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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
| | | | | |
| ☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended JuneSeptember 30, 2021
OR
| | | | | |
| ☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the transition period from to
Commission file number 1-9924
Citigroup Inc.
(Exact name of registrant as specified in its charter)
| | | | | | | | | | | | | | |
| Delaware | | 52-1568099 |
| (State or other jurisdiction of incorporation or organization) | | (I.R.S. Employer Identification No.) |
| 388 Greenwich Street, | New 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 JuneSeptember 30, 2021: 2,026,785,1831,984,267,239
Available on the web at www.citigroup.com
CITIGROUP’S SECONDTHIRD QUARTER 2021—FORM 10-Q
| | | | | |
| OVERVIEW | |
MANAGEMENT’S DISCUSSION AND
ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS | |
| Executive Summary | |
| Summary of Selected Financial Data | |
SEGMENT AND BUSINESS—INCOME
AND REVENUES | |
| SEGMENT BALANCE SHEET | |
| Global Consumer Banking (GCB) | |
| North America GCB | |
| Latin America GCB | |
| Asia GCB | |
| 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 | |
| SUPERVISION AND REGULATION | |
| 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 | |
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 on Form 10-K) and Citigroup’s Quarterly ReportReports on Form 10-Q for the quarter ended March 31, 2021 (First Quarter of 2021 Form 10-Q) and for the quarter ended June 30, 2021 (Second Quarter of 2021 Form 10-Q).
Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s annual reports on Form 10-K, quarterly reports on Form 10-Q and proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC), are available and accessible free of charge on 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.
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 footnote 1 to “Summary of Selected Financial
Data” and “Segment and Business—Income (Loss) and
Revenues” below and Notes 1 and 3 to the Consolidated Financial Statements.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Please see “Risk Factors” in Citi’s 2020 Annual Report on Form 10-K for a discussion of material risks and uncertainties that could impact Citigroup’s businesses, results of operations and financial condition.
Citigroup is managed pursuant to two business segments: Global Consumer Banking and Institutional Clients Group, with the remaining operations in Corporate/Other.
| | | | | | | | | | | | | | | | | |
| Citigroup Segments |
| | | | | |
| | | | | |
Global
Consumer Banking
(GCB) | | | Institutional
Clients Group
(ICG) |
| |
•North America •Latin America(1) •Asia(2) Consisting of: •Retail banking and wealth management, including –Residential real estate –Small business banking •Citi-branded cards in all regions •Citi retail services in North America | | | •Banking –Investment banking –Treasury and trade solutions –Corporate lending –Private bank •Markets and securities services –Fixed income markets –Equity markets –Securities services |
| | | | | |
| Corporate/Other |
•Corporate Treasury •Operations and technology •Global staff functions and other corporate expenses •Legacy non-core assets: –Consumer loans –Certain portfolios of securities, loans and other assets •Discontinued operations |
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment and Corporate/Other results above.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Citigroup Regions(3) |
| | | | | | | | | | | |
| | | | | | | | | | | |
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 disclosed, Citi will focus its consumer banking franchise in Asia and EMEA on four wealth centers—Singapore, Hong Kong, the United Arab Emirates (UAE) and London—and is pursuing exits of its consumer franchises in 13 markets across the two regions. ICG will continue to serve clients, including its commercial banking clients, in all of these markets. For additional information, see “Executive Summary” and “Asia GCB” in Citi’s First Quarter of 2021 Form 10-Q.below and Note 2 to the Consolidated Financial Statements. For information regarding risks related to Citi’s exits infrom the 13 markets, see “Forward-Looking Statements” below.
In conjunction with its strategic refresh, Citi is assessing its current operating segment and reporting unit structure along with potential changes to management reporting used to assist in decisions about resources and capital allocation, and assess business performance.
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
EXECUTIVE SUMMARY
SecondThird Quarter of 2021—Results Demonstrated Continued Progress Across the Franchise
As described further throughout this Executive Summary, during or since the secondthird quarter of 2021:
• Citi’s earnings increased significantly versus the prior-year period, largely reflecting an allowance for credit loss (ACL) release of $2.4$1.2 billion as a result of ana continued improvement in portfolio credit quality, as well as the continued improvement in Citi’s macroeconomic outlook (see “Cost of Credit” below).partially offset by higher expenses.
• Citi’s revenues declined 1% versus the prior-year period. Excluding a pretax loss of approximately $680 million ($580 million after-tax) related to the sale of Citi’s Australia consumer banking business in Asia Global Consumer Banking (GCB) (see “Citigroup” below), revenues increased 3%, as continued strength in investment banking, equity markets the private bank and securities services in Institutional Clients Group (ICG) was more thanpartially offset by normalization in market activity in fixed income markets within ICG and lower average card loans in Global Consumer Banking (GCB), as well as the impact of lower interest rates.card loans and deposit spreads across GCB.
• Citi continued to invest in its transformation, including infrastructure supporting its risk and control environment, as well as other strategicand make business-led investments.
• Citi had deposit growth across GCBICG and and ICGGCB, reflecting consistent clientcontinued engagement withacross both corporate clients and consumer clients continuing to hold higher levels of liquidity, while loans declined reflecting higher repayment rates across both GCB and ICG.consumers.
• Citi returned $4.1approximately $4 billion of capital to its common shareholders in the form of $1.1$1 billion in dividends and $3.0$3 billion in common share repurchases, totaling approximately 4043 million common shares, while maintaining robust regulatory capital ratios. Year-to-date, Citi returned nearly $7$11 billion of capital to its common shareholders,shareholders.
• Citi submitted its plans to address the maximum amount permitted under Federal Reserve Board rules.
•During the quarter,consent orders issued to Citigroup and Citibank by the Federal Reserve Board communicatedand Office of the Comptroller of the Currency, respectively (for additional information, see “Citi’s Consent Order Compliance” in Citi’s 2020 Annual Report on Form 10-K).
•On November 8, 2021, Citi filed an amended Current Report on Form 8-K/A with the SEC disclosing that, Citi’s Stress Capital Buffer (SCB) requirement would be 3.0% forin connection with the four-quarter windowpreviously disclosed wind-down plan of fourth quarterits Korea consumer banking business, Citi expects to incur total estimated cash charges ranging from approximately $1.2 billion to $1.5 billion, related to voluntary termination benefits and related costs. Citi does not expect to recognize these charges all at once, but over time through the remainder of 2021 and 2022, as voluntary retirements are phased and irrevocably accepted in order to third quarter of 2022 (the 2021 CCAR cycle). For information on Citi’s SCB, see “Capital Resources—Stress Capital Buffer” below.minimize business and operational impacts.
For a discussion of trends, uncertainties and risks that will or could impact Citi’s businesses, results of operations and financial condition during the remainder of 2021, see this Executive Summary, each respective business’s results of operations and “Forward-Looking“Forward-
Looking Statements” below, and “COVID-19 Pandemic Overview,” “Risk Factors” and “Managing Global Risk” in Citi’s 2020 Annual Report on Form 10-K.
SecondThird Quarter of 2021 Results Summary
Citigroup
Citigroup reported net income of $6.2$4.6 billion, or $2.85$2.15 per share, compared to net income of $1.1$3.1 billion, or $0.38$1.36 per share, in the prior-year period. The increase in net income was driven by lower cost of credit, partially offset by higher expenses and lower revenues and higher expenses.revenues. Citigroup’s effective tax rate was 16%20% in the current quarter, compared to 5% inlargely unchanged from the secondthird quarter of 2020. The current quarter tax rate reflects certain tax benefit items related to non-U.S. operations. For additional information on Citi’s tax rate, see “Income Taxes” below. Earnings per share also increased significantly,58%, reflecting the increase in net income, as well as a slight decline in average diluted shares outstanding.
Citigroup revenues of $17.5$17.2 billion in the secondthird quarter of 2021 decreased 12%1% from the prior-year period, primarily reflectingperiod. Excluding the Australia loss on sale, Citigroup revenues increased 3%, as higher revenues in ICG, along with growth in Corporate/Other, were partially offset by lower revenues in both GCB and ICG.
As previously disclosed, the Australia loss on sale primarily reflects the impact of a currency translation adjustment (CTA) loss (net of hedges) already reflected in the Accumulated other comprehensive income (AOCI) component of equity. Upon closing, the CTA-related balance would be removed from the AOCI component of equity, resulting in a neutral impact from CTA to Citi’s Common Equity Tier 1 Capital. Ultimately, the sale is expected to result in an improvement in Citi’s Common Equity Tier 1 Capital ratio due to the reduction in associated risk-weighted assets. (As used throughout this Form 10-Q, Citi’s results of operations and financial condition excluding the impact of the Australia loss on sale are non-GAAP financial measures. Citi believes the presentation of its results of operations and financial condition excluding the impact of the Australia sale provides a meaningful depiction of the underlying fundamentals of its broader results and Asia GCB business’s results for investors, industry analysts and others.)
Citigroup’s end-of-period loans decreased 1% to $677 billion.were $665 billion, largely unchanged from the prior-year period. Excluding the impact of foreign currency translation
into U.S. dollars for reporting purposes (FX translation), Citigroup’s end-of-period loans decreased 3%1%. On this basis and excluding the impact of held-for-sale accounting as a result of the Australia sale (totaling approximately $9 billion of loans), reflecting a higher level of repaymentsloans increased 1%, driven by active client engagement in bothtreasury and trade solutions, the private bank and markets, partially offset by lower loans in GCB and ICGCorporate/Other. Citigroup’s end-of-period deposits increased 6%7% to $1.3 trillion. Excluding the impact of FX translation, Citigroup’s end-of-period deposits increased 4%6%, primarily driven by growth inacross both GCBICG and ICGGCB, reflecting consistent client engagement and elevated levels of liquidity in the financial system. (Citi’s. (As used throughout this Form 10-Q, Citi’s results of operations and financial condition excluding the impact of FX translation are non-GAAP financial measures.)
Expenses
Citigroup operating expenses of $11.2$11.5 billion increased 7%5% from the prior-year period. Excluding the impact of FX translation, expenses increased 4%, reflecting a normalization relative to a low comparison in the prior-year period related to the pandemic, along with continued investments in Citi’s transformation, as well as other strategicbusiness-led investments and revenue-related expenses, partially offset by efficiency savings.
As previously announced, Citi continues to expect to incur higher expenses in 2021 compared to 2020, as it accelerates certain strategic investments and continues to invest in its transformation as noted above.
Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims was a benefit of $1.1$0.2 billion, compared to a cost of $8.2$2.4 billion in the prior-year period, primarily driven by a net ACL reserve releasesrelease of $2.4$1.2 billion across ICG, GCB and Corporate/Other.(versus a build of $436 million in the prior-year period) as well as lower net credit losses. Citi’s net ACL release primarily reflected improvements in portfolio quality, as well as thea continued improvement in Citi’s macroeconomic outlook.portfolio credit quality. 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 $1.3$1.0 billion decreased 39%50% from the prior-year period. Consumer net credit losses of $1.2$0.9 billion decreased 33%42%, primarily reflecting lower loan volumes and improved delinquencies in the North America cards portfolios. Corporate net credit losses decreased 88% to $89$39 million from $324$325 million in the prior-year period, driven by improvements in overall portfolio credit quality.
For additional information on Citi’s consumer and corporate credit costs, see each respective business’s results of operations and “Credit Risk” below.
Capital
Citigroup’s Common Equity Tier 1 (CET1) Capital ratio was 11.8%11.7% as of JuneSeptember 30, 2021, based on the Basel III Standardized ApproachesApproach for determining risk-weighted assets, compared to 11.5% as of June 30, 2020,unchanged from the prior-year period, based on the Basel III Advanced Approaches framework for determining risk-weighted assets. The increase in the ratio reflected net income, partially offset by the return of capital to common shareholders and an increase in risk-weighted assets.
Citigroup’s Supplementary Leverage ratio as of JuneSeptember 30, 2021 was 5.8%, compared to 6.6%6.8% as of JuneSeptember 30, 2020. The decrease was primarily driven by the expiration of a temporary relief granted by the Federal Reserve Board. For additional information on Citi’s capital ratios, see “Capital Resources” below.
Global Consumer Banking
GCB net income of $1.8$1.3 billion compared to a net lossincome of $703$920 million in the prior-year period, reflecting lower cost of credit, partially offset by lower revenues and higher expenses. GCB operating expenses of $4.6 billion increased 10%7% from the prior-year period. Excluding the impact of FX translation, expenses increased 7%5%, reflecting continued investments in Citi’s transformation, as well as other strategicbusiness-led investments an acceleration in marketing and higher volume-related costs,expenses, partially offset by efficiency savings.
GCB revenues of $6.8$6.3 billion decreased 7%13%. Excluding the impact of FX translation and the Australia loss on sale, revenues decreased 10%5%, as continued strongsolid deposit growth and momentum in investment management were more than offset by lower average card loans and lower deposit spreads across all three regions.spreads.
North America GCB revenues of $4.2$4.3 billion decreased 11%4%, with lower revenues across Citi-branded cards, Citi retail services and retail banking. Citi-branded cards revenues of $2.0 billion decreased 12%1%, reflecting lower average loans.continued higher payment rates. Citi retail services revenues of $1.2$1.3 billion decreased 14%6%, primarily driven byreflecting lower average loans.loans and continued higher payment rates. Retail banking revenues of $1.0 billion decreased 7%, as the benefit of stronger deposit volumesgrowth was more than offset by lower deposit spreads, as well as lower mortgage revenues.
Year-over-year, North America GCB average deposits of $204$208 billion increased 18%14%, assets under management of $85 billion increased 23%16% and average retail banking loans of $50 billion decreased 4%7%. Average Citi-branded card loans of $79$82 billion decreased 4%increased 1%, while average Citi retail services loans of $42 billion decreased 8%, both reflecting higher payment rates.5%. Citi-branded card purchase sales of $104$106 billion increased 40%24% and Citi retail services purchase sales of $24$23 billion also increased 40%14%, reflecting a continued recovery in
sales activity from the pandemic-related low levels in the prior-year period related to the pandemic.period. For additional information on the results of operations of North America GCB for the secondthird 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$1.9 billion increased 1%decreased 27% versus the prior-year period. Excluding the impact of FX translation and the Australia loss on sale, international GCB revenues declined 6%, largely reflecting5%. Excluding the continued impact of the pandemic. On this basis,FX translation, Latin America GCB revenues declined 11%7%, driven by lower loanlending volumes and lower deposit spreads, partially offset by growth in assets under management. Excluding the impact of FX translation and the Australia loss on sale, Asia GCB revenues decreased 3%4%, as strong investment revenues were more thanreflecting lower loans and lower deposit spreads, partially offset by lower deposit spreads.higher investment revenues. For additional information on the results of operations of Latin America GCB and Asia GCB for the secondthird quarter of 2021, including the impact of FX translation, see “Global Consumer Banking—Latin America GCB” and “Global Consumer Banking—Asia GCB” below. For additional information on Citi’s consumer banking business in Australia, including the impact of the reclassification of
deposits and loans to held-for-sale, see “Global Consumer Banking—Asia GCB” below and Note 2 to the Consolidated Financial Statements.
Year-over-year, excluding the impact of FX translation, international GCB average deposits of $149$145 billion increased 8%3%, average retail banking loans of $76$71 billion increased 1%decreased 5% (primarily reflecting the impact of held-for-sale accounting as a result of the Australia sale) and assets under management of $147$144 billion increased 15%10%. On this basis, international GCB average card loans of $21$19 billion decreased 8%15%, primarily reflecting the impact of held-for-sale accounting as a result of the Australia sale, as well as higher paymentspayment rates, while card purchase sales of $24 billion increased 26%8%, reflecting a
continued recovery in purchase sales activity from the pandemic-related low levels in the
prior-year period related to the pandemic.period.
Institutional Clients Group
ICG net income of $3.8$3.4 billion increased significantly, driven by21%, as lower cost of credit partiallyand higher revenues more than offset by lower revenues and higher expenses. ICG operating expenses increased 4%9% to $6.3 billion. Excluding the impact of FX translation, expenses increased 2%, primarily driven by$6.4 billion, reflecting continued investments in Citi’s transformation, along with other strategicbusiness-led investments and higher revenue-related expenses, partially offset by lower incentive compensation and efficiency savings.
ICG revenues of $10.4$10.8 billion decreased 14%increased 4%, primarily reflecting a 30% decline12% increase in Markets and securities servicesBanking revenues, partially offset by a 6% increase4% decrease in BankingMarkets and securities services revenues. The increase in Banking revenues included the impact of $37$47 million of losses on loan hedges related to corporate lending and the private bank, compared to aggregate losses of $431$124 million related to corporate lending ($414 million) and the private bank ($17 million) in the prior-year period.
Excluding the impact of gains (losses)losses on loan hedges, Banking revenues of $5.6$5.8 billion decreased 1%increased 11%, as higher revenues in investment banking, corporate lending and the private bank and investment banking were more thanpartially offset by lower revenues in corporate lending and treasury and trade solutions. Investment banking revenues of $1.8$1.9 billion increased 1%39%, primarily reflecting revenuestrong growth in advisory and equity underwriting, largely offset by lower revenues in debt underwriting.across products. Advisory revenues increased 77%significantly to $405$539 million, equity underwriting revenues increased 11%5% to $544$507 million and debt underwriting revenues decreased 21%increased 19% to $823$877 million. (As used throughout this Form 10-Q, Citi’s results of operations and financial condition excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.)
Treasury and trade solutions revenues of $2.3 billion declined 1%4%, or 2%5% excluding the impact of FX translation, as
higher fee revenues, reflecting strong client engagement, andincluding a recovery in commercial card revenues, as well as growth in trade were more than offset by the impact of lower interest rates.deposit spreads. Private bank revenues increased 6%4% to $1.0
billion. Excluding the impact of losses on loan hedges, private bank revenues also increased 4%, driven by higher fees and
lending volumes, reflecting momentum with both new and existing clients, partially offset by the impact of lower
interest rates. deposit spreads. Corporate lending revenues of $511$588 million increased from $232 million.39%. Excluding the impact of gains (losses)losses on loan hedges, corporate lending revenues of $548$631 million decreased 15%increased 17%, primarily due to lower cost of funds and a modest gain on sale, partially offset by lower loan volumes.
Markets and securities services revenues of $4.8$5.0 billion decreased 30%4%. Fixed income markets revenues of $3.2 billion decreased 43% versus a strong prior-year period16%, reflecting the continued normalization in bothmarket activity across rates and spread products. Equity markets revenues of $1.1$1.2 billion increased 37%40%, driven by strong performancegrowth in derivatives, and prime finance and cash equities, reflecting solid client activity and favorable market conditions. Securities services revenues of $672$692 million increased 9%10%. Excluding the impact of FX translation, securities services revenues increased 5%9%, primarily reflectingdriven by strong growth in fee revenues driven bywith both new and existing clients, including growth in assets under custody and settlement volumes, partially offset by lower deposit spreads. For additional information on the results of operations of ICG for the secondthird quarter of 2021, see “Institutional Clients Group” below.
Corporate/Other
Corporate/Other net incomeloss was $542$111 million in the secondthird quarter of 2021, compared to a net loss of $58$607 million in the prior-year period, primarily driven by certain income tax benefit items related to non-U.S. operations in the current period (approximately $450 million), as well ashigher revenues and lower expenses, partially offset by a lower net ACL release on Citi’s residual legacy portfolio versus a build in the prior-year period.portfolio. Operating expenses of $378$519 million increased 14%decreased 37%, primarily driven by the impactabsence of foreign exchange translation.a prior-year period civil money penalty, partially offset by an increase in expenses related to Citi’s transformation.
Corporate/Other revenues of $267$108 million declinedincreased from $290$(224) million in the prior-year period, as positive marks on investments were more than offset bylargely reflecting higher net revenue from the absence of AFS gains.investment portfolio. For additional information on the results of operations of Corporate/Other for the secondthird quarter of 2021, see “Corporate/Other” below.
COVID-19 PANDEMIC
DueAlthough economic growth and employment rates have continued to recover from pandemic-related lows, particularly in the continued virus contagion and challenges in vaccine distribution,U.S., the COVID-19 pandemic has continued to have adverse, albeit relatively lessening, impacts on macroeconomic conditions in the U.S.adversely impact certain industries and around the world. Despiteregions. Notwithstanding these impacts, Citi has maintained strong capital and liquidity positions with consistently strong business operations.
Following a U.S. presidential executive order issued in September 2021 mandating vaccination for government contractors that will apply to a significant number of Citi employees, Citi announced a requirement that U.S.-domiciled employees must be vaccinated, subject to legally required accommodations.
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
| | | Second Quarter | | Six Months | | | Third Quarter | | Nine Months | |
| In millions of dollars, except per share amounts | In millions of dollars, except per share amounts | 2021 | 2020(1) | % Change | 2021 | 2020 | % Change | In millions of dollars, except per share amounts | 2021 | 2020(1) | % Change | 2021 | 2020(1) | % Change |
| Net interest revenue | Net interest revenue | $ | 10,199 | | $ | 11,080 | | (8) | % | $ | 20,365 | | $ | 22,572 | | (10) | % | Net interest revenue | $ | 10,398 | | $ | 10,493 | | (1) | % | $ | 30,763 | | $ | 33,065 | | (7) | % |
| Non-interest revenue | Non-interest revenue | 7,275 | | 8,686 | | (16) | | 16,436 | | 17,925 | | (8) | | Non-interest revenue | 6,756 | | 6,809 | | (1) | | 23,192 | | 24,734 | | (6) | |
| Revenues, net of interest expense | Revenues, net of interest expense | $ | 17,474 | | $ | 19,766 | | (12) | % | $ | 36,801 | | $ | 40,497 | | (9) | % | Revenues, net of interest expense | $ | 17,154 | | $ | 17,302 | | (1) | % | $ | 53,955 | | $ | 57,799 | | (7) | % |
| Operating expenses | Operating expenses | 11,192 | | 10,460 | | 7 | | 22,265 | | 21,103 | | 6 | | Operating expenses | 11,484 | | 10,964 | | 5 | | 33,749 | | 32,067 | | 5 | |
| Provisions for credit losses and for benefits and claims | Provisions for credit losses and for benefits and claims | (1,066) | | 8,197 | | NM | (3,121) | | 15,157 | | NM | Provisions for credit losses and for benefits and claims | (192) | | 2,384 | | NM | (3,313) | | 17,541 | | NM |
| Income from continuing operations before income taxes | Income from continuing operations before income taxes | $ | 7,348 | | $ | 1,109 | | NM | $ | 17,657 | | $ | 4,237 | | NM | Income from continuing operations before income taxes | $ | 5,862 | | $ | 3,954 | | 48 | % | $ | 23,519 | | $ | 8,191 | | NM |
| Income taxes | Income taxes | 1,155 | | 52 | | NM | 3,487 | | 632 | | NM | Income taxes | 1,193 | | 777 | | 54 | | 4,680 | | 1,409 | | NM |
| Income from continuing operations | Income from continuing operations | $ | 6,193 | | $ | 1,057 | | NM | $ | 14,170 | | $ | 3,605 | | NM | Income from continuing operations | $ | 4,669 | | $ | 3,177 | | 47 | % | $ | 18,839 | | $ | 6,782 | | NM |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | 10 | | (1) | | NM | 8 | | (19) | | NM | Income (loss) from discontinued operations, net of taxes | (1) | | (7) | | 86 | | 7 | | (26) | | NM |
| Net income before attribution of noncontrolling interests | Net income before attribution of noncontrolling interests | $ | 6,203 | | $ | 1,056 | | NM | $ | 14,178 | | $ | 3,586 | | NM | Net income before attribution of noncontrolling interests | $ | 4,668 | | $ | 3,170 | | 47 | % | $ | 18,846 | | $ | 6,756 | | NM |
| Net income attributable to noncontrolling interests | Net income attributable to noncontrolling interests | 10 | | — | | — | % | 43 | | (6) | | NM | Net income attributable to noncontrolling interests | 24 | | 24 | | — | | 67 | | 18 | | NM |
| Citigroup’s net income | Citigroup’s net income | $ | 6,193 | | $ | 1,056 | | NM | $ | 14,135 | | $ | 3,592 | | NM | Citigroup’s net income | $ | 4,644 | | $ | 3,146 | | 48 | % | $ | 18,779 | | $ | 6,738 | | NM |
| Earnings per share | Earnings per share | | | | | Earnings per share | | | | |
| Basic | Basic | | | | | Basic | | | | |
| Income from continuing operations | Income from continuing operations | $ | 2.86 | | $ | 0.38 | | NM | $ | 6.51 | | $ | 1.45 | | NM | Income from continuing operations | $ | 2.17 | | $ | 1.37 | | 58 | % | $ | 8.70 | | $ | 2.82 | | NM |
| Net income | Net income | 2.87 | | 0.38 | | NM | 6.52 | | 1.44 | | NM | Net income | 2.17 | | 1.37 | | 58 | | 8.70 | | 2.81 | | NM |
| Diluted | Diluted | | | | Diluted | | | |
| Income from continuing operations | Income from continuing operations | $ | 2.84 | | $ | 0.38 | | NM | $ | 6.47 | | $ | 1.45 | | NM | Income from continuing operations | $ | 2.15 | | $ | 1.36 | | 58 | % | $ | 8.64 | | $ | 2.81 | | NM |
| Net income | Net income | 2.85 | | 0.38 | | NM | 6.47 | | 1.44 | | NM | Net income | 2.15 | | 1.36 | | 58 | | 8.65 | | 2.80 | | NM |
| Dividends declared per common share | Dividends declared per common share | 0.51 | | 0.51 | | — | % | 1.02 | | 1.02 | | — | % | Dividends declared per common share | 0.51 | | 0.51 | | — | | 1.53 | | 1.53 | | — | % |
| Common dividends | Common dividends | $ | 1,062 | | $ | 1,071 | | (1) | % | $ | 2,136 | | $ | 2,152 | | (1) | % | Common dividends | $ | 1,040 | | $ | 1,074 | | (3) | % | $ | 3,176 | | $ | 3,226 | | (2) | % |
Preferred dividends(2) | Preferred dividends(2) | 253 | | 253 | | — | | 545 | | 544 | | — | | Preferred dividends(2) | 266 | | 284 | | (6) | | 811 | | 828 | | (2) | |
| Common share repurchases | Common share repurchases | 3,000 | | — | | — | | 4,600 | | 2,925 | | 57 | | Common share repurchases | 3,000 | | — | | NM | 7,600 | | 2,925 | | 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 | In millions of dollars, except per share amounts, ratios and
direct staff | Second Quarter | | Six Months | | In millions of dollars, except per share amounts, ratios and
direct staff | Third Quarter | | Nine Months | |
| 2021 | 2020(1) | % Change | 2021 | 2020 | % Change | 2021 | 2020(1) | % Change | 2021 | 2020(1) | % Change |
| At June 30: | | | | |
| At September 30: | | At September 30: | | | |
| Total assets | Total assets | $ | 2,327,868 | | $ | 2,232,799 | | 4 | % | | | Total assets | $ | 2,361,876 | | $ | 2,234,459 | | 6 | % | | |
| Total deposits | Total deposits | 1,310,281 | | 1,233,660 | | 6 | | | | Total deposits | 1,347,528 | | 1,262,623 | | 7 | | | |
| Long-term debt | Long-term debt | 264,575 | | 279,775 | | (5) | | | | Long-term debt | 258,274 | | 273,254 | | (5) | | | |
| Citigroup common stockholders’ equity | Citigroup common stockholders’ equity | 184,164 | | 173,726 | | 6 | | | | Citigroup common stockholders’ equity | 182,880 | | 175,896 | | 4 | | | |
| Total Citigroup stockholders’ equity | Total Citigroup stockholders’ equity | 202,159 | | 191,706 | | 5 | | | | Total Citigroup stockholders’ equity | 200,875 | | 193,876 | | 4 | | | |
| Average assets | Average assets | 2,341,810 | | 2,266,869 | | 3 | | $ | 2,329,302 | | $ | 2,173,462 | | 7 | % | Average assets | 2,346,025 | | 2,259,472 | | 4 | | $ | 2,334,876 | | $ | 2,202,132 | | 6 | % |
Direct staff (in thousands) | Direct staff (in thousands) | 214 | | 204 | | 5 | % | | | Direct staff (in thousands) | 220 | | 209 | | 5 | % | | |
| Performance metrics | Performance metrics | | | | Performance metrics | | | |
| Return on average assets | Return on average assets | 1.06 | % | 0.19 | % | | 1.22 | % | 0.33 | % | | Return on average assets | 0.79 | % | 0.55 | % | | 1.08 | % | 0.41 | % | |
Return on average common stockholders’ equity(3) | Return on average common stockholders’ equity(3) | 13.0 | | 1.8 | | | 15.1 | | 3.5 | | | Return on average common stockholders’ equity(3) | 9.5 | | 6.5 | | | 13.2 | | 4.5 | | |
Return on average total stockholders’ equity(3) | Return on average total stockholders’ equity(3) | 12.3 | | 2.2 | | | 14.2 | | 3.7 | | | Return on average total stockholders’ equity(3) | 9.1 | | 6.5 | | | 12.5 | | 4.7 | | |
Return on tangible common equity (RoTCE)(4) | Return on tangible common equity (RoTCE)(4) | 15.2 | | 2.2 | | | 17.6 | | 4.1 | | | Return on tangible common equity (RoTCE)(4) | 11.0 | | 7.6 | | | 15.4 | | 5.3 | | |
| Efficiency ratio (total operating expenses/total revenues, net) | Efficiency ratio (total operating expenses/total revenues, net) | 64.0 | | 52.9 | | | 60.5 | | 52.1 | | | Efficiency ratio (total operating expenses/total revenues, net) | 66.9 | | 63.4 | | | 62.6 | | 55.5 | | |
| Basel III ratios | Basel III ratios | | | | Basel III ratios | | | |
Common Equity Tier 1 Capital(5) | Common Equity Tier 1 Capital(5) | 11.83 | % | 11.50 | % | | | | Common Equity Tier 1 Capital(5) | 11.65 | % | 11.66 | % | | | |
Tier 1 Capital(5) | Tier 1 Capital(5) | 13.35 | | 12.98 | | | | | Tier 1 Capital(5) | 13.15 | | 13.15 | | | | |
Total Capital(5) | Total Capital(5) | 15.63 | | 15.45 | | | | | Total Capital(5) | 15.37 | | 15.54 | | | | |
| Supplementary Leverage ratio | Supplementary Leverage ratio | 5.84 | | 6.64 | | | | | Supplementary Leverage ratio | 5.80 | | 6.82 | | | | |
| Citigroup common stockholders’ equity to assets | Citigroup common stockholders’ equity to assets | 7.91 | % | 7.78 | % | | | | Citigroup common stockholders’ equity to assets | 7.74 | % | 7.87 | % | | | |
| Total Citigroup stockholders’ equity to assets | Total Citigroup stockholders’ equity to assets | 8.68 | | 8.59 | | | | | Total Citigroup stockholders’ equity to assets | 8.50 | | 8.68 | | | | |
Dividend payout ratio(6) | Dividend payout ratio(6) | 18 | | 133 | | | 16 | % | 71 | % | | Dividend payout ratio(6) | 24 | | 38 | | | 18 | % | 55 | % | |
Total payout ratio(7) | Total payout ratio(7) | 68 | | 133 | | | 50 | | 167 | | | Total payout ratio(7) | 92 | | 38 | | | 60 | | 104 | | |
| Book value per common share | Book value per common share | $ | 90.86 | | $ | 83.45 | | 9 | % | | | Book value per common share | $ | 92.16 | | $ | 84.48 | | 9 | % | | |
Tangible book value (TBV) per share(4) | Tangible book value (TBV) per share(4) | 77.87 | | 71.20 | | 9 | | | | Tangible book value (TBV) per share(4) | 79.07 | | 71.95 | | 10 | | | |
(1) In the fourth quarter of 2020, Citi revised the 2020 second quarter accounting conclusion for its variable post-charge-off third-party collection costs from a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to January 1, 2020 opening retained earnings, rather than 2020 net income. As a result, Citi’s full-year and quarterly results for 2020 were revised to reflect this change as if it were effective as of January 1, 2020, as follows: an increase to beginning retained earnings on January 1, 2020 of $330 million and a decrease of $443 million in the allowance for credit losses on loans, as well as a $113 million decrease in other assets related to income taxes; a decrease of $18 million to provisions for credit losses on loans in the first quarter and increases of $339 million and $122 million to provisions for credit losses on loans in the second and third quarters, respectively; and increases in operating expenses of $49 million and $45 million with a corresponding decrease in net credit losses, in the first and second quarters, respectively. See Note 1 to the Consolidated Financial Statements for additional information.
(2) Certain series of preferred stock have semiannual payment dates. See Note 9 to the Consolidated Financial Statements.
(3) The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
(4) RoTCE and TBV are non-GAAP financial measures. For information on RoTCE and TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Return on Equity” below.
(5) Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach framework as of JuneSeptember 30, 2021, and under the Basel III Advanced Approaches framework as of JuneSeptember 30, 2020, whereas Citi’s reportable Total Capital ratio was derived under the Basel III Advanced Approaches framework for both periods presented.
(6) Dividend payout ratio is calculated as dividends declared per common share as a percentage of net income per diluted share.
(7) Total payout ratio is calculated as total common dividends declared plus common share repurchases as a percentage of net income available to common shareholders (Net income less preferred dividends). See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 9 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details.
NM Not meaningful
SEGMENT AND BUSINESS—INCOME AND REVENUES
CITIGROUP INCOME
| | | Second Quarter | | Six Months | | | Third Quarter | | Nine Months | |
| In millions of dollars | In millions of dollars | 2021 | 2020 | % Change | 2021 | 2020 | % Change | In millions of dollars | 2021 | 2020 | % Change | 2021 | 2020 | % Change |
Income (loss) from continuing operations(1) | Income (loss) from continuing operations(1) | | | | Income (loss) from continuing operations(1) | | | |
| Global Consumer Banking | Global Consumer Banking | | | | Global Consumer Banking | | | |
| North America | North America | $ | 1,309 | | $ | (734) | | NM | $ | 3,166 | | $ | (1,675) | | NM | North America | $ | 1,448 | | $ | 661 | | NM | $ | 4,614 | | $ | (1,014) | | NM |
| Latin America | Latin America | 352 | | 2 | | NM | 404 | | (33) | | NM | Latin America | 228 | | 108 | | NM | 632 | | 75 | | NM |
Asia(1)(2) | Asia(1)(2) | 171 | | 27 | | NM | 433 | | 219 | | 98 | % | Asia(1)(2) | (342) | | 151 | | NM | 91 | | 370 | | (75) | % |
| Total | Total | $ | 1,832 | | $ | (705) | | NM | $ | 4,003 | | $ | (1,489) | | NM | Total | $ | 1,334 | | $ | 920 | | 45 | % | $ | 5,337 | | $ | (569) | | NM |
| Institutional Clients Group | Institutional Clients Group | | | | Institutional Clients Group | | | |
| North America | North America | $ | 1,253 | | $ | 623 | | NM | $ | 4,032 | | $ | 1,486 | | NM | North America | $ | 854 | | $ | 1,023 | | (17) | % | $ | 4,886 | | $ | 2,509 | | 95 | % |
| EMEA | EMEA | 1,156 | | 483 | | NM | 2,622 | | 1,509 | | 74 | % | EMEA | 1,035 | | 880 | | 18 | | 3,657 | | 2,389 | | 53 | |
| Latin America | Latin America | 597 | | (198) | | NM | 1,242 | | 325 | | NM | Latin America | 665 | | 102 | | NM | 1,907 | | 427 | | NM |
| Asia | Asia | 823 | | 914 | | (10) | % | 1,871 | | 2,076 | | (10) | | Asia | 889 | | 852 | | 4 | | 2,760 | | 2,928 | | (6) | |
| Total | Total | $ | 3,829 | | $ | 1,822 | | NM | $ | 9,767 | | $ | 5,396 | | 81 | % | Total | $ | 3,443 | | $ | 2,857 | | 21 | % | $ | 13,210 | | $ | 8,253 | | 60 | % |
| Corporate/Other | Corporate/Other | 532 | | (60) | | NM | 400 | | (302) | | NM | Corporate/Other | (108) | | (600) | | 82 | | 292 | | (902) | | NM |
| Income from continuing operations | Income from continuing operations | $ | 6,193 | | $ | 1,057 | | NM | $ | 14,170 | | $ | 3,605 | | NM | Income from continuing operations | $ | 4,669 | | $ | 3,177 | | 47 | % | $ | 18,839 | | $ | 6,782 | | NM |
| Discontinued operations | Discontinued operations | $ | 10 | | $ | (1) | | NM | $ | 8 | | $ | (19) | | NM | Discontinued operations | $ | (1) | | $ | (7) | | 86 | % | $ | 7 | | $ | (26) | | NM |
| Less: Net income attributable to noncontrolling interests | Less: Net income attributable to noncontrolling interests | 10 | | — | | — | % | 43 | | (6) | | NM | Less: Net income attributable to noncontrolling interests | 24 | | 24 | | — | | 67 | | 18 | | NM |
| Citigroup’s net income | Citigroup’s net income | $ | 6,193 | | $ | 1,056 | | NM | $ | 14,135 | | $ | 3,592 | | NM | Citigroup’s net income | $ | 4,644 | | $ | 3,146 | | 48 | % | $ | 18,779 | | $ | 6,738 | | NM |
(1) During the first quarter of 2021, Citi changed its classification of certain recurring expenses related to investments in infrastructure and risk controls, allocating them from Corporate/Other to GCB and ICG. This allocation change had no impact on Citi'sCiti’s earnings before income taxes (EBIT) or Net income for any period. Prior-period amounts have been reclassified to conform to the current period’s presentation. See Note 3 to the Consolidated Financial Statements.
(2) Asia GCB includes the results of operations of GCB activities in certain EMEA countries.
NM Not meaningful
CITIGROUP REVENUES
| | | Second Quarter | | Six Months | | | Third Quarter | | Nine Months | |
| In millions of dollars | In millions of dollars | 2021 | 2020 | % Change | 2021 | 2020 | % Change | In millions of dollars | 2021 | 2020 | % Change | 2021 | 2020 | % Change |
| Global Consumer Banking | Global Consumer Banking | | | | Global Consumer Banking | | | |
| North America | North America | $ | 4,201 | | $ | 4,742 | | (11) | % | $ | 8,629 | | $ | 9,966 | | (13) | % | North America | $ | 4,338 | | $ | 4,527 | | (4) | % | $ | 12,967 | | $ | 14,493 | | (11) | % |
| Latin America | Latin America | 1,053 | | 1,050 | | — | | 2,061 | | 2,249 | | (8) | | Latin America | 1,038 | | 1,027 | | 1 | | 3,099 | | 3,276 | | (5) | |
Asia(1) | Asia(1) | 1,566 | | 1,547 | | 1 | | 3,167 | | 3,298 | | (4) | | Asia(1) | 884 | | 1,619 | | (45) | | 4,051 | | 4,917 | | (18) | |
| Total | Total | $ | 6,820 | | $ | 7,339 | | (7) | % | $ | 13,857 | | $ | 15,513 | | (11) | % | Total | $ | 6,260 | | $ | 7,173 | | (13) | % | $ | 20,117 | | $ | 22,686 | | (11) | % |
| Institutional Clients Group | Institutional Clients Group | | | | Institutional Clients Group | | | |
| North America | North America | $ | 3,718 | | $ | 4,987 | | (25) | % | $ | 8,616 | | $ | 9,934 | | (13) | % | North America | $ | 4,145 | | $ | 3,920 | | 6 | % | $ | 12,761 | | $ | 13,854 | | (8) | % |
| EMEA | EMEA | 3,253 | | 3,392 | | (4) | | 6,966 | | 6,862 | | 2 | | EMEA | 3,095 | | 3,085 | | — | | 10,061 | | 9,947 | | 1 | |
| Latin America | Latin America | 1,174 | | 1,207 | | (3) | | 2,310 | | 2,625 | | (12) | | Latin America | 1,261 | | 1,141 | | 11 | | 3,571 | | 3,766 | | (5) | |
| Asia | Asia | 2,242 | | 2,551 | | (12) | | 4,715 | | 5,200 | | (9) | | Asia | 2,285 | | 2,207 | | 4 | | 7,000 | | 7,407 | | (5) | |
| Total | Total | $ | 10,387 | | $ | 12,137 | | (14) | % | $ | 22,607 | | $ | 24,621 | | (8) | % | Total | $ | 10,786 | | $ | 10,353 | | 4 | % | $ | 33,393 | | $ | 34,974 | | (5) | % |
| Corporate/Other | Corporate/Other | 267 | | 290 | | (8) | | 337 | | 363 | | (7) | | Corporate/Other | 108 | | (224) | | NM | 445 | | 139 | | NM |
| Total Citigroup net revenues | Total Citigroup net revenues | $ | 17,474 | | $ | 19,766 | | (12) | % | $ | 36,801 | | $ | 40,497 | | (9) | % | Total Citigroup net revenues | $ | 17,154 | | $ | 17,302 | | (1) | % | $ | 53,955 | | $ | 57,799 | | (7) | % |
(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries.
