18 for additional information on Citi’s MSRs, including the rollforward for the three months ended March 31, 2021, see Note 18 to the Consolidated Financial Statements.2022.
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 2020 Annual Report on2021 Form 10-K.
Short-Term Borrowings
| | | | | | | | | |
| In millions of dollars | March 31,
2021 | December 31,
2020 |
| Commercial paper | | | |
Bank(1) | $ | 10,026 | | $ | 10,022 | | |
Broker-dealer and other(2) | 6,995 | | 7,988 | | |
| Total commercial paper | $ | 17,021 | | $ | 18,010 | | |
Other borrowings(3) | 15,066 | | 11,504 | | |
| Total | $ | 32,087 | | $ | 29,514 | | |
| | | | | | | | | |
| In millions of dollars | March 31,
2022 | December 31,
2021 |
| Commercial paper | | | |
Bank(1) | $ | 9,050 | | $ | 9,026 | | |
Broker-dealer and other(2) | 10,181 | | 6,992 | | |
| Total commercial paper | $ | 19,231 | | $ | 16,018 | | |
Other borrowings(3) | 10,913 | | 11,955 | | |
| Total | $ | 30,144 | | $ | 27,973 | | |
(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 March 31, 20212022 and December 31, 2020,2021, there were no collateralized short-term advances from the Federal Home Loan Banks were $4.0 billion and $4.0 billion, respectively.Banks.
Long-Term Debt
| | | | | | | | |
| In millions of dollars | March 31,
2021 | December 31, 2020 |
Citigroup Inc.(1) | $ | 164,099 | | $ | 170,563 | |
Bank(2) | 36,488 | | 44,742 | |
Broker-dealer and other(3) | 55,748 | | 56,381 | |
| Total | $ | 256,335 | | $ | 271,686 | |
| | | | | | | | |
| In millions of dollars | March 31,
2022 | December 31, 2021 |
Citigroup Inc.(1) | $ | 170,142 | | $ | 164,945 | |
Bank(2) | 19,283 | | 23,567 | |
Broker-dealer and other(3) | 64,529 | | 65,862 | |
| Total | $ | 253,954 | | $ | 254,374 | |
(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At March 31, 20212022 and December 31, 2020,2021, collateralized long-term advances from the Federal Home Loan Banks were $10.9$1.0 billion and $10.9$5.3 billion, respectively.
(3)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company. Certain Citigroup consolidated hedging activities are also included in this line.
Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $1.6 billion and $1.7 billion at both March 31, 20212022 and December 31, 2020.2021, respectively.
The following table summarizes Citi’s outstanding trust preferred securities at March 31, 2021:2022:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Junior subordinated debentures owned by trust |
| Trust | Issuance
date | Securities
issued | Liquidation value(1) | Coupon rate(2) | Common
shares
issued
to parent | Amount | Maturity | Redeemable
by issuer
beginning |
In millions of dollars, except securities and share amounts | | | | | | |
| Citigroup Capital III | Dec. 1996 | 194,053 | | $ | 194 | | 7.625 | % | 6,003 | | $ | 200 | | Dec. 1, 2036 | Not redeemable |
| Citigroup Capital XIII | Sept. 2010 | 89,840,000 | | 2,246 | | 3 mo. LIBOR + 637 bps | 1,000 | | 2,246 | | Oct. 30, 2040 | Oct. 30, 2015 |
| Citigroup Capital XVIII | Jun. 2007 | 99,901 | | 138 | | 3 mo. sterling LIBOR + 88.75 bps | 50 | | 138 | | Jun. 28, 2067 | Jun. 28, 2017 |
| Total obligated | | | $ | 2,578 | | | | $ | 2,584 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Junior subordinated debentures owned by trust |
| Trust | Issuance
date | Securities
issued | Liquidation value(1) | Coupon rate(2) | Common
shares
issued
to parent | Amount | Maturity | Redeemable
by issuer
beginning |
| In millions of dollars, except securities and share amounts | | | | | | |
| Citigroup Capital III | Dec. 1996 | 194,053 | | $ | 194 | | 7.625 | % | 6,003 | | $ | 200 | | Dec. 1, 2036 | Not redeemable |
| Citigroup Capital XIII | Sept. 2010 | 89,840,000 | | 2,246 | | 3 mo. LIBOR + 637 bps | 1,000 | | 2,246 | | Oct. 30, 2040 | Oct. 30, 2015 |
| | | | | | | | |
| Total obligated | | | $ | 2,440 | | | | $ | 2,446 | | | |
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. This differs from Citi’s balance sheet carrying value due primarily to unamortized discount and issuance costs.
(2)In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.
17. CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)
Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows:
Three Months Ended March 31, 20212022
| | In millions of dollars | In millions of dollars | Net
unrealized
gains (losses)
on debt securities | Debt valuation adjustment (DVA)(1) | Cash flow hedges(2) | Benefit plans(3) | Foreign
currency
translation
adjustment (CTA), net of hedges(4) | Excluded component of fair value hedges | Accumulated
other
comprehensive income (loss) | In millions of dollars | Net
unrealized
gains (losses)
on debt securities | Debt valuation adjustment (DVA)(1) | Cash flow hedges(2) | Benefit plans(3) | Foreign
currency
translation
adjustment (CTA), net of hedges(4)(5) | Excluded component of fair value hedges | Accumulated
other
comprehensive income (loss) |
| | Balance, December 31, 2020 | $ | 3,320 | | $ | (1,419) | | $ | 1,593 | | $ | (6,864) | | $ | (28,641) | | $ | (47) | | $ | (32,058) | | |
| Balance, December 31, 2021 | | Balance, December 31, 2021 | $ | (614) | | $ | (1,187) | | $ | 101 | | $ | (5,852) | | $ | (31,166) | | $ | (47) | | $ | (38,765) | |
| Other comprehensive income before
reclassifications | Other comprehensive income before
reclassifications | (1,519) | | (84) | | (344) | | 653 | | (1,274) | | (10) | | (2,578) | | Other comprehensive income before
reclassifications | (4,283) | | 793 | | (1,324) | | 292 | | (14) | | 46 | | (4,490) | |
Increase (decrease) due to amounts reclassified from AOCI | Increase (decrease) due to amounts reclassified from AOCI | (266) | | 42 | | (212) | | 61 | | 0 | | 0 | | (375) | | Increase (decrease) due to amounts reclassified from AOCI | 6 | | — | | (217) | | (121) | | — | | 2 | | (330) | |
Change, net of taxes | Change, net of taxes | $ | (1,785) | | $ | (42) | | $ | (556) | | $ | 714 | | $ | (1,274) | | $ | (10) | | $ | (2,953) | | Change, net of taxes | $ | (4,277) | | $ | 793 | | $ | (1,541) | | $ | 171 | | $ | (14) | | $ | 48 | | $ | (4,820) | |
| Balance at March 31, 2021 | $ | 1,535 | | $ | (1,461) | | $ | 1,037 | | $ | (6,150) | | $ | (29,915) | | $ | (57) | | $ | (35,011) | | |
| Balance at March 31, 2022 | | Balance at March 31, 2022 | $ | (4,891) | | $ | (394) | | $ | (1,440) | | $ | (5,681) | | $ | (31,180) | | $ | 1 | | $ | (43,585) | |
|
Three Months Ended March 31, 20202021
| | | | | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net
unrealized
gains (losses)
on investment securities | Debt valuation adjustment (DVA)(1) | Cash flow hedges(2) | Benefit plans(3) | Foreign
currency
translation
adjustment (CTA), net of hedges(4) | Excluded component of fair value hedges | Accumulated
other
comprehensive income (loss) |
| | | | | | | |
| Balance, December 31, 2019 | $ | (265) | | $ | (944) | | $ | 123 | | $ | (6,809) | | $ | (28,391) | | $ | (32) | | $ | (36,318) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Other comprehensive income before
reclassifications | 3,417 | | 3,116 | | 1,898 | | (344) | | (4,109) | | 27 | | 4,005 | |
Increase (decrease) due to amounts reclassified from AOCI | (289) | | 24 | | (1) | | 58 | | 0 | | 0 | | (208) | |
Change, net of taxes | $ | 3,128 | | $ | 3,140 | | $ | 1,897 | | $ | (286) | | $ | (4,109) | | $ | 27 | | $ | 3,797 | |
| Balance at March 31, 2020 | $ | 2,863 | | $ | 2,196 | | $ | 2,020 | | $ | (7,095) | | $ | (32,500) | | $ | (5) | | $ | (32,521) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net
unrealized
gains (losses)
on investment securities | Debt valuation adjustment (DVA)(1) | Cash flow hedges(2) | Benefit plans(3) | Foreign
currency
translation
adjustment (CTA), net of hedges(4) | Excluded component of fair value hedges | Accumulated
other
comprehensive income (loss) |
| | | | | | | |
| Balance, December 31, 2020 | $ | 3,320 | | $ | (1,419) | | $ | 1,593 | | $ | (6,864) | | $ | (28,641) | | $ | (47) | | $ | (32,058) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Other comprehensive income before
reclassifications | (1,519) | | (84) | | (344) | | 653 | | (1,274) | | (10) | | (2,578) | |
Increase (decrease) due to amounts reclassified from AOCI | (266) | | 42 | | (212) | | 61 | | — | | — | | (375) | |
Change, net of taxes | $ | (1,785) | | $ | (42) | | $ | (556) | | $ | 714 | | $ | (1,274) | | $ | (10) | | $ | (2,953) | |
| Balance at March 31, 2021 | $ | 1,535 | | $ | (1,461) | | $ | 1,037 | | $ | (6,150) | | $ | (29,915) | | $ | (57) | | $ | (35,011) | |
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(1)Reflects the after-tax valuation of Citi’s fair value optionsoption liabilities. See “Market Valuation Adjustments” in Note 20 to the Consolidated Financial Statements.20.
(2)Primarily driven by Citigroup’sCiti’s pay fixed/floating/receive floatingfixed interest rate swap programs that hedge thecertain floating rates on liabilities.assets.
(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 Brazilian real, Japanese yen, Mexican peso, South Korean won, Euro, Chilean peso and Indian rupee against the U.S. dollar and changes in related tax effects and hedges for the three months ended March 31, 2022. Primarily reflects the movements in (by order of impact) the Mexican peso, Euro, South Korean won, Japanese yen, Polish zloty and Brazilian real against the U.S. dollar and changes in related tax effects and hedges for the three months ended March 31, 2021. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Australian dollar, South Korean won and Chilean peso against the U.S. dollar and changes in related tax effects and hedges for the three months ended March 31, 2020. Amounts recorded in the CTA component of AOCI remain in AOCI until the sale or substantial liquidation of the foreign entity, at which point such amounts related to the foreign entity are reclassified into earnings.
(5)March 31, 2022 includes an approximate $475 million (after-tax) ($625 million pretax) currency translation adjustment (CTA) loss (net of hedges) associated with Citi’s agreement to sell its consumer banking business in Australia (see Note 2). The loss on sale primarily reflects the impact of the CTA loss (net of hedges) already reflected in AOCI. Upon closing, the CTA-related balance will be removed from AOCI, resulting in a neutral impact from CTA to Citi’s Common Equity Tier 1 Capital.
The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Three Months Ended March 31, 20212022
| | | | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-tax |
| | | |
| Balance, December 31, 2020 | $ | (36,992) | | $ | 4,934 | | $ | (32,058) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | (2,427) | | 642 | | (1,785) | |
| Debt valuation adjustment (DVA) | (38) | | (4) | | (42) | |
| Cash flow hedges | (729) | | 173 | | (556) | |
| Benefit plans | 907 | | (193) | | 714 | |
| Foreign currency translation adjustment | (1,339) | | 65 | | (1,274) | |
| Excluded component of fair value hedges | (13) | | 3 | | (10) | |
| Change | $ | (3,639) | | $ | 686 | | $ | (2,953) | |
| Balance at March 31, 2021 | $ | (40,631) | | $ | 5,620 | | $ | (35,011) | |
| | | |
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| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-tax |
| | | |
| Balance, December 31, 2021 | $ | (45,383) | | $ | 6,618 | | $ | (38,765) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | (5,624) | | 1,347 | | (4,277) | |
| Debt valuation adjustment (DVA) | 1,050 | | (257) | | 793 | |
| Cash flow hedges | (2,022) | | 481 | | (1,541) | |
| Benefit plans | 177 | | (6) | | 171 | |
| Foreign currency translation adjustment | (69) | | 55 | | (14) | |
| Excluded component of fair value hedges | 64 | | (16) | | 48 | |
| Change | $ | (6,424) | | $ | 1,604 | | $ | (4,820) | |
| Balance at March 31, 2022 | $ | (51,807) | | $ | 8,222 | | $ | (43,585) | |
| | | |
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| | | |
| | | |
| | | |
| | | |
| | | |
Three Months Ended March 31, 2020
| | | | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-tax |
| | | |
| Balance, December 31, 2019 | $ | (42,772) | | $ | 6,454 | | $ | (36,318) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | 4,121 | | (993) | | 3,128 | |
| Debt valuation adjustment (DVA) | 4,188 | | (1,048) | | 3,140 | |
| Cash flow hedges | 2,484 | | (587) | | 1,897 | |
| Benefit plans | (418) | | 132 | | (286) | |
| Foreign currency translation adjustment | (4,055) | | (54) | | (4,109) | |
| Excluded component of fair value hedges | 33 | | (6) | | 27 | |
| Change | $ | 6,353 | | $ | (2,556) | | $ | 3,797 | |
| Balance, March 31, 2020 | $ | (36,419) | | $ | 3,898 | | $ | (32,521) | |
| | | |
| | | |
| | | |
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| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-tax |
| | | |
| Balance, December 31, 2020 | $ | (36,992) | | $ | 4,934 | | $ | (32,058) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | (2,427) | | 642 | | (1,785) | |
| Debt valuation adjustment (DVA) | (38) | | (4) | | (42) | |
| Cash flow hedges | (729) | | 173 | | (556) | |
| Benefit plans | 907 | | (193) | | 714 | |
| Foreign currency translation adjustment | (1,339) | | 65 | | (1,274) | |
| Excluded component of fair value hedges | (13) | | 3 | | (10) | |
| Change | $ | (3,639) | | $ | 686 | | $ | (2,953) | |
| Balance, March 31, 2021 | $ | (40,631) | | $ | 5,620 | | $ | (35,011) | |
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The Company recognized pretax gains (losses)(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 |
| Three Months Ended March 31, | |
| In millions of dollars | 2021 | 2020 | | |
| Realized (gains) losses on sales of investments | $ | (401) | | $ | (432) | | | |
| Gross impairment losses | 69 | | 52 | | | |
| Subtotal, pretax | $ | (332) | | $ | (380) | | | |
| Tax effect | 66 | | 91 | | | |
Net realized (gains) losses on investments after-tax(1) | $ | (266) | | $ | (289) | | | |
| Realized DVA (gains) losses on fair value option liabilities, pretax | $ | 56 | | $ | 32 | | | |
| Tax effect | (14) | | (8) | | | |
| Net realized debt valuation adjustment, after-tax | $ | 42 | | $ | 24 | | | |
| Interest rate contracts | $ | (278) | | $ | (3) | | | |
| Foreign exchange contracts | 1 | | 1 | | | |
| Subtotal, pretax | $ | (277) | | $ | (2) | | | |
| Tax effect | 65 | | 1 | | | |
Amortization of cash flow hedges, after-tax(2) | $ | (212) | | $ | (1) | | | |
| Amortization of unrecognized: | | | | |
| Prior service cost (benefit) | $ | (6) | | $ | (3) | | | |
| Net actuarial loss | 87 | | 79 | | | |
Curtailment/settlement impact(3) | 0 | | 0 | | | |
| Subtotal, pretax | $ | 81 | | $ | 76 | | | |
| Tax effect | (20) | | (18) | | | |
Amortization of benefit plans, after-tax(3) | $ | 61 | | $ | 58 | | | |
| Excluded component of fair value hedges, pretax | $ | 0 | | $ | 0 | | | |
| Tax effect | 0 | | 0 | | | |
| Excluded component of fair value hedges, after-tax | $ | 0 | | $ | 0 | | | |
| Foreign currency translation adjustment, pretax | $ | 0 | | $ | 0 | | | |
| Tax effect | 0 | | 0 | | | |
| Foreign currency translation adjustment, after-tax | $ | 0 | | $ | 0 | | | |
Total amounts reclassified out of AOCI, pretax | $ | (472) | | $ | (274) | | | |
| Total tax effect | 97 | | 66 | | | |
Total amounts reclassified out of AOCI, after-tax | $ | (375) | | $ | (208) | | | |
| | | | | | | | | | |
| Increase (decrease) in AOCI due to
amounts reclassified to
Consolidated Statement of Income | | |
| Three Months Ended March 31, | |
| In millions of dollars | 2022 | 2021 | | |
| Realized (gains) losses on sales of investments | $ | (80) | | $ | (401) | | | |
| Gross impairment losses | 90 | | 69 | | | |
| Subtotal, pretax | $ | 10 | | $ | (332) | | | |
| Tax effect | (4) | | 66 | | | |
Net realized (gains) losses on investments after-tax(1) | $ | 6 | | $ | (266) | | | |
| Realized DVA (gains) losses on fair value option liabilities, pretax | $ | — | | $ | 56 | | | |
| Tax effect | — | | (14) | | | |
| Net realized DVA, after-tax | $ | — | | $ | 42 | | | |
| Interest rate contracts | $ | (286) | | $ | (278) | | | |
| Foreign exchange contracts | 1 | | 1 | | | |
| Subtotal, pretax | $ | (285) | | $ | (277) | | | |
| Tax effect | 68 | | 65 | | | |
Amortization of cash flow hedges, after-tax(2) | $ | (217) | | $ | (212) | | | |
| Amortization of unrecognized: | | | | |
| Prior service cost (benefit) | $ | (6) | | $ | (6) | | | |
| Net actuarial loss | 70 | | 87 | | | |
Curtailment/settlement impact(3) | (216) | | — | | | |
| Subtotal, pretax | $ | (152) | | $ | 81 | | | |
| Tax effect | 31 | | (20) | | | |
Amortization of benefit plans, after-tax(3) | $ | (121) | | $ | 61 | | | |
| Excluded component of fair value hedges, pretax | $ | 3 | | $ | — | | | |
| Tax effect | (1) | | — | | | |
| Excluded component of fair value hedges, after-tax | $ | 2 | | $ | — | | | |
| Foreign currency translation adjustment, pretax | $ | — | | $ | — | | | |
| Tax effect | — | | — | | | |
| Foreign currency translation adjustment, after-tax | $ | — | | $ | — | | | |
Total amounts reclassified out of AOCI, pretax | $ | (424) | | $ | (472) | | | |
| Total tax effect | 94 | | 97 | | | |
Total amounts reclassified out of AOCI, after-tax | $ | (330) | | $ | (375) | | | |
(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 2020 Annual Report on2021 Form 10-K.
Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests or has continuing involvement through servicing a majority of the assets in a VIE is presented below:
| | | As of March 31, 2021 | | As of March 31, 2022 |
| | | 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 | In millions of dollars | Total
involvement
with SPE
assets | Consolidated
VIE/SPE assets | Significant unconsolidated VIE assets(3) | Debt
investments | Equity
investments | Funding
commitments | Guarantees
and
derivatives | Total | In millions of dollars | Total
involvement
with SPE
assets | Consolidated
VIE/SPE assets | Significant unconsolidated VIE assets(3) | Debt
investments | Equity
investments | Funding
commitments | Guarantees
and
derivatives | Total |
| Credit card securitizations | Credit card securitizations | $ | 29,729 | | $ | 29,729 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Credit card securitizations | $ | 31,081 | | $ | 31,081 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
Mortgage securitizations(4) | Mortgage securitizations(4) | | | | | | | | | Mortgage securitizations(4) | | | | | | | | |
| U.S. agency-sponsored | U.S. agency-sponsored | 115,980 | | 0 | | 115,980 | | 1,645 | | 0 | | 0 | | 52 | | 1,697 | | U.S. agency-sponsored | 116,330 | | — | | 116,330 | | 1,653 | | — | | — | | 52 | | 1,705 | |
| Non-agency-sponsored | Non-agency-sponsored | 56,969 | | 862 | | 56,107 | | 2,724 | | 0 | | 5 | | 1 | | 2,730 | | Non-agency-sponsored | 58,449 | | 605 | | 57,844 | | 2,426 | | — | | 11 | | — | | 2,437 | |
| Citi-administered asset-backed commercial paper conduits | Citi-administered asset-backed commercial paper conduits | 16,493 | | 16,493 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Citi-administered asset-backed commercial paper conduits | 13,588 | | 13,588 | | — | | — | | — | | — | | — | | — | |
| Collateralized loan obligations (CLOs) | Collateralized loan obligations (CLOs) | 12,126 | | 0 | | 12,126 | | 4,015 | | 0 | | 0 | | 0 | | 4,015 | | Collateralized loan obligations (CLOs) | 7,315 | | — | | 7,315 | | 2,608 | | — | | — | | — | | 2,608 | |
Asset-based financing(5) | Asset-based financing(5) | 222,306 | | 7,776 | | 214,530 | | 27,004 | | 1,467 | | 10,626 | | 0 | | 39,097 | | Asset-based financing(5) | 260,573 | | 10,614 | | 249,959 | | 34,590 | | 1,112 | | 12,288 | | — | | 47,990 | |
| Municipal securities tender option bond trusts (TOBs) | Municipal securities tender option bond trusts (TOBs) | 3,324 | | 910 | | 2,414 | | 7 | | 0 | | 1,557 | | 0 | | 1,564 | | Municipal securities tender option bond trusts (TOBs) | 3,410 | | 886 | | 2,524 | | 21 | | — | | 1,736 | | — | | 1,757 | |
| Municipal investments | Municipal investments | 21,548 | | 0 | | 21,548 | | 2,663 | | 3,917 | | 3,063 | | 0 | | 9,643 | | Municipal investments | 20,961 | | 3 | | 20,958 | | 2,611 | | 3,593 | | 3,821 | | — | | 10,025 | |
| Client intermediation | Client intermediation | 1,177 | | 736 | | 441 | | 88 | | 0 | | 0 | | 56 | | 144 | | Client intermediation | 832 | | 392 | | 440 | | 66 | | — | | — | | 63 | | 129 | |
| Investment funds | Investment funds | 471 | | 150 | | 321 | | 2 | | 0 | | 14 | | 2 | | 18 | | Investment funds | 378 | | 89 | | 289 | | 2 | | — | | 15 | | 1 | | 18 | |
| Other | Other | 469 | | 0 | | 469 | | 169 | | 0 | | 50 | | 0 | | 219 | | Other | — | | — | | — | | — | | — | | — | | — | | — | |
| Total | Total | $ | 480,592 | | $ | 56,656 | | $ | 423,936 | | $ | 38,317 | | $ | 5,384 | | $ | 15,315 | | $ | 111 | | $ | 59,127 | | Total | $ | 512,917 | | $ | 57,258 | | $ | 455,659 | | $ | 43,977 | | $ | 4,705 | | $ | 17,871 | | $ | 116 | | $ | 66,669 | |
| | | As of December 31, 2020 | | As of December 31, 2021 |
| | | Maximum exposure to loss in significant unconsolidated VIEs(1) | | | Maximum exposure to loss in significant unconsolidated VIEs(1) |
| | Funded exposures(2) | Unfunded exposures | | | Funded exposures(2) | Unfunded exposures | |
| In millions of dollars | In millions of dollars | Total
involvement
with SPE
assets | Consolidated
VIE/SPE assets | Significant unconsolidated VIE assets(3) | Debt
investments | Equity
investments | Funding
commitments | Guarantees
and
derivatives | Total | In millions of dollars | Total
involvement
with SPE
assets | Consolidated
VIE/SPE assets | Significant unconsolidated VIE assets(3) | Debt
investments | Equity
investments | Funding
commitments | Guarantees
and
derivatives | Total |
| Credit card securitizations | Credit card securitizations | $ | 32,420 | | $ | 32,420 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Credit card securitizations | $ | 31,518 | | $ | 31,518 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
Mortgage securitizations(4) | Mortgage securitizations(4) | | | | | | | | | Mortgage securitizations(4) | | | | | | | | |
| U.S. agency-sponsored | U.S. agency-sponsored | 123,999 | | 0 | | 123,999 | | 1,948 | | 0 | | 0 | | 61 | | 2,009 | | U.S. agency-sponsored | 113,641 | | — | | 113,641 | | 1,582 | | — | | — | | 43 | | 1,625 | |
| Non-agency-sponsored | Non-agency-sponsored | 46,132 | | 939 | | 45,193 | | 2,550 | | 0 | | 2 | | 1 | | 2,553 | | Non-agency-sponsored | 60,851 | | 632 | | 60,219 | | 2,479 | | — | | 5 | | — | | 2,484 | |
| Citi-administered asset-backed commercial paper conduits | Citi-administered asset-backed commercial paper conduits | 16,730 | | 16,730 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Citi-administered asset-backed commercial paper conduits | 14,018 | | 14,018 | | — | | — | | — | | — | | — | | — | |
| Collateralized loan obligations (CLOs) | Collateralized loan obligations (CLOs) | 18,332 | | 0 | | 18,332 | | 4,273 | | 0 | | 0 | | 0 | | 4,273 | | Collateralized loan obligations (CLOs) | 8,302 | | — | | 8,302 | | 2,636 | | — | | — | | — | | 2,636 | |
Asset-based financing(5) | Asset-based financing(5) | 222,274 | | 8,069 | | 214,205 | | 25,153 | | 1,587 | | 9,114 | | 0 | | 35,854 | | Asset-based financing(5) | 246,632 | | 11,085 | | 235,547 | | 32,242 | | 1,139 | | 12,189 | | — | | 45,570 | |
| Municipal securities tender option bond trusts (TOBs) | Municipal securities tender option bond trusts (TOBs) | 3,349 | | 835 | | 2,514 | | 0 | | 0 | | 1,611 | | 0 | | 1,611 | | Municipal securities tender option bond trusts (TOBs) | 3,251 | | 905 | | 2,346 | | 2 | | — | | 1,498 | | — | | 1,500 | |
| Municipal investments | Municipal investments | 20,335 | | 0 | | 20,335 | | 2,569 | | 4,056 | | 3,041 | | 0 | | 9,666 | | Municipal investments | 20,597 | | 3 | | 20,594 | | 2,512 | | 3,617 | | 3,562 | | — | | 9,691 | |
| Client intermediation | Client intermediation | 1,352 | | 910 | | 442 | | 88 | | 0 | | 0 | | 56 | | 144 | | Client intermediation | 904 | | 297 | | 607 | | 75 | | — | | — | | 224 | | 299 | |
| Investment funds | Investment funds | 488 | | 153 | | 335 | | 0 | | 0 | | 15 | | 0 | | 15 | | Investment funds | 498 | | 179 | | 319 | | — | | — | | 12 | | 1 | | 13 | |
| Other | Other | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Other | — | | — | | — | | — | | — | | — | | — | | — | |
| Total | Total | $ | 485,411 | | $ | 60,056 | | $ | 425,355 | | $ | 36,581 | | $ | 5,643 | | $ | 13,783 | | $ | 118 | | $ | 56,125 | | Total | $ | 500,212 | | $ | 58,637 | | $ | 441,575 | | $ | 41,528 | | $ | 4,756 | | $ | 17,266 | | $ | 268 | | $ | 63,818 | |
(1) The definition of maximum exposure to loss is included in the text that follows this table.
(2) Included on Citigroup’s March 31, 20212022 and December 31, 20202021 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.
(5) Included within this line are loans to third-party sponsored private equity funds, which represent $78$100 billion and $78$100 billion in unconsolidated VIE assets and $407$498 million and $425$497 million in maximum exposure to loss as of March 31, 20212022 and December 31, 2020,2021, respectively.
The previous tables do not include:
•certain venture capital investments made by some of the Company’s private equity subsidiaries, as the Company accounts for these investments in accordance with the Investment Company Audit Guide (codified in ASC 946);
•certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;
•certain third-party sponsored private equity funds to which the Company provides secured credit facilities. The Company has no decision-making power and does not consolidate these funds, some of which may meet the definition of a VIE. The Company’s maximum exposure to loss is generally limited to a loan or lending-related commitment. As of March 31, 20212022 and December 31, 2020,2021, the Company’s maximum exposure to loss related to these deals was $59.3$54.8 billion and $57.0$55.6 billion, respectively (for more information on these positions, see Note 13 to the Consolidated Financial Statements and Note 26 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report on2021 Form 10-K);
•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(see Notes 12 and 20 for more information on these positions, see Notes 12 and 20 to the Consolidated Financial Statements)positions);
•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 $5.1 billion and $5.22 billion at March 31, 2021 and December 31, 2020, 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 formclassification of the asset (e.g., loan or security) and the Company’s standardassociated accounting policies for the asset type and line of business.model ascribed to that classification.
The asset balances for unconsolidated VIEs in which the Company has significant involvement represent the most current information available to the Company. In most cases, the asset balances represent an amortized cost basis without regard to impairments, unless fair value information is readily available to the Company.
The maximum funded exposure represents the balance sheet carrying amount of the Company’s investment in the VIE. It reflects the initial amount of cash invested in the VIE, adjusted for any accrued interest and cash principal payments received. The carrying amount may also be adjusted for increases or declines in fair value or any impairment in value recognized in earnings. The maximum exposure of unfunded positions represents the remaining undrawn committed amount, including liquidity and credit facilities provided by the Company or the notional amount of a derivative instrument considered to be a variable interest. In certain transactions, the Company has entered into derivative instruments or other arrangements that are not considered variable interests in the VIE (e.g., interest rate swaps, cross-currency swaps or where the Company is the purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE). Receivables under such arrangements are not included in the maximum exposure amounts.
Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments
The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above:
| | | March 31, 2021 | December 31, 2020 | | March 31, 2022 | December 31, 2021 |
| In millions of dollars | In millions of dollars | Liquidity
facilities | Loan/equity
commitments | Liquidity
facilities | Loan/equity
commitments | In millions of dollars | Liquidity
facilities | Loan/equity
commitments | Liquidity
facilities | Loan/equity
commitments |
| Non-agency-sponsored mortgage securitizations | Non-agency-sponsored mortgage securitizations | $ | 0 | | $ | 5 | | $ | 0 | | $ | 2 | | Non-agency-sponsored mortgage securitizations | $ | — | | $ | 11 | | $ | — | | $ | 5 | |
| Asset-based financing | Asset-based financing | 0 | | 10,626 | | 0 | | 9,114 | | Asset-based financing | — | | 12,288 | | — | | 12,189 | |
| Municipal securities tender option bond trusts (TOBs) | Municipal securities tender option bond trusts (TOBs) | 1,557 | | 0 | | 1,611 | | 0 | | Municipal securities tender option bond trusts (TOBs) | 1,736 | | — | | 1,498 | | — | |
| Municipal investments | Municipal investments | 0 | | 3,063 | | 0 | | 3,041 | | Municipal investments | — | | 3,821 | | — | | 3,562 | |
| Investment funds | Investment funds | 0 | | 14 | | 0 | | 15 | | Investment funds | — | | 15 | | — | | 12 | |
| Other | Other | 0 | | 50 | | 0 | | 0 | | Other | — | | — | | — | | — | |
| Total funding commitments | Total funding commitments | $ | 1,557 | | $ | 13,758 | | $ | 1,611 | | $ | 12,172 | | Total funding commitments | $ | 1,736 | | $ | 16,135 | | $ | 1,498 | | $ | 15,768 | |
Significant Interests in Unconsolidated VIEs—Balance Sheet Classification
The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs:
| | In billions of dollars | In billions of dollars | March 31, 2021 | December 31, 2020 | In billions of dollars | March 31, 2022 | December 31, 2021 |
| Cash | Cash | $ | 0 | | $ | 0 | | Cash | $ | — | | $ | — | |
| Trading account assets | Trading account assets | 1.8 | | 2.0 | | Trading account assets | 1.4 | | 1.4 | |
| Investments | Investments | 10.2 | | 10.6 | | Investments | 8.8 | | 8.8 | |
| Total loans, net of allowance | Total loans, net of allowance | 31.3 | | 29.3 | | Total loans, net of allowance | 37.6 | | 35.4 | |
| Other | Other | 0.4 | | 0.3 | | Other | 1.0 | | 0.8 | |
| Total assets | Total assets | $ | 43.7 | | $ | 42.2 | | Total assets | $ | 48.8 | | $ | 46.4 | |
Credit Card Securitizations
Substantially all of the Company’s credit card securitization activity is through 2 trusts—Citibank Credit Card Master Trust (Master Trust) and Citibank Omni Master Trust (Omni
Trust), with the substantial majority through the Master Trust. These trusts are consolidated entities.
The following table reflects amounts related to the Company’s securitized credit card receivables:
| | In billions of dollars | In billions of dollars | March 31, 2021 | December 31, 2020 | In billions of dollars | March 31, 2022 | December 31, 2021 |
Ownership interests in principal amount of trust credit card receivables | | Sold to investors via trust-issued securities | Sold to investors via trust-issued securities | $ | 12.1 | | $ | 15.7 | | Sold to investors via trust-issued securities | $ | 9.7 | | $ | 9.7 | |
| Retained by Citigroup as trust-issued securities | Retained by Citigroup as trust-issued securities | 7.6 | | 7.9 | | Retained by Citigroup as trust-issued securities | 6.5 | | 7.2 | |
| Retained by Citigroup via non-certificated interests | Retained by Citigroup via non-certificated interests | 12.1 | | 11.1 | | Retained by Citigroup via non-certificated interests | 16.2 | | 16.1 | |
| Total | Total | $ | 31.8 | | $ | 34.7 | | Total | $ | 32.4 | | $ | 33.0 | |
The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:
| | | | | | | | |
| Three Months Ended March 31, |
| In billions of dollars | 2021 | 2020 |
| Proceeds from new securitizations | $ | 0 | | $ | 0 | |
| Pay down of maturing notes | (3.6) | | 0 | |
| | |
| | | | | | | | | | |
| Three Months Ended March 31, | |
| In billions of dollars | 2022 | 2021 | | |
| Proceeds from new securitizations | $ | — | | $ | — | | | |
| Pay down of maturing notes | — | | (3.6) | | | |
| | | | |
Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was 3.53.3 years as of March 31, 20212022 and 2.93.6 years as of December 31, 2020.2021.
| | In billions of dollars | In billions of dollars | Mar. 31, 2021 | Dec. 31, 2020 | In billions of dollars | Mar. 31, 2022 | Dec. 31, 2021 |
| Term notes issued to third parties | Term notes issued to third parties | $ | 10.6 | | $ | 13.9 | | Term notes issued to third parties | $ | 8.4 | | $ | 8.4 | |
| Term notes retained by Citigroup affiliates | Term notes retained by Citigroup affiliates | 2.6 | | 2.7 | | Term notes retained by Citigroup affiliates | 1.7 | | 2.2 | |
| Total Master Trust liabilities | Total Master Trust liabilities | $ | 13.2 | | $ | 16.6 | | Total Master Trust liabilities | $ | 10.1 | | $ | 10.6 | |
Omni Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Omni Trust was 0.91.4 years as of March 31, 20212022 and 1.11.6 years as of December 31, 2020.2021.
| | In billions of dollars | In billions of dollars | Mar. 31, 2021 | Dec. 31, 2020 | In billions of dollars | Mar. 31, 2022 | Dec. 31, 2021 |
| Term notes issued to third parties | Term notes issued to third parties | $ | 1.5 | | $ | 1.8 | | Term notes issued to third parties | $ | 1.3 | | $ | 1.3 | |
| Term notes retained by Citigroup affiliates | Term notes retained by Citigroup affiliates | 5.0 | | 5.2 | | Term notes retained by Citigroup affiliates | 4.8 | | 5.0 | |
| Total Omni Trust liabilities | Total Omni Trust liabilities | $ | 6.5 | | $ | 7.0 | | Total Omni Trust liabilities | $ | 6.1 | | $ | 6.3 | |
The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:
| | | | | | | | | | | | | | |
| Three Months Ended March 31, |
| 2021 | 2020 |
| In billions of dollars | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages |
| Principal securitized | $ | 3.0 | | $ | 11.0 | | $ | 2.0 | | $ | 1.6 | |
| Proceeds from new securitizations | 3.2 | | 10.6 | | 2.1 | | 2.5 | |
| Purchases of previously transferred financial assets | 0.1 | | 0 | | 0 | | 0 | |
| | | | |
| |
| | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | | | | | | | | | | | |
| Three Months Ended March 31, |
| 2022 | 2021 |
| In billions of dollars | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages |
| Principal securitized | $ | 2.1 | | $ | 1.6 | | $ | 3.0 | | $ | 11.0 | |
| Proceeds from new securitizations | 2.0 | | 1.6 | | 3.2 | | 10.6 | |
| Contractual servicing fees received | — | | — | | — | | — | |
| Cash flows received on retained interests and other new cash flows | — | | — | | — | | — | |
| Purchases of previously transferred financial assets | — | | — | | 0.1 | | — | |
| | | | |
| |
| | |
| | | | |
| | | | |
| | | | |
| | | | |
Note: Excludes re-securitization transactions.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $1.1$0.3 million for the three months ended March 31, 2021.2022. For the three months ended March 31, 2021,2022, gains recognized on the securitization of non-agency sponsorednon-agency-sponsored mortgages were $166.2$39 million.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $3$1 million for the three months ended March 31, 2020.2021. Gains recognized on the securitization of non-agency sponsorednon-agency-sponsored mortgages were $39$166 million for the three months ended March 31, 2020.
| | | | | | | | | | | | | | | | | | | | |
| March 31, 2021 | December 31, 2020 |
| | Non-agency-sponsored mortgages(1) | | Non-agency-sponsored mortgages(1) |
| In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests(2) | Subordinated
interests | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
Carrying value of retained interests(3) | $ | 421 | | $ | 2,402 | | $ | 236 | | $ | 315 | | $ | 1,210 | | $ | 145 | |
| | | | | | | | | | | | | | | | | | | | |
| March 31, 2022 | December 31, 2021 |
| | Non-agency-sponsored mortgages(1) | | Non-agency-sponsored mortgages(1) |
| In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests(2) | Subordinated
interests | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
Carrying value of retained interests(3) | $ | 504 | | $ | 1,234 | | $ | 819 | | $ | 374 | | $ | 1,452 | | $ | 955 | |
(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2) Senior interests in non-agency-sponsored mortgages include $104$62 million related to personal loan securitizations at March 31, 2021.2022.