SEGMENT BALANCE SHEET(1)—JUNESEPTEMBER 30, 2021
| | 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 | Global
Consumer
Banking | Institutional
Clients
Group | Corporate/Other and consolidating eliminations(2) | Citigroup parent company- issued long-term debt and stockholders’ equity(3) | Total
Citigroup
consolidated |
| Assets | Assets | | | | | Assets | | | | |
| Cash and deposits with banks, net of allowance | Cash and deposits with banks, net of allowance | $ | 7,379 | | $ | 94,813 | | $ | 197,046 | | $ | — | | $ | 299,238 | | Cash and deposits with banks, net of allowance | $ | 7,753 | | $ | 99,060 | | $ | 216,995 | | $ | — | | $ | 323,808 | |
| Securities borrowed and purchased under agreements to resell, net of allowance | Securities borrowed and purchased under agreements to resell, net of allowance | 276 | | 308,542 | | 229 | | — | | 309,047 | | Securities borrowed and purchased under agreements to resell, net of allowance | 305 | | 337,166 | | 225 | | — | | 337,696 | |
| Trading account assets | Trading account assets | 1,428 | | 355,592 | | 13,930 | | — | | 370,950 | | Trading account assets | 1,370 | | 328,361 | | 13,183 | | — | | 342,914 | |
| Investments, net of allowance | Investments, net of allowance | 1,283 | | 131,600 | | 354,180 | | — | | 487,063 | | Investments, net of allowance | 1,244 | | 132,623 | | 366,982 | | — | | 500,849 | |
Loans, net of unearned income and allowance
for credit losses on loans | Loans, net of unearned income and allowance
for credit losses on loans | 254,919 | | 397,796 | | 4,881 | | — | | 657,596 | | Loans, net of unearned income and allowance
for credit losses on loans | 245,477 | | 397,458 | | 4,114 | | — | | 647,049 | |
| Other assets, net of allowance | Other assets, net of allowance | 40,600 | | 121,506 | | 41,868 | | — | | 203,974 | | Other assets, net of allowance | 48,848 | | 118,248 | | 42,464 | | — | | 209,560 | |
Net inter-segment liquid assets(4) | Net inter-segment liquid assets(4) | 126,234 | | 384,869 | | (511,103) | | — | | — | | Net inter-segment liquid assets(4) | 137,285 | | 406,563 | | (543,848) | | — | | — | |
| Total assets | Total assets | $ | 432,119 | | $ | 1,794,718 | | $ | 101,031 | | $ | — | | $ | 2,327,868 | | Total assets | $ | 442,282 | | $ | 1,819,479 | | $ | 100,115 | | $ | — | | $ | 2,361,876 | |
| Liabilities and equity | Liabilities and equity | | | | | Liabilities and equity | | | | |
| Total deposits | Total deposits | $ | 355,832 | | $ | 946,564 | | $ | 7,885 | | $ | — | | $ | 1,310,281 | | Total deposits | $ | 354,437 | | $ | 986,215 | | $ | 6,876 | | $ | — | | $ | 1,347,528 | |
Securities loaned and sold under agreements
to repurchase | Securities loaned and sold under agreements
to repurchase | 2,259 | | 219,556 | | 2 | | — | | 221,817 | | Securities loaned and sold under agreements
to repurchase | 2,180 | | 207,003 | | 1 | | — | | 209,184 | |
| Trading account liabilities | Trading account liabilities | 875 | | 173,180 | | 651 | | — | | 174,706 | | Trading account liabilities | 845 | | 177,958 | | 483 | | — | | 179,286 | |
| Short-term borrowings | Short-term borrowings | — | | 29,371 | | 2,091 | | — | | 31,462 | | Short-term borrowings | 17 | | 29,324 | | 342 | | — | | 29,683 | |
Long-term debt(3) | Long-term debt(3) | 1,101 | | 83,362 | | 5,746 | | 174,366 | | 264,575 | | Long-term debt(3) | 530 | | 85,457 | | 2,183 | | 170,104 | | 258,274 | |
| Other liabilities, net of allowance | Other liabilities, net of allowance | 20,891 | | 84,214 | | 17,012 | | — | | 122,117 | | Other liabilities, net of allowance | 28,978 | | 89,474 | | 17,859 | | — | | 136,311 | |
Net inter-segment funding (lending)(3) | Net inter-segment funding (lending)(3) | 51,161 | | 258,471 | | 66,893 | | (376,525) | | — | | Net inter-segment funding (lending)(3) | 55,295 | | 244,048 | | 71,636 | | (370,979) | | — | |
| Total liabilities | Total liabilities | $ | 432,119 | | $ | 1,794,718 | | $ | 100,280 | | $ | (202,159) | | $ | 2,124,958 | | Total liabilities | $ | 442,282 | | $ | 1,819,479 | | $ | 99,380 | | $ | (200,875) | | $ | 2,160,266 | |
Total stockholders’ equity(5) | Total stockholders’ equity(5) | — | | — | | 751 | | 202,159 | | 202,910 | | Total stockholders’ equity(5) | — | | — | | 735 | | 200,875 | | 201,610 | |
| Total liabilities and equity | Total liabilities and equity | $ | 432,119 | | $ | 1,794,718 | | $ | 101,031 | | $ | — | | $ | 2,327,868 | | Total liabilities and equity | $ | 442,282 | | $ | 1,819,479 | | $ | 100,115 | | $ | — | | $ | 2,361,876 | |
(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reportable segment and Corporate/Other. The respective information depicts the assets and liabilities managed by each segment and Corporate/Other as of such date.
(2)Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within Corporate/Other.
(3)The total stockholders’ equity and the majority of long-term debt of Citigroup are reflected on the Citigroup parent company balance sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)Represents the attribution of Citigroup’s liquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage ratio (LCR) assumptions.
(5)Corporate/Other equity represents noncontrolling interests.
GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB)(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 JuneSeptember 30, 2021, GCB had 2,2092,157 branches in 19 countries and jurisdictions with $432$442 billion in assets and $356$354 billion in retail banking deposits.deposits (excluding approximately $7 billion of deposits and $9 billion of loans reclassified to held-for-sale as a result of Citi’s agreement to sell its consumer banking business in Australia).
GCB’s strategy is to leverage its global footprint and digital capabilities to develop multiproduct relationships with customers—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 previously announced strategic actions, including pursuingits pursuit of exits of its consumer franchises in 13 markets across Asia and EMEA, see “Executive Summary” above, “Asia GCB” below.below and Note 2 to the Consolidated Financial Statements.
| | | Second Quarter | | Six Months | | | Third Quarter | | Nine Months | |
| In millions of dollars, except as otherwise noted | In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | 2021 | 2020 | % Change | In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | 2021 | 2020 | % Change |
| Net interest revenue | Net interest revenue | $ | 5,847 | | $ | 6,534 | | (11) | % | $ | 11,800 | | $ | 13,606 | | (13) | % | Net interest revenue | $ | 5,963 | | $ | 6,251 | | (5) | % | $ | 17,763 | | $ | 19,857 | | (11) | % |
| Non-interest revenue | Non-interest revenue | 973 | | 805 | | 21 | | 2,057 | | 1,907 | | 8 | | Non-interest revenue | 297 | | 922 | | (68) | | 2,354 | | 2,829 | | (17) | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 6,820 | | $ | 7,339 | | (7) | % | $ | 13,857 | | $ | 15,513 | | (11) | % | Total revenues, net of interest expense | $ | 6,260 | | $ | 7,173 | | (13) | % | $ | 20,117 | | $ | 22,686 | | (11) | % |
| Total operating expenses | Total operating expenses | $ | 4,550 | | $ | 4,122 | | 10 | % | $ | 8,950 | | $ | 8,597 | | 4 | % | Total operating expenses | $ | 4,567 | | $ | 4,287 | | 7 | % | $ | 13,517 | | $ | 12,884 | | 5 | % |
| Net credit losses on loans | Net credit losses on loans | $ | 1,253 | | $ | 1,842 | | (32) | % | $ | 2,833 | | $ | 3,776 | | (25) | % | Net credit losses on loans | $ | 944 | | $ | 1,598 | | (41) | % | $ | 3,777 | | $ | 5,374 | | (30) | % |
| Credit reserve build (release) for loans | Credit reserve build (release) for loans | (1,398) | | 2,299 | | NM | (3,204) | | 5,110 | | NM | Credit reserve build (release) for loans | (1,031) | | 34 | | NM | (4,235) | | 5,144 | | NM |
| Provision (release) for credit losses on unfunded lending commitments | Provision (release) for credit losses on unfunded lending commitments | 1 | | — | | — | | 1 | | (1) | | NM | Provision (release) for credit losses on unfunded lending commitments | 1 | | 5 | | (80) | | 2 | | 4 | | (50) | |
| Provisions for benefits and claims, HTM debt securities and other assets | Provisions for benefits and claims, HTM debt securities and other assets | 9 | | 38 | | (76) | | 44 | | 58 | | (24) | | Provisions for benefits and claims, HTM debt securities and other assets | 21 | | 45 | | (53) | | 65 | | 103 | | (37) | |
| Provisions (releases) for credit losses and for benefits and claims (PBC) | Provisions (releases) for credit losses and for benefits and claims (PBC) | $ | (135) | | $ | 4,179 | | NM | $ | (326) | | $ | 8,943 | | NM | Provisions (releases) for credit losses and for benefits and claims (PBC) | $ | (65) | | $ | 1,682 | | NM | $ | (391) | | $ | 10,625 | | NM |
| Income (loss) from continuing operations before taxes | Income (loss) from continuing operations before taxes | $ | 2,405 | | $ | (962) | | NM | $ | 5,233 | | $ | (2,027) | | NM | Income (loss) from continuing operations before taxes | $ | 1,758 | | $ | 1,204 | | 46 | % | $ | 6,991 | | $ | (823) | | NM |
| Income taxes (benefits) | Income taxes (benefits) | 573 | | (257) | | NM | 1,230 | | (538) | | NM | Income taxes (benefits) | 424 | | 284 | | 49 | | 1,654 | | (254) | | NM |
| Income (loss) from continuing operations | Income (loss) from continuing operations | $ | 1,832 | | $ | (705) | | NM | $ | 4,003 | | $ | (1,489) | | NM | Income (loss) from continuing operations | $ | 1,334 | | $ | 920 | | 45 | % | $ | 5,337 | | $ | (569) | | NM |
| Noncontrolling interests | Noncontrolling interests | (2) | | (2) | | — | % | (5) | | (3) | | (67) | % | Noncontrolling interests | (2) | | — | | NM | (7) | | (3) | | NM |
| Net income (loss) | Net income (loss) | $ | 1,834 | | $ | (703) | | NM | $ | 4,008 | | $ | (1,486) | | NM | Net income (loss) | $ | 1,336 | | $ | 920 | | 45 | % | $ | 5,344 | | $ | (566) | | NM |
| Balance Sheet data and ratios | Balance Sheet data and ratios | | | | Balance Sheet data and ratios | | | |
EOP assets (in billions of dollars) | EOP assets (in billions of dollars) | $ | 432 | | $ | 423 | | 2 | % | | | EOP assets (in billions of dollars) | $ | 442 | | $ | 435 | | 2 | % | | |
Average assets (in billions of dollars) | Average assets (in billions of dollars) | 437 | | 418 | | 5 | | $ | 438 | | $ | 412 | | 6 | % | Average assets (in billions of dollars) | 441 | | 434 | | 2 | | $ | 439 | | $ | 419 | | 5 | % |
| Return on average assets | Return on average assets | 1.68 | % | (0.68) | % | | 1.85 | % | (0.73) | % | | Return on average assets | 1.20 | % | 0.84 | % | | 1.63 | % | (0.18) | % | |
| Efficiency ratio | Efficiency ratio | 67 | | 56 | | | 65 | | 55 | | | Efficiency ratio | 73 | | 60 | | | 67 | | 57 | | |
Average retail banking deposits (in billions of dollars) | Average retail banking deposits (in billions of dollars) | $ | 353 | | $ | 302 | | 17 | | $ | 349 | | $ | 296 | | 18 | | Average retail banking deposits (in billions of dollars) | $ | 353 | | $ | 320 | | 10 | | $ | 351 | | $ | 304 | | 15 | |
| Net credit losses as a percentage of average loans | Net credit losses as a percentage of average loans | 1.87 | % | 2.73 | % | | 2.70 | % | 2.11 | % | | Net credit losses as a percentage of average loans | 1.42 | % | 2.33 | % | | 1.89 | % | 2.58 | % | |
| Revenue by business | Revenue by business | | | | Revenue by business | | | |
| Retail banking | Retail banking | $ | 2,802 | | $ | 2,836 | | (1) | % | $ | 5,646 | | $ | 5,882 | | (4) | % | Retail banking | $ | 2,146 | | $ | 2,916 | | (26) | % | $ | 7,792 | | $ | 8,798 | | (11) | % |
Cards(1) | Cards(1) | 4,018 | | 4,503 | | (11) | | 8,211 | | 9,631 | | (15) | | Cards(1) | 4,114 | | 4,257 | | (3) | | 12,325 | | 13,888 | | (11) | |
| Total | Total | $ | 6,820 | | $ | 7,339 | | (7) | % | $ | 13,857 | | $ | 15,513 | | (11) | % | Total | $ | 6,260 | | $ | 7,173 | | (13) | % | $ | 20,117 | | $ | 22,686 | | (11) | % |
| Income (loss) from continuing operations by business | Income (loss) from continuing operations by business | | | | Income (loss) from continuing operations by business | | | |
| Retail banking | Retail banking | $ | 272 | | $ | 30 | | NM | $ | 531 | | $ | 120 | | NM | Retail banking | $ | (326) | | $ | 264 | | NM | $ | 205 | | $ | 384 | | (47) | % |
Cards(1) | Cards(1) | 1,560 | | (735) | | NM | 3,472 | | (1,609) | | NM | Cards(1) | 1,660 | | 656 | | NM | 5,132 | | (953) | | NM |
| Total | Total | $ | 1,832 | | $ | (705) | | NM | $ | 4,003 | | $ | (1,489) | | NM | Total | $ | 1,334 | | $ | 920 | | 45 | % | $ | 5,337 | | $ | (569) | | NM |
Table continues on the next page, including footnotes.
| | Foreign currency (FX) translation impact | Foreign currency (FX) translation impact | | | | Foreign currency (FX) translation impact | | | |
| Total revenue—as reported | Total revenue—as reported | $ | 6,820 | | $ | 7,339 | | (7) | % | $ | 13,857 | | $ | 15,513 | | (11) | % | Total revenue—as reported | $ | 6,260 | | $ | 7,173 | | (13) | % | $ | 20,117 | | $ | 22,686 | | (11) | % |
Impact of FX translation(2) | Impact of FX translation(2) | — | | 200 | | | — | | 271 | | | Impact of FX translation(2) | — | | 95 | | | — | | 365 | | |
Total revenues—ex-FX(3) | Total revenues—ex-FX(3) | $ | 6,820 | | $ | 7,539 | | (10) | % | $ | 13,857 | | $ | 15,784 | | (12) | % | Total revenues—ex-FX(3) | $ | 6,260 | | $ | 7,268 | | (14) | % | $ | 20,117 | | $ | 23,051 | | (13) | % |
| Total operating expenses—as reported | Total operating expenses—as reported | $ | 4,550 | | $ | 4,122 | | 10 | % | $ | 8,950 | | $ | 8,597 | | 4 | % | Total operating expenses—as reported | $ | 4,567 | | $ | 4,287 | | 7 | % | $ | 13,517 | | $ | 12,884 | | 5 | % |
Impact of FX translation(2) | Impact of FX translation(2) | — | | 121 | | | — | | 168 | | | Impact of FX translation(2) | — | | 59 | | | — | | 227 | | |
Total operating expenses—ex-FX(3) | Total operating expenses—ex-FX(3) | $ | 4,550 | | $ | 4,243 | | 7 | % | $ | 8,950 | | $ | 8,765 | | 2 | % | Total operating expenses—ex-FX(3) | $ | 4,567 | | $ | 4,346 | | 5 | % | $ | 13,517 | | $ | 13,111 | | 3 | % |
| Total provisions for credit losses and PBC—as reported | Total provisions for credit losses and PBC—as reported | $ | (135) | | $ | 4,179 | | NM | $ | (326) | | $ | 8,943 | | NM | Total provisions for credit losses and PBC—as reported | $ | (65) | | $ | 1,682 | | NM | $ | (391) | | $ | 10,625 | | NM |
Impact of FX translation(2) | Impact of FX translation(2) | — | | 84 | | | — | | 108 | | | Impact of FX translation(2) | — | | 15 | | | — | | 123 | | |
Total provisions for credit losses and PBC—ex-FX(3) | Total provisions for credit losses and PBC—ex-FX(3) | $ | (135) | | $ | 4,263 | | NM | $ | (326) | | $ | 9,051 | | NM | Total provisions for credit losses and PBC—ex-FX(3) | $ | (65) | | $ | 1,697 | | NM | $ | (391) | | $ | 10,748 | | NM |
| Net income—as reported | Net income—as reported | $ | 1,834 | | $ | (703) | | NM | $ | 4,008 | | $ | (1,486) | | NM | Net income—as reported | $ | 1,336 | | $ | 920 | | 45 | % | $ | 5,344 | | $ | (566) | | NM |
Impact of FX translation(2) | Impact of FX translation(2) | — | | (6) | | | — | | (6) | | | Impact of FX translation(2) | — | | 11 | | | — | | 7 | | |
Net income—ex-FX(3) | Net income—ex-FX(3) | $ | 1,834 | | $ | (709) | | NM | $ | 4,008 | | $ | (1,492) | | NM | Net income—ex-FX(3) | $ | 1,336 | | $ | 931 | | 44 | % | $ | 5,344 | | $ | (559) | | NM |
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars atfor the secondthird quarter of 2021 and year-to-date 2021 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful
NORTH AMERICA GCB
North America GCB provides traditional retail banking 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 (Double Cash, Custom Cash, ThankYou® and Value cards and the newly launched Citi Custom Cash℠ card)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, Sears, Best Buy and Macy’s) within Citi retail services.
At JuneSeptember 30, 2021, North America GCB had 659658 retail bank branches concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also, as of JuneSeptember 30, 2021, North America GCB had $49.7$48.8 billion in retail banking loans and $205.5$211.4 billion in retail banking deposits. In addition, North America GCB had $124.8$125.5 billion in outstanding card loan balances.
| | | Second Quarter | | Six Months | | | Third Quarter | | Nine Months | |
| In millions of dollars, except as otherwise noted | In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | 2021 | 2020 | % Change | In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | 2021 | 2020 | % Change |
| Net interest revenue | Net interest revenue | $ | 4,143 | | $ | 4,707 | | (12) | % | $ | 8,450 | | $ | 9,743 | | (13) | % | Net interest revenue | $ | 4,336 | | $ | 4,500 | | (4) | % | $ | 12,786 | | $ | 14,243 | | (10) | % |
| Non-interest revenue | Non-interest revenue | 58 | | 35 | | 66 | | 179 | | 223 | | (20) | | Non-interest revenue | 2 | | 27 | | (93) | | 181 | | 250 | | (28) | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 4,201 | | $ | 4,742 | | (11) | % | $ | 8,629 | | $ | 9,966 | | (13) | % | Total revenues, net of interest expense | $ | 4,338 | | $ | 4,527 | | (4) | % | $ | 12,967 | | $ | 14,493 | | (11) | % |
| Total operating expenses | Total operating expenses | $ | 2,600 | | $ | 2,418 | | 8 | % | $ | 5,079 | | $ | 5,023 | | 1 | % | Total operating expenses | $ | 2,658 | | $ | 2,483 | | 7 | % | $ | 7,737 | | $ | 7,506 | | 3 | % |
| Net credit losses on loans | Net credit losses on loans | $ | 817 | | $ | 1,448 | | (44) | % | $ | 1,767 | | $ | 2,938 | | (40) | % | Net credit losses on loans | $ | 617 | | $ | 1,182 | | (48) | % | $ | 2,384 | | $ | 4,120 | | (42) | % |
| Credit reserve build (release) for loans | Credit reserve build (release) for loans | (915) | | 1,839 | | NM | (2,332) | | 4,210 | | NM | Credit reserve build (release) for loans | (809) | | (10) | | NM | (3,141) | | 4,200 | | NM |
| Provision (release) for credit losses on unfunded lending commitments | Provision (release) for credit losses on unfunded lending commitments | 1 | | — | | — | | 1 | | (1) | | NM | Provision (release) for credit losses on unfunded lending commitments | 1 | | 5 | | (80) | | 2 | | 4 | | (50) | |
| Provisions for benefits and claims, HTM debt securities and other assets | Provisions for benefits and claims, HTM debt securities and other assets | 6 | | 19 | | (68) | | 8 | | 24 | | (67) | | Provisions for benefits and claims, HTM debt securities and other assets | 4 | | (6) | | NM | 12 | | 18 | | (33) | |
| Provisions (releases) for credit losses and for benefits and claims | Provisions (releases) for credit losses and for benefits and claims | $ | (91) | | $ | 3,306 | | NM | $ | (556) | | $ | 7,171 | | NM | Provisions (releases) for credit losses and for benefits and claims | $ | (187) | | $ | 1,171 | | NM | $ | (743) | | $ | 8,342 | | NM |
| Income (loss) from continuing operations before taxes | Income (loss) from continuing operations before taxes | $ | 1,692 | | $ | (982) | | NM | $ | 4,106 | | $ | (2,228) | | NM | Income (loss) from continuing operations before taxes | $ | 1,867 | | $ | 873 | | NM | $ | 5,973 | | $ | (1,355) | | NM |
| Income taxes (benefits) | Income taxes (benefits) | 383 | | (248) | | NM | 940 | | (553) | | NM | Income taxes (benefits) | 419 | | 212 | | 98 | % | 1,359 | | (341) | | NM |
| Income (loss) from continuing operations | Income (loss) from continuing operations | $ | 1,309 | | $ | (734) | | NM | $ | 3,166 | | $ | (1,675) | | NM | Income (loss) from continuing operations | $ | 1,448 | | $ | 661 | | NM | $ | 4,614 | | $ | (1,014) | | NM |
| Noncontrolling interests | Noncontrolling interests | — | | — | | — | % | — | | — | | — | % | Noncontrolling interests | — | | — | | — | % | — | | — | | — | % |
| Net income (loss) | Net income (loss) | $ | 1,309 | | $ | (734) | | NM | $ | 3,166 | | $ | (1,675) | | NM | Net income (loss) | $ | 1,448 | | $ | 661 | | NM | $ | 4,614 | | $ | (1,014) | | NM |
| Balance Sheet data and ratios | Balance Sheet data and ratios | | | | | Balance Sheet data and ratios | | | | |
Average assets (in billions of dollars) | Average assets (in billions of dollars) | $ | 262 | | $ | 264 | | (1) | % | $ | 264 | | $ | 255 | | 4 | % | Average assets (in billions of dollars) | $ | 267 | | $ | 274 | | (3) | % | $ | 265 | | $ | 261 | | 2 | % |
| Return on average assets | Return on average assets | 2.00 | % | (1.12) | % | | 2.42 | % | (1.32) | % | | Return on average assets | 2.15 | % | 0.96 | % | | 2.33 | % | (0.52) | % | |
| Efficiency ratio | Efficiency ratio | 62 | | 51 | | | 59 | | 50 | | | Efficiency ratio | 61 | | 55 | | | 60 | | 52 | | |
Average retail banking deposits (in billions of dollars) | Average retail banking deposits (in billions of dollars) | $ | 204 | | $ | 173 | | 18 | | $ | 201 | | $ | 167 | | 20 | | Average retail banking deposits (in billions of dollars) | $ | 208 | | $ | 182 | | 14 | | $ | 203 | | $ | 172 | | 18 | |
| Net credit losses as a percentage of average loans | Net credit losses as a percentage of average loans | 1.91 | % | 3.22 | % | | 2.06 | % | 3.15 | % | | Net credit losses as a percentage of average loans | 1.41 | % | 2.63 | % | | 1.84 | % | 2.98 | % | |
| Revenue by business | Revenue by business | | | | | Revenue by business | | | | |
| Retail banking | Retail banking | $ | 1,039 | | $ | 1,122 | | (7) | % | $ | 2,080 | | $ | 2,252 | | (8) | % | Retail banking | $ | 1,031 | | $ | 1,113 | | (7) | % | $ | 3,111 | | $ | 3,365 | | (8) | % |
| Citi-branded cards | Citi-branded cards | 1,959 | | 2,218 | | (12) | | 4,050 | | 4,565 | | (11) | | Citi-branded cards | 2,036 | | 2,061 | | (1) | | 6,086 | | 6,626 | | (8) | |
| Citi retail services | Citi retail services | 1,203 | | 1,402 | | (14) | | 2,499 | | 3,149 | | (21) | | Citi retail services | 1,271 | | 1,353 | | (6) | | 3,770 | | 4,502 | | (16) | |
| Total | Total | $ | 4,201 | | $ | 4,742 | | (11) | % | $ | 8,629 | | $ | 9,966 | | (13) | % | Total | $ | 4,338 | | $ | 4,527 | | (4) | % | $ | 12,967 | | $ | 14,493 | | (11) | % |
| Income (loss) from continuing operations by business | Income (loss) from continuing operations by business | | | | | Income (loss) from continuing operations by business | | | | |
| Retail banking | Retail banking | $ | (49) | | $ | (91) | | 46 | % | $ | (46) | | $ | (185) | | 75 | % | Retail banking | $ | (73) | | $ | 25 | | NM | $ | (119) | | $ | (160) | | 26 | % |
| Citi-branded cards | Citi-branded cards | 924 | | (524) | | NM | 2,043 | | (1,049) | | NM | Citi-branded cards | 781 | | 422 | | 85 | % | 2,824 | | (627) | | NM |
| Citi retail services | Citi retail services | 434 | | (119) | | NM | 1,169 | | (441) | | NM | Citi retail services | 740 | | 214 | | NM | 1,909 | | (227) | | NM |
| Total | Total | $ | 1,309 | | $ | (734) | | NM | $ | 3,166 | | $ | (1,675) | | NM | Total | $ | 1,448 | | $ | 661 | | NM | $ | 4,614 | | $ | (1,014) | | NM |
NM Not meaningful
2Q213Q21 vs. 2Q203Q20
Net income was $1.3$1.4 billion, compared to a net loss of $734$661 million in the prior-year period, reflecting significantly lower cost of credit, partially offset by lowera decline in revenues and higher expenses.
Revenues decreased 11%4%, reflecting lower revenues in Citi-branded cards,retail banking, Citi retail services and retail banking.Citi-branded cards.
Retail banking revenues decreased 7%, as the benefit of strongerstrong deposit volumesgrowth and growth in assets under management (increase of 23%16%, reflecting favorable market conditions as well asand strong client engagement) was more than offset by lower deposit spreads, reflecting lower interest rates, as well as lower mortgage revenues. Average deposits increased 18%14%, driven by higher levels of consumer liquidity due to government stimulus, payments, as well as continued strategic efforts to drive organic growth.
Cards revenues decreased 13%3%. Citi-branded cards revenues decreased 12%1%, primarily reflecting lower average loans (down 4%), driven by continued higher payment rates, reflecting increased customer liquidity from government stimulus and relief programs.programs, largely offset by higher spending-related revenues. Purchase sales increased 40%24%, reflecting a continued recovery in sales activity from the prior-year periodpandemic-driven low levels driven byin the pandemic.prior-year period.
Citi retail services revenues decreased 14%6%, primarily driven by lower average loans (down 8%5%), reflecting and continued higher payment rates from the increased customer liquidity.liquidity from government stimulus and relief programs. Purchase sales increased 40%14%, reflecting a continued recovery in sales activity from the prior-year periodpandemic-driven low levels driven byin the pandemic.prior-year period.
Expenses increased 8%7%, primarily driven by continued investments in Citi’s transformation, as well as other strategicbusiness-led investments and an acceleration in marketing,higher volume-related expenses, partially offset by efficiency savings.
Provisions reflected a benefit of $91$187 million, compared to costs of $3.3$1.2 billion in the prior-year period, primarily driven by a larger net ACL release in the current quarter, compared to a net ACL build in the prior-year period, as well as lower net credit losses. Net credit losses decreased 44%48%, consisting of lower net credit losses in both Citi-branded cards (down 40%45% to $467$357 million) and Citi retail services (down 49%53% to $326$238 million), primarily driven by lower loan volumes and improved delinquencies, as a result of the higher payment rates due to higher levels of liquidity from government stimulus and other relief programs.rates.
The net ACL release was $0.9 billion,$808 million, compared to a buildrelease of $1.8 billion$5 million in the prior-year period, reflecting improvement in portfolio credit quality and Citi’s improvedthe continued improvement in the 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 “Forward-Looking Statements” below and “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
2Q213Q21 YTD vs. 2Q203Q20 YTD
Year-to-date, North America GCB experienced similar trends to those described above. Net income was $3.2$4.6 billion, compared to a net loss of $1.7$1.0 billion in the prior-year period, as significantly lower cost of credit more than offset lowera decline in revenues and higher expenses.
Revenues decreased 13%11%, reflecting lower revenues in retail banking, Citi-branded cards and Citi retail services. Retail banking revenues decreased 8%, primarily driven by the same factors described above. Cards revenues decreased 15%11%. In Citi-branded cards, revenues decreased 11%8%, driven by the same factors described above. Citi retail services revenues decreased 21%16%, driven by the same factors described above, as well as higher contractual partner payments reflecting higher income sharing as a result of lower forecasted losses. For additional information on partner payments, see Note 5 to the Consolidated Financial Statements.
Expenses increased 1%3%, driven by the same factors described above.
Provisions reflected a benefit of $556$743 million, compared to costs of $7.2$8.3 billion in the prior-year period, driven by the same factors described above.period. Net credit losses decreased 40%42%, driven by the same factors described above. The ACL release was $2.3$3.1 billion, compared to a build of $4.2 billion in the prior-year period, driven by the same factors described above.
LATIN AMERICA GCB
Latin America GCB provides traditional retail banking and Citi-branded card products to retail and small business customers in Mexico through Citibanamex, one of Mexico’s largest banks.
At JuneSeptember 30, 2021, Latin America GCB had 1,3271,278 retail branches in Mexico, with $9.1$8.7 billion in retail banking loans and $24.2$23.3 billion in deposits. In addition, the business had $4.4$4.3 billion in outstanding card loan balances.
| | | Second Quarter | | Six Months | % Change | | Third Quarter | | Nine Months | % Change |
| In millions of dollars, except as otherwise noted | In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | 2021 | 2020 | In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | 2021 | 2020 |
| Net interest revenue | Net interest revenue | $ | 703 | | $ | 755 | | (7) | % | $ | 1,361 | | $ | 1,642 | | (17) | % | Net interest revenue | $ | 702 | | $ | 697 | | 1 | % | $ | 2,063 | | $ | 2,339 | | (12) | % |
| Non-interest revenue | Non-interest revenue | 350 | | 295 | | 19 | | 700 | | 607 | | 15 | | Non-interest revenue | 336 | | 330 | | 2 | | 1,036 | | 937 | | 11 | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 1,053 | | $ | 1,050 | | — | % | $ | 2,061 | | $ | 2,249 | | (8) | % | Total revenues, net of interest expense | $ | 1,038 | | $ | 1,027 | | 1 | % | $ | 3,099 | | $ | 3,276 | | (5) | % |
| Total operating expenses | Total operating expenses | $ | 725 | | $ | 619 | | 17 | % | $ | 1,427 | | $ | 1,334 | | 7 | % | Total operating expenses | $ | 700 | | $ | 667 | | 5 | % | $ | 2,127 | | $ | 2,001 | | 6 | % |
| Net credit losses on loans | Net credit losses on loans | $ | 250 | | $ | 205 | | 22 | % | $ | 615 | | $ | 476 | | 29 | % | Net credit losses on loans | $ | 175 | | $ | 228 | | (23) | % | $ | 790 | | $ | 704 | | 12 | % |
| Credit reserve build (release) for loans | Credit reserve build (release) for loans | (423) | | 209 | | NM | (586) | | 465 | | NM | Credit reserve build (release) for loans | (178) | | (66) | | NM | (764) | | 399 | | NM |
| Provision for credit losses on unfunded lending commitments | Provision for credit losses on unfunded lending commitments | — | | — | | — | | — | | — | | — | | Provision for credit losses on unfunded lending commitments | — | | — | | — | | — | | — | | — | |
| Provisions for benefits and claims, HTM debt securities and other assets | Provisions for benefits and claims, HTM debt securities and other assets | 6 | | 16 | | (63) | | 35 | | 31 | | 13 | | Provisions for benefits and claims, HTM debt securities and other assets | 19 | | 47 | | (60) | | 54 | | 78 | | (31) | |
| Provisions for credit losses and for benefits and claims (PBC) | Provisions for credit losses and for benefits and claims (PBC) | $ | (167) | | $ | 430 | | NM | $ | 64 | | $ | 972 | | (93) | % | Provisions for credit losses and for benefits and claims (PBC) | $ | 16 | | $ | 209 | | (92) | % | $ | 80 | | $ | 1,181 | | (93) | % |
| Income (loss) from continuing operations before taxes | Income (loss) from continuing operations before taxes | $ | 495 | | $ | 1 | | NM | $ | 570 | | $ | (57) | | NM | Income (loss) from continuing operations before taxes | $ | 322 | | $ | 151 | | NM | $ | 892 | | $ | 94 | | NM |
| Income taxes (benefits) | Income taxes (benefits) | 143 | | (1) | | NM | 166 | | (24) | | NM | Income taxes (benefits) | 94 | | 43 | | NM | 260 | | 19 | | NM |
| Income (loss) from continuing operations | Income (loss) from continuing operations | $ | 352 | | $ | 2 | | NM | $ | 404 | | $ | (33) | | NM | Income (loss) from continuing operations | $ | 228 | | $ | 108 | | NM | $ | 632 | | $ | 75 | | NM |
| Noncontrolling interests | Noncontrolling interests | — | | — | | — | % | — | | — | | — | % | Noncontrolling interests | — | | — | | — | % | — | | — | | — | % |
| Net income (loss) | Net income (loss) | $ | 352 | | $ | 2 | | NM | $ | 404 | | $ | (33) | | NM | Net income (loss) | $ | 228 | | $ | 108 | | NM | $ | 632 | | $ | 75 | | NM |
| Balance Sheet data and ratios | Balance Sheet data and ratios | | | | | Balance Sheet data and ratios | | | | |
Average assets (in billions of dollars) | Average assets (in billions of dollars) | $ | 34 | | $ | 30 | | 13 | % | $ | 34 | | $ | 33 | | 3 | % | Average assets (in billions of dollars) | $ | 36 | | $ | 31 | | 16 | % | $ | 35 | | $ | 32 | | 9 | % |
| Return on average assets | Return on average assets | 4.15 | % | 0.03 | % | | 2.40 | % | (0.20) | % | | Return on average assets | 2.51 | % | 1.39 | % | | 2.41 | % | 0.31 | % | |
| Efficiency ratio | Efficiency ratio | 69 | | 59 | | | 69 | | 59 | | | Efficiency ratio | 67 | | 65 | | | 69 | | 61 | | |
Average deposits (in billions of dollars) | Average deposits (in billions of dollars) | $ | 24 | | $ | 21 | | 14 | | $ | 24 | | $ | 22 | | 9 | | Average deposits (in billions of dollars) | $ | 24 | | $ | 23 | | 4 | | $ | 24 | | $ | 22 | | 9 | |
| Net credit losses as a percentage of average loans | Net credit losses as a percentage of average loans | 7.43 | % | 6.15 | % | | 9.05 | % | 6.34 | % | | Net credit losses as a percentage of average loans | 5.26 | % | 6.67 | % | | 7.77 | % | 6.49 | % | |
| Revenue by business | Revenue by business | | | | Revenue by business | | | |
| Retail banking | Retail banking | $ | 757 | | $ | 705 | | 7 | % | $ | 1,480 | | $ | 1,488 | | (1) | % | Retail banking | $ | 767 | | $ | 737 | | 4 | % | $ | 2,247 | | $ | 2,225 | | 1 | % |
| Citi-branded cards | Citi-branded cards | 296 | | 345 | | (14) | | 581 | | 761 | | (24) | | Citi-branded cards | 271 | | 290 | | (7) | | 852 | | 1,051 | | (19) | |
| Total | Total | $ | 1,053 | | $ | 1,050 | | — | % | $ | 2,061 | | $ | 2,249 | | (8) | % | Total | $ | 1,038 | | $ | 1,027 | | 1 | % | $ | 3,099 | | $ | 3,276 | | (5) | % |
| Income (loss) from continuing operations by business | Income (loss) from continuing operations by business | | | | | Income (loss) from continuing operations by business | | | | |
| Retail banking | Retail banking | $ | 180 | | $ | (14) | | NM | $ | 220 | | $ | (39) | | NM | Retail banking | $ | 119 | | $ | 68 | | 75 | % | $ | 339 | | $ | 29 | | NM |
| Citi-branded cards | Citi-branded cards | 172 | | 16 | | NM | 184 | | 6 | | NM | Citi-branded cards | 109 | | 40 | | NM | 293 | | 46 | | NM |
| Total | Total | $ | 352 | | $ | 2 | | NM | $ | 404 | | $ | (33) | | NM | Total | $ | 228 | | $ | 108 | | NM | $ | 632 | | $ | 75 | | NM |
| FX translation impact | FX translation impact | | | | | FX translation impact | | | | |
| Total revenues—as reported | Total revenues—as reported | $ | 1,053 | | $ | 1,050 | | — | % | $ | 2,061 | | $ | 2,249 | | (8) | % | Total revenues—as reported | $ | 1,038 | | $ | 1,027 | | 1 | % | $ | 3,099 | | $ | 3,276 | | (5) | % |
Impact of FX translation(1) | Impact of FX translation(1) | — | | 134 | | | — | | 139 | | | Impact of FX translation(1) | — | | 86 | | | — | | 226 | | |
Total revenues—ex-FX(2) | Total revenues—ex-FX(2) | $ | 1,053 | | $ | 1,184 | | (11) | % | $ | 2,061 | | $ | 2,388 | | (14) | % | Total revenues—ex-FX(2) | $ | 1,038 | | $ | 1,113 | | (7) | % | $ | 3,099 | | $ | 3,502 | | (12) | % |
| Total operating expenses—as reported | Total operating expenses—as reported | $ | 725 | | $ | 619 | | 17 | % | $ | 1,427 | | $ | 1,334 | | 7 | % | Total operating expenses—as reported | $ | 700 | | $ | 667 | | 5 | % | $ | 2,127 | | $ | 2,001 | | 6 | % |
Impact of FX translation(1) | Impact of FX translation(1) | — | | 74 | | | — | | 79 | | | Impact of FX translation(1) | — | | 51 | | | — | | 130 | | |
Total operating expenses—ex-FX(2) | Total operating expenses—ex-FX(2) | $ | 725 | | $ | 693 | | 5 | % | $ | 1,427 | | $ | 1,413 | | 1 | % | Total operating expenses—ex-FX(2) | $ | 700 | | $ | 718 | | (3) | % | $ | 2,127 | | $ | 2,131 | | — | % |
| Provisions for credit losses and PBC—as reported | Provisions for credit losses and PBC—as reported | $ | (167) | | $ | 430 | | NM | $ | 64 | | $ | 972 | | (93) | % | Provisions for credit losses and PBC—as reported | $ | 16 | | $ | 209 | | (92) | % | $ | 80 | | $ | 1,181 | | (93) | % |
Impact of FX translation(1) | Impact of FX translation(1) | — | | 65 | | | — | | 71 | | | Impact of FX translation(1) | — | | 15 | | | — | | 92 | | |
Provisions for credit losses and PBC—ex-FX(2) | Provisions for credit losses and PBC—ex-FX(2) | $ | (167) | | $ | 495 | | NM | $ | 64 | | $ | 1,043 | | (94) | % | Provisions for credit losses and PBC—ex-FX(2) | $ | 16 | | $ | 224 | | (93) | % | $ | 80 | | $ | 1,273 | | (94) | % |
| Net income (loss)—as reported | Net income (loss)—as reported | $ | 352 | | $ | 2 | | NM | $ | 404 | | $ | (33) | | NM | Net income (loss)—as reported | $ | 228 | | $ | 108 | | NM | $ | 632 | | $ | 75 | | NM |
Impact of FX translation(1) | Impact of FX translation(1) | — | | (5) | | | — | | (9) | | | Impact of FX translation(1) | — | | 12 | | | — | | — | | |
Net income (loss)—ex-FX(2) | Net income (loss)—ex-FX(2) | $ | 352 | | $ | (3) | | NM | $ | 404 | | $ | (42) | | NM | Net income (loss)—ex-FX(2) | $ | 228 | | $ | 120 | | 90 | % | $ | 632 | | $ | 75 | | NM |
(1)Reflects the impact of FX translation into U.S. dollars atfor the secondthird quarter of 2021 and year-to-date 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.
2Q213Q21 vs. 2Q203Q20
Net income was $352 million, compared to a net loss of $3 million in the prior-year period,increased 90%, reflecting significantly lower cost of credit and lower expenses, partially offset by lower revenues and higher expenses.revenues.
Revenues decreased 11%7%, reflecting lower cards and retail banking revenues, largely due to the continued impact of the pandemic.
Retail banking revenues decreased 5%4%, primarily driven by continued lower loan volumes and deposit spreads, partially offset by growth in assets under management. Average loans decreased 14%13%, reflecting the impact of the pandemic on customer activity. Assets under management increased 8%6%, reflecting favorable market conditions, as well as strong client engagement.
Cards revenues decreased 24%14%, primarily driven by lower average loans (down 13%10%), reflecting higher payment rates, as well as the continued impact of the pandemic on customer activity.rates. Purchase sales increased 39%20%, reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior-year period driven by the pandemic.period.
Expenses increased 5%decreased 3%, primarily driven byas efficiency savings more than offset continued investments in Citi’s transformation, as well as other strategic investments, partially offset by efficiency savings.business-led investments.
Provisions reflectedof $16 million decreased 93%, reflecting a benefit of $167 million, compared to costs of $495 millionhigher ACL release and lower net credit losses 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. Net credit losses increased 6%decreased 29%, driven by the expiration of consumer relief programsprimarily reflecting lower cards loan volumes and the continued adverse impacts of the pandemic in Mexico.improved delinquencies.
The net ACL release was $423$178 million, compared to a build of $239$77 million in the prior-year period. The release reflected an improvement in portfolio credit quality, as well as the impact of Citi’s improvedcontinued improvement in the macroeconomic outlook and lower loan volumes. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on Latin America 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 “Forward-Looking Statements” below and “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
2Q213Q21 YTD vs. 2Q203Q20 YTD
Year-to-date, Latin America GCB experienced similar trends to those described above. Net income was $404$632 million, compared to a net loss of $42$75 million in the prior-year period, as significantly lower cost of credit more than offset lower revenues and higher expenses.revenues.
Revenues decreased 14%12%, reflecting lower revenues in both retail banking and cards. Retail banking revenues decreased 6%, driven by the same factors described above. Cards revenues decreased 28%24%, driven by the same factors described above.
Expenses increased 1%, drivenwere largely unchanged, as efficiency savings were offset by the same factors described above.impact of continued investments in Citi’s transformation, as well as business-led investments.
Provisions decreased 94%, driven by a net ACL release compared to a net ACL build in the prior-year period, primarily driven by the same factors described above.period. The ACL release was $586$764 million, compared to a build of $498$426 million in the prior-year period, driven by the same factors described above.
ASIA GCB
Asia GCB provides traditional retail banking and Citi-branded card products to retail and small business customers. During the second quarter of 2021, Asia GCB’s most significant revenueswere from Hong Kong, Singapore, South Korea, Taiwan, Australia, India, Thailand, the Philippines, China and Malaysia. Included within Asia GCB are traditional retail banking and Citi-branded card products provided to retail customers in certain EMEA countries, primarily the UAE, Poland and Russia.
At June 30, 2021, on a combined basis, the businesses had 223 retail branches, $66.5 billion in retail banking loans and $126.1 billion in deposits. In addition, the businesses had $16.4 billion in outstanding card loan balances.
As previously disclosed, Citi is pursuing exits of its consumer franchises in 13 markets across Asia and EMEAand will focus its consumer banking franchise in the two regions on four wealth centers: Singapore, Hong Kong, the UAE and London. ForAs previously disclosed, Citi entered into an agreement to sell its consumer banking business in Australia and announced a decision to wind down and close its Korea consumer banking business (for additional information, including an estimated range of total cash charges expected to be incurred in connection with the Korea wind-down, see “Executive Summary” above and “Asia GCB” in Citi’s First Quarter of 2021 Form 10-Q.Note 2 to the Consolidated Financial Statements). For additional information regarding risks related to Citi’s exits infrom the 13 markets, see “Forward-Looking Statements” below.
At September 30, 2021, on a combined basis, the businesses had 221 retail branches, $59.3 billion in retail banking loans and $119.7 billion in deposits. In addition, the businesses had $13.5 billion in outstanding card loan balances. These amounts exclude approximately $9 billion of loans ($6 billion of retail banking loans and $3 billion of credit card loan balances) and $7 billion of deposits reclassified to held-for-sale as a result of Citi’s agreement to sell its consumer banking business in Australia.
| | | Second Quarter | | Six Months | % Change | | Third Quarter | | Nine Months | % Change |
In millions of dollars, except as otherwise noted(1) | In millions of dollars, except as otherwise noted(1) | 2021 | 2020 | % Change | 2021 | 2020 | In millions of dollars, except as otherwise noted(1) | 2021 | 2020 | % Change | 2021 | 2020 |
| Net interest revenue | Net interest revenue | $ | 1,001 | | $ | 1,072 | | (7) | % | $ | 1,989 | | $ | 2,221 | | (10) | % | Net interest revenue | $ | 925 | | $ | 1,054 | | (12) | % | $ | 2,914 | | $ | 3,275 | | (11) | % |
| Non-interest revenue | Non-interest revenue | 565 | | 475 | | 19 | | 1,178 | | 1,077 | | 9 | | Non-interest revenue | (41) | | 565 | | NM | 1,137 | | 1,642 | | (31) | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 1,566 | | $ | 1,547 | | 1 | % | $ | 3,167 | | $ | 3,298 | | (4) | % | Total revenues, net of interest expense | $ | 884 | | $ | 1,619 | | (45) | % | $ | 4,051 | | $ | 4,917 | | (18) | % |
| Total operating expenses | Total operating expenses | $ | 1,225 | | $ | 1,085 | | 13 | % | $ | 2,444 | | $ | 2,240 | | 9 | % | Total operating expenses | $ | 1,209 | | $ | 1,137 | | 6 | % | $ | 3,653 | | $ | 3,377 | | 8 | % |
| Net credit losses on loans | Net credit losses on loans | $ | 186 | | $ | 189 | | (2) | % | $ | 451 | | $ | 362 | | 25 | % | Net credit losses on loans | $ | 152 | | $ | 188 | | (19) | % | $ | 603 | | $ | 550 | | 10 | % |
| Credit reserve build (release) for loans | Credit reserve build (release) for loans | (60) | | 251 | | NM | (286) | | 435 | | NM | Credit reserve build (release) for loans | (44) | | 110 | | NM | (330) | | 545 | | NM |
| Provisions for HTM debt securities and other assets | Provisions for HTM debt securities and other assets | (3) | | 3 | | NM | 1 | | 3 | | (67) | | Provisions for HTM debt securities and other assets | (2) | | 4 | | NM | (1) | | 7 | | NM |
| Provisions for credit losses | Provisions for credit losses | $ | 123 | | $ | 443 | | (72) | % | $ | 166 | | $ | 800 | | (79) | % | Provisions for credit losses | $ | 106 | | $ | 302 | | (65) | % | $ | 272 | | $ | 1,102 | | (75) | % |
| Income from continuing operations before taxes | $ | 218 | | $ | 19 | | NM | $ | 557 | | $ | 258 | | NM | |
| Income taxes | 47 | | (8) | | NM | 124 | | 39 | | NM | |
| Income from continuing operations | $ | 171 | | $ | 27 | | NM | $ | 433 | | $ | 219 | | 98 | % | |
| Income (loss) from continuing operations before taxes | | Income (loss) from continuing operations before taxes | $ | (431) | | $ | 180 | | NM | $ | 126 | | $ | 438 | | (71) | % |
| Income taxes (benefits) | | Income taxes (benefits) | (89) | | 29 | | NM | 35 | | 68 | | (49) | |
| Income (loss) from continuing operations | | Income (loss) from continuing operations | $ | (342) | | $ | 151 | | NM | $ | 91 | | $ | 370 | | (75) | % |
| Noncontrolling interests | Noncontrolling interests | (2) | | (2) | | — | % | (5) | | (3) | | (67) | | Noncontrolling interests | (2) | | — | | NM | (7) | | (3) | | NM |
| Net income | $ | 173 | | $ | 29 | | NM | $ | 438 | | $ | 222 | | 97 | % | |
| Net income (loss) | | Net income (loss) | $ | (340) | | $ | 151 | | NM | $ | 98 | | $ | 373 | | (74) | % |
| Balance Sheet data and ratios | Balance Sheet data and ratios | | | | | Balance Sheet data and ratios | | | | |
Average assets (in billions of dollars) | Average assets (in billions of dollars) | $ | 141 | | $ | 124 | | 14 | % | $ | 141 | | $ | 125 | | 13 | % | Average assets (in billions of dollars) | $ | 138 | | $ | 129 | | 7 | % | $ | 140 | | $ | 126 | | 11 | % |
| Return on average assets | Return on average assets | 0.49 | % | 0.09 | % | | 0.63 | % | 0.36 | % | | Return on average assets | (0.98) | % | 0.47 | % | | 0.09 | % | 0.40 | % | |
| Efficiency ratio | Efficiency ratio | 78 | | 70 | | | 77 | | 68 | | | Efficiency ratio | 137 | | 70 | | | 90 | | 69 | | |
Average deposits (in billions of dollars) | Average deposits (in billions of dollars) | $ | 125 | | $ | 109 | | 15 | | $ | 124 | | $ | 107 | | 16 | | Average deposits (in billions of dollars) | $ | 121 | | $ | 115 | | 5 | | $ | 123 | | $ | 110 | | 12 | |
| Net credit losses as a percentage of average loans | Net credit losses as a percentage of average loans | 0.90 | % | 0.99 | % | | 1.09 | % | 0.93 | % | | Net credit losses as a percentage of average loans | 0.79 | % | 0.94 | % | | 1.00 | % | 0.93 | % | |
| Revenue by business | Revenue by business | | | | Revenue by business | | | |
| Retail banking | Retail banking | $ | 1,006 | | $ | 1,009 | | — | % | $ | 2,086 | | $ | 2,142 | | (3) | % | Retail banking | $ | 348 | | $ | 1,066 | | (67) | % | $ | 2,434 | | $ | 3,208 | | (24) | % |
| Citi-branded cards | Citi-branded cards | 560 | | 538 | | 4 | | 1,081 | | 1,156 | | (6) | | Citi-branded cards | 536 | | 553 | | (3) | | 1,617 | | 1,709 | | (5) | |
| Total | Total | $ | 1,566 | | $ | 1,547 | | 1 | % | $ | 3,167 | | $ | 3,298 | | (4) | % | Total | $ | 884 | | $ | 1,619 | | (45) | % | $ | 4,051 | | $ | 4,917 | | (18) | % |
| Income (loss) from continuing operations by business | Income (loss) from continuing operations by business | | | | Income (loss) from continuing operations by business | | | |
| Retail banking | Retail banking | $ | 141 | | $ | 135 | | 4 | % | $ | 357 | | $ | 344 | | 4 | % | Retail banking | $ | (372) | | $ | 171 | | NM | $ | (15) | | $ | 515 | | NM |
| Citi-branded cards | Citi-branded cards | 30 | | (108) | | NM | 76 | | (125) | | NM | Citi-branded cards | 30 | | (20) | | NM | 106 | | (145) | | NM |
| Total | Total | $ | 171 | | $ | 27 | | NM | $ | 433 | | $ | 219 | | 98 | % | Total | $ | (342) | | $ | 151 | | NM | $ | 91 | | $ | 370 | | (75) | % |
| FX translation impact | | FX translation impact | | | |
| Total revenues—as reported | | Total revenues—as reported | $ | 884 | | $ | 1,619 | | (45) | % | $ | 4,051 | | $ | 4,917 | | (18) | % |
Impact of FX translation(2) | | Impact of FX translation(2) | — | | 9 | | | — | | 139 | | |
Total revenues—ex-FX(3) | | Total revenues—ex-FX(3) | $ | 884 | | $ | 1,628 | | (46) | % | $ | 4,051 | | $ | 5,056 | | (20) | % |
| Total operating expenses—as reported | | Total operating expenses—as reported | $ | 1,209 | | $ | 1,137 | | 6 | % | $ | 3,653 | | $ | 3,377 | | 8 | % |
Impact of FX translation(2) | | Impact of FX translation(2) | — | | 8 | | | — | | 97 | | |
Total operating expenses—ex-FX(3) | | Total operating expenses—ex-FX(3) | $ | 1,209 | | $ | 1,145 | | 6 | % | $ | 3,653 | | $ | 3,474 | | 5 | % |
| | | | | | | | | | | | | | | | | | | | |
| FX translation impact | | | | | | |
| Total revenues—as reported | $ | 1,566 | | $ | 1,547 | | 1 | % | $ | 3,167 | | $ | 3,298 | | (4) | % |
Impact of FX translation(2) | — | | 66 | | | — | | 132 | | |
Total revenues—ex-FX(3) | $ | 1,566 | | $ | 1,613 | | (3) | % | $ | 3,167 | | $ | 3,430 | | (8) | % |
| Total operating expenses—as reported | $ | 1,225 | | $ | 1,085 | | 13 | % | $ | 2,444 | | $ | 2,240 | | 9 | % |
Impact of FX translation(2) | — | | 47 | | | — | | 89 | | |
Total operating expenses—ex-FX(3) | $ | 1,225 | | $ | 1,132 | | 8 | % | $ | 2,444 | | $ | 2,329 | | 5 | % |
| Provisions for credit losses—as reported | $ | 123 | | $ | 443 | | (72) | % | $ | 166 | | $ | 800 | | (79) | % |
Impact of FX translation(2) | — | | 19 | | | — | | 37 | | |
Provisions for credit losses—ex-FX(3) | $ | 123 | | $ | 462 | | (73) | % | $ | 166 | | $ | 837 | | (80) | % |
| Net income—as reported | $ | 173 | | $ | 29 | | NM | $ | 438 | | $ | 222 | | 97 | % |
Impact of FX translation(2) | — | | (1) | | | — | | 3 | | |
Net income—ex-FX(3) | $ | 173 | | $ | 28 | | NM | $ | 438 | | $ | 225 | | 95 | % |
| | | | | | | | | | | | | | | | | | | | |
| Provisions for credit losses—as reported | $ | 106 | | $ | 302 | | (65) | % | $ | 272 | | $ | 1,102 | | (75) | % |
Impact of FX translation(2) | — | | — | | | — | | 31 | | |
Provisions for credit losses—ex-FX(3) | $ | 106 | | $ | 302 | | (65) | % | $ | 272 | | $ | 1,133 | | (76) | % |
| Net income (loss)—as reported | $ | (340) | | $ | 151 | | NM | $ | 98 | | $ | 373 | | (74) | % |
Impact of FX translation(2) | — | | (1) | | | — | | 7 | | |
Net income (loss)—ex-FX(3) | $ | (340) | | $ | 150 | | NM | $ | 98 | | $ | 380 | | (74) | % |
(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 atfor the secondthird quarter of 2021 and year-to-date 2021 average exchange rates for all periods presented.
(3) Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful
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.
2Q213Q21 vs. 2Q203Q20
Net loss was $340 million, including an approximate $680 million pretax loss ($580 million after-tax) related to the sale of the Australia consumer banking business. Excluding the loss on sale, net income was $173$240 million compared to $28$150 million in the prior-year period, reflecting significantly lower cost of credit, partially offset by higher expenses and lower revenues.
Revenues decreased 3%46%, primarilyincluding the loss on sale. Excluding the loss on sale, the decline was 4%, reflecting lower retail banking and cards revenues, largely due to the continued impact of the pandemic, including lower interest rates.
Retail banking revenues decreased 68%, including the loss on sale. Excluding the loss on sale, revenues decreased 4%, as solid growth in both investment revenues and deposits was more than offset by lower deposit spreads due to lower interest rates and lower FX and insurance revenues. Assets under management increased 21% and investment sales increased 15%13%, reflecting the impact of market conditions, as well as strong client engagement. Average deposits increased 9%4% and average loans increaseddecreased 4%. The decline in retail banking revenues was also impacted by a 5%3% decrease in retail lending revenues, reflecting a decline in personal loans and mortgages driven by spread compression.
Cards revenues were largely unchanged,decreased 3%, as lower average loans (down 6%16%, largely reflecting the reclassification to held-for-sale related to the Australia sale and higher payment rates) were partially offset by higher spending-related revenues (purchase sales up 23%6%), reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior-year period.
Expenses increased 8%6%, primarily driven by continued investments in Citi’s transformation, as well as other strategicbusiness-led investments, partially offset by efficiency savings.
Provisions decreased 73%65%, primarily driven by a net ACL release compared to a net ACL build in the prior-year period, as well as lower net credit losses. Net credit losses decreased 6%20%, primarily reflecting lower cards loan volumes and improved delinquencies.
The net ACL release was $60$44 million, compared to a build of $262$109 million in the prior-year period. The release reflected an improvement in portfolio credit quality, as well as the impact of Citi’s improvedcontinued improvement in the macroeconomic outlook. For
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 “Forward-Looking Statements” below and “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
2Q213Q21 YTD vs. 2Q203Q20 YTD
Year-to-date, AsiaAsia GCB experienced similar trends to those described above. Net income decreased 74%, including the loss on sale. Excluding the loss on sale, net incomeincreased 95%78%, as significantly lower cost of credit was partially offset by lower revenues and higher expenses.
Revenues decreased 8%20%, including the loss on sale. Excluding the loss on sale, revenues decreased 6%, reflecting lower revenues in both retail banking and cards. Retail banking revenues decreased 6%26%, including the loss on sale. Excluding the loss on sale, retail banking revenues decreased 5%, primarily driven by the same factors described above. Retail lending revenues decreased 4%, reflecting lower personal loans revenue due to spread compression. Cards revenues decreased 11%8%, driven by the same factors described above.
Expenses increased 5%, driven by the same factors described above.
Provisions decreased 80%76%, driven by a net ACL release compared to a net ACL build in the prior-year period. Net credit losses increased 18%6%, primarily reflecting the expiration of consumer relief programs and the adverselingering pandemic-related macroeconomic impacts in the region during the first quarter.in early 2021. The ACL release was $286$330 million, compared to a build of $455$558 million in the prior-year period, driven by the same factors described above.
INSTITUTIONAL CLIENTS GROUP
Institutional Clients Group (ICG)(ICG) includes Banking and Markets and securities services (for additional information on these businesses, see “Citigroup Segments” above). ICG provides corporate, institutional, public sector and high-net-worth clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services. ICG transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products. For more information on ICG’s business activities, see “Institutional Clients Group” in Citi’s 2020 Annual Report on Form 10-K.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 96 countries and jurisdictions. At JuneSeptember 30, 2021, ICG had $1.8 trillion in assets and $947$986 billion in deposits, while two of its businesses—securities services and issuer services—managed $25.9had $25.8 trillion in assets under custody compared to $24.0 trillion at December 31, 2020 and $24.4$25.9 trillion at March 31,June 30, 2021.
| | | Second Quarter | | Six Months | % Change | | Third Quarter | | Nine Months | % Change |
| In millions of dollars, except as otherwise noted | In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | 2021 | 2020 | In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | 2021 | 2020 |
| Commissions and fees | Commissions and fees | $ | 1,186 | | $ | 1,027 | | 15 | % | $ | 2,438 | | $ | 2,249 | | 8 | % | Commissions and fees | $ | 1,160 | | $ | 1,099 | | 6 | % | $ | 3,598 | | $ | 3,348 | | 7 | % |
| Administration and other fiduciary fees | Administration and other fiduciary fees | 865 | | 684 | | 26 | | 1,679 | | 1,375 | | 22 | | Administration and other fiduciary fees | 845 | | 747 | | 13 | | 2,524 | | 2,122 | | 19 | |
| Investment banking | Investment banking | 1,575 | | 1,526 | | 3 | | 3,375 | | 2,757 | | 22 | | Investment banking | 1,692 | | 1,145 | | 48 | | 5,067 | | 3,902 | | 30 | |
| Principal transactions | Principal transactions | 2,213 | | 3,909 | | (43) | | 6,055 | | 9,268 | | (35) | | Principal transactions | 2,297 | | 2,511 | | (9) | | 8,352 | | 11,779 | | (29) | |
| Other | Other | 324 | | 419 | | (23) | | 684 | | 305 | | NM | Other | 609 | | 378 | | 61 | | 1,293 | | 683 | | 89 | |
| Total non-interest revenue | Total non-interest revenue | $ | 6,163 | | $ | 7,565 | | (19) | % | $ | 14,231 | | $ | 15,954 | | (11) | % | Total non-interest revenue | $ | 6,603 | | $ | 5,880 | | 12 | % | $ | 20,834 | | $ | 21,834 | | (5) | % |
| Net interest revenue (including dividends) | Net interest revenue (including dividends) | 4,224 | | 4,572 | | (8) | | 8,376 | | 8,667 | | (3) | | Net interest revenue (including dividends) | 4,183 | | 4,473 | | (6) | | 12,559 | | 13,140 | | (4) | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 10,387 | | $ | 12,137 | | (14) | % | $ | 22,607 | | $ | 24,621 | | (8) | % | Total revenues, net of interest expense | $ | 10,786 | | $ | 10,353 | | 4 | % | $ | 33,393 | | $ | 34,974 | | (5) | % |
| Total operating expenses | Total operating expenses | $ | 6,264 | | $ | 6,006 | | 4 | % | $ | 12,572 | | $ | 11,883 | | 6 | % | Total operating expenses | $ | 6,398 | | $ | 5,858 | | 9 | % | $ | 18,970 | | $ | 17,741 | | 7 | % |
| Net credit losses on loans | Net credit losses on loans | $ | 89 | | $ | 324 | | (73) | % | $ | 275 | | $ | 451 | | (39) | % | Net credit losses on loans | $ | 40 | | $ | 326 | | (88) | % | $ | 315 | | $ | 777 | | (59) | % |
| Credit reserve build (release) for loans | Credit reserve build (release) for loans | (949) | | 3,370 | | NM | (2,261) | | 4,686 | | NM | Credit reserve build (release) for loans | (65) | | 106 | | NM | (2,326) | | 4,792 | | NM |
| Provision (release) for credit losses on unfunded lending commitments | Provision (release) for credit losses on unfunded lending commitments | 46 | | 107 | | (57) | | (575) | | 660 | | NM | Provision (release) for credit losses on unfunded lending commitments | (13) | | 423 | | NM | (588) | | 1,083 | | NM |
| Provisions (releases) for credit losses on HTM debt securities and other assets | Provisions (releases) for credit losses on HTM debt securities and other assets | 4 | | 53 | | (92) | | (1) | | 61 | | NM | Provisions (releases) for credit losses on HTM debt securities and other assets | (8) | | (17) | | 53 | | (9) | | 44 | | NM |
| Provisions (releases) for credit losses | Provisions (releases) for credit losses | $ | (810) | | $ | 3,854 | | NM | $ | (2,562) | | $ | 5,858 | | NM | Provisions (releases) for credit losses | $ | (46) | | $ | 838 | | NM | $ | (2,608) | | $ | 6,696 | | NM |
| Income from continuing operations before taxes | Income from continuing operations before taxes | $ | 4,933 | | $ | 2,277 | | NM | $ | 12,597 | | $ | 6,880 | | 83 | % | Income from continuing operations before taxes | $ | 4,434 | | $ | 3,657 | | 21 | % | $ | 17,031 | | $ | 10,537 | | 62 | % |
| Income taxes | Income taxes | 1,104 | | 455 | | NM | 2,830 | | 1,484 | | 91 | | Income taxes | 991 | | 800 | | 24 | | 3,821 | | 2,284 | | 67 | |
| Income from continuing operations | Income from continuing operations | $ | 3,829 | | $ | 1,822 | | NM | $ | 9,767 | | $ | 5,396 | | 81 | % | Income from continuing operations | $ | 3,443 | | $ | 2,857 | | 21 | % | $ | 13,210 | | $ | 8,253 | | 60 | % |
| Noncontrolling interests | Noncontrolling interests | 12 | | 5 | | NM | 49 | | 4 | | NM | Noncontrolling interests | 24 | | 24 | | — | | 73 | | 28 | | NM |
| Net income | Net income | $ | 3,817 | | $ | 1,817 | | NM | $ | 9,718 | | $ | 5,392 | | 80 | % | Net income | $ | 3,419 | | $ | 2,833 | | 21 | % | $ | 13,137 | | $ | 8,225 | | 60 | % |
Balance Sheet data and ratios (in billions of dollars) | Balance Sheet data and ratios (in billions of dollars) | | | | Balance Sheet data and ratios (in billions of dollars) | | | |
EOP assets (in billions of dollars) | EOP assets (in billions of dollars) | $ | 1,795 | | $ | 1,716 | | 5 | % | | | EOP assets (in billions of dollars) | $ | 1,819 | | $ | 1,703 | | 7 | % | | |
Average assets (in billions of dollars) | Average assets (in billions of dollars) | 1,806 | | 1,756 | | 3 | | $ | 1,797 | | $ | 1,668 | | 8 | % | Average assets (in billions of dollars) | 1,809 | | 1,732 | | 4 | | $ | 1,801 | | $ | 1,689 | | 7 | % |
| Return on average assets | Return on average assets | 0.85 | % | 0.42 | % | | 1.09 | % | 0.65 | % | | Return on average assets | 0.75 | % | 0.65 | % | | 0.98 | % | 0.65 | % | |
| Efficiency ratio | Efficiency ratio | 60 | | 49 | | | 56 | | 48 | | | Efficiency ratio | 59 | | 57 | | | 57 | | 51 | | |
| Revenues by region | Revenues by region | | | | Revenues by region | | | |
| North America | North America | $ | 3,718 | | $ | 4,987 | | (25) | % | $ | 8,616 | | $ | 9,934 | | (13) | % | North America | $ | 4,145 | | $ | 3,920 | | 6 | % | $ | 12,761 | | $ | 13,854 | | (8) | % |
| EMEA | EMEA | 3,253 | | 3,392 | | (4) | | 6,966 | | 6,862 | | 2 | | EMEA | 3,095 | | 3,085 | | — | | 10,061 | | 9,947 | | 1 | |
| Latin America | Latin America | 1,174 | | 1,207 | | (3) | | 2,310 | | 2,625 | | (12) | | Latin America | 1,261 | | 1,141 | | 11 | | 3,571 | | 3,766 | | (5) | |
| Asia | Asia | 2,242 | | 2,551 | | (12) | | 4,715 | | 5,200 | | (9) | | Asia | 2,285 | | 2,207 | | 4 | | 7,000 | | 7,407 | | (5) | |
| Total | Total | $ | 10,387 | | $ | 12,137 | | (14) | % | $ | 22,607 | | $ | 24,621 | | (8) | % | Total | $ | 10,786 | | $ | 10,353 | | 4 | % | $ | 33,393 | | $ | 34,974 | | (5) | % |
| Income from continuing operations by region | Income from continuing operations by region | | | | | Income from continuing operations by region | | | | |
| North America | North America | $ | 1,253 | | $ | 623 | | NM | $ | 4,032 | | $ | 1,486 | | NM | North America | $ | 854 | | $ | 1,023 | | (17) | % | $ | 4,886 | | $ | 2,509 | | 95 | % |
| EMEA | EMEA | 1,156 | | 483 | | NM | 2,622 | | 1,509 | | 74 | % | EMEA | 1,035 | | 880 | | 18 | | 3,657 | | 2,389 | | 53 | |
| Latin America | Latin America | 597 | | (198) | | NM | 1,242 | | 325 | | NM | Latin America | 665 | | 102 | | NM | 1,907 | | 427 | | NM |
| Asia | Asia | 823 | | 914 | | (10) | % | 1,871 | | 2,076 | | (10) | | Asia | 889 | | 852 | | 4 | | 2,760 | | 2,928 | | (6) | |
| Total | | Total | $ | 3,443 | | $ | 2,857 | | 21 | % | $ | 13,210 | | $ | 8,253 | | 60 | % |
| | Total | $ | 3,829 | | $ | 1,822 | | NM | $ | 9,767 | | $ | 5,396 | | 81 | % | |
Average loans by region (in billions of dollars) | Average loans by region (in billions of dollars) | | | | | Average loans by region (in billions of dollars) | | | | |
| North America | North America | $ | 201 | | $ | 215 | | (7) | % | $ | 198 | | $ | 205 | | (3) | % | North America | $ | 205 | | $ | 198 | | 4 | % | $ | 200 | | $ | 204 | | (2) | % |
| EMEA | EMEA | 90 | | 91 | | (1) | | 90 | | 90 | | — | | EMEA | 90 | | 88 | | 2 | | 90 | | 89 | | 1 | |
| Latin America | Latin America | 32 | | 43 | | (26) | | 32 | | 41 | | (22) | | Latin America | 32 | | 40 | | (20) | | 32 | | 40 | | (20) | |
| Asia | Asia | 73 | | 73 | | — | | 72 | | 73 | | (1) | | Asia | 74 | | 71 | | 4 | | 73 | | 72 | | 1 | |
| Total | Total | $ | 396 | | $ | 422 | | (6) | % | $ | 392 | | $ | 409 | | (4) | % | Total | $ | 401 | | $ | 397 | | 1 | % | $ | 395 | | $ | 405 | | (2) | % |
EOP deposits by business (in billions of dollars) | EOP deposits by business (in billions of dollars) | | | | EOP deposits by business (in billions of dollars) | | | |
| Treasury and trade solutions | Treasury and trade solutions | $ | 644 | | $ | 658 | | (2) | % | | | Treasury and trade solutions | $ | 676 | | $ | 660 | | 2 | % | | |
All other ICG businesses | All other ICG businesses | 303 | | 250 | | 21 | | | | All other ICG businesses | 310 | | 265 | | 17 | | | |
| Total | Total | $ | 947 | | $ | 908 | | 4 | % | | | Total | $ | 986 | | $ | 925 | | 7 | % | | |
NM Not meaningful
ICG Revenue Details
| | | Second Quarter | | Six Months | % Change | | Third Quarter | | Nine Months | % Change |
| In millions of dollars | In millions of dollars | 2021 | 2020 | % Change | 2021 | 2020 | In millions of dollars | 2021 | 2020 | % Change | 2021 | 2020 |
Investment banking revenue details | Investment banking revenue details | | | | Investment banking revenue details | | | |
| Advisory | Advisory | $ | 405 | | $ | 229 | | 77 | % | $ | 686 | | $ | 615 | | 12 | % | Advisory | $ | 539 | | $ | 163 | | NM | $ | 1,225 | | $ | 778 | | 57 | % |
| Equity underwriting | Equity underwriting | 544 | | 491 | | 11 | | 1,420 | | 671 | | NM | Equity underwriting | 507 | | 484 | | 5 | % | 1,927 | | 1,155 | | 67 | |
| Debt underwriting | Debt underwriting | 823 | | 1,039 | | (21) | | 1,639 | | 1,827 | | (10) | | Debt underwriting | 877 | | 740 | | 19 | | 2,516 | | 2,567 | | (2) | |
| Total investment banking | Total investment banking | $ | 1,772 | | $ | 1,759 | | 1 | % | $ | 3,745 | | $ | 3,113 | | 20 | % | Total investment banking | $ | 1,923 | | $ | 1,387 | | 39 | % | $ | 5,668 | | $ | 4,500 | | 26 | % |
| Treasury and trade solutions | Treasury and trade solutions | 2,290 | | 2,307 | | (1) | | 4,455 | | 4,730 | | (6) | | Treasury and trade solutions | 2,291 | | 2,394 | | (4) | | 6,746 | | 7,124 | | (5) | |
Corporate lending—excluding gains (losses) on loan hedges(1) | Corporate lending—excluding gains (losses) on loan hedges(1) | 548 | | 646 | | (15) | | 1,031 | | 1,094 | | (6) | | Corporate lending—excluding gains (losses) on loan hedges(1) | 631 | | 538 | | 17 | | 1,662 | | 1,632 | | 2 | |
Private bank—excluding gains on loan hedges(1) | Private bank—excluding gains on loan hedges(1) | 993 | | 956 | | 4 | | 2,020 | | 1,905 | | 6 | | Private bank—excluding gains on loan hedges(1) | 973 | | 938 | | 4 | | 2,993 | | 2,843 | | 5 | |
Total Banking revenues (ex-gains (losses) on loan hedges) | Total Banking revenues (ex-gains (losses) on loan hedges) | $ | 5,603 | | $ | 5,668 | | (1) | % | $ | 11,251 | | $ | 10,842 | | 4 | % | Total Banking revenues (ex-gains (losses) on loan hedges) | $ | 5,818 | | $ | 5,257 | | 11 | % | $ | 17,069 | | $ | 16,099 | | 6 | % |
Gains (losses) on loan hedges(1) | Gains (losses) on loan hedges(1) | $ | (37) | | $ | (431) | | 91 | % | $ | (118) | | $ | 385 | | NM | Gains (losses) on loan hedges(1) | $ | (47) | | $ | (124) | | 62 | % | $ | (165) | | $ | 261 | | NM |
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense | Total Banking revenues (including gains (losses) on loan hedges), net of interest expense | $ | 5,566 | | $ | 5,237 | | 6 | % | $ | 11,133 | | $ | 11,227 | | (1) | % | Total Banking revenues (including gains (losses) on loan hedges), net of interest expense | $ | 5,771 | | $ | 5,133 | | 12 | % | $ | 16,904 | | $ | 16,360 | | 3 | % |
| Fixed income markets | Fixed income markets | $ | 3,211 | | $ | 5,595 | | (43) | % | $ | 7,761 | | $ | 10,381 | | (25) | % | Fixed income markets | $ | 3,182 | | $ | 3,788 | | (16) | % | $ | 10,943 | | $ | 14,169 | | (23) | % |
| Equity markets | Equity markets | 1,058 | | 770 | | 37 | | 2,534 | | 1,939 | | 31 | | Equity markets | 1,226 | | 875 | | 40 | | 3,760 | | 2,814 | | 34 | |
| Securities services | Securities services | 672 | | 619 | | 9 | | 1,325 | | 1,264 | | 5 | | Securities services | 692 | | 631 | | 10 | | 2,017 | | 1,895 | | 6 | |
| Other | Other | (120) | | (84) | | (43) | | (146) | | (190) | | 23 | | Other | (85) | | (74) | | (15) | | (231) | | (264) | | 13 | |
Total Markets and securities services revenues, net of interest expense | Total Markets and securities services revenues, net of interest expense | $ | 4,821 | | $ | 6,900 | | (30) | % | $ | 11,474 | | $ | 13,394 | | (14) | % | Total Markets and securities services revenues, net of interest expense | $ | 5,015 | | $ | 5,220 | | (4) | % | $ | 16,489 | | $ | 18,614 | | (11) | % |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 10,387 | | $ | 12,137 | | (14) | % | $ | 22,607 | | $ | 24,621 | | (8) | % | Total revenues, net of interest expense | $ | 10,786 | | $ | 10,353 | | 4 | % | $ | 33,393 | | $ | 34,974 | | (5) | % |
| Commissions and fees | Commissions and fees | $ | 182 | | $ | 154 | | 18 | % | $ | 382 | | $ | 343 | | 11 | % | Commissions and fees | $ | 198 | | $ | 159 | | 25 | % | $ | 580 | | $ | 502 | | 16 | % |
Principal transactions(2) | Principal transactions(2) | 1,922 | | 4,009 | | (52) | | 4,852 | | 7,558 | | (36) | | Principal transactions(2) | 1,519 | | 2,178 | | (30) | | 6,371 | | 9,736 | | (35) | |
| Other | Other | 156 | | 234 | | (33) | | 512 | | 171 | | NM | Other | 404 | | 301 | | 34 | | 916 | | 472 | | 94 | |
| Total non-interest revenue | Total non-interest revenue | $ | 2,260 | | $ | 4,397 | | (49) | % | $ | 5,746 | | $ | 8,072 | | (29) | % | Total non-interest revenue | $ | 2,121 | | $ | 2,638 | | (20) | % | $ | 7,867 | | $ | 10,710 | | (27) | % |
| Net interest revenue | Net interest revenue | 951 | | 1,198 | | (21) | | 2,015 | | 2,309 | | (13) | | Net interest revenue | 1,061 | | 1,150 | | (8) | | 3,076 | | 3,459 | | (11) | |
Total fixed income markets(3) | Total fixed income markets(3) | $ | 3,211 | | $ | 5,595 | | (43) | % | $ | 7,761 | | $ | 10,381 | | (25) | % | Total fixed income markets(3) | $ | 3,182 | | $ | 3,788 | | (16) | % | $ | 10,943 | | $ | 14,169 | | (23) | % |
| Rates and currencies | Rates and currencies | $ | 1,993 | | $ | 3,582 | | (44) | % | $ | 5,032 | | $ | 7,616 | | (34) | % | Rates and currencies | $ | 2,124 | | $ | 2,520 | | (16) | % | $ | 7,156 | | $ | 10,136 | | (29) | % |
| Spread products/other fixed income | Spread products/other fixed income | 1,218 | | 2,013 | | (39) | | 2,729 | | 2,765 | | (1) | | Spread products/other fixed income | 1,058 | | 1,268 | | (17) | | 3,787 | | 4,033 | | (6) | |
| Total fixed income markets | Total fixed income markets | $ | 3,211 | | $ | 5,595 | | (43) | % | $ | 7,761 | | $ | 10,381 | | (25) | % | Total fixed income markets | $ | 3,182 | | $ | 3,788 | | (16) | % | $ | 10,943 | | $ | 14,169 | | (23) | % |
| Commissions and fees | Commissions and fees | $ | 298 | | $ | 305 | | (2) | % | $ | 690 | | $ | 667 | | 3 | % | Commissions and fees | $ | 276 | | $ | 279 | | (1) | % | $ | 966 | | $ | 946 | | 2 | % |
Principal transactions(2) | Principal transactions(2) | 222 | | 193 | | 15 | | 1,057 | | 967 | | 9 | | Principal transactions(2) | 688 | | 344 | | 100 | | 1,745 | | 1,311 | | 33 | |
| Other | Other | 87 | | 2 | | NM | 119 | | 10 | | NM | Other | 38 | | 48 | | (21) | | 157 | | 58 | | NM |
| Total non-interest revenue | Total non-interest revenue | $ | 607 | | $ | 500 | | 21 | % | $ | 1,866 | | $ | 1,644 | | 14 | % | Total non-interest revenue | $ | 1,002 | | $ | 671 | | 49 | % | $ | 2,868 | | $ | 2,315 | | 24 | % |
| Net interest revenue | Net interest revenue | 451 | | 270 | | 67 | | 668 | | 295 | | NM | Net interest revenue | 224 | | 204 | | 10 | | 892 | | 499 | | 79 | |
Total equity markets(3) | Total equity markets(3) | $ | 1,058 | | $ | 770 | | 37 | % | $ | 2,534 | | $ | 1,939 | | 31 | % | Total equity markets(3) | $ | 1,226 | | $ | 875 | | 40 | % | $ | 3,760 | | $ | 2,814 | | 34 | % |
(1) 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 $(37)$(43) million and $(109)$(152) million related to the corporate loan portfolio and $0$(4) million and $(9)$(13) million related to the private bank for the three and sixnine months ended JuneSeptember 30, 2021.2021, respectively. Gains (losses) on loan hedges include $(414)$(117) million and $340$224 million related to the corporate loan portfolio and $(17)$(8) million and $45$37 million related to the private bank for the three and sixnine months ended JuneSeptember 30, 2020, respectively. 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.
2Q213Q21 vs. 2Q203Q20
Net income of $3.8$3.4 billion increased significantly21% versus the prior-year period, primarily driven by lower cost of credit and higher revenues, partially offset by lower revenues and higher expenses.
Revenues declined 14%increased 4%, reflecting lower Markets and securities services revenues (decrease of 30%), partially offset by higher Banking revenues (increase of 6%12% including the impact of gains (losses)losses on loan hedges)., partially offset by lower Markets and securities services revenues. Excluding the impact of gains (losses)losses on loan hedges, Bankingrevenues were down 1%up 11%, driven by higher revenues in investment banking, corporate lending and the private bank, partially offset by lower revenues in corporate lending and treasury and trade solutions, partially offset by higher revenues in the private bank and investment banking.solutions. Markets and securities services revenues were down 30%4%, primarily reflecting a normalization in fixed income markets revenues, partially offset by growth in equity markets and securities services.
Within Banking:
•Investment banking revenues increased 1%39%, asdriven by higher revenues in bothacross advisory, and equity underwriting were largely offset by lowerand debt underwriting revenues.underwriting. Advisory revenues increased 77%,significantly from the prior-year period, reflecting strength in North Americaand and EMEA,with overall driven by growth in the market wallet as well as wallet share gains. Equity underwriting revenues increased 11%, primarily driven by solid performancemodestly, as growth in North America and EMEA, partially was largely offset by North AmericaAsia, largely reflecting growth in the market wallet.. Debt underwriting revenues decreased 21%increased 19%, primarilyalso reflecting a declinestrength in North America and EMEA, largely driven by a declinegrowth in the market wallet and wallet share as activity was primarily concentrated in non-investment-grade underwriting, while Citi skews toward investment-grade underwriting, as well as a strong prior-year comparison, particularly in investment-grade underwriting.gains.
•Treasury and trade solutions revenues decreased 1%4%. Excluding the impact of FX translation, revenues declined 2%5%, reflecting a decline in the cash business, partially offset by an increase in trade. Cash revenues decreased, as strong growth in fee revenues reflecting solid client
engagement and growth in transaction volumes, including
the early signs of a continued recovery in commercial cards from the low pandemic-related levels in the prior-year period, due to the pandemic, waswere more than offset by the impact of lower interest rates. Indeposit spreads. The increase in trade revenues increased across North America,was driven by growth in loans compared to a low point in the prior-year period, reflecting an increase in trade flows and originations, primarily in EMEA and Asia, primarily reflecting improved loan spreads.. End-of-period trade loans grew 6% (4%15% (both including and excluding the
impact of FX translation), reflecting increasing client demand and improving macroeconomic conditions..
•Corporate lending revenues were $511 million versus $232 million in the prior-year period,increased 39%, including the impact of losses on loan hedges. Excluding the impact of losses on loan hedges, revenues decreased 15%increased 17%, primarily driven by
lower cost of funds and a modest gain on sale, partially offset by lower loan volumes, reflecting continued weakness inmuted demand given stronger client liquidity positions as well as higher repayment rates.positions.