(3) Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 20 to the Consolidated Financial Statements for more information about fair value measurements.
Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:
| | | | | | | | | | | |
| Three Months Ended March 31, 2021 |
| |
| | Non-agency-sponsored mortgages(1) |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 8.8 | % | 0.2 | % | 3.2 | % |
| Weighted average constant prepayment rate | 5.8 | % | 0 | % | 12.5 | % |
Weighted average anticipated net credit losses(2) | NM | 0.4 | % | 1.7 | % |
| Weighted average life | 7.7 years | 0.8 years | NM |
| | | | Three Months Ended March 31, 2022 |
| | | | Non-agency-sponsored mortgages(1) |
| | | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | | Weighted average discount rate | 7.1 | % | 1.9 | % | 2.8 | % |
| Weighted average constant prepayment rate | | Weighted average constant prepayment rate | 3.3 | % | 6.2 | % | 11.9 | % |
Weighted average anticipated net credit losses(2) | | Weighted average anticipated net credit losses(2) | NM | 0.4 | % | 0.2 | % |
| Weighted average life | | Weighted average life | 8.3 years | 3.7 years | 4.6 years |
| | | | | | | Three Months Ended March 31, 2020 | |
| | | Three Months Ended March 31, 2021 |
| | | 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 rate | Weighted average discount rate | 8.5 | % | 1.3 | % | 0 | % | Weighted average discount rate | 8.8 | % | 0.2 | % | 3.2 | % |
| Weighted average constant prepayment rate | Weighted average constant prepayment rate | 25.7 | % | 0 | % | 0 | % | Weighted average constant prepayment rate | 5.8 | % | — | % | 12.5 | % |
Weighted average anticipated net credit losses(2) | Weighted average anticipated net credit losses(2) | NM | 1.6 | % | 0 | % | Weighted average anticipated net credit losses(2) | NM | 0.4 | % | 1.7 | % |
| Weighted average life | Weighted average life | 5.2 years | 4.2 years | NM | Weighted average life | 7.7 years | 0.8 years | NM |
| | | |
(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests. Key assumptions used in measuring the fair value of retained interests in securitizations of mortgage receivables at period end were as follows:
| | | | | | | | | | | |
| March 31, 2021 |
| |
| | Non-agency-sponsored mortgages(1) |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 7.6 | % | 2.8 | % | 10.6 | % |
| Weighted average constant prepayment rate | 11.0 | % | 4.0 | % | 4.7 | % |
Weighted average anticipated net credit losses(2) | NM | 1.0 | % | 1.5 | % |
| Weighted average life | 5.9 years | 0.3 years | 9.6 years |
| | | December 31, 2020 | | March 31, 2022 |
| | | | 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 rate | Weighted average discount rate | 5.9 | % | 7.2 | % | 4.3 | % | Weighted average discount rate | 4.9 | % | 9.3 | % | 4.9 | % |
| Weighted average constant prepayment rate | Weighted average constant prepayment rate | 22.7 | % | 5.3 | % | 4.7 | % | Weighted average constant prepayment rate | 8.5 | % | 9.6 | % | 10.0 | % |
Weighted average anticipated net credit losses(2) | Weighted average anticipated net credit losses(2) | NM | 1.2 | % | 1.4 | % | Weighted average anticipated net credit losses(2) | NM | 1.0 | % | 2.0 | % |
| Weighted average life | Weighted average life | 4.5 years | 5.3 years | 4.7 years | Weighted average life | 6.7 years | 7.0 years | 10.8 years |
| | | | | | | | | | | |
| December 31, 2021 |
| |
| | Non-agency-sponsored mortgages(1) |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 3.7 | % | 16.2 | % | 4.0 | % |
| Weighted average constant prepayment rate | 14.5 | % | 6.8 | % | 9.0 | % |
Weighted average anticipated net credit losses(2) | NM | 1.0 | % | 2.0 | % |
| Weighted average life | 5.1 years | 8.8 years | 18.0 years |
(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
The sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions is 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.
| | | | | | | | | | | |
| March 31, 2021 |
| | Non-agency-sponsored mortgages |
| In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Discount rate | | | |
| Adverse change of 10% | $ | (12) | | $ | 0 | | $ | 0 | |
| Adverse change of 20% | (23) | | 0 | | (1) | |
| Constant prepayment rate | | | |
| Adverse change of 10% | (20) | | 0 | | 0 | |
| Adverse change of 20% | (38) | | 0 | | 0 | |
| Anticipated net credit losses | | | |
| Adverse change of 10% | NM | 0 | | 0 | |
| Adverse change of 20% | NM | 0 | | 0 | |
| | | | | | | | | | | |
| December 31, 2020 |
| | Non-agency-sponsored mortgages |
| In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Discount rate | | | |
| Adverse change of 10% | $ | (8) | | $ | 0 | | $ | (1) | |
| Adverse change of 20% | (15) | | (1) | | (1) | |
| Constant prepayment rate | | | |
| Adverse change of 10% | (21) | | 0 | | 0 | |
| Adverse change of 20% | (40) | | 0 | | 0 | |
| Anticipated net credit losses | | | |
| Adverse change of 10% | NM | 0 | | 0 | |
| Adverse change of 20% | NM | 0 | | 0 | |
| | | | | | | | | | | |
| March 31, 2022 |
| | Non-agency-sponsored mortgages |
| In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Discount rate | | | |
| Adverse change of 10% | $ | (11) | | $ | — | | $ | — | |
| Adverse change of 20% | (22) | | — | | — | |
| Constant prepayment rate | | | |
| Adverse change of 10% | (16) | | — | | — | |
| Adverse change of 20% | (31) | | — | | — | |
| Anticipated net credit losses | | | |
| Adverse change of 10% | NM | — | | ��� | |
| Adverse change of 20% | NM | — | | — | |
| | | | | | | | | | | |
| December 31, 2021 |
| | Non-agency-sponsored mortgages |
| In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Discount rate | | | |
| Adverse change of 10% | $ | (6) | | $ | (1) | | $ | — | |
| Adverse change of 20% | (11) | | (1) | | — | |
| Constant prepayment rate | | | |
| Adverse change of 10% | (19) | | — | | — | |
| Adverse change of 20% | (37) | | — | | — | |
| Anticipated net credit losses | | | |
| Adverse change of 10% | NM | — | | — | |
| Adverse change of 20% | NM | — | | — | |
NM Anticipated 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 |
| Securitized assets | 90 days past due | | Three Months Ended March 31, |
| In billions of dollars, except liquidation losses in millions | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2021 | Dec. 31, 2020 | | | 2021 | 2020 |
| Securitized assets | | | | | | | | |
Residential mortgages(1) | $ | 17.4 | | $ | 16.9 | | $ | 0.4 | | $ | 0.5 | | | | $ | 1.5 | | $ | 11.0 | |
| Commercial and other | 24.6 | | 23.9 | | 0 | | 0 | | | | 0 | | 0 | |
| Total | $ | 42.0 | | $ | 40.8 | | $ | 0.4 | | $ | 0.5 | | | | $ | 1.5 | | $ | 11.0 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Liquidation losses | | |
| Securitized assets | 90 days past due | Three Months Ended March 31, | |
| In billions of dollars, except liquidation losses in millions | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2022 | Dec. 31, 2021 | 2022 | 2021 | | |
| Securitized assets | | | | | | | | |
Residential mortgages(1) | $ | 30.0 | | $ | 29.2 | | $ | 0.5 | | $ | 0.4 | | $ | 1.5 | | $ | 1.5 | | | |
| Commercial and other | 25.5 | | 26.2 | | — | | — | | — | | — | | | |
| Total | $ | 55.5 | | $ | 55.4 | | $ | 0.5 | | $ | 0.4 | | $ | 1.5 | | $ | 1.5 | | | |
(1) Securitized assets include $0.2 billion of personal loan securitizations as of March 31, 2021.2022.
Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $433$520 million and $367$433 million at March 31, 20212022 and 2020,2021, respectively. The MSRs correspond to principal loan balances of $52$58 billion and $59$52 billion as of March 31, 20212022 and 2020,2021, respectively. The following table summarizes the changes in capitalized MSRs:
| | | | | | | | |
| Three Months Ended March 31, |
| In millions of dollars | 2021 | 2020 |
| Balance, beginning of period | $ | 336 | | $ | 495 | |
| Originations | 43 | | 32 | |
| Changes in fair value of MSRs due to changes in inputs and assumptions | 73 | | (143) | |
Other changes(1) | (19) | | (17) | |
| Sales of MSRs | 0 | | 0 | |
| Balance, as of March 31 | $ | 433 | | $ | 367 | |
| | | | | | | | | | |
| Three Months Ended March 31, | |
| In millions of dollars | 2022 | 2021 | | |
| Balance, beginning of period | $ | 404 | | $ | 336 | | | |
| Originations | 34 | | 43 | | | |
| Changes in fair value of MSRs due to changes in inputs and assumptions | 98 | | 73 | | | |
Other changes(1) | (17) | | (19) | | | |
| Sales of MSRs | — | | — | | | |
| Balance, as of March 31 | $ | 520 | | $ | 433 | | | |
(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 March 31, |
| In millions of dollars | | | 2021 | 2020 |
| Servicing fees | | | $ | 31 | | $ | 39 | |
| Late fees | | | 1 | | 2 |
| Ancillary fees | | | 0 | | 0 |
| Total MSR fees | | | $ | 32 | | $ | 41 | |
| | | | | | | | | | |
| Three Months Ended March 31, | |
| In millions of dollars | 2022 | 2021 | | |
| Servicing fees | $ | 29 | | $ | 31 | | | |
| Late fees | 1 | | 1 | | | |
| Ancillary fees | — | | — | | | |
| Total MSR fees | $ | 30 | | $ | 32 | | | |
In the Consolidated Statement of Income these fees are primarily classified as Commissions and fees, and changes in MSR fair values are classified as Other revenue.
Re-securitizations
The Company engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. Citi did not transfer non-agency (private label) securities to re-securitization entities during the three months ended March 31, 20212022 and 2020.2021. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of March 31, 20212022 and December 31, 2020,2021, Citi held 0no retained interests in private label re-securitization transactions structured by Citi.
The Company also re-securitizes U.S. government-agency guaranteedgovernment-agency-guaranteed mortgage-backed (agency) securities. During the three months ended March 31, 2021,2022, Citi transferred agency securities with a fair value of approximately $13.1$9.3 billion to re-securitization entities, compared to approximately $7.4$13.1 billion for the three months ended March 31, 2020.2021.
As of March 31, 2021,2022, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $1.2 billion (including $335.0$300 million related to re-securitization transactions executed in 2021) compared2022) unchanged from to $1.6$1.2 billion as of December 31, 20202021 (including $916.0$641 million related to re-securitization transactions executed in 2020)2021), which is recorded in Trading account assets. The original fair values of agency re-securitization transactions in which Citi holds a retained interest as of March 31, 20212022 and December 31, 20202021 were approximately $76.2$80.3 billion and $83.6$78.4 billion, respectively.
As of March 31, 20212022 and December 31, 2020,2021, the Company did not consolidate any private label or agency re-securitization entities.
Citi-Administered Asset-Backed Commercial Paper Conduits
At March 31, 20212022 and December 31, 2020,2021, the commercial paper conduits administered by Citi had approximately $16.5$13.6 billion and $16.7$14 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $19.2$16.7 billion and $17.1$18.3 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At March 31, 20212022 and December 31, 2020,2021, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 6063 and 5470 days, respectively.
The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. Each asset purchased by the conduit is structured with transaction-specific credit enhancement features provided by the third-party client seller, including over-collateralization, cash and excess spread collateral accounts, direct recourse or third-party guarantees. These credit enhancements are sized with the objective of approximating a credit rating of A or above, based on Citi’s internal risk ratings. In addition to the transaction-specific credit enhancements, the conduits, other than the government-guaranteed loan conduit, have obtained letters of credit from the Company, which equal 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$1.2 billion and $1.5$1.3 billion as of March 31, 20212022 and December 31, 2020,2021, 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 March 31, 20212022 and December 31, 2020,2021, the Company owned $6.5$4.5 billion and $6.6$4.9 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 months ended March 31, 20212022 and 2020.2021. The following table summarizes selected retained interests related to Citigroup CLOs:
| | | | | | | | |
| In millions of dollars | Mar. 31, 2021 | Dec. 31, 2020 |
| Carrying value of retained interests | $ | 1,598 | | $ | 1,611 | |
| | | | | | | | |
| In millions of dollars | Mar. 31, 2022 | Dec. 31, 2021 |
| Carrying value of retained interests | $ | 921 | | $ | 921 | |
All of Citi’s retained interests were held-to-maturity securities as of March 31, 20212022 and December 31, 2020.2021.
Asset-Based Financing
The primary types of Citi’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement and Citi’s maximum exposure to loss are shown below. For Citi to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.
| | | | | | | | |
| March 31, 2021 |
| In millions of dollars | Total
unconsolidated
VIE assets | Maximum
exposure to
unconsolidated VIEs |
| Type | | |
| Commercial and other real estate | $ | 32,535 | | $ | 7,091 | |
| Corporate loans | 15,535 | | 10,742 | |
| Other (including investment funds, airlines and shipping) | 166,460 | | 21,264 | |
| Total | $ | 214,530 | | $ | 39,097 | |
| | | | | | | | |
| December 31, 2020 |
| In millions of dollars | Total
unconsolidated
VIE assets | Maximum
exposure to
unconsolidated VIEs |
| Type | | |
| Commercial and other real estate | $ | 34,570 | | $ | 7,758 | |
| Corporate loans | 12,022 | | 7,654 | |
| Other (including investment funds, airlines and shipping) | 167,613 | | 20,442 | |
| Total | $ | 214,205 | | $ | 35,854 | |
Municipal Securities Tender Option Bond (TOB) Trusts
At March 31, 20212022 and December 31, 2020,2021, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At March 31, 20212022 and December 31, 2020,2021, liquidity agreements provided with respect to customer TOB trusts totaled $1.6$1.8 billion and $1.6$1.5 billion, respectively, of which $0.8 billion and $0.8$0.6 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 $3$1.8 billion and $3.6$2 billion as of March 31, 20212022 and December 31, 2020,2021, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.
Asset-Based Financing
The primary types of Citi’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement and Citi’s maximum exposure to loss are shown below. For Citi to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.
| | | | | | | | | | | | | | |
| March 31, 2022 | December 31, 2021 |
| 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 | $ | 43,290 | | $ | 8,378 | | $ | 32,932 | | $ | 7,461 | |
| Corporate loans | 23,528 | | 14,404 | | 18,257 | | 12,581 | |
| Other (including investment funds, airlines and shipping) | 183,141 | | 25,208 | | 184,358 | | 25,528 | |
| Total | $ | 249,959 | | $ | 47,990 | | $ | 235,547 | | $ | 45,570 | |
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 2020 Annual Report on2021 Form 10-K.
Information pertaining to Citigroup’s derivatives 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. Citi’s derivative exposure arises primarily from
market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the transactions. Moreover, notional amounts do not reflect the netting of offsetting trades. For example, if Citi enters into a receive-fixed interest rate swap with $100 million notional, and offsets this risk with an identical but opposite pay-fixed position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimis overall market risk.
In addition, aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors.
Derivative Notionals
| | | | Hedging instruments under
ASC 815 | Trading derivative instruments | | Hedging instruments under ASC 815 | Trading derivative instruments |
| In millions of dollars | In millions of dollars | March 31,
2021 | December 31,
2020 | March 31,
2021 | December 31,
2020 | | In millions of dollars | March 31,
2022 | December 31,
2021 | March 31,
2022 | December 31,
2021 | |
| Interest rate contracts | Interest rate contracts | | | | | Interest rate contracts | | | | |
| Swaps | Swaps | $ | 292,103 | | $ | 334,351 | | $ | 20,393,789 | | $ | 17,724,147 | | | Swaps | $ | 347,532 | | $ | 267,035 | | $ | 23,502,556 | | $ | 21,873,538 | | |
| Futures and forwards | Futures and forwards | 0 | | 0 | | 5,605,982 | | 4,142,514 | | | Futures and forwards | — | | — | | 2,506,531 | | 2,383,702 | | |
| Written options | Written options | 0 | | 0 | | 1,596,927 | | 1,573,483 | | | Written options | — | | — | | 1,755,712 | | 1,584,451 | | |
| Purchased options | Purchased options | 0 | | 0 | | 1,519,811 | | 1,418,255 | | | Purchased options | — | | — | | 1,674,204 | | 1,428,376 | | |
| Total interest rate contracts | Total interest rate contracts | $ | 292,103 | | $ | 334,351 | | $ | 29,116,509 | | $ | 24,858,399 | | | Total interest rate contracts | $ | 347,532 | | $ | 267,035 | | $ | 29,439,003 | | $ | 27,270,067 | | |
| Foreign exchange contracts | Foreign exchange contracts | | | | | | Foreign exchange contracts | | | | | |
| Swaps | Swaps | $ | 60,364 | | $ | 65,709 | | $ | 6,569,793 | | $ | 6,567,304 | | | Swaps | $ | 51,450 | | $ | 47,298 | | $ | 6,661,315 | | $ | 6,288,193 | | |
| Futures, forwards and spot | Futures, forwards and spot | 34,459 | | 37,080 | | 4,632,191 | | 3,945,391 | | | Futures, forwards and spot | 52,058 | | 50,926 | | 4,030,636 | | 4,316,242 | | |
| Written options | Written options | 83 | | 47 | | 890,831 | | 907,338 | | | Written options | — | | — | | 835,410 | | 664,942 | | |
| Purchased options | Purchased options | 92 | | 53 | | 854,323 | | 900,626 | | | Purchased options | — | | — | | 813,452 | | 651,958 | | |
| Total foreign exchange contracts | Total foreign exchange contracts | $ | 94,998 | | $ | 102,889 | | $ | 12,947,138 | | $ | 12,320,659 | | | Total foreign exchange contracts | $ | 103,508 | | $ | 98,224 | | $ | 12,340,813 | | $ | 11,921,335 | | |
| Equity contracts | Equity contracts | | | | | | Equity contracts | | | | | |
| Swaps | Swaps | $ | 0 | | $ | 0 | | $ | 273,550 | | $ | 274,098 | | | Swaps | $ | — | | $ | — | | $ | 254,925 | | $ | 269,062 | | |
| Futures and forwards | Futures and forwards | 0 | | 0 | | 87,217 | | 67,025 | | | Futures and forwards | — | | — | | 78,957 | | 71,363 | | |
| Written options | Written options | 0 | | 0 | | 474,770 | | 441,003 | | | Written options | — | | — | | 499,900 | | 492,433 | | |
| Purchased options | Purchased options | 0 | | 0 | | 381,966 | | 328,202 | | | Purchased options | — | | — | | 404,963 | | 398,129 | | |
| Total equity contracts | Total equity contracts | $ | 0 | | $ | 0 | | $ | 1,217,503 | | $ | 1,110,328 | | | Total equity contracts | $ | — | | $ | — | | $ | 1,238,745 | | $ | 1,230,987 | | |
| Commodity and other contracts | Commodity and other contracts | | | | | | Commodity and other contracts | | | | | |
| Swaps | Swaps | $ | 0 | | $ | 0 | | $ | 86,953 | | $ | 80,127 | | | Swaps | $ | — | | $ | — | | $ | 108,594 | | $ | 91,962 | | |
| Futures and forwards | Futures and forwards | 1,340 | | 924 | | 155,094 | | 143,175 | | | Futures and forwards | 2,327 | | 2,096 | | 196,630 | | 157,195 | | |
| Written options | Written options | 0 | | 0 | | 75,989 | | 71,376 | | | Written options | — | | — | | 59,744 | | 51,224 | | |
| Purchased options | Purchased options | 0 | | 0 | | 73,052 | | 67,849 | | | Purchased options | — | | — | | 58,796 | | 47,868 | | |
| Total commodity and other contracts | Total commodity and other contracts | $ | 1,340 | | $ | 924 | | $ | 391,088 | | $ | 362,527 | | | Total commodity and other contracts | $ | 2,327 | | $ | 2,096 | | $ | 423,764 | | $ | 348,249 | | |
Credit derivatives(1) | Credit derivatives(1) | | | | | | Credit derivatives(1) | | | | | |
| Protection sold | Protection sold | $ | 0 | | $ | 0 | | $ | 609,231 | | $ | 543,607 | | | Protection sold | $ | — | | $ | — | | $ | 714,636 | | $ | 572,486 | | |
| Protection purchased | Protection purchased | 0 | | 0 | | 683,503 | | 612,770 | | | Protection purchased | — | | — | | 770,692 | | 645,996 | | |
| Total credit derivatives | Total credit derivatives | $ | 0 | | $ | 0 | | $ | 1,292,734 | | $ | 1,156,377 | | | Total credit derivatives | $ | — | | $ | — | | $ | 1,485,328 | | $ | 1,218,482 | | |
| Total derivative notionals | Total derivative notionals | $ | 388,441 | | $ | 438,164 | | $ | 44,964,972 | | $ | 39,808,290 | | | Total derivative notionals | $ | 453,367 | | $ | 367,355 | | $ | 44,927,653 | | $ | 41,989,120 | | |
(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 March 31, 20212022 and December 31, 2020.2021. 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 $250$430 billion and $280$340 billion as of March 31, 20212022 and December 31, 2020,2021, 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 March 31, 2021 | Derivatives classified in
Trading account assets/liabilities(1)(2) |
| Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities |
| Over-the-counter | $ | 1,326 | | $ | 44 | |
| Cleared | 5 | | 138 | |
| | |
| Interest rate contracts | $ | 1,331 | | $ | 182 | |
| Over-the-counter | $ | 1,310 | | $ | 1,689 | |
| | |
| | |
| Foreign exchange contracts | $ | 1,310 | | $ | 1,689 | |
| | |
| | |
| | |
| | |
| Total derivatives instruments designated as ASC 815 hedges | $ | 2,641 | | $ | 1,871 | |
| Derivatives instruments not designated as ASC 815 hedges | | |
| Over-the-counter | $ | 177,557 | | $ | 160,611 | |
| Cleared | 12,030 | | 14,425 | |
| Exchange traded | 65 | | 72 | |
| Interest rate contracts | $ | 189,652 | | $ | 175,108 | |
| Over-the-counter | $ | 137,979 | | $ | 135,353 | |
| Cleared | 889 | | 746 | |
| | |
| Foreign exchange contracts | $ | 138,868 | | $ | 136,099 | |
| Over-the-counter | $ | 25,396 | | $ | 36,140 | |
| Cleared | 30 | | 15 | |
| Exchange traded | 18,883 | | 20,016 | |
| Equity contracts | $ | 44,309 | | $ | 56,171 | |
| Over-the-counter | $ | 15,279 | | $ | 17,285 | |
| | |
| Exchange traded | 1,139 | | 1,394 | |
| Commodity and other contracts | $ | 16,418 | | $ | 18,679 | |
| Over-the-counter | $ | 8,199 | | $ | 7,723 | |
| Cleared | 2,427 | | 2,841 | |
| | |
| Credit derivatives | $ | 10,626 | | $ | 10,564 | |
| Total derivatives instruments not designated as ASC 815 hedges | $ | 399,873 | | $ | 396,621 | |
| Total derivatives | $ | 402,514 | | $ | 398,492 | |
Cash collateral paid/received(3) | $ | 21,388 | | $ | 22,945 | |
Less: Netting agreements(4) | (307,824) | | (307,824) | |
Less: Netting cash collateral received/paid(5) | (48,248) | | (53,215) | |
Net receivables/payables included on the Consolidated Balance Sheet(6) | $ | 67,830 | | $ | 60,398 | |
| Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | | |
| | |
| Less: Cash collateral received/paid | $ | (871) | | $ | (1,587) | |
| Less: Non-cash collateral received/paid | (6,466) | | (13,911) | |
Total net receivables/payables(6) | $ | 60,493 | | $ | 44,900 | |
| | | | | | | | |
| In millions of dollars at March 31, 2022 | Derivatives classified in
Trading account assets/liabilities(1)(2) |
| Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities |
| Over-the-counter | $ | 952 | | $ | 45 | |
| Cleared | 73 | | 287 | |
| | |
| Interest rate contracts | $ | 1,025 | | $ | 332 | |
| Over-the-counter | $ | 1,435 | | $ | 1,921 | |
| Cleared | 5 | | — | |
| | |
| Foreign exchange contracts | $ | 1,440 | | $ | 1,921 | |
| | |
| | |
| | |
| | |
| Total derivatives instruments designated as ASC 815 hedges | $ | 2,465 | | $ | 2,253 | |
| Derivatives instruments not designated as ASC 815 hedges | | |
| Over-the-counter | $ | 138,507 | | $ | 127,869 | |
| Cleared | 27,216 | | 26,671 | |
| Exchange traded | 294 | | 282 | |
| Interest rate contracts | $ | 166,017 | | $ | 154,822 | |
| Over-the-counter | $ | 151,970 | | $ | 146,513 | |
| Cleared | 449 | | 542 | |
| | |
| Foreign exchange contracts | $ | 152,419 | | $ | 147,055 | |
| Over-the-counter | $ | 22,691 | | $ | 27,205 | |
| Cleared | 26 | | 5 | |
| Exchange traded | 23,468 | | 24,616 | |
| Equity contracts | $ | 46,185 | | $ | 51,826 | |
| Over-the-counter | $ | 47,267 | | $ | 41,997 | |
| | |
| Exchange traded | 2,345 | | 3,302 | |
| Commodity and other contracts | $ | 49,612 | | $ | 45,299 | |
| Over-the-counter | $ | 8,117 | | $ | 7,787 | |
| Cleared | 3,126 | | 3,359 | |
| | |
| Credit derivatives | $ | 11,243 | | $ | 11,146 | |
| Total derivatives instruments not designated as ASC 815 hedges | $ | 425,476 | | $ | 410,148 | |
| Total derivatives | $ | 427,941 | | $ | 412,401 | |
| | |
Less: Netting agreements(3) | $ | (319,683) | | $ | (319,683) | |
Less: Netting cash collateral received/paid(4) | (29,269) | | (25,616) | |
Net receivables/payables included on the Consolidated Balance Sheet(5) | $ | 78,989 | | $ | 67,102 | |
Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet | | |
| | |
| Less: Cash collateral received/paid | $ | (905) | | $ | (603) | |
| Less: Non-cash collateral received/paid | (4,646) | | (14,112) | |
Total net receivables/payables(5) | $ | 73,438 | | $ | 52,387 | |
(1)The derivativesderivative fair values are also presented in Note 20 to the Consolidated Financial Statements.20.
(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 $74,603 million and $71,193 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $53,215 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $48,248 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $278$272 billion, $12$24 billion and $18$24 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(5)(4)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)(5)The net receivables/payables include approximately $11$10 billion of derivative asset and $10$14 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
| | In millions of dollars at December 31, 2020 | Derivatives classified in
Trading account assets/liabilities(1)(2) | |
| In millions of dollars at December 31, 2021 | | In millions of dollars at December 31, 2021 | Derivatives classified in
Trading account assets/liabilities(1)(2) |
| Derivatives instruments designated as ASC 815 hedges | Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities | Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities |
| Over-the-counter | Over-the-counter | $ | 1,781 | | $ | 161 | | Over-the-counter | $ | 1,167 | | $ | 6 | |
| Cleared | Cleared | 74 | | 319 | | Cleared | 122 | | 89 | |
| | Interest rate contracts | Interest rate contracts | $ | 1,855 | | $ | 480 | | Interest rate contracts | $ | 1,289 | | $ | 95 | |
| Over-the-counter | Over-the-counter | $ | 2,037 | | $ | 2,042 | | Over-the-counter | $ | 1,338 | | $ | 1,472 | |
| | Cleared | | Cleared | 6 | | — | |
| | Foreign exchange contracts | Foreign exchange contracts | $ | 2,037 | | $ | 2,042 | | Foreign exchange contracts | $ | 1,344 | | $ | 1,472 | |
| | Total derivatives instruments designated as ASC 815 hedges | Total derivatives instruments designated as ASC 815 hedges | $ | 3,892 | | $ | 2,522 | | Total derivatives instruments designated as ASC 815 hedges | $ | 2,633 | | $ | 1,567 | |
| Derivatives instruments not designated as ASC 815 hedges | Derivatives instruments not designated as ASC 815 hedges | | Derivatives instruments not designated as ASC 815 hedges | |
| Over-the-counter | Over-the-counter | $ | 228,519 | | $ | 209,330 | | Over-the-counter | $ | 152,524 | | $ | 138,114 | |
| Cleared | Cleared | 11,041 | | 12,563 | | Cleared | 11,579 | | 11,821 | |
| Exchange traded | Exchange traded | 46 | | 38 | | Exchange traded | 96 | | 44 | |
| Interest rate contracts | Interest rate contracts | $ | 239,606 | | $ | 221,931 | | Interest rate contracts | $ | 164,199 | | $ | 149,979 | |
| Over-the-counter | Over-the-counter | $ | 153,791 | | $ | 152,784 | | Over-the-counter | $ | 133,357 | | $ | 133,548 | |
| Cleared | Cleared | 842 | | 1,239 | | Cleared | 848 | | 278 | |
| Exchange traded | 0 | | 1 | | |
| | Foreign exchange contracts | Foreign exchange contracts | $ | 154,633 | | $ | 154,024 | | Foreign exchange contracts | $ | 134,205 | | $ | 133,826 | |
| Over-the-counter | Over-the-counter | $ | 29,244 | | $ | 41,036 | | Over-the-counter | $ | 23,452 | | $ | 28,352 | |
| Cleared | Cleared | 1 | | 18 | | Cleared | 19 | | — | |
| Exchange traded | Exchange traded | 21,274 | | 22,515 | | Exchange traded | 21,781 | | 21,332 | |
| Equity contracts | Equity contracts | $ | 50,519 | | $ | 63,569 | | Equity contracts | $ | 45,252 | | $ | 49,684 | |
| Over-the-counter | Over-the-counter | $ | 13,659 | | $ | 17,076 | | Over-the-counter | $ | 29,279 | | $ | 29,833 | |
| | Exchange traded | Exchange traded | 879 | | 1,017 | | Exchange traded | 1,065 | | 1,546 | |
| Commodity and other contracts | Commodity and other contracts | $ | 14,538 | | $ | 18,093 | | Commodity and other contracts | $ | 30,344 | | $ | 31,379 | |
| Over-the-counter | Over-the-counter | $ | 7,826 | | $ | 7,951 | | Over-the-counter | $ | 6,896 | | $ | 6,959 | |
| Cleared | Cleared | 1,963 | | 2,178 | | Cleared | 3,322 | | 4,056 | |
| | Credit derivatives | Credit derivatives | $ | 9,789 | | $ | 10,129 | | Credit derivatives | $ | 10,218 | | $ | 11,015 | |
| Total derivatives instruments not designated as ASC 815 hedges | Total derivatives instruments not designated as ASC 815 hedges | $ | 469,085 | | $ | 467,746 | | Total derivatives instruments not designated as ASC 815 hedges | $ | 384,218 | | $ | 375,883 | |
| Total derivatives | Total derivatives | $ | 472,977 | | $ | 470,268 | | Total derivatives | $ | 386,851 | | $ | 377,450 | |
Cash collateral paid/received(3) | $ | 32,778 | | $ | 8,196 | | |
| Less: Netting agreements(4)(3) | Less: Netting agreements(4)(3) | (364,879) | | (364,879) | | Less: Netting agreements(4)(3) | $ | (292,628) | | $ | (292,628) | |
Less: Netting cash collateral received/paid(5)(4) | Less: Netting cash collateral received/paid(5)(4) | (63,915) | | (45,628) | | Less: Netting cash collateral received/paid(5)(4) | (24,447) | | (29,306) | |
Net receivables/payables included on the Consolidated Balance Sheet(6)(5) | Net receivables/payables included on the Consolidated Balance Sheet(6)(5) | $ | 76,961 | | $ | 67,957 | | Net receivables/payables included on the Consolidated Balance Sheet(6)(5) | $ | 69,776 | | $ | 55,516 | |
| Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | | Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | |
| | Less: Cash collateral received/paid | Less: Cash collateral received/paid | $ | (1,567) | | $ | (473) | | Less: Cash collateral received/paid | $ | (907) | | $ | (538) | |
| Less: Non-cash collateral received/paid | Less: Non-cash collateral received/paid | (7,408) | | (13,087) | | Less: Non-cash collateral received/paid | (5,777) | | (13,607) | |
Total net receivables/payables(6)(5) | Total net receivables/payables(6)(5) | $ | 67,986 | | $ | 54,397 | | Total net receivables/payables(6)(5) | $ | 63,092 | | $ | 41,371 | |
(1)The derivativesderivative fair values are also presented in Note 20 to the Consolidated Financial Statements.20.
(2)Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(3)Reflects the net amount of the $78,406 million and $72,111 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $45,628 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $63,915 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $336$259 billion, $9$14 billion and $20 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(5)(4)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)(5)The net receivables/payables include approximately $6$10 billion of derivative asset and $8$11 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
For the three months ended March 31, 20212022 and 2020,2021, 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 |
| Three Months Ended March 31, | |
| In millions of dollars | 2021 | 2020 | | |
| Interest rate contracts | $ | (60) | | $ | 155 | | | |
| Foreign exchange | (21) | | 24 | | | |
| Total | $ | (81) | | $ | 179 | | | |
| | | | | | | | | | |
| | Gains (losses) included in
Other revenue |
| Three Months Ended March 31, | |
| In millions of dollars | 2022 | 2021 | | |
| Interest rate contracts | $ | 72 | | $ | (60) | | | |
| Foreign exchange | (77) | | (21) | | | |
| Total | $ | (5) | | $ | (81) | | | |
Fair Value Hedges
Hedging of Benchmark Interest Rate Risk
Citigroup’s fair value hedges are primarily hedges of fixed-rate long-term debt or assets, such as available-for-sale debt securities or loans.
For qualifying fair value hedges of interest rate risk, the changes in the fair value of the derivative and the change in the fair value of the hedged item attributable to the hedged risk are presented within Interest revenue or Interest expense based on whether the hedged item is an asset or a liability.
Citigroup has executed a last-of-layer hedge, which permits an entity to hedge the interest rate risk of a stated portion of a closed portfolio of prepayable financial assets that are expected to remain outstanding for the designated tenor of the hedge. In accordance with ASC 815, an entity may exclude prepayment risk when measuring the change in fair value of the hedged item attributable to interest rate risk under the last-of-layer approach. Similar to other fair value hedges, where the hedged item is an asset, the fair value of the hedged item attributable to interest rate risk will be presented in Interest revenue along with the change in the fair value of the hedging instrument.
Hedging of Foreign Exchange Risk
Citigroup hedges the change in fair value attributable to foreign exchange rate movements in available-for-sale debt securities and long-term debt that are denominated in currencies other than the functional currency of the entity holding the securities or issuing the debt. The hedging instrument is generally a forward foreign exchange contract or a cross-currency swap contract. Citigroup considers the premium associated with forward contracts (i.e., the differential between the spot and contractual forward rates) as the cost of hedging; this amount is excluded from the assessment of hedge effectiveness and is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in cross-currency basis associated with cross-currency swaps from the assessment of hedge effectiveness and records it in Other comprehensive income.
Hedging of Commodity Price Risk
Citigroup hedges the change in fair value attributable to spot price movements in physical commodities inventories. The hedging instrument is a futures contract to sell the underlying commodity. In this hedge, the change in the value of the hedged inventory is reflected in earnings, which offsets the change in the fair value of the futures contract that is also reflected in earnings. Although the change in the fair value of the hedging instrument recorded in earnings includes changes in forward rates, Citigroup excludes the differential between the spot and the contractual forward rates under the futures contract from the assessment of hedge effectiveness, and it is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in forward rates from the assessment of hedge effectiveness and records it in Other comprehensive income.