•Private bank revenues increased 6%. Excluding4% (both including and excluding the impact of losses on loan hedges, revenues increased 4%hedges), primarily reflecting strengthmainly due to strong performance in North America and EMEA. The increase in revenues was driven by higher fees including higher managed investments revenue and higher lending volumes, and spreads, reflecting solidcontinued client engagement, partially offset by lower deposit spreads and lower capital markets revenues.
Within Markets and securities services:
•Fixed income markets revenues decreased 43%16%, withreflecting declines across all regions, reflectingNorth America, EMEA and Asia, largely driven by a comparison to a strong prior-year period in rates and spread products and a normalization in market activity. Non-interest revenues decreased, reflecting a normalization inlower investor client activity and volatility across rates and currencies and spreadsspread products. Net interest revenues also decreased, largely reflecting a change in the mix of trading positions.
Rates and currencies revenues decreased 44%16%, driven by the normalization in market activity, primarily in G10 rates and a comparison to a strong prior-year period that included elevated levels of volatility and higher spreads related to the pandemic.
Spread products and other fixed income revenues decreased 39%17%, driven by a comparison to a strong prior-year period and a normalization in activity, particularly in flow trading, and commodities, reflecting the normalization in activity, including lower volatility.volatility and spreads, partially offset by strong securitization activity.
•Equity markets revenues increased 37%40%, reflecting strength in equity derivatives and prime finance, partially offsetdriven by a modest decline in cash equities.growth across all products. Equity derivatives revenues increased reflecting a favorable year-over-year comparison as well as an increase inhigher client activity, in structured products, particularly in North AmericaEMEA and EMEAAsia. Prime finance revenues increased primarily driven bydue to favorable market conditions increased dividend activity compared to the prior-year period andas well as growth in client balances. Cash equities revenues increased modestly reflecting higher client activity. Non-interest
revenues increased, primarily driven by higherin principal transactions, largelyprimarily due to the higher client activity.
•Securities services revenues increased 9%10%. Excluding the impact of FX translation, revenues increased 5%9%, as an increase in fee revenues from both new and existing clients, driven by growth in assets under custody and settlement volumes, was partially offset by a decline inlower deposit spreads due to the continued low interest rate environment.spreads.
Expenses were up 4%. Excluding the impact of FX translation, expenses increased 2%9%, primarily driven by continued investments in Citi’s transformation, along with strategicbusiness-led investments and higher revenue-related expenses, partially offset by lower incentive compensation and efficiency savings.
Provisions reflected a benefit of $810$46 million compared to costs of $3.9 billion$838 million in the prior-year period, driven by an ACL release and lower net credit losses.period. Net credit losses declined to $89$40 million from $324$326 million in the prior-year period, driven by improvements in overall portfolio credit quality.
The ACL release for the quarter was $0.9$0.1 billion, compared to a build of $3.5$0.5 billion in the prior-year period. The release was primarily driven by an improvement in portfolio quality as well as Citi’s improved macroeconomic outlook.credit quality. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on trends in ICG’s deposits and loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.
For additional information on ICG’s corporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information about trends, uncertainties and risks related to ICG’s future results, see “Strategic Risk—Country Risk—Argentina” and “Forward-Looking Statements” below and “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
2Q213Q21 YTD vs. 2Q203Q20 YTD
Year-to-date, ICG experienced similar trends to those described above. Net income of $13.1 billion increased 80%,60% versus the prior-year period, primarily driven by the same factors described above.lower cost of credit, partially offset by lower revenues and higher expenses.
Revenues declined 8%5%, driven by a 14%an 11% decrease in Markets and securities services revenues, as well aspartially offset by a 1% decrease3% increase in Banking revenues (including the impact of gains (losses) on loan hedges). Excluding the impact of gains (losses) on loan hedges, Banking revenues increased 4%6%, as growth in investment banking, and the private bank and corporate lending was partially offset by a decrease in treasury and trade solutions and corporate lending.solutions. Markets and securities services revenues decreased 14%11%, primarily driven by a normalization in fixed income markets revenues due to a strong prior-year period,performance, partially offset by growth in equity markets and securities services.
Within Banking:
•Investment banking revenues increased 20%26%. Advisory revenues increased 12%57%, driven by growth in the market wallet. Equity underwriting revenues increased significantly,67%, primarily driven by strengthgrowth in the market wallet in the first half of 2021, as well as wallet share gains. Debt underwriting revenues decreased 10%2%, driven by the same factors described above.a decline in wallet share.
•Treasury and trade solutions revenues decreased 6% including and5% (6% decrease excluding the impact of FX translation,translation), driven by lower cash revenues, partially offset by higher trade revenues. Cash revenues declined, driven by the same factors described above. Trade revenues increased, reflecting improved loan spreads.
•Corporate lending revenues decreased 36%19%, including the impact of gains (losses) on loan hedges. Excluding the impact of gains (losses) on loan hedges, revenues decreased 6%increased 2%, primarily driven by the same factors described above. The decrease in revenues was partially offset byabove and lower marksmark-downs on the portfolio, given lower market volatility than incompared to the first half of 2020 due to the pandemic.
•Private bank revenues increased 3%. Excluding the impact of gains (losses) on loan hedges, revenues increased 6%5%, driven by the same factors described above.
Within Markets and securities services:
•Fixed income markets revenues decreased 25%23%, with declines across all regions, reflecting a strong prior-year comparison, particularly in rates and currencies, whileas well as declines in spread products and other revenues declined slightly.fixed income revenues.
•Equity markets revenues increased 31%34%, primarily driven largely by higher revenues in equity derivatives and prime finance, as well as modestly higheran increase in cash equity revenues.equities.
•Securities services revenues increased 5%6%. Excluding the impact of FX translation, revenues increased 2%5%, driven by the same factors described above.
Expenses increased 6%7%, primarily driven by the same factors described above.continued investments in Citi’s transformation and business-led investments, partially offset by efficiency savings.
Provisions reflected a net benefit of $2.6 billion, compared to costs of $5.9$6.7 billion, driven by an ACL release and lower net credit losses. Net credit losses declined to $315 million from $777 million in the same factors described above.prior-year period, driven by improvements in portfolio credit quality. The ACL release was $2.9 billion, compared to a build of $5.9 billion in the prior-year period. The release was primarily driven by an improvement in portfolio credit quality as well as Citi’s improved macroeconomic outlook.
CORPORATE/OTHER
Corporate/Other includes certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as Corporate Treasury, certain North America legacy consumer loan portfolios, other legacy assets and discontinued operations (for additional information on Corporate/Other, see “Citigroup Segments” above). At JuneSeptember 30, 2021, Corporate/Other had $101 billion in assets.
| | | Second Quarter | | Six Months | % Change | | Third Quarter | | Nine Months | % Change |
| In millions of dollars | In millions of dollars | 2021 | 2020 | % Change | 2021 | 2020 | In millions of dollars | 2021 | 2020 | % Change | 2021 | 2020 |
| Net interest revenue | Net interest revenue | $ | 128 | | $ | (26) | | NM | $ | 189 | | $ | 299 | | (37) | % | Net interest revenue | $ | 252 | | $ | (231) | | NM | $ | 441 | | $ | 68 | | NM |
| Non-interest revenue | Non-interest revenue | 139 | | 316 | | (56) | % | 148 | | 64 | | NM | Non-interest revenue | (144) | | 7 | | NM | 4 | | 71 | | (94) | % |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 267 | | $ | 290 | | (8) | % | $ | 337 | | $ | 363 | | (7) | % | Total revenues, net of interest expense | $ | 108 | | $ | (224) | | NM | $ | 445 | | $ | 139 | | NM |
| Total operating expenses | Total operating expenses | $ | 378 | | $ | 332 | | 14 | % | $ | 743 | | $ | 623 | | 19 | % | Total operating expenses | $ | 519 | | $ | 819 | | (37) | % | $ | 1,262 | | $ | 1,442 | | (12) | % |
| Net credit losses (recoveries) on loans | Net credit losses (recoveries) on loans | $ | (22) | | $ | (5) | | NM | $ | (40) | | $ | (7) | | NM | Net credit losses (recoveries) on loans | $ | (23) | | $ | (5) | | NM | $ | (63) | | $ | (12) | | NM |
| Credit reserve build (release) for loans | Credit reserve build (release) for loans | (99) | | 160 | | NM | (208) | | 351 | | NM | Credit reserve build (release) for loans | (53) | | (128) | | 59 | % | (261) | | 223 | | NM |
| Provision (release) for credit losses on unfunded lending commitments | (3) | | 6 | | NM | (8) | | 11 | | NM | |
| Provisions (releases) for benefits and claims, HTM debt securities and other assets | 3 | | 3 | | NM | 23 | | 1 | | 100 | % | |
| Provision (releases) for benefits and claims, HTM debt securities and other assets | | Provision (releases) for benefits and claims, HTM debt securities and other assets | (4) | | 1 | | NM | 19 | | 2 | | NM |
| Provisions (release) for credit losses on unfunded lending commitments | | Provisions (release) for credit losses on unfunded lending commitments | (1) | | (4) | | 75 | | (9) | | 7 | | NM |
| Provisions (release) for credit losses and for benefits and claims | Provisions (release) for credit losses and for benefits and claims | $ | (121) | | $ | 164 | | NM | $ | (233) | | $ | 356 | | NM | Provisions (release) for credit losses and for benefits and claims | $ | (81) | | $ | (136) | | 40 | % | $ | (314) | | $ | 220 | | NM |
| Income (loss) from continuing operations before taxes | Income (loss) from continuing operations before taxes | $ | 10 | | $ | (206) | | NM | $ | (173) | | $ | (616) | | 72 | % | Income (loss) from continuing operations before taxes | $ | (330) | | $ | (907) | | 64 | % | $ | (503) | | $ | (1,523) | | 67 | % |
| Income taxes (benefits) | Income taxes (benefits) | (522) | | (146) | | NM | (573) | | (314) | | (82) | | Income taxes (benefits) | (222) | | (307) | | 28 | | (795) | | (621) | | (28) | |
| Income (loss) from continuing operations | Income (loss) from continuing operations | $ | 532 | | $ | (60) | | NM | $ | 400 | | $ | (302) | | NM | Income (loss) from continuing operations | $ | (108) | | $ | (600) | | 82 | % | $ | 292 | | $ | (902) | | NM |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | 10 | | (1) | | NM | 8 | | (19) | | NM | Income (loss) from discontinued operations, net of taxes | (1) | | (7) | | 86 | | 7 | | (26) | | NM |
| Net income (loss) before attribution of noncontrolling interests | Net income (loss) before attribution of noncontrolling interests | $ | 542 | | $ | (61) | | NM | $ | 408 | | $ | (321) | | NM | Net income (loss) before attribution of noncontrolling interests | $ | (109) | | $ | (607) | | 82 | % | $ | 299 | | $ | (928) | | NM |
| Noncontrolling interests | Noncontrolling interests | — | | (3) | | 100 | % | (1) | | (7) | | 86 | % | Noncontrolling interests | 2 | | — | | NM | 1 | | (7) | | NM |
| Net income (loss) | Net income (loss) | $ | 542 | | $ | (58) | | NM | $ | 409 | | $ | (314) | | NM | Net income (loss) | $ | (111) | | $ | (607) | | 82 | % | $ | 298 | | $ | (921) | | NM |
NM Not meaningful
2Q213Q21 vs. 2Q203Q20
Net incomeloss was$542 $111 million in the third quarter of 2021, compared to a net loss of $58$607 million in the prior-year period, primarily driven by certain income tax benefit items related to non-U.S. operations in the current quarter (see “Income Taxes” below), as well as significantlyhigher revenues and lower cost of credit,expenses, partially offset by a lower revenues and higher expenses.net ACL release.
Revenues decreased 8%, as positive marks on investments were more than offset byof $108 million increased from $(224) million in the absence of AFS gains.prior-year period, largely reflecting higher net revenue from the investment portfolio.
Expenses increased 14%decreased 37%, primarily driven by the impactabsence of FX translation.the $400 million civil money penalty in the prior-year period, partially offset by investments in Citi’s transformation.
Provisions reflected a net benefit of $121$81 million, compared to costsa net benefit of $164$136 million in the prior-year period, primarily driven by a lower net ACL release on legacy assets in the current quarter.
The net ACL release was $102quarter ($54 million compared to a build of $166$132 million in the prior-year period, primarilyperiod), reflecting Citi’s improved macroeconomic outlook. the continued wind‐down of the legacy North America mortgage portfolio.
For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information about trends, uncertainties and risks related to Corporate Corporate/Other’s future results, see “Forward-Looking Statements” below and “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
2Q213Q21 YTD vs. 2Q203Q20 YTD
Net income was $409298 million, compared to a net loss of $314$921 million in the prior-year period, largely reflecting the same factors described above.higher revenues, lower expenses and a higher net ACL release, as well as certain income tax benefit items related to non-U.S. operations in the second quarter of 2021.
Revenues decreased 7%,of $445 million increased from $139 million in the prior-year period, primarily reflecting the same factors described above.
Expenses increased 19%decreased 12%, driven by the same factors described above, as well aspartially offset by an increase in brand marketing and transformation spend.
Provisions reflected a benefit of $233$314 million, compared to costs of $356$220 million in the prior-year period, driven by the same factors described above.period. The net ACL release was $216$270 million, compared to a build of $362$230 million in the prior-year period, driven by the same factors described above.
CAPITAL RESOURCES
For additional information about capital resources, including Citi’s capital management, 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 on Form 10-K.
During the secondthird quarter of 2021, Citi returned a total of $4.1approximately $4.0 billion of capital to common shareholders in the form of share repurchases (approximately 4430 million common shares) and dividends. For additional information, see “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends” below. Year-to-date, Citi returned nearly $7$11 billion of capital to its common shareholders, the maximum amount permitted under Federal Reserve Board rules.shareholders.
Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 11.7% as of September 30, 2021, compared to 11.8% as of June 30, 2021, both under the Basel III Standardized Approach, and 11.8% as of March 31, 2021 andApproach. Citi’s Common Equity Tier 1 Capital ratio was 11.7% as of December 31, 2020, both under the Basel III Advanced Approaches framework.
Citi’s reportableCommon Equity Tier 1 Capital ratio decreased from June 30, 2021, as an increase in risk-weighted assets and the return of approximately $4 billion of capital to common shareholders were partially offset by net income of $4.6 billion.
Citi’s Common Equity Tier 1 Capital ratio remained unchanged from March 31, 2021,year-end 2020, as net income of $6.2$18.8 billion was offset by the return of $4.1 billion of capital to common shareholders in the current quarter, an increase in risk-weighted assets and a reduction in the benefit of the modified CECL transition provision as a result of the ACL releases during the quarter.
Citi’s Common Equity Tier 1 Capital ratio increased from year-end 2020, primarily driven by the year-to-date net income of $14.1 billion, partially offset by the return of $6.7approximately $11 billion of capital to common shareholders, adverse net movements in Accumulated other comprehensive income (AOCI)(AOCI), an increase in risk-weighted assets and a reduction in the benefit of the modified CECL transition provision as a result of the ACL releasesAllowance for credit losses (ACL) released during the year.
Stress Capital Buffer
In JuneAugust 2021, the Federal Reserve Board communicated thatfinalized and announced Citi’s Stress Capital Buffer (SCB) requirement will increase from the current requirement of 2.5% to 3.0% for the four-quarter window of. Accordingly, beginning October 1, 2021, Citigroup is required to September 30, 2022. Incorporating this interim SCB (which will be finalized by the end of August 2021), and the current GSIB surcharge of 3.0%, results in anmaintain a 10.5% effective minimum Common Equity Tier 1 Capital requirement of 10.5% under the Standardized Approach, effective October 1, 2021.Approach. Citi’s effective minimum Common Equity Tier 1 Capital requirement under the Advanced Approaches (using the fixed 2.5% Capital Conservation Buffer) will remainremains unchanged at 10.0%.
The SCB applies to Citigroup only. The regulatory capital framework applicable to Citibank, including the Capital Conservation Buffer, is unchanged by Citigroup’s SCB. For additional information regarding the SCB, see “Capital Resources—Regulatory Capital Buffers—Stress Capital Buffer” in Citi’s 2020 Annual Report on Form 10-K. For additional information regarding CCAR and DFAST, see “Capital Resources—Stress Testing Component of Capital Planning” in Citi’s 2020 Annual Report on Form 10-K.
Expiration of Federal Reserve Board Limitations on Capital Distributions
In June 2021, the Federal Reserve Board announced that the temporary limitations placed on capital distributions in 2020 would be lifted. Commencing July 1, 2021, Citi’s common stock dividends and share repurchases are no longer subject to limitations based on the average of Citi’s net income for the four preceding calendar quarters.
All large banks, including Citi, remain subject to limitations on capital distributions in the event of a breach of any regulatory capital buffers, including the Stress Capital Buffer, with the degree of such restrictions based on the extent to which the buffers are breached. For additional information, see “Capital Resources—Regulatory Capital Buffers” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
Citigroup’s Capital Resources
The following tables set forth Citi’s capital components and ratios:
| | | Advanced Approaches | Standardized Approach | | Advanced Approaches | Standardized Approach |
| In millions of dollars, except ratios | In millions of dollars, except ratios | Effective Minimum Requirement(1) | June 30,
2021 | March 31,
2021 | December 31,
2020 | June 30,
2021 | March 31,
2021 | December 31,
2020 | In millions of dollars, except ratios | Effective Minimum Requirement(1) | September 30,
2021 | June 30,
2021 | December 31,
2020 | September 30,
2021 | June 30,
2021 | December 31,
2020 |
Common Equity Tier 1 Capital(2) | Common Equity Tier 1 Capital(2) | | $ | 150,378 | | $ | 148,944 | | $ | 147,274 | | $ | 150,378 | | $ | 148,944 | | $ | 147,274 | | Common Equity Tier 1 Capital(2) | | $ | 149,631 | | $ | 150,378 | | $ | 147,274 | | $ | 149,631 | | $ | 150,378 | | $ | 147,274 | |
| Tier 1 Capital | Tier 1 Capital | | 169,636 | | 170,484 | | 167,053 | | 169,636 | | 170,484 | | 167,053 | | Tier 1 Capital | | 168,902 | | 169,636 | | 167,053 | | 168,902 | | 169,636 | | 167,053 | |
Total Capital (Tier 1 Capital + Tier 2 Capital)(2) | Total Capital (Tier 1 Capital + Tier 2 Capital)(2) | | 195,972 | | 197,700 | | 195,959 | | 205,531 | | 206,971 | | 204,849 | | Total Capital (Tier 1 Capital + Tier 2 Capital)(2) | | 194,423 | | 195,972 | | 195,959 | | 204,288 | | 205,531 | | 204,849 | |
| Total Risk-Weighted Assets | Total Risk-Weighted Assets | | 1,253,785 | | 1,263,926 | | 1,255,284 | | 1,271,046 | | 1,260,080 | | 1,221,576 | | Total Risk-Weighted Assets | | 1,265,297 | | 1,253,785 | | 1,255,284 | | 1,284,316 | | 1,271,046 | | 1,221,576 | |
Credit Risk(2) | Credit Risk(2) | | $ | 860,231 | | $ | 845,718 | | $ | 844,374 | | $ | 1,175,263 | | $ | 1,143,975 | | $ | 1,109,435 | | Credit Risk(2) | | $ | 871,668 | | $ | 860,231 | | $ | 844,374 | | $ | 1,187,516 | | $ | 1,175,263 | | $ | 1,109,435 | |
| Market Risk | Market Risk | | 91,594 | | 112,592 | | 107,812 | | 95,783 | | 116,105 | | 112,141 | | Market Risk | | 93,376 | | 91,594 | | 107,812 | | 96,800 | | 95,783 | | 112,141 | |
| Operational Risk | Operational Risk | | 301,960 | | 305,616 | | 303,098 | | — | | — | | — | | Operational Risk | | 300,253 | | 301,960 | | 303,098 | | — | | — | | — | |
Common Equity Tier 1 Capital ratio(3) | Common Equity Tier 1 Capital ratio(3) | 10.0 | % | 11.99 | % | 11.78 | % | 11.73 | % | 11.83 | % | 11.82 | % | 12.06 | % | Common Equity Tier 1 Capital ratio(3) | 10.0 | % | 11.83 | % | 11.99 | % | 11.73 | % | 11.65 | % | 11.83 | % | 12.06 | % |
Tier 1 Capital ratio(3) | Tier 1 Capital ratio(3) | 11.5 | | 13.53 | | 13.49 | | 13.31 | | 13.35 | | 13.53 | | 13.68 | | Tier 1 Capital ratio(3) | 11.5 | | 13.35 | | 13.53 | | 13.31 | | 13.15 | | 13.35 | | 13.68 | |
Total Capital ratio(3) | Total Capital ratio(3) | 13.5 | | 15.63 | | 15.64 | | 15.61 | | 16.17 | | 16.43 | | 16.77 | | Total Capital ratio(3) | 13.5 | | 15.37 | | 15.63 | | 15.61 | | 15.91 | | 16.17 | | 16.77 | |
| | In millions of dollars, except ratios | In millions of dollars, except ratios | Effective Minimum Requirement | June 30, 2021 | March 31, 2021 | December 31, 2020 | In millions of dollars, except ratios | Effective Minimum Requirement | September 30, 2021 | June 30, 2021 | December 31, 2020 |
Quarterly Adjusted Average Total Assets(2)(4) | Quarterly Adjusted Average Total Assets(2)(4) | | $ | 2,307,323 | | $ | 2,282,935 | | $ | 2,265,615 | | Quarterly Adjusted Average Total Assets(2)(4) | | $ | 2,311,830 | | $ | 2,307,323 | | $ | 2,265,615 | |
Total Leverage Exposure(2)(5) | Total Leverage Exposure(2)(5) | | 2,903,655 | | 2,450,412 | | 2,386,881 | | Total Leverage Exposure(2)(5) | | 2,911,050 | | 2,903,655 | | 2,386,881 | |
| Tier 1 Leverage ratio | Tier 1 Leverage ratio | 4.0 | % | 7.35 | % | 7.47 | % | 7.37 | % | Tier 1 Leverage ratio | 4.0 | % | 7.31 | % | 7.35 | % | 7.37 | % |
| Supplementary Leverage ratio | Supplementary Leverage ratio | 5.0 | | 5.84 | | 6.96 | | 7.00 | | Supplementary Leverage ratio | 5.0 | | 5.80 | | 5.84 | | 7.00 | |
(1)Citi’s effective minimum risk-based capital requirements include the 2.5% 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). TheThese effective minimum requirements arewere applicable through September 30, 2021. See “Stress Capital Buffer” above for additional information.
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. In addition, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.
(3)Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach as of September 30, 2021 and June 30, 2021, and under the Basel III Advanced Approaches framework as of March 31, 2021 and December 31, 2020, whereas Citi’s reportable Total Capital ratio was derived under the Basel III Advanced Approaches framework for all periods presented.
(4)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(5)Supplementary Leverage ratio denominator. Commencing with the second quarter of 2020 and continuing through the first quarter of 2021, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and deposits at Federal Reserve Banks. The Supplementary Leverage ratio as of the second quarter of 2021 declined approximately 100 basis points as a result of the expiration of the temporary relief. For additional information, see “Capital Resources—Current Regulatory Capital Standards—Temporary Supplementary Leverage Ratio Relief” in Citi’s 2020 Annual Report on Form 10-K.
As indicated in the table above, Citigroup’s risk-based capital ratios at JuneSeptember 30, 2021 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citi was also “well capitalized” under current federal bank regulatory agency definitions as of JuneSeptember 30, 2021.
Components of Citigroup Capital
| | In millions of dollars | In millions of dollars | June 30,
2021 | December 31,
2020 | In millions of dollars | September 30,
2021 | December 31,
2020 |
| Common Equity Tier 1 Capital | Common Equity Tier 1 Capital | | Common Equity Tier 1 Capital | |
Citigroup common stockholders’ equity(1) | Citigroup common stockholders’ equity(1) | $ | 184,289 | | $ | 180,118 | | Citigroup common stockholders’ equity(1) | $ | 183,005 | | $ | 180,118 | |
| Add: Qualifying noncontrolling interests | Add: Qualifying noncontrolling interests | 138 | | 141 | | Add: Qualifying noncontrolling interests | 136 | | 141 | |
| Regulatory capital adjustments and deductions: | Regulatory capital adjustments and deductions: | | Regulatory capital adjustments and deductions: | |
Add: CECL transition and 25% provision deferral(2) | Add: CECL transition and 25% provision deferral(2) | 3,774 | | 5,348 | | Add: CECL transition and 25% provision deferral(2) | 3,389 | | 5,348 | |
| Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax | Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax | 864 | | 1,593 | | Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax | 663 | | 1,593 | |
Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax | Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax | (1,258) | | (1,109) | | Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax | (1,317) | | (1,109) | |
| Less: Intangible assets: | Less: Intangible assets: | | Less: Intangible assets: | |
Goodwill, net of related DTLs(3) | Goodwill, net of related DTLs(3) | 20,999 | | 21,124 | | Goodwill, net of related DTLs(3) | 20,689 | | 21,124 | |
Identifiable intangible assets other than MSRs, net of related DTLs | Identifiable intangible assets other than MSRs, net of related DTLs | 3,986 | | 4,166 | | Identifiable intangible assets other than MSRs, net of related DTLs | 3,899 | | 4,166 | |
| Less: Defined benefit pension plan net assets; other | Less: Defined benefit pension plan net assets; other | 2,040 | | 921 | | Less: Defined benefit pension plan net assets; other | 2,068 | | 921 | |
Less: DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards(4) | Less: DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards(4) | 11,192 | | 11,638 | | Less: DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards(4) | 10,897 | | 11,638 | |
| Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches) | Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches) | $ | 150,378 | | $ | 147,274 | | Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches) | $ | 149,631 | | $ | 147,274 | |
| Additional Tier 1 Capital | Additional Tier 1 Capital | | Additional Tier 1 Capital | |
Qualifying noncumulative perpetual preferred stock(1) | Qualifying noncumulative perpetual preferred stock(1) | $ | 17,870 | | $ | 19,324 | | Qualifying noncumulative perpetual preferred stock(1) | $ | 17,870 | | $ | 19,324 | |
Qualifying trust preferred securities(5) | Qualifying trust preferred securities(5) | 1,397 | | 1,393 | | Qualifying trust preferred securities(5) | 1,398 | | 1,393 | |
| Qualifying noncontrolling interests | Qualifying noncontrolling interests | 35 | | 35 | | Qualifying noncontrolling interests | 34 | | 35 | |
| Regulatory capital deductions: | Regulatory capital deductions: | | Regulatory capital deductions: | |
Less: Permitted ownership interests in covered funds(6) | Less: Permitted ownership interests in covered funds(6) | — | | 917 | | Less: Permitted ownership interests in covered funds(6) | — | | 917 | |
| Less: Other | Less: Other | 44 | | 56 | | Less: Other | 31 | | 56 | |
| Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches) | Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches) | $ | 19,258 | | $ | 19,779 | | Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches) | $ | 19,271 | | $ | 19,779 | |
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital) (Standardized Approach and Advanced Approaches) | Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital) (Standardized Approach and Advanced Approaches) | $ | 169,636 | | $ | 167,053 | | Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital) (Standardized Approach and Advanced Approaches) | $ | 168,902 | | $ | 167,053 | |
| Tier 2 Capital | Tier 2 Capital | | Tier 2 Capital | |
| Qualifying subordinated debt | Qualifying subordinated debt | $ | 21,209 | | $ | 23,481 | | Qualifying subordinated debt | $ | 20,456 | | $ | 23,481 | |
Qualifying trust preferred securities(7) | Qualifying trust preferred securities(7) | 248 | | 331 | | Qualifying trust preferred securities(7) | 248 | | 331 | |
| Qualifying noncontrolling interests | Qualifying noncontrolling interests | 40 | | 41 | | Qualifying noncontrolling interests | 40 | | 41 | |
Eligible allowance for credit losses(2)(8) | Eligible allowance for credit losses(2)(8) | 14,725 | | 13,974 | | Eligible allowance for credit losses(2)(8) | 14,860 | | 13,974 | |
| Regulatory capital deduction: | Regulatory capital deduction: | | Regulatory capital deduction: | |
| Less: Other | Less: Other | 327 | | 31 | | Less: Other | 218 | | 31 | |
| Total Tier 2 Capital (Standardized Approach) | Total Tier 2 Capital (Standardized Approach) | $ | 35,895 | | $ | 37,796 | | Total Tier 2 Capital (Standardized Approach) | $ | 35,386 | | $ | 37,796 | |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach) | Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach) | $ | 205,531 | | $ | 204,849 | | Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach) | $ | 204,288 | | $ | 204,849 | |
Adjustment for excess of eligible credit reserves over expected credit losses(2)(8) | Adjustment for excess of eligible credit reserves over expected credit losses(2)(8) | $ | (9,559) | | $ | (8,890) | | Adjustment for excess of eligible credit reserves over expected credit losses(2)(8) | $ | (9,865) | | $ | (8,890) | |
| Total Tier 2 Capital (Advanced Approaches) | Total Tier 2 Capital (Advanced Approaches) | $ | 26,336 | | $ | 28,906 | | Total Tier 2 Capital (Advanced Approaches) | $ | 25,521 | | $ | 28,906 | |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches) | Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches) | $ | 195,972 | | $ | 195,959 | | Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches) | $ | 194,423 | | $ | 195,959 | |
(1)Issuance costs of $125 million and $156 million related to outstanding noncumulative perpetual preferred stock as of JuneSeptember 30, 2021 and December 31, 2020, respectively, are excluded from common stockholders’ equity and are netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax) and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date.
(3)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
Footnotes continue on the following page.
(4)Of Citi’s $24.5 billion of net DTAs at JuneSeptember 30, 2021, $15.1$15.3 billion was includableincluded in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $9.4$9.2 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of JuneSeptember 30, 2021 was $11.2$10.9 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards. The amount excluded was reduced by $1.8$1.7 billion of net DTLs primarily associated with goodwill and certain other intangible assets that are separately deducted from capital. DTAs arising from tax carry-forwards are required to be entirely deducted from Common Equity Tier 1 Capital under the U.S. Basel III rules. DTAs arising from temporary differences are required to be deducted from capital only if these DTAs exceed 10%/15% limitations under the U.S. Basel III rules. Citi’s DTAs do not currently exceed these limitations and, therefore, are not subject to deduction from Common Equity Tier 1 Capital, but are subject to risk weighting at 250%.
(5)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(6)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Commencing January 1, 2021, Citi no longer deducts permitted market making positions in third-party covered funds from Tier 1 Capital, in accordance with the revised Volcker Rule 2.0 issued by the U.S. agencies in November 2019. Upon the removal of the capital deduction, permitted market making positions in third-party covered funds are included in risk-weighted assets.
(7)Represents the amount of non-grandfathered trust preferred securities eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will be fully phased out of Tier 2 Capital by January 1, 2022.
(8)Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $5.2$5.0 billion and $5.1 billion at JuneSeptember 30, 2021 and December 31, 2020, respectively.
Citigroup Capital Rollforward
| | In millions of dollars | In millions of dollars | Three Months Ended
June 30, 2021 | Six Months Ended
June 30, 2021 | In millions of dollars | Three Months Ended
September 30, 2021 | Nine Months Ended
September 30, 2021 |
| Common Equity Tier 1 Capital, beginning of period | Common Equity Tier 1 Capital, beginning of period | $ | 148,944 | | $ | 147,274 | | Common Equity Tier 1 Capital, beginning of period | $ | 150,378 | | $ | 147,274 | |
| Net income | Net income | 6,193 | | 14,135 | | Net income | 4,644 | | 18,779 | |
| Common and preferred dividends declared | Common and preferred dividends declared | (1,315) | | (2,681) | | Common and preferred dividends declared | (1,306) | | (3,987) | |
| Net increase in treasury stock | Net increase in treasury stock | (2,992) | | (4,124) | | Net increase in treasury stock | (2,993) | | (7,117) | |
| Net change in common stock and additional paid-in capital | 118 | | (57) | | |
| Net increase in common stock and additional paid-in capital | | Net increase in common stock and additional paid-in capital | 102 | | 45 | |
| Net change in foreign currency translation adjustment net of hedges, net of tax | Net change in foreign currency translation adjustment net of hedges, net of tax | 523 | | (751) | | Net change in foreign currency translation adjustment net of hedges, net of tax | (1,312) | | (2,063) | |
| Net change in unrealized gains (losses) on debt securities AFS, net of tax | Net change in unrealized gains (losses) on debt securities AFS, net of tax | (474) | | (2,259) | | Net change in unrealized gains (losses) on debt securities AFS, net of tax | (279) | | (2,538) | |
| Net decrease in defined benefit plans liability adjustment, net of tax | Net decrease in defined benefit plans liability adjustment, net of tax | 87 | | 801 | | Net decrease in defined benefit plans liability adjustment, net of tax | 135 | | 936 | |
| Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax | Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax | 24 | | 45 | | Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax | (23) | | 22 | |
| Net increase in excluded component of fair value hedges | (10) | | (20) | | |
| Net change in goodwill, net of related DTLs | (145) | | 125 | | |
| Net change in excluded component of fair value hedges | | Net change in excluded component of fair value hedges | 8 | | (12) | |
| Net decrease in goodwill, net of related DTLs | | Net decrease in goodwill, net of related DTLs | 310 | | 435 | |
| Net decrease in identifiable intangible assets other than MSRs, net of related DTLs | Net decrease in identifiable intangible assets other than MSRs, net of related DTLs | 68 | | 180 | | Net decrease in identifiable intangible assets other than MSRs, net of related DTLs | 87 | | 267 | |
| Net increase in defined benefit pension plan net assets | Net increase in defined benefit pension plan net assets | (166) | | (730) | | Net increase in defined benefit pension plan net assets | (73) | | (803) | |
| Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards | Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards | 499 | | 446 | | Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards | 295 | | 741 | |
| Net decrease in CECL 25% provision deferral | Net decrease in CECL 25% provision deferral | (585) | | (1,574) | | Net decrease in CECL 25% provision deferral | (385) | | (1,959) | |
| Other | Other | (391) | | (432) | | Other | 43 | | (389) | |
| Net increase in Common Equity Tier 1 Capital | $ | 1,434 | | $ | 3,104 | | |
| Net change in Common Equity Tier 1 Capital | | Net change in Common Equity Tier 1 Capital | $ | (747) | | $ | 2,357 | |
Common Equity Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | Common Equity Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 150,378 | | $ | 150,378 | | Common Equity Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 149,631 | | $ | 149,631 | |
| Additional Tier 1 Capital, beginning of period | Additional Tier 1 Capital, beginning of period | $ | 21,540 | | $ | 19,779 | | Additional Tier 1 Capital, beginning of period | $ | 19,258 | | $ | 19,779 | |
| Net decrease in qualifying perpetual preferred stock | Net decrease in qualifying perpetual preferred stock | (2,277) | | (1,454) | | Net decrease in qualifying perpetual preferred stock | — | | (1,454) | |
| Net increase in qualifying trust preferred securities | Net increase in qualifying trust preferred securities | 2 | | 4 | | Net increase in qualifying trust preferred securities | 1 | | 5 | |
| Net decrease in permitted ownership interests in covered funds | Net decrease in permitted ownership interests in covered funds | — | | 917 | | Net decrease in permitted ownership interests in covered funds | — | | 917 | |
| Other | Other | (7) | | 12 | | Other | 12 | | 24 | |
| Net decrease in Additional Tier 1 Capital | $ | (2,282) | | $ | (521) | | |
| Net change in Additional Tier 1 Capital | | Net change in Additional Tier 1 Capital | $ | 13 | | $ | (508) | |
Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 169,636 | | $ | 169,636 | | Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 168,902 | | $ | 168,902 | |
| Tier 2 Capital, beginning of period (Standardized Approach) | Tier 2 Capital, beginning of period (Standardized Approach) | $ | 36,487 | | $ | 37,796 | | Tier 2 Capital, beginning of period (Standardized Approach) | $ | 35,895 | | $ | 37,796 | |
| Net decrease in qualifying subordinated debt | Net decrease in qualifying subordinated debt | (681) | | (2,272) | | Net decrease in qualifying subordinated debt | (753) | | (3,025) | |
| Net increase in eligible allowance for credit losses | Net increase in eligible allowance for credit losses | 373 | | 751 | | Net increase in eligible allowance for credit losses | 135 | | 886 | |
| Other | Other | (284) | | (380) | | Other | 109 | | (271) | |
| Net decrease in Tier 2 Capital (Standardized Approach) | Net decrease in Tier 2 Capital (Standardized Approach) | $ | (592) | | $ | (1,901) | | Net decrease in Tier 2 Capital (Standardized Approach) | $ | (509) | | $ | (2,410) | |
| Tier 2 Capital, end of period (Standardized Approach) | Tier 2 Capital, end of period (Standardized Approach) | $ | 35,895 | | $ | 35,895 | | Tier 2 Capital, end of period (Standardized Approach) | $ | 35,386 | | $ | 35,386 | |
| Total Capital, end of period (Standardized Approach) | Total Capital, end of period (Standardized Approach) | $ | 205,531 | | $ | 205,531 | | Total Capital, end of period (Standardized Approach) | $ | 204,288 | | $ | 204,288 | |
| Tier 2 Capital, beginning of period (Advanced Approaches) | Tier 2 Capital, beginning of period (Advanced Approaches) | $ | 27,216 | | $ | 28,906 | | Tier 2 Capital, beginning of period (Advanced Approaches) | $ | 26,336 | | $ | 28,906 | |
| Net decrease in qualifying subordinated debt | Net decrease in qualifying subordinated debt | (681) | | (2,272) | | Net decrease in qualifying subordinated debt | (753) | | (3,025) | |
| Net increase in excess of eligible credit reserves over expected credit losses | 85 | | 82 | | |
| Net decrease in excess of eligible credit reserves over expected credit losses | | Net decrease in excess of eligible credit reserves over expected credit losses | (171) | | (89) | |
| Other | Other | (284) | | (380) | | Other | 109 | | (271) | |
| Net decrease in Tier 2 Capital (Advanced Approaches) | Net decrease in Tier 2 Capital (Advanced Approaches) | $ | (880) | | $ | (2,570) | | Net decrease in Tier 2 Capital (Advanced Approaches) | $ | (815) | | $ | (3,385) | |
| Tier 2 Capital, end of period (Advanced Approaches) | Tier 2 Capital, end of period (Advanced Approaches) | $ | 26,336 | | $ | 26,336 | | Tier 2 Capital, end of period (Advanced Approaches) | $ | 25,521 | | $ | 25,521 | |
| Total Capital, end of period (Advanced Approaches) | Total Capital, end of period (Advanced Approaches) | $ | 195,972 | | $ | 195,972 | | Total Capital, end of period (Advanced Approaches) | $ | 194,423 | | $ | 194,423 | |
Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach)
| | In millions of dollars | In millions of dollars | Three Months Ended
June 30, 2021 | Six Months Ended June 30, 2021 | In millions of dollars | Three Months Ended
September 30, 2021 | Nine Months Ended September 30, 2021 |
| Total Risk-Weighted Assets, beginning of period | Total Risk-Weighted Assets, beginning of period | $ | 1,260,080 | | $ | 1,221,576 | | Total Risk-Weighted Assets, beginning of period | $ | 1,271,046 | | $ | 1,221,576 | |
| Changes in Credit Risk-Weighted Assets | Changes in Credit Risk-Weighted Assets | | Changes in Credit Risk-Weighted Assets | |
General credit risk exposures(1) | General credit risk exposures(1) | 17,049 | | 4,109 | | General credit risk exposures(1) | (3,460) | | 648 | |
Repo-style transactions(2) | Repo-style transactions(2) | 2,129 | | 5,167 | | Repo-style transactions(2) | 4,283 | | 9,450 | |
Securitization exposures(3) | Securitization exposures(3) | 4,299 | | 7,945 | | Securitization exposures(3) | (1,357) | | 6,588 | |
Equity exposures(4) | Equity exposures(4) | 2,281 | | 1,702 | | Equity exposures(4) | (996) | | 706 | |
Over-the-counter (OTC) derivatives(5)(4) | Over-the-counter (OTC) derivatives(5)(4) | 2,866 | | 22,494 | | Over-the-counter (OTC) derivatives(5)(4) | 9,431 | | 31,924 | |
Other exposures(6)(5) | Other exposures(6)(5) | 3,093 | | 14,400 | | Other exposures(6)(5) | 8,031 | | 22,433 | |
Off-balance sheet exposures(7)(6) | Off-balance sheet exposures(7)(6) | (429) | | 10,011 | | Off-balance sheet exposures(7)(6) | (3,679) | | 6,332 | |
| Net change in Credit Risk-Weighted Assets | Net change in Credit Risk-Weighted Assets | $ | 31,288 | | $ | 65,828 | | Net change in Credit Risk-Weighted Assets | $ | 12,253 | | $ | 78,081 | |
| Changes in Market Risk-Weighted Assets | Changes in Market Risk-Weighted Assets | | Changes in Market Risk-Weighted Assets | |
| Risk levels | Risk levels | $ | (20,362) | | $ | (16,956) | | Risk levels | $ | (434) | | $ | (17,390) | |
| Model and methodology updates | Model and methodology updates | 40 | | 598 | | Model and methodology updates | 1,451 | | 2,049 | |
Net change in Market Risk-Weighted Assets(8)(7) | Net change in Market Risk-Weighted Assets(8)(7) | $ | (20,322) | | $ | (16,358) | | Net change in Market Risk-Weighted Assets(8)(7) | $ | 1,017 | | $ | (15,341) | |
| Total Risk-Weighted Assets, end of period | Total Risk-Weighted Assets, end of period | $ | 1,271,046 | | $ | 1,271,046 | | Total Risk-Weighted Assets, end of period | $ | 1,284,316 | | $ | 1,284,316 | |
(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increaseddecreased during the three months ended JuneSeptember 30, 2021, primarily due to a decrease in commercial loan growth and qualifying revolving (cards) exposure from consumer spending.loans.
(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions increased during the three and sixnine months ended JuneSeptember 30, 2021, primarily due to volume- and exposure-driven increases.
(3)Securitization exposures increased during the three and sixnine months ended JuneSeptember 30, 2021, primarily due to increases in new deals.
(4)Equity exposures increased during the three and six months ended June 30, 2021, primarily due to an increase in market value of investments.
(5)OTC derivatives increased during the three months ended JuneSeptember 30, 2021, mainly due to an increase in notionalsmark-to-market for bilateral derivatives. OTC derivatives increased during the sixnine months ended JuneSeptember 30, 2021, mainly due to changes in risk parameters and an increaseincreases in mark-to-market and notionals for bilateral derivatives.
(6)(5)Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures increased during the three and sixnine months ended JuneSeptember 30, 2021, primarily due to increases in various other assets.
(7)(6)Off-balance sheet exposures decreased during the three months ended September 30, 2021, primarily due to a decline in wholesale loan commitments. Off-balance sheet exposures increased during the three and sixnine months ended JuneSeptember 30, 2021, primarilymainly due to an increase in wholesale loan commitments.
(8)(7)Market risk-weighted assets decreased during the three and sixnine months ended JuneSeptember 30, 2021, primarily due to exposure changes.
Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
| | In millions of dollars | In millions of dollars | Three Months Ended
June 30, 2021 | Six Months Ended June 30, 2021 | In millions of dollars | Three Months Ended
September 30, 2021 | Nine Months Ended September 30, 2021 |
| Total Risk-Weighted Assets, beginning of period | Total Risk-Weighted Assets, beginning of period | $ | 1,263,926 | | $ | 1,255,284 | | Total Risk-Weighted Assets, beginning of period | $ | 1,253,785 | | $ | 1,255,284 | |
| Changes in Credit Risk-Weighted Assets | Changes in Credit Risk-Weighted Assets | | Changes in Credit Risk-Weighted Assets | |
Retail exposures(1) | Retail exposures(1) | (5,436) | | (16,191) | | Retail exposures(1) | 1,808 | | (14,383) | |
Wholesale exposures(2) | Wholesale exposures(2) | 361 | | 9,781 | | Wholesale exposures(2) | (6,854) | | 2,927 | |
Repo-style transactions | Repo-style transactions | 741 | | (2,045) | | Repo-style transactions | 2,884 | | 839 | |
Securitization exposures(3)(4) | Securitization exposures(3)(4) | 4,082 | | 7,811 | | Securitization exposures(3)(4) | (927) | | 6,884 | |
Equity exposures(4) | Equity exposures(4) | 2,081 | | 1,495 | | Equity exposures(4) | (1,036) | | 459 | |
Over-the-counter (OTC) derivatives(5) | Over-the-counter (OTC) derivatives(5) | 1,732 | | 9,556 | | Over-the-counter (OTC) derivatives(5) | 6,059 | | 15,615 | |
Derivatives CVA(6) | Derivatives CVA(6) | 7,663 | | (115) | | Derivatives CVA(6) | 5,245 | | 5,130 | |
Other exposures(7) | Other exposures(7) | 2,925 | | 4,791 | | Other exposures(7) | 3,947 | | 8,737 | |
| Supervisory 6% multiplier | Supervisory 6% multiplier | 364 | | 774 | | Supervisory 6% multiplier | 311 | | 1,086 | |
| Net change in Credit Risk-Weighted Assets | Net change in Credit Risk-Weighted Assets | $ | 14,513 | | $ | 15,857 | | Net change in Credit Risk-Weighted Assets | $ | 11,437 | | $ | 27,294 | |
| Changes in Market Risk-Weighted Assets | Changes in Market Risk-Weighted Assets | | Changes in Market Risk-Weighted Assets | |
| Risk levels | Risk levels | $ | (21,038) | | $ | (16,816) | | Risk levels | $ | 330 | | $ | (16,485) | |
| Model and methodology updates | Model and methodology updates | 40 | | 598 | | Model and methodology updates | 1,452 | | 2,049 | |
Net change in Market Risk-Weighted Assets(8) | Net change in Market Risk-Weighted Assets(8) | $ | (20,998) | | $ | (16,218) | | Net change in Market Risk-Weighted Assets(8) | $ | 1,782 | | $ | (14,436) | |
Net change in Operational Risk-Weighted Assets(9) | Net change in Operational Risk-Weighted Assets(9) | $ | (3,656) | | $ | (1,138) | | Net change in Operational Risk-Weighted Assets(9) | $ | (1,707) | | $ | (2,845) | |
| Total Risk-Weighted Assets, end of period | Total Risk-Weighted Assets, end of period | $ | 1,253,785 | | $ | 1,253,785 | | Total Risk-Weighted Assets, end of period | $ | 1,265,297 | | $ | 1,265,297 | |
(1)Retail exposures decreased during the threenine months ended June 30, 2021, primarily driven by a reduction in delinquencies and improved credit quality of qualifying revolving (cards) exposure. Retail exposures decreased during the six months ended JuneSeptember 30, 2021, primarily driven by seasonal holiday spending repayments and improving delinquency and credit quality on qualifying revolving (cards) exposures.
(2)Wholesale exposures decreased during the three months ended September 30, 2021, mainly due to decreases in commercial loans and wholesale loan commitments. Wholesale exposures increased during the sixnine months ended JuneSeptember 30, 2021, primarily due to commercial loan growth and an increase in wholesale loan commitments.
(3)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions increased during the three months ended September 30, 2021, primarily due to changes in risk parameters.
(4)Securitization exposures increased during the three and sixnine months ended JuneSeptember 30, 2021, primarily due to increases in new deals.
(4)Equity exposures increased during the three and six months ended June 30, 2021, primarily due to an increase in market value of investments
(5)OTC derivatives increased during the sixthree months ended JuneSeptember 30, 2021, mainly driven by an increase in mark-to-market for bilateral derivatives. OTC derivatives increased during the nine months ended September 30, 2021, primarily due to changes in risk parameters partially offset by a decreaseand an increase in exposure.mark-to-market for bilateral derivatives.
(6)Derivatives CVA increased during the three and nine months ended JuneSeptember 30, 2021, primarily driven by volatility change and exposure increase.an increase in mark-to-market for bilateral derivatives.
(7)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures increased during the three and sixnine months ended JuneSeptember 30, 2021, primarily due to increases in various other assets.
(8)Market risk-weighted assets decreased during the three and sixnine months ended JuneSeptember 30, 2021, primarily due to exposure changes.
(9)Operational risk-weighted assets decreased during the three and sixnine months ended JuneSeptember 30, 2021, mainly driven by changes in operational loss frequency.
Supplementary Leverage Ratio
The following table sets forth Citi’s Supplementary Leverage ratio and related components:
| | In millions of dollars, except ratios | In millions of dollars, except ratios | June 30, 2021 | March 31, 2021 | December 31, 2020 | In millions of dollars, except ratios | September 30, 2021 | June 30, 2021 | December 31, 2020 |
| Tier 1 Capital | Tier 1 Capital | $ | 169,636 | | $ | 170,484 | | $ | 167,053 | | Tier 1 Capital | $ | 168,902 | | $ | 169,636 | | $ | 167,053 | |
| Total Leverage Exposure | Total Leverage Exposure | | Total Leverage Exposure | |
On-balance sheet assets(1)(2)(3) | On-balance sheet assets(1)(2)(3) | $ | 2,345,584 | | $ | 1,906,422 | | $ | 1,864,374 | | On-balance sheet assets(1)(2)(3) | $ | 2,349,414 | | $ | 2,345,584 | | $ | 1,864,374 | |
Certain off-balance sheet exposures:(4) | Certain off-balance sheet exposures:(4) | | Certain off-balance sheet exposures:(4) | |
| Potential future exposure on derivative contracts | Potential future exposure on derivative contracts | 216,555 | | 201,735 | | 183,604 | | Potential future exposure on derivative contracts | 222,157 | | 216,555 | | 183,604 | |
Effective notional of sold credit derivatives, net(5) | Effective notional of sold credit derivatives, net(5) | 25,590 | | 27,164 | | 32,640 | | Effective notional of sold credit derivatives, net(5) | 21,987 | | 25,590 | | 32,640 | |
Counterparty credit risk for repo-style transactions(6) | Counterparty credit risk for repo-style transactions(6) | 21,375 | | 21,805 | | 20,168 | | Counterparty credit risk for repo-style transactions(6) | 21,174 | | 21,375 | | 20,168 | |
| Unconditionally cancellable commitments | Unconditionally cancellable commitments | 70,931 | | 71,293 | | 71,163 | | Unconditionally cancellable commitments | 70,541 | | 70,931 | | 71,163 | |
Other off-balance sheet exposures(7) | Other off-balance sheet exposures(7) | 261,881 | | 260,112 | | 253,754 | | Other off-balance sheet exposures(7) | 263,361 | | 261,881 | | 253,754 | |
| Total of certain off-balance sheet exposures | Total of certain off-balance sheet exposures | $ | 596,332 | | $ | 582,109 | | $ | 561,329 | | Total of certain off-balance sheet exposures | $ | 599,220 | | $ | 596,332 | | $ | 561,329 | |
| Less: Tier 1 Capital deductions | Less: Tier 1 Capital deductions | 38,261 | | 38,119 | | 38,822 | | Less: Tier 1 Capital deductions | 37,584 | | 38,261 | | 38,822 | |
Total Leverage Exposure(3) | Total Leverage Exposure(3) | $ | 2,903,655 | | $ | 2,450,412 | | $ | 2,386,881 | | Total Leverage Exposure(3) | $ | 2,911,050 | | $ | 2,903,655 | | $ | 2,386,881 | |
| Supplementary Leverage ratio | Supplementary Leverage ratio | 5.84 | % | 6.96 | % | 7.00 | % | Supplementary Leverage ratio | 5.80 | % | 5.84 | % | 7.00 | % |
(1)Represents the daily average of on-balance sheet assets for the quarter.
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in DTAs arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in Total Leverage Exposure.
(3)Commencing with the second quarter of 2020 and continuing through the first quarter of 2021, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and deposits at Federal Reserve Banks. For additional information, see “Capital Resources—Current Regulatory Capital Standards—Temporary Supplementary Leverage Ratio Relief” in Citi’s 2020 Annual Report on Form 10-K.
(4)Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(5)Under the U.S. Basel III rules, banking organizations are required to include in Total Leverage Exposure the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.
(6)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
(7)Other off-balance sheet exposures include unfunded commitments other than those that are unconditionally cancellable.
As set forth in the table above, Citigroup’s Supplementary Leverage ratioRatio was approximately 5.8% at September 30, 2021 and June 30, 2021, compared to approximately 7.0% at March 31, 2021 and December 31, 2020. The ratio decreasedremained largely unchanged from the firstsecond quarter of 2021 and2021.
The ratio decreased from the fourth quarter of 2020, primarily attributable to an approximate 100 basis point impact from the expiration of the Federal Reserve Board’s temporary Supplementary Leverage ratio relief. For additional information, see “Capital Resources—Current Regulatory Capital Standards—Temporary Supplementary Leverage Ratio Relief” in Citi’s 2020 Annual Report on Form 10-K.
Capital Resources of Citigroup’s Subsidiary U.S. Depository Institutions
Citigroup’s subsidiary U.S. depository institutions are also subject to regulatory capital standards issued by their respective primary bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.
The following tables set forth the capital components 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) | June 30, 2021 | March 31, 2021 | December 31, 2020 | June 30, 2021 | March 31, 2021 | December 31, 2020 |
Common Equity Tier 1 Capital(2) | | $ | 146,729 | | $ | 146,359 | | $ | 142,854 | | $ | 146,729 | | $ | 146,359 | | $ | 142,854 | |
| Tier 1 Capital | | 148,858 | | 148,487 | | 144,962 | | 148,858 | | 148,487 | | 144,962 | |
Total Capital (Tier 1 Capital + Tier 2 Capital)(2)(3) | | 165,462 | | 164,921 | | 161,319 | | 173,964 | | 173,212 | | 169,303 | |
Total Risk-Weighted Assets(4) | | 1,060,121 | | 1,043,858 | | 1,021,479 | | 1,093,887 | | 1,069,933 | | 1,038,031 | |
Credit Risk(2) | | $ | 759,744 | | $ | 731,159 | | $ | 716,513 | | $ | 1,043,517 | | $ | 1,011,308 | | $ | 977,366 | |
| Market Risk | | 48,799 | | 57,808 | | 59,815 | | 50,370 | | 58,625 | | 60,665 | |
| Operational Risk | | 251,578 | | 254,891 | | 245,151 | | — | | — | | — | |
Common Equity Tier 1 Capital ratio(4)(5) | 7.0 | % | 13.84 | % | 14.02 | % | 13.99 | % | 13.41 | % | 13.68 | % | 13.76 | % |
Tier 1 Capital ratio(4)(5) | 8.5 | | 14.04 | | 14.22 | | 14.19 | | 13.61 | | 13.88 | | 13.97 | |
Total Capital ratio(4)(5) | 10.5 | | 15.61 | | 15.80 | | 15.79 | | 15.90 | | 16.19 | | 16.31 | |
| | | | | | | | | | | | | | |
| In millions of dollars, except ratios | Effective Minimum Requirement | June 30, 2021 | March 31, 2021 | December 31, 2020 |
Quarterly Adjusted Average Total Assets(2)(6) | | $ | 1,680,681 | | $ | 1,665,791 | | $ | 1,680,026 | |
Total Leverage Exposure(2)(7) | | 2,199,985 | | 2,182,668 | | 2,180,821 | |
Tier 1 Leverage ratio(5) | 5.0 | % | 8.86 | % | 8.91 | % | 8.63 | % |
Supplementary Leverage ratio(5) | 6.0 | | 6.77 | | 6.80 | | 6.65 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | Advanced Approaches | Standardized Approach |
| In millions of dollars, except ratios | Effective Minimum Requirement(1) | September 30, 2021 | June 30, 2021 | December 31, 2020 | September 30, 2021 | June 30, 2021 | December 31, 2020 |
Common Equity Tier 1 Capital(2) | | $ | 147,459 | | $ | 146,729 | | $ | 142,854 | | $ | 147,459 | | $ | 146,729 | | $ | 142,854 | |
| Tier 1 Capital | | 149,588 | | 148,858 | | 144,962 | | 149,588 | | 148,858 | | 144,962 | |
Total Capital (Tier 1 Capital + Tier 2 Capital)(2)(3) | | 166,169 | | 165,462 | | 161,319 | | 174,652 | | 173,964 | | 169,303 | |
Total Risk-Weighted Assets(4) | | 1,062,794 | | 1,060,121 | | 1,021,479 | | 1,099,462 | | 1,093,887 | | 1,038,031 | |
Credit Risk(2) | | $ | 756,647 | | $ | 759,744 | | $ | 716,513 | | $ | 1,041,022 | | $ | 1,043,517 | | $ | 977,366 | |
| Market Risk | | 55,566 | | 48,799 | | 59,815 | | 58,440 | | 50,370 | | 60,665 | |
| Operational Risk | | 250,581 | | 251,578 | | 245,151 | | — | | — | | — | |
Common Equity Tier 1 Capital ratio(4)(5) | 7.0 | % | 13.87 | % | 13.84 | % | 13.99 | % | 13.41 | % | 13.41 | % | 13.76 | % |
Tier 1 Capital ratio(4)(5) | 8.5 | | 14.08 | | 14.04 | | 14.19 | | 13.61 | | 13.61 | | 13.97 | |
Total Capital ratio(4)(5) | 10.5 | | 15.64 | | 15.61 | | 15.79 | | 15.89 | | 15.90 | | 16.31 | |
| | | | | | | | | | | | | | |
| In millions of dollars, except ratios | Effective Minimum Requirement | September 30, 2021 | June 30, 2021 | December 31, 2020 |
Quarterly Adjusted Average Total Assets(2)(6) | | $ | 1,682,993 | | $ | 1,680,681 | | $ | 1,680,026 | |
Total Leverage Exposure(2)(7) | | 2,205,471 | | 2,199,985 | | 2,180,821 | |
Tier 1 Leverage ratio(5) | 5.0 | % | 8.89 | % | 8.86 | % | 8.63 | % |
Supplementary Leverage ratio(5) | 6.0 | | 6.78 | | 6.77 | | 6.65 | |
(1)Citibank’s effective minimum risk-based capital requirements are inclusive of the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).
(2)Citibank has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citibank is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. In addition, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.
(3)Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the ACL is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess ACL being deducted in arriving at credit risk-weighted assets.
(4)Citibank’s reportable Total Capital ratio was derived under the Basel III Advanced Approaches framework, whereas Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach for all periods presented.
(5)Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. Citibank must also maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.”
(6)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(7)Supplementary Leverage ratio denominator. Citibank did not elect to temporarily exclude U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure. For additional information, see “Capital Resources—Current Regulatory Capital Standards—Temporary Supplementary Leverage Ratio Relief” in Citi’s 2020 Annual Report on Form 10-K.
As indicated in the table above, Citibank’s capital ratios at JuneSeptember 30, 2021 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citibank was also “well capitalized” as of JuneSeptember 30, 2021.
Impact of Changes on Citigroup and Citibank Capital Ratios
The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to changes of $100 million in Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in
Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of JuneSeptember 30, 2021. This information is provided for the purpose of analyzing the impact that a change in Citigroup’s or Citibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to 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 | 1.0 | 0.8 | 1.1 | 0.8 | 1.2 | Advanced Approaches | 0.8 | 0.9 | 0.8 | 1.1 | 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 | 0.9 | 1.3 | 0.9 | 1.3 | 0.9 | 1.5 | Advanced Approaches | 0.9 | 1.3 | 0.9 | 1.3 | 0.9 | 1.5 |
| Standardized Approach | Standardized Approach | 0.9 | 1.2 | 0.9 | 1.2 | 0.9 | 1.5 | Standardized Approach | 0.9 | 1.2 | 0.9 | 1.2 | 0.9 | 1.4 |
| | | | | | | | | | | | | | |
| Tier 1 Leverage ratio | Supplementary Leverage ratio |
| In basis points | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in quarterly adjusted average total assets | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in Total Leverage Exposure |
| Citigroup | 0.4 | 0.3 | 0.3 | 0.2 |
| Citibank | 0.6 | 0.5 | 0.5 | 0.3 |
Citigroup Broker-Dealer Subsidiaries
At JuneSeptember 30, 2021, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of $12.7$13 billion, which exceeded the minimum requirement by $9.0$9 billion.
Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total regulatory capital of $28.0$28 billion at JuneSeptember 30, 2021, which exceeded the PRA’s minimum regulatory capital requirements.
In addition, certain of Citi’s other broker-dealer subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other principal broker-dealer subsidiaries were in compliance with their regulatory capital requirements at JuneSeptember 30, 2021.
Total Loss-Absorbing Capacity (TLAC)
The table below details Citi’s eligible external TLAC and long-term debt (LTD) amounts and ratios, and each effective minimum TLAC and LTD ratio requirement, as well as the surplus amount in dollars in excess of each requirement.
As of JuneSeptember 30, 2021, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $16$12 billion surplus above its binding TLAC requirement of LTD as a percentage of Total Leverage Exposure.
| | | | | | | | |
| June 30, 2021 |
| In billions of dollars, except ratios | External TLAC | LTD |
| Total eligible amount | $ | 320 | | $ | 146 | |
% of Standardized Approach risk-
weighted assets | 25.2 | % | 11.5 | % |
Effective minimum requirement(1)(2) | 22.5 | | 9.0 | |
| Surplus amount | $ | 34 | | $ | 32 | |
| % of Total Leverage Exposure | 11.0 | % | 5.0 | % |
| Effective minimum requirement | 9.5 | | 4.5 | |
| Surplus amount | $ | 44 | | $ | 16 | |
| | | | | | | | |
| September 30, 2021 |
| In billions of dollars, except ratios | External TLAC | LTD |
| Total eligible amount | $ | 318 | | $ | 143 | |
% of Standardized Approach risk-
weighted assets | 24.8 | % | 11.1 | % |
Effective minimum requirement(1)(2) | 22.5 | | 9.0 | |
| Surplus amount | $ | 29 | | $ | 27 | |
| % of Total Leverage Exposure | 10.9 | % | 4.9 | % |
| Effective minimum requirement | 9.5 | | 4.5 | |
| Surplus amount | $ | 41 | | $ | 12 | |
(1) External TLAC includes Method 1 GSIB surcharge of 2.0%.
(2) LTD includes Method 2 GSIB surcharge of 3.0%.
For additional information on Citi’s TLAC-related requirements, see “Capital Resources—Total Loss-Absorbing Capacity (TLAC)” and “Risk Factors—Compliance Risks” in Citi’s 2020 Annual Report on Form 10-K.
Capital Resources (Full Adoption of CECL)(1)
The following tables set forth Citigroup’s and Citibank’s capital components and ratios reflecting the full impact of CECL as of JuneSeptember 30, 2021:
| | | Citigroup | Citibank | | Citigroup | Citibank |
| | Effective Minimum Requirement(1) | Advanced Approaches | Standardized Approach | Effective Minimum Requirement | Advanced Approaches | Standardized Approach | | Effective Minimum Requirement(2) | Advanced Approaches | Standardized Approach | Effective Minimum Requirement | Advanced Approaches | Standardized Approach |
| Common Equity Tier 1 Capital ratio | Common Equity Tier 1 Capital ratio | 10.0 | % | 11.69 | % | 11.53 | % | 7.0 | % | 13.53 | % | 13.11 | % | Common Equity Tier 1 Capital ratio | 10.0 | % | 11.55 | % | 11.38 | % | 7.0 | % | 13.59 | % | 13.14 | % |
| Tier 1 Capital ratio | Tier 1 Capital ratio | 11.5 | | 13.23 | | 13.05 | | 8.5 | | 13.73 | | 13.31 | | Tier 1 Capital ratio | 11.5 | | 13.07 | | 12.88 | | 8.5 | | 13.79 | | 13.33 | |
| Total Capital ratio | Total Capital ratio | 13.5 | | 15.34 | | 15.89 | | 10.5 | | 15.30 | | 15.61 | | Total Capital ratio | 13.5 | | 15.11 | | 15.65 | | 10.5 | | 15.35 | | 15.62 | |
| | | Effective Minimum Requirement | Citigroup | Effective Minimum Requirement | Citibank | | Effective Minimum Requirement | Citigroup | Effective Minimum Requirement | Citibank |
| Tier 1 Leverage ratio | Tier 1 Leverage ratio | 4.0 | % | 7.19 | % | 5.0 | % | 8.66 | % | Tier 1 Leverage ratio | 4.0 | % | 7.15 | % | 5.0 | % | 8.71 | % |
| Supplementary Leverage ratio | Supplementary Leverage ratio | 5.0 | | 5.71 | | 6.0 | | 6.61 | | Supplementary Leverage ratio | 5.0 | | 5.68 | | 6.0 | | 6.64 | |
(1)See footnote 2 on the “Components of Citigroup Capital” table above.
(2)The effective minimum requirements arewere applicable through September 30, 2021. See “Stress Capital Buffer” above for additional information.
Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and 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)). Tangible book value per share, as defined by Citi, represents TCE divided by common shares outstanding. Other companies may calculate TCE in a different manner. TCE, tangible book value per share and return on average TCE (RoTCE) are non-GAAP financial measures.
| | In millions of dollars or shares, except per share amounts | In millions of dollars or shares, except per share amounts | June 30,
2021 | December 31,
2020 | In millions of dollars or shares, except per share amounts | September 30,
2021 | December 31,
2020 |
| Total Citigroup stockholders’ equity | Total Citigroup stockholders’ equity | $ | 202,159 | | $ | 199,442 | | Total Citigroup stockholders’ equity | $ | 200,875 | | $ | 199,442 | |
| Less: Preferred stock | Less: Preferred stock | 17,995 | | 19,480 | | Less: Preferred stock | 17,995 | | 19,480 | |
| Common stockholders’ equity | Common stockholders’ equity | $ | 184,164 | | $ | 179,962 | | Common stockholders’ equity | $ | 182,880 | | $ | 179,962 | |
| Less: | Less: | | Less: | |
| Goodwill | Goodwill | 22,060 | | 22,162 | | Goodwill | 21,573 | | 22,162 | |
| Identifiable intangible assets (other than MSRs) | Identifiable intangible assets (other than MSRs) | 4,268 | | 4,411 | | Identifiable intangible assets (other than MSRs) | 4,144 | | 4,411 | |
| Goodwill and identifiable intangible assets (other than MSRs) related to assets held-for-sale (HFS) | | Goodwill and identifiable intangible assets (other than MSRs) related to assets held-for-sale (HFS) | 257 | | — | |
| Tangible common equity (TCE) | Tangible common equity (TCE) | $ | 157,836 | | $ | 153,389 | | Tangible common equity (TCE) | $ | 156,906 | | $ | 153,389 | |
| Common shares outstanding (CSO) | Common shares outstanding (CSO) | 2,026.8 | | 2,082.1 | | Common shares outstanding (CSO) | 1,984.3 | | 2,082.1 | |
| Book value per share (common equity/CSO) | $ | 90.86 | | $ | 86.43 | | |
| Book value per share (common stockholders’ equity/CSO) | | Book value per share (common stockholders’ equity/CSO) | $ | 92.16 | | $ | 86.43 | |
| Tangible book value per share (TCE/CSO) | Tangible book value per share (TCE/CSO) | 77.87 | | 73.67 | | Tangible book value per share (TCE/CSO) | 79.07 | | 73.67 | |
| | | Three Months Ended June 30, | Six Months Ended June 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Net income available to common shareholders | Net income available to common shareholders | $ | 5,940 | | $ | 803 | | $ | 13,590 | | $ | 3,048 | | Net income available to common shareholders | $ | 4,378 | | $ | 2,862 | | $ | 17,968 | | $ | 5,910 | |
| Average common stockholders’ equity | Average common stockholders’ equity | 183,231 | | 175,392 | | 181,826 | | 174,930 | | Average common stockholders’ equity | 183,613 | | 174,943 | | 182,422 | | 174,934 | |
| Average TCE | Average TCE | 156,946 | | 148,730 | | 155,760 | | 148,756 | | Average TCE | 157,371 | | 149,012 | | 156,047 | | 149,018 | |
| Return on average common stockholders’ equity | Return on average common stockholders’ equity | 13.0 | % | 1.8 | % | 15.1 | % | 3.5 | % | Return on average common stockholders’ equity | 9.5 | % | 6.5 | % | 13.2 | % | 4.5 | % |
Return on average TCE (RoTCE)(1) | 15.2 | | 2.2 | | 17.6 | | 4.1 | | |
RoTCE(1) | | RoTCE(1) | 11.0 | | 7.6 | | 15.4 | | 5.3 | |
(1)RoTCE represents annualized net income available to common shareholders as a percentage of average TCE.
Managing Global Risk Table of Contents
| | | | | | | | |
| MANAGING GLOBAL RISK | | |
CREDIT RISK(1) | | |
| Consumer Credit | | |
| Corporate Credit | | |
| Additional Consumer and Corporate Credit Details | | |
| Loans Outstanding | | |
| Details of Credit Loss Experience | | |
| Allowance for Credit Losses on Loans (ACLL) | | 52 |
| Non-Accrual Loans and Assets and Renegotiated Loans | | |
| LIQUIDITY RISK | | |
| High-Quality Liquid Assets (HQLA) | | |
| Liquidity Coverage Ratio (LCR) | | |
| Loans | | 58 |
| Deposits | | 58 |
| Long-Term Debt | | 59 |
| Secured Funding Transactions and Short-Term Borrowings | | 6061 |
| Credit Ratings | | 62 |
MARKET RISK(1) | | |
| Market Risk of Non-Trading Portfolios | | |
| Market Risk of Trading Portfolios | | |
| STRATEGIC RISK | | |
| Country Risk | | |
| Argentina | | |
(1) For additional information regarding certain credit risk, market risk and other quantitative and qualitative information, refer to Citi’s Pillar 3 Basel III Advanced Approaches Disclosures, as required by the rules of the Federal Reserve Board, on Citi’s Investor Relations website.
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.
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 on Form 10-K.
CONSUMER CREDIT
The following table shows Citi’s quarterly end-of-period consumer loans:(1)
| | In billions of dollars | In billions of dollars | 2Q’20 | 3Q’20 | 4Q’20 | 1Q’21 | 2Q’21 | | In billions of dollars | 3Q’20 | 4Q’20 | 1Q’21 | 2Q’21 | 3Q’21(2) | |
| Retail banking: | Retail banking: | | | Retail banking: | | |
| Mortgages | Mortgages | $ | 86.0 | | $ | 87.5 | | $ | 88.9 | | $ | 86.7 | | $ | 86.3 | | | Mortgages | $ | 87.5 | | $ | 88.9 | | $ | 86.7 | | $ | 86.3 | | $ | 79.8 | | |
| Personal, small business and other | Personal, small business and other | 37.6 | | 38.3 | | 40.1 | | 39.1 | | 39.0 | | | Personal, small business and other | 38.3 | | 40.1 | | 39.1 | | 39.0 | | 37.0 | | |
| Total retail banking | Total retail banking | $ | 123.6 | | $ | 125.8 | | $ | 129.0 | | $ | 125.8 | | $ | 125.3 | | | Total retail banking | $ | 125.8 | | $ | 129.0 | | $ | 125.8 | | $ | 125.3 | | $ | 116.8 | | |
| Cards: | Cards: | | | Cards: | | |
| Citi-branded cards | Citi-branded cards | $ | 103.6 | | $ | 102.2 | | $ | 106.7 | | $ | 99.6 | | $ | 102.9 | | | Citi-branded cards | $ | 102.2 | | $ | 106.7 | | $ | 99.6 | | $ | 102.9 | | $ | 100.6 | | |
| Citi retail services | Citi retail services | 45.4 | | 44.4 | | 46.4 | | 42.5 | | 42.7 | | | Citi retail services | 44.4 | | 46.4 | | 42.5 | | 42.7 | | 42.7 | | |
| Total cards | Total cards | $ | 149.0 | | $ | 146.6 | | $ | 153.1 | | $ | 142.1 | | $ | 145.6 | | | Total cards | $ | 146.6 | | $ | 153.1 | | $ | 142.1 | | $ | 145.6 | | $ | 143.3 | | |
Total GCB | Total GCB | $ | 272.6 | | $ | 272.4 | | $ | 282.1 | | $ | 267.9 | | $ | 270.9 | | | Total GCB | $ | 272.4 | | $ | 282.1 | | $ | 267.9 | | $ | 270.9 | | $ | 260.1 | | |
GCB regional distribution: | GCB regional distribution: | | | GCB regional distribution: | | |
| North America | North America | 66 | % | 66 | % | 65 | % | 64 | % | 64 | % | | North America | 66 | % | 65 | % | 64 | % | 64 | % | 67 | % | |
| Latin America | Latin America | 5 | | 5 | | 5 | | 5 | | 5 | | | Latin America | 5 | | 5 | | 5 | | 5 | | 5 | | |
Asia(2)(3) | Asia(2)(3) | 29 | | 29 | | 30 | | 31 | | 31 | | | Asia(2)(3) | 29 | | 30 | | 31 | | 31 | | 28 | | |
Total GCB | Total GCB | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | | Total GCB | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Corporate/Other(3)(4) | Corporate/Other(3)(4) | $ | 8.5 | | $ | 7.6 | | $ | 6.7 | | $ | 6.1 | | $ | 5.0 | | | Corporate/Other(3)(4) | $ | 7.6 | | $ | 6.7 | | $ | 6.1 | | $ | 5.0 | | $ | 4.2 | | |
| Total consumer loans | Total consumer loans | $ | 281.1 | | $ | 280.0 | | $ | 288.8 | | $ | 274.0 | | $ | 275.9 | | | Total consumer loans | $ | 280.0 | | $ | 288.8 | | $ | 274.0 | | $ | 275.9 | | $ | 264.3 | | |
(1)End-of-period loans include interest and fees on credit cards.
(2)As a result of Citi’s entry into an agreement to sell its consumer banking business in Australia, the business was reclassified as held-for-sale and its assets and liabilities were included in Other assets and Other liabilities,respectively, on Citi’s Consolidated Balance Sheet and excluded from the assets and liabilities, including related credit measures, of GCB and Asia GCB beginning in the third quarter of 2021. For additional information, see Note 2 to the Consolidated Financial Statements.
(3)Asia includes loans and leases in certain EMEA countries for all periods presented.
(3)(4)Primarily consists of legacy assets, principally North America consumer mortgages.
For information on changes to Citi’s consumer loans, see “Liquidity Risk—Loans” below.
Overall Consumer Credit Trends
As shown in the chart above, GCB’s net credit loss rate decreased quarter-over-quarter and year-over-year for the secondthird quarter of 2021, primarily reflecting the continued benefitimpact of significant government stimulus, unemployment benefits and consumer relief programs in North AmericaGCB, and a decline following the peak charge-offs in Asia GCB and Latin America GCB in recent quarters.
GCB’s 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, primarily due to the continued impacts of government stimulus, unemployment benefits and consumer relief programs in North America GCB, as well as lower delinquencies in Asia GCB and Latin America GCB, following the charge-off of peak delinquencies in recent quarters.
For additional information on consumer credit trends, see “Managing Global Risk—Credit Risk—Overall Consumer Credit Trends” in Citi’s 2020 Annual Report on Form 10-K.
North America GCB provides mortgage, home equity, small business and personal loans through Citi’s retail banking network and card products through Citi-branded cards and Citi retail services businesses. The retail bank is concentrated in six major metropolitan cities in the U.S. (for additional information on the U.S. retail bank, see “North America GCB” above).
As of JuneSeptember 30, 2021, approximately 72% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which generally drives the overall credit performance of North America GCB (for additional information on North America GCB’s cards portfolios, including delinquency and net credit loss rates, see “Credit Card Trends” below).
As shown in the chart above, the net credit loss rate in North America GCB for the second quarter of 2021 decreased quarter-over-quarter and year-over-year, primarily driven by the continued impacts of government stimulus, unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate in North America GCB for the third quarter of 2021 decreased quarter-over-quarter and year-over-year, primarily reflecting higherthe continued impact of high payment rates in cards, driven by government stimulus. Year-over-year, the decrease in the 90+ days past due delinquency rate was drivenpayment rates were also impacted 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 for the secondthird quarter of 2021 decreased quarter-over-quarterfollowing the peak and year-over-year. The impact of charge-offs of delinquent loans in charge-offsprior quarters resulted in lower delinquencies that led to lower net credit losses in the prior quarter, driven by customers exiting pandemic-related consumer relief programs, and increased year-over-year, primarily driven by the remaining impact ofcustomers exiting the consumer relief programs.current quarter.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, following theyear-over-year. The impact of charge-offs of peak delinquenciesdelinquent loans in recentprior quarters related to customers exiting pandemic-related consumer relief programs.resulted in a lower 90+ day delinquency rate in the current quarter.
(1)Asia includes GCB activities in certain EMEA countries for all periods presented.
Asia GCB operates in 17 countries and jurisdictions in Asia and EMEAand provides credit cards, consumer mortgages and small business and personal loans.
As shown in the chart above, the third quarter of 2021 net credit loss rate in Asia GCB for the second quarter of 2021 decreased quarter-over-quarter, followingdriven by the charge-off of peak delinquencies in charge-offs related to customers exiting the pandemic-related consumer relief programs in priorrecent quarters. Year-over-year, the net credit loss rate decreased, reflectingas elevated losses during the prior year return to pre-pandemic levels, and due to a shift in product mix toward secured products.product.
The 90+ days past due delinquency rate decreased quarter-over-quarter, followingdriven by the charge-off of peak delinquencies in recent quarters. Year-over-year, the 90+ days past due delinquency rate decreased, reflecting a shift in product mix toward secured products.as elevated delinquencies during the prior year return to pre-pandemic levels.
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-branded cards portfolio issues proprietary and co-branded cards.
As shown in the chart above, the net credit loss rate in North America Citi-branded cards for the secondthird quarter of 2021 decreased quarter-over-quarter and year-over-year, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the continued impacts of government stimulus,payment rates were also impacted by unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, primarily reflecting higherthe continued impact of high payment rates, driven by government stimulus. Year-over-year, the 90+ days past due delinquency rate decreased, drivenpayment rates were also impacted by the continued impacts of government stimulus, unemployment benefits and consumer relief programs.
| | |
| North America Citi Retail Services |
Citi retail services partners directly with more than 20 retailers and dealers to offer private label and co-branded cards. Citi retail services’ target market focuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel.
Citi retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
As shown in the chart above, the net credit loss rate in Citi retail services for the secondthird quarter of 2021 decreased quarter-over-quarter and year-over-year, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the continued impacts of government stimulus,payment rates were also impacted by unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, primarily reflecting higherthe continued impact of high payment rates, driven by government stimulus. Year-over-year, the 90+ days past due delinquency rate decreased, drivenpayment rates were also impacted by the continued impacts of government stimulus, 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 secondthird quarter of 2021 net credit loss rate in Latin America Citi-branded cards decreased quarter-over-quarter following the peakand 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 prior quarter, driven by customers exiting pandemic-related consumer relief programs. The year-over-year increase was primarily driven by the continuation of customers exiting the consumer relief programs.current quarter.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, primarily following
the charge-offyear-over-year. The impact of peak delinquenciescharge-offs of delinquent loans in recentprior quarters related
to customers exiting pandemic-related consumer relief
programs.resulted in a lower 90+ day delinquency rate.
| | |
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 for the secondthird quarter of 2021 decreased quarter-over-quarter, followingdriven by the charge-off of peak in charge-offsdelinquencies related to customers exiting the pandemic-related consumer relief programs in recent quarters, and modestly increased year-over-year.decreased year-over-year as elevated losses during the prior year return to pre-pandemic levels.
The 90+ days past due delinquency rate decreased quarter-over-quarter, followingdriven by the charge-off of peak delinquencies in recent quarters, and decreased year-over-year, as elevated delinquencies during the portfolio generally returnedprior year return to pre-pandemic delinquency levels.
For additional information on cost of credit, delinquency and other information for Citi’s cards portfolios, see each respective business’s results of operations above and Note 13 to the Consolidated Financial Statements.
North America Cards FICO Distribution
The following tables show the current FICO score distributions for Citi’s North America cards portfolios based on end-of-period receivables. FICO scores are updated monthly for substantially all of the portfolio and on a quarterly basis for the remaining portfolio.
Citi-Branded Cards
| FICO distribution(1) | FICO distribution(1) | June 30, 2021 | March 31, 2021 | June 30, 2020 | FICO distribution(1) | September 30, 2021 | June 30, 2021 | September 30, 2020 |
| > 760 | > 760 | 49 | % | 46 | % | 41 | % | > 760 | 48 | % | 49 | % | 43 | % |
| 680–760 | 680–760 | 39 | | 40 | | 41 | | 680–760 | 39 | | 39 | | 41 | |
| < 680 | < 680 | 12 | | 14 | | 18 | | < 680 | 13 | | 12 | | 16 | |
| Total | Total | 100 | % | 100 | % | 100 | % | Total | 100 | % | 100 | % | 100 | % |
Citi Retail Services
| FICO distribution(1) | FICO distribution(1) | June 30, 2021 | March 31, 2021 | June 30, 2020 | FICO distribution(1) | September 30, 2021 | June 30, 2021 | September 30, 2020 |
| > 760 | > 760 | 28 | % | 26 | % | 24 | % | > 760 | 27 | % | 28 | % | 26 | % |
| 680–760 | 680–760 | 45 | | 45 | | 43 | | 680–760 | 45 | | 45 | | 44 | |
| < 680 | < 680 | 27 | | 29 | | 33 | | < 680 | 28 | | 27 | | 30 | |
| Total | Total | 100 | % | 100 | % | 100 | % | 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 improvedremained 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 due to reduced customer spending.utilization. For additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.