The following table summarizes the gains (losses) on the Company’s fair value hedges:
| | | | | | | | | | | | | | | | | | |
| | Gains (losses) on fair value hedges(1) |
| Three Months Ended March 31, | |
| 2021 | 2020 | | |
| In millions of dollars | Other revenue | Net interest revenue | Other revenue | Net interest revenue | | | | |
| Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | | | | | | | | |
| Interest rate hedges | $ | 0 | | $ | (3,935) | | $ | 0 | | $ | 6,847 | | | | | |
| Foreign exchange hedges | (210) | | 0 | | (1,911) | | 0 | | | | | |
| Commodity hedges | (289) | | 0 | | 290 | | 0 | | | | | |
| Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | $ | (499) | | $ | (3,935) | | $ | (1,621) | | $ | 6,847 | | | | | |
| Gain (loss) on the hedged item in designated and qualifying fair value hedges | | | | | | | | |
| Interest rate hedges | $ | 0 | | $ | 3,826 | | $ | 0 | | $ | (6,815) | | | | | |
| Foreign exchange hedges | 210 | | 0 | | 1,911 | | 0 | | | | | |
| Commodity hedges | 289 | | 0 | | (290) | | 0 | | | | | |
| Total gain (loss) on the hedged item in designated and qualifying fair value hedges | $ | 499 | | $ | 3,826 | | $ | 1,621 | | $ | (6,815) | | | | | |
Net gain (loss) on the hedging derivatives excluded from
assessment of the effectiveness of fair value hedges | | | | | | | | |
| Interest rate hedges | $ | 0 | | $ | (4) | | $ | 0 | | $ | (5) | | | | | |
Foreign exchange hedges(2) | 4 | | 0 | | (58) | | 0 | | | | | |
| Commodity hedges | (22) | | 0 | | (25) | | 0 | | | | | |
| Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges | $ | (18) | | $ | (4) | | $ | (83) | | $ | (5) | | | | | |
| | | | | | | | | | | | | | | | | | |
| | Gains (losses) on fair value hedges(1) |
| Three Months Ended March 31, | |
| 2022 | 2021 | | |
| In millions of dollars | Other revenue | Net interest income | Other revenue | Net interest income | | | | |
| Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | | | | | | | | |
| Interest rate hedges | $ | — | | $ | (4,666) | | $ | — | | $ | (3,935) | | | | | |
| Foreign exchange hedges | (425) | | — | | (210) | | — | | | | | |
| Commodity hedges | 872 | | — | | (289) | | — | | | | | |
| Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | $ | 447 | | $ | (4,666) | | $ | (499) | | $ | (3,935) | | | | | |
| Gain (loss) on the hedged item in designated and qualifying fair value hedges | | | | | | | | |
| Interest rate hedges | $ | — | | $ | 4,597 | | $ | — | | $ | 3,826 | | | | | |
| Foreign exchange hedges | 424 | | — | | 210 | | — | | | | | |
| Commodity hedges | (872) | | — | | 289 | | — | | | | | |
| Total gain (loss) on the hedged item in designated and qualifying fair value hedges | $ | (448) | | $ | 4,597 | | $ | 499 | | $ | 3,826 | | | | | |
Net gain (loss) on the hedging derivatives excluded from
assessment of the effectiveness of fair value hedges | | | | | | | | |
| Interest rate hedges | $ | — | | $ | (6) | | $ | — | | $ | (4) | | | | | |
Foreign exchange hedges(2) | 31 | | — | | 4 | | — | | | | | |
| Commodity hedges | 49 | | — | | (22) | | — | | | | | |
| Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges | $ | 80 | | $ | (6) | | $ | (18) | | $ | (4) | | | | | |
(1)Gain (loss) amounts for interest rate risk hedges are included in Interest income/Interest expense. The accrued interest income on fair value hedges is recorded in Net interest revenueincome and is excluded from this table.
(2)Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings. Amounts related to cross-currency basis, which are recognized in AOCI, are not reflected in the table above. The amount of cross-currency basis included in AOCI was $(13)$64 million and $33$(13) million for the three months ended March 31, 20212022 and 2020,2021, 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. This cumulative hedge basis adjustment becomes part of the carrying value of the hedged item until the hedged item is derecognized from the balance sheet. The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at March 31, 20212022 and December 31, 2020,2021, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities, that would reverse through earnings in future periods.
| | | | | | | | | | | |
| In millions of dollars |
| Balance sheet line item in which hedged item is recorded | Carrying amount of hedged asset/ liability | Cumulative fair value hedging adjustment increasing (decreasing) the carrying amount |
| Active | De-designated |
| As of March 31, 2021 | | |
Debt securities AFS(1)(3) | $ | 79,663 | | $ | (127) | | $ | 61 | |
| Long-term debt | 157,408 | | 1,665 | | 4,400 | |
| As of December 31, 2020 | | |
Debt securities AFS(2)(3) | $ | 81,082 | | $ | 28 | | $ | 342 | |
| Long-term debt | 169,026 | | 5,554 | | 4,989 | |
| | | | | | | | | | | |
| In millions of dollars |
| Balance sheet line item in which hedged item is recorded | Carrying amount of hedged asset/ liability | Cumulative fair value hedging adjustment increasing (decreasing) the carrying amount |
| Active | De-designated |
| As of March 31, 2022 | | |
Debt securities AFS(1)(3) | $ | 118,112 | | $ | (774) | | $ | (17) | |
| Long-term debt | 152,347 | | (4,239) | | 3,197 | |
| As of December 31, 2021 | | |
Debt securities AFS(2)(3) | $ | 62,733 | | $ | 149 | | $ | 212 | |
| Long-term debt | 149,305 | | 623 | | 3,936 | |
(1)These amounts include a cumulative basis adjustment of $(64)$(322) million for active hedges and $(140)$(179) million for de-designated hedges as of March 31, 2021,2022, related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $7$8 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $36$34 billion as of March 31, 2021)2022) in a last-of-layer hedging relationship.
(2)These amounts include a cumulative basis adjustment of $(18)$24 million for active hedges and $62$(92) million for de-designated hedges as of December 31, 2020,2021, related to certain prepayable financial assets designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $3$6 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $19$25 billion as of December 31, 2020)2021) in a last-of-layer hedging relationship.
(3)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 March 31, 20212022 is approximately $1.1 billion.$200 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.17.
| | | | Three Months Ended March 31, | | | Three Months Ended March 31, | |
| In millions of dollars | In millions of dollars | 2021 | 2020 | | In millions of dollars | 2022 | 2021 | |
Amount of gain (loss) recognized in AOCI on derivatives | Amount of gain (loss) recognized in AOCI on derivatives | | | | Amount of gain (loss) recognized in AOCI on derivatives | | | |
| Interest rate contracts | Interest rate contracts | $ | (455) | | $ | 2,497 | | | Interest rate contracts | $ | (1,760) | | $ | (455) | | |
| Foreign exchange contracts | Foreign exchange contracts | 3 | | (11) | | | Foreign exchange contracts | 23 | | 3 | | |
Total gain (loss) recognized in AOCI | Total gain (loss) recognized in AOCI | $ | (452) | | $ | 2,486 | | | Total gain (loss) recognized in AOCI | $ | (1,737) | | $ | (452) | | |
|
| Other
revenue | Net interest
revenue | Other
revenue |
Net interest
revenue | |
| Other
revenue | Net interest
revenue | Other
revenue |
Net interest
revenue | |
Amount of gain (loss) reclassified from AOCI to earnings(1) | Amount of gain (loss) reclassified from AOCI to earnings(1) | | | | | Amount of gain (loss) reclassified from AOCI to earnings(1) | | | | |
| Interest rate contracts | Interest rate contracts | $ | 0 | | $ | 278 | | $ | 0 | | $ | 3 | | | Interest rate contracts | $ | — | | $ | 286 | | $ | — | | $ | 278 | | |
| Foreign exchange contracts | Foreign exchange contracts | (1) | | 0 | | (1) | | 0 | | | Foreign exchange contracts | (1) | | — | | (1) | | — | | |
Total gain (loss) reclassified from AOCI into earnings | Total gain (loss) reclassified from AOCI into earnings | $ | (1) | | $ | 278 | | $ | (1) | | $ | 3 | | | Total gain (loss) reclassified from AOCI into earnings | $ | (1) | | $ | 286 | | $ | (1) | | $ | 278 | | |
Net pretax change in cash flow hedges included within AOCI | Net pretax change in cash flow hedges included within AOCI | | $ | (729) | | | $ | 2,484 | | | Net pretax change in cash flow hedges included within AOCI | | $ | (2,022) | | | $ | (729) | | |
(1)All amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest revenue)income). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest revenueincome in the Consolidated Statement of Income.
Net Investment Hedges
The pretax gain (loss) recorded in Foreign currency translation adjustment within AOCI, related to net investment hedges, was $557($195) million and $2,085$557 million for the three months ended March 31, 20212022 and 2020,2021, respectively.
Credit Derivatives
The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:
| | | | | | | | | | | | | | |
| Fair values | Notionals |
| In millions of dollars at March 31, 2021 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold |
| By industry of counterparty | | | | |
| Banks | $ | 2,886 | | $ | 3,402 | | $ | 126,799 | | $ | 123,430 | |
| Broker-dealers | 1,913 | | 1,269 | | 48,722 | | 46,866 | |
| Non-financial | 107 | | 95 | | 6,658 | | 2,789 | |
Insurance and other financial
institutions | 5,720 | | 5,798 | | 501,324 | | 436,146 | |
| Total by industry of counterparty | $ | 10,626 | | $ | 10,564 | | $ | 683,503 | | $ | 609,231 | |
| By instrument | | | | |
| Credit default swaps and options | $ | 9,647 | | $ | 10,020 | | $ | 667,075 | | $ | 602,994 | |
| Total return swaps and other | 979 | | 544 | | 16,428 | | 6,237 | |
| Total by instrument | $ | 10,626 | | $ | 10,564 | | $ | 683,503 | | $ | 609,231 | |
| By rating of reference entity | | | | |
| Investment grade | $ | 4,424 | | $ | 4,083 | | $ | 514,482 | | $ | 455,166 | |
| Non-investment grade | 6,202 | | 6,481 | | 169,021 | | 154,065 | |
| Total by rating of reference entity | $ | 10,626 | | $ | 10,564 | | $ | 683,503 | | $ | 609,231 | |
| By maturity | | | | |
| Within 1 year | $ | 1,186 | | $ | 1,237 | | $ | 148,225 | | $ | 133,828 | |
| From 1 to 5 years | 6,413 | | 6,419 | | 439,990 | | 396,443 | |
| After 5 years | 3,027 | | 2,908 | | 95,288 | | 78,960 | |
| Total by maturity | $ | 10,626 | | $ | 10,564 | | $ | 683,503 | | $ | 609,231 | |
| | | | | | | | | | | | | | |
| Fair values | Notionals |
| In millions of dollars at March 31, 2022 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold |
| By industry of counterparty | | | | |
| Banks | $ | 2,768 | | $ | 3,253 | | $ | 120,240 | | $ | 116,278 | |
| Broker-dealers | 2,396 | | 1,474 | | 48,553 | | 43,749 | |
| Non-financial | 101 | | 17 | | 2,578 | | 2,374 | |
Insurance and other financial
institutions | 5,978 | | 6,402 | | 599,321 | | 552,235 | |
| Total by industry of counterparty | $ | 11,243 | | $ | 11,146 | | $ | 770,692 | | $ | 714,636 | |
| By instrument | | | | |
| Credit default swaps and options | $ | 10,415 | | $ | 10,719 | | $ | 756,803 | | $ | 708,569 | |
| Total return swaps and other | 828 | | 427 | | 13,889 | | 6,067 | |
| Total by instrument | $ | 11,243 | | $ | 11,146 | | $ | 770,692 | | $ | 714,636 | |
| By rating of reference entity | | | | |
| Investment grade | $ | 4,244 | | $ | 3,846 | | $ | 612,115 | | $ | 559,959 | |
| Non-investment grade | 6,999 | | 7,300 | | 158,577 | | 154,677 | |
| Total by rating of reference entity | $ | 11,243 | | $ | 11,146 | | $ | 770,692 | | $ | 714,636 | |
| By maturity | | | | |
| Within 1 year | $ | 1,329 | | $ | 1,547 | | $ | 166,987 | | $ | 158,945 | |
| From 1 to 5 years | 7,110 | | 6,951 | | 496,438 | | 454,804 | |
| After 5 years | 2,804 | | 2,648 | | 107,267 | | 100,887 | |
| Total by maturity | $ | 11,243 | | $ | 11,146 | | $ | 770,692 | | $ | 714,636 | |
(1)The fair value amount receivable is composed of $4,166$5,310 million under protection purchased and $6,460$5,933 million under protection sold.
(2)The fair value amount payable is composed of $7,027$6,250 million under protection purchased and $3,537$4,896 million under protection sold.
| | | | Fair values | Notionals | | Fair values | Notionals |
| In millions of dollars at December 31, 2020 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold | |
| In millions of dollars at December 31, 2021 | | In millions of dollars at December 31, 2021 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold |
| By industry of counterparty | By industry of counterparty | | | | By industry of counterparty | | | |
| Banks | Banks | $ | 2,902 | | $ | 3,187 | | $ | 117,685 | | $ | 120,739 | | Banks | $ | 2,375 | | $ | 3,031 | | $ | 108,415 | | $ | 103,756 | |
| Broker-dealers | Broker-dealers | 1,770 | | 1,215 | | 46,928 | | 44,692 | | Broker-dealers | 1,962 | | 1,139 | | 44,364 | | 40,068 | |
| Non-financial | Non-financial | 109 | | 90 | | 5,740 | | 2,217 | | Non-financial | 113 | | 306 | | 2,785 | | 2,728 | |
Insurance and other financial
institutions | Insurance and other financial
institutions | 5,008 | | 5,637 | | 442,417 | | 375,959 | | Insurance and other financial
institutions | 5,768 | | 6,539 | | 490,432 | | 425,934 | |
| Total by industry of counterparty | Total by industry of counterparty | $ | 9,789 | | $ | 10,129 | | $ | 612,770 | | $ | 543,607 | | Total by industry of counterparty | $ | 10,218 | | $ | 11,015 | | $ | 645,996 | | $ | 572,486 | |
| By instrument | By instrument | | | | By instrument | | | |
| Credit default swaps and options | Credit default swaps and options | $ | 9,254 | | $ | 9,254 | | $ | 599,633 | | $ | 538,426 | | Credit default swaps and options | $ | 9,923 | | $ | 10,234 | | $ | 628,136 | | $ | 565,131 | |
| Total return swaps and other | Total return swaps and other | 535 | | 875 | | 13,137 | | 5,181 | | Total return swaps and other | 295 | | 781 | | 17,860 | | 7,355 | |
| Total by instrument | Total by instrument | $ | 9,789 | | $ | 10,129 | | $ | 612,770 | | $ | 543,607 | | Total by instrument | $ | 10,218 | | $ | 11,015 | | $ | 645,996 | | $ | 572,486 | |
| By rating of reference entity | By rating of reference entity | | | | By rating of reference entity | | | |
| Investment grade | Investment grade | $ | 4,136 | | $ | 4,037 | | $ | 478,643 | | $ | 418,147 | | Investment grade | $ | 4,149 | | $ | 4,258 | | $ | 511,652 | | $ | 448,944 | |
| Non-investment grade | Non-investment grade | 5,653 | | 6,092 | | 134,127 | | 125,460 | | Non-investment grade | 6,069 | | 6,757 | | 134,344 | | 123,542 | |
| Total by rating of reference entity | Total by rating of reference entity | $ | 9,789 | | $ | 10,129 | | $ | 612,770 | | $ | 543,607 | | Total by rating of reference entity | $ | 10,218 | | $ | 11,015 | | $ | 645,996 | | $ | 572,486 | |
| By maturity | By maturity | | | | By maturity | | | |
| Within 1 year | Within 1 year | $ | 914 | | $ | 1,355 | | $ | 134,080 | | $ | 125,464 | | Within 1 year | $ | 878 | | $ | 1,462 | | $ | 133,866 | | $ | 115,603 | |
| From 1 to 5 years | From 1 to 5 years | 6,022 | | 5,991 | | 421,682 | | 374,376 | | From 1 to 5 years | 6,674 | | 6,638 | | 454,617 | | 413,174 | |
| After 5 years | After 5 years | 2,853 | | 2,783 | | 57,008 | | 43,767 | | After 5 years | 2,666 | | 2,915 | | 57,513 | | 43,709 | |
| Total by maturity | Total by maturity | $ | 9,789 | | $ | 10,129 | | $ | 612,770 | | $ | 543,607 | | Total by maturity | $ | 10,218 | | $ | 11,015 | | $ | 645,996 | | $ | 572,486 | |
(1) The fair value amount receivable is composed of $3,514$3,705 million under protection purchased and $6,275$6,513 million under protection sold.
(2) The fair value amount payable is composed of $7,037$7,354 million under protection purchased and $3,092$3,661 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 March 31, 20212022 and December 31, 20202021 was $22$19 billion and $25$19 billion, respectively. The Company posted $19$16 billion and $22$16 billion as collateral for this exposure in the normal course of business as of March 31, 20212022 and December 31, 2020,2021, 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 3 major rating agencies as of March 31, 2021,2022, the Company could be required to post an additional $1$1.6 billion as either collateral or settlement of the derivative transactions. In addition, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $1$0.1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $2$1.7 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 $1.9$0.8 billion and $2.0$2.9 billion as of March 31, 20212022 and December 31, 2020,2021, respectively.
At March 31, 2021,2022, the fair value of these previously derecognized assets was $2.1$0.8 billion. The fair value of the total return swaps as of March 31, 20212022 was $252$30 million recorded as gross derivative assets and $22$5 million recorded as gross derivative liabilities. At December 31, 2020,2021, the fair value of these previously derecognized assets was $2.2$2.9 billion, and the fair value of the total return swaps was $135$13 million recorded as gross derivative assets and $7$58 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 2020 Annual Report on2021 Form 10-K.
Market Valuation Adjustments
The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments at March 31, 20212022 and December 31, 2020:2021:
| | | | | | | | |
| | Credit and funding valuation adjustments
contra-liability (contra-asset) |
| In millions of dollars | March 31,
2021 | December 31,
2020 |
| Counterparty CVA | $ | (642) | | $ | (800) | |
| Asset FVA | (449) | | (525) | |
| Citigroup (own credit) CVA | 376 | | 403 | |
| Liability FVA | 91 | | 67 | |
| Total CVA—derivative instruments | $ | (624) | | $ | (855) | |
| | | | | | | | |
| | Credit and funding
valuation adjustments
contra-liability (contra-asset) |
| In millions of dollars | March 31,
2022 | December 31,
2021 |
| Counterparty CVA | $ | (614) | | $ | (705) | |
| Asset FVA | (530) | | (433) | |
| Citigroup (own credit) CVA | 548 | | 379 | |
| Liability FVA | 131 | | 110 | |
| Total CVA and FVA—derivative instruments | $ | (465) | | $ | (649) | |
The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:
| | | | | | | | | | |
| | Credit/funding/debt valuation
adjustments gain (loss) |
| Three Months Ended March 31, | |
| In millions of dollars | 2021 | 2020 | | |
| Counterparty CVA | $ | 9 | | $ | (283) | | | |
| Asset FVA | 69 | | (1,053) | | | |
| Own credit CVA | (37) | | 533 | | | |
| Liability FVA | 24 | | 337 | | | |
| Total CVA—derivative instruments | $ | 65 | | $ | (466) | | | |
DVA related to own FVO liabilities(1) | $ | (38) | | $ | 4,188 | | | |
| Total CVA and DVA | $ | 27 | | $ | 3,722 | | | |
| | | | | | | | | | |
| | Credit/funding/debt valuation
adjustments gain (loss) | |
| Three Months Ended March 31, | |
| In millions of dollars | 2022 | 2021 | | |
| Counterparty CVA | $ | (107) | | $ | 9 | | | |
| Asset FVA | (105) | | 69 | | | |
| Own credit CVA | 116 | | (37) | | | |
| Liability FVA | 22 | | 24 | | | |
| Total CVA and FVA—derivative instruments | $ | (74) | | $ | 65 | | | |
DVA related to own FVO liabilities(1) | $ | 1,050 | | $ | (38) | | | |
| Total CVA, DVA and FVA | $ | 976 | | $ | 27 | | | |
(1) See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
Fair Value Hierarchy
ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:
•Level 1: Quoted prices for identical instruments in active markets.
•Level 2: Quoted prices for similar instruments in active markets;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.the market.
•Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.
As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible.
The fair value hierarchy classification approach typically utilizes rules-based and data-driven selection criteria to determine whether an instrument is classified as Level 1, Level 2 or Level 3:
•The determination of whether an instrument is quoted in an active market and therefore considered a Level 1 instrument is based upon the frequency of observed transactions the size of the bid/ask spread and the amountquality of adjustment necessary when comparing similarindependent market data available on the measurement date.
•A Level 2 classification is assigned where there is observability of prices/market inputs to models, or where any unobservable inputs are not significant to the valuation. The determination of whether an input is considered observable is based on the availability of independent market data and its corroboration, for example through observed transactions are all factors in determining the relevance of observed prices in those markets.market.
•Otherwise, an instrument is classified as Level 3.
Items Measured at Fair Value on a Recurring Basis
The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at March 31, 20212022 and December 31, 2020.2021. The Company may hedge positions
that have been classified in the Level 3 category with other
financial instruments (hedging instruments) that may be classified as Level 3, but also with financial instruments classified as Level 1 or Level 2 of the fair value hierarchy.2. The effects of these hedges are presented gross in the following tables:
Fair Value Levels
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars at March 31, 2021 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Assets | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | 0 | | $ | 308,726 | | $ | 262 | | $ | 308,988 | | $ | (110,080) | | $ | 198,908 | |
| Trading non-derivative assets | | | | | | |
| Trading mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | 0 | | 35,846 | | 38 | | 35,884 | | | 35,884 | |
| Residential | 0 | | 317 | | 268 | | 585 | | | 585 | |
| Commercial | 0 | | 813 | | 59 | | 872 | | | 872 | |
| Total trading mortgage-backed securities | $ | 0 | | $ | 36,976 | | $ | 365 | | $ | 37,341 | | $ | — | | $ | 37,341 | |
| U.S. Treasury and federal agency securities | $ | 59,877 | | $ | 2,325 | | $ | 0 | | $ | 62,202 | | | $ | 62,202 | |
| State and municipal | 0 | | 1,171 | | 94 | | 1,265 | | | 1,265 | |
| Foreign government | 76,118 | | 16,226 | | 81 | | 92,425 | | | 92,425 | |
| Corporate | 1,256 | | 19,209 | | 290 | | 20,755 | | | 20,755 | |
| Equity securities | 53,461 | | 11,296 | | 89 | | 64,846 | | | 64,846 | |
| Asset-backed securities | 0 | | 951 | | 1,208 | | 2,159 | | | 2,159 | |
Other trading assets(2) | 12 | | 11,253 | | 571 | | 11,836 | | | 11,836 | |
| Total trading non-derivative assets | $ | 190,724 | | $ | 99,407 | | $ | 2,698 | | $ | 292,829 | | $ | — | | $ | 292,829 | |
| Trading derivatives | | | | | | |
| Interest rate contracts | $ | 95 | | $ | 187,808 | | $ | 3,080 | | $ | 190,983 | | | |
| Foreign exchange contracts | 0 | | 139,621 | | 557 | | 140,178 | | | |
| Equity contracts | 141 | | 42,287 | | 1,881 | | 44,309 | | | |
| Commodity contracts | 0 | | 14,704 | | 1,714 | | 16,418 | | | |
| Credit derivatives | 0 | | 9,459 | | 1,167 | | 10,626 | | | |
| Total trading derivatives | $ | 236 | | $ | 393,879 | | $ | 8,399 | | $ | 402,514 | | | |
Cash collateral paid(3) | | | | $ | 21,388 | | | |
| Netting agreements | | | | | $ | (307,824) | | |
| Netting of cash collateral received | | | | | (48,248) | | |
| Total trading derivatives | $ | 236 | | $ | 393,879 | | $ | 8,399 | | $ | 423,902 | | $ | (356,072) | | $ | 67,830 | |
| Investments | | | | | | |
| Mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 0 | | $ | 42,673 | | $ | 30 | | $ | 42,703 | | | $ | 42,703 | |
| Residential | 0 | | 437 | | 0 | | 437 | | | 437 | |
| Commercial | 0 | | 45 | | 0 | | 45 | | | 45 | |
| Total investment mortgage-backed securities | $ | 0 | | $ | 43,155 | | $ | 30 | | $ | 43,185 | | $ | — | | $ | 43,185 | |
| U.S. Treasury and federal agency securities | $ | 122,532 | | $ | 168 | | $ | 0 | | $ | 122,700 | | | $ | 122,700 | |
| State and municipal | 0 | | 2,457 | | 794 | | 3,251 | | | 3,251 | |
| Foreign government | 73,560 | | 45,531 | | 523 | | 119,614 | | | 119,614 | |
| Corporate | 6,212 | | 3,980 | | 56 | | 10,248 | | | 10,248 | |
| Marketable equity securities | 184 | | 65 | | 0 | | 249 | | | 249 | |
| Asset-backed securities | 0 | | 270 | | 4 | | 274 | | | 274 | |
| Other debt securities | 0 | | 4,764 | | 0 | | 4,764 | | | 4,764 | |
Non-marketable equity securities(4) | 0 | | 44 | | 352 | | 396 | | | 396 | |
| Total investments | $ | 202,488 | | $ | 100,434 | | $ | 1,759 | | $ | 304,681 | | $ | — | | $ | 304,681 | |
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars at March 31, 2022 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Assets | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | — | | $ | 347,330 | | $ | 202 | | $ | 347,532 | | $ | (113,183) | | $ | 234,349 | |
| Trading non-derivative assets | | | | | | |
| Trading mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | — | | 29,411 | | 498 | | 29,909 | | — | | 29,909 | |
| Residential | — | | 415 | | 118 | | 533 | | — | | 533 | |
| Commercial | — | | 614 | | 52 | | 666 | | — | | 666 | |
| Total trading mortgage-backed securities | $ | — | | $ | 30,440 | | $ | 668 | | $ | 31,108 | | $ | — | | $ | 31,108 | |
| U.S. Treasury and federal agency securities | $ | 64,273 | | $ | 3,353 | | $ | 2 | | $ | 67,628 | | $ | — | | $ | 67,628 | |
| State and municipal | — | | 1,852 | | 6 | | 1,858 | | — | | 1,858 | |
| Foreign government | 41,456 | | 30,671 | | 94 | | 72,221 | | — | | 72,221 | |
| Corporate | 1,500 | | 16,632 | | 1,013 | | 19,145 | | — | | 19,145 | |
| Equity securities | 54,369 | | 10,312 | | 199 | | 64,880 | | — | | 64,880 | |
| Asset-backed securities | — | | 966 | | 466 | | 1,432 | | — | | 1,432 | |
Other trading assets(2) | 8 | | 20,236 | | 492 | | 20,736 | | — | | 20,736 | |
| Total trading non-derivative assets | $ | 161,606 | | $ | 114,462 | | $ | 2,940 | | $ | 279,008 | | $ | — | | $ | 279,008 | |
| Trading derivatives | | | | | | |
| Interest rate contracts | $ | 411 | | $ | 163,626 | | $ | 3,005 | | $ | 167,042 | | | |
| Foreign exchange contracts | — | | 152,974 | | 885 | | 153,859 | | | |
| Equity contracts | 51 | | 44,396 | | 1,738 | | 46,185 | | | |
| Commodity contracts | — | | 47,949 | | 1,663 | | 49,612 | | | |
| Credit derivatives | — | | 10,174 | | 1,069 | | 11,243 | | | |
| Total trading derivatives—before netting and collateral | $ | 462 | | $ | 419,119 | | $ | 8,360 | | $ | 427,941 | | | |
| Netting agreements | | | | | $ | (319,683) | | |
| Netting of cash collateral received | | | | | (29,269) | | |
| Total trading derivatives—after netting and collateral | $ | 462 | | $ | 419,119 | | $ | 8,360 | | $ | 427,941 | | $ | (348,952) | | $ | 78,989 | |
| Investments | | | | | | |
| Mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | — | | $ | 36,847 | | $ | 46 | | $ | 36,893 | | $ | — | | $ | 36,893 | |
| Residential | — | | 276 | | 44 | | 320 | | — | | 320 | |
| Commercial | — | | 18 | | — | | 18 | | — | | 18 | |
| Total investment mortgage-backed securities | $ | — | | $ | 37,141 | | $ | 90 | | $ | 37,231 | | $ | — | | $ | 37,231 | |
| U.S. Treasury and federal agency securities | $ | 90,466 | | $ | 58 | | $ | 1 | | $ | 90,525 | | $ | — | | $ | 90,525 | |
| State and municipal | — | | 1,799 | | 705 | | 2,504 | | — | | 2,504 | |
| Foreign government | 60,498 | | 61,932 | | 1,029 | | 123,459 | | — | | 123,459 | |
| Corporate | 2,646 | | 3,186 | | 237 | | 6,069 | | — | | 6,069 | |
| Marketable equity securities | 285 | | 182 | | 16 | | 483 | | — | | 483 | |
| Asset-backed securities | — | | 294 | | 2 | | 296 | | — | | 296 | |
| Other debt securities | — | | 4,690 | | — | | 4,690 | | — | | 4,690 | |
Non-marketable equity securities(3) | — | | 18 | | 298 | | 316 | | — | | 316 | |
| Total investments | $ | 153,895 | | $ | 109,300 | | $ | 2,378 | | $ | 265,573 | | $ | — | | $ | 265,573 | |
Table continues on the next page.
| | In millions of dollars at March 31, 2021 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance | |
| In millions of dollars at March 31, 2022 | | In millions of dollars at March 31, 2022 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Loans | Loans | $ | 0 | $ | 5,581 | $ | 1,944 | $ | 7,525 | | | $ | 7,525 | | Loans | $ | — | $ | 5,110 | $ | 622 | $ | 5,732 | | $ | — | | $ | 5,732 | |
| Mortgage servicing rights | Mortgage servicing rights | 0 | 433 | 433 | | | 433 | | Mortgage servicing rights | — | 520 | 520 | | — | | 520 | |
| | Non-trading derivatives and other financial assets measured on a recurring basis | Non-trading derivatives and other financial assets measured on a recurring basis | $ | 2,311 | $ | 7,864 | $ | 0 | $ | 10,175 | | $ | 0 | | $ | 10,175 | | Non-trading derivatives and other financial assets measured on a recurring basis | $ | 5,021 | $ | 6,700 | $ | 68 | $ | 11,789 | | $ | — | | $ | 11,789 | |
| Total assets | Total assets | $ | 395,759 | $ | 915,891 | $ | 15,495 | $ | 1,348,533 | | $ | (466,152) | | $ | 882,381 | | Total assets | $ | 320,984 | $ | 1,002,021 | $ | 15,090 | $ | 1,338,095 | | $ | (462,135) | | $ | 875,960 | |
Total as a percentage of gross assets(5)(4) | Total as a percentage of gross assets(5)(4) | 29.8% | 69.0% | 1.2% | | | Total as a percentage of gross assets(5)(4) | 24.0% | 74.9% | 1.1% | | |
| Liabilities | Liabilities | | | Liabilities | | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 0 | $ | 2,941 | $ | 199 | $ | 3,140 | | | $ | 3,140 | | Interest-bearing deposits | $ | — | $ | 1,647 | $ | 191 | $ | 1,838 | | $ | — | | $ | 1,838 | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 0 | 161,693 | 977 | 162,670 | | (93,957) | | 68,713 | | Securities loaned and sold under agreements to repurchase | — | 167,741 | 612 | 168,353 | | (102,810) | | 65,543 | |
| Trading account liabilities | Trading account liabilities | | | Trading account liabilities | | |
| Securities sold, not yet purchased | Securities sold, not yet purchased | 104,802 | 13,730 | 167 | 118,699 | | | 118,699 | | Securities sold, not yet purchased | 101,842 | 19,075 | 38 | 120,955 | | — | | 120,955 | |
| Other trading liabilities | Other trading liabilities | 0 | 14 | 6 | 20 | | | 20 | | Other trading liabilities | — | 2 | — | 2 | | — | | 2 | |
| Total trading liabilities | Total trading liabilities | $ | 104,802 | $ | 13,744 | $ | 173 | $ | 118,719 | | $ | — | | $ | 118,719 | | Total trading liabilities | $ | 101,842 | $ | 19,077 | $ | 38 | $ | 120,957 | | $ | — | | $ | 120,957 | |
| Trading derivatives | Trading derivatives | | | Trading derivatives | | |
| Interest rate contracts | Interest rate contracts | $ | 77 | $ | 173,362 | $ | 1,851 | $ | 175,290 | | | | Interest rate contracts | $ | 288 | $ | 152,640 | $ | 2,226 | $ | 155,154 | | | |
| Foreign exchange contracts | Foreign exchange contracts | 1 | 137,144 | 643 | 137,788 | | | | Foreign exchange contracts | — | 147,960 | 1,016 | 148,976 | | | |
| Equity contracts | Equity contracts | 56 | 51,358 | 4,757 | 56,171 | | | | Equity contracts | 25 | 48,499 | 3,302 | 51,826 | | | |
| Commodity contracts | Commodity contracts | 0 | 17,697 | 982 | 18,679 | | | | Commodity contracts | 2 | 43,851 | 1,446 | 45,299 | | | |
| Credit derivatives | Credit derivatives | 0 | 9,468 | 1,096 | 10,564 | | | | Credit derivatives | — | 10,073 | 1,073 | 11,146 | | | |
| Total trading derivatives | $ | 134 | $ | 389,029 | $ | 9,329 | $ | 398,492 | | | | |
Cash collateral received(6) | | $ | 22,945 | | | | |
| Total trading derivatives—before netting and collateral | | Total trading derivatives—before netting and collateral | $ | 315 | $ | 403,023 | $ | 9,063 | $ | 412,401 | | | |
| Netting agreements | Netting agreements | | $ | (307,824) | | | Netting agreements | | $ | (319,683) | | |
| Netting of cash collateral paid | Netting of cash collateral paid | | (53,215) | | | Netting of cash collateral paid | | (25,616) | | |
| Total trading derivatives | $ | 134 | $ | 389,029 | $ | 9,329 | $ | 421,437 | | $ | (361,039) | | $ | 60,398 | | |
| Total trading derivatives—after netting and collateral | | Total trading derivatives—after netting and collateral | $ | 315 | $ | 403,023 | $ | 9,063 | $ | 412,401 | | $ | (345,299) | | $ | 67,102 | |
| Short-term borrowings | Short-term borrowings | $ | 0 | $ | 7,357 | $ | 49 | $ | 7,406 | | | $ | 7,406 | | Short-term borrowings | $ | — | $ | 7,331 | $ | 36 | $ | 7,367 | | $ | — | | $ | 7,367 | |
| Long-term debt | Long-term debt | 0 | 41,734 | 26,337 | 68,071 | | | 68,071 | | Long-term debt | — | 55,845 | 27,432 | 83,277 | | — | | 83,277 | |
| | Total non-trading derivatives and other financial liabilities measured on a recurring basis | Total non-trading derivatives and other financial liabilities measured on a recurring basis | $ | 2,619 | $ | 48 | $ | 8 | $ | 2,675 | | 0 | $ | 2,675 | | Total non-trading derivatives and other financial liabilities measured on a recurring basis | $ | 3,668 | $ | — | $ | — | $ | 3,668 | | 0 | $ | 3,668 | |
| Total liabilities | Total liabilities | $ | 107,555 | $ | 616,546 | $ | 37,072 | $ | 784,118 | | $ | (454,996) | | $ | 329,122 | | Total liabilities | $ | 105,825 | $ | 654,664 | $ | 37,372 | $ | 797,861 | | $ | (448,109) | | $ | 349,752 | |
Total as a percentage of gross liabilities(5) | 14.1 | % | 81.0 | % | 4.9 | % | | | |
Total as a percentage of gross liabilities(4) | | Total as a percentage of gross liabilities(4) | 13.3 | % | 82.1 | % | 4.7 | % | | |
(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.21. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)Reflects the net amount of $74,603 million of gross cash collateral paid, of which $53,215 million was used to offset trading derivative liabilities.
(4)Amounts exclude $0.1$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)(4)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)Reflects the net amount of $71,193 million of gross cash collateral received, of which $48,248 million was used to offset trading derivative assets.