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(2) | 90+ days past due(3) | 30–89 days past due(3) |
In millions of dollars,
except EOP loan amounts in billions | In millions of dollars,
except EOP loan amounts in billions | June 30,
2021 | June 30,
2021 | March 31,
2021 | June 30,
2020 | June 30,
2021 | March 31,
2021 | June 30,
2020 | In millions of dollars,
except EOP loan amounts in billions | September 30,
2021 | September 30,
2021 | June 30,
2021 | September 30,
2020 | September 30,
2021 | June 30,
2021 | September 30,
2020 |
Global Consumer Banking(4)(5) | Global Consumer Banking(4)(5) | | | | | | Global Consumer Banking(4)(5) | | | | | |
| Total | Total | $ | 270.9 | | $ | 1,790 | | $ | 2,175 | | $ | 2,466 | | $ | 1,761 | | $ | 2,003 | | $ | 2,503 | | Total | $ | 260.1 | | $ | 1,488 | | $ | 1,790 | | $ | 1,976 | | $ | 1,668 | | $ | 1,761 | | $ | 2,398 | |
| Ratio | Ratio | | 0.66 | % | 0.81 | % | 0.91 | % | 0.65 | % | 0.75 | % | 0.92 | % | Ratio | | 0.57 | % | 0.66 | % | 0.73 | % | 0.64 | % | 0.65 | % | 0.88 | % |
| Retail banking | Retail banking | | | | | | Retail banking | | | | | |
| Total | Total | $ | 125.3 | | $ | 560 | | $ | 598 | | $ | 497 | | $ | 687 | | $ | 662 | | $ | 918 | | Total | $ | 116.8 | | $ | 479 | | $ | 560 | | $ | 497 | | $ | 589 | | $ | 687 | | $ | 786 | |
| Ratio | Ratio | | 0.45 | % | 0.48 | % | 0.40 | % | 0.55 | % | 0.53 | % | 0.75 | % | Ratio | | 0.41 | % | 0.45 | % | 0.40 | % | 0.51 | % | 0.55 | % | 0.63 | % |
| North America | North America | 49.7 | | 236 | | 263 | | 182 | | 268 | | 220 | | 440 | | North America | 48.8 | | 221 | | 236 | | 211 | | 250 | | 268 | | 378 | |
| Ratio | Ratio | | 0.48 | % | 0.52 | % | 0.35 | % | 0.55 | % | 0.44 | % | 0.84 | % | Ratio | | 0.46 | % | 0.48 | % | 0.40 | % | 0.52 | % | 0.55 | % | 0.72 | % |
| Latin America | Latin America | 9.1 | | 127 | | 142 | | 121 | | 134 | | 164 | | 151 | | Latin America | 8.7 | | 117 | | 127 | | 105 | | 122 | | 134 | | 136 | |
| Ratio | Ratio | | 1.40 | % | 1.56 | % | 1.34 | % | 1.47 | % | 1.80 | % | 1.68 | % | Ratio | | 1.34 | % | 1.40 | % | 1.14 | % | 1.40 | % | 1.47 | % | 1.48 | % |
Asia(6)(7) | Asia(6)(7) | 66.5 | | 197 | | 193 | | 194 | | 285 | | 278 | | 327 | | Asia(6)(7) | 59.3 | | 141 | | 197 | | 181 | | 217 | | 285 | | 272 | |
| Ratio | Ratio | | 0.30 | % | 0.29 | % | 0.32 | % | 0.43 | % | 0.42 | % | 0.53 | % | Ratio | | 0.24 | % | 0.30 | % | 0.29 | % | 0.37 | % | 0.43 | % | 0.43 | % |
| Cards | Cards | | | | | | Cards | | | | | |
| Total | Total | $ | 145.6 | | $ | 1,230 | | $ | 1,577 | | $ | 1,969 | | $ | 1,074 | | $ | 1,341 | | $ | 1,585 | | Total | $ | 143.3 | | $ | 1,009 | | $ | 1,230 | | $ | 1,479 | | $ | 1,079 | | $ | 1,074 | | $ | 1,612 | |
| Ratio | Ratio | | 0.84 | % | 1.11 | % | 1.32 | % | 0.74 | % | 0.94 | % | 1.06 | % | Ratio | | 0.70 | % | 0.84 | % | 1.01 | % | 0.75 | % | 0.74 | % | 1.10 | % |
North America—Citi-branded | North America—Citi-branded | 82.1 | | 457 | | 590 | | 784 | | 355 | | 484 | | 594 | | North America—Citi-branded | 82.8 | | 362 | | 457 | | 574 | | 375 | | 355 | | 624 | |
| Ratio | Ratio | | 0.56 | % | 0.75 | % | 0.95 | % | 0.43 | % | 0.62 | % | 0.72 | % | Ratio | | 0.44 | % | 0.56 | % | 0.71 | % | 0.45 | % | 0.43 | % | 0.77 | % |
North America—Citi retail services | North America—Citi retail services | 42.7 | | 463 | | 591 | | 811 | | 415 | | 513 | | 611 | | North America—Citi retail services | 42.7 | | 421 | | 463 | | 557 | | 471 | | 415 | | 610 | |
| Ratio | Ratio | | 1.08 | % | 1.39 | % | 1.79 | % | 0.97 | % | 1.21 | % | 1.35 | % | Ratio | | 0.99 | % | 1.08 | % | 1.25 | % | 1.10 | % | 0.97 | % | 1.37 | % |
| Latin America | Latin America | 4.4 | | 122 | | 173 | | 160 | | 82 | | 115 | | 111 | | Latin America | 4.3 | | 81 | | 122 | | 106 | | 68 | | 82 | | 89 | |
| Ratio | Ratio | | 2.77 | % | 4.02 | % | 3.81 | % | 1.86 | % | 2.67 | % | 2.64 | % | Ratio | | 1.88 | % | 2.77 | % | 2.47 | % | 1.58 | % | 1.86 | % | 2.07 | % |
Asia(6)(7) | Asia(6)(7) | 16.4 | | 188 | | 223 | | 214 | | 222 | | 229 | | 269 | | Asia(6)(7) | 13.5 | | 145 | | 188 | | 242 | | 165 | | 222 | | 289 | |
| Ratio | Ratio | | 1.15 | % | 1.33 | % | 1.27 | % | 1.35 | % | 1.36 | % | 1.60 | % | Ratio | | 1.07 | % | 1.15 | % | 1.44 | % | 1.22 | % | 1.35 | % | 1.72 | % |
Corporate/Other—Consumer(7)(8) | Corporate/Other—Consumer(7)(8) | | | | | | Corporate/Other—Consumer(7)(8) | | | | | |
| Total | Total | $ | 5.0 | | $ | 259 | | $ | 277 | | $ | 295 | | $ | 111 | | $ | 138 | | $ | 261 | | Total | $ | 4.2 | | $ | 221 | | $ | 259 | | $ | 278 | | $ | 99 | | $ | 111 | | $ | 198 | |
| Ratio | Ratio | | 5.51 | % | 4.86 | % | 3.60 | % | 2.36 | % | 2.42 | % | 3.18 | % | Ratio | | 5.67 | % | 5.51 | % | 3.86 | % | 2.54 | % | 2.36 | % | 2.75 | % |
| | Total Citigroup | Total Citigroup | $ | 275.9 | | $ | 2,049 | | $ | 2,452 | | $ | 2,761 | | $ | 1,872 | | $ | 2,141 | | $ | 2,764 | | Total Citigroup | $ | 264.3 | | $ | 1,709 | | $ | 2,049 | | $ | 2,254 | | $ | 1,767 | | $ | 1,872 | | $ | 2,596 | |
| Ratio | Ratio | | 0.75 | % | 0.90 | % | 0.99 | % | 0.68 | % | 0.78 | % | 0.99 | % | Ratio | | 0.65 | % | 0.75 | % | 0.81 | % | 0.67 | % | 0.68 | % | 0.93 | % |
(1)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification (which have various durations, and certain of which may be renewed by the customer). Consumer relief programs in Asia and Mexico largely expired during the fourth quarter of 2020.
(2)End-of-period (EOP) loans include interest and fees on credit cards.
(3)The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(4)The 90+ days past due balances for North America—Citi-branded and North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(5)The 90+ days past due and 30–89 days past due and related ratios for North America GCB exclude U.S. mortgage loans that are primarily related to U.S. mortgages guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $150$146 million ($0.70.6 billion), $176$150 million ($0.7 billion) and $130$148 million ($0.50.6 billion) as of September 30, 2021, June 30, 2021 March 31, 2021 and JuneSeptember 30, 2020, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) were $80$78 million ($0.70.6 billion), $84$80 million ($0.7 billion) and $86$88 million ($0.50.6 billion) as of September 30, 2021, June 30, 2021 March 31, 2021 and JuneSeptember 30, 2020, respectively.
(6)Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(7)During the third quarter of 2021, Citi’s Australia consumer banking business was classified as held-for-sale (HFS) pursuant to Citi’s agreement to sell the business. Accordingly, the Australian consumer loans are recorded in Other assets on the Consolidated Balance Sheet and hence the loans and related delinquencies and ratios are not included in this table. See Note 2 to the Consolidated Financial Statements for additional information.
(8)The loans 90+ 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 $138 million ($0.4 billion), $125 million ($0.3 billion), $169 and $172 million ($0.4 billion) and $173 million ($0.40.5 billion) as of September 30, 2021, June 30, 2021 March 31, 2021 and JuneSeptember 30, 2020, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) for each period were $42 million ($0.4 billion), $48 million ($0.3 billion), $55 and $66 million ($0.4 billion) and $57 million ($0.40.5 billion) as of September 30, 2021, June 30, 2021 March 31, 2021 and JuneSeptember 30, 2020, respectively.
Consumer Loan Net Credit Losses and Ratios
| | | | | | | | | | | | | | |
| | Average loans(1) | Net credit losses(2) |
| In millions of dollars, except average loan amounts in billions | 2Q21 | 2Q21 | 1Q21 | 2Q20 |
| Global Consumer Banking | | | | |
| Total | $ | 268.6 | | $ | 1,253 | | $ | 1,580 | | $ | 1,842 | |
| Ratio | | 1.87 | % | 2.36 | % | 2.73 | % |
| Retail banking | | | | |
| Total | $ | 126.0 | | $ | 193 | | $ | 274 | | $ | 200 | |
| Ratio | | 0.61 | % | 0.87 | % | 0.66 | % |
| North America | 50.2 | | 24 | | 26 | | 33 | |
| Ratio | | 0.19 | % | 0.20 | % | 0.25 | % |
| Latin America | 9.2 | | 99 | | 168 | | 92 | |
| Ratio | | 4.32 | % | 7.25 | % | 4.07 | % |
Asia(3) | 66.6 | | 70 | | 80 | | 75 | |
| Ratio | | 0.42 | % | 0.49 | % | 0.50 | % |
| Cards | | | | |
| Total | $ | 142.6 | | $ | 1,060 | | $ | 1,306 | | $ | 1,642 | |
| Ratio | | 2.98 | % | 3.67 | % | 4.41 | % |
North America—Citi-branded | 79.4 | | 467 | | 551 | | 780 | |
| Ratio | | 2.36 | % | 2.84 | % | 3.80 | % |
North America—Citi retail services | 42.3 | | 326 | | 373 | | 635 | |
| Ratio | | 3.09 | % | 3.45 | % | 5.53 | % |
| Latin America | 4.3 | | 151 | | 197 | | 113 | |
| Ratio | | 14.09 | % | 17.75 | % | 10.57 | % |
Asia(3) | 16.6 | | 116 | | 185 | | 114 | |
| Ratio | | 2.80 | % | 4.34 | % | 2.76 | % |
Corporate/Other—Consumer | | | | |
| Total | $ | 5.8 | | $ | (22) | | $ | (18) | | $ | (5) | |
| Ratio | | (1.52) | % | (1.14) | % | (0.23) | % |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| Total Citigroup | $ | 274.4 | | $ | 1,231 | | $ | 1,562 | | $ | 1,837 | |
| Ratio | | 1.80 | % | 2.28 | % | 2.63 | % |
| | | | | | | | | | | | | | |
| | Average loans(1) | Net credit losses(2) |
| In millions of dollars, except average loan amounts in billions | 3Q21 | 3Q21 | 2Q21 | 3Q20 |
| Global Consumer Banking | | | | |
| Total | $ | 262.9 | | $ | 944 | | $ | 1,253 | | $ | 1,598 | |
| Ratio | | 1.42 | % | 1.87 | % | 2.33 | % |
| Retail banking | | | | |
| Total | $ | 120.0 | | $ | 161 | | $ | 193 | | $ | 190 | |
| Ratio | | 0.53 | % | 0.61 | % | 0.60 | % |
| North America | 49.5 | | 22 | | 24 | | 31 | |
| Ratio | | 0.18 | % | 0.19 | % | 0.23 | % |
| Latin America | 8.9 | | 77 | | 99 | | 90 | |
| Ratio | | 3.43 | % | 4.32 | % | 3.85 | % |
Asia(3)(4) | 61.6 | | 62 | | 70 | | 69 | |
| Ratio | | 0.40 | % | 0.42 | % | 0.44 | % |
| Cards | | | | |
| Total | $ | 142.9 | | $ | 783 | | $ | 1,060 | | $ | 1,408 | |
| Ratio | | 2.17 | % | 2.98 | % | 3.82 | % |
North America—Citi-branded | 81.9 | | 357 | | 467 | | 647 | |
| Ratio | | 1.73 | % | 2.36 | % | 3.17 | % |
North America—Citi retail services | 42.4 | | 238 | | 326 | | 504 | |
| Ratio | | 2.23 | % | 3.09 | % | 4.51 | % |
| Latin America | 4.3 | | 98 | | 151 | | 138 | |
| Ratio | | 9.04 | % | 14.09 | % | 12.77 | % |
Asia(3)(4) | 14.3 | | 90 | | 116 | | 119 | |
| Ratio | | 2.50 | % | 2.80 | % | 2.82 | % |
Corporate/Other—Consumer | | | | |
| Total | $ | 4.7 | | $ | (22) | | $ | (22) | | $ | (4) | |
| Ratio | | (1.86) | % | (1.52) | % | (0.19) | % |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| Total Citigroup | $ | 267.6 | | $ | 922 | | $ | 1,231 | | $ | 1,594 | |
| Ratio | | 1.37 | % | 1.80 | % | 2.26 | % |
(1)Average loans include interest and fees on credit cards.
(2)The ratios of net credit losses are calculated based on average loans, net of unearned income.
(3)Asia includes NCLs and average loans in certain EMEA countries for all periods presented.
(4)As a result of Citi’s agreement to sell its consumer banking business in Australia (Australia consumer) during the third quarter of 2021, Australia consumer was classified as held-for-sale (HFS) beginning in the third quarter of 2021. As a result of HFS accounting treatment, approximately $5 million of net credit losses (NCLs) was recorded as a reduction in revenue (Other revenue) for the third quarter of 2021. Accordingly, these NCLs are not included in this table. NCLs on Loans HFS are excluded from this table as they are recorded in Other assets on the Consolidated Balance Sheet. See Note 2 to the Consolidated Financial Statements for additional information.
The following table details Citi’s corporate credit portfolio within ICG (excluding certain loans in the private bank, which are managed on a delinquency basis), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:
| | | | June 30, 2021 | March 31, 2021 | December 31, 2020 | | September 30, 2021 | June 30, 2021 | December 31, 2020 |
| In billions of dollars | 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 | 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) | Direct outstandings (on-balance sheet)(1) | $ | 192 | | $ | 141 | | $ | 22 | | $ | 355 | | $ | 182 | | $ | 142 | | $ | 22 | | $ | 346 | | $ | 177 | | $ | 142 | | $ | 25 | | $ | 344 | | Direct outstandings (on-balance sheet)(1) | $ | 195 | | $ | 136 | | $ | 21 | | $ | 352 | | $ | 192 | | $ | 141 | | $ | 22 | | $ | 355 | | $ | 177 | | $ | 142 | | $ | 25 | | $ | 344 | |
Unfunded lending commitments (off-balance sheet)(2) | Unfunded lending commitments (off-balance sheet)(2) | 166 | | 281 | | 11 | | 458 | | 170 | | 284 | | 12 | | 466 | | 158 | | 272 | | 11 | | 441 | | Unfunded lending commitments (off-balance sheet)(2) | 164 | | 286 | | 10 | | 460 | | 166 | | 281 | | 11 | | 458 | | 158 | | 272 | | 11 | | 441 | |
| Total exposure | Total exposure | $ | 358 | | $ | 422 | | $ | 33 | | $ | 813 | | $ | 352 | | $ | 426 | | $ | 34 | | $ | 812 | | $ | 335 | | $ | 414 | | $ | 36 | | $ | 785 | | Total exposure | $ | 359 | | $ | 422 | | $ | 31 | | $ | 812 | | $ | 358 | | $ | 422 | | $ | 33 | | $ | 813 | | $ | 335 | | $ | 414 | | $ | 36 | | $ | 785 | |
(1) Includes drawn loans, overdrafts, bankers’ acceptances and leases.
(2) Includes unused commitments to lend, letters of credit and financial guarantees.
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:
| | | June 30,
2021 | March 31,
2021 | December 31,
2020 | | September 30,
2021 | June 30, 2021 | December 31,
2020 |
| North America | North America | 57 | % | 57 | % | 56 | % | North America | 57 | % | 57 | % | 56 | % |
| EMEA | EMEA | 25 | | 25 | | 25 | | EMEA | 25 | | 25 | | 25 | |
| Asia | Asia | 13 | | 13 | | 13 | | Asia | 13 | | 13 | | 13 | |
| Latin America | Latin America | 5 | | 5 | | 6 | | Latin America | 5 | | 5 | | 6 | |
| Total | Total | 100 | % | 100 | % | 100 | % | 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 |
| | | June 30,
2021 | March 31,
2021 | December 31,
2020 | | September 30,
2021 | June 30,
2021 | December 31,
2020 |
| AAA/AA/A | AAA/AA/A | 49 | % | 50 | % | 49 | % | AAA/AA/A | 49 | % | 49 | % | 49 | % |
| BBB | BBB | 32 | | 31 | | 31 | | BBB | 32 | | 32 | | 31 | |
| BB/B | BB/B | 16 | | 16 | | 17 | | BB/B | 16 | | 16 | | 17 | |
| CCC or below | CCC or below | 3 | | 3 | | 3 | | CCC or below | 3 | | 3 | | 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 JuneSeptember 30, 2021. Since the onset of the COVID-19 pandemic, Citigroup has taken action to adjust internal ratings and classifications of exposures as both the macroeconomic environment and obligor-specific factors have changed, particularly where additional stress has been seen.
As obligor risk ratings are downgraded, the probability of default increases. Downgrades of obligor risk ratings tend to result in a higher provision for credit losses. In addition,
result in a higher provision for credit losses. In addition, downgrades may result in the purchase of additional credit derivatives or other risk mitigants to hedge the incremental credit risk, or may result in Citi’s seeking to reduce exposure to an obligor or an industry sector. Citi will continue to review exposures to ensure that the appropriate probability of default is incorporated into all risk assessments.
For additional information on Citi’s corporate credit portfolio, see Note 13 to the Consolidated Financial Statements.
Portfolio Mix—Industry
Citi’s corporate credit portfolio is 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):
| | | | Total exposure | | Total exposure |
| | | June 30,
2021 | March 31,
2021 | December 31,
2020 | | September 30,
2021 | June 30,
2021 | December 31,
2020 |
| Transportation and industrials | Transportation and industrials | 18 | % | 19 | % | 19 | % | Transportation and industrials | 19 | % | 18 | % | 19 | % |
| Private bank | Private bank | 14 | | 14 | | 14 | | Private bank | 14 | | 14 | | 14 | |
| Consumer retail | Consumer retail | 10 | | 10 | | 10 | | Consumer retail | 10 | | 10 | | 10 | |
| Technology, media and telecom | Technology, media and telecom | 11 | | 11 | | 11 | | Technology, media and telecom | 10 | | 11 | | 11 | |
| Real estate | Real estate | 9 | | 8 | | 8 | | Real estate | 9 | | 9 | | 8 | |
| Power, chemicals, metals and mining | Power, chemicals, metals and mining | 8 | | 8 | | 8 | | Power, chemicals, metals and mining | 8 | | 8 | | 8 | |
| Banks and finance companies | Banks and finance companies | 7 | | 7 | | 7 | | Banks and finance companies | 7 | | 7 | | 7 | |
| Energy and commodities | Energy and commodities | 6 | | 6 | | 6 | | Energy and commodities | 6 | | 6 | | 6 | |
| Health | Health | 5 | | 5 | | 5 | | Health | 5 | | 5 | | 5 | |
| Public sector | Public sector | 3 | | 3 | | 3 | | Public sector | 3 | | 3 | | 3 | |
| Insurance | Insurance | 3 | | 3 | | 3 | | Insurance | 3 | | 3 | | 3 | |
| Asset managers and funds | Asset managers and funds | 3 | | 3 | | 3 | | Asset managers and funds | 3 | | 3 | | 3 | |
| Financial markets infrastructure | Financial markets infrastructure | 2 | | 2 | | 2 | | Financial markets infrastructure | 2 | | 2 | | 2 | |
| Securities firms | — | | — | | — | | |
| Other industries | Other industries | 1 | | 1 | | 1 | | Other industries | 1 | | 1 | | 1 | |
| Total | Total | 100 | % | 100 | % | 100 | % | Total | 100 | % | 100 | % | 100 | % |
The following table details Citi’s corporate credit portfolio by industry as of JuneSeptember 30, 2021:
| | | Non-investment grade | | Selected metrics | | Non-investment grade | | Selected metrics |
| In millions of dollars | 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) | 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 | Transportation and industrials | $ | 149,833 | | $ | 56,251 | | $ | 93,582 | | $ | 113,360 | | $ | 20,113 | | $ | 14,936 | | $ | 1,424 | | | $ | 173 | | $ | 81 | | $ | (8,668) | | Transportation and industrials | $ | 155,722 | | $ | 55,345 | | $ | 100,377 | | $ | 118,945 | | $ | 20,622 | | $ | 14,798 | | $ | 1,357 | | | $ | 192 | | $ | 84 | | $ | (8,706) | |
Autos(6) | Autos(6) | 51,372 | | 22,390 | | 28,982 | | 41,054 | | 6,004 | | 4,202 | | 112 | | | 40 | | 1 | | (3,337) | | Autos(6) | 51,520 | | 21,050 | | 30,470 | | 42,920 | | 4,699 | | 3,783 | | 118 | | | 41 | | 1 | | (3,167) | |
| Transportation | Transportation | 33,393 | | 12,792 | | 20,601 | | 23,953 | | 3,242 | | 5,025 | | 1,173 | | | 9 | | 61 | | (1,385) | | Transportation | 31,507 | | 12,513 | | 18,994 | | 22,353 | | 3,431 | | 4,648 | | 1,075 | | | 36 | | 63 | | (1,322) | |
| Industrials | Industrials | 65,068 | | 21,069 | | 43,999 | | 48,353 | | 10,867 | | 5,709 | | 139 | | | 124 | | 19 | | (3,946) | | Industrials | 72,695 | | 21,782 | | 50,913 | | 53,672 | | 12,492 | | 6,367 | | 164 | | | 115 | | 20 | | (4,217) | |
| Private bank | Private bank | 116,961 | | 82,227 | | 34,734 | | 112,480 | | 2,442 | | 1,912 | | 127 | | | 966 | | 11 | | (1,080) | | Private bank | 113,674 | | 78,185 | | 35,489 | | 109,139 | | 2,645 | | 1,798 | | 92 | | | 717 | | 11 | | (1,080) | |
| Consumer retail | Consumer retail | 79,300 | | 34,319 | | 44,981 | | 60,667 | | 12,442 | | 5,792 | | 399 | | | 141 | | 64 | | (5,050) | | Consumer retail | 81,309 | | 35,716 | | 45,593 | | 63,393 | | 12,511 | | 4,961 | | 444 | | | 138 | | 78 | | (5,031) | |
| Technology, media and telecom | Technology, media and telecom | 85,712 | | 30,079 | | 55,633 | | 64,949 | | 16,261 | | 4,248 | | 254 | | | 295 | | 9 | | (6,292) | | Technology, media and telecom | 83,716 | | 31,192 | | 52,524 | | 64,569 | | 15,744 | | 3,107 | | 296 | | | 141 | | 11 | | (6,691) | |
| Real estate | Real estate | 69,474 | | 45,514 | | 23,960 | | 59,346 | | 5,267 | | 4,761 | | 100 | | | 3 | | 13 | | (593) | | Real estate | 70,438 | | 46,576 | | 23,862 | | 57,454 | | 8,157 | | 4,786 | | 41 | | | 69 | | 13 | | (662) | |
| Power, chemicals, metals and mining | Power, chemicals, metals and mining | 66,515 | | 21,833 | | 44,682 | | 51,382 | | 12,048 | | 2,704 | | 381 | | | 138 | | 35 | | (5,374) | | Power, chemicals, metals and mining | 63,845 | | 20,059 | | 43,786 | | 50,216 | | 11,293 | | 2,188 | | 148 | | | 160 | | 34 | | (5,508) | |
| Power | Power | 27,466 | | 5,326 | | 22,140 | | 23,446 | | 3,118 | | 602 | | 300 | | | 2 | | 31 | | (2,623) | | Power | 25,950 | | 5,326 | | 20,624 | | 22,541 | | 2,774 | | 563 | | 72 | | | 45 | | 31 | | (2,823) | |
| Chemicals | Chemicals | 23,657 | | 8,960 | | 14,697 | | 17,123 | | 5,207 | | 1,278 | | 49 | | | 71 | | 4 | | (2,168) | | Chemicals | 23,171 | | 8,247 | | 14,924 | | 17,604 | | 4,496 | | 1,033 | | 38 | | | 48 | | 4 | | (2,049) | |
| Metals and mining | Metals and mining | 15,392 | | 7,547 | | 7,845 | | 10,813 | | 3,723 | | 824 | | 32 | | | 65 | | — | | (583) | | Metals and mining | 14,724 | | 6,486 | | 8,238 | | 10,071 | | 4,023 | | 592 | | 38 | | | 67 | | (1) | | (636) | |
| Banks and finance companies | Banks and finance companies | 58,299 | | 33,761 | | 24,538 | | 47,899 | | 4,663 | | 5,706 | | 31 | | | 14 | | (1) | | (714) | | Banks and finance companies | 58,478 | | 34,894 | | 23,584 | | 48,056 | | 5,934 | | 4,459 | | 29 | | | 82 | | (1) | | (698) | |
Energy and commodities(7) | Energy and commodities(7) | 48,418 | | 15,060 | | 33,358 | | 34,799 | | 7,911 | | 5,189 | | 519 | | | 85 | | 62 | | (3,861) | | Energy and commodities(7) | 49,108 | | 14,455 | | 34,653 | | 35,577 | | 8,634 | | 4,388 | | 509 | | | 148 | | 80 | | (3,471) | |
| Health | Health | 38,674 | | 8,074 | | 30,600 | | 29,184 | | 7,977 | | 1,342 | | 171 | | | 51 | | — | | (1,984) | | Health | 36,012 | | 7,943 | | 28,069 | | 29,127 | | 5,567 | | 1,162 | | 156 | | | 66 | | — | | (2,211) | |
| Public sector | Public sector | 26,303 | | 14,215 | | 12,088 | | 21,209 | | 2,337 | | 2,752 | | 5 | | | 5 | | (3) | | (952) | | Public sector | 26,256 | | 14,665 | | 11,591 | | 21,471 | | 2,026 | | 2,753 | | 6 | | | 27 | | (3) | | (1,277) | |
| Insurance | Insurance | 27,196 | | 2,383 | | 24,813 | | 26,118 | | 941 | | 137 | | — | | | 1 | | 1 | | (2,537) | | Insurance | 27,189 | | 2,482 | | 24,707 | | 26,251 | | 876 | | 62 | | — | | | 11 | | 1 | | (2,560) | |
| Asset managers and funds | Asset managers and funds | 21,536 | | 6,357 | | 15,179 | | 20,248 | | 1,124 | | 164 | | — | | | 2 | | — | | (83) | | Asset managers and funds | 22,105 | | 6,519 | | 15,586 | | 20,919 | | 1,085 | | 101 | | — | | | 30 | | — | | (97) | |
| Financial markets infrastructure | Financial markets infrastructure | 14,191 | | 177 | | 14,014 | | 14,161 | | 30 | | — | | — | | | — | | — | | (12) | | Financial markets infrastructure | 14,294 | | 236 | | 14,058 | | 14,265 | | 28 | | — | | 1 | | | — | | — | | (13) | |
| Securities firms | Securities firms | 1,593 | | 580 | | 1,013 | | 290 | | 1,059 | | 236 | | 8 | | | — | | — | | (1) | | Securities firms | 3,021 | | 701 | | 2,320 | | 585 | | 2,389 | | 39 | | 8 | | | — | | — | | (1) | |
| Other industries | Other industries | 8,628 | | 3,580 | | 5,048 | | 4,495 | | 2,904 | | 1,076 | | 153 | | | 227 | | 1 | | (10) | | Other industries | 7,242 | | 2,929 | | 4,313 | | 3,905 | | 2,783 | | 447 | | 107 | | | 64 | | 5 | | (104) | |
| Total | Total | $ | 812,633 | | $ | 354,410 | | $ | 458,223 | | $ | 660,587 | | $ | 97,519 | | $ | 50,955 | | $ | 3,572 | | | $ | 2,101 | | $ | 273 | | $ | (37,211) | | Total | $ | 812,409 | | $ | 351,897 | | $ | 460,512 | | $ | 663,872 | | $ | 100,294 | | $ | 45,049 | | $ | 3,194 | | | $ | 1,845 | | $ | 313 | | $ | (38,110) | |
(1) Excludes $46.5$48.6 billion and $1.0$1.5 billion of funded and unfunded exposure at JuneSeptember 30, 2021, respectively, primarily related to the delinquency-managed private bank portfolio.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Excludes $204$111 million of past due loans primarily related to the delinquency-managed private bank portfolio.
(4) Net charge-offs (recoveries) are for the sixnine months ended JuneSeptember 30, 2021 and exclude delinquency-managed private bank charge-offs of $2$1 million.
(5) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $37.2$38.1 billion of purchased credit protection, $35.2$35.5 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.0$2.6 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.1$20.8 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(6) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $18.5$18.7 billion ($7.96.7 billion in funded, with more than 99% rated investment grade) as of JuneSeptember 30, 2021.
(7) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrial sector (e.g., off-shore drilling entities) included in the table above. As of JuneSeptember 30, 2021, Citi’s total exposure to these energy-related entities was approximately $7.0$6.7 billion, of which approximately $3.7$3.5 billion consisted of direct outstanding funded loans.
Exposure to Commercial Real Estate
As of JuneSeptember 30, 2021, ICG’s total corporate credit exposure to commercial real estate (CRE) was $65$67 billion, with $43$45 billion consisting of direct outstanding funded loans (mainly included in the real estate and private bank categories in the above table), or 6%7% of Citi’s total outstanding loans. In addition, as of JuneSeptember 30, 2021, more than 70% of ICG’s total corporate CRE exposure was to borrowers in the United States.U.S. Also, as of JuneSeptember 30, 2021, approximately 76%74% of ICG’s total corporate CRE exposure was rated investment grade.
As of JuneSeptember 30, 2021, the ACLL was 1.2%0.9% of funded CRE exposure, including 3.6%2.4% of funded non-investment-grade exposure.
Of the total CRE exposure:
•$20 billion of the exposure ($1213 billion of direct outstanding funded loans) relates to Community Reinvestment Act-related lending provided pursuant to Citi’s regulatory requirements to meet the credit needs of borrowers in low and moderate income neighborhoods.
•$20 billion of the exposure ($1516 billion of direct outstanding funded loans) relates to exposure secured by mortgages on underlying properties or in well-rated securitization exposures.
•$1316 billion of the exposure ($5 billion of direct outstanding funded loans) relates to unsecured loans to large REITs, with nearly 79%74% of the exposure rated investment grade.
•$1211 billion of exposure ($11 billion of direct outstanding funded loans) relates to CRE exposure in the private bank of which 100% is secured by mortgages. In addition, 47% of the exposure is also full recourse to the client. As of JuneSeptember 30, 2021, 77% of the exposure was rated investment grade.
The following table details Citi’s corporate credit portfolio by industry as of December 31, 2020:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing(3) | Net charge-offs (recoveries)(4) | Credit derivative hedges(5) |
| Transportation and industrials | $ | 147,218 | | $ | 60,122 | | $ | 87,096 | | $ | 106,041 | | $ | 17,452 | | $ | 21,927 | | $ | 1,798 | | | $ | 136 | | $ | 239 | | $ | (8,110) | |
Autos(6) | 53,874 | | 25,310 | | 28,564 | | 43,059 | | 4,374 | | 6,167 | | 274 | | | 8 | | 45 | | (3,220) | |
| Transportation | 27,693 | | 14,107 | | 13,586 | | 16,410 | | 2,993 | | 6,872 | | 1,418 | | | 17 | | 144 | | (1,166) | |
| Industrials | 65,651 | | 20,705 | | 44,946 | | 46,572 | | 10,085 | | 8,888 | | 106 | | | 111 | | 50 | | (3,724) | |
| Private bank | 109,397 | | 75,693 | | 33,704 | | 104,244 | | 2,395 | | 2,510 | | 248 | | | 963 | | 78 | | (1,080) | |
| Consumer retail | 82,129 | | 34,809 | | 47,320 | | 60,741 | | 11,653 | | 9,418 | | 317 | | | 146 | | 64 | | (5,493) | |
| Technology, media and telecom | 82,657 | | 30,880 | | 51,777 | | 61,296 | | 15,924 | | 5,214 | | 223 | | | 107 | | 74 | | (7,237) | |
| Real estate | 65,392 | | 43,285 | | 22,107 | | 54,413 | | 5,342 | | 5,453 | | 184 | | | 334 | | 18 | | (642) | |
| Power, chemicals, metals and mining | 63,926 | | 20,810 | | 43,116 | | 47,923 | | 11,554 | | 4,257 | | 192 | | | 59 | | 70 | | (5,341) | |
| Power | 26,916 | | 6,379 | | 20,537 | | 22,665 | | 3,336 | | 761 | | 154 | | | 14 | | 57 | | (2,637) | |
| Chemicals | 22,356 | | 7,969 | | 14,387 | | 16,665 | | 3,804 | | 1,882 | | 5 | | | 32 | | 8 | | (2,102) | |
| Metals and mining | 14,654 | | 6,462 | | 8,192 | | 8,593 | | 4,414 | | 1,614 | | 33 | | | 13 | | 5 | | (602) | |
| Banks and finance companies | 52,925 | | 29,856 | | 23,069 | | 43,831 | | 4,648 | | 4,387 | | 59 | | | 27 | | 79 | | (765) | |
Energy and commodities(7) | 49,524 | | 15,086 | | 34,438 | | 34,636 | | 7,345 | | 6,546 | | 997 | | | 70 | | 285 | | (4,199) | |
| Health | 35,504 | | 8,658 | | 26,846 | | 29,164 | | 4,354 | | 1,749 | | 237 | | | 17 | | 17 | | (1,964) | |
| Public sector | 26,887 | | 13,599 | | 13,288 | | 22,276 | | 1,887 | | 2,708 | | 16 | | | 45 | | 9 | | (1,089) | |
| Insurance | 26,576 | | 1,925 | | 24,651 | | 25,864 | | 575 | | 136 | | 1 | | | 27 | | 1 | | (2,682) | |
| Asset managers and funds | 19,745 | | 4,491 | | 15,254 | | 18,528 | | 1,013 | | 191 | | 13 | | | 41 | | (1) | | (84) | |
| Financial markets infrastructure | 12,610 | | 229 | | 12,381 | | 12,590 | | 20 | | — | | — | | | — | | — | | (9) | |
| Securities firms | 976 | | 430 | | 546 | | 573 | | 298 | | 97 | | 8 | | | — | | — | | (6) | |
| Other industries | 9,307 | | 4,545 | | 4,762 | | 4,980 | | 2,702 | | 1,442 | | 183 | | | 10 | | 43 | | (138) | |
| Total | $ | 784,773 | | $ | 344,418 | | $ | 440,355 | | $ | 627,100 | | $ | 87,162 | | $ | 66,035 | | $ | 4,476 | | | $ | 1,982 | | $ | 976 | | $ | (38,839) | |
(1) Excludes $42.6 billion and $4.4 billion of funded and unfunded exposure at December 31, 2020, respectively, primarily related to the delinquency-managed private bank portfolio.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Excludes $162 million of past due loans primarily related to the delinquency-managed private bank portfolio.
(4) Net charge-offs (recoveries) are for the year ended December 31, 2020 and exclude delinquency-managed private bank charge-offs of $10 million.
(5) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $38.8 billion of purchased credit protection, $36.8 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.0 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.1 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(6) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $20.2 billion ($10.3 billion in funded, with more than 99% rated investment grade) as of December 31, 2020.
(7) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2020, Citi’s total exposure to these energy-related entities was approximately $7.0 billion, of which approximately $3.8 billion consisted of direct outstanding funded loans.
Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. Citi may enter into partial-term hedges as well as full-term hedges. In advance of the expiration of partial-term hedges, Citi will determine, among other factors, the economic feasibility of hedging the remaining life of the instrument. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Principal transactions in the Consolidated Statement of Income.
At JuneSeptember 30, 2021, March 31,June 30, 2021 and December 31, 2020, ICG (excluding the delinquency-managed private bank portfolio) had economic hedges on the corporate credit portfolio of $37.2$38.1 billion, $38.8$37.2 billion and $38.8 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
| | | June 30,
2021 | March 31,
2021 | December 31,
2020 | | September 30,
2021 | June 30,
2021 | December 31,
2020 |
| AAA/AA/A | AAA/AA/A | 34 | % | 32 | % | 30 | % | AAA/AA/A | 32 | % | 34 | % | 30 | % |
| BBB | BBB | 46 | | 47 | | 48 | | BBB | 47 | | 46 | | 48 | |
| BB/B | BB/B | 17 | | 18 | | 19 | | BB/B | 17 | | 17 | | 19 | |
| CCC or below | CCC or below | 3 | | 3 | | 3 | | CCC or below | 4 | | 3 | | 3 | |
| Total | Total | 100 | % | 100 | % | 100 | % | Total | 100 | % | 100 | % | 100 | % |
ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS
Loans Outstanding
| | | 2nd Qtr. | 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. | | 3rd Qtr. | 2nd Qtr. | 1st Qtr. | 4th Qtr. | 3rd Qtr. |
| In millions of dollars | In millions of dollars | 2021 | 2021 | 2020 | In millions of dollars | 2021 | 2021 | 2020 |
| 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) | $ | 44,835 | | $ | 45,739 | | $ | 47,778 | | $ | 48,370 | | $ | 48,167 | | Residential first mortgages(2) | $ | 44,345 | | $ | 44,835 | | $ | 45,739 | | $ | 47,778 | | $ | 48,370 | |
Home equity loans(2) | Home equity loans(2) | 6,168 | | 6,638 | | 7,128 | | 7,625 | | 8,524 | | Home equity loans(2) | 5,485 | | 6,168 | | 6,638 | | 7,128 | | 7,625 | |
| Credit cards | Credit cards | 124,823 | | 121,048 | | 130,385 | | 125,485 | | 128,032 | | Credit cards | 125,526 | | 124,823 | | 121,048 | | 130,385 | | 125,485 | |
| Personal, small business and other | Personal, small business and other | 3,676 | | 4,600 | | 4,509 | | 4,689 | | 4,859 | | Personal, small business and other | 3,179 | | 3,676 | | 4,600 | | 4,509 | | 4,689 | |
| Total | Total | $ | 179,502 | | $ | 178,025 | | $ | 189,800 | | $ | 186,169 | | $ | 189,582 | | Total | $ | 178,535 | | $ | 179,502 | | $ | 178,025 | | $ | 189,800 | | $ | 186,169 | |
In offices outside North America(1) | In offices outside North America(1) | | In offices outside North America(1) | |
Residential first mortgages(2) | Residential first mortgages(2) | $ | 40,344 | | $ | 39,833 | | $ | 39,969 | | $ | 38,507 | | $ | 37,194 | | Residential first mortgages(2) | $ | 34,339 | | $ | 40,344 | | $ | 39,833 | | $ | 39,969 | | $ | 38,507 | |
| Credit cards | Credit cards | 20,776 | | 21,137 | | 22,692 | | 21,108 | | 20,966 | | Credit cards | 17,763 | | 20,776 | | 21,137 | | 22,692 | | 21,108 | |
| Personal, small business and other | Personal, small business and other | 35,273 | | 35,039 | | 36,378 | | 34,241 | | 33,371 | | Personal, small business and other | 33,613 | | 35,273 | | 35,039 | | 36,378 | | 34,241 | |
| Total | Total | $ | 96,393 | | $ | 96,009 | | $ | 99,039 | | $ | 93,856 | | $ | 91,531 | | Total | $ | 85,715 | | $ | 96,393 | | $ | 96,009 | | $ | 99,039 | | $ | 93,856 | |
Consumer loans, net of unearned income(3) | Consumer loans, net of unearned income(3) | $ | 275,895 | | $ | 274,034 | | $ | 288,839 | | $ | 280,025 | | $ | 281,113 | | Consumer loans, net of unearned income(3) | $ | 264,250 | | $ | 275,895 | | $ | 274,034 | | $ | 288,839 | | $ | 280,025 | |
| 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 | $ | 53,549 | | $ | 55,497 | | $ | 57,731 | | $ | 59,921 | | $ | 70,755 | | Commercial and industrial | $ | 56,496 | | $ | 53,549 | | $ | 55,497 | | $ | 57,731 | | $ | 59,921 | |
| Financial institutions | Financial institutions | 65,494 | | 57,009 | | 55,809 | | 52,884 | | 53,860 | | Financial institutions | 62,818 | | 65,494 | | 57,009 | | 55,809 | | 52,884 | |
Mortgage and real estate(2) | Mortgage and real estate(2) | 62,162 | | 60,976 | | 60,675 | | 59,340 | | 57,821 | | Mortgage and real estate(2) | 63,584 | | 62,162 | | 60,976 | | 60,675 | | 59,340 | |
| Installment and other | Installment and other | 26,757 | | 29,186 | | 26,744 | | 26,858 | | 25,602 | | Installment and other | 26,922 | | 26,757 | | 29,186 | | 26,744 | | 26,858 | |
| Lease financing | Lease financing | 547 | | 539 | | 673 | | 704 | | 869 | | Lease financing | 425 | | 547 | | 539 | | 673 | | 704 | |
| Total | Total | $ | 208,509 | | $ | 203,207 | | $ | 201,632 | | $ | 199,707 | | $ | 208,907 | | Total | $ | 210,245 | | $ | 208,509 | | $ | 203,207 | | $ | 201,632 | | $ | 199,707 | |
In offices outside North America(1) | In offices outside North America(1) | | In offices outside North America(1) | |
| Commercial and industrial | Commercial and industrial | $ | 105,486 | | $ | 102,666 | | $ | 104,072 | | $ | 108,551 | | $ | 115,471 | | Commercial and industrial | $ | 105,671 | | $ | 105,486 | | $ | 102,666 | | $ | 104,072 | | $ | 108,551 | |
| Financial institutions | Financial institutions | 35,713 | | 34,729 | | 32,334 | | 32,583 | | 35,173 | | Financial institutions | 33,501 | | 35,713 | | 34,729 | | 32,334 | | 32,583 | |
Mortgage and real estate(2) | Mortgage and real estate(2) | 10,995 | | 11,166 | | 11,371 | | 10,424 | | 10,332 | | Mortgage and real estate(2) | 10,685 | | 10,995 | | 11,166 | | 11,371 | | 10,424 | |
| Installment and other | Installment and other | 35,787 | | 35,347 | | 33,759 | | 32,323 | | 30,678 | | Installment and other | 36,054 | | 35,787 | | 35,347 | | 33,759 | | 32,323 | |
| Lease financing | Lease financing | 54 | | 56 | | 65 | | 63 | | 66 | | Lease financing | 47 | | 54 | | 56 | | 65 | | 63 | |
| Governments and official institutions | Governments and official institutions | 4,395 | | 4,783 | | 3,811 | | 3,235 | | 3,552 | | Governments and official institutions | 4,311 | | 4,395 | | 4,783 | | 3,811 | | 3,235 | |
| Total | Total | $ | 192,430 | | $ | 188,747 | | $ | 185,412 | | $ | 187,179 | | $ | 195,272 | | Total | $ | 190,269 | | $ | 192,430 | | $ | 188,747 | | $ | 185,412 | | $ | 187,179 | |
Corporate loans, net of unearned income(4) | Corporate loans, net of unearned income(4) | $ | 400,939 | | $ | 391,954 | | $ | 387,044 | | $ | 386,886 | | $ | 404,179 | | Corporate loans, net of unearned income(4) | $ | 400,514 | | $ | 400,939 | | $ | 391,954 | | $ | 387,044 | | $ | 386,886 | |
| Total loans—net of unearned income | Total loans—net of unearned income | $ | 676,834 | | $ | 665,988 | | $ | 675,883 | | $ | 666,911 | | $ | 685,292 | | Total loans—net of unearned income | $ | 664,764 | | $ | 676,834 | | $ | 665,988 | | $ | 675,883 | | $ | 666,911 | |
| Allowance for credit losses on loans (ACLL) | Allowance for credit losses on loans (ACLL) | (19,238) | | (21,638) | | (24,956) | | (26,426) | | (26,298) | | Allowance for credit losses on loans (ACLL) | (17,715) | | (19,238) | | (21,638) | | (24,956) | | (26,426) | |
| Total loans—net of unearned income and ACLL | Total loans—net of unearned income and ACLL | $ | 657,596 | | $ | 644,350 | | $ | 650,927 | | $ | 640,485 | | $ | 658,994 | | Total loans—net of unearned income and ACLL | $ | 647,049 | | $ | 657,596 | | $ | 644,350 | | $ | 650,927 | | $ | 640,485 | |
ACLL as a percentage of total loans—
net of unearned income(5) | ACLL as a percentage of total loans—
net of unearned income(5) | 2.88 | % | 3.29 | % | 3.73 | % | 4.00 | % | 3.87 | % | ACLL as a percentage of total loans—
net of unearned income(5) | 2.69 | % | 2.88 | % | 3.29 | % | 3.73 | % | 4.00 | % |
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) | 5.84 | % | 6.41 | % | 6.77 | % | 6.96 | % | 6.93 | % | ACLL for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5) | 5.55 | % | 5.84 | % | 6.41 | % | 6.77 | % | 6.96 | % |
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) | 0.80 | % | 1.06 | % | 1.42 | % | 1.82 | % | 1.71 | % | ACLL for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5) | 0.77 | % | 0.80 | % | 1.06 | % | 1.42 | % | 1.82 | % |
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification of corporate loans between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Consumer loans are net of unearned income of $650 million, $676 million, $700 million, $749 million and $739 million and $734 million at September 30, 2021, June 30, 2021, March 31, 2021, December 31, 2020 September 30, 2020 and JuneSeptember 30, 2020, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(4)Corporate loans include private bank loans and are net of unearned income of $(831) million, $(841) million, $(844) million, $(844) million and $(857) million and $(854) million at September 30, 2021, June 30, 2021, March 31, 2021, December 31, 2020 September 30, 2020 and JuneSeptember 30, 2020, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
(5)Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.