Fair Value Levels
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars at December 31, 2020 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Assets | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | 0 | | $ | 335,073 | | $ | 320 | | $ | 335,393 | | $ | (150,189) | | $ | 185,204 | |
| Trading non-derivative assets | | | | | | |
| Trading mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | 0 | | 42,903 | | 27 | | 42,930 | | — | | 42,930 | |
| Residential | 0 | | 391 | | 340 | | 731 | | — | | 731 | |
| Commercial | 0 | | 893 | | 136 | | 1,029 | | — | | 1,029 | |
| Total trading mortgage-backed securities | $ | 0 | | $ | 44,187 | | $ | 503 | | $ | 44,690 | | $ | — | | $ | 44,690 | |
| U.S. Treasury and federal agency securities | $ | 64,529 | | $ | 2,269 | | $ | 0 | | $ | 66,798 | | $ | — | | $ | 66,798 | |
| State and municipal | 0 | | 1,224 | | 94 | | 1,318 | | — | | 1,318 | |
| Foreign government | 68,195 | | 15,143 | | 51 | | 83,389 | | — | | 83,389 | |
| Corporate | 1,607 | | 18,840 | | 375 | | 20,822 | | — | | 20,822 | |
| Equity securities | 54,117 | | 12,289 | | 73 | | 66,479 | | — | | 66,479 | |
| Asset-backed securities | 0 | | 776 | | 1,606 | | 2,382 | | — | | 2,382 | |
Other trading assets(2) | 0 | | 11,295 | | 945 | | 12,240 | | — | | 12,240 | |
| Total trading non-derivative assets | $ | 188,448 | | $ | 106,023 | | $ | 3,647 | | $ | 298,118 | | $ | — | | $ | 298,118 | |
| Trading derivatives | | | | | | |
| Interest rate contracts | $ | 42 | | $ | 238,026 | | $ | 3,393 | | $ | 241,461 | | | |
| Foreign exchange contracts | 2 | | 155,994 | | 674 | | 156,670 | | | |
| Equity contracts | 66 | | 48,362 | | 2,091 | | 50,519 | | | |
| Commodity contracts | 0 | | 13,546 | | 992 | | 14,538 | | | |
| Credit derivatives | 0 | | 8,634 | | 1,155 | | 9,789 | | | |
| Total trading derivatives | $ | 110 | | $ | 464,562 | | $ | 8,305 | | $ | 472,977 | | | |
Cash collateral paid(3) | | | | $ | 32,778 | | | |
| Netting agreements | | | | | $ | (364,879) | | |
| Netting of cash collateral received | | | | | (63,915) | | |
| Total trading derivatives | $ | 110 | | $ | 464,562 | | $ | 8,305 | | $ | 505,755 | | $ | (428,794) | | $ | 76,961 | |
| Investments | | | | | | |
| Mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 0 | | $ | 43,888 | | $ | 30 | | $ | 43,918 | | $ | — | | $ | 43,918 | |
| Residential | 0 | | 571 | | 0 | | 571 | | — | | 571 | |
| Commercial | 0 | | 50 | | 0 | | 50 | | — | | 50 | |
| Total investment mortgage-backed securities | $ | 0 | | $ | 44,509 | | $ | 30 | | $ | 44,539 | | $ | — | | $ | 44,539 | |
| U.S. Treasury and federal agency securities | $ | 146,032 | | $ | 172 | | $ | 0 | | $ | 146,204 | | $ | — | | $ | 146,204 | |
| State and municipal | 0 | | 2,885 | | 834 | | 3,719 | | — | | 3,719 | |
| Foreign government | 77,056 | | 47,644 | | 268 | | 124,968 | | — | | 124,968 | |
| Corporate | 6,326 | | 4,114 | | 60 | | 10,500 | | — | | 10,500 | |
| Marketable equity securities | 287 | | 228 | | 0 | | 515 | | — | | 515 | |
| Asset-backed securities | 0 | | 277 | | 1 | | 278 | | — | | 278 | |
| Other debt securities | 0 | | 4,876 | | — | | 4,876 | | — | | 4,876 | |
Non-marketable equity securities(4) | 0 | | 50 | | 349 | | 399 | | — | | 399 | |
| Total investments | $ | 229,701 | | $ | 104,755 | | $ | 1,542 | | $ | 335,998 | | $ | — | | $ | 335,998 | |
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars at December 31, 2021 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Assets | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | — | | $ | 342,030 | | $ | 231 | | $ | 342,261 | | $ | (125,795) | | $ | 216,466 | |
| Trading non-derivative assets | | | | | | |
| Trading mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | — | | 34,534 | | 496 | | 35,030 | | — | | 35,030 | |
| Residential | 1 | | 643 | | 104 | | 748 | | — | | 748 | |
| Commercial | — | | 778 | | 81 | | 859 | | — | | 859 | |
| Total trading mortgage-backed securities | $ | 1 | | $ | 35,955 | | $ | 681 | | $ | 36,637 | | $ | — | | $ | 36,637 | |
| U.S. Treasury and federal agency securities | $ | 44,900 | | $ | 3,230 | | $ | 4 | | $ | 48,134 | | $ | — | | $ | 48,134 | |
| State and municipal | — | | 1,995 | | 37 | | 2,032 | | — | | 2,032 | |
| Foreign government | 39,176 | | 31,485 | | 23 | | 70,684 | | — | | 70,684 | |
| Corporate | 1,544 | | 16,156 | | 412 | | 18,112 | | — | | 18,112 | |
| Equity securities | 53,833 | | 10,047 | | 174 | | 64,054 | | — | | 64,054 | |
| Asset-backed securities | — | | 981 | | 613 | | 1,594 | | — | | 1,594 | |
Other trading assets(2) | — | | 20,346 | | 576 | | 20,922 | | — | | 20,922 | |
| Total trading non-derivative assets | $ | 139,454 | | $ | 120,195 | | $ | 2,520 | | $ | 262,169 | | $ | — | | $ | 262,169 | |
| Trading derivatives | | | | | | |
| Interest rate contracts | $ | 90 | | $ | 161,500 | | $ | 3,898 | | $ | 165,488 | | | |
| Foreign exchange contracts | — | | 134,912 | | 637 | | 135,549 | | | |
| Equity contracts | 41 | | 43,904 | | 1,307 | | 45,252 | | | |
| Commodity contracts | — | | 28,547 | | 1,797 | | 30,344 | | | |
| Credit derivatives | — | | 9,299 | | 919 | | 10,218 | | | |
| Total trading derivatives—before netting and collateral | $ | 131 | | $ | 378,162 | | $ | 8,558 | | $ | 386,851 | | | |
| Netting agreements | | | | | $ | (292,628) | | |
| Netting of cash collateral received | | | | | (24,447) | | |
| Total trading derivatives—after netting and collateral | $ | 131 | | $ | 378,162 | | $ | 8,558 | | $ | 386,851 | | $ | (317,075) | | $ | 69,776 | |
| Investments | | | | | | |
| Mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | — | | $ | 33,165 | | $ | 51 | | $ | 33,216 | | $ | — | | $ | 33,216 | |
| Residential | — | | 286 | | 94 | | 380 | | — | | 380 | |
| Commercial | — | | 25 | | — | | 25 | | — | | 25 | |
| Total investment mortgage-backed securities | $ | — | | $ | 33,476 | | $ | 145 | | $ | 33,621 | | $ | — | | $ | 33,621 | |
| U.S. Treasury and federal agency securities | $ | 122,271 | | $ | 168 | | $ | 1 | | $ | 122,440 | | $ | — | | $ | 122,440 | |
| State and municipal | — | | 1,849 | | 772 | | 2,621 | | — | | 2,621 | |
| Foreign government | 56,842 | | 61,112 | | 786 | | 118,740 | | — | | 118,740 | |
| Corporate | 2,861 | | 2,871 | | 188 | | 5,920 | | — | | 5,920 | |
| Marketable equity securities | 350 | | 177 | | 16 | | 543 | | — | | 543 | |
| Asset-backed securities | — | | 300 | | 3 | | 303 | | — | | 303 | |
| Other debt securities | — | | 4,877 | | — | | 4,877 | | — | | 4,877 | |
Non-marketable equity securities(3) | — | | 28 | | 316 | | 344 | | — | | 344 | |
| Total investments | $ | 182,324 | | $ | 104,858 | | $ | 2,227 | | $ | 289,409 | | $ | — | | $ | 289,409 | |
Table continues on the next page.
| | In millions of dollars at December 31, 2020 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(2) | Net
balance | |
| In millions of dollars at December 31, 2021 | | In millions of dollars at December 31, 2021 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Loans | Loans | $ | 0 | $ | 4,869 | $ | 1,985 | $ | 6,854 | | $ | — | | $ | 6,854 | | Loans | $ | — | $ | 5,371 | $ | 711 | $ | 6,082 | | $ | — | | $ | 6,082 | |
| Mortgage servicing rights | Mortgage servicing rights | 0 | 336 | 336 | | — | | 336 | | Mortgage servicing rights | — | 404 | 404 | | — | | 404 | |
| | Non-trading derivatives and other financial assets measured on a recurring basis | Non-trading derivatives and other financial assets measured on a recurring basis | $ | 6,230 | $ | 8,383 | $ | 0 | $ | 14,613 | | $ | 0 | | $ | 14,613 | | Non-trading derivatives and other financial assets measured on a recurring basis | $ | 4,075 | $ | 8,194 | $ | 73 | $ | 12,342 | | $ | — | | $ | 12,342 | |
| Total assets | Total assets | $ | 424,489 | $ | 1,023,665 | $ | 16,135 | $ | 1,497,067 | | $ | (578,983) | | $ | 918,084 | | Total assets | $ | 325,984 | $ | 958,810 | $ | 14,724 | $ | 1,299,518 | | $ | (442,870) | | $ | 856,648 | |
Total as a percentage of gross assets(5)(4) | Total as a percentage of gross assets(5)(4) | 29.0% | 69.9% | 1.1% | | | Total as a percentage of gross assets(5)(4) | 25.1% | 73.8% | 1.1% | | |
| Liabilities | Liabilities | | | Liabilities | | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 0 | $ | 1,752 | $ | 206 | $ | 1,958 | | $ | — | | $ | 1,958 | | Interest-bearing deposits | $ | — | $ | 1,483 | $ | 183 | $ | 1,666 | | $ | — | | $ | 1,666 | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 0 | 156,644 | 631 | 157,275 | | (97,069) | | 60,206 | | Securities loaned and sold under agreements to repurchase | — | 174,318 | 643 | 174,961 | | (118,267) | | 56,694 | |
| Trading account liabilities | Trading account liabilities | | | Trading account liabilities | | |
| Securities sold, not yet purchased | Securities sold, not yet purchased | 85,353 | 14,477 | 214 | 100,044 | | — | | 100,044 | | Securities sold, not yet purchased | 82,675 | 23,268 | 65 | 106,008 | | — | | 106,008 | |
| Other trading liabilities | Other trading liabilities | 0 | 26 | 26 | | — | | 26 | | Other trading liabilities | — | 5 | — | 5 | | — | | 5 | |
| Total trading liabilities | Total trading liabilities | $ | 85,353 | $ | 14,477 | $ | 240 | $ | 100,070 | | $ | — | | $ | 100,070 | | Total trading liabilities | $ | 82,675 | $ | 23,273 | $ | 65 | $ | 106,013 | | $ | — | | $ | 106,013 | |
| Trading account derivatives | | | |
| Trading derivatives | | Trading derivatives | | |
| Interest rate contracts | Interest rate contracts | $ | 25 | $ | 220,607 | $ | 1,779 | $ | 222,411 | | | | Interest rate contracts | $ | 56 | $ | 147,846 | $ | 2,172 | $ | 150,074 | | | |
| Foreign exchange contracts | Foreign exchange contracts | 3 | 155,441 | 622 | 156,066 | | | | Foreign exchange contracts | — | 134,572 | 726 | 135,298 | | | |
| Equity contracts | Equity contracts | 53 | 58,212 | 5,304 | 63,569 | | | | Equity contracts | 60 | 46,177 | 3,447 | 49,684 | | | |
| Commodity contracts | Commodity contracts | 0 | 17,393 | 700 | 18,093 | | | | Commodity contracts | — | 30,004 | 1,375 | 31,379 | | | |
| Credit derivatives | Credit derivatives | 0 | 9,022 | 1,107 | 10,129 | | | | Credit derivatives | — | 10,065 | 950 | 11,015 | | | |
| Total trading derivatives | $ | 81 | $ | 460,675 | $ | 9,512 | $ | 470,268 | | | | |
Cash collateral received(6) | | $ | 8,196 | | | | |
| Total trading derivatives—before netting and collateral | | Total trading derivatives—before netting and collateral | $ | 116 | $ | 368,664 | $ | 8,670 | $ | 377,450 | | | |
| Netting agreements | Netting agreements | | $ | (364,879) | | | Netting agreements | | $ | (292,628) | | |
| Netting of cash collateral paid | Netting of cash collateral paid | | (45,628) | | | Netting of cash collateral paid | | (29,306) | | |
| Total trading derivatives | $ | 81 | $ | 460,675 | $ | 9,512 | $ | 478,464 | | $ | (410,507) | | $ | 67,957 | | |
| Total trading derivatives—after netting and collateral | | Total trading derivatives—after netting and collateral | $ | 116 | $ | 368,664 | $ | 8,670 | $ | 377,450 | | $ | (321,934) | | $ | 55,516 | |
| Short-term borrowings | Short-term borrowings | $ | 0 | $ | 4,464 | $ | 219 | $ | 4,683 | | $ | — | | $ | 4,683 | | Short-term borrowings | $ | — | $ | 7,253 | $ | 105 | $ | 7,358 | | $ | — | | $ | 7,358 | |
| Long-term debt | Long-term debt | 0 | 41,853 | 25,210 | 67,063 | | — | | 67,063 | | Long-term debt | — | 57,100 | 25,509 | 82,609 | | — | | 82,609 | |
| | Non-trading derivatives and other financial liabilities measured on a recurring basis | Non-trading derivatives and other financial liabilities measured on a recurring basis | $ | 6,762 | $ | 72 | $ | 1 | $ | 6,835 | | $ | 0 | | $ | 6,835 | | Non-trading derivatives and other financial liabilities measured on a recurring basis | $ | 3,574 | $ | — | $ | 1 | $ | 3,575 | | $ | — | | $ | 3,575 | |
| Total liabilities | Total liabilities | $ | 92,196 | $ | 679,937 | $ | 36,019 | $ | 816,348 | | $ | (507,576) | | $ | 308,772 | | Total liabilities | $ | 86,365 | $ | 632,091 | $ | 35,176 | $ | 753,632 | | $ | (440,201) | | $ | 313,431 | |
Total as a percentage of gross liabilities(5) | 11.4 | % | 84.1 | % | 4.5 | % | | | |
Total as a percentage of gross liabilities(4) | | Total as a percentage of gross liabilities(4) | 11.5 | % | 83.9 | % | 4.7 | % | | |
(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.21. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)Reflects the net amount of $78,406 million of gross cash collateral paid, of which $45,628 million was used to offset trading derivative liabilities.
(4)Amounts exclude $0.2$0.1 billion of investments measured at NAV in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(5)(4)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)Reflects the net amount of $72,111 million of gross cash collateral received, of which $63,915 million was used to offset trading derivative assets.
Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the three months ended March 31, 20212022 and 2020.2021. 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(1) | Transfers | | | | | | Unrealized
gains (losses)
still held(3) |
| In millions of dollars | Dec. 31, 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Mar. 31, 2021 |
| Assets | | | | | | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | 320 | | $ | (9) | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 233 | | $ | 0 | | $ | 0 | | $ | (282) | | $ | 262 | | $ | 3 | |
| Trading non-derivative assets | | | | | | | | | | | |
| Trading mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 27 | | (1) | | 0 | | 14 | | (1) | | 1 | | 0 | | (2) | | 0 | | 38 | | (1) | |
| Residential | 340 | | 23 | | 0 | | 28 | | (3) | | 144 | | 0 | | (264) | | 0 | | 268 | | 7 | |
| Commercial | 136 | | 5 | | 0 | | 16 | | (33) | | 13 | | 0 | | (78) | | 0 | | 59 | | (7) | |
| Total trading mortgage-backed securities | $ | 503 | | $ | 27 | | $ | 0 | | $ | 58 | | $ | (37) | | $ | 158 | | $ | 0 | | $ | (344) | | $ | 0 | | $ | 365 | | $ | (1) | |
| U.S. Treasury and federal agency securities | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| State and municipal | 94 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 94 | | 1 | |
| Foreign government | 51 | | 1 | | 0 | | 11 | | 0 | | 57 | | 0 | | (39) | | 0 | | 81 | | (3) | |
| Corporate | 375 | | 90 | | 0 | | 6 | | (118) | | 67 | | 0 | | (130) | | 0 | | 290 | | 41 | |
| Marketable equity securities | 73 | | 45 | | 0 | | 4 | | (2) | | 12 | | 0 | | (43) | | 0 | | 89 | | 9 | |
| Asset-backed securities | 1,606 | | 39 | | 0 | | 18 | | (50) | | 582 | | 0 | | (987) | | 0 | | 1,208 | | (79) | |
| Other trading assets | 945 | | (44) | | 0 | | 30 | | (8) | | 147 | | 4 | | (499) | | (4) | | 571 | | 1 | |
| Total trading non-derivative assets | $ | 3,647 | | $ | 158 | | $ | 0 | | $ | 127 | | $ | (215) | | $ | 1,023 | | $ | 4 | | $ | (2,042) | | $ | (4) | | $ | 2,698 | | $ | (31) | |
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | 1,614 | | $ | (172) | | $ | 0 | | $ | (45) | | $ | 0 | | $ | 0 | | $ | (84) | | $ | 0 | | $ | (84) | | $ | 1,229 | | $ | (85) | |
| Foreign exchange contracts | 52 | | (138) | | 0 | | 8 | | 0 | | 23 | | 0 | | (15) | | (16) | | (86) | | (31) | |
| Equity contracts | (3,213) | | 303 | | 0 | | 36 | | 6 | | 24 | | 0 | | (23) | | (9) | | (2,876) | | 268 | |
| Commodity contracts | 292 | | 314 | | 0 | | 158 | | (5) | | 66 | | 0 | | (110) | | 17 | | 732 | | 324 | |
| Credit derivatives | 48 | | (64) | | 0 | | 67 | | 3 | | 0 | | 0 | | 0 | | 17 | | 71 | | (64) | |
Total trading derivatives, net(4) | $ | (1,207) | | $ | 243 | | $ | 0 | | $ | 224 | | $ | 4 | | $ | 113 | | $ | (84) | | $ | (148) | | $ | (75) | | $ | (930) | | $ | 412 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized
gains (losses)
still held(3) |
| In millions of dollars | Dec. 31, 2021 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Mar. 31, 2022 |
| Assets | | | | | | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | 231 | | $ | 11 | | $ | — | | $ | — | | $ | — | | $ | 88 | | $ | — | | $ | — | | $ | (128) | | $ | 202 | | $ | 4 | |
| Trading non-derivative assets | | | | | | | | | | | |
| Trading mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 496 | | 2 | | — | | 47 | | (69) | | 166 | | — | | (144) | | — | | 498 | | 1 | |
| Residential | 104 | | — | | — | | 33 | | (21) | | 38 | | — | | (36) | | — | | 118 | | (2) | |
| Commercial | 81 | | (2) | | — | | 1 | | (26) | | 5 | | — | | (7) | | — | | 52 | | (3) | |
| Total trading mortgage-backed securities | $ | 681 | | $ | — | | $ | — | | $ | 81 | | $ | (116) | | $ | 209 | | $ | — | | $ | (187) | | $ | — | | $ | 668 | | $ | (4) | |
| U.S. Treasury and federal agency securities | $ | 4 | | $ | (4) | | $ | — | | $ | 2 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 2 | | $ | — | |
| State and municipal | 37 | | 1 | | — | | — | | (20) | | 1 | | — | | (13) | | — | | 6 | | — | |
| Foreign government | 23 | | 1 | | — | | 50 | | — | | 30 | | — | | (10) | | — | | 94 | | (12) | |
| Corporate | 412 | | 9 | | — | | 142 | | (34) | | 647 | | — | | (163) | | — | | 1,013 | | (46) | |
| Marketable equity securities | 174 | | (5) | | — | | 49 | | (26) | | 50 | | — | | (43) | | — | | 199 | | 9 | |
| Asset-backed securities | 613 | | 5 | | — | | 58 | | (67) | | 131 | | — | | (274) | | — | | 466 | | (20) | |
| Other trading assets | 576 | | 47 | | — | | 28 | | (62) | | 249 | | 10 | | (352) | | (4) | | 492 | | (97) | |
| Total trading non-derivative assets | $ | 2,520 | | $ | 54 | | $ | — | | $ | 410 | | $ | (325) | | $ | 1,317 | | $ | 10 | | $ | (1,042) | | $ | (4) | | $ | 2,940 | | $ | (170) | |
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | 1,726 | | $ | 166 | | $ | — | | $ | (68) | | $ | (531) | | $ | 2 | | $ | — | | $ | — | | $ | (516) | | $ | 779 | | $ | 366 | |
| Foreign exchange contracts | (89) | | 395 | | — | | (509) | | 44 | | 102 | | — | | (64) | | (10) | | (131) | | 87 | |
| Equity contracts | (2,140) | | 808 | | — | | (13) | | (25) | | 185 | | — | | (225) | | (154) | | (1,564) | | 983 | |
| Commodity contracts | 422 | | 414 | | — | | 29 | | (493) | | 53 | | — | | (44) | | (164) | | 217 | | 542 | |
| Credit derivatives | (31) | | (63) | | — | | 32 | | 13 | | — | | — | | (1) | | 46 | | (4) | | (67) | |
Total trading derivatives, net(4) | $ | (112) | | $ | 1,720 | | $ | — | | $ | (529) | | $ | (992) | | $ | 342 | | $ | — | | $ | (334) | | $ | (798) | | $ | (703) | | $ | 1,911 | |
Table continues on the next page.
| | | | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | Unrealized
gains (losses)
still held(3) | | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | Unrealized
gains (losses)
still held(3) |
| In millions of dollars | In millions of dollars | Dec. 31, 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Mar. 31, 2021 | In millions of dollars | Dec. 31, 2021 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Mar. 31, 2022 |
| Investments | Investments | | | | Investments | | | |
| Mortgage-backed securities | Mortgage-backed securities | | | | Mortgage-backed securities | | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | $ | 30 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 30 | | $ | 0 | | U.S. government-sponsored agency guaranteed | $ | 51 | | $ | — | | $ | (7) | | $ | 1 | | $ | — | | $ | 4 | | $ | — | | $ | (3) | | $ | — | | $ | 46 | | $ | (10) | |
| Residential | Residential | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Residential | 94 | | — | | (2) | | — | | (39) | | — | | — | | (9) | | — | | 44 | | (2) | |
| Commercial | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | |
| | Total investment mortgage-backed securities | Total investment mortgage-backed securities | $ | 30 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 30 | | $ | 0 | | Total investment mortgage-backed securities | $ | 145 | | $ | — | | $ | (9) | | $ | 1 | | $ | (39) | | $ | 4 | | $ | — | | $ | (12) | | $ | — | | $ | 90 | | $ | (12) | |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | U.S. Treasury and federal agency securities | $ | 1 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 1 | | $ | — | |
| State and municipal | State and municipal | 834 | | 0 | | (18) | | 4 | | 0 | | 1 | | 0 | | (27) | | 0 | | 794 | | (16) | | State and municipal | 772 | | — | | (44) | | — | | (11) | | — | | — | | (12) | | — | | 705 | | (43) | |
| Foreign government | Foreign government | 268 | | 0 | | (2) | | 0 | | 0 | | 330 | | 0 | | (73) | | 0 | | 523 | | (11) | | Foreign government | 786 | | — | | (24) | | 250 | | (59) | | 183 | | — | | (107) | | — | | 1,029 | | (25) | |
| Corporate | Corporate | 60 | | 0 | | (4) | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 56 | | 0 | | Corporate | 188 | | — | | (4) | | 53 | | — | | — | | — | | — | | — | | 237 | | — | |
| Marketable equity securities | Marketable equity securities | 0 | | — | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Marketable equity securities | 16 | | — | | — | | — | | — | | — | | — | | — | | — | | 16 | | — | |
| Asset-backed securities | Asset-backed securities | 1 | | 0 | | 0 | | 3 | | 0 | | 0 | | 0 | | 0 | | 0 | | 4 | | 0 | | Asset-backed securities | 3 | | — | | 12 | | — | | — | | — | | — | | (13) | | — | | 2 | | (2) | |
| Other debt securities | Other debt securities | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Other debt securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Non-marketable equity securities | Non-marketable equity securities | 349 | | 0 | | 10 | | 1 | | 0 | | 0 | | 0 | | (8) | | 0 | | 352 | | 4 | | Non-marketable equity securities | 316 | | — | | (14) | | 11 | | — | | — | | — | | (15) | | — | | 298 | | (14) | |
| Total investments | Total investments | $ | 1,542 | | $ | 0 | | $ | (14) | | $ | 8 | | $ | 0 | | $ | 331 | | $ | 0 | | $ | (108) | | $ | 0 | | $ | 1,759 | | $ | (23) | | Total investments | $ | 2,227 | | $ | — | | $ | (83) | | $ | 315 | | $ | (109) | | $ | 187 | | $ | — | | $ | (159) | | $ | — | | $ | 2,378 | | $ | (96) | |
| Loans | Loans | $ | 1,985 | | $ | 0 | | $ | (128) | | $ | 211 | | $ | 0 | | $ | 0 | | $ | 1 | | $ | 0 | | $ | (125) | | $ | 1,944 | | $ | (125) | | Loans | $ | 711 | | $ | — | | $ | (85) | | $ | — | | $ | (2) | | $ | — | | $ | — | | $ | — | | $ | (2) | | $ | 622 | | $ | 7 | |
| Mortgage servicing rights | Mortgage servicing rights | 336 | | 0 | | 73 | | 0 | | 0 | | 0 | | 43 | | 0 | | (19) | | 433 | | 80 | | Mortgage servicing rights | 404 | | — | | 99 | | — | | — | | — | | 34 | | — | | (17) | | 520 | | 98 | |
| Other financial assets measured on a recurring basis | Other financial assets measured on a recurring basis | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Other financial assets measured on a recurring basis | 73 | | — | | 2 | | — | | (4) | | 1 | | 25 | | (1) | | (28) | | 68 | | 10 | |
| Liabilities | Liabilities | | | | Liabilities | | | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 206 | | $ | 0 | | $ | 16 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 9 | | $ | 0 | | $ | 0 | | $ | 199 | | $ | 7 | | Interest-bearing deposits | $ | 183 | | $ | — | | $ | (4) | | $ | 7 | | $ | — | | $ | — | | $ | 1 | | $ | — | | $ | (4) | | $ | 191 | | $ | 11 | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 631 | | (15) | | 0 | | 0 | | 0 | | 408 | | 0 | | 0 | | (77) | | 977 | | (15) | | Securities loaned and sold under agreements to repurchase | 643 | | 26 | | — | | — | | — | | — | | — | | — | | (5) | | 612 | | 23 | |
| Trading account liabilities | Trading account liabilities | | | | Trading account liabilities | | | |
| Securities sold, not yet purchased | Securities sold, not yet purchased | 214 | | 54 | | 0 | | 8 | | (4) | | 10 | | 0 | | 0 | | (7) | | 167 | | 39 | | Securities sold, not yet purchased | 65 | | 29 | | — | | 25 | | (15) | | 53 | | — | | — | | (61) | | 38 | | (26) | |
| Other trading liabilities | Other trading liabilities | 26 | | 20 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 6 | | 21 | | Other trading liabilities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Short-term borrowings | Short-term borrowings | 219 | | (1) | | 0 | | 2 | | (12) | | 0 | | 8 | | 0 | | (169) | | 49 | | (1) | | Short-term borrowings | 105 | | 88 | | — | | 28 | | (9) | | — | | 7 | | — | | (7) | | 36 | | 9 | |
| Long-term debt | Long-term debt | 25,210 | | 2,622 | | 0 | | 932 | | (2) | | 0 | | 5,720 | | 0 | | (2,901) | | 26,337 | | 1,962 | | Long-term debt | 25,509 | | 3,526 | | — | | 3,408 | | (873) | | — | | 3,172 | | — | | (258) | | 27,432 | | 3,436 | |
| Other financial liabilities measured on a recurring basis | Other financial liabilities measured on a recurring basis | 1 | | 0 | | (3) | | 0 | | 0 | | 0 | | 14 | | 0 | | (10) | | 8 | | (3) | | Other financial liabilities measured on a recurring basis | 1 | | — | | 1 | | — | | — | | — | | — | | 0 | — | | — | | — | |
|
(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 2021.2022.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Dec. 31, 2019 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Mar. 31, 2020 |
| Assets | | | | | | | | | | | |
| Securities borrowed or purchased under agreements to resell | $ | 303 | | $ | (20) | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 66 | | $ | 0 | | $ | 0 | | $ | (49) | | $ | 300 | | $ | 3 | |
| Trading non-derivative assets | | | | | | | | | | | |
| Trading mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 10 | | (75) | | 0 | | 12 | | (3) | | 141 | | 0 | | 0 | | 0 | | 85 | | 4 | |
| Residential | 123 | | (8) | | 0 | | 60 | | (4) | | 178 | | 0 | | (45) | | 0 | | 304 | | (11) | |
| Commercial | 61 | | 0 | | 0 | | 3 | | (3) | | 27 | | 0 | | (44) | | 0 | | 44 | | (1) | |
| Total trading mortgage-backed securities | $ | 194 | | $ | (83) | | $ | 0 | | $ | 75 | | $ | (10) | | $ | 346 | | $ | 0 | | $ | (89) | | $ | 0 | | $ | 433 | | $ | (8) | |
| U.S. Treasury and federal agency securities | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| State and municipal | 64 | | 2 | | 0 | | 10 | | (2) | | 21 | | 0 | | (3) | | 0 | | 92 | | 0 | |
| Foreign government | 52 | | (85) | | 0 | | 0 | | 0 | | 86 | | 0 | | (14) | | 0 | | 39 | | 70 | |
| Corporate | 313 | | 302 | | 0 | | 22 | | 8 | | 215 | | 0 | | (448) | | 0 | | 412 | | 246 | |
| Equity securities | 100 | | 0 | | 0 | | 28 | | (3) | | 32 | | 0 | | (14) | | 0 | | 143 | | 1 | |
| Asset-backed securities | 1,177 | | (169) | | 0 | | 239 | | (4) | | 468 | | 0 | | (150) | | 0 | | 1,561 | | (307) | |
| Other trading assets | 555 | | 193 | | 0 | | 28 | | (137) | | 105 | | 8 | | (103) | | (10) | | 639 | | 195 | |
| Total trading non-derivative assets | $ | 2,455 | | $ | 160 | | $ | 0 | | $ | 402 | | $ | (148) | | $ | 1,273 | | $ | 8 | | $ | (821) | | $ | (10) | | $ | 3,319 | | $ | 197 | |
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | 1 | | $ | 351 | | $ | 0 | | $ | 1,383 | | $ | (22) | | $ | 1 | | $ | 56 | | $ | 13 | | $ | (28) | | $ | 1,755 | | $ | 314 | |
| Foreign exchange contracts | (5) | | (15) | | 0 | | (25) | | 9 | | 44 | | 0 | | (8) | | 2 | | 2 | | 19 | |
| Equity contracts | (1,596) | | (210) | | 0 | | (287) | | 224 | | 3 | | 0 | | (1) | | 31 | | (1,836) | | (223) | |
| Commodity contracts | (59) | | (459) | | 0 | | 38 | | (56) | | 46 | | 0 | | (34) | | (18) | | (542) | | (441) | |
| Credit derivatives | (56) | | 946 | | 0 | | 154 | | (286) | | 0 | | 0 | | 0 | | 58 | | 816 | | 946 | |
Total trading derivatives, net(4) | $ | (1,715) | | $ | 613 | | $ | 0 | | $ | 1,263 | | $ | (131) | | $ | 94 | | $ | 56 | | $ | (30) | | $ | 45 | | $ | 195 | | $ | 615 | |
| Investments | | | | | | | | | | | |
| Mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 32 | | $ | 0 | | $ | 14 | | $ | 0 | | $ | 1 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 47 | | $ | 34 | |
| Residential | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Commercial | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Total investment mortgage-backed securities | $ | 32 | | $ | 0 | | $ | 14 | | $ | 0 | | $ | 1 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 47 | | $ | 34 | |
| U.S. Treasury and federal agency securities | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| State and municipal | 623 | | 0 | | (31) | | 138 | | 0 | | 0 | | 0 | | (43) | | 0 | | 687 | | (9) | |
| Foreign government | 96 | | 0 | | (2) | | 27 | | 0 | | 147 | | 0 | | (43) | | 0 | | 225 | | (16) | |
| Corporate | 45 | | 0 | | (8) | | 49 | | 0 | | 152 | | 0 | | 0 | | 0 | | 238 | | — | |
| Equity securities | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Asset-backed securities | 22 | | 0 | | 5 | | 0 | | 0 | | 0 | | 0 | | (11) | | 0 | | 16 | | 0 | |
| Other debt securities | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Non-marketable equity securities | 441 | | 0 | | (74) | | 0 | | 0 | | 0 | | 0 | | (3) | | (10) | | 354 | | (76) | |
| Total investments | $ | 1,259 | | $ | 0 | | $ | (96) | | $ | 214 | | $ | 1 | | $ | 299 | | $ | 0 | | $ | (100) | | $ | (10) | | $ | 1,567 | | $ | (67) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Dec. 31, 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Mar. 31, 2021 |
| Assets | | | | | | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | 320 | | $ | (9) | | $ | — | | $ | — | | $ | — | | $ | 233 | | $ | — | | $ | — | | $ | (282) | | $ | 262 | | $ | 3 | |
| Trading non-derivative assets | | | | | | | | | | | |
| Trading mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 27 | | (1) | | — | | 14 | | (1) | | 1 | | — | | (2) | | — | | 38 | | (1) | |
| Residential | 340 | | 23 | | — | | 28 | | (3) | | 144 | | — | | (264) | | — | | 268 | | 7 | |
| Commercial | 136 | | 5 | | — | | 16 | | (33) | | 13 | | — | | (78) | | — | | 59 | | (7) | |
| Total trading mortgage-backed securities | $ | 503 | | $ | 27 | | $ | — | | $ | 58 | | $ | (37) | | $ | 158 | | $ | — | | $ | (344) | | $ | — | | $ | 365 | | $ | (1) | |
| U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | 94 | | — | | — | | — | | — | | — | | — | | — | | — | | 94 | | 1 | |
| Foreign government | 51 | | 1 | | — | | 11 | | — | | 57 | | — | | (39) | | — | | 81 | | (3) | |
| Corporate | 375 | | 90 | | — | | 6 | | (118) | | 67 | | — | | (130) | | — | | 290 | | 41 | |
| Marketable equity securities | 73 | | 45 | | — | | 4 | | (2) | | 12 | | — | | (43) | | — | | 89 | | 9 | |
| Asset-backed securities | 1,606 | | 39 | | — | | 18 | | (50) | | 582 | | — | | (987) | | — | | 1,208 | | (79) | |
| Other trading assets | 945 | | (44) | | — | | 30 | | (8) | | 147 | | 4 | | (499) | | (4) | | 571 | | 1 | |
| Total trading non-derivative assets | $ | 3,647 | | $ | 158 | | $ | — | | $ | 127 | | $ | (215) | | $ | 1,023 | | $ | 4 | | $ | (2,042) | | $ | (4) | | $ | 2,698 | | $ | (31) | |
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | 1,614 | | $ | (172) | | $ | — | | $ | (45) | | $ | — | | $ | — | | $ | (84) | | $ | — | | $ | (84) | | $ | 1,229 | | $ | (85) | |
| Foreign exchange contracts | 52 | | (138) | | — | | 8 | | — | | 23 | | — | | (15) | | (16) | | (86) | | (31) | |
| Equity contracts | (3,213) | | 303 | | — | | 36 | | 6 | | 24 | | — | | (23) | | (9) | | (2,876) | | 268 | |
| Commodity contracts | 292 | | 314 | | — | | 158 | | (5) | | 66 | | — | | (110) | | 17 | | 732 | | 324 | |
| Credit derivatives | 48 | | (64) | | — | | 67 | | 3 | | — | | — | | — | | 17 | | 71 | | (64) | |
Total trading derivatives, net(4) | $ | (1,207) | | $ | 243 | | $ | — | | $ | 224 | | $ | 4 | | $ | 113 | | $ | (84) | | $ | (148) | | $ | (75) | | $ | (930) | | $ | 412 | |
| Investments | | | | | | | | | | | |
| Mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 30 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 30 | | $ | — | |
| Residential | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Commercial | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| | | | | | | | | | | |
| Total investment mortgage-backed securities | $ | 30 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 30 | | $ | — | |
| U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | 834 | | — | | (18) | | 4 | | — | | 1 | | — | | (27) | | — | | 794 | | (16) | |
| Foreign government | 268 | | — | | (2) | | — | | — | | 330 | | — | | (73) | | — | | 523 | | (11) | |
| Corporate | 60 | | — | | (4) | | — | | — | | — | | — | | — | | — | | 56 | | — | |
| | | | | | | | | | | |
| Asset-backed securities | 1 | | — | | — | | 3 | | — | | — | | — | | — | | — | | 4 | | — | |
| | | | | | | | | | | |
| Non-marketable equity securities | 349 | | — | | 10 | | 1 | | — | | — | | — | | (8) | | — | | 352 | | 4 | |
| Total investments | $ | 1,542 | | $ | — | | $ | (14) | | $ | 8 | | $ | — | | $ | 331 | | $ | — | | $ | (108) | | $ | — | | $ | 1,759 | | $ | (23) | |
Table continues on the next page.
| | | | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | Unrealized
gains
(losses)
still held(3) | | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | In millions of dollars | Dec. 31, 2019 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Mar. 31, 2020 | In millions of dollars | Dec. 31 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Mar. 31, 2021 |
| Loans | Loans | $ | 402 | | $ | 0 | | $ | (79) | | $ | 217 | | $ | (1) | | $ | 0 | | $ | 0 | | $ | 0 | | $ | (2) | | $ | 537 | | $ | (127) | | Loans | $ | 1,985 | | $ | — | | $ | (128) | | $ | 211 | | $ | — | | $ | — | | $ | 1 | | $ | — | | $ | (125) | | $ | 1,944 | | $ | (125) | |
| Mortgage servicing rights | Mortgage servicing rights | 495 | | 0 | | (143) | | 0 | | 0 | | 0 | | 32 | | 0 | | (17) | | 367 | | (133) | | Mortgage servicing rights | 336 | | — | | 73 | | — | | — | | — | | 43 | | — | | (19) | | 433 | | 80 | |
| Other financial assets measured on a recurring basis | Other financial assets measured on a recurring basis | 1 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | (1) | | 0 | | 0 | | 0 | | Other financial assets measured on a recurring basis | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Liabilities | Liabilities | | | | Liabilities | | | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 215 | | $ | 0 | | $ | (6) | | $ | 278 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | (8) | | $ | 491 | | $ | 0 | | Interest-bearing deposits | $ | 206 | | $ | — | | $ | 16 | | $ | — | | $ | — | | $ | — | | $ | 9 | | $ | — | | $ | — | | $ | 199 | | $ | 7 | |
| Securities loaned or sold under agreements to repurchase | 757 | | 27 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 730 | | (33) | | |
| Securities loaned and sold under agreements to repurchase | | Securities loaned and sold under agreements to repurchase | 631 | | (15) | | — | | — | | — | | 408 | | — | | — | | (77) | | 977 | | (15) | |
| Trading account liabilities | Trading account liabilities | | — | | | Trading account liabilities | | | |
| Securities sold, not yet purchased | Securities sold, not yet purchased | 48 | | (167) | | 0 | | 8 | | (10) | | 0 | | 9 | | 0 | | (22) | | 200 | | (240) | | Securities sold, not yet purchased | 214 | | 54 | | — | | 8 | | (4) | | 10 | | — | | — | | (7) | | 167 | | 39 | |
| Other trading liabilities | Other trading liabilities | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Other trading liabilities | 26 | | 20 | | — | | — | | — | | — | | — | | — | | — | | 6 | | 21 | |
| Short-term borrowings | Short-term borrowings | 13 | | 10 | | 0 | | 11 | | 0 | | 0 | | 38 | | 0 | | 0 | | 52 | | 10 | | Short-term borrowings | 219 | | (1) | | — | | 2 | | (12) | | — | | 8 | | — | | (169) | | 49 | | (1) | |
| Long-term debt | Long-term debt | 17,169 | | 1,311 | | 0 | | 3,189 | | (2,693) | | 0 | | 4,261 | | 0 | | (1,346) | | 19,269 | | 936 | | Long-term debt | 25,210 | | 2,622 | | — | | 932 | | (2) | | — | | 5,720 | | — | | (2,901) | | 26,337 | | 1,962 | |
| Other financial liabilities measured on a recurring basis | Other financial liabilities measured on a recurring basis | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 2 | | 0 | | (2) | | 0 | | 0 | | Other financial liabilities measured on a recurring basis | 1 | | — | | (3) | | — | | — | | — | | 14 | | — | | (10) | | 8 | | (3) | |
|
(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale investmentsdebt securities are recorded in AOCI, unless related to creditother-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 2020.2022.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
Level 3 Fair Value Rollforward
The following were the significant Level 3 transfers for the period December 31, 2021 to March 31, 2022:
•During the three months ended March 31, 2022, transfers of Long-term debt were $3.4 billion from Level 2 to Level 3. Of the $3.4 billion transfer in the three months ended March 31, 2022, approximately $2.9 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $0.5 billion related to equity and credit derivative inputs (in addition to other volatility inputs, e.g., interest rate volatility inputs) becoming unobservable and/or significant to their overall valuation. In other instances, market changes have resulted in some inputs becoming more observable, and some unobservable inputs becoming less significant to the overall valuation of the instruments (e.g., when an option becomes deep-in or deep-out of the money). This has primarily resulted in $0.9 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three months ended March 31, 2022.
There were no significant Level 3 transfers for the period December 31, 2020 to March 31, 2021.
The following were the significant Level 3 transfers for the period December 31, 2019 to March 31, 2020:
•Transfers of Interest rate contracts of $1.4 billion from Level 2 to Level 3 due to interest rate option volatility becoming an unobservable and/or significant input relative to the overall valuation of inflation and other interest rate derivatives.
•Transfers of Long-term debt of $3.2 billion from Level 2 to Level 3, primarily driven by $2.0 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to the overall valuation of certain structured long-term debt products and $1.2 billion related to structured debt products where unobservable credit spreads widened, causing the value of the embedded credit derivative feature to become significant relative to the total value of the instrument. In other instances, market changes have resulted in unobservable volatility becoming an insignificant input to the overall valuation of the instrument (e.g., when an option becomes deep-in or deep-out of the money). This has primarily resulted in $2.7 billion of certain structured long-term debt products being transferred from Level 3 to Level 2.
Valuation Techniques and Inputs for Level 3 Fair Value
Measurements
The following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements.
Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.
| | As of March 31, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | |
| As of March 31, 2022 | | As of March 31, 2022 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| Assets | Assets | | | Assets | | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | $ | 262 | | Model-based | Credit spread | 15 bps | Securities borrowed and purchased under agreements to resell | $ | 202 | | Model-based | Credit spread | 15 bps |
| | Interest rate | 0.34 | % | 0.40 | % | 0.37 | % | | Interest rate | 0.93 | % | 1.61 | % | 1.29 | % |
| Mortgage-backed securities | Mortgage-backed securities | $ | 227 | | Price-based | Price | $ | 24.00 | | $ | 114.77 | | $ | 91.51 | | Mortgage-backed securities | $ | 406 | | Yield analysis | Yield | 2.89 | % | 23.51 | % | 8.74 | % |
| | 148 | | Yield analysis | Yield | 2.47 | % | 19.21 | % | 8.44 | % | | 331 | | Price-based | Price | $ | 1.44 | | $ | 107.50 | | $ | 62.19 | |
| State and municipal, foreign government, corporate and other debt securities | State and municipal, foreign government, corporate and other debt securities | $ | 1,488 | | Price-based | Price | $ | 0 | $ | 865.86 | $ | 89.54 | State and municipal, foreign government, corporate and other debt securities | $ | 2,755 | | Price-based | Price | $ | — | $ | 972.91 | $ | 181.94 |
| | 778 | | Model-based | Credit spread | 35 bps | 375 bps | 230 bps | | 388 | | Model-based | | |
Marketable equity securities(5) | Marketable equity securities(5) | $ | 49 | | Price-based | Price | $ | 0 | $ | 70,000 | $ | 14,868 | Marketable equity securities(5) | $ | 152 | | Price-based | Price | $ | — | $ | 11,150.34 | $ | 78.60 |
| | | 36 | | Model-based | WAL | 1.49 years |
| | 32 | | Model-based | Recovery (in millions) | $ | 5,733 | | $ | 5,733 | | $ | 5,733 | | | Recovery (in millions) | $ | 7,148 | | $ | 7,148 | | $ | 7,148 | |
| | WAL | 1.23 years | |
| Asset-backed securities | Asset-backed securities | $ | 789 | | Price-based | Price | $ | 2.07 | $ | 130.05 | $ | 70.09 | Asset-backed securities | $ | 337 | | Price-based | Price | $ | 22.50 | $ | 100.00 | $ | 83.09 |
| | 422 | | Yield analysis | Yield | 3.04 | % | 15.54 | % | 7.71 | % | | 123 | | Yield analysis | Yield | 3.99 | % | 14.71 | % | 7.67 | % |
| Non-marketable equities | Non-marketable equities | $ | 214 | | Comparables analysis | Illiquidity discount | 10.00 | % | 35.00 | % | 21.94 | % | Non-marketable equities | $ | 161 | | Comparables analysis | Illiquidity discount | 10.00 | % | 33.10 | % | 27.05 | % |
| | 100 | | Price-based | PE Ratio | 12.00x | 28.40x | 18.42x | | 93 | | Price-based | PE ratio | 10.00x | 18.90x | 13.12x |
| | 37 | Model-based | Adjustment factor | 0.11x | 0.56x | 0.26x | | 42 | Model-based | Adjustment factor | 0.33x | 0.50x | 0.35x |
| | Price | $ | 0.97 | $ | 1,960.00 | $ | 1,538.36 | | Price | $ | 187.74 | $ | 2,532.62 | $ | 2,013.54 |
| | EBITDA multiples | 4.20x | 16.70x | 11.85x | | Cost of capital | 17.50 | % | 20.00 | % | 17.60 | % |
| | Revenue multiple | 2.30x | 28.80x | 16.13x | | Revenue multiple | 18.50x | 30.00x | 19.56x |
Derivatives—gross(6) | Derivatives—gross(6) | | Derivatives—gross(6) | |
| Interest rate contracts (gross) | Interest rate contracts (gross) | $ | 4,892 | | Model-based | Inflation volatility | 0.26 | % | 2.90 | % | 0.78 | % | Interest rate contracts (gross) | $ | 5,143 | | Model-based | IR Normal volatility | 0.29 | % | 1.42 | % | 0.87 | % |
| IR normal volatility | 0.12 | % | 0.89 | % | 0.61 | % | |
| Foreign exchange contracts (gross) | Foreign exchange contracts (gross) | $ | 1,200 | | Model-based | FX volatility | 0.59 | % | 13.70 | % | 11.78 | % | Foreign exchange contracts (gross) | $ | 1,818 | | Model-based | Yield | (0.06) | % | 1.49 | % | 0.26 | % |
| | Interest rate | 0.06 | % | 46.79 | % | 1.09 | % | | IR Normal volatility | 0.27 | % | 1.39 | % | 0.47 | % |
| | | Credit spread | 137 bps | 535 bps | 508 bps |
| | | IR normal volatility | 0.12 | % | 0.88 | % | 0.41 | % | |
| Equity contracts (gross)(7) | | Equity contracts (gross)(7) | $ | 4,987 | | Model-based | Equity volatility | 0.07 | % | 312.13 | % | 30.49 | % |
| | | Equity forward | 60.82 | % | 203.15 | % | 90.56 | % |
| | | Equity-Equity correlation | (6.49) | % | 99.80 | % | 85.81 | % |
Equity contracts (gross)(7) | $ | 6,594 | | Model-based | Equity volatility | 5.98 | % | 94.42 | % | 42.72 | % | |
| | Forward price | 61.90 | % | 108.04 | % | 93.54 | % | | Equity-FX correlation | (95.00) | % | 80.00 | % | (17.60) | % |
| | Commodity and other contracts (gross) | Commodity and other contracts (gross) | 2,672 | | Model-based | Commodity correlation | (51.81) | % | 92.81 | % | 62.96 | % | Commodity and other contracts (gross) | $ | 3,109 | | Model-based | Commodity correlation | (51.32) | % | 91.86 | % | 33.31 | % |
| | Commodity volatility | 0.10 | % | 65.86 | % | 24.26 | % | | Commodity volatility | 15.33 | % | 177.76 | % | 29.32 | % |
| | Forward price | 9.42 | % | 383.13 | % | 94.30 | % | | Forward price | 23.78 | % | 666.67 | % | 116.53 | % |
| Credit derivatives (gross) | Credit derivatives (gross) | $ | 1,848 | | Model-based | Credit spread | 6 bps | 500 bps | 88 bps | Credit derivatives (gross) | $ | 1,718 | | Model-based | Credit spread | 6 bps | 875 bps | 83 bps |
| | 413 | | Price-based | Recovery rate | 25.00 | % | 60.00 | % | 39.84 | % | | 457 | | Price-based | Recovery rate | 25.00 | % | 40.00 | % | 37.82 | % |
| | Upfront points | 0 | % | 99.12 | % | 50.13 | % | | Upfront points | (2.78) | % | 99.00 | % | 53.64 | % |
| | | Credit correlation | 25.00 | % | 75.00 | % | 43.71 | % |
| | | Price | $ | 25.50 | $ | 102.00 | $ | 73.71 |
| | Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross) | | Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross) | $ | 63 | | Price-based | Price | $ | 87.71 | $ | 114.38 | $ | 101.03 |
| Loans and leases | Loans and leases | $ | 1,893 | | Model-based | Equity volatility | 23.41 | % | 80.12 | % | 62.45 | % | Loans and leases | $ | 604 | | Model-based | Equity volatility | 24.51 | % | 89.69 | % | 60.07 | % |
| Mortgage servicing rights | $ | 354 | | Cash flow | Yield | 3.00 | % | 16.60 | % | 7.57 | % | |
| | | | Commodity volatility | 15.33 | % | 177.76 | % | 29.32 | % |
| | As of March 31, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | |
| As of March 31, 2022 | | As of March 31, 2022 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| | | Commodity correlation | (51.32) | % | 91.86 | % | 33.31 | % |
| | | Forward price | 23.78 | % | 403.25 | % | 108.34 | % |
| Mortgage servicing rights | | Mortgage servicing rights | $ | 448 | | Cash flow | Yield | 0.10 | % | 13.10 | % | 5.25 | % |
| | 79 | | Model-based | WAL | 3.45 years | 6.91 years | 5.86 years | | 72 | | Model-based | WAL | 3.7 years | 8.24 years | 6.67 years |
| Liabilities | Liabilities | | Liabilities | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 199 | | Model-based | IR normal volatility | 0.12 | % | 0.89 | % | 0.68 | % | Interest-bearing deposits | $ | 191 | | Model-based | IR Normal volatility | 0.40 | % | 1.39 | % | 0.62 | % |
| | | Forward price | 100.00 | % | 100.00 | % | 100.00 | % |
| | | Equity forward | 60.82 | % | 203.15 | % | 90.48 | % |
| | | Equity volatility | 0.07 | % | 312.13 | % | 21.65 | % |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | $ | 977 | | Model-based | Interest rate | 0.08 | % | 1.86 | % | 0.71 | % | Securities loaned and sold under agreements to repurchase | $ | 612 | | Model-based | Interest rate | 0.58 | % | 2.80 | % | 2.49 | % |
| Trading account liabilities | Trading account liabilities | | Trading account liabilities | |
| Securities sold, not yet purchased and other trading liabilities | Securities sold, not yet purchased and other trading liabilities | $ | 129 | | Model-based | IR lognormal volatility | 60.74 | % | 140.02 | % | 109.00 | % | Securities sold, not yet purchased and other trading liabilities | $ | 53 | | Price-based | Price | $ | — | $ | 12,100.00 | $ | 1,956.88 |
| | 45 | | Price-based | Price | $ | 0 | $ | 865.86 | $ | 77.85 | |
| | Interest rate | 0.20 | % | 39.36 | % | 7.26 | % | |
| | Short-term borrowings and long-term debt | Short-term borrowings and long-term debt | $ | 26,380 | | Model-based | IR normal volatility | 0.12 | % | 0.89 | % | 0.62 | % | Short-term borrowings and long-term debt | $ | 27,176 | | Model-based | IR Normal volatility | 0.27 | % | 13.00 | % | 0.69 | % |
| | Forward price | 9.42 | % | 383.13 | % | 92.82 | % | | Equity volatility | 0.07 | % | 312.13 | % | 21.98 | % |
| | | Equity forward | 60.82 | % | 203.15 | % | 90.48 | % |
| | | Equity-IR correlation | (10.00) | % | 60.00 | % | 35.22 | % |
| | | | | | | | | | | | | | | | | | | | |
| As of December 31, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| Assets | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | 320 | | Model-based | Credit spread | 15 bps | 15 bps | 15 bps |
| | | Interest rate | 0.30 | % | 0.35 | % | 0.32 | % |
| Mortgage-backed securities | $ | 344 | | Price-based | Price | $ | 30 | | $ | 111 | | $ | 80 | |
| 168 | | Yield analysis | Yield | 2.63 | % | 21.80 | % | 10.13 | % |
| State and municipal, foreign government, corporate and other debt securities | $ | 1,566 | | Price-based | Price | $ | 0 | | $ | 2,265 | | $ | 90 | |
| 852 | | Model-based | Credit spread | 35 bps | 375 bps | 226 bps |
Marketable equity securities(5) | $ | 36 | | Model-based | Price | $ | 0 | | $ | 31,000 | | $ | 5,132 | |
| 36 | | Price-based | WAL | 1.48 years | 1.48 years | 1.48 years |
| | | Recovery (in millions) | $ | 5,733 | | $ | 5,733 | | $ | 5,733 | |
| Asset-backed securities | $ | 863 | | Price-based | Price | $ | 2 | | $ | 157 | | $ | 59 | |
| 744 | | Yield analysis | Yield | 3.77 | % | 21.77 | % | 9.01 | % |
| Non-marketable equities | $ | 205 | | Comparables analysis | Illiquidity discount | 10.00 | % | 45.00 | % | 25.29 | % |
| | | PE ratio | 13.60x | 28.00x | 22.83x |
| 142 | | Price-based | Price | $ | 136 | | $ | 2,041 | | $ | 1,647 | |
| | | EBITDA multiples | 3.30x | 36.70x | 15.10x |
| | | Adjustment factor | 0.20x | 0.61x | 0.25x |
| | | Appraised value (in thousands) | $ | 287 | | $ | 39,745 | | $ | 21,754 | |
| | | Revenue multiple | 2.70x | 28.00x | 8.92x |
Derivatives—gross(6) | | | | | | |
| Interest rate contracts (gross) | $ | 5,143 | | Model-based | Inflation volatility | 0.27 | % | 2.36 | % | 0.78 | % |
| | | IR normal volatility | 0.11 | % | 0.73 | % | 0.52 | % |
| Foreign exchange contracts (gross) | $ | 1,296 | | Model-based | FX volatility | 1.70 | % | 12.63 | % | 5.41 | % |
| | | Contingent event | 100.00 | % | 100.00 | % | 100.00 | % |
| | | Interest rate | 0.84 | % | 84.09 | % | 17.55 | % |
| | | IR normal volatility | 0.11 | % | 0.52 | % | 0.46 | % |
| | | IR-FX correlation | 40.00 | % | 60.00 | % | 50.00 | % |
| | | IR-IR correlation | (21.71) | % | 40.00 | % | 38.09 | % |
Equity contracts (gross)(7) | $ | 7,330 | | Model-based | Equity volatility | 5.00 | % | 91.43 | % | 42.74 | % |
| | | Forward price | 65.88 | % | 105.20 | % | 91.82 | % |
| | | | | | | | | | | | | | | | | | | | |
| As of December 31, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| Assets | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | 231 | | Model-based | Credit spread | 15 bps | 15 bps | 15 bps |
| | | Interest rate | 0.26 | % | 0.72 | % | 0.50 | % |
| Mortgage-backed securities | $ | 279 | | Price-based | Price | $ | 4 | | $ | 118 | | $ | 79 | |
| 526 | | Yield analysis | Yield | 1.43 | % | 23.79 | % | 7.25 | % |
| State and municipal, foreign government, corporate and other debt securities | $ | 2,264 | | Price-based | Price | $ | — | | $ | 995 | | $ | 193 | |
| 415 | | Model-based | Equity volatility | 0.08 | % | 290.64 | % | 53.94 | % |
Marketable equity securities(5) | $ | 128 | | Price-based | Price | $ | — | | $ | 73,000 | | $ | 6,477 | |
| 43 | | Model-based | WAL | 1.73 years | 1.73 years | 1.73 years |
| | | Recovery (in millions) | $ | 7,148 | | $ | 7,148 | | $ | 7,148 | |
| Asset-backed securities | $ | 386 | | Price-based | Price | $ | 5 | | $ | 754 | | $ | 87 | |
| 208 | | Yield analysis | Yield | 2.43 | % | 19.35 | % | 8.18 | % |
| Non-marketable equities | $ | 121 | | Price-based | Illiquidity discount | 10.00 | % | 36.00 | % | 26.43 | % |
| 112 | | Comparables analysis | PE ratio | 11.00x | 29.00x | 15.42x |
| 83 | | Model-based | Price | $ | 3 | | $ | 2,601 | | $ | 2,029 | |
| | | Adjustment factor | 0.33x | 0.44x | 0.34x |
| | | Revenue multiple | 19.80x | 30.00x | 20.48x |
| | | Cost of capital | 17.50 | % | 20.00 | % | 17.57 | % |
Derivatives—gross(6) | | | | | | |
| Interest rate contracts (gross) | $ | 6,054 | | Model-based | IR normal volatility | 0.24 | % | 0.94 | % | 0.70 | % |
| Foreign exchange contracts (gross) | $ | 1,364 | | Model-based | IR Normal volatility | 0.24 | % | 0.74 | % | 0.58 | % |
| | | FX volatility | 2.13 | % | 107.42 | % | 11.21 | % |
| | | Credit spread | 140 bps | 696 bps | 639 bps |
Equity contracts (gross)(7) | $ | 4,690 | | Model-based | Equity volatility | 0.08 | % | 290.64 | % | 47.67 | % |
| | | Equity forward | 57.99 | % | 165.83 | % | 89.45 | % |
| | As of December 31, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | |
| | | Equity-FX correlation | (95.00) | % | 80.00 | % | (16.00) | % |
| | | Equity-Equity correlation | (6.49) | % | 99.00 | % | 85.61 | % |
| Commodity and other contracts (gross) | Commodity and other contracts (gross) | $ | 1,636 | | Model-based | Commodity correlation | (44.92) | % | 95.91 | % | 70.60 | % | Commodity and other contracts (gross) | $ | 3,172 | | Model-based | Forward price | 8.00 | % | 599.44 | % | 123.22 | % |
| | Commodity volatility | 0.16 | % | 80.17 | % | 23.72 | % | | Commodity volatility | 10.87 | % | 188.30 | % | 26.85 | % |
| | Forward price | 15.40 | % | 262.00 | % | 98.53 | % | | Commodity correlation | (50.52) | % | 89.83 | % | (7.11) | % |
| Credit derivatives (gross) | Credit derivatives (gross) | $ | 1,854 | | Model-based | Credit spread | 3.50 bps | 352.35 bps | 99.89 bps | Credit derivatives (gross) | $ | 1,480 | | Model-based | Credit spread | 1.00 bps | 874.72 bps | 68.83 bps |
| | 408 | | Price-based | Recovery rate | 20.00 | % | 60.00 | % | 41.60 | % | | 427 | | Price-based | Recovery rate | 20.00 | % | 75.00 | % | 44.72 | % |
| | Credit correlation | 25.00 | % | 80.00 | % | 43.36 | % | | Upfront points | 2.74 | % | 99.96 | % | 59.37 | % |
| | Upfront points | 0 | % | 107.20 | % | 48.10 | % | | Price | $ | 40 | | $ | 103 | | $ | 80 | |
| | | Credit correlation | 30.00 | % | 80.00 | % | 54.57 | % |
| | | Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross) | | Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross) | $ | 69 | | Price-based | Price | $ | 94 | | $ | 2,598 | | $ | 591 | |
| Loans and leases | Loans and leases | $ | 1,804 | | Model-based | Equity volatility | 24.65 | % | 83.09 | % | 58.23 | % | Loans and leases | $ | 691 | | Model-based | Equity volatility | 22.48 | % | 85.44 | % | 50.56 | % |
| | | Forward price | 26.95 | % | 333.08 | % | 106.97 | % |
| | | Commodity volatility | 10.87 | % | 188.30 | % | 26.85 | % |
| | | Commodity correlation | (50.52) | % | 89.83 | % | (7.11) | % |
| Mortgage servicing rights | Mortgage servicing rights | $ | 258 | | Cash flow | Yield | 2.86 | % | 16.00 | % | 6.32 | % | Mortgage servicing rights | $ | 331 | | Cash flow | Yield | (1.20) | % | 12.10 | % | 4.51 | % |
| | 78 | | Model-based | WAL | 2.66 years | 5.40 years | 4.46 years | | 73 | | Model-based | WAL | 2.75 years | 5.86 years | 5.14 years |
| Liabilities | Liabilities | | Liabilities | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 206 | | Model-based | IR Normal volatility | 0.11 | % | 0.73 | % | 0.54 | % | Interest-bearing deposits | $ | 183 | | Model-based | IR Normal volatility | 0.34 | % | 0.88 | % | 0.68 | % |
| | | Equity volatility | 0.08 | % | 290.64 | % | 54.05 | % |
| | | Equity forward | 57.99 | % | 165.83 | % | 89.39 | % |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | $ | 631 | | Model-based | Interest rate | 0.08 | % | 1.86 | % | 0.71 | % | Securities loaned and sold under agreements to repurchase | $ | 643 | | Model-based | Interest rate | 0.12 | % | 1.95 | % | 1.47 | % |
| Trading account liabilities | Trading account liabilities | | Trading account liabilities | |
| Securities sold, not yet purchased | $ | 178 | | Model-based | IR lognormal volatility | 52.06 | % | 128.87 | % | 89.82 | % | |
| Securities sold, not yet purchased and other trading liabilities | | Securities sold, not yet purchased and other trading liabilities | $ | 63 | | Price-based | Price | $ | — | | $ | 12,875 | | $ | 1,707 | |
| Short-term borrowings and long-term debt | | Short-term borrowings and long-term debt | $ | 25,514 | | Model-based | IR Normal volatility | 0.07 | % | 0.88 | % | 0.60 | % |
| | 62 | | Price-based | Price | $ | 0 | | $ | 866 | | $ | 80 | | | Equity volatility | 0.08 | % | 290.64 | % | 53.21 | % |
| | Interest rate | 10.03 | % | 20.07 | % | 13.70 | % | | Equity-IR correlation | (3.53) | % | 60.00 | % | 32.12 | % |
| | | Equity-FX correlation | (95.00) | % | 80.00 | % | (15.98) | % |
| | | FX volatility | 0.06 | % | 41.76 | % | 9.38 | % |
| Short-term borrowings and
long-term debt | $ | 24,827 | | Model-based | IR Normal volatility | 0.11 | % | 0.73 | % | 0.51 | % | |
| Forward price | 15.40 | % | 262.00 | % | 92.48 | % | |
(1)The tables above include the fair value amounts presented in these tables representvalues for the primary valuation technique or techniquesitems listed and may not foot to the total population for each class of assets or liabilities.category.
(2)Some inputs are shown as zero due to rounding.
(3)When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.
(4)Weighted averages are calculated based on the fair values of the instruments.
(5)For equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount.
(6)Both trading and non-trading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
(7)Includes hybrid products.
Items Measured at Fair Value on a Nonrecurring Basis
Certain assets and liabilities are measured at fair value on a nonrecurring basis and, therefore, are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. These also include non-marketable equity securities that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for thean identical or similar investment ofin 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 dollars | Fair value | Level 2 | Level 3 |
| March 31, 2021 | | | |
Loans HFS(1) | $ | 1,859 | | $ | 895 | | $ | 964 | |
| Other real estate owned | 26 | | 6 | | 20 | |
Loans(2) | 1,060 | | 646 | | 414 | |
| | | |
| Non-marketable equity securities measured using the measurement alternative | 254 | | 254 | | 0 | |
| Total assets at fair value on a nonrecurring basis | $ | 3,199 | | $ | 1,801 | | $ | 1,398 | |
| | In millions of dollars | In millions of dollars | Fair value | Level 2 | Level 3 | In millions of dollars | Fair value | Level 2 | Level 3 |
| December 31, 2020 | | | | |
| March 31, 2022 | | March 31, 2022 | | | |
Loans HFS(1) | Loans HFS(1) | $ | 3,375 | | $ | 478 | | $ | 2,897 | | Loans HFS(1) | $ | 2,517 | | $ | 1,257 | | $ | 1,260 | |
| Other real estate owned | Other real estate owned | 17 | | 4 | | 13 | | Other real estate owned | 7 | | — | | 7 | |
Loans(2) | Loans(2) | 1,015 | | 679 | | 336 | | Loans(2) | 147 | | — | | 147 | |
| | Non-marketable equity securities measured using the measurement alternative | Non-marketable equity securities measured using the measurement alternative | 315 | | 312 | | 3 | | Non-marketable equity securities measured using the measurement alternative | 149 | | — | | 149 | |
| Total assets at fair value on a nonrecurring basis | Total assets at fair value on a nonrecurring basis | $ | 4,722 | | $ | 1,473 | | $ | 3,249 | | Total assets at fair value on a nonrecurring basis | $ | 2,820 | | $ | 1,257 | | $ | 1,563 | |
| | | | | | | | | | | |
| In millions of dollars | Fair value | Level 2 | Level 3 |
| December 31, 2021 | | | |
Loans HFS(1) | $ | 2,298 | | $ | 986 | | $ | 1,312 | |
| Other real estate owned | 11 | | — | | 11 | |
Loans(2) | 144 | | — | | 144 | |
| Non-marketable equity securities measured using the measurement alternative | 655 | | 104 | | 551 | |
| Total assets at fair value on a nonrecurring basis | $ | 3,108 | | $ | 1,090 | | $ | 2,018 | |
(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 March 31, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) |
| Loans held-for-sale | $ | 964 | | Price-based | Price | $ | 74.33 | | $ | 100.00 | | $ | 98.00 | |
| Other real estate owned | $ | 17 | | Recovery analysis | Appraised value(4) | $ | 186,431 | | $ | 4,328,299 | | $ | 3,682,631 | |
| 3 | | Price-based | Price | 53.30 | | 53.30 | | 53.30 | |
Loans(5) | $ | 377 | | Price-based | Price | $ | 2.50 | | $ | 50.00 | | $ | 25.06 | |
| 37 | | Recovery analysis | Appraised value(4) | 95 | | 43,646,426 | | 15,277,236 | |
| | As of December 31, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) | |
| As of March 31, 2022 | | As of March 31, 2022 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) |
| Loans held-for-sale | Loans held-for-sale | $ | 2,683 | | Price-based | Price | $ | 79 | | $ | 100 | | $ | 98 | | Loans held-for-sale | $ | 1,224 | | Price-based | Price | $ | — | | $ | 100.00 | | $ | 85.72 | |
| Other real estate owned | Other real estate owned | $ | 7 | | Price-based | Appraised value(4) | $ | 3,110,711 | | $ | 4,241,357 | | $ | 3,586,975 | | Other real estate owned | $ | 6 | | Recovery analysis | Appraised value(4) | $ | 10,000 | | $ | 2,892,872 | | $ | 2,100,488 | |
| 4 | | Recovery analysis | Price | 51 | | 51 | | 51 | | |
| Loans(5) | Loans(5) | $ | 147 | | Price-based | Price | $ | 2 | | $ | 49 | | $ | 23 | | Loans (5) | $ | 147 | | Recovery analysis | Appraised value(4) | $ | 10,000 | | $ | 3,900,000 | | $ | 243,383 | |
| 73 | | Recovery analysis | Recovery rate | 0.99 | % | 78.00 | % | 13.37 | % | |
| Appraised value(4) | $ | 34 | | $ | 43,646,426 | | $ | 17,762,950 | | |
| | Non-marketable equity securities measured using the measurement alternative | | Non-marketable equity securities measured using the measurement alternative | $ | 149 | | Price-based | Price | $ | 0.46 | | $ | 29.49 | | $ | 8.19 | |
| | | | | | | | | | | | | | | | | | | | |
| As of December 31, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) |
| Loans HFS | $ | 1,312 | | Price-based | Price | $ | 89 | | $ | 100 | | $ | 99 | |
| Other real estate owned | $ | 4 | | Price-based | Appraised value(4) | $ | 14,000 | | $ | 2,392,464 | | $ | 1,660,120 | |
| 5 | | Recovery analysis | | | | |
Loans(5) | $ | 120 | | Recovery analysis | Appraised value(4) | $ | 10,000 | | $ | 3,900,000 | | $ | 247,018 | |
| 24 | | Price-based | Price | $ | 3 | | $ | 75 | | $ | 35 | |
| | | Recovery rate | 84.00 | % | 100.00 | % | 84.00 | % |
| Non-marketable equity securities measured using the measurement alternative | $ | 551 | | Price-based | Price | $ | 6 | | $ | 1,339 | | $ | 52 | |
| | | | | | |
| | | | | | |
(1)The table above includes the fair value amounts presented in this table representvalues for the primary valuation technique or techniquesitems listed and may not foot to the total population for each class of assets or liabilities.category.
(2)Some inputs are shown as zero due to rounding.
(3)Weighted averages are calculated based on the fair values of the instruments.
(4)Appraised values are disclosed in whole dollars.
(5)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.
Nonrecurring Fair Value Changes
The following tables presenttable presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:
| | | | | | | | |
| Three Months Ended March 31, |
| In millions of dollars | 2021 | 2020 |
| Loans HFS | $ | (4) | | $ | (391) | |
| Other real estate owned | 0 | | 0 | |
Loans(1) | 1 | | (44) | |
| Non-marketable equity securities measured using the measurement alternative | 81 | | 22 | |
| | |
| Total nonrecurring fair value gains (losses) | $ | 78 | | $ | (413) | |
| | | | | | | | |
| Three Months Ended March 31, |
| In millions of dollars | 2022 | 2021 |
| Loans HFS | $ | (152) | | $ | (4) | |
| Other real estate owned | — | | — | |
Loans(1) | 4 | | 1 | |
| Non-marketable equity securities measured using the measurement alternative | 85 | | 81 | |
| | |
| Total nonrecurring fair value gains (losses) | $ | (63) | | $ | 78 | |
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.
Estimated Fair Value of Financial Instruments Not Carried at Fair Value
The following table presentstables present the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The tabletables below therefore excludesexclude items measured at fair value on a recurring basis presented in the tables above.
| | | | March 31, 2021 | Estimated fair value | | March 31, 2022 | Estimated fair value |
| | | Carrying
value | Estimated
fair value | | | | Carrying
value | Estimated
fair value | |
| In billions of dollars | In billions of dollars | Level 1 | Level 2 | Level 3 | In billions of dollars | Level 1 | Level 2 | Level 3 |
| Assets | Assets | | | | | Assets | | | | |
| Investments | $ | 167.1 | | $ | 167.3 | | $ | 59.4 | | $ | 105.4 | | $ | 2.5 | | |
| Investments, net of allowance | | Investments, net of allowance | $ | 247.2 | | $ | 235.5 | | $ | 124.0 | | $ | 108.5 | | $ | 3.0 | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | 116.2 | | 116.2 | | 0 | | 116.2 | | 0 | | Securities borrowed and purchased under agreements to resell | 111.1 | | 111.1 | | — | | 108.2 | | 2.9 | |
Loans(1)(2) | Loans(1)(2) | 636.2 | | 653.1 | | 0 | | 0.9 | | 652.2 | | Loans(1)(2) | 638.4 | | 648.1 | | — | | — | | 648.1 | |
Other financial assets(2)(3) | Other financial assets(2)(3) | 415.8 | | 415.8 | | 305.5 | | 19.2 | | 91.1 | | Other financial assets(2)(3) | 393.8 | | 393.8 | | 251.5 | | 20.6 | | 121.7 | |
| Liabilities | Liabilities | | | | Liabilities | | | |
| Deposits | Deposits | $ | 1,297.8 | | $ | 1,298.6 | | $ | 0 | | $ | 1,125.7 | | $ | 172.9 | | Deposits | $ | 1,331.9 | | $ | 1,331.6 | | $ | — | | $ | 1,189.5 | | $ | 142.1 | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 150.5 | | 150.5 | | 0 | | 150.5 | | 0 | | Securities loaned and sold under agreements to repurchase | 139.0 | | 139.0 | | — | | 139.0 | | — | |
Long-term debt(4) | Long-term debt(4) | 188.3 | | 201.4 | | 0 | | 181.0 | | 20.4 | | Long-term debt(4) | 170.7 | | 175.6 | | — | | 170.3 | | 5.3 | |
Other financial liabilities(5) | Other financial liabilities(5) | 117.6 | | 117.6 | | 0 | | 18.3 | | 99.3 | | Other financial liabilities(5) | 144.9 | | 144.9 | | — | | 20.4 | | 124.5 | |
| | | | December 31, 2020 | Estimated fair value | | December 31, 2021 | Estimated fair value |
| | | Carrying
value | Estimated
fair value | | | | Carrying
value | Estimated
fair value | |
| In billions of dollars | In billions of dollars | Level 1 | Level 2 | Level 3 | In billions of dollars | Level 1 | Level 2 | Level 3 |
| Assets | Assets | | | | Assets | | | |
| Investments | $ | 110.3 | | $ | 113.2 | | $ | 23.3 | | $ | 87.0 | | $ | 2.9 | | |
| Investments, net of allowance | | Investments, net of allowance | $ | 221.9 | | $ | 221.0 | | $ | 111.8 | | $ | 106.4 | | $ | 2.8 | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | 109.5 | | 109.5 | | 0 | | 109.5 | | 0 | | Securities borrowed and purchased under agreements to resell | 110.8 | | 110.8 | | — | | 106.4 | | 4.4 | |
Loans(1)(2) | Loans(1)(2) | 643.3 | | 663.9 | | 0 | | 0.6 | | 663.3 | | Loans(1)(2) | 644.8 | | 659.6 | | — | | — | | 659.6 | |
Other financial assets(2)(3) | Other financial assets(2)(3) | 383.2 | | 383.2 | | 291.5 | | 18.1 | | 73.6 | | Other financial assets(2)(3) | 351.9 | | 351.9 | | 242.1 | | 19.9 | | 89.9 | |
| Liabilities | Liabilities | | | | Liabilities | | | |
| Deposits | Deposits | $ | 1,278.7 | | $ | 1,278.8 | | $ | 0 | | $ | 1,093.3 | | $ | 185.5 | | Deposits | $ | 1,315.6 | | $ | 1,316.2 | | $ | — | | $ | 1,153.9 | | $ | 162.3 | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 139.3 | | 139.3 | | 0 | | 139.3 | | 0 | | Securities loaned and sold under agreements to repurchase | 134.6 | | 134.6 | | — | | 134.5 | | 0.1 | |
Long-term debt(4) | Long-term debt(4) | 204.6 | | 221.2 | | 0 | | 197.8 | | 23.4 | | Long-term debt(4) | 171.8 | | 184.6 | | — | | 171.9 | | 12.7 | |
Other financial liabilities(5) | Other financial liabilities(5) | 102.4 | | 102.4 | | 0 | | 19.2 | | 83.2 | | Other financial liabilities(5) | 111.1 | | 111.1 | | — | | 17.0 | | 94.1 | |
(1)The carrying value of loans is net of the Allowance for credit losses on loans of $21.6$15.4 billion for March 31, 20212022 and $25.0$16.5 billion for December 31, 2020.2021. In addition, the carrying values exclude $0.6$0.4 billion and $0.7$0.5 billion of lease finance receivables at March 31, 20212022 and December 31, 2020,2021, 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 March 31, 20212022 and December 31, 20202021 were off-balance sheet liabilities of $7.3$9.8 billion and $7.3$8.1 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of
consumer unfunded lending commitments, which are generally cancellable by providing notice to the borrower.
21. FAIR VALUE ELECTIONS
The Company may elect to report most financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings, other than DVA (see below). The election is made upon the initial recognition of an eligible financial asset, financial liability or firm commitment or when certain specified reconsideration events occur. The fair value election may not otherwise be revoked once an election is made. The
changes in fair value are recorded in current earnings. Movements in DVA are reported as a component of AOCI. Additional discussion regarding the applicable areas in which fair value elections were made is presented in Note 20 to the Consolidated Financial Statements.20.
The Company has elected fair value accounting for its mortgage servicing rights (MSRs). See Note 18 to the Consolidated Financial Statements for further discussions regarding the accounting and reporting ofadditional details on Citi’s MSRs.