Details of Credit Loss Experience
| | | 2nd Qtr. | 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. | | 3rd Qtr. | 2nd Qtr. | 1st Qtr. | 4th Qtr. | 3rd Qtr. |
| In millions of dollars | In millions of dollars | 2021 | 2021 | 2020 | In millions of dollars | 2021 | 2021 | 2020 |
| Allowance for credit losses on loans (ACLL) at beginning of period | Allowance for credit losses on loans (ACLL) at beginning of period | $ | 21,638 | | $ | 24,956 | | $ | 26,426 | | $ | 26,298 | | $ | 20,380 | | Allowance for credit losses on loans (ACLL) at beginning of period | $ | 19,238 | | $ | 21,638 | | $ | 24,956 | | $ | 26,426 | | $ | 26,298 | |
| | Provision for credit losses on loans (PCLL) | Provision for credit losses on loans (PCLL) | | Provision for credit losses on loans (PCLL) | |
Consumer(1) | Consumer(1) | $ | (265) | | $ | (354) | | $ | 1,034 | | $ | 1,500 | | $ | 4,297 | | Consumer(1) | $ | (162) | | $ | (265) | | $ | (354) | | $ | 1,034 | | $ | 1,500 | |
| Corporate | Corporate | (861) | | (1,125) | | (1,410) | | 431 | | 3,693 | | Corporate | (26) | | (861) | | (1,125) | | (1,410) | | 431 | |
| Total | Total | $ | (1,126) | | $ | (1,479) | | $ | (376) | | $ | 1,931 | | $ | 7,990 | | Total | $ | (188) | | $ | (1,126) | | $ | (1,479) | | $ | (376) | | $ | 1,931 | |
| Gross credit losses on loans | Gross credit losses on loans | | Gross credit losses on loans | |
| Consumer | Consumer | | Consumer | |
| In U.S. offices | In U.S. offices | $ | 1,117 | | $ | 1,247 | | $ | 1,130 | | $ | 1,479 | | $ | 1,675 | | In U.S. offices | $ | 891 | | $ | 1,117 | | $ | 1,247 | | $ | 1,130 | | $ | 1,479 | |
| In offices outside the U.S. | In offices outside the U.S. | 576 | | 758 | | 524 | | 537 | | 506 | | In offices outside the U.S. | 449 | | 576 | | 758 | | 524 | | 537 | |
| Corporate | Corporate | | Corporate | |
| In U.S. offices | In U.S. offices | 56 | | 156 | | 159 | | 194 | | 177 | | In U.S. offices | 20 | | 56 | | 156 | | 159 | | 194 | |
| In offices outside the U.S. | In offices outside the U.S. | 95 | | 47 | | 76 | | 157 | | 170 | | In offices outside the U.S. | 29 | | 95 | | 47 | | 76 | | 157 | |
| Total | Total | $ | 1,844 | | $ | 2,208 | | $ | 1,889 | | $ | 2,367 | | $ | 2,528 | | Total | $ | 1,389 | | $ | 1,844 | | $ | 2,208 | | $ | 1,889 | | $ | 2,367 | |
Credit recoveries on loans(1) | Credit recoveries on loans(1) | | Credit recoveries on loans(1) | |
| Consumer | Consumer | | Consumer | |
| In U.S. offices | In U.S. offices | $ | 323 | | $ | 316 | | $ | 270 | | $ | 304 | | $ | 235 | | In U.S. offices | $ | 297 | | $ | 323 | | $ | 316 | | $ | 270 | | $ | 304 | |
| In offices outside the U.S. | In offices outside the U.S. | 139 | | 127 | | 122 | | 118 | | 109 | | In offices outside the U.S. | 121 | | 139 | | 127 | | 122 | | 118 | |
| Corporate | Corporate | | Corporate | |
| In U.S. offices | In U.S. offices | 40 | | 10 | | 16 | | 8 | | 12 | | In U.S. offices | 7 | | 40 | | 10 | | 16 | | 8 | |
| In offices outside the U.S. | In offices outside the U.S. | 22 | | 7 | | 9 | | 18 | | 11 | | In offices outside the U.S. | 3 | | 22 | | 7 | | 9 | | 18 | |
| Total | Total | $ | 524 | | $ | 460 | | $ | 417 | | $ | 448 | | $ | 367 | | Total | $ | 428 | | $ | 524 | | $ | 460 | | $ | 417 | | $ | 448 | |
| Net credit losses on loans (NCLs) | Net credit losses on loans (NCLs) | | Net credit losses on loans (NCLs) | |
| In U.S. offices | In U.S. offices | $ | 810 | | $ | 1,077 | | $ | 1,003 | | $ | 1,361 | | $ | 1,605 | | In U.S. offices | $ | 607 | | $ | 810 | | $ | 1,077 | | $ | 1,003 | | $ | 1,361 | |
| In offices outside the U.S. | In offices outside the U.S. | 510 | | 671 | | 469 | | 558 | | 556 | | In offices outside the U.S. | 354 | | 510 | | 671 | | 469 | | 558 | |
| Total | Total | $ | 1,320 | | $ | 1,748 | | $ | 1,472 | | $ | 1,919 | | $ | 2,161 | | Total | $ | 961 | | $ | 1,320 | | $ | 1,748 | | $ | 1,472 | | $ | 1,919 | |
Other—net(2)(3)(4)(5)(6)(7) | Other—net(2)(3)(4)(5)(6)(7) | $ | 46 | | $ | (91) | | $ | 378 | | $ | 116 | | $ | 89 | | Other—net(2)(3)(4)(5)(6)(7) | $ | (374) | | $ | 46 | | $ | (91) | | $ | 378 | | $ | 116 | |
| Allowance for credit losses on loans (ACLL) at end of period | Allowance for credit losses on loans (ACLL) at end of period | $ | 19,238 | | $ | 21,638 | | $ | 24,956 | | $ | 26,426 | | $ | 26,298 | | Allowance for credit losses on loans (ACLL) at end of period | $ | 17,715 | | $ | 19,238 | | $ | 21,638 | | $ | 24,956 | | $ | 26,426 | |
ACLL as a percentage of EOP loans(8) | ACLL as a percentage of EOP loans(8) | 2.88 | % | 3.29 | % | 3.73 | % | 4.00 | % | 3.87 | % | ACLL as a percentage of EOP loans(8) | 2.69 | % | 2.88 | % | 3.29 | % | 3.73 | % | 4.00 | % |
Allowance for credit losses on unfunded lending commitments (ACLUC)(9)(10) | Allowance for credit losses on unfunded lending commitments (ACLUC)(9)(10) | $ | 2,073 | | $ | 2,012 | | $ | 2,655 | | $ | 2,299 | | $ | 1,859 | | Allowance for credit losses on unfunded lending commitments (ACLUC)(9)(10) | $ | 2,063 | | $ | 2,073 | | $ | 2,012 | | $ | 2,655 | | $ | 2,299 | |
| Total ACLL and ACLUC | Total ACLL and ACLUC | $ | 21,311 | | $ | 23,650 | | $ | 27,611 | | $ | 28,725 | | $ | 28,157 | | Total ACLL and ACLUC | $ | 19,778 | | $ | 21,311 | | $ | 23,650 | | $ | 27,611 | | $ | 28,725 | |
| Net consumer credit losses on loans | Net consumer credit losses on loans | $ | 1,231 | | $ | 1,562 | | $ | 1,262 | | $ | 1,594 | | $ | 1,837 | | Net consumer credit losses on loans | $ | 922 | | $ | 1,231 | | $ | 1,562 | | $ | 1,262 | | $ | 1,594 | |
| As a percentage of average consumer loans | As a percentage of average consumer loans | 1.80 | % | 2.28 | % | 1.77 | % | 2.26 | % | 2.63 | % | As a percentage of average consumer loans | 1.37 | % | 1.80 | % | 2.28 | % | 1.77 | % | 2.26 | % |
| Net corporate credit losses on loans | Net corporate credit losses on loans | $ | 89 | | $ | 186 | | $ | 210 | | $ | 325 | | $ | 324 | | Net corporate credit losses on loans | $ | 39 | | $ | 89 | | $ | 186 | | $ | 210 | | $ | 325 | |
| As a percentage of average corporate loans | As a percentage of average corporate loans | 0.09 | % | 0.20 | % | 0.22 | % | 0.33 | % | 0.31 | % | As a percentage of average corporate loans | 0.04 | % | 0.09 | % | 0.20 | % | 0.22 | % | 0.33 | % |
ACLL by type at end of period(11) | ACLL by type at end of period(11) | | ACLL by type at end of period(11) | |
| Consumer | Consumer | $ | 16,111 | | $ | 17,554 | | $ | 19,554 | | $ | 19,488 | | $ | 19,474 | | Consumer | $ | 14,668 | | $ | 16,111 | | $ | 17,554 | | $ | 19,554 | | $ | 19,488 | |
| Corporate | Corporate | 3,127 | | 4,084 | | 5,402 | | 6,938 | | 6,824 | | Corporate | 3,047 | | 3,127 | | 4,084 | | 5,402 | | 6,938 | |
| Total | Total | $ | 19,238 | | $ | 21,638 | | $ | 24,956 | | $ | 26,426 | | $ | 26,298 | | Total | $ | 17,715 | | $ | 19,238 | | $ | 21,638 | | $ | 24,956 | | $ | 26,426 | |
(1)Citi had a change in accounting related to its variable post-charge-off third-party collection costs that was recorded as an adjustment to its January 1, 2020 opening allowance for credit losses on loans of $443 million. See Note 1 to the Consolidated Financial Statements.
(2)Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.
(3)The 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.
(4)The second quarter of 2021 includes an increase of approximately $62 million related to FX translation.
(4)(5)The first quarter of 2021 includes a decrease of approximately $108 million related to FX translation.
(5)(6)The fourth quarter of 2020 includes an increase of approximately $376 million related to FX translation.
(6)(7)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)September 30, 2021, June 30, 2021, March 31, 2021, December 31, 2020 and September 30, 2020 and June 30, 2020 exclude $7.2 billion, $7.7 billion, $7.5 billion, $6.9 billion $5.5 billion and $5.8$5.5 billion, respectively, of loans that are carried at fair value.
(9)At June 30, 2020, the corporate ACLUC includes a non-provision transfer of $68 million, representing reserves on performance guarantees as of March 31, 2020. The reserves on these contracts have been reclassified out of the allowance for credit losses on unfunded lending commitments and into other liabilities as of June 30, 2020.
(10)Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(11)See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.
Allowance for Credit Losses on Loans (ACLL)
The following tables detail information on Citi’s ACLL, loans and coverage ratios:
| | | | June 30, 2021 | | September 30, 2021 |
| In billions of dollars | In billions of dollars | ACLL | EOP loans, net of
unearned income | ACLL as a percentage of EOP loans(1) | In billions of dollars | ACLL | EOP loans, net of
unearned income | ACLL as a percentage of EOP loans(1) |
North America cards(2) | North America cards(2) | $ | 12.5 | | $ | 124.8 | | 10.0 | % | North America cards(2) | $ | 11.8 | | $ | 125.5 | | 9.4 | % |
North America mortgages(3) | North America mortgages(3) | 0.4 | | 51.0 | | 0.8 | | North America mortgages(3) | 0.3 | | 49.8 | | 0.6 | |
North America other | North America other | 0.2 | | 3.7 | | 5.4 | | North America other | 0.2 | | 3.2 | | 6.3 | |
| International cards | International cards | 1.6 | | 20.8 | | 7.7 | | International cards | 1.3 | | 17.8 | | 7.3 | |
International other(4) | International other(4) | 1.4 | | 75.6 | | 1.9 | | International other(4) | 1.1 | | 68.0 | | 1.6 | |
| Total consumer | Total consumer | $ | 16.1 | | $ | 275.9 | | 5.8 | % | Total consumer | $ | 14.7 | | $ | 264.3 | | 5.6 | % |
| Total corporate | Total corporate | 3.1 | | 400.9 | | 0.8 | | Total corporate | 3.0 | | 400.5 | | 0.8 | |
| Total Citigroup | Total Citigroup | $ | 19.2 | | $ | 676.8 | | 2.9 | % | Total Citigroup | $ | 17.7 | | $ | 664.8 | | 2.7 | % |
(1)Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)Includes both Citi-branded cards and Citi retail services. The $12.5$11.8 billion of loan loss reserves represented approximately 4760 months of coincident net credit loss coverage. As of JuneSeptember 30, 2021, North America Citi-branded cards ACLL as a percentage of EOP loans was 8.6%8.3% and North America Citi retail services ACLL as a percentage of EOP loans was 12.7%11.5%.
(3)Of the $0.4$0.3 billion, approximately $0.1 billion was allocated to North America mortgages in Corporate/Other, including approximately $0.3$0.2 billion and $0.1 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $51.0$49.8 billion in loans, approximately $49.3$48.4 billion and $1.7$1.4 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 | | December 31, 2020 |
| In billions of dollars | In billions of dollars | ACLL | EOP loans, net of
unearned income | ACLL as a percentage of EOP loans(1) | In billions of dollars | ACLL | EOP loans, net of
unearned income | ACLL as a percentage of EOP loans(1) |
North America cards(2) | North America cards(2) | $ | 14.7 | | $ | 130.4 | | 11.3 | % | North America cards(2) | $ | 14.7 | | $ | 130.4 | | 11.3 | % |
North America mortgages(3) | North America mortgages(3) | 0.7 | | 54.9 | | 1.3 | | North America mortgages(3) | 0.7 | | 54.9 | | 1.3 | |
North America other | North America other | 0.3 | | 4.5 | | 6.7 | | North America other | 0.3 | | 4.5 | | 6.7 | |
| International cards | International cards | 2.1 | | 22.7 | | 9.3 | | International cards | 2.1 | | $ | 22.7 | | 9.3 | |
International other(4) | International other(4) | 1.8 | | 76.3 | | 2.4 | | International other(4) | 1.8 | | 76.3 | | 2.4 | |
| Total consumer | Total consumer | $ | 19.6 | | $ | 288.8 | | 6.8 | % | Total consumer | $ | 19.6 | | $ | 288.8 | | 6.8 | % |
| Total corporate | Total corporate | 5.4 | | 387.1 | | 1.4 | | Total corporate | 5.4 | | 387.1 | | 1.4 | |
| Total Citigroup | Total Citigroup | $ | 25.0 | | $ | 675.9 | | 3.7 | % | Total Citigroup | $ | 25.0 | | $ | 675.9 | | 3.7 | % |
(1)Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)Includes both Citi-branded cards and Citi retail services. The $14.7 billion of loan loss reserves represented approximately 53 months of coincident net credit loss coverage. As of December 31, 2020, North America Citi-branded cards ACLL as a percentage of EOP loans was 10.0% and North America Citi retail services ACLL as a percentage of EOP loans was 13.6%.
(3)Of the $0.7 billion, approximately $0.3 billion was allocated to North America mortgages in Corporate/Other, including approximately $0.5 billion and $0.2 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $54.9 billion in loans, approximately $53.0 billion and $1.9 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.
The following table details Citi’s corporate credit allowance for credit losses on loans (ACLL) by industry exposure:
| | | June 30, 2021 | | September 30, 2021 |
| In millions of dollars, except percentages | In millions of dollars, except percentages | Funded exposure(1) | ACLL(2)(3) | ACLL as a % of funded exposure | In millions of dollars, except percentages | Funded exposure(1) | ACLL(2)(3) | ACLL as a % of funded exposure |
| Transportation and industrials | Transportation and industrials | $ | 54,096 | | $ | 843 | | 1.6 | % | Transportation and industrials | $ | 53,232 | | $ | 732 | | 1.4 | % |
| Private bank | Private bank | 82,227 | | 170 | | 0.2 | | Private bank | 78,185 | | 148 | | 0.2 | |
| Consumer retail | Consumer retail | 34,137 | | 314 | | 0.9 | | Consumer retail | 35,713 | | 301 | | 0.8 | |
| Technology, media and telecom | Technology, media and telecom | 28,947 | | 239 | | 0.8 | | Technology, media and telecom | 30,311 | | 179 | | 0.6 | |
| Real estate | Real estate | 44,674 | | 450 | | 1.0 | | Real estate | 45,850 | | 554 | | 1.2 | |
| Power, chemicals, metals and mining | Power, chemicals, metals and mining | 21,059 | | 170 | | 0.8 | | Power, chemicals, metals and mining | 19,927 | | 146 | | 0.7 | |
| Banks and finance companies | Banks and finance companies | 33,696 | | 64 | | 0.2 | | Banks and finance companies | 34,497 | | 160 | | 0.5 | |
| Energy and commodities | Energy and commodities | 14,418 | | 258 | | 1.8 | | Energy and commodities | 14,455 | | 250 | | 1.7 | |
| Health | Health | 7,963 | | 96 | | 1.2 | | Health | 7,888 | | 90 | | 1.1 | |
| Public sector | Public sector | 14,181 | | 158 | | 1.1 | | Public sector | 14,368 | | 95 | | 0.7 | |
| Insurance | Insurance | 2,383 | | 8 | | 0.3 | | Insurance | 2,482 | | 8 | | 0.3 | |
| Asset managers and funds | Asset managers and funds | 6,330 | | 20 | | 0.3 | | Asset managers and funds | 6,500 | | 30 | | 0.5 | |
| Financial markets infrastructure | Financial markets infrastructure | 177 | | — | | — | | Financial markets infrastructure | 236 | | — | | — | |
| Securities firms | Securities firms | 580 | | 8 | | 1.4 | | Securities firms | 701 | | 16 | | 2.3 | |
| Other industries | Other industries | 1,848 | | 20 | | 1.1 | | Other industries | 2,929 | | 41 | | 1.4 | |
| Total | Total | $ | 346,716 | | $ | 2,818 | | 0.8 | % | Total | $ | 347,274 | | $ | 2,750 | | 0.8 | % |
(1) Funded exposure excludes approximately $46.5$48.6 billion, primarily related to the delinquency-managed credit portfolio of the private bank, with an associated ACLL of $309approximately $297 million and $7.7 billion of loans at fair value that are not subject to ACLL under the CECL standard.
(2) As of JuneSeptember 30, 2021, the ACLL shown above reflects coverage of 0.3%0.4% of funded investment-grade exposure and 2.6%2.3% of funded non-investment-grade exposure.
(3) Excludes $309approximately $297 million of ACLL primarily associated with delinquency-managed private bank exposures at JuneSeptember 30, 2021. Including those reserves and exposures, the total ACLL is 0.8% of total funded exposure, including 0.3%0.4% of funded investment-grade exposure and 2.6%2.3% 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 on Form 10-K.
Non-Accrual Loans
The table below summarizes Citigroup’s non-accrual loans as of the periods indicated. Non-accrual loans may still be current on interest payments. In situations where Citi reasonably expects that only a portion of the principal owed will ultimately be collected, all payments received are reflected as a reduction of principal and not as interest income. For all other non-accrual loans, cash interest receipts are generally recorded as revenue.
| | | Jun. 30, | Mar. 31, | Dec. 31, | Sept. 30, | Jun. 30, | | Sept. 30, | Jun. 30, | Mar. 31, | Dec. 31, | Sept. 30, |
| In millions of dollars | In millions of dollars | 2021 | 2021 | 2020 | In millions of dollars | 2021 | 2021 | 2020 |
Corporate non-accrual loans(1)(2) | Corporate non-accrual loans(1)(2) | | Corporate non-accrual loans(1)(2) | |
| North America | North America | $ | 1,154 | | $ | 1,566 | | $ | 1,928 | | $ | 2,018 | | $ | 2,466 | | North America | $ | 1,166 | | $ | 1,154 | | $ | 1,566 | | $ | 1,928 | | $ | 2,018 | |
| EMEA | EMEA | 480 | | 591 | | 661 | | 720 | | 812 | | EMEA | 444 | | 480 | | 591 | | 661 | | 720 | |
| Latin America | Latin America | 767 | | 739 | | 719 | | 609 | | 585 | | Latin America | 679 | | 767 | | 739 | | 719 | | 609 | |
| Asia | Asia | 175 | | 210 | | 219 | | 237 | | 153 | | Asia | 111 | | 175 | | 210 | | 219 | | 237 | |
| Total corporate non-accrual loans | Total corporate non-accrual loans | $ | 2,576 | | $ | 3,106 | | $ | 3,527 | | $ | 3,584 | | $ | 4,016 | | Total corporate non-accrual loans | $ | 2,400 | | $ | 2,576 | | $ | 3,106 | | $ | 3,527 | | $ | 3,584 | |
| Consumer non-accrual loans | Consumer non-accrual loans | | Consumer non-accrual loans | |
| North America | North America | $ | 879 | | $ | 961 | | $ | 1,059 | | $ | 934 | | $ | 928 | | North America | $ | 772 | | $ | 879 | | $ | 961 | | $ | 1,059 | | $ | 934 | |
| Latin America | Latin America | 612 | | 720 | | 774 | | 493 | | 608 | | Latin America | 549 | | 612 | | 720 | | 774 | | 493 | |
Asia(3) | Asia(3) | 315 | | 303 | | 308 | | 263 | | 293 | | Asia(3) | 268 | | 315 | | 303 | | 308 | | 263 | |
| Total consumer non-accrual loans | Total consumer non-accrual loans | $ | 1,806 | | $ | 1,984 | | $ | 2,141 | | $ | 1,690 | | $ | 1,829 | | Total consumer non-accrual loans | $ | 1,589 | | $ | 1,806 | | $ | 1,984 | | $ | 2,141 | | $ | 1,690 | |
| Total non-accrual loans | Total non-accrual loans | $ | 4,382 | | $ | 5,090 | | $ | 5,668 | | $ | 5,274 | | $ | 5,845 | | Total non-accrual loans | $ | 3,989 | | $ | 4,382 | | $ | 5,090 | | $ | 5,668 | | $ | 5,274 | |
(1)Approximately 56%, 52%, 51%, 59%, and 58% and 63% of Citi’s corporate non-accrual loans were performing at September 30, 2021, June 30, 2021, March 31, 2021, December 31, 2020 September 30, 2020 and JuneSeptember 30, 2020, respectively.
(2)The JuneSeptember 30, 2021 corporate non-accrual loans represented 0.66%0.60% of total corporate loans.
(3) Asia GCB includes balances in certain EMEA countries for all periods presented.
The changes in Citigroup’s non-accrual loans were as follows:
| | | Three Months Ended | Three Months Ended | | Three Months Ended | Three Months Ended |
| | June 30, 2021 | June 30, 2020 | | September 30, 2021 | September 30, 2020 |
| In millions of dollars | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Non-accrual loans at beginning of quarter | Non-accrual loans at beginning of quarter | $ | 3,106 | | $ | 1,984 | | $ | 5,090 | | $ | 2,484 | | $ | 1,699 | | $ | 4,183 | | Non-accrual loans at beginning of quarter | $ | 2,576 | | $ | 1,806 | | $ | 4,382 | | $ | 4,016 | | $ | 1,829 | | $ | 5,845 | |
| Additions | Additions | 502 | | 526 | | 1,028 | | 2,414 | | 638 | | 3,052 | | Additions | 349 | | 470 | | 819 | | 832 | | 403 | | 1,235 | |
| Sales and transfers to HFS | Sales and transfers to HFS | (320) | | (24) | | (344) | | — | | (11) | | (11) | | Sales and transfers to HFS | (26) | | (56) | | (82) | | — | | (42) | | (42) | |
| Returned to performing | Returned to performing | (12) | | (163) | | (175) | | (69) | | (113) | | (182) | | Returned to performing | (43) | | (166) | | (209) | | (12) | | (76) | | (88) | |
| Paydowns/settlements | Paydowns/settlements | (657) | | (200) | | (857) | | (802) | | (109) | | (911) | | Paydowns/settlements | (386) | | (212) | | (598) | | (1,037) | | (150) | | (1,187) | |
| Charge-offs | Charge-offs | (58) | | (334) | | (392) | | (41) | | (278) | | (319) | | Charge-offs | (47) | | (227) | | (274) | | (158) | | (303) | | (461) | |
| Other | Other | 15 | | 17 | | 32 | | 30 | | 3 | | 33 | | Other | (23) | | (26) | | (49) | | (57) | | 29 | | (28) | |
| Ending balance | Ending balance | $ | 2,576 | | $ | 1,806 | | $ | 4,382 | | $ | 4,016 | | $ | 1,829 | | $ | 5,845 | | Ending balance | $ | 2,400 | | $ | 1,589 | | $ | 3,989 | | $ | 3,584 | | $ | 1,690 | | $ | 5,274 | |
| | Six Months Ended | Six Months Ended | | Nine Months Ended | Nine Months Ended |
| | June 30, 2021 | June 30, 2020 | | September 30, 2021 | September 30, 2020 |
| In millions of dollars | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Non-accrual loans at beginning of year | Non-accrual loans at beginning of year | $ | 3,527 | | $ | 2,141 | | $ | 5,668 | | $ | 2,188 | | $ | 1,816 | | $ | 4,004 | | Non-accrual loans at beginning of year | $ | 3,527 | | $ | 2,141 | | $ | 5,668 | | $ | 2,188 | | $ | 1,816 | | $ | 4,004 | |
| Additions | Additions | 993 | | 1,208 | | 2,201 | | 3,230 | | 1,590 | | 4,820 | | Additions | 1,342 | | 1,678 | | 3,020 | | 4,062 | | 1,993 | | 6,055 | |
| Sales and transfers to HFS | Sales and transfers to HFS | (376) | | (82) | | (458) | | (1) | | (31) | | (32) | | Sales and transfers to HFS | (402) | | (138) | | (540) | | (1) | | (73) | | (74) | |
| Returned to performing | Returned to performing | (58) | | (352) | | (410) | | (117) | | (204) | | (321) | | Returned to performing | (101) | | (518) | | (619) | | (129) | | (280) | | (409) | |
| Paydowns/settlements | Paydowns/settlements | (1,375) | | (320) | | (1,695) | | (1,156) | | (433) | | (1,589) | | Paydowns/settlements | (1,761) | | (532) | | (2,293) | | (2,193) | | (583) | | (2,776) | |
| Charge-offs | Charge-offs | (133) | | (779) | | (912) | | (132) | | (605) | | (737) | | Charge-offs | (180) | | (1,006) | | (1,186) | | (290) | | (908) | | (1,198) | |
| Other | Other | (2) | | (10) | | (12) | | 4 | | (304) | | (300) | | Other | (25) | | (36) | | (61) | | (53) | | (275) | | (328) | |
| Ending balance | Ending balance | $ | 2,576 | | $ | 1,806 | | $ | 4,382 | | $ | 4,016 | | $ | 1,829 | | $ | 5,845 | | Ending balance | $ | 2,400 | | $ | 1,589 | | $ | 3,989 | | $ | 3,584 | | $ | 1,690 | | $ | 5,274 | |
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:
| | | Jun. 30, | Mar. 31, | Dec. 31, | Sept. 30, | Jun. 30, | | Sept. 30, | Jun. 30, | Mar. 31, | Dec. 31, | Sept. 30, |
| In millions of dollars | In millions of dollars | 2021 | 2021 | 2020 | In millions of dollars | 2021 | 2021 | 2020 |
| OREO | OREO | | OREO | |
| North America | North America | $ | 12 | | $ | 14 | | $ | 19 | | $ | 22 | | $ | 32 | | North America | $ | 10 | | $ | 12 | | $ | 14 | | $ | 19 | | $ | 22 | |
| EMEA | EMEA | — | | — | | — | | — | | — | | EMEA | — | | — | | — | | — | | — | |
| Latin America | Latin America | 11 | | 10 | | 7 | | 8 | | 6 | | Latin America | 10 | | 11 | | 10 | | 7 | | 8 | |
| Asia | Asia | 10 | | 19 | | 17 | | 12 | | 6 | | Asia | 1 | | 10 | | 19 | | 17 | | 12 | |
| Total OREO | Total OREO | $ | 33 | | $ | 43 | | $ | 43 | | $ | 42 | | $ | 44 | | Total OREO | $ | 21 | | $ | 33 | | $ | 43 | | $ | 43 | | $ | 42 | |
| | Non-accrual assets | Non-accrual assets | | Non-accrual assets | |
| Corporate non-accrual loans | Corporate non-accrual loans | $ | 2,576 | | $ | 3,106 | | $ | 3,527 | | $ | 3,584 | | $ | 4,016 | | Corporate non-accrual loans | $ | 2,400 | | $ | 2,576 | | $ | 3,106 | | $ | 3,527 | | $ | 3,584 | |
| Consumer non-accrual loans | Consumer non-accrual loans | 1,806 | | 1,984 | | 2,141 | | 1,690 | | 1,829 | | Consumer non-accrual loans | 1,589 | | 1,806 | | 1,984 | | 2,141 | | 1,690 | |
| Non-accrual loans (NAL) | Non-accrual loans (NAL) | $ | 4,382 | | $ | 5,090 | | $ | 5,668 | | $ | 5,274 | | $ | 5,845 | | Non-accrual loans (NAL) | $ | 3,989 | | $ | 4,382 | | $ | 5,090 | | $ | 5,668 | | $ | 5,274 | |
| OREO | OREO | $ | 33 | | $ | 43 | | $ | 43 | | $ | 42 | | $ | 44 | | OREO | $ | 21 | | $ | 33 | | $ | 43 | | $ | 43 | | $ | 42 | |
| Non-accrual assets (NAA) | Non-accrual assets (NAA) | $ | 4,415 | | $ | 5,133 | | $ | 5,711 | | $ | 5,316 | | $ | 5,889 | | Non-accrual assets (NAA) | $ | 4,010 | | $ | 4,415 | | $ | 5,133 | | $ | 5,711 | | $ | 5,316 | |
| NAL as a percentage of total loans | NAL as a percentage of total loans | 0.65 | % | 0.76 | % | 0.84 | % | 0.79 | % | 0.85 | % | NAL as a percentage of total loans | 0.60 | % | 0.65 | % | 0.76 | % | 0.84 | % | 0.79 | % |
| NAA as a percentage of total assets | NAA as a percentage of total assets | 0.19 | | 0.22 | | 0.25 | | 0.24 | | 0.26 | | NAA as a percentage of total assets | 0.17 | | 0.19 | | 0.22 | | 0.25 | | 0.24 | |
ACLL as a percentage of NAL(1) | ACLL as a percentage of NAL(1) | 439 | % | 425 | % | 440 | % | 501 | % | 450 | % | ACLL as a percentage of NAL(1) | 444 | % | 439 | % | 425 | % | 440 | % | 501 | % |
(1)The ACLL includes the allowance for Citi’s credit card portfolios and purchased distressedcredit-distressed 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 | In millions of dollars | Jun. 30, 2021 | Dec. 31, 2020 | In millions of dollars | Sept. 30, 2021 | Dec. 31, 2020 |
Corporate renegotiated loans(1) | Corporate renegotiated loans(1) | | Corporate renegotiated loans(1) | |
| In U.S. offices | In U.S. offices | | In U.S. offices | |
Commercial and industrial(2) | Commercial and industrial(2) | $ | 150 | | $ | 193 | | Commercial and industrial(2) | $ | 114 | | $ | 193 | |
| Mortgage and real estate | Mortgage and real estate | 53 | | 60 | | Mortgage and real estate | 53 | | 60 | |
| Financial institutions | Financial institutions | — | | — | | Financial institutions | — | | — | |
| Other | Other | 28 | | 30 | | Other | 31 | | 30 | |
| Total | Total | $ | 231 | | $ | 283 | | Total | $ | 198 | | $ | 283 | |
| In offices outside the U.S. | In offices outside the U.S. | | In offices outside the U.S. | |
Commercial and industrial(2) | Commercial and industrial(2) | $ | 148 | | $ | 132 | | Commercial and industrial(2) | $ | 138 | | $ | 132 | |
| Mortgage and real estate | Mortgage and real estate | 27 | | 32 | | Mortgage and real estate | 12 | | 32 | |
| Financial institutions | Financial institutions | — | | — | | Financial institutions | — | | — | |
| Other | Other | 10 | | 3 | | Other | 20 | | 3 | |
| Total | Total | $ | 185 | | $ | 167 | | Total | $ | 170 | | $ | 167 | |
| Total corporate renegotiated loans | Total corporate renegotiated loans | $ | 416 | | $ | 450 | | Total corporate renegotiated loans | $ | 368 | | $ | 450 | |
Consumer renegotiated loans(3) | Consumer renegotiated loans(3) | | Consumer renegotiated loans(3) | |
| In U.S. offices | In U.S. offices | | In U.S. offices | |
| Mortgage and real estate | Mortgage and real estate | $ | 1,677 | | $ | 1,904 | | Mortgage and real estate | $ | 1,455 | | $ | 1,904 | |
| Cards | Cards | 1,412 | | 1,449 | | Cards | 1,340 | | 1,449 | |
| Installment and other | Installment and other | 30 | | 33 | | Installment and other | 30 | | 33 | |
| Total | Total | $ | 3,119 | | $ | 3,386 | | Total | $ | 2,825 | | $ | 3,386 | |
| In offices outside the U.S. | In offices outside the U.S. | | In offices outside the U.S. | |
| Mortgage and real estate | Mortgage and real estate | $ | 363 | | $ | 361 | | Mortgage and real estate | $ | 229 | | $ | 361 | |
| Cards | Cards | 494 | | 533 | | Cards | 361 | | 533 | |
| Installment and other | Installment and other | 493 | | 519 | | Installment and other | 437 | | 519 | |
| Total | Total | $ | 1,350 | | $ | 1,413 | | Total | $ | 1,027 | | $ | 1,413 | |
| Total consumer renegotiated loans | Total consumer renegotiated loans | $ | 4,469 | | $ | 4,799 | | Total consumer renegotiated loans | $ | 3,852 | | $ | 4,799 | |
(1)Includes $389$337 million and $415 million of non-accrual loans included in the non-accrual loans table above at JuneSeptember 30, 2021 and December 31, 2020, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at JuneSeptember 30, 2021 and December 31, 2020, Citi also modified zero and $47 million, respectively, of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices outside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession or because the modifications qualified for exemptions from TDR accounting provided by the CARES Act or the interagency guidance.
(3)Includes $806$714 million and $873 million of non-accrual loans included in the non-accrual loans table above at JuneSeptember 30, 2021 and December 31, 2020, respectively. The remaining loans were accruing interest.
LIQUIDITY RISK
For additional information on funding and liquidity at Citigroup, including its objectives, management and measurement, see “Liquidity Risk” and “Risk Factors—Liquidity Risks” in Citi’s 2020 Annual Report on Form 10-K.
High-Quality Liquid Assets (HQLA)
| | | Citibank | Citi non-bank and other entities | Total | | Citibank | Citi non-bank and other entities | Total |
| In billions of dollars | In billions of dollars | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | In billions of dollars | Sept. 30, 2021 | Jun. 30, 2021 | Sept. 30, 2020 | Sept. 30, 2021 | Jun. 30, 2021 | Sept. 30, 2020 | Sept. 30, 2021 | Jun. 30, 2021 | Sept. 30, 2020 |
| Available cash | Available cash | $ | 259.3 | | $ | 276.6 | | $ | 273.8 | | $ | 2.8 | | $ | 3.0 | | $ | 2.9 | | $ | 262.2 | | $ | 279.6 | | $ | 276.7 | | Available cash | $ | 255.1 | | $ | 259.3 | | $ | 279.3 | | $ | 3.5 | | $ | 2.8 | | $ | 2.0 | | $ | 258.5 | | $ | 262.2 | | $ | 281.3 | |
| U.S. sovereign | U.S. sovereign | 91.1 | | 85.0 | | 67.5 | | 61.5 | | 67.7 | | 42.2 | | 152.6 | | 152.7 | | 109.7 | | U.S. sovereign | 108.9 | | 91.1 | | 80.6 | | 64.3 | | 61.5 | | 56.0 | | 173.2 | | 152.6 | | 136.6 | |
| U.S. agency/agency MBS | U.S. agency/agency MBS | 41.5 | | 37.0 | | 36.4 | | 5.2 | | 6.3 | | 7.0 | | 46.7 | | 43.3 | | 43.4 | | U.S. agency/agency MBS | 45.3 | | 41.5 | | 34.6 | | 6.0 | | 5.2 | | 5.8 | | 51.3 | | 46.7 | | 40.4 | |
Foreign government debt(1) | Foreign government debt(1) | 47.2 | | 43.6 | | 46.6 | | 12.0 | | 13.7 | | 11.4 | | 59.2 | | 57.3 | | 58.0 | | Foreign government debt(1) | 50.2 | | 47.2 | | 44.5 | | 11.2 | | 12.0 | | 17.0 | | 61.4 | | 59.2 | | 61.5 | |
| Other investment grade | Other investment grade | 1.5 | | 1.4 | | 1.3 | | 0.3 | | 0.6 | | 0.7 | | 1.9 | | 2.0 | | 2.0 | | Other investment grade | 1.8 | | 1.5 | | 1.5 | | 0.3 | | 0.3 | | 0.7 | | 2.1 | | 1.9 | | 2.2 | |
| Total HQLA (AVG) | Total HQLA (AVG) | $ | 440.7 | | $ | 443.6 | | $ | 425.6 | | $ | 81.8 | | $ | 91.3 | | $ | 64.2 | | $ | 522.6 | | $ | 534.8 | | $ | 489.8 | | Total HQLA (AVG) | $ | 461.2 | | $ | 440.7 | | $ | 440.5 | | $ | 85.3 | | $ | 81.8 | | $ | 81.5 | | $ | 546.5 | | $ | 522.6 | | $ | 522.0 | |
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), pursuant to the U.S. LCR rules. These amounts include the HQLA needed to meet the minimum requirements at these entities and any amounts in excess of these minimums that are assumed to be transferable to other entities within Citigroup. Citigroup’s HQLA decreasedincreased quarter-over-quarter, primarily reflecting liquidity being deployed into trading activities.growth in deposits.