The following table presents the changes in fair value of those items for which the fair value option has been elected:
| | | | | | | | | | |
| Changes in fair value—gains (losses) |
| | Three Months Ended March 31, | |
| In millions of dollars | 2021 | 2020 | | |
| Assets | | | | |
| Securities borrowed and purchased under agreements to resell | $ | (28) | | $ | 92 | | | |
| Trading account assets | 101 | | (834) | | | |
| Investments | 0 | | 0 | | | |
| Loans | | | | |
| Certain corporate loans | 129 | | (863) | | | |
| Certain consumer loans | 0 | | 1 | | | |
| Total loans | $ | 129 | | $ | (862) | | | |
| Other assets | | | | |
| MSRs | $ | 73 | | $ | (143) | | | |
Certain mortgage loans HFS(1) | (3) | | 62 | | | |
| Total other assets | $ | 70 | | $ | (81) | | | |
| Total assets | $ | 272 | | $ | (1,685) | | | |
| Liabilities | | | | |
| Interest-bearing deposits | $ | 37 | | $ | 112 | | | |
| Securities loaned and sold under agreements to repurchase | 13 | | (288) | | | |
| Trading account liabilities | 2 | | (61) | | | |
Short-term borrowings(2) | (135) | | 1,256 | | | |
Long-term debt(2) | 2,008 | | 7,365 | | | |
| Total liabilities | $ | 1,925 | | $ | 8,384 | | | |
| | | | | | | | |
| Changes in fair value—gains (losses) |
| | Three Months Ended March 31, |
| In millions of dollars | 2022 | 2021 |
| Assets | | |
| Securities borrowed and purchased under agreements to resell | $ | (62) | | $ | (28) | |
| Trading account assets | (61) | | 101 | |
| Loans | | |
| Certain corporate loans | (332) | | 129 | |
| Certain consumer loans | (1) | | — | |
| Total loans | $ | (333) | | $ | 129 | |
| Other assets | | |
| MSRs | $ | 98 | | $ | 73 | |
Certain mortgage loans HFS(1) | (186) | | (3) | |
| Total other assets | $ | (88) | | $ | 70 | |
| Total assets | $ | (544) | | $ | 272 | |
| Liabilities | | |
| Interest-bearing deposits | $ | 45 | | $ | 37 | |
| Securities loaned and sold under agreements to repurchase | 77 | | 13 | |
| Trading account liabilities | (640) | | 2 | |
Short-term borrowings(2) | 132 | | (135) | |
Long-term debt(2) | 6,071 | | 2,008 | |
| Total liabilities | $ | 5,685 | | $ | 1,925 | |
(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.20.
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. 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.
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 a lossgain of $38$1,050 million and a gainloss of $4,188$38 million for the three months ended March 31, 20212022 and 2020,2021, 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 Uncollateralized 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 uncollateralized 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:
| | | | | | | | | | | | | | |
| | March 31, 2021 | December 31, 2020 |
| In millions of dollars | Trading assets | Loans | Trading assets | Loans |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 7,147 | | $ | 7,525 | | $ | 8,063 | | $ | 6,854 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | (112) | | (229) | | (915) | | (14) | |
| Balance of non-accrual loans or loans more than 90 days past due | 0 | | 4 | | 0 | | 4 | |
| Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due | 0 | | 0 | | 0 | | 0 | |
| | | | | | | | | | | | | | |
| | March 31, 2022 | December 31, 2021 |
| In millions of dollars | Trading assets | Loans | Trading assets | Loans |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 8,798 | | $ | 5,732 | | $ | 9,530 | | $ | 6,082 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | 113 | | 195 | | (100) | | 226 | |
| Balance of non-accrual loans or loans more than 90 days past due | — | | 266 | | — | | 1 | |
| Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due | — | | — | | — | | — | |
In addition to the amounts reported above, $921$713 million and $1,068$719 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of March 31, 20212022 and December 31, 2020,2021, 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 three months ended March 31, 20212022 and 20202021 due to instrument-specific credit risk totaled to a losslosses of $(2)$(59) million and a loss of $(83)$(2) 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 $0.7$0.3 billion and $0.5$0.3 billion at March 31, 20212022 and December 31, 2020,2021, respectively. The amounts are expected to fluctuate based on trading activity in future periods.
As part of its commodity and foreign currency trading activities, Citi trades unallocated precious metals investments and executes forward purchase and forward sale derivative contracts with trading counterparties. When Citi sells an unallocated precious metals investment, Citi’s receivable from its depository bank is repaid and Citi derecognizes its investment in the unallocated precious metal. The forward purchase or sale contract with the trading counterparty indexed to unallocated precious metals is accounted for as a derivative, at fair value through earnings. As of March 31, 2021,2022, there were approximately $6.0$23.6 billion and $5.0$14.4 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 dollars | March 31,
2021 | December 31, 2020 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 1,434 | | $ | 1,742 | |
| Aggregate fair value in excess of (less than) unpaid principal balance | (276) | | 91 | |
| Balance of non-accrual loans or loans more than 90 days past due | 0 | | 0 | |
| Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due | 0 | | 0 | |
| | | | | | | | |
| In millions of dollars | March 31,
2022 | December 31, 2021 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 2,046 | | $ | 3,035 | |
| Aggregate fair value in excess of (less than) unpaid principal balance | (64) | | 70 | |
| Balance of non-accrual loans or loans more than 90 days past due | — | | 1 | |
| Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due | — | | — | |
The changes in the fair values of these mortgage loans are reported in Other revenue in the Company’s Consolidated Statement of Income. There was no net change in fair value during the three months ended March 31, 20212022 and 20202021 due to instrument-specific credit risk. Related interest income continues to be measured based on the contractual interest rates and reported as Interest revenue in the Consolidated Statement of Income.
Certain StructuredDebt Liabilities
The Company has elected the fair value option for certain structured liabilities whose performance is linked to structured interest rates, inflation, currency, equity, referenced credit or commodity risks.debt liabilities. The Company elected the fair value option because these exposures are considered to be trading-related positions and, therefore, they are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives (classified as Trading account liabilities) on the Company’s Consolidated Balance Sheet according to their legal form.
The following table provides information about the carrying value of structured notes carried at fair value, disaggregated by type of embedded derivative instrument:risk:
| | | | | | | | |
| In billions of dollars | March 31, 2021 | December 31, 2020 |
| Interest rate linked | $ | 24.7 | | $ | 16.0 | |
| Foreign exchange linked | 0.8 | | 1.2 | |
| Equity linked | 29.5 | | 27.3 | |
| Commodity linked | 1.4 | | 1.4 | |
| Credit linked | 2.6 | | 2.6 | |
| Total | $ | 59.0 | | $ | 48.5 | |
| | | | | | | | |
| In billions of dollars | March 31, 2022 | December 31, 2021 |
| Interest rate linked | $ | 38.8 | | $ | 38.9 | |
| Foreign exchange linked | — | | — | |
| Equity linked | 36.5 | | 36.1 | |
| Commodity linked | 4.4 | | 3.9 | |
| Credit linked | 3.6 | | 3.7 | |
| Total | $ | 83.3 | | $ | 82.6 | |
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 are 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 are reported in Principal transactions.
Interest expense on non-structured liabilities is measured based on the contractual interest rates and reported as Interest expense in the Consolidated Statement of Income.
The following table provides information about long-term debt carried at fair value:
| | | | | | | | |
| In millions of dollars | March 31, 2021 | December 31, 2020 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 68,071 | | $ | 67,063 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | (3,433) | | (5,130) | |
| | | | | | | | |
| In millions of dollars | March 31, 2022 | December 31, 2021 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 83,277 | | $ | 82,609 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | (2,616) | | (2,459) | |
The following table provides information about short-term borrowings carried at fair value:
| | | | | | | | |
| In millions of dollars | March 31, 2021 | December 31, 2020 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 7,406 | | $ | 4,683 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | 0 | | 68 | |
| | | | | | | | |
| In millions of dollars | March 31, 2022 | December 31, 2021 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 7,367 | | $ | 7,358 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | — | | (644) | |
22. GUARANTEES, LEASES AND COMMITMENTS
Citi provides a variety of guarantees and indemnifications to its customers to enhance their credit standing and enable them to complete a wide variety of business transactions. For
certain contracts meeting the definition of a guarantee, the guarantor must recognize, at inception, a liability for the fair value of the obligation undertaken in issuing the guarantee.
In addition, the guarantor must disclose the maximum potential amount of future payments that the guarantor could be required to make under the guarantee, if there were a total
default by the guaranteed parties. The determination of the maximum potential future payments is based on the notional
amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.
For additional information regarding Citi’s guarantees and indemnifications included in the tables below, as well as its other guarantees and indemnifications excluded from thethese tables, below, see Note 26 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
The following tables present information about Citi’s guarantees at March 31, 20212022 and December 31, 2020:2021:
| | | | | | | | | | | | | | |
| Maximum potential amount of future payments | |
| In billions of dollars at March 31, 2021 | Expire within
1 year | Expire after
1 year | Total amount
outstanding | Carrying value (in millions of dollars) |
| Financial standby letters of credit | $ | 23.3 | | $ | 70.8 | | $ | 94.1 | | $ | 1,123 | |
| Performance guarantees | 6.6 | | 6.2 | | 12.8 | | 63 | |
| Derivative instruments considered to be guarantees | 12.2 | | 57.2 | | 69.4 | | 458 | |
| Loans sold with recourse | 0 | | 1.2 | | 1.2 | | 8 | |
Securities lending indemnifications(1) | 132.1 | | 0 | | 132.1 | | 0 | |
Credit card merchant processing(2) | 96.4 | | 0 | | 96.4 | | 3 | |
| Credit card arrangements with partners | 0 | | 0.8 | | 0.8 | | 7 | |
| Custody indemnifications and other | 0 | | 23.1 | | 23.1 | | 33 | |
| Total | $ | 270.6 | | $ | 159.3 | | $ | 429.9 | | $ | 1,695 | |
| | | | | | | | | | | | | | |
| | Maximum potential amount of future payments | |
| In billions of dollars at December 31, 2020 | Expire within
1 year | Expire after
1 year | Total amount
outstanding | Carrying value (in millions of dollars) |
| Financial standby letters of credit | $ | 25.3 | | $ | 68.4 | | $ | 93.7 | | $ | 1,407 | |
| Performance guarantees | 7.3 | | 6.0 | | 13.3 | | 72 | |
| Derivative instruments considered to be guarantees | 20.0 | | 60.9 | | 80.9 | | 671 | |
| Loans sold with recourse | 0 | | 1.2 | | 1.2 | | 9 | |
Securities lending indemnifications(1) | 112.2 | | 0 | | 112.2 | | 0 | |
Credit card merchant processing(2) | 101.9 | | 0 | | 101.9 | | 3 | |
| Credit card arrangements with partners | 0.2 | | 0.8 | | 1.0 | | 7 | |
| Custody indemnifications and other | 0 | | 37.3 | | 37.3 | | 35 | |
| Total | $ | 266.9 | | $ | 174.6 | | $ | 441.5 | | $ | 2,204 | |
| | | | | | | | | | | | | | |
| Maximum potential amount of future payments | |
| In billions of dollars at March 31, 2022 | Expire within
1 year | Expire after
1 year | Total amount
outstanding | Carrying value (in millions of dollars) |
| Financial standby letters of credit | $ | 29.8 | | $ | 64.6 | | $ | 94.4 | | $ | 894 | |
| Performance guarantees | 6.3 | | 6.3 | | 12.6 | | 145 | |
| Derivative instruments considered to be guarantees | 15.7 | | 41.8 | | 57.5 | | 456 | |
| Loans sold with recourse | — | | 1.6 | | 1.6 | | 15 | |
Securities lending indemnifications(1) | 128.4 | | — | | 128.4 | | — | |
Credit card merchant processing(2) | 111.8 | | — | | 111.8 | | — | |
| Credit card arrangements with partners | 0.1 | | 0.6 | | 0.7 | | 7 | |
| Other | 0.6 | | 12.0 | | 12.6 | | 32 | |
| Total | $ | 292.7 | | $ | 126.9 | | $ | 419.6 | | $ | 1,549 | |
| | | | | | | | | | | | | | |
| | Maximum potential amount of future payments | |
| In billions of dollars at December 31, 2021 | Expire within
1 year | Expire after
1 year | Total amount
outstanding | Carrying value (in millions of dollars) |
| Financial standby letters of credit | $ | 34.3 | | $ | 58.4 | | $ | 92.7 | | $ | 791 | |
| Performance guarantees | 6.6 | | 6.4 | | 13.0 | | 47 | |
| Derivative instruments considered to be guarantees | 14.6 | | 48.9 | | 63.5 | | 514 | |
| Loans sold with recourse | — | | 1.7 | | 1.7 | | 15 | |
Securities lending indemnifications(1) | 121.9 | | — | | 121.9 | | — | |
Credit card merchant processing(2) | 119.4 | | — | | 119.4 | | 1 | |
| Credit card arrangements with partners | — | | 0.8 | | 0.8 | | 7 | |
| Other | 2.0 | | 12.0 | | 14.0 | | 34 | |
| Total | $ | 298.8 | | $ | 128.2 | | $ | 427.0 | | $ | 1,409 | |
(1)The carrying values of securities lending indemnifications were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)At March 31, 20212022 and December 31, 2020,2021, this maximum potential exposure was estimated to be $96$112 billion and $102$119 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 sellers taking back any loans that become delinquent.
In addition to the amounts shown in the tables above, Citi has recorded a repurchase reserve for its potential repurchases or make-whole liability regarding residential mortgage representation and warranty claims related to its whole loan sales to U.S. government-sponsored agencies and, to a lesser extent, private investors. The repurchase reserve was approximately $32$18 million and $31$19 million at March 31, 20212022 and December 31, 2020,2021, respectively, and these amounts are included in Other liabilities on the Consolidated Balance Sheet.
Credit Card Arrangements with Partners
Citi, in one 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 March 31, 20212022 and December 31, 2020,2021, the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were immaterial.
Value-Transfer Networks (Including Exchanges and Clearing Houses) (VTNs)
Citi is a member of, or shareholder in, hundreds of value-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 certain narrow cases, to the full pro rata share. The maximum exposure is difficult to estimate as this
would require an assessment of claims that have not yet occurred; however, Citi believes the risk of loss is remote given historical experience with the VTNs. Accordingly, Citi’s participation in VTNs is not reported in the guarantees tables above, and there are no amounts reflected on the Consolidated Balance Sheet as of March 31, 20212022 or December 31, 20202021 for potential obligations that could arise from Citi’s involvement with VTN associations.
Long-Term Care Insurance Indemnification
In 2000, Travelers Life & Annuity (Travelers), thenThrough reinsurance agreements and 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 (nowindemnification with Genworth Financial Inc., or Genworth), then a subsidiary of the General Electric Company (GE). As part of this transaction, the reinsurance obligations were provided by two regulated insurance subsidiaries of GE Life, which funded two collateral trusts with securities. Presently, as discussed below, the trusts for what are presently referred to as the Genworth Trusts.
As part of GE’s spin-off of Genworth in 2004, GE retained the risksTrusts, and rewards associated with the 2000 Travelers reinsurance agreement by providing a reinsurance contract to Genworth through GE’s Union Fidelity Life Insurance Company (UFLIC) subsidiary that covers the Travelers LTC policies. In addition, GE provided a capital maintenance agreement in favor of UFLIC that is designed to assure that UFLIC will have the funds to pay its reinsurance obligations. Asonly 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 nortwo unlikely events, 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 providedwould be responsible for 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 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 under its reinsurance contract or GE to perform under the capital maintenance agreement, and (ii) the assets of the 2 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.obligation. 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 0no liability reflected on the Consolidated Balance Sheet as of March 31, 20212022 and December 31, 20202021 related to this indemnification. However, if both events become reasonably possible (meaning more than remote but less than probable), Citi will be required to estimate and disclose a reasonably possible loss or range of loss to the extent that such an estimate could be made. In addition, if both events become probable, Citi will be required to accrue for such liability in accordance with applicable accounting principles.
Citi continues to closely monitor its potential exposure under this indemnification obligation, given GE’s 2018 LTC and other charges andobligation. For additional information, see Note 26 to 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.Consolidated Financial Statements in Citi’s 2021 Form 10-K.
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 $16.8$19.8 billion and $16.6$18.7 billion as of March 31, 20212022 and December 31, 2020,2021, 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 March 31, 20212022 and December 31, 2020,2021, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to approximately $1.7$1.5 billion and $2.2$1.4 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 $60.5$62.9 billion and $51.6$56.5 billion at March 31, 20212022 and December 31, 2020,2021, respectively. Securities and other marketable assets held as collateral amounted to $92.2$85.3 billion and $80.1$84.2 billion at March 31, 20212022 and December 31, 2020,2021, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. In addition, letters of credit in favor of Citi held as collateral amounted to $4.9$3.8 billion and $6.6$4.1 billion at March 31, 20212022 and December 31, 2020,2021, 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 on internal and external credit ratings. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.
| | | | Maximum potential amount of future payments | | Maximum potential amount of future payments |
| In billions of dollars at March 31, 2021 | Investment
grade | Non-investment
grade | Not
rated | Total | |
| In billions of dollars at March 31, 2022 | | In billions of dollars at March 31, 2022 | Investment
grade | Non-investment
grade | Not
rated | Total |
| Financial standby letters of credit | Financial standby letters of credit | $ | 78.2 | | $ | 15.6 | | $ | 0.3 | | $ | 94.1 | | Financial standby letters of credit | $ | 81.9 | | $ | 11.1 | | $ | 1.4 | | $ | 94.4 | |
| Performance guarantees | Performance guarantees | 9.7 | | 3.1 | | 0 | | 12.8 | | Performance guarantees | 10.0 | | 2.6 | | — | | 12.6 | |
| Derivative instruments deemed to be guarantees | Derivative instruments deemed to be guarantees | 0 | | 0 | | 69.4 | | 69.4 | | Derivative instruments deemed to be guarantees | — | | — | | 57.5 | | 57.5 | |
| Loans sold with recourse | Loans sold with recourse | 0 | | 0 | | 1.2 | | 1.2 | | Loans sold with recourse | — | | — | | 1.6 | | 1.6 | |
| Securities lending indemnifications | Securities lending indemnifications | 0 | | 0 | | 132.1 | | 132.1 | | Securities lending indemnifications | — | | — | | 128.4 | | 128.4 | |
| Credit card merchant processing | Credit card merchant processing | 0 | | 0 | | 96.4 | | 96.4 | | Credit card merchant processing | — | | — | | 111.8 | | 111.8 | |
| Credit card arrangements with partners | Credit card arrangements with partners | 0 | | 0 | | 0.8 | | 0.8 | | Credit card arrangements with partners | — | | — | | 0.7 | | 0.7 | |
| Custody indemnifications and other | 10.6 | | 12.5 | | 0 | | 23.1 | | |
| Other | | Other | 0.3 | | 12.3 | | — | | 12.6 | |
| Total | Total | $ | 98.5 | | $ | 31.2 | | $ | 300.2 | | $ | 429.9 | | Total | $ | 92.2 | | $ | 26.0 | | $ | 301.4 | | $ | 419.6 | |
| | | | Maximum potential amount of future payments | | Maximum potential amount of future payments |
| In billions of dollars at December 31, 2020 | Investment
grade | Non-investment
grade | Not
rated | Total | |
| In billions of dollars at December 31, 2021 | | In billions of dollars at December 31, 2021 | Investment
grade | Non-investment
grade | Not
rated | Total |
| Financial standby letters of credit | Financial standby letters of credit | $ | 78.5 | | $ | 14.6 | | $ | 0.6 | | $ | 93.7 | | Financial standby letters of credit | $ | 81.4 | | $ | 11.3 | | $ | — | | $ | 92.7 | |
| Performance guarantees | Performance guarantees | 9.8 | | 3.0 | | 0.5 | | 13.3 | | Performance guarantees | 10.5 | | 2.5 | | — | | 13.0 | |
| Derivative instruments deemed to be guarantees | Derivative instruments deemed to be guarantees | 0 | | 0 | | 80.9 | | 80.9 | | Derivative instruments deemed to be guarantees | — | | — | | 63.5 | | 63.5 | |
| Loans sold with recourse | Loans sold with recourse | 0 | | 0 | | 1.2 | | 1.2 | | Loans sold with recourse | — | | — | | 1.7 | | 1.7 | |
| Securities lending indemnifications | Securities lending indemnifications | 0 | | 0 | | 112.2 | | 112.2 | | Securities lending indemnifications | — | | — | | 121.9 | | 121.9 | |
| Credit card merchant processing | Credit card merchant processing | 0 | | 0 | | 101.9 | | 101.9 | | Credit card merchant processing | — | | — | | 119.4 | | 119.4 | |
| Credit card arrangements with partners | Credit card arrangements with partners | 0 | | 0 | | 1.0 | | 1.0 | | Credit card arrangements with partners | — | | — | | 0.8 | | 0.8 | |
| Custody indemnifications and other | 24.9 | | 12.4 | | 0 | | 37.3 | | |
| Other | | Other | 1.7 | | 12.3 | | — | | 14.0 | |
| Total | Total | $ | 113.2 | | $ | 30.0 | | $ | 298.3 | | $ | 441.5 | | Total | $ | 93.6 | | $ | 26.1 | | $ | 307.3 | | $ | 427.0 | |
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 March 31, 2021.2022. The operating lease ROU asset and lease liability were $2.9 billion and $3.1 billion, respectively, as of March 31, 2021,2022, compared to an operating lease ROU asset of $2.8$2.9 billion and lease liability of $3.1 billion as of December 31, 2020.2021. The Company recognizes fixed lease costs on a straight-line basis throughout the lease term in the Consolidated Statement of Income. In addition, variable lease costs are recognized in the period in which the obligation for those payments is incurred.
Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments:
| | | | | | | | | | | | | | |
| In millions of dollars | U.S. | Outside of
U.S. | March 31,
2021 | December 31,
2020 |
| Commercial and similar letters of credit | $ | 783 | | $ | 5,092 | | $ | 5,875 | | $ | 5,221 | |
| One- to four-family residential mortgages | 3,393 | | 2,387 | | 5,780 | | 5,002 | |
| Revolving open-end loans secured by one- to four-family residential properties | 8,105 | | 1,204 | | 9,309 | | 9,626 | |
| Commercial real estate, construction and land development | 13,980 | | 2,356 | | 16,336 | | 12,867 | |
| Credit card lines | 609,591 | | 100,961 | | 710,552 | | 710,399 | |
| Commercial and other consumer loan commitments | 217,804 | | 123,196 | | 341,000 | | 322,458 | |
| Other commitments and contingencies | 5,302 | | 1,299 | | 6,601 | | 5,715 | |
| Total | $ | 858,958 | | $ | 236,495 | | $ | 1,095,453 | | $ | 1,071,288 | |
| | | | | | | | | | | | | | |
| In millions of dollars | U.S. | Outside of
U.S. | March 31,
2022 | December 31,
2021 |
| Commercial and similar letters of credit | $ | 830 | | $ | 5,988 | | $ | 6,818 | | $ | 5,910 | |
| One- to four-family residential mortgages | 1,855 | | 2,575 | | 4,430 | | 4,351 | |
| Revolving open-end loans secured by one- to four-family residential properties | 6,564 | | 1,112 | | 7,676 | | 7,913 | |
| Commercial real estate, construction and land development | 13,073 | | 1,940 | | 15,013 | | 17,843 | |
| Credit card lines | 606,384 | | 100,703 | | 707,087 | | 700,559 | |
| Commercial and other consumer loan commitments | 211,495 | | 109,749 | | 321,244 | | 320,556 | |
| Other commitments and contingencies | 5,655 | | 215 | | 5,870 | | 5,649 | |
| Total | $ | 845,856 | | $ | 222,282 | | $ | 1,068,138 | | $ | 1,062,781 | |
The majority of unused commitments are contingent upon customers maintaining specific credit standards. Commercial commitments generally have floating interest rates and fixed expiration dates and may require payment of fees. Such fees (net of certain direct costs) are deferred and, upon exercise of the commitment, amortized over the life of the loan or, if exercise is deemed remote, amortized over the commitment period.
Other Commitments and Contingencies
Other commitments and contingencies include all other transactions related to commitments and contingencies not reported on the lines above.
Unsettled Reverse Repurchase and Securities Borrowing Agreements and Unsettled Repurchase and Securities 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 March 31, 20212022 and December 31, 2020,2021, Citigroup had approximately $117.8$153.0 billion and $71.8$126.6 billion of unsettled reverse repurchase and securities borrowing agreements, and approximately $72.9$48.6 billion and $62.5$41.1 billion of unsettled repurchase and securities lending agreements, respectively. ForSee Note 10 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.agreements.
Restricted Cash
Citigroup defines restricted cash (as cash subject to withdrawal restrictions) to include cash deposited with central banks that must be maintained to meet minimum regulatory requirements, and cash set aside for the benefit of customers or for other purposes such as compensating balance arrangements or debt retirement. Restricted cash includes minimum reserve requirements with the Federal Reserve Bank and certain other central banks and cash segregated to satisfy rules regarding the protection of customer assets as required by Citigroup broker-dealers’ primary regulators, including the United States Securities and Exchange Commission (SEC), the Commodity Futures Trading Commission and the United Kingdom’s Prudential Regulation Authority.
Restricted cash is included on the Consolidated Balance Sheet within the following balance sheet lines:
| | | | | | | | |
| In millions of dollars | March 31,
2021 | December 31,
2020 |
| Cash and due from banks | $ | 3,884 | | $ | 3,774 | |
| Deposits with banks, net of allowance | 12,006 | | 14,203 | |
| Total | $ | 15,890 | | $ | 17,977 | |
| | | | | | | | |
| In millions of dollars | March 31,
2022 | December 31,
2021 |
| Cash and due from banks | $ | 3,417 | | $ | 2,786 | |
| Deposits with banks, net of allowance | 15,191 | | 10,636 | |
| Total | $ | 18,608 | | $ | 13,422 | |
In response to the COVID-19 pandemic, the Federal Reserve Bank and certain other central banks eased regulations related to minimum required cash deposited with central banks.
23. CONTINGENCIES
The following information supplements and amends, as applicable, the disclosure in Note 27 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 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 any litigation, regulatory, or tax matters disclosed herein, when Citigroup believes it is probable that a loss has been incurred and the amount of the loss can be reasonably estimated. Once established, accruals are adjusted from time to time, as appropriate, in light of additional information. The amount of loss ultimately incurred in relation to those matters may be substantially higher or lower than the amounts accrued for those matters.
If Citigroup has not accrued for a matter because the matter does not meet the criteria for accrual (as set forth above), or Citigroup believes an exposure to loss exists in excess of the amount accrued for a particular matter, in each case assuming a material loss is reasonably possible but not probable, Citigroup discloses the matter. In addition, for such matters, Citigroup discloses an estimate of the aggregate reasonably possible loss or range of loss in excess of the amounts accrued for those matters as tofor which an estimate can be made. At March 31, 2021,2022, Citigroup estimates that the reasonably possible unaccrued loss for these matters ranges up to approximately $1.4 billion in the aggregate.
As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosures involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation, regulatory, tax, or other matters are subject to particular uncertainties. For example, at the time of making an estimate, Citigroup may only have only preliminary incomplete, or inaccurateincomplete information about the facts underlying the claim; its assumptions about the future rulings of the court or other tribunal on significant issues, or the behavior and incentives of adverse parties, regulators, or 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 incurredamounts accrued in relation to matters 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 any litigation, regulatory, and tax matters disclosed herein, see Note 27 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
ANZ Underwriting Matter
In March 2021, the investigation of Citigroup Global Markets Australia Pty Limited commenced by the Australia Securities and Investments Commission in 2016 concluded with no enforcement action.
Foreign Exchange Matters
Antitrust and Other Litigation: In 2020, a London-based investment manager issued a claim against CitibankOn March 8, 2022, in NYPL v. JPMORGAN CHASE & CO., ET AL., the United States District Court for the Southern District of New York denied plaintiffs’ motion for class certification and Citigroup Global Markets Limited (CGML), captioned THE ECU GROUP PLC v. CITIBANK N.A. AND OTHERS,granted in the High Court of Justice in London. The claimant alleges that it suffered losses from the handling and execution of certain foreign exchange stop loss orders and market orders. The claimant asserts common law and statutory claims and seeks compensatory damages.part defendants’ motion to exclude plaintiffs’ expert’s analyses. Additional information concerning this action is publicly available in court filings under the docket number FL-2020-000046.15-CV-9300 (S.D.N.Y.) (Schofield, J.).
On January 29, 2021,March 31, 2022, in J WISBEY & ASSOCIATES PTY LTDMICHAEL O’HIGGINS FX CLASS REPRESENTATIVE LIMITED v. UBSBARCLAYS BANK PLC AND OTHERS and PHILLIP EVANS v. BARCLAYS BANK PLC AND OTHERS, the U.K.’s Competition Appeal Tribunal issued its judgment on certification. Additional information concerning these actions is publicly available in court filings under the case numbers 1329/7/7/19 and 1336/7/7/19.
On April 6, 2022, in GERTLER, ET AL. v. DEUTSCHE BANK AG, & ORS, the court refused an application by plaintiffsSupreme Court of Israel rejected Citibank’s motion for leave to amend their pleadings.appeal the Central District Court’s denial of its motion to dismiss. Additional information concerning this action is publicly available in court filings under the docket number VID567/2019.CA 29013-09-18.
Hong Kong Private Bank Litigation
On April 12, 2022, in PT ASURANSI TUGU PRATAMA INDONESIA TBK v. CITIBANK N.A., the Hong Kong Court of Appeal dismissed plaintiff’s appeal. Additional information concerning this case is publicly available in court filings under docket number CACV 548/2018.
Interbank Offered Rates–RelatedRates-Related Litigation and Other Matters
Antitrust and Other Litigation: On March 17, 2021,February 14, 2022, in FUND LIQUIDATION HOLDINGS LLC, AS ASSIGNOR AND SUCCESSOR-IN-INTEREST TO FRONTPOINT ASIAN EVENT DRIVEN FUND L.P., ET AL. v. CITIBANK, N.A., ET AL.,IN RE ICE LIBOR ANTITRUST LITIGATION, the United States Court of Appeals for the Second Circuit vacated the judgment of the district court regarding the court’s lack of jurisdiction and remanded the case for further proceedings.dismissed plaintiff’s appeal. Additional information concerning this action is publicly available in court filings under the docket numbers 16 Civ. 526319-CV-439 (S.D.N.Y.) (Hellerstein,(Daniels, J.) and 19-271920-1492 (2d Cir.).
On April 8, 2021,
Record-Keeping Matters
Certain U.S. regulators and authorities are conducting investigations of Citigroup Global Markets Inc. (CGMI) and other firms regarding compliance with record-keeping obligations in SCS BANQUE DELUBAC & CIE v. CITIGROUP INC., ET AL.,connection with business-related communications sent over unapproved electronic messaging channels. CGMI is cooperating with the investigations.
Cour de cassation of France affirmed the decision of the Court of Appeal of Nîmes, which had held that no court of France has territorial jurisdiction over Banque Delubac’s claims, and dismissed the plaintiff’s appeal. Additional information concerning this action is publicly available in court filings under docket numbers RG no. 2018F02750 in the Commercial Court of Marseille and 19-16.931 in the Cour de cassation.
Revlon-related Wire Transfer Litigation
On February 26, 2021, Citibank filed a notice of appeal in the United States Court of Appeals of the district court’s judgment in favor of the defendants. Additional information concerning this action is publicly available in court filings under docket numbers 20-CV-6539 (S.D.N.Y.) (Furman, J.) and 21-487 (2d Cir.).
Shareholder Derivative andSovereign Securities Litigation
On February 4, 2021, three putative class action complaints were consolidated under the case nameMarch 14, 2022, in IN RE CITIGROUP SECURITIESEUROPEAN GOVERNMENT BONDS ANTITRUST LITIGATION, the court granted in part and a consolidated amended complaint was filed on April 20, 2021.denied in part defendants’ motions to dismiss, including denying CGMI and Citigroup Global Markets Limited’s (CGML) motion to dismiss. On March 28, 2022, certain defendants, including CGMI and CGML, moved for reconsideration. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-913219-CV-02601 (S.D.N.Y.) (Nathan,(Marrero, J.).
On February 8, 2021,March 30, 2022, in IN RE CITIGROUP INC. SHAREHOLDER DERIVATIVEMEXICAN GOVERNMENT BONDS ANTITRUST LITIGATION, the United States District Court for the Southern District of New York granted defendants’denied plaintiffs’ motion for a stay pending resolutionreconsideration of defendants’ anticipated motion to dismiss in IN RE CITIGROUP SECURITIES LITIGATION.the order dismissing certain defendants, including Citibanamex, for lack of personal jurisdiction. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-0943818-CV-2830 (S.D.N.Y.) (Nathan,(Oetken, J.).
On February 25, 2021, the Supreme Court of the State of New York stayed two derivative actions, which have been consolidated under the case name IN RE CITIGROUP INC. DERIVATIVE LITIGATION, pending resolution of defendants’ anticipated motion to dismiss in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 656759/2020 (N.Y. Sup. Ct.) (Schecter, J.).
Sovereign Securities Matters
Antitrust and Other Litigation: On February 9, 2021, purchasers of Euro-denominated sovereign debt issued by European central governments added Citigroup Global Markets Inc., CGML and others as defendants to a putative class action, captioned IN RE EUROPEAN GOVERNMENT BONDS ANTITRUST LITIGATION, in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants engaged in a conspiracy to inflate prices of European government bonds in primary market auctions and to fix the prices of European government bonds in secondary markets. Plaintiffs assert a claim under the Sherman Act and seek treble damages and attorneys’ fees. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 02601 (S.D.N.Y.) (Marrero, J.).
On March 31, 2021,2022, in IN RE TREASURY SECURITIES AUCTION ANTITRUST LITIGATION, the court granted defendants’ motionmotions to dismiss all claims, without prejudiceand denied leave to plaintiffs filing an amended complaint.amend. Additional information concerning this action is publicly available in court filings under the docket number 15-MD-2673 (S.D.N.Y.) (Gardephe, J.).
Wind Farm Litigations
On March 8, 2021, CITY OF NEW ORLEANS, ET AL. v. BANK OF AMERICA CORPORATION, ET AL.17, 2022, the action filed by Midway was transferred to the United States District Court for the Middle District of Louisiana.voluntarily dismissed. Additional information concerning this action is publicly available in court filings under the docket number 21 Civ. 147 (M.D. La.) (Dick, C.J.).
Tribune Company Bankruptcy
On April 19, 2021, the United States Supreme Court denied the Tribune noteholders’ petition for certiorari. Additional information concerning this action is publicly available in court filings under the docket numbers 12 MC 2296 (S.D.N.Y.) (Cote, J.), 13-3992 (2d Cir.), and 20-8 (U.S.).
Wind Farm Litigation
Beginning in March 2021, six wind farms in Texas have commenced actions in New York and Texas state courts for declaratory judgments and breach of contract, asserting that the February 2021 winter storm in Texas excused their performance to deliver energy to Citi Energy Inc. (CEI) under the force majeure provisions of their contracts with CEI. In addition to seeking a declaration that damages are not owed to CEI, the wind farms also seek temporary restraining orders and/or preliminary injunctions, preventing CEI from exercising remedies under the contracts. Additional information concerning these actions is publicly available in court filings under docket numbers 652078/2021 (Sup. Ct. N.Y. Cnty.) (Reed, J.), 2021-01387 (1st Dep’t), 652312/2021 (Sup. Ct. N.Y. Cnty.) (Reed, J.), 2021-23588 (District Court Harris County TX) (Schaffer, J.), and 2021-26150 (District Court Harris County TX) (Engelhart, J.).
Settlement Payments
Payments required in any settlement agreements described above have been made or are covered by existing litigation or other accruals.
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24. CONDENSED CONSOLIDATING FINANCIAL STATEMENTS
Citigroup previously amended itsCitigroup’s Registration Statement on Form S-3 on file with the SEC (File No. 33-192302), which addedincludes its wholly owned subsidiary, Citigroup Global Markets Holdings Inc. (CGMHI), as a co-registrant. Any securities issued by CGMHI under the Form S-3 will be fully and unconditionally guaranteed by Citigroup.
The following are the Condensed Consolidating Statements of Income and Comprehensive Income for the three months ended March 31, 20212022 and 2020,2021, Condensed Consolidating Balance Sheet as of March 31, 20212022 and December 31, 20202021 and Condensed Consolidating Statement of Cash Flows for the three months ended March 31, 20212022 and 20202021 for Citigroup Inc., the parent holding company (Citigroup parent company), CGMHI, other Citigroup subsidiaries and eliminations and total consolidating adjustments. “Other Citigroup subsidiaries and eliminations” includes all other subsidiaries of Citigroup, intercompany eliminations and income (loss) from discontinued operations. “Consolidating adjustments” includes Citigroup parent company elimination of distributed and undistributed income of subsidiaries and investment in subsidiaries.
These Condensed Consolidating Financial Statements have been prepared and presented in accordance with SEC Regulation S-X Rule 3-10, “Financial Statements of Guarantors and Issuers of Guaranteed Securities Registered or Being Registered.”
These Condensed Consolidating Financial Statements are presented for purposes of additional analysis, but should be considered in relation to the Consolidated Financial Statements of Citigroup taken as a whole.
Condensed Consolidating Statements of Income and Comprehensive Income
| | | Three Months Ended March 31, 2021 | | Three Months Ended March 31, 2022 |
| In millions of dollars | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated |
| Revenues | Revenues | | | Revenues | |
| Dividends from subsidiaries | Dividends from subsidiaries | $ | 100 | | | $ | 0 | | | $ | 0 | | | $ | (100) | | | $ | 0 | | Dividends from subsidiaries | $ | 250 | | $ | — | | $ | — | | $ | (250) | | $ | — | |
| Interest revenue | Interest revenue | 0 | | | 971 | | | 11,563 | | | 0 | | | 12,534 | | Interest revenue | — | | 762 | | 12,389 | | — | | 13,151 | |
| Interest revenue—intercompany | Interest revenue—intercompany | 958 | | | 145 | | | (1,103) | | | 0 | | | 0 | | Interest revenue—intercompany | 902 | | 139 | | (1,041) | | — | | — | |
| Interest expense | Interest expense | 1,212 | | | 223 | | | 933 | | | 0 | | | 2,368 | | Interest expense | 1,179 | | 194 | | 907 | | — | | 2,280 | |
| Interest expense—intercompany | Interest expense—intercompany | 84 | | | 329 | | | (413) | | | 0 | | | 0 | | Interest expense—intercompany | 90 | | 354 | | (444) | | — | | — | |
| Net interest revenue | $ | (338) | | | $ | 564 | | | $ | 9,940 | | | $ | 0 | | | $ | 10,166 | | |
| Net interest income | | Net interest income | $ | (367) | | $ | 353 | | $ | 10,885 | | $ | — | | $ | 10,871 | |
| Commissions and fees | Commissions and fees | $ | 0 | | | $ | 2,161 | | | $ | 1,509 | | | $ | 0 | | | $ | 3,670 | | Commissions and fees | $ | — | | $ | 1,361 | | $ | 1,207 | | $ | — | | $ | 2,568 | |
| Commissions and fees—intercompany | Commissions and fees—intercompany | (26) | | | 47 | | | (21) | | | 0 | | | 0 | | Commissions and fees—intercompany | — | | 84 | | (84) | | — | | — | |
| Principal transactions | Principal transactions | 1,769 | | | 5,658 | | | (3,514) | | | 0 | | | 3,913 | | Principal transactions | 1,862 | | 1,597 | | 1,131 | | — | | 4,590 | |
| Principal transactions—intercompany | Principal transactions—intercompany | (1,878) | | | (4,238) | | | 6,116 | | | 0 | | | 0 | | Principal transactions—intercompany | (1,849) | | (88) | | 1,937 | | — | | — | |
| Other revenue | Other revenue | 55 | | | 103 | | | 1,420 | | | 0 | | | 1,578 | | Other revenue | 69 | | 158 | | 930 | | — | | 1,157 | |
| Other revenue—intercompany | Other revenue—intercompany | (64) | | | (20) | | | 84 | | | 0 | | | 0 | | Other revenue—intercompany | (57) | | (18) | | 75 | | — | | — | |
| Total non-interest revenues | Total non-interest revenues | $ | (144) | | | $ | 3,711 | | | $ | 5,594 | | | $ | 0 | | | $ | 9,161 | | Total non-interest revenues | $ | 25 | | $ | 3,094 | | $ | 5,196 | | $ | — | | $ | 8,315 | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | (382) | | | $ | 4,275 | | | $ | 15,534 | | | $ | (100) | | | $ | 19,327 | | Total revenues, net of interest expense | $ | (92) | | $ | 3,447 | | $ | 16,081 | | $ | (250) | | $ | 19,186 | |
| Provisions for credit losses and for benefits and claims | Provisions for credit losses and for benefits and claims | $ | 0 | | | $ | 4 | | | $ | (2,059) | | | $ | 0 | | | $ | (2,055) | | Provisions for credit losses and for benefits and claims | $ | — | | $ | (1) | | $ | 756 | | $ | — | | $ | 755 | |
| Operating expenses | Operating expenses | | | Operating expenses | |
| Compensation and benefits | Compensation and benefits | $ | 28 | | | $ | 1,334 | | | $ | 4,639 | | | $ | 0 | | | $ | 6,001 | | Compensation and benefits | $ | — | | $ | 1,512 | | $ | 5,308 | | $ | — | | $ | 6,820 | |
| Compensation and benefits—intercompany | Compensation and benefits—intercompany | 24 | | | 0 | | | (24) | | | 0 | | | 0 | | Compensation and benefits—intercompany | 11 | | — | | (11) | | — | | — | |
| Other operating | Other operating | 11 | | | 642 | | | 4,419 | | | 0 | | | 5,072 | | Other operating | 24 | | 656 | | 5,665 | | — | | 6,345 | |
| Other operating—intercompany | Other operating—intercompany | 3 | | | 680 | | | (683) | | | 0 | | | 0 | | Other operating—intercompany | 3 | | 754 | | (757) | | — | | — | |
| Total operating expenses | Total operating expenses | $ | 66 | | | $ | 2,656 | | | $ | 8,351 | | | $ | 0 | | | $ | 11,073 | | Total operating expenses | $ | 38 | | $ | 2,922 | | $ | 10,205 | | $ | — | | $ | 13,165 | |
| Equity in undistributed income of subsidiaries | Equity in undistributed income of subsidiaries | $ | 8,173 | | | $ | 0 | | | $ | 0 | | | $ | (8,173) | | | $ | 0 | | Equity in undistributed income of subsidiaries | $ | 4,134 | | $ | — | | $ | — | | $ | (4,134) | | $ | — | |
| Income (loss) from continuing operations before income taxes | Income (loss) from continuing operations before income taxes | $ | 7,725 | | | $ | 1,615 | | | $ | 9,242 | | | $ | (8,273) | | | $ | 10,309 | | Income (loss) from continuing operations before income taxes | $ | 4,004 | | $ | 526 | | $ | 5,120 | | $ | (4,384) | | $ | 5,266 | |
| Provision (benefit) for income taxes | Provision (benefit) for income taxes | (217) | | | 452 | | | 2,097 | | | 0 | | | 2,332 | | Provision (benefit) for income taxes | (302) | | (216) | | 1,459 | | — | | 941 | |
| Income (loss) from continuing operations | Income (loss) from continuing operations | $ | 7,942 | | | $ | 1,163 | | | $ | 7,145 | | | $ | (8,273) | | | $ | 7,977 | | Income (loss) from continuing operations | $ | 4,306 | | $ | 742 | | $ | 3,661 | | $ | (4,384) | | $ | 4,325 | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | 0 | | | 0 | | | (2) | | | 0 | | | (2) | | Income (loss) from discontinued operations, net of taxes | — | | — | | (2) | | — | | (2) | |
| Net income before attribution of noncontrolling interests | Net income before attribution of noncontrolling interests | $ | 7,942 | | | $ | 1,163 | | | $ | 7,143 | | | $ | (8,273) | | | $ | 7,975 | | Net income before attribution of noncontrolling interests | $ | 4,306 | | $ | 742 | | $ | 3,659 | | $ | (4,384) | | $ | 4,323 | |
| Noncontrolling interests | Noncontrolling interests | 0 | | | 0 | | | 33 | | | 0 | | | 33 | | Noncontrolling interests | — | | — | | 17 | | — | | 17 | |
| Net income (loss) | Net income (loss) | $ | 7,942 | | | $ | 1,163 | | | $ | 7,110 | | | $ | (8,273) | | | $ | 7,942 | | Net income (loss) | $ | 4,306 | | $ | 742 | | $ | 3,642 | | $ | (4,384) | | $ | 4,306 | |
| Comprehensive income | Comprehensive income | | | Comprehensive income | |
| Add: Other comprehensive income (loss) | Add: Other comprehensive income (loss) | $ | (2,953) | | | $ | (50) | | | $ | 537 | | | $ | (487) | | | $ | (2,953) | | Add: Other comprehensive income (loss) | $ | (4,820) | | $ | 449 | | $ | (2,070) | | $ | 1,621 | | $ | (4,820) | |
| Total Citigroup comprehensive income (loss) | Total Citigroup comprehensive income (loss) | $ | 4,989 | | | $ | 1,113 | | | $ | 7,647 | | | $ | (8,760) | | | $ | 4,989 | | Total Citigroup comprehensive income (loss) | $ | (514) | | $ | 1,191 | | $ | 1,572 | | $ | (2,763) | | $ | (514) | |
| Add: Other comprehensive income attributable to noncontrolling interests | Add: Other comprehensive income attributable to noncontrolling interests | $ | 0 | | | $ | 0 | | | $ | (58) | | | $ | 0 | | | $ | (58) | | Add: Other comprehensive income attributable to noncontrolling interests | $ | — | | $ | — | | $ | (29) | | $ | — | | $ | (29) | |
| Add: Net income attributable to noncontrolling interests | Add: Net income attributable to noncontrolling interests | 0 | | | 0 | | | 33 | | | 0 | | | 33 | | Add: Net income attributable to noncontrolling interests | — | | — | | 17 | | — | | 17 | |
| Total comprehensive income (loss) | Total comprehensive income (loss) | $ | 4,989 | | | $ | 1,113 | | | $ | 7,622 | | | $ | (8,760) | | | $ | 4,964 | | Total comprehensive income (loss) | $ | (514) | | $ | 1,191 | | $ | 1,560 | | $ | (2,763) | | $ | (526) | |
| | | | |
Condensed Consolidating Statements of Income and Comprehensive Income
| | | Three Months Ended March 31, 2020 | | Three Months Ended March 31, 2021 |
| In millions of dollars | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated |
| Revenues | Revenues | | | Revenues | |
| Dividends from subsidiaries | Dividends from subsidiaries | $ | 105 | | | $ | 0 | | | $ | 0 | | | $ | (105) | | | $ | 0 | | Dividends from subsidiaries | $ | 100 | | $ | — | | $ | — | | $ | (100) | | $ | — | |
| Interest revenue | Interest revenue | 0 | | | 1,903 | | | 15,236 | | | 0 | | | 17,139 | | Interest revenue | — | | 971 | | 11,563 | | — | | 12,534 | |
| Interest revenue—intercompany | Interest revenue—intercompany | 1,144 | | | 341 | | | (1,485) | | | 0 | | | 0 | | Interest revenue—intercompany | 958 | | 145 | | (1,103) | | — | | — | |
| Interest expense | Interest expense | 1,143 | | | 1,141 | | | 3,363 | | | 0 | | | 5,647 | | Interest expense | 1,212 | | 223 | | 593 | | — | | 2,028 | |
| Interest expense—intercompany | Interest expense—intercompany | 248 | | | 782 | | | (1,030) | | | 0 | | | 0 | | Interest expense—intercompany | 84 | | 329 | | (413) | | — | | — | |
| Net interest revenue | $ | (247) | | | $ | 321 | | | $ | 11,418 | | | $ | 0 | | | $ | 11,492 | | |
| Net interest income | | Net interest income | $ | (338) | | $ | 564 | | $ | 10,280 | | $ | — | | $ | 10,506 | |
| Commissions and fees | Commissions and fees | $ | 0 | | | $ | 1,550 | | | $ | 1,471 | | | $ | 0 | | | $ | 3,021 | | Commissions and fees | $ | — | | $ | 2,161 | | $ | 1,509 | | $ | — | | $ | 3,670 | |
| Commissions and fees—intercompany | Commissions and fees—intercompany | (19) | | | 164 | | | (145) | | | 0 | | | 0 | | Commissions and fees—intercompany | (26) | | 47 | | (21) | | — | | — | |
| Principal transactions | Principal transactions | (672) | | | 6,254 | | | (321) | | | 0 | | | 5,261 | | Principal transactions | 1,769 | | 5,658 | | (3,514) | | — | | 3,913 | |
| Principal transactions—intercompany | Principal transactions—intercompany | 502 | | | (4,391) | | | 3,889 | | | 0 | | | 0 | | Principal transactions—intercompany | (1,878) | | (4,238) | | 6,116 | | — | | — | |
| Other revenue | Other revenue | 80 | | | 49 | | | 828 | | | 0 | | | 957 | | Other revenue | 55 | | 103 | | 1,420 | | — | | 1,578 | |
| Other revenue—intercompany | Other revenue—intercompany | (70) | | | 13 | | | 57 | | | 0 | | | 0 | | Other revenue—intercompany | (64) | | (20) | | 84 | | — | | — | |
| Total non-interest revenues | Total non-interest revenues | $ | (179) | | | $ | 3,639 | | | $ | 5,779 | | | $ | 0 | | | $ | 9,239 | | Total non-interest revenues | $ | (144) | | $ | 3,711 | | $ | 5,594 | | $ | — | | $ | 9,161 | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | (321) | | | $ | 3,960 | | | $ | 17,197 | | | $ | (105) | | | $ | 20,731 | | Total revenues, net of interest expense | $ | (382) | | $ | 4,275 | | $ | 15,874 | | $ | (100) | | $ | 19,667 | |
| Provisions for credit losses and for benefits and claims | Provisions for credit losses and for benefits and claims | $ | 0 | | | $ | (1) | | | $ | 6,961 | | | $ | 0 | | | $ | 6,960 | | Provisions for credit losses and for benefits and claims | $ | — | | $ | 4 | | $ | (2,059) | | $ | — | | $ | (2,055) | |
| Operating expenses | Operating expenses | | | Operating expenses | |
| Compensation and benefits | Compensation and benefits | $ | 28 | | | $ | 1,296 | | | $ | 4,330 | | | $ | 0 | | | $ | 5,654 | | Compensation and benefits | $ | 28 | | $ | 1,334 | | $ | 4,639 | | $ | — | | $ | 6,001 | |
| Compensation and benefits—intercompany | Compensation and benefits—intercompany | 74 | | | 0 | | | (74) | | | 0 | | | 0 | | Compensation and benefits—intercompany | 24 | | — | | (24) | | — | | — | |
| Other operating | Other operating | 23 | | | 598 | | | 4,368 | | | 0 | | | 4,989 | | Other operating | 11 | | 642 | | 4,759 | | — | | 5,412 | |
| Other operating—intercompany | Other operating—intercompany | 4 | | | 482 | | | (486) | | | 0 | | | 0 | | Other operating—intercompany | 3 | | 680 | | (683) | | — | | — | |
| Total operating expenses | Total operating expenses | $ | 129 | | | $ | 2,376 | | | $ | 8,138 | | | $ | 0 | | | $ | 10,643 | | Total operating expenses | $ | 66 | | $ | 2,656 | | $ | 8,691 | | $ | — | | $ | 11,413 | |
| Equity in undistributed income of subsidiaries | Equity in undistributed income of subsidiaries | $ | 2,382 | | | $ | 0 | | | $ | 0 | | | $ | (2,382) | | | $ | 0 | | Equity in undistributed income of subsidiaries | $ | 8,173 | | $ | — | | $ | — | | $ | (8,173) | | $ | — | |
Income (loss) from continuing operations before income
taxes | Income (loss) from continuing operations before income
taxes | $ | 1,932 | | | $ | 1,585 | | | $ | 2,098 | | | $ | (2,487) | | | $ | 3,128 | | Income (loss) from continuing operations before income
taxes | $ | 7,725 | | $ | 1,615 | | $ | 9,242 | | $ | (8,273) | | $ | 10,309 | |
| Provision (benefit) for income taxes | Provision (benefit) for income taxes | (604) | | | 337 | | | 847 | | | 0 | | | 580 | | Provision (benefit) for income taxes | (217) | | 452 | | 2,097 | | — | | 2,332 | |
| Income (loss) from continuing operations | Income (loss) from continuing operations | $ | 2,536 | | | $ | 1,248 | | | $ | 1,251 | | | $ | (2,487) | | | $ | 2,548 | | Income (loss) from continuing operations | $ | 7,942 | | $ | 1,163 | | $ | 7,145 | | $ | (8,273) | | $ | 7,977 | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | 0 | | | 0 | | | (18) | | | 0 | | | (18) | | Income (loss) from discontinued operations, net of taxes | — | | — | | (2) | | — | | (2) | |
| Net income (loss) before attribution of noncontrolling interests | Net income (loss) before attribution of noncontrolling interests | $ | 2,536 | | | $ | 1,248 | | | $ | 1,233 | | | $ | (2,487) | | | $ | 2,530 | | Net income (loss) before attribution of noncontrolling interests | $ | 7,942 | | $ | 1,163 | | $ | 7,143 | | $ | (8,273) | | $ | 7,975 | |
| Noncontrolling interests | Noncontrolling interests | 0 | | | 0 | | | (6) | | | 0 | | | (6) | | Noncontrolling interests | — | | — | | 33 | | — | | 33 | |
| Net income (loss) | Net income (loss) | $ | 2,536 | | | $ | 1,248 | | | $ | 1,239 | | | $ | (2,487) | | | $ | 2,536 | | Net income (loss) | $ | 7,942 | | $ | 1,163 | | $ | 7,110 | | $ | (8,273) | | $ | 7,942 | |
| Comprehensive income | Comprehensive income | | | Comprehensive income | |
| Add: Other comprehensive income (loss) | Add: Other comprehensive income (loss) | $ | 3,797 | | | $ | 1,757 | | | $ | 13,459 | | | $ | (15,216) | | | $ | 3,797 | | Add: Other comprehensive income (loss) | $ | (2,953) | | $ | (50) | | $ | 537 | | $ | (487) | | $ | (2,953) | |
| Total Citigroup comprehensive income (loss) | Total Citigroup comprehensive income (loss) | $ | 6,333 | | | $ | 3,005 | | | $ | 14,698 | | | $ | (17,703) | | | $ | 6,333 | | Total Citigroup comprehensive income (loss) | $ | 4,989 | | $ | 1,113 | | $ | 7,647 | | $ | (8,760) | | $ | 4,989 | |
| Add: Other comprehensive income attributable to noncontrolling interests | Add: Other comprehensive income attributable to noncontrolling interests | $ | 0 | | | $ | 0 | | | $ | (51) | | | $ | 0 | | | $ | (51) | | Add: Other comprehensive income attributable to noncontrolling interests | $ | — | | $ | — | | $ | (58) | | $ | — | | $ | (58) | |
| Add: Net income attributable to noncontrolling interests | Add: Net income attributable to noncontrolling interests | 0 | | | 0 | | | (6) | | | 0 | | | (6) | | Add: Net income attributable to noncontrolling interests | — | | — | | 33 | | — | | 33 | |
| Total comprehensive income (loss) | Total comprehensive income (loss) | $ | 6,333 | | | $ | 3,005 | | | $ | 14,641 | | | $ | (17,703) | | | $ | 6,276 | | Total comprehensive income (loss) | $ | 4,989 | | $ | 1,113 | | $ | 7,622 | | $ | (8,760) | | $ | 4,964 | |
| | | | | |
Condensed Consolidating Balance Sheet
| | | March 31, 2021 | | March 31, 2022 |
| In millions of dollars | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated |
| Assets | Assets | | | Assets | |
| Cash and due from banks | Cash and due from banks | $ | 0 | | | $ | 676 | | | $ | 25,528 | | | $ | 0 | | | $ | 26,204 | | Cash and due from banks | $ | — | | $ | 627 | | $ | 27,141 | | $ | — | | $ | 27,768 | |
| Cash and due from banks—intercompany | Cash and due from banks—intercompany | 11 | | | 5,929 | | | (5,940) | | | 0 | | | 0 | | Cash and due from banks—intercompany | 22 | | 7,857 | | (7,879) | | — | | — | |
| Deposits with banks, net of allowance | Deposits with banks, net of allowance | 0 | | | 5,408 | | | 293,070 | | | 0 | | | 298,478 | | Deposits with banks, net of allowance | — | | 7,994 | | 236,325 | | — | | 244,319 | |
| Deposits with banks—intercompany | Deposits with banks—intercompany | 3,000 | | | 8,833 | | | (11,833) | | | 0 | | | 0 | | Deposits with banks—intercompany | 3,500 | | 10,709 | | (14,209) | | — | | — | |
| Securities borrowed and purchased under resale agreements | Securities borrowed and purchased under resale agreements | 0 | | | 258,976 | | | 56,096 | | | 0 | | | 315,072 | | Securities borrowed and purchased under resale agreements | — | | 288,195 | | 57,215 | | — | | 345,410 | |
| Securities borrowed and purchased under resale agreements—intercompany | Securities borrowed and purchased under resale agreements—intercompany | 0 | | | 25,598 | | | (25,598) | | | 0 | | | 0 | | Securities borrowed and purchased under resale agreements—intercompany | — | | 20,795 | | (20,795) | | — | | — | |
| Trading account assets | Trading account assets | 265 | | | 222,114 | | | 138,280 | | | 0 | | | 360,659 | | Trading account assets | 237 | | 207,204 | | 150,556 | | — | | 357,997 | |
| Trading account assets—intercompany | Trading account assets—intercompany | 1,202 | | | 11,732 | | | (12,934) | | | 0 | | | 0 | | Trading account assets—intercompany | 421 | | 1,491 | | (1,912) | | — | | — | |
| Investments, net of allowance | Investments, net of allowance | 1 | | | 235 | | | 472,723 | | | 0 | | | 472,959 | | Investments, net of allowance | 1 | | 233 | | 514,368 | | — | | 514,602 | |
| Loans, net of unearned income | Loans, net of unearned income | 0 | | | 3,442 | | | 662,546 | | | 0 | | | 665,988 | | Loans, net of unearned income | — | | 2,716 | | 656,953 | | — | | 659,669 | |
| Loans, net of unearned income—intercompany | Loans, net of unearned income—intercompany | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | Loans, net of unearned income—intercompany | — | | — | | — | | — | | — | |
| Allowance for credit losses on loans (ACLL) | Allowance for credit losses on loans (ACLL) | 0 | | | 0 | | | (21,638) | | | 0 | | | (21,638) | | Allowance for credit losses on loans (ACLL) | — | | — | | (15,393) | | — | | (15,393) | |
| Total loans, net | Total loans, net | $ | 0 | | | $ | 3,442 | | | $ | 640,908 | | | $ | 0 | | | $ | 644,350 | | Total loans, net | $ | — | | $ | 2,716 | | $ | 641,560 | | $ | — | | $ | 644,276 | |
| Advances to subsidiaries | Advances to subsidiaries | $ | 149,378 | | | $ | 0 | | | $ | (149,378) | | | $ | 0 | | | $ | 0 | | Advances to subsidiaries | $ | 151,425 | | $ | — | | $ | (151,425) | | $ | — | | $ | — | |
| Investments in subsidiaries | Investments in subsidiaries | 218,488 | | | 0 | | | 0 | | | (218,488) | | | 0 | | Investments in subsidiaries | 222,123 | | — | | — | | (222,123) | | — | |
Other assets, net of allowance(1) | Other assets, net of allowance(1) | 12,591 | | | 72,333 | | | 111,620 | | | 0 | | | 196,544 | | Other assets, net of allowance(1) | 10,722 | | 91,083 | | 157,928 | | — | | 259,733 | |
| Other assets—intercompany | Other assets—intercompany | 3,445 | | | 54,272 | | | (57,717) | | | 0 | | | 0 | | Other assets—intercompany | 4,109 | | 63,590 | | (67,699) | | — | | — | |
| Total assets | Total assets | $ | 388,381 | | | $ | 669,548 | | | $ | 1,474,825 | | | $ | (218,488) | | | $ | 2,314,266 | | Total assets | $ | 392,560 | | $ | 702,494 | | $ | 1,521,174 | | $ | (222,123) | | $ | 2,394,105 | |
| Liabilities and equity | Liabilities and equity | | | Liabilities and equity | |
| Deposits | Deposits | $ | 0 | | | $ | 0 | | | $ | 1,300,975 | | | $ | 0 | | | $ | 1,300,975 | | Deposits | $ | — | | $ | — | | $ | 1,333,711 | | $ | — | | $ | 1,333,711 | |
| Deposits—intercompany | Deposits—intercompany | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | Deposits—intercompany | — | | — | | — | | — | | — | |
| Securities loaned and sold under repurchase agreements | Securities loaned and sold under repurchase agreements | 0 | | | 201,562 | | | 17,606 | | | 0 | | | 219,168 | | Securities loaned and sold under repurchase agreements | — | | 184,433 | | 20,061 | | — | | 204,494 | |
| Securities loaned and sold under repurchase agreements—intercompany | Securities loaned and sold under repurchase agreements—intercompany | 0 | | | 63,566 | | | (63,566) | | | 0 | | | 0 | | Securities loaned and sold under repurchase agreements—intercompany | — | | 54,802 | | (54,802) | | — | | — | |
| Trading account liabilities | Trading account liabilities | 32 | | | 129,449 | | | 49,636 | | | 0 | | | 179,117 | | Trading account liabilities | 22 | | 127,702 | | 60,335 | | — | | 188,059 | |
| Trading account liabilities—intercompany | Trading account liabilities—intercompany | 1,000 | | | 11,181 | | | (12,181) | | | 0 | | | 0 | | Trading account liabilities—intercompany | 282 | | 326 | | (608) | | — | | — | |
| Short-term borrowings | Short-term borrowings | 0 | | | 12,874 | | | 19,213 | | | 0 | | | 32,087 | | Short-term borrowings | — | | 16,583 | | 13,561 | | — | | 30,144 | |
| Short-term borrowings—intercompany | Short-term borrowings—intercompany | 0 | | | 12,942 | | | (12,942) | | | 0 | | | 0 | | Short-term borrowings—intercompany | — | | 18,851 | | (18,851) | | — | | — | |
| Long-term debt | Long-term debt | 164,099 | | | 50,267 | | | 41,969 | | | 0 | | | 256,335 | | Long-term debt | 170,142 | | 63,195 | | 20,617 | | — | | 253,954 | |
| Long-term debt—intercompany | Long-term debt—intercompany | 0 | | | 72,433 | | | (72,433) | | | 0 | | | 0 | | Long-term debt—intercompany | — | | 83,099 | | (83,099) | | — | | — | |
| Advances from subsidiaries | Advances from subsidiaries | 17,937 | | | 0 | | | (17,937) | | | 0 | | | 0 | | Advances from subsidiaries | 21,999 | | — | | (21,999) | | — | | — | |
| Other liabilities, including allowance | 2,695 | | | 60,243 | | | 60,373 | | | 0 | | | 123,311 | | |
| Other liabilities | | Other liabilities | 2,289 | | 91,625 | | 91,476 | | — | | 185,390 | |
| Other liabilities—intercompany | Other liabilities—intercompany | 69 | | | 18,352 | | | (18,421) | | | 0 | | | 0 | | Other liabilities—intercompany | 117 | | 22,671 | | (22,788) | | — | | — | |
| Stockholders’ equity | Stockholders’ equity | 202,549 | | | 36,679 | | | 182,533 | | | (218,488) | | | 203,273 | | Stockholders’ equity | 197,709 | | 39,207 | | 183,560 | | (222,123) | | 198,353 | |
| Total liabilities and equity | Total liabilities and equity | $ | 388,381 | | | $ | 669,548 | | | $ | 1,474,825 | | | $ | (218,488) | | | $ | 2,314,266 | | Total liabilities and equity | $ | 392,560 | | $ | 702,494 | | $ | 1,521,174 | | $ | (222,123) | | $ | 2,394,105 | |
(1)Other assets for Citigroup parent company at March 31, 20212022 included $31.6$32.8 billion of placements to Citibank and its branches, of which $19.4$20.6 billion had a remaining term of less than 30 days.
Condensed Consolidating Balance Sheet
| | | December 31, 2020 | | December 31, 2021 |
| In millions of dollars | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated |
| Assets | Assets | | | Assets | | |
| Cash and due from banks | Cash and due from banks | $ | 0 | | | $ | 628 | | | $ | 25,721 | | | $ | 0 | | | $ | 26,349 | | Cash and due from banks | $ | — | | $ | 834 | | $ | 26,681 | | $ | — | | $ | 27,515 | |
| Cash and due from banks—intercompany | Cash and due from banks—intercompany | 16 | | | 6,081 | | | (6,097) | | | 0 | | | 0 | | Cash and due from banks—intercompany | 17 | | 6,890 | | (6,907) | | — | | — | |
| Deposits with banks, net of allowance | Deposits with banks, net of allowance | 0 | | | 5,224 | | | 278,042 | | | 0 | | | 283,266 | | Deposits with banks, net of allowance | — | | 7,936 | | 226,582 | | — | | 234,518 | |
| Deposits with banks—intercompany | Deposits with banks—intercompany | 4,500 | | | 8,179 | | | (12,679) | | | 0 | | | 0 | | Deposits with banks—intercompany | 3,500 | | 11,005 | | (14,505) | | — | | — | |
| Securities borrowed and purchased under resale agreements | Securities borrowed and purchased under resale agreements | 0 | | | 238,718 | | | 55,994 | | | 0 | | | 294,712 | | Securities borrowed and purchased under resale agreements | — | | 269,608 | | 57,680 | | — | | 327,288 | |
| Securities borrowed and purchased under resale agreements—intercompany | Securities borrowed and purchased under resale agreements—intercompany | 0 | | | 24,309 | | | (24,309) | | | 0 | | | 0 | | Securities borrowed and purchased under resale agreements—intercompany | — | | 23,362 | | (23,362) | | — | | — | |
| Trading account assets | Trading account assets | 307 | | | 222,278 | | | 152,494 | | | 0 | | | 375,079 | | Trading account assets | 248 | | 189,841 | | 141,856 | | — | | 331,945 | |
| Trading account assets—intercompany | Trading account assets—intercompany | 723 | | | 9,400 | | | (10,123) | | | 0 | | | 0 | | Trading account assets—intercompany | 1,215 | | 1,438 | | (2,653) | | — | | — | |
| Investments, net of allowance | Investments, net of allowance | 1 | | | 374 | | | 446,984 | | | 0 | | | 447,359 | | Investments, net of allowance | 1 | | 224 | | 512,597 | | — | | 512,822 | |
| Loans, net of unearned income | Loans, net of unearned income | 0 | | | 2,524 | | | 673,359 | | | 0 | | | 675,883 | | Loans, net of unearned income | — | | 2,293 | | 665,474 | | — | | 667,767 | |
| Loans, net of unearned income—intercompany | Loans, net of unearned income—intercompany | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | Loans, net of unearned income—intercompany | — | | — | | — | | — | | — | |
| Allowance for credit losses on loans (ACLL) | Allowance for credit losses on loans (ACLL) | 0 | | | 0 | | | (24,956) | | | 0 | | | (24,956) | | Allowance for credit losses on loans (ACLL) | — | | — | | (16,455) | | — | | (16,455) | |
| Total loans, net | Total loans, net | $ | 0 | | | $ | 2,524 | | | $ | 648,403 | | | $ | 0 | | | $ | 650,927 | | Total loans, net | $ | — | | $ | 2,293 | | $ | 649,019 | | $ | — | | $ | 651,312 | |
| Advances to subsidiaries | Advances to subsidiaries | $ | 152,383 | | | $ | 0 | | | $ | (152,383) | | | $ | 0 | | | $ | 0 | | Advances to subsidiaries | $ | 142,144 | | $ | — | | $ | (142,144) | | $ | — | | $ | — | |
| Investments in subsidiaries | Investments in subsidiaries | 213,267 | | | 0 | | | 0 | | | (213,267) | | | 0 | | Investments in subsidiaries | 223,303 | | — | | — | | (223,303) | | — | |
Other assets, net of allowance(1) | Other assets, net of allowance(1) | 12,156 | | | 60,273 | | | 109,969 | | | 0 | | | 182,398 | | Other assets, net of allowance(1) | 10,589 | | 69,312 | | 126,112 | | — | | 206,013 | |
| Other assets—intercompany | Other assets—intercompany | 2,781 | | | 51,489 | | | (54,270) | | | 0 | | | 0 | | Other assets—intercompany | 2,737 | | 60,567 | | (63,304) | | — | | — | |
| Total assets | Total assets | $ | 386,134 | | | $ | 629,477 | | | $ | 1,457,746 | | | $ | (213,267) | | | $ | 2,260,090 | | Total assets | $ | 383,754 | | $ | 643,310 | | $ | 1,487,652 | | $ | (223,303) | | $ | 2,291,413 | |
| Liabilities and equity | Liabilities and equity | | | Liabilities and equity | | |
| Deposits | Deposits | $ | 0 | | | $ | 0 | | | $ | 1,280,671 | | | $ | 0 | | | $ | 1,280,671 | | Deposits | $ | — | | $ | — | | $ | 1,317,230 | | $ | — | | $ | 1,317,230 | |
| Deposits—intercompany | Deposits—intercompany | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | Deposits—intercompany | — | | — | | — | | — | | — | |
| Securities loaned and sold under repurchase agreements | Securities loaned and sold under repurchase agreements | 0 | | | 184,786 | | | 14,739 | | | 0 | | | 199,525 | | Securities loaned and sold under repurchase agreements | — | | 171,818 | | 19,467 | | — | | 191,285 | |
| Securities loaned and sold under repurchase agreements—intercompany | Securities loaned and sold under repurchase agreements—intercompany | 0 | | | 76,590 | | | (76,590) | | | 0 | | | 0 | | Securities loaned and sold under repurchase agreements—intercompany | — | | 62,197 | | (62,197) | | — | | — | |
| Trading account liabilities | Trading account liabilities | 0 | | | 113,100 | | | 54,927 | | | 0 | | | 168,027 | | Trading account liabilities | 17 | | 122,383 | | 39,129 | | — | | 161,529 | |
| Trading account liabilities—intercompany | Trading account liabilities—intercompany | 397 | | | 8,591 | | | (8,988) | | | 0 | | | 0 | | Trading account liabilities—intercompany | 777 | | 500 | | (1,277) | | — | | — | |
| Short-term borrowings | Short-term borrowings | 0 | | | 12,323 | | | 17,191 | | | 0 | | | 29,514 | | Short-term borrowings | — | | 13,425 | | 14,548 | | — | | 27,973 | |
| Short-term borrowings—intercompany | Short-term borrowings—intercompany | 0 | | | 12,757 | | | (12,757) | | | 0 | | | 0 | | Short-term borrowings—intercompany | — | | 17,230 | | (17,230) | | — | | — | |
| Long-term debt | Long-term debt | 170,563 | | | 47,732 | | | 53,391 | | | 0 | | | 271,686 | | Long-term debt | 164,945 | | 61,416 | | 28,013 | | — | | 254,374 | |
| Long-term debt—intercompany | Long-term debt—intercompany | 0 | | | 67,322 | | | (67,322) | | | — | | | 0 | | Long-term debt—intercompany | — | | 76,335 | | (76,335) | | — | | — | |
| Advances from subsidiaries | Advances from subsidiaries | 12,975 | | | 0 | | | (12,975) | | | 0 | | | 0 | | Advances from subsidiaries | 13,469 | | — | | (13,469) | | — | | — | |
| Other liabilities, including allowance | 2,692 | | | 55,217 | | | 52,558 | | | 0 | | | 110,467 | | |
| Other liabilities | | Other liabilities | 2,574 | | 68,206 | | 65,570 | | — | | 136,350 | |
| Other liabilities—intercompany | Other liabilities—intercompany | 65 | | | 15,378 | | | (15,443) | | | 0 | | | 0 | | Other liabilities—intercompany | — | | 11,774 | | (11,774) | | — | | — | |
| Stockholders’ equity | Stockholders’ equity | 199,442 | | | 35,681 | | | 178,344 | | | (213,267) | | | 200,200 | | Stockholders’ equity | 201,972 | | 38,026 | | 185,977 | | (223,303) | | 202,672 | |
| Total liabilities and equity | Total liabilities and equity | $ | 386,134 | | | $ | 629,477 | | | $ | 1,457,746 | | | $ | (213,267) | | | $ | 2,260,090 | | Total liabilities and equity | $ | 383,754 | | $ | 643,310 | | $ | 1,487,652 | | $ | (223,303) | | $ | 2,291,413 | |
(1)Other assets for Citigroup parent company at December 31, 20202021 included $29.5$30.5 billion of placements to Citibank and its branches, of which $24.3$19.5 billion had a remaining term of less than 30 days.
Condensed Consolidating Statement of Cash Flows
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended March 31, 2021 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Net cash provided by (used in) operating activities of continuing operations | $ | (4,966) | | | $ | 12,638 | | | $ | 15,526 | | | $ | 0 | | | $ | 23,198 | |
| Cash flows from investing activities of continuing operations | | | | | | | | | |
| Purchases of investments | $ | 0 | | | $ | 0 | | | $ | (111,187) | | | $ | 0 | | | $ | (111,187) | |
| Proceeds from sales of investments | 0 | | | 0 | | | 46,049 | | | 0 | | | 46,049 | |
| Proceeds from maturities of investments | 0 | | | 0 | | | 35,088 | | | 0 | | | 35,088 | |
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| Change in loans | 0 | | | 0 | | | 9,933 | | | 0 | | | 9,933 | |
| Proceeds from sales and securitizations of loans | 0 | | | 0 | | | 323 | | | 0 | | | 323 | |
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| Change in securities borrowed and purchased under agreements to resell | 0 | | | (21,547) | | | 1,187 | | | 0 | | | (20,360) | |
| Changes in investments and advances—intercompany | 1,887 | | | (2,991) | | | 1,104 | | | 0 | | | 0 | |
| Other investing activities | 0 | | | (23) | | | (757) | | | 0 | | | (780) | |
| Net cash provided by (used in) investing activities of continuing operations | $ | 1,887 | | | $ | (24,561) | | | $ | (18,260) | | | $ | 0 | | | $ | (40,934) | |
| Cash flows from financing activities of continuing operations | | | | | | | | | |
| Dividends paid | $ | (1,356) | | | $ | (115) | | | $ | 115 | | | $ | 0 | | | $ | (1,356) | |
| Issuance of preferred stock | 2,300 | | | 0 | | | 0 | | | 0 | | | 2,300 | |
| Redemption of preferred stock | (1,500) | | | 0 | | | 0 | | | 0 | | | (1,500) | |
| Treasury stock acquired | (1,481) | | | 0 | | | 0 | | | 0 | | | (1,481) | |
| Proceeds (repayments) from issuance of long-term debt, net | (1,039) | | | 3,172 | | | (9,049) | | | 0 | | | (6,916) | |
| Proceeds (repayments) from issuance of long-term debt—intercompany, net | 0 | | | 5,702 | | | (5,702) | | | 0 | | | 0 | |
| Change in deposits | 0 | | | 0 | | | 20,304 | | | 0 | | | 20,304 | |
| Change in securities loaned and sold under agreements to repurchase | 0 | | | 3,752 | | | 15,891 | | | 0 | | | 19,643 | |
| Change in short-term borrowings | 0 | | | 551 | | | 2,022 | | | 0 | | | 2,573 | |
| Net change in short-term borrowings and other advances—intercompany | 4,962 | | | (405) | | | (4,557) | | | 0 | | | 0 | |
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| Other financing activities | (312) | | | 0 | | | 0 | | | 0 | | | (312) | |
| Net cash provided by financing activities of continuing operations | $ | 1,574 | | | $ | 12,657 | | | $ | 19,024 | | | $ | 0 | | | $ | 33,255 | |
| Effect of exchange rate changes on cash and due from banks | $ | 0 | | | $ | 0 | | | $ | (452) | | | $ | 0 | | | $ | (452) | |
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| Change in cash and due from banks and deposits with banks | $ | (1,505) | | | $ | 734 | | | $ | 15,838 | | | $ | 0 | | | $ | 15,067 | |
| Cash and due from banks and deposits with banks at beginning of period | 4,516 | | | 20,112 | | | 284,987 | | | 0 | | | 309,615 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,011 | | | $ | 20,846 | | | $ | 300,825 | | | $ | 0 | | | $ | 324,682 | |
| Cash and due from banks | $ | 11 | | | $ | 6,605 | | | $ | 19,588 | | | $ | 0 | | | $ | 26,204 | |
| Deposits with banks, net of allowance | 3,000 | | | 14,241 | | | 281,237 | | | 0 | | | 298,478 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,011 | | | $ | 20,846 | | | $ | 300,825 | | | $ | 0 | | | $ | 324,682 | |
| Supplemental disclosure of cash flow information for continuing operations | | | | | | | | | |
| Cash paid during the period for income taxes | $ | 99 | | | $ | 31 | | | $ | 820 | | | $ | 0 | | | $ | 950 | |
| Cash paid during the period for interest | 126 | | | 634 | | | 969 | | | 0 | | | 1,729 | |
| Non-cash investing activities | | | | | | | | | |
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| Transfers to loans HFS from loans | $ | 0 | | | $ | 0 | | | $ | 636 | | | $ | 0 | | | $ | 636 | |
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| Three Months Ended March 31, 2022 |
| In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated |
| Net cash provided by (used in) operating activities of continuing operations | $ | (4,607) | | $ | (3,757) | | $ | (5,180) | | $ | — | | $ | (13,544) | |
| Cash flows from investing activities of continuing operations | | | | | |
| Available-for-sale debt securities: | | | | | |
| Purchases of investments | $ | — | | $ | — | | $ | (66,115) | | $ | — | | $ | (66,115) | |
| Proceeds from sales of investments | — | | — | | 57,084 | | — | | 57,084 | |
| Proceeds from maturities of investments | — | | — | | 28,333 | | — | | 28,333 | |
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| Held-to-maturity debt securities: | | | | | |
| Purchases of investments | — | | — | | (28,406) | | — | | (28,406) | |
| Proceeds from maturities of investments | — | | — | | 2,775 | | — | | 2,775 | |
| Change in loans | — | | — | | (9,643) | | — | | (9,643) | |
| Proceeds from sales and securitizations of loans | — | | — | | 676 | | — | | 676 | |
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| Change in securities borrowed and purchased under agreements to resell | — | | (15,750) | | (2,372) | | — | | (18,122) | |
| Changes in investments and advances—intercompany | (9,916) | | (2,369) | | 12,285 | | — | | — | |
| Other investing activities | — | | — | | (1,105) | | — | | (1,105) | |
| Net cash provided by (used in) investing activities of continuing operations | $ | (9,916) | | $ | (18,119) | | $ | (6,488) | | $ | — | | $ | (34,523) | |
| Cash flows from financing activities of continuing operations | | | | | |
| Dividends paid | $ | (1,286) | | $ | (259) | | $ | 259 | | $ | — | | $ | (1,286) | |
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| Treasury stock acquired | (2,833) | | — | | — | | — | | (2,833) | |
| Proceeds (repayments) from issuance of long-term debt, net | 10,447 | | 5,645 | | (3,485) | | — | | 12,607 | |
| Proceeds (repayments) from issuance of long-term debt—intercompany, net | — | | 1,763 | | (1,763) | | — | | — | |
| Change in deposits | — | | — | | 34,816 | | — | | 34,816 | |
| Change in securities loaned and sold under agreements to repurchase | — | | 5,220 | | 7,989 | | — | | 13,209 | |
| Change in short-term borrowings | — | | 3,158 | | (987) | | — | | 2,171 | |
| Net change in short-term borrowings and other advances—intercompany | 8,530 | | 6,621 | | (15,151) | | — | | — | |
| Capital contributions from (to) parent | — | | 250 | | (250) | | — | | — | |
| Other financing activities | (330) | | — | | — | | — | | (330) | |
| Net cash provided by (used in) financing activities of continuing operations | $ | 14,528 | | $ | 22,398 | | $ | 21,428 | | $ | — | | $ | 58,354 | |
| Effect of exchange rate changes on cash and due from banks | $ | — | | $ | — | | $ | (233) | | $ | — | | $ | (233) | |
| | | | | |
| | | | | |
| Change in cash and due from banks and deposits with banks | $ | 5 | | $ | 522 | | $ | 9,527 | | $ | — | | $ | 10,054 | |
| Cash and due from banks and deposits with banks at beginning of period | 3,517 | | 26,665 | | 231,851 | | — | | 262,033 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,522 | | $ | 27,187 | | $ | 241,378 | | $ | — | | $ | 272,087 | |
| Cash and due from banks | $ | 22 | | $ | 8,484 | | $ | 19,262 | | $ | — | | $ | 27,768 | |
| Deposits with banks, net of allowance | 3,500 | | 18,703 | | 222,116 | | — | | 244,319 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,522 | | $ | 27,187 | | $ | 241,378 | | $ | — | | $ | 272,087 | |
| Supplemental disclosure of cash flow information for continuing operations | | | | | |
| Cash paid (received) during the period for income taxes | $ | (13) | | $ | (10) | | $ | 654 | | $ | — | | $ | 631 | |
| Cash paid during the period for interest | 1,305 | | 522 | | 955 | | — | | 2,782 | |
| Non-cash investing activities | | | | | |
| | | | | |
| Decrease in net loans associated with significant disposals reclassified to HFS | $ | — | | $ | — | | $ | 14,970 | | $ | — | | $ | 14,970 | |
| | | | | |
| Decrease in goodwill associated with significant disposals reclassified to HFS | — | | — | | 715 | | — | | 715 | |
| | | | | |
Transfers to loans HFS (Other assets) from loans | — | | — | | 328 | | — | | 328 | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| Non-cash financing activities | | | | | |
| Decrease in deposits associated with significant disposals reclassified to HFS | $ | — | | $ | — | | $ | 18,334 | | $ | — | | $ | 18,334 | |
| Decrease in long-term debt associated with significant disposals reclassified to HFS | — | | — | | 28 | | — | | 28 | |
| | | | | |
| | | | | |
Condensed Consolidating Statement of Cash Flows
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended March 31, 2020 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Net cash provided by (used in) operating activities of continuing operations | $ | 4,334 | | | $ | (38,869) | | | $ | 9,002 | | | $ | 0 | | | $ | (25,533) | |
| Cash flows from investing activities of continuing operations | | | | | | | | | |
| Purchases of investments | $ | 0 | | | $ | 0 | | | $ | (108,658) | | | $ | 0 | | | $ | (108,658) | |
| Proceeds from sales of investments | 0 | | | 0 | | | 44,399 | | | 0 | | | 44,399 | |
| Proceeds from maturities of investments | 0 | | | 0 | | | 29,203 | | | 0 | | | 29,203 | |
| Change in loans | 0 | | | 0 | | | (26,743) | | | 0 | | | (26,743) | |
| Proceeds from sales and securitizations of loans | 0 | | | 0 | | | 596 | | | 0 | | | 596 | |
| | | | | | | | | |
| | | | | | | | | |
| Change in securities borrowed and purchased under agreements to resell | 0 | | | (8,421) | | | (2,793) | | | 0 | | | (11,214) | |
| Changes in investments and advances—intercompany | 1,121 | | | (9,442) | | | 8,321 | | | 0 | | | 0 | |
| Other investing activities | 0 | | | 0 | | | (440) | | | 0 | | | (440) | |
| Net cash provided by (used in) investing activities of continuing operations | $ | 1,121 | | | $ | (17,863) | | | $ | (56,115) | | | $ | 0 | | | $ | (72,857) | |
| Cash flows from financing activities of continuing operations | | | | | | | | | |
| Dividends paid | $ | (1,365) | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (1,365) | |
| Issuance of preferred stock | 1,500 | | | 0 | | | 0 | | | 0 | | | 1,500 | |
| Redemption of preferred stock | (1,500) | | | 0 | | | 0 | | | 0 | | | (1,500) | |
| Treasury stock acquired | (2,925) | | | 0 | | | 0 | | | 0 | | | (2,925) | |
| Proceeds (repayments) from issuance of long-term debt, net | 5,742 | | | 72 | | | 10,032 | | | 0 | | | 15,846 | |
| Proceeds (repayments) from issuance of long-term debt—intercompany, net | 0 | | | 554 | | | (554) | | | 0 | | | 0 | |
| Change in deposits | 0 | | | 0 | | | 114,321 | | | 0 | | | 114,321 | |
| Change in securities loaned and sold under agreements to repurchase | 0 | | | 49,341 | | | 6,644 | | | 0 | | | 55,985 | |
| Change in short-term borrowings | 0 | | | 2,901 | | | 7,001 | | | 0 | | | 9,902 | |
| Net change in short-term borrowings and other advances—intercompany | (6,507) | | | 7,040 | | | (533) | | | 0 | | | 0 | |
| | | | | | | | | |
| Other financing activities | (406) | | | (119) | | | 119 | | | 0 | | | (406) | |
| Net cash provided by (used in) financing activities of continuing operations | $ | (5,461) | | | $ | 59,789 | | | $ | 137,030 | | | $ | 0 | | | $ | 191,358 | |
| Effect of exchange rate changes on cash and due from banks | $ | 0 | | | $ | 0 | | | $ | (967) | | | $ | 0 | | | $ | (967) | |
| | | | | | | | | |
| | | | | | | | | |
| Change in cash and due from banks and deposits with banks | $ | (6) | | | $ | 3,057 | | | $ | 88,950 | | | $ | 0 | | | $ | 92,001 | |
| Cash and due from banks and deposits with banks at beginning of period | 3,021 | | | 16,441 | | | 174,457 | | | 0 | | | 193,919 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,015 | | | $ | 19,498 | | | $ | 263,407 | | | $ | 0 | | | $ | 285,920 | |
| Cash and due from banks | $ | 15 | | | $ | 4,525 | | | $ | 19,215 | | | $ | 0 | | | $ | 23,755 | |
| Deposits with banks, net of allowance | 3,000 | | | 14,973 | | | 244,192 | | | 0 | | | 262,165 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,015 | | | $ | 19,498 | | | $ | 263,407 | | | $ | 0 | | | $ | 285,920 | |
| Supplemental disclosure of cash flow information for continuing operations | | | | | | | | | |
| Cash paid during the period for income taxes | $ | 16 | | | $ | 78 | | | $ | 1,347 | | | $ | 0 | | | $ | 1,441 | |
| Cash paid during the period for interest | 998 | | | 1,983 | | | 2,443 | | | 0 | | | 5,424 | |
| Non-cash investing activities | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| Transfers to loans HFS from loans | $ | 0 | | | $ | 0 | | | $ | 224 | | | $ | 0 | | | $ | 224 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Three Months Ended March 31, 2021 |
| In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated |
| Net cash provided by (used in) operating activities of continuing operations | $ | (4,966) | | $ | 12,638 | | $ | 15,526 | | $ | — | | $ | 23,198 | |
| Cash flows from investing activities of continuing operations | | | | | |
| Available-for-sale debt securities: | | | | | |
| Purchases of investments | $ | — | | $ | — | | $ | (48,998) | | $ | — | | $ | (48,998) | |
| Proceeds from sales of investments | — | | — | | 45,960 | | — | | 45,960 | |
| Proceeds from maturities of investments | — | | — | | 30,003 | | — | | 30,003 | |
| Held-to-maturity debt securities: | | | | | |
| Purchases of investments | — | | — | | (62,067) | | — | | (62,067) | |
| Proceeds from maturities of investments | — | | — | | 5,085 | | — | | 5,085 | |
| Change in loans | — | | — | | 9,933 | | — | | 9,933 | |
| Proceeds from sales and securitizations of loans | — | | — | | 323 | | — | | 323 | |
| | | | | |
| | | | | |
| Change in securities borrowed and purchased under agreements to resell | — | | (21,547) | | 1,187 | | — | | (20,360) | |
| Changes in investments and advances—intercompany | 1,887 | | (2,991) | | 1,104 | | — | | — | |
| Other investing activities | — | | (23) | | (790) | | — | | (813) | |
| Net cash provided by (used in) investing activities of continuing operations | $ | 1,887 | | $ | (24,561) | | $ | (18,260) | | $ | — | | $ | (40,934) | |
| Cash flows from financing activities of continuing operations | | | | | |
| Dividends paid | $ | (1,356) | | $ | (115) | | $ | 115 | | $ | — | | $ | (1,356) | |
| Issuance of preferred stock | 2,300 | | — | | — | | — | | 2,300 | |
| Redemption of preferred stock | (1,500) | | — | | — | | — | | (1,500) | |
| Treasury stock acquired | (1,481) | | — | | — | | — | | (1,481) | |
| Proceeds (repayments) from issuance of long-term debt, net | (1,039) | | 3,172 | | (9,049) | | — | | (6,916) | |
| Proceeds (repayments) from issuance of long-term debt—intercompany, net | — | | 5,702 | | (5,702) | | — | | — | |
| Change in deposits | — | | — | | 20,304 | | — | | 20,304 | |
| Change in securities loaned and sold under agreements to repurchase | — | | 3,752 | | 15,891 | | — | | 19,643 | |
| Change in short-term borrowings | — | | 551 | | 2,022 | | — | | 2,573 | |
| Net change in short-term borrowings and other advances—intercompany | 4,962 | | (405) | | (4,557) | | — | | — | |
| | | | | |
| Other financing activities | (312) | | — | | — | | — | | (312) | |
| Net cash provided by financing activities of continuing operations | $ | 1,574 | | $ | 12,657 | | $ | 19,024 | | $ | — | | $ | 33,255 | |
| Effect of exchange rate changes on cash and due from banks | $ | — | | $ | — | | $ | (452) | | $ | — | | $ | (452) | |
| | | | | |
| | | | | |
| Change in cash and due from banks and deposits with banks | $ | (1,505) | | $ | 734 | | $ | 15,838 | | $ | — | | $ | 15,067 | |
| Cash and due from banks and deposits with banks at beginning of period | 4,516 | | 20,112 | | 284,987 | | — | | 309,615 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,011 | | $ | 20,846 | | $ | 300,825 | | $ | — | | $ | 324,682 | |
| Cash and due from banks | $ | 11 | | $ | 6,605 | | $ | 19,588 | | $ | — | | $ | 26,204 | |
| Deposits with banks, net of allowance | 3,000 | | 14,241 | | 281,237 | | — | | 298,478 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,011 | | $ | 20,846 | | $ | 300,825 | | $ | — | | $ | 324,682 | |
| Supplemental disclosure of cash flow information for continuing operations | | | | | |
| Cash paid during the period for income taxes | $ | 99 | | $ | 31 | | $ | 820 | | $ | — | | $ | 950 | |
| Cash paid during the period for interest | 126 | | 634 | | 629 | | — | | 1,389 | |
| Non-cash investing activities | | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| Transfers to loans HFS from loans | $ | — | | $ | — | | $ | 636 | | $ | — | | $ | 636 | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
UNREGISTERED SALES OF EQUITY SECURITIES, REPURCHASES OF EQUITY SECURITIES AND DIVIDENDS
Unregistered Sales of Equity Securities
None.
Equity Security Repurchases
Based on measures announced by the Federal Reserve Board in December 2020, share repurchases were permitted byAll large banks, including Citi, starting in the first quarter of 2021,are subject to limitations on capital distributions in the event of a breach of any regulatory capital buffers, including the Stress Capital Buffer, with the degree of such restrictions based on net income for the four preceding calendar quarters,extent to which the buffers are breached. For additional information, see “Capital Resources—Regulatory Capital Buffers” and “Risk Factors—Strategic Risks” in addition toCiti’s 2021 Form 10-K.
As indicated in the table below, Citi repurchased $3.0 billion of common dividends paid. Citi commenced share repurchases in February 2021 and repurchased an aggregate of $1.6 billionshares during the first quarter of 2021, as indicated in the table below.2022. All shares repurchased were added to treasury stock. These limitations on capital distributions were extended by the Federal Reserve Board into the second quarter of 2021.
Based on the limitations on capital distributions, Citi is authorized to return capital to common shareholders of up to $4.1 billion during the second quarter of 2021, including common share repurchases and common dividends, subject to approval by Citi’s Board of Directors and the latest financial and macroeconomic conditions. For additional information on these capital distribution limitations, see “Capital Resources—Federal Reserve Board Limitations on Capital Distributions” above.
The following table summarizes Citi’s common share repurchases:
| | | | | | | | | |
| In millions, except per share amounts | Total shares purchased | Average
price paid
per share | |
| January 2021 | | | |
| Open market repurchases | — | | $ | — | | |
Employee transactions(1) | — | | — | | |
| February 2021 | | | |
| Open market repurchases | 3.5 | | 67.22 | | |
Employee transactions(1) | — | | — | | |
| March 2021 | | | |
| Open market repurchases | 19.0 | | 72.01 | | |
Employee transactions(1) | — | | — | | |
| Total for 1Q21 | 22.5 | | $ | 71.26 | | |
| | | | | | | | | |
| In millions, except per share amounts | Total shares purchased | Average
price paid
per share | |
| January 2022 | | | |
| Open market repurchases | 8.8 | | $ | 63.75 | | |
Employee transactions(1) | — | | — | | |
| February 2022 | | | |
| Open market repurchases | 11.2 | | 66.75 | | |
Employee transactions(1) | — | | — | | |
| March 2022 | | | |
| Open market repurchases | 30.3 | | 55.90 | | |
Employee transactions(1) | — | | — | | |
| Total for 1Q22 | 50.3 | | $ | 59.68 | | |
(1)�� During the first quarter, pursuant to Citigroup’s Board of Directors’ authorization, Citi repurchased 4,720,987withheld 676,126 shares (at an average price of $64.08)$67.84) of common stock, added to treasury stock, related to activity on employee stock programs where shares were withheld to satisfy the employee tax requirements.
Dividends
Consistent withCiti paid common dividends of $0.51 per share during the regulatory capital framework, Citifirst quarter of 2022, and on April 1, 2022, declared common dividends of $0.51 per share for the second quarter of 2021 on April 1, 2021, and2022. As previously announced, Citi intends to maintain its planned capital actions, which include a quarterly common dividendsdividend of at least $0.51 per share, through the third quarter of 2021 (the remaining quarters of the 2020 CCAR cycle).
In additionsubject to financial and macroeconomic conditions as well as Board of Directors’ approval,approval.
As discussed above, Citi’s ability to pay common stock dividends substantially dependsis subject to limitations on capital distributions in the event of a breach of any regulatory capital buffers, including the Stress Capital Buffer, with the degree of such restrictions based on the results ofextent to which the CCAR process required by the Federal Reserve Board and the supervisory stress tests required under the
Dodd-Frank Act.buffers are breached. For additional information, regarding Citi’s capital planning and stress testing, see “Capital Resources—Stress Testing Component ofRegulatory Capital Planning”Buffers” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on2021 Form 10-K.
Through the end of the second quarter of 2021, dividends continue to be capped and tied to a formula based on recent income. These limitations on capital distributions may be extended by the Federal Reserve Board. For additional information on these capital distribution limitations, see “Capital Resources—Federal Reserve Board Limitations on Capital Distributions” above.
Any dividend on Citi’s outstanding common stock would also need to be in compliance with Citi’s obligations on its outstanding preferred stock.
On April 1, 2022, Citi declared preferred dividends of approximately $238 million for the second quarter of 2022.
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 2020 Annual Report on2021 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 5th9th day of May, 2021.2022.
CITIGROUP INC.
(Registrant)
By /s/ Mark A. L. Mason
Mark A. L. Mason
Chief Financial Officer
(Principal Financial Officer)
By /s/ Johnbull E. Okpara
Johnbull E. Okpara
Controller and Chief Accounting Officer
(Principal Accounting Officer)
GLOSSARY OF TERMS AND ACRONYMS
The following is a list of terms and acronyms that are used in this Annual Report on Form 10-K and other Citigroup presentations.
* Denotes a Citi metric
2021 Annual Report on Form 10-K: Annual report on Form 10-K for year ended December 31, 2021, filed with the SEC.
90+ days past due delinquency rate*: Represents consumer loans that are past due by 90 or more days, divided by that period’s total EOP loans.
ABS: Asset-backed securities
ACL: Allowance for credit losses
ACLL: Allowance for credit losses on loans
ACLUC: Allowance for credit losses on unfunded lending commitments
AFS: Available-for-sale
ALCO: Asset Liability Committee
Amortized cost: Amount at which a financing receivable or investment is originated or acquired, adjusted for accretion or amortization of premium, discount, and net deferred fees or costs, collection of cash, charge-offs, foreign exchange, and fair value hedge accounting adjustments. For AFS securities, amortized cost is also reduced by any impairment losses recognized in earnings. Amortized cost is not reduced by the allowance for credit losses, except where explicitly presented net.
AOCI: Accumulated other comprehensive income (loss)
ARM: Adjustable rate mortgage(s)
ASC: Accounting Standards Codification under GAAP issued by the FASB.
Asia Consumer: Asia Consumer Banking
ASU: Accounting Standards Update under GAAP issued by the FASB.
AUC: Assets under custody
AUM: Assets under management. Represent assets managed on behalf of Citi’s clients.
Available liquidity resources*: Resources available at the balance sheet date to support Citi’s client and business needs, including HQLA assets; additional unencumbered securities, including excess liquidity held at bank entities that is non-transferable to other entities within Citigroup; and available assets not already accounted for within Citi’s HQLA to support Federal Home Loan Bank (FHLB) and Federal Reserve Bank discount window borrowing capacity.
Basel III: Liquidity and capital rules adopted by the FRB based on an internationally agreed set of measures developed by the Basel Committee on Banking Supervision.
Beneficial interests issued by consolidated VIEs: Represents the interest of third-party holders of debt, equity securities or other obligations, issued by VIEs that Citi consolidates.
Benefit obligation: Refers to the projected benefit obligation for pension plans and the accumulated postretirement benefit obligation for OPEB plans.
BHC: Bank holding company
Book value per share*: EOP common equity divided by EOP common shares outstanding.
Bps: Basis points. One basis point equals 1/100th of one percent.
Branded cards: Citi’s branded cards business with a portfolio of proprietary cards (Double Cash, Custom Cash, ThankYou and Value cards) and co-branded cards (including, among others, American Airlines and Costco).
Build: A net increase in ACL through the provision for credit losses.
Cards: Citi’s credit cards’ businesses or activities.
CCAR: Comprehensive Capital Analysis and Review
CCO: Chief Compliance Officer
CDS: Credit default swaps
CECL: Current expected credit losses
CEO: Chief Executive Officer
CET1 Capital: Common Equity Tier 1 Capital. See “Capital Resources—Components of Citigroup Capital” above for the components of CET1.
CET1 Capital Ratio*: Common Equity Tier 1 Capital ratio. A primary regulatory capital ratio representing end-of-period CET1 Capital divided by total risk-weighted assets.
CFO: Chief Financial Officer
CFTC: Commodity Futures Trading Commission
CGMHI: Citigroup Global Markets Holdings Inc.
Citi: Citigroup Inc.
Citibank or CBNA: Citibank, N.A. (National Association)
Client assets: Represent assets under management as well as custody, brokerage, administration and deposit accounts.
CLO: Collateralized loan obligations
Collateral-dependent: A loan is considered collateral dependent when repayment of the loan is expected to be provided substantially through the operation or sale of the collateral when the borrower is experiencing financial difficulty, including when foreclosure is deemed probable based on borrower delinquency.
Commercial cards: Provides a wide range of payment services to corporate and public sector clients worldwide through commercial card products. Services include procurement, corporate travel and entertainment, expense
management services, and business-to-business payment solutions.
Consent orders: In October 2020, Citigroup and Citibank entered into consent orders with the Federal Reserve and OCC that require Citigroup and Citibank to make improvements in various aspects of enterprise-wide risk management, compliance, data quality management and governance and internal controls.
CRE: Commercial real estate
Credit card spend volume*: Dollar amount of card customers’ purchases, net of returns. Also known as purchase sales.
Credit cycle: A period of time over which credit quality improves, deteriorates and then improves again (or vice versa). The duration of a credit cycle can vary from a couple of years to several years.
Credit derivatives: Financial instruments whose value is derived from the credit risk associated with the debt of a third-party issuer (the reference entity), which allow one party (the protection purchaser) to transfer that risk to another party (the protection seller).
Critical Audit Matters: Audit matters communicated by KPMG to Citi’s Audit Committee of the Board of Directors, relating to accounts or disclosures that are material to the consolidated financial statements and involved especially challenging, subjective or complex judgments. See “Report of Independent Registered Public Accounting Firm” above.
Criticized: Criticized loans, lending-related commitments and derivative receivables that are classified as special mention, substandard and doubtful categories for regulatory purposes.
CRO: Chief Risk Officer
CVA: Credit valuation adjustment
Dividend payout ratio*: Represents dividends declared per common share as a percentage of net income per diluted share.
Dodd-Frank Act: Wall Street Reform and Consumer Protection Act
DPD: Days past due
DVA: Debit valuation adjustment
EC: European Commission
Efficiency ratio*: A ratio signifying how much of a dollar in expenses (as a percentage) it takes to generate one dollar in revenue. Represents total operating expenses divided by total revenues, net.
EMEA: Europe, Middle East and Africa
EOP: End-of-period
EPS*: Earnings per share
ERISA: Employee Retirement Income Security Act of 1974
ETR: Effective tax rate
EU: European Union
Fannie Mae: Federal National Mortgage Association
FASB: Financial Accounting Standards Board
FDIC: Federal Deposit Insurance Corporation
Federal Reserve: The Board of the Governors of the Federal Reserve System
FFIEC: Federal Financial Institutions Examination Council
FHA: Federal Housing Administration
FHLB: Federal Home Loan Bank
FICO: Fair Issac Corporation
FICO score: A measure of consumer credit risk provided by credit bureaus, typically produced from statistical models by Fair Isaac Corporation utilizing data collected by the credit bureaus.
FINRA: Financial Industry Regulatory Authority
Firm: Citigroup Inc.
FRBNY: Federal Reserve Bank of New York
Freddie Mac: Federal Home Loan Mortgage Corporation
Free standing derivatives: A derivative contract entered into either separate and apart from any of the Company’s other financial instruments or equity transactions, or in conjunction with some other transaction and legally detachable and separately exercisable.
FTCs: Foreign tax credit carry-forwards
FTE: Full-time employee
FVA: Funding valuation adjustment
FX: Foreign exchange
FX translation: The impact of converting non-U.S.-dollar currencies into U.S. dollars.
G7: Group of Seven nations. Countries in the G7 are Canada, France, Germany, Italy, Japan, the U.K. and the U.S.
GAAP or U.S. GAAP: Generally accepted accounting principles in the United States of America.
Ginnie Mae: Government National Mortgage Association
Global Wealth: Global Wealth Management
GSIB: Global systemically important banks
HELOC: Home equity line of credit
HFI loans: Loans that are held-for-investment (i.e., excludes loans held-for-sale).
HFS: Held-for-sale
HQLA: High-quality liquid assets. Consist of cash and certain high-quality liquid securities as defined in the LCR rule.
HTM: Held-to-maturity
IBOR: Interbank Offered Rate
ICG: Institutional Clients Group
ICRM: Independent Compliance Risk Management
IPO: Initial public offering
ISDA: International Swaps and Derivatives Association
KM: Key financial and non-financial metric used by management when evaluating consolidated and/or individual business results.
KPMG LLP: Citi’s Independent Registered Public Accounting Firm.
LATAM: Latin America, which for Citi, includes Mexico.
LCR: Liquidity coverage ratio. Represents HQLA divided by net outflows in the period.
LDA: Loss Distribution Approach
LGD: Loss given default
LIBOR: London Interbank Offered Rate
LLC: Limited Liability Company
LTD: Long-term debt
LTV: Loan-to-value. For residential real estate loans, the relationship, expressed as a percentage, between the principal amount of a loan and the appraised value of the collateral (i.e., residential real estate) securing the loan.
Master netting agreement: A single agreement with a counterparty that permits multiple transactions governed by that agreement to be terminated or accelerated and settled through a single payment in a single currency in the event of a default (e.g., bankruptcy, failure to make a required payment or securities transfer or deliver collateral or margin when due).
MBS: Mortgage-backed securities
MCA: Manager’s control assessment
MD&A: Management’s discussion and analysis
Measurement alternative: Measures equity securities without readily determinable fair values at cost less impairment (if any), plus or minus observable price changes from an identical or similar investment of the same issuer.
Mexico Consumer: Mexico Consumer Banking
Mexico Consumer/SBMM: Mexico Consumer Banking and Small Business and Middle-Market Banking
Mexico SBMM: Mexico Small Business and Middle-Market Banking
Moody’s: Moody’s Investor Services
MSRs: Mortgage servicing rights
N/A: Data is not applicable or available for the period presented.
NAA: Non-accrual assets. Consists of non-accrual loans and OREO.
NAL: Non-accrual loans. Loans for which interest income is not recognized on an accrual basis. Loans (other than credit card loans and certain consumer loans insured by U.S. government sponsored agencies) are placed on non-accrual status when full payment of principal and interest is not expected, regardless of delinquency status, or when principal and interest have been in default for a period of 90 days or more unless the loan is both well-secured and in the process of collection. Collateral-dependent loans are typically maintained on non-accrual status.
NAV: Net asset value
NCL(s): Net credit losses. Represents gross credit losses, less gross credit recoveries.
NCL ratio*: Represents net credit losses (recoveries) (annualized), divided by average loans for the reporting period.
Net Capital Rule: Rule 15c3-1 under the Securities Exchange Act of 1934.
Net interchange income: Includes the following components:
• Interchange revenue: Fees earned from merchants based on Citi’s credit and debit card customers’ sales transactions.
• Reward costs: The cost to Citi for points earned by cardholders enrolled in credit card rewards programs generally tied to sales transactions.
• Partner payments: Payments to co-brand credit card partners based on the cost of loyalty program rewards earned by cardholders on credit card transactions.
NII: Net interest income. Represents total interest revenue, less total interest expenses.
NIM*: Net interest margin expressed as a yield percentage, calculated as annualized net interest income divided by average interest-earning assets for the period.
NIR: Non-interest revenues
NM: Not meaningful
Noncontrolling interests: The portion of an investment that has been consolidated by Citi that is not 100% owned by Citi.
Non-GAAP financial measure: Management uses these financial measures because it believes they provide information to enable investors to understand the underlying operational performance and trends of Citi and its businesses.
NSFR: Net Stable Funding Ratio
O/S: Outstanding
OCC: Office of the Comptroller of the Currency
OCI: Other comprehensive income (loss)
OREO: Other real estate owned
OTTI: Other-than-temporary impairment
Over-the-counter cleared (OTC-cleared) derivatives: Derivative contracts that are negotiated and executed bilaterally, but subsequently settled via a central clearing house, such that each derivative counterparty is only exposed to the default of that clearing house.
Over-the-counter (OTC) derivatives: Derivative contracts that are negotiated, executed and settled bilaterally between two derivative counterparties, where one or both counterparties is a derivatives dealer.
Parent Company: Citigroup Inc.
Participating securities: Represents unvested share-based compensation awards containing nonforfeitable rights to dividends or dividend equivalents (collectively, “dividends”), which are included in the earnings per share calculation using
the two-class method. Citi grants RSUs to certain employees under its share-based compensation programs, which entitle the recipients to receive non-forfeitable dividends during the vesting period on a basis equivalent to the dividends paid to holders of common stock. These unvested awards meet the definition of participating securities. Under the two-class method, all earnings (distributed and undistributed) are allocated to each class of common stock and participating securities, based on their respective rights to receive dividends.
PBWM: Personal Banking and Wealth Management
PCD: Purchased credit-deteriorated assets are financial assets that as of the date of acquisition have experienced a more-than-insignificant deterioration in credit quality since origination, as determined by the Company.
PCI: Purchased credit-impaired loans represented certain loans that were acquired and deemed to be credit impaired on the acquisition date. The now superseded FASB guidance that allowed purchasers to aggregate credit-impaired loans acquired in the same fiscal quarter into one or more pools, provided that the loans had common risk characteristics (e.g., product type, LTV ratios).
PD: Probability of default
Principal transactions revenue: Primarily trading-related revenues predominantly generated by the ICG businesses. See Note 6.
Provisions: Provisions for credit losses and for benefits and claims.
PSUs: Performance share units
Real GDP: Real gross domestic product is the inflation-adjusted value of the goods and services produced by labor and property located in a country.
Regulatory VAR: Daily aggregated VAR calculated in accordance with regulatory rules.
REITs: Real estate investment trusts
Release: A net decrease in ACL through the provision for credit losses.
Reported basis: Financial statements prepared under U.S. GAAP.
Results of operations that exclude certain impacts from gains or losses on sale, or one-time charges*: Represents GAAP items, excluding the impact of gains or losses on sales, or one-time charges (e.g., the loss on sale related to the sale of Citi’s consumer banking business in Australia).
Results of operations that exclude the impact of FX translation*: Represents GAAP items, excluding the impact of FX translation, whereby the prior periods’ foreign currency balances are translated into U.S. dollars at the current periods’ conversion rates (also known as Constant dollar).
Retail services: Citi’s U.S. retail services cards business with a portfolio of co-brand and private label relationships (including, among others, The Home Depot, Sears, Best Buy and Macy’s).
ROA*: Return on assets. Represents net income (annualized), divided by average assets for the period.
ROCE*: Return on Common Equity. Represents net income less preferred dividends (both annualized), divided by average common equity for the period.
ROE: Return on equity. Represents net income less preferred dividends (both annualized), divided by average Citigroup equity for the period.
RoTCE*: Return on tangible common equity. Represents net income less preferred dividends (both annualized), divided by average tangible common equity for the period.
RSU(s): Restricted stock units
RWA: Risk-weighted assets. Basel III establishes two comprehensive approaches for calculating RWA (a Standardized approach and an Advanced approach), which include capital requirements for credit risk, market risk, and in the case of Basel III Advanced, also operational risk. Key differences in the calculation of credit risk RWA between the Standardized and Advanced approaches are that for Basel III Advanced, credit risk RWA is based on risk-sensitive approaches which largely rely on the use of internal credit models and parameters, whereas for Basel III Standardized, credit risk RWA is generally based on supervisory risk-weightings, which vary primarily by counterparty type and asset class. Market risk RWA is calculated on a generally consistent basis between Basel III Standardized and Basel III Advanced Approaches.
S&P: Standard and Poor’s Global Ratings
SCB: Stress Capital Buffer
SEC: The U.S. Securities and Exchange Commission
Securities financing agreements: Include resale, repurchase, securities borrowed and securities loaned agreements.
SLR: Supplementary leverage ratio. Represents Tier 1 Capital, divided by total leverage exposure.
SOFR: Secured Overnight Financing Rate
SPEs: Special purpose entities
Structured notes: Financial instruments whose cash flows are linked to the movement in one or more indexes, interest rates, foreign exchange rates, commodities prices, prepayment rates, or other market variables. The notes typically contain embedded (but not separable or detachable) derivatives. Contractual cash flows for principal, interest or both can vary in amount and timing throughout the life of the note based on non-traditional indexes or non-traditional uses of traditional interest rates or indexes.
Tangible book value per share (TBVPS)*: Represents tangible common equity divided by EOP common shares outstanding.
Tangible common equity (TCE): Represents common stockholders’ equity less goodwill and identifiable intangible assets, other than MSRs.
Taxable-equivalent basis: Represents the total revenue, net of interest expense for the business, adjusted for revenue from
investments that receive tax credits and the impact of tax-exempt securities. This metric presents results on a level comparable to taxable investments and securities.
Tax Reform: Tax Cuts and Jobs Act of 2017
TDR: Troubled debt restructuring. TDR is deemed to occur when the Company modifies the original terms of a loan agreement by granting a concession to a borrower that is experiencing financial difficulty. Loans with short-term and other insignificant modifications that are not considered concessions are not TDRs.
TLAC: Total loss-absorbing capacity
Total payout ratio*: Represents total common dividends declared plus common share repurchases as a percentage of net income available to common shareholders.
Transformation: Citi has embarked on a multiyear transformation, with the target outcome to change Citi’s business and operating models such that they simultaneously strengthen risk and controls and improve Citi’s value to customers, clients and shareholders.
U.K.: United Kingdom
Unaudited: Financial statements and information that have not been subjected to auditing procedures sufficient to permit an independent certified public accountant to express an opinion.
USD: U.S. dollar
U.S.: United States of America
U.S. government agencies: U.S. government agencies include, but are not limited to, agencies such as Ginnie Mae and FHA, and do not include Fannie Mae and Freddie Mac, which are U.S. government-sponsored enterprises (U.S. GSEs). In general, obligations of U.S. government agencies are fully and explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government in the event of a default.
U.S. Treasury: U.S. Department of the Treasury
VAR: Value at risk. A measure of the dollar amount of potential loss from adverse market moves in an ordinary market environment.
VIEs: Variable interest entities
Wallet: Proportion of fee revenue based on estimates of investment banking fees generated across the industry (i.e., the revenue wallet) from investment banking transactions in M&A, equity and debt underwriting, and loan syndications.
EXHIBIT INDEX
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| | Financial statements from the Quarterly Report on Form 10-Q of Citigroup for the quarterquarterly period ended March 31, 2021,31, 2022, filed on May5, 2021, 9, 2022, formatted in Inline XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Shareholders’Stockholders’ Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to the Consolidated Financial Statements. |
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| 104 | | See the cover page of this Quarterly Report on Form 10-Q, formatted in Inline XBRL. |
The total amount of securities authorized pursuant to any instrument defining rights of holders of long-term debt of the Company does not exceed 10% of the total assets of the Company and its consolidated subsidiaries. The Company will furnish copies of any such instrument to the SEC upon request.
* Denotes a management contract or compensatory plan or arrangement.
+ Filed herewith.