As of JuneSeptember 30, 2021, Citigroup had approximately $972$994 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 | In billions of dollars | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | In billions of dollars | Sept. 30, 2021 | Jun. 30, 2021 | Sept. 30, 2020 |
| HQLA | HQLA | $ | 522.6 | | $ | 534.8 | | $ | 489.8 | | HQLA | $ | 546.5 | | $ | 522.6 | | $ | 522.0 | |
| Net outflows | Net outflows | 461.7 | | 463.7 | | 420.1 | | Net outflows | 474.8 | | 461.7 | | 442.6 | |
| LCR | LCR | 113 | % | 115 | % | 117 | % | LCR | 115 | % | 113 | % | 118 | % |
| HQLA in excess of net outflows | HQLA in excess of net outflows | $ | 60.9 | | $ | 71.1 | | $ | 69.7 | | HQLA in excess of net outflows | $ | 71.7 | | $ | 60.9 | | $ | 79.4 | |
Note: The amounts are presented on an average basis.
As of JuneSeptember 30, 2021, Citigroup’s average LCR decreasedincreased from the quarter ended March 31,June 30, 2021. The decreaseincrease was primarily driven by Citi deploying liquidity and optimizing its overall HQLA.lower funding needs in broker-dealer subsidiaries along with debt issuance in the latter part of the prior quarter.
Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR)
As previously disclosed, in October 2020, the U.S. banking agencies adopted a final rule to assess the availability of a bank’s stable funding against a required level.
In general, a bank’s available stable funding will include portions of equity, deposits and long-term debt, while its required stable funding will be based on the liquidity characteristics of its assets, derivatives and commitments. The ratio of available stable funding to required stable funding will be required to be greater than 100%.
The final rule became effective beginning July 1, 2021, while public disclosure requirements to report the ratio will occur on a semiannual basis beginning June 30, 2023. Citi was in compliance with the final rule as of its effective date.the third quarter of 2021.
Loans
The table below details the average loans, by business and/or segment, and the total end-of-period loans for each of the periods indicated:
| | In billions of dollars | In billions of dollars | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | In billions of dollars | Sept. 30, 2021 | Jun. 30, 2021 | Sept. 30, 2020 |
| Global Consumer Banking | Global Consumer Banking | | Global Consumer Banking | |
| North America | North America | $ | 171.9 | | $ | 174.4 | | $ | 181.0 | | North America | $ | 173.8 | | $ | 171.9 | | $ | 179.1 | |
| Latin America | Latin America | 13.5 | | 13.9 | | 13.4 | | Latin America | 13.2 | | 13.5 | | 13.6 | |
Asia(1) | Asia(1) | 83.2 | | 83.4 | | 77.1 | | Asia(1) | 75.9 | | 83.2 | | 79.7 | |
| Total | Total | $ | 268.6 | | $ | 271.7 | | $ | 271.5 | | Total | $ | 262.9 | | $ | 268.6 | | $ | 272.4 | |
| Institutional Clients Group | Institutional Clients Group | | Institutional Clients Group | |
| Corporate lending | Corporate lending | $ | 134.4 | | $ | 138.0 | | $ | 190.4 | | Corporate lending | $ | 129.2 | | $ | 134.4 | | $ | 166.1 | |
| Treasury and trade solutions (TTS) | Treasury and trade solutions (TTS) | 71.6 | | 67.9 | | 71.0 | | Treasury and trade solutions (TTS) | 73.7 | | 71.6 | | 67.1 | |
| Private bank | Private bank | 123.9 | | 119.8 | | 108.9 | | Private bank | 125.9 | | 123.9 | | 110.3 | |
Markets and securities services and other | Markets and securities services and other | 65.8 | | 61.7 | | 52.0 | | Markets and securities services and other | 72.0 | | 65.8 | | 53.1 | |
| Total | Total | $ | 395.8 | | $ | 387.4 | | $ | 422.3 | | Total | $ | 400.8 | | $ | 395.8 | | $ | 396.6 | |
Total Corporate/Other | Total Corporate/Other | $ | 5.8 | | $ | 6.9 | | $ | 9.0 | | Total Corporate/Other | $ | 4.7 | | $ | 5.8 | | $ | 8.2 | |
| Total Citigroup loans (AVG) | Total Citigroup loans (AVG) | $ | 670.3 | | $ | 666.0 | | $ | 702.8 | | Total Citigroup loans (AVG) | $ | 668.5 | | $ | 670.3 | | $ | 677.2 | |
| Total Citigroup loans (EOP) | Total Citigroup loans (EOP) | $ | 676.8 | | $ | 666.0 | | $ | 685.3 | | Total Citigroup loans (EOP) | $ | 664.8 | | $ | 676.8 | | $ | 666.9 | |
(1)Includes loans in certain EMEA countries for all periods presented.
End-of-period loans decreased 1%were largely unchanged year-over-year and grewdeclined 2% quarter-over-quarter.
On an average basis, loans declined 5%1% year-over-year and grew 1%were largely unchanged sequentially. Excluding the impact of FX translation, average loans declined 7%2% year-over-year and grew 1%were largely unchanged sequentially. On this basis, average GCB loans declined 4% year-over-year, primarily reflecting higher payment rates given high levelsthe reclassification of liquidity dueloans to U.S. fiscal stimulus.held-for-sale as a result of Citi’s agreement to sell its consumer banking business in Australia.
Excluding the impact of FX translation, average ICG loans declined 8%were largely unchanged year-over-year. Loans in corporate lending declined 32%23% on an average basis, reflecting net repayments as Citi continued to assist its clients in accessing the capital markets, as well as lower demand. Private bank loans increased 12%14%, largely driven by increased secured lending to high-net-worth clients. Markets and securities services loans increased
24% 35%, reflecting an increase in securitization financing. TTS loans decreased 1%increased 9%, as a recoveryreflecting an increase in trade flows was more than offset by the continued low level of spend in commercial cards. On an end-of-period basis, and excluding the impact of FX translation, TTS loans increased 3%, reflecting increasing client demand and improving macroeconomic conditions.originations.
Average Corporate/Other loans continued to decline (down 34%42%), driven by the wind-down of legacy assets.
Deposits
The table below details the average deposits, by business and/or segment, and the total end-of-period deposits for each of the periods indicated:
| | In billions of dollars | In billions of dollars | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | In billions of dollars | Sept. 30, 2021 | Jun. 30, 2021 | Sept. 30, 2020 |
Global Consumer Banking(1) | Global Consumer Banking(1) | | Global Consumer Banking(1) | |
| North America | North America | $ | 204.2 | | $ | 197.0 | | $ | 172.5 | | North America | $ | 208.4 | | $ | 204.2 | | $ | 182.1 | |
| Latin America | Latin America | 24.1 | | 24.5 | | 20.6 | | Latin America | 24.2 | | 24.1 | | 22.5 | |
Asia(2) | Asia(2) | 124.6 | | 123.8 | | 108.8 | | Asia(2) | 120.7 | | 124.6 | | 115.2 | |
| Total | Total | $ | 352.9 | | $ | 345.3 | | $ | 301.9 | | Total | $ | 353.3 | | $ | 352.9 | | $ | 319.8 | |
| Institutional Clients Group | Institutional Clients Group | | Institutional Clients Group | |
| Treasury and trade solutions (TTS) | Treasury and trade solutions (TTS) | $ | 659.3 | | $ | 661.4 | | $ | 667.5 | | Treasury and trade solutions (TTS) | $ | 674.8 | | $ | 659.3 | | $ | 678.6 | |
Banking ex-TTS | Banking ex-TTS | 172.3 | | 165.6 | | 143.5 | | Banking ex-TTS | 179.5 | | 172.3 | | 150.1 | |
| Markets and securities services | Markets and securities services | 127.6 | | 120.2 | | 108.2 | | Markets and securities services | 127.2 | | 127.6 | | 107.9 | |
| Total | Total | $ | 959.2 | | $ | 947.3 | | $ | 919.2 | | Total | $ | 981.6 | | $ | 959.2 | | $ | 936.6 | |
| Corporate/Other | Corporate/Other | $ | 9.1 | | $ | 11.4 | | $ | 12.8 | | Corporate/Other | $ | 8.2 | | $ | 9.1 | | $ | 11.4 | |
| Total Citigroup deposits (AVG) | Total Citigroup deposits (AVG) | $ | 1,321.3 | | $ | 1,304.0 | | $ | 1,233.9 | | Total Citigroup deposits (AVG) | $ | 1,343.0 | | $ | 1,321.3 | | $ | 1,267.8 | |
| Total Citigroup deposits (EOP) | Total Citigroup deposits (EOP) | $ | 1,310.3 | | $ | 1,301.0 | | $ | 1,233.7 | | Total Citigroup deposits (EOP) | $ | 1,347.5 | | $ | 1,310.3 | | $ | 1,262.6 | |
(1)Reflects deposits within retail banking.
(2)Includes deposits in certain EMEA countries for all periods presented.
End-of-period deposits increased 6%7% year-over-year and 1%3% sequentially.
On an average basis, deposits increased 7%6% year-over-year and 1%2% sequentially. Excluding the impact of FX translation, average deposits grew 5% from the prior-year period and 1%2% sequentially. The year-over-year increase reflected continued client engagement as well as the elevated level of liquidity in the financial system. On this basis, average deposits in GCB increased 14%9%, with strong growth in North America and Asia.
Excluding the impact of FX translation, average deposits in ICG grew 2%4% year-over-year, with strong growth in the private bank and securities services, partly offset by a reduction in TTS.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 8.88.6 years as of JuneSeptember 30, 2021, compared to 8.78.6 years as of the prior year and 8.98.8 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 | In billions of dollars | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | In billions of dollars | Sept. 30, 2021 | Jun. 30, 2021 | Sept. 30, 2020 |
Non-bank(1) | Non-bank(1) | | Non-bank(1) | |
| Benchmark debt: | Benchmark debt: | | Benchmark debt: | |
| Senior debt | Senior debt | $ | 127.8 | | $ | 120.1 | | $ | 126.9 | | Senior debt | $ | 123.9 | | $ | 127.8 | | $ | 126.3 | |
| Subordinated debt | Subordinated debt | 26.2 | | 25.9 | | 27.6 | | Subordinated debt | 26.0 | | 26.2 | | 27.4 | |
| Trust preferred | Trust preferred | 1.7 | | 1.7 | | 1.7 | | Trust preferred | 1.7 | | 1.7 | | 1.7 | |
| Customer-related debt | Customer-related debt | 73.9 | | 66.2 | | 60.4 | | Customer-related debt | 74.7 | | 73.9 | | 61.0 | |
Local country and other(2) | Local country and other(2) | 6.3 | | 5.9 | | 7.7 | | Local country and other(2) | 7.2 | | 6.3 | | 8.1 | |
| Total non-bank | Total non-bank | $ | 235.9 | | $ | 219.8 | | $ | 224.3 | | Total non-bank | $ | 233.6 | | $ | 235.9 | | $ | 224.5 | |
| Bank | Bank | | Bank | |
| FHLB borrowings | FHLB borrowings | $ | 9.5 | | $ | 10.9 | | $ | 15.0 | | FHLB borrowings | $ | 5.8 | | $ | 9.5 | | $ | 14.7 | |
Securitizations(3) | Securitizations(3) | 11.6 | | 12.8 | | 17.6 | | Securitizations(3) | 11.0 | | 11.6 | | 16.4 | |
| Citibank benchmark senior debt | Citibank benchmark senior debt | 3.7 | | 9.2 | | 16.3 | | Citibank benchmark senior debt | 3.6 | | 3.7 | | 14.2 | |
Local country and other(2) | Local country and other(2) | 3.9 | | 3.6 | | 6.6 | | Local country and other(2) | 4.3 | | 3.9 | | 3.5 | |
| Total bank | Total bank | $ | 28.7 | | $ | 36.5 | | $ | 55.5 | | Total bank | $ | 24.7 | | $ | 28.7 | | $ | 48.8 | |
| Total long-term debt | Total long-term debt | $ | 264.6 | | $ | 256.3 | | $ | 279.8 | | Total long-term debt | $ | 258.3 | | $ | 264.6 | | $ | 273.3 | |
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 JuneSeptember 30, 2021, non-bank included $61.5$63.5 billion of long-term debt issued by Citi’s broker-dealer and other subsidiaries, as well as certain Citigroup consolidated hedging activities.
(2)Local country and other includes debt issued by Citi’s affiliates in support of their local operations. Within non-bank, certain secured financing is also included.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.
Citi’s total long-term debt outstanding decreased year-over-year, primarily driven by declines in unsecured benchmark senior debt, securitizationsFHLB borrowings and FHLB borrowingssecuritizations at the bank, partially offset by the issuance of customer-related debt at the non-bank entities. Sequentially, long-term debt outstanding increased,decreased, driven primarily by increasesdecreases in FHLB borrowings at the bank and unsecured benchmark senior debt and customer-related debt at the non-bank entities.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to redeem or repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such redemptions and repurchases help reduce Citi’s overall funding costs. During the secondthird quarter of 2021, Citi redeemed or repurchased an aggregate of approximately $12.3$5.9 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:
| | | | 2Q21 | 1Q21 | 2Q20 | | 3Q21 | 2Q21 | 3Q20 |
| In billions of dollars | In billions of dollars | Maturities | Issuances | Maturities | Issuances | Maturities | Issuances | In billions of dollars | Maturities | Issuances | Maturities | Issuances | Maturities | Issuances |
| Non-bank | Non-bank | | | | | | Non-bank | | | | | |
| Benchmark debt: | Benchmark debt: | | | | | | Benchmark debt: | | | | | |
| Senior debt | Senior debt | $ | 1.8 | | $ | 8.7 | | $ | 4.3 | | $ | 2.5 | | $ | — | | $ | 10.3 | | Senior debt | $ | 2.8 | | $ | 0.3 | | $ | 1.8 | | $ | 8.7 | | $ | 1.4 | | $ | — | |
| Subordinated debt | Subordinated debt | — | | — | | — | | — | | — | | — | | Subordinated debt | — | | — | | — | | — | | — | | — | |
| Trust preferred | Trust preferred | — | | — | | — | | — | | — | | — | | Trust preferred | — | | — | | — | | — | | — | | — | |
| Customer-related debt | Customer-related debt | 8.5 | | 15.4 | | 8.6 | | 12.2 | | 8.4 | | 10.3 | | Customer-related debt | 6.9 | | 9.8 | | 8.5 | | 15.4 | | 6.6 | | 6.2 | |
| Local country and other | Local country and other | 1.0 | | 1.5 | | 1.4 | | 0.5 | | 0.2 | | 0.3 | | Local country and other | 0.6 | | 1.3 | | 1.0 | | 1.5 | | 0.1 | | 0.4 | |
| Total non-bank | Total non-bank | $ | 11.3 | | $ | 25.6 | | $ | 14.3 | | $ | 15.2 | | $ | 8.6 | | $ | 20.9 | | Total non-bank | $ | 10.3 | | $ | 11.4 | | $ | 11.3 | | $ | 25.6 | | $ | 8.1 | | $ | 6.6 | |
| Bank | Bank | | | | | | Bank | | | | | |
| FHLB borrowings | FHLB borrowings | $ | 1.4 | | $ | — | | $ | — | | $ | — | | $ | 1.0 | | $ | — | | FHLB borrowings | $ | 3.8 | | $ | — | | $ | 1.4 | | $ | — | | $ | 0.3 | | $ | — | |
| Securitizations | Securitizations | 1.2 | | — | | 3.7 | | — | | 3.3 | | — | | Securitizations | — | | — | | 1.2 | | — | | 1.2 | | — | |
| Citibank benchmark senior debt | Citibank benchmark senior debt | 5.5 | | — | | 4.3 | | — | | 6.0 | | — | | Citibank benchmark senior debt | — | | — | | 5.5 | | — | | 2.1 | | — | |
| Local country and other | Local country and other | 0.1 | | 0.4 | | 0.1 | | 0.3 | | 0.4 | | 3.5 | | Local country and other | 0.5 | | 1.1 | | 0.1 | | 0.4 | | 3.5 | | 0.4 | |
| Total bank | Total bank | $ | 8.1 | | $ | 0.4 | | $ | 8.1 | | $ | 0.3 | | $ | 10.7 | | $ | 3.5 | | Total bank | $ | 4.3 | | $ | 1.1 | | $ | 8.2 | | $ | 0.4 | | $ | 7.1 | | $ | 0.4 | |
| Total | Total | $ | 19.5 | | $ | 26.0 | | $ | 22.4 | | $ | 15.5 | | $ | 19.3 | | $ | 24.4 | | Total | $ | 14.6 | | $ | 12.4 | | $ | 19.5 | | $ | 26.0 | | $ | 15.2 | | $ | 7.0 | |
The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2021, as well as its aggregate expected remaining long-term debt maturities by year as of JuneSeptember 30, 2021:
| | | | 2021 YTD | Maturities | | 2021 YTD | Maturities |
| In billions of dollars | In billions of dollars | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 | Thereafter | Total | In billions of dollars | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 | Thereafter | Total |
| Non-bank | Non-bank | | | | | Non-bank | | | | |
| Benchmark debt: | Benchmark debt: | | | | | Benchmark debt: | | | | |
| Senior debt | Senior debt | $ | 6.1 | | $ | 8.5 | | $ | 11.4 | | $ | 12.8 | | $ | 11.2 | | $ | 9.8 | | $ | 18.9 | | $ | 55.1 | | $ | 127.8 | | Senior debt | $ | 8.9 | | $ | 5.6 | | $ | 11.4 | | $ | 12.7 | | $ | 11.1 | | $ | 9.9 | | $ | 18.5 | | $ | 54.8 | | $ | 123.9 | |
| Subordinated debt | Subordinated debt | — | | — | | 0.8 | | 1.3 | | 1.1 | | 5.3 | | 2.6 | | 15.2 | | 26.1 | | Subordinated debt | — | | — | | 0.8 | | 1.3 | | 1.0 | | 5.2 | | 2.6 | | 15.0 | | 26.0 | |
| Trust preferred | Trust preferred | — | | — | | — | | — | | — | | — | | — | | 1.7 | | 1.7 | | Trust preferred | — | | — | | — | | — | | — | | — | | — | | 1.7 | | 1.7 | |
| Customer-related debt | Customer-related debt | 17.1 | | 3.9 | | 11.5 | | 8.0 | | 7.1 | | 4.8 | | 3.8 | | 34.9 | | 73.9 | | Customer-related debt | 24.0 | | 1.7 | | 11.2 | | 8.7 | | 8.0 | | 4.8 | | 4.5 | | 35.8 | | 74.7 | |
| Local country and other | Local country and other | 2.4 | | 0.5 | | 1.9 | | 2.3 | | — | | — | | 0.7 | | 0.9 | | 6.3 | | Local country and other | 3.0 | | 0.6 | | 1.9 | | 2.2 | | — | | — | | 0.7 | | 1.8 | | 7.2 | |
| Total non-bank | Total non-bank | $ | 25.6 | | $ | 12.8 | | $ | 25.7 | | $ | 24.4 | | $ | 19.3 | | $ | 19.9 | | $ | 26.1 | | $ | 107.7 | | $ | 235.9 | | Total non-bank | $ | 35.9 | | $ | 7.9 | | $ | 25.2 | | $ | 24.9 | | $ | 20.2 | | $ | 20.0 | | $ | 26.3 | | $ | 109.1 | | $ | 233.6 | |
| Bank | Bank | | | | | Bank | | | | |
| FHLB borrowings | FHLB borrowings | $ | 1.4 | | $ | 4.3 | | $ | 5.3 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 9.5 | | FHLB borrowings | $ | 5.2 | | $ | 0.5 | | $ | 5.3 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 5.8 | |
| Securitizations | Securitizations | 4.8 | | 1.6 | | 2.1 | | 3.2 | | 1.1 | | 0.4 | | — | | 3.3 | | 11.6 | | Securitizations | 4.8 | | 1.3 | | 2.1 | | 3.4 | | 1.2 | | 0.4 | | — | | 2.6 | | 11.0 | |
| Citibank benchmark senior debt | Citibank benchmark senior debt | 9.8 | | — | | 0.9 | | — | | 2.7 | | — | | — | | — | | 3.7 | | Citibank benchmark senior debt | 9.8 | | — | | 0.9 | | — | | 2.7 | | — | | — | | — | | 3.6 | |
| Local country and other | Local country and other | 0.3 | | 0.7 | | 1.7 | | 0.2 | | 0.7 | | 0.1 | | 0.1 | | 0.4 | | 3.9 | | Local country and other | 0.8 | | 0.7 | | 1.4 | | 0.6 | | 1.0 | | 0.1 | | — | | 0.5 | | 4.3 | |
| Total bank | Total bank | $ | 16.3 | | $ | 6.5 | | $ | 10.0 | | $ | 3.4 | | $ | 4.6 | | $ | 0.5 | | $ | 0.1 | | $ | 3.7 | | $ | 28.7 | | Total bank | $ | 20.5 | | $ | 2.5 | | $ | 9.7 | | $ | 4.0 | | $ | 4.9 | | $ | 0.5 | | $ | — | | $ | 3.1 | | $ | 24.7 | |
| Total long-term debt | Total long-term debt | $ | 41.9 | | $ | 19.3 | | $ | 35.7 | | $ | 27.8 | | $ | 23.9 | | $ | 20.4 | | $ | 26.1 | | $ | 111.4 | | $ | 264.6 | | Total long-term debt | $ | 56.5 | | $ | 10.4 | | $ | 34.9 | | $ | 28.9 | | $ | 25.1 | | $ | 20.5 | | $ | 26.3 | | $ | 112.2 | | $ | 258.3 | |
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 $222$209 billion as of JuneSeptember 30, 2021 increased 3%1% from the prior-year period and 1%decreased 6% sequentially. Excluding the impact of FX translation, secured funding declined 2%was largely unchanged from the prior-year period and increased 1%decreased 4% sequentially, both driven by normal business activity. The average balance for secured funding was approximately $237$229 billion for the quarter ended JuneSeptember 30, 2021.
The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less liquid securities, including equity securities, corporate bonds and asset-backed securities, 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 JuneSeptember 30, 2021.
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 $31$30 billion decreased 22%21% year-over-year, reflecting a decline in FHLB advances, and 2%6% sequentially, primarily driven by a decline in FHLB advances and unsecured commercial paper, partially offset by increases in asset-backed commercial paper and structured notes (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-2 at Standard & Poor’s and A/A+/F1 at Fitch as of JuneSeptember 30, 2021.
Ratings as of JuneSeptember 30, 2021
| | | | | | | | | | | | | | | | | | | | |
| Citigroup Inc. | Citibank, N.A. |
| | Senior
debt | Commercial
paper | Outlook | Long-
term | Short-
term | Outlook |
| Fitch Ratings (Fitch) | A | F1 | Stable | A+ | F1 | Stable |
| Moody’s Investors Service (Moody’s) | A3 | P-2 | Stable | Aa3 | P-1 | Stable |
| Standard & Poor’s (S&P) | BBB+ | A-2 | Stable | A+ | A-1 | Stable |
Potential Impacts of Ratings Downgrades
Ratings downgrades by Moody’s, Fitch or S&P could negatively impact Citigroup’s and/or Citibank’s funding and liquidity due to reduced funding capacity, including derivative triggers, which could take the form of cash obligations and collateral requirements.
The following information is provided for the purpose of analyzing the potential funding and liquidity impact to Citigroup and Citibank of a hypothetical simultaneous
ratings downgrade across all three major rating agencies. This analysis is subject to certain estimates, estimation methodologies, judgments and uncertainties. Uncertainties include potential ratings limitations that certain entities may have with respect to permissible counterparties, as well as general subjective counterparty behavior. For example, certain corporate customers and markets counterparties could re-evaluate their business relationships with Citi and limit transactions in certain contracts or market instruments with Citi. Changes in counterparty behavior could impact Citi’s funding and liquidity, as well as the results of operations of certain of its businesses. The actual impact to Citigroup or Citibank is unpredictable and may differ materially from the potential funding and liquidity impacts described below. For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors—Liquidity Risks” in Citi’s 2020 Annual Report on Form 10-K.
Citigroup Inc. and Citibank—Potential Derivative Triggers
As of JuneSeptember 30, 2021, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $1.0$1.1 billion, compared to $1.5$1.0 billion as of March 31,June 30, 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 JuneSeptember 30, 2021, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity due to derivative triggers by approximately $0.5 billion, unchanged from March 31,June 30, 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 JuneSeptember 30, 2021, Citi estimates that a one-notch downgrade of Citigroup and Citibank across all three major rating agencies could result in increased aggregate cash obligations and collateral requirements of approximately $1.4$1.6 billion, compared to $1.9$1.4 billion as of March 31,June 30, 2021 (see also Note 19 to the Consolidated Financial Statements). As detailed under “High-Quality Liquid Assets” 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 JuneSeptember 30, 2021, Citibank had liquidity commitments of approximately $9.0$10.0 billion to consolidated asset-backed commercial paper conduits, compared to $10.0$9.0 billion as of March 31,June 30, 2021 (for additional information, see Note 18 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of certain Citibank entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients’ adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.
MARKET RISK
Market risk emanates from both Citi’s trading and non-trading portfolios. For additional information on market risk and market risk management at Citi, see “Market Risk” and “Risk Factors” in Citi’s 2020 Annual Report on Form 10-K.
Market Risk of Non-Trading Portfolios
The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point (bps) increase in interest rates:
| | In millions of dollars, except as otherwise noted | In millions of dollars, except as otherwise noted | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | In millions of dollars, except as otherwise noted | Sept. 30, 2021 | Jun. 30, 2021 | Sept. 30, 2020 |
| Estimated annualized impact to net interest revenue | Estimated annualized impact to net interest revenue | | Estimated annualized impact to net interest revenue | |
U.S. dollar(1) | U.S. dollar(1) | $ | 156 | | $ | 102 | | $ | 27 | | U.S. dollar(1) | $ | 151 | | $ | 156 | | $ | 65 | |
| All other currencies | All other currencies | 624 | | 636 | | 683 | | All other currencies | 586 | | 624 | | 702 | |
| Total | Total | $ | 780 | | $ | 738 | | $ | 710 | | Total | $ | 737 | | $ | 780 | | $ | 767 | |
| As a percentage of average interest-earning assets | As a percentage of average interest-earning assets | 0.04 | % | 0.03 | % | 0.03 | % | As a percentage of average interest-earning assets | 0.03 | % | 0.04 | % | 0.04 | % |
Estimated initial negative impact to AOCI (after-tax)(2) | Estimated initial negative impact to AOCI (after-tax)(2) | $ | (4,953) | | $ | (5,395) | | $ | (5,705) | | Estimated initial negative impact to AOCI (after-tax)(2) | $ | (4,914) | | $ | (4,953) | | $ | (5,757) | |
| Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) | Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) | (30) | | (32) | | (35) | | Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) | (30) | | (30) | | (36) | |
(1)Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the estimated impact to net interest revenue in the table, since these exposures are managed economically in combination with mark-to-market positions. The U.S. dollar interest rate exposure associated with these businesses was $(9)$(70) million for a 100 bps instantaneous increase in interest rates as of JuneSeptember 30, 2021.
(2)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
The sequential increasedecline in the estimated impact to Citi’s net interest revenue was driven by U.S.a decline in non-U.S. dollar exposure and primarily reflecteddue to an increase in non-U.S. interest rates. The sequential increase in the estimated impact to AOCI and the Common Equity Tier 1 ratio primarily reflected changes in the composition of Citi’s Treasury’s investment and interest rate portfolio.
The relatively small quarterly changemodest sequential decline in the estimated impact to AOCI primarily reflected a continuation of the positioning strategy of Citi Treasury’s investment securities and related interest rate derivatives portfolio.
In the event of a parallel instantaneous 100 bps increase in interest rates, as of JuneSeptember 30, 2021, Citi expects that the $5.0$4.9 billion 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 approximately 37 months.
The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis) under five different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies. 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 millions of dollars, except as otherwise noted | In millions of dollars, except as otherwise noted | Scenario 1 | Scenario 2 | Scenario 3 | Scenario 4 | Scenario 5 | In millions of dollars, except as otherwise noted | Scenario 1 | Scenario 2 | Scenario 3 | Scenario 4 | Scenario 5 |
| Overnight rate change (bps) | Overnight rate change (bps) | 100 | | 100 | | — | | — | | (100) | | Overnight rate change (bps) | 100 | | 100 | | — | | — | | (100) | |
| 10-year rate change (bps) | 10-year rate change (bps) | 100 | | — | | 100 | | (100) | | (100) | | 10-year rate change (bps) | 100 | | — | | 100 | | (100) | | (100) | |
Estimated annualized impact to net interest revenue | Estimated annualized impact to net interest revenue | | Estimated annualized impact to net interest revenue | |
| U.S. dollar | U.S. dollar | $ | 156 | | $ | 202 | | $ | 104 | | $ | (297) | | $ | (472) | | U.S. dollar | $ | 151 | | $ | 206 | | $ | 77 | | $ | (282) | | $ | (442) | |
| All other currencies | All other currencies | 624 | | 588 | | 37 | | (37) | | (305) | | All other currencies | 586 | | 620 | | 38 | | (38) | | (323) | |
| Total | Total | $ | 780 | | $ | 790 | | $ | 141 | | $ | (334) | | $ | (777) | | Total | $ | 737 | | $ | 826 | | $ | 115 | | $ | (320) | | $ | (765) | |
Estimated initial impact to AOCI (after-tax)(1) | Estimated initial impact to AOCI (after-tax)(1) | $ | (4,953) | | $ | (3,258) | | $ | (1,952) | | $ | 1,358 | | $ | 3,108 | | Estimated initial impact to AOCI (after-tax)(1) | $ | (4,914) | | $ | (3,191) | | $ | (2,019) | | $ | 1,532 | | $ | 3,076 | |
| Estimated initial impact to Common Equity Tier 1 Capital ratio (bps) | Estimated initial impact to Common Equity Tier 1 Capital ratio (bps) | (30) | | (19) | | (13) | | 8 | | 15 | | Estimated initial impact to Common Equity Tier 1 Capital ratio (bps) | (30) | | (19) | | (13) | | 10 | | 16 | |
Note: Each scenario assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year rate are interpolated.
(1)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
As shown in the table above, the magnitude of the impact to Citi’s net interest revenue and AOCI is greater under Scenario 2 as compared to Scenario 3. This is because the combination of changes to Citi’s investment portfolio, partially offset by changes related to Citi’s pension liabilities, results in a net position that is more sensitive to rates at shorter- and intermediate-term maturities.
Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of JuneSeptember 30, 2021, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.7$1.5 billion, or 1.0%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. For additional information on the changes in AOCI, see Note 17 to the Consolidated Financial Statements.
| | | For the quarter ended | | For the quarter ended |
| In millions of dollars, except as otherwise noted | In millions of dollars, except as otherwise noted | Jun. 30, 2021 | Mar. 31, 2021 | Jun. 30, 2020 | In millions of dollars, except as otherwise noted | Sept. 30, 2021 | Jun. 30, 2021 | Sept. 30, 2020 |
Change in FX spot rate(1) | Change in FX spot rate(1) | 1.1 | % | (2.3) | % | 2.1 | % | Change in FX spot rate(1) | (2.7) | % | 1.1 | % | 2.6 | % |
| Change in TCE due to FX translation, net of hedges | Change in TCE due to FX translation, net of hedges | $ | 364 | | $ | (1,030) | | $ | 418 | | Change in TCE due to FX translation, net of hedges | $ | (1,042) | | $ | 364 | | $ | 655 | |
| As a percentage of TCE | As a percentage of TCE | 0.2 | % | (0.7) | % | 0.3 | % | As a percentage of TCE | (0.7) | % | 0.2 | % | 0.4 | % |
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
to changes in FX translation, net of hedges (bps) | Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
to changes in FX translation, net of hedges (bps) | — | | (1) | | (0.2) | | 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) | | — | | (1.0) | |
(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)
| | | 2nd Qtr. | | 1st Qtr. | | 2nd Qtr. | | Change | | 3rd Qtr. | | 2nd Qtr. | | 3rd Qtr. | | Change |
| In millions of dollars, except as otherwise noted | In millions of dollars, except as otherwise noted | 2021 | | 2021 | | 2020 | | 2Q21 vs. 2Q20 | In millions of dollars, except as otherwise noted | 2021 | | 2021 | | 2020 | | 3Q21 vs. 3Q20 |
Interest revenue(1) | Interest revenue(1) | $ | 12,514 | | | $ | 12,587 | | | $ | 14,632 | | | (14) | % | | Interest revenue(1) | $ | 12,696 | | | $ | 12,514 | | | $ | 13,373 | | | (5) | % | |
Interest expense(2) | Interest expense(2) | 2,264 | | | 2,368 | | | 3,509 | | | (35) | | | Interest expense(2) | 2,252 | | | 2,264 | | | 2,821 | | | (20) | | |
Net interest revenue, taxable equivalent basis(1) | Net interest revenue, taxable equivalent basis(1) | $ | 10,250 | | | $ | 10,219 | | | $ | 11,123 | | | (8) | % | | Net interest revenue, taxable equivalent basis(1) | $ | 10,444 | | | $ | 10,250 | | | $ | 10,552 | | | (1) | % | |
Interest revenue—average rate(3) | Interest revenue—average rate(3) | 2.34 | % | | 2.41 | % | | 2.85 | % | | (51) | | bps | Interest revenue—average rate(3) | 2.35 | % | | 2.34 | % | | 2.57 | % | | (22) | | bps |
| Interest expense—average rate | Interest expense—average rate | 0.53 | | | 0.56 | | | 0.83 | | | (30) | | bps | Interest expense—average rate | 0.52 | | | 0.53 | | | 0.67 | | | (15) | | bps |
Net interest margin(3)(4) | Net interest margin(3)(4) | 1.92 | | | 1.95 | | | 2.17 | | | (25) | | bps | Net interest margin(3)(4) | 1.93 | | | 1.92 | | | 2.03 | | | (10) | | 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 | 0.17 | % | | 0.13 | % | | 0.19 | % | | (2) | | bps | Two-year U.S. Treasury note—average rate | 0.23 | % | | 0.17 | % | | 0.14 | % | | 9 | | bps |
| 10-year U.S. Treasury note—average rate | 10-year U.S. Treasury note—average rate | 1.59 | | | 1.34 | | | 0.69 | | | 90 | | bps | 10-year U.S. Treasury note—average rate | 1.32 | | | 1.59 | | | 0.65 | | | 67 | | bps |
| 10-year vs. two-year spread | 10-year vs. two-year spread | 142 | | bps | 121 | | bps | 50 | | bps | | 10-year vs. two-year spread | 109 | | bps | 142 | | bps | 51 | | 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 revenue include the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio and certain tax-advantaged loan programs (based on the U.S. federal statutory tax rate of 21%) of $46 million, $51 million $53 million and $43$59 million for the three months ended September 30, 2021, June 30, 2021 March 31, 2021 and JuneSeptember 30, 2020, respectively.
(2)Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated Statement of Income and is therefore not reflected in Interest expense in the table above.
(3)The average rate on interest revenue and net interest margin reflects the taxable equivalent gross-up adjustment. See footnote 1 above.
(4)Citi’s net interest margin (NIM) is calculated by dividing net interest revenue by average interest-earning assets.
Non-ICG Markets Net Interest Revenue
| | | 2nd Qtr. | 1st Qtr. | 2nd Qtr. | Change | | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | Change |
| In millions of dollars | In millions of dollars | 2021 | 2021 | 2020 | 2Q21 vs. 2Q20 | In millions of dollars | 2021 | 2021 | 2020 | 3Q21 vs. 3Q20 |
Net interest revenue (NIR)—taxable equivalent basis(1) per above | Net interest revenue (NIR)—taxable equivalent basis(1) per above | $ | 10,250 | | $ | 10,219 | | $ | 11,123 | | (8) | % | Net interest revenue (NIR)—taxable equivalent basis(1) per above | $ | 10,444 | | $ | 10,250 | | $ | 10,552 | | (1) | % |
ICG Markets NIR—taxable equivalent basis(1) | ICG Markets NIR—taxable equivalent basis(1) | 1,453 | | 1,334 | | 1,511 | | (4) | | ICG Markets NIR—taxable equivalent basis(1) | 1,331 | | 1,453 | | 1,413 | | (6) | |
Non-ICG Markets NIR—taxable equivalent basis(1) | Non-ICG Markets NIR—taxable equivalent basis(1) | $ | 8,797 | | $ | 8,885 | | $ | 9,612 | | (8) | % | Non-ICG Markets NIR—taxable equivalent basis(1) | $ | 9,113 | | $ | 8,797 | | $ | 9,139 | | — | % |
(1)Interest revenue and Net interest revenue include the taxable equivalent adjustments discussed in the table above.
Citi’s net interest revenue (NIR) in the secondthird quarter of 2021 decreased 8%1% to $10.2$10.4 billion versus the prior-year period. As set forth in the table above, Citi’s NIR on a taxable equivalent basis also decreased 8% (as set forth in the table above). Excluding the impact of FX translation, this NIR declined1% year-over-year, byor approximately $1.1 billion,$100 million, driven by a decline of approximately $1.0 billionmodest declines in both non-ICG Markets NIR and a $0.1 billion decline in ICG Markets (fixed income markets and equity markets) NIR. The decrease in non-ICG Markets NIR reflected lower loan balances and the impact of lower interest rates.deposit spreads. The decrease in ICG Markets NIR largely reflected a change in the mix of trading positions in support of client activity.
Citi’s NIM was 1.92%1.93% on a taxable equivalent basis in the secondthird quarter of 2021, a decreasean increase of 31 basis pointspoint from the prior quarter, primarily reflecting lowerhigher cards NIR in North America GCB due to higher payment rates,fees and modesthigher loans, partially offset by growth in the balance sheet due to higher deposits partially offset by an increaseand a decrease in ICG Markets NIR.
Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3)
Taxable Equivalent Basis
| | Quarterly—Assets | Quarterly—Assets | Average volume | Interest revenue | % Average rate | Quarterly—Assets | Average volume | Interest revenue | % Average rate |
| | 2nd Qtr. | 1st Qtr. | 2nd Qtr. | 2nd Qtr. | 1st Qtr. | 2nd Qtr. | 2nd Qtr. | 1st Qtr. | 2nd Qtr. | | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. |
| In millions of dollars, except rates | In millions of dollars, except rates | 2021 | 2021 | 2020 | 2021 | 2021 | 2020 | 2021 | 2021 | 2020 | In millions of dollars, except rates | 2021 | 2021 | 2020 | 2021 | 2021 | 2020 | 2021 | 2021 | 2020 |
Deposits with banks(4) | Deposits with banks(4) | $ | 296,445 | | $ | 307,340 | | $ | 305,485 | | $ | 126 | | $ | 145 | | $ | 159 | | 0.17 | % | 0.19 | % | 0.21 | % | Deposits with banks(4) | $ | 294,160 | | $ | 296,445 | | $ | 307,845 | | $ | 147 | | $ | 126 | | $ | 116 | | 0.20 | % | 0.17 | % | 0.15 | % |
Securities borrowed and purchased under agreements to resell(5) | Securities borrowed and purchased under agreements to resell(5) | | | | | | Securities borrowed and purchased under agreements to resell(5) | | | | | |
| In U.S. offices | In U.S. offices | $ | 171,568 | | $ | 163,790 | | $ | 143,429 | | $ | 85 | | $ | 117 | | $ | 174 | | 0.20 | % | 0.29 | % | 0.49 | % | In U.S. offices | $ | 176,926 | | $ | 171,568 | | $ | 153,513 | | $ | 70 | | $ | 85 | | $ | 153 | | 0.16 | % | 0.20 | % | 0.40 | % |
In offices outside the U.S.(4) | In offices outside the U.S.(4) | 148,253 | | 142,591 | | 142,681 | | 120 | | 177 | | 227 | | 0.32 | | 0.50 | | 0.64 | | In offices outside the U.S.(4) | 146,257 | | 148,253 | | 141,436 | | 194 | | 120 | | 199 | | 0.53 | | 0.32 | | 0.56 | |
| Total | Total | $ | 319,821 | | $ | 306,381 | | $ | 286,110 | | $ | 205 | | $ | 294 | | $ | 401 | | 0.26 | % | 0.39 | % | 0.56 | % | Total | $ | 323,183 | | $ | 319,821 | | $ | 294,949 | | $ | 264 | | $ | 205 | | $ | 352 | | 0.32 | % | 0.26 | % | 0.47 | % |
Trading account assets(6)(7) | Trading account assets(6)(7) | | | | | | Trading account assets(6)(7) | | | | | |
| In U.S. offices | In U.S. offices | $ | 142,471 | | $ | 154,798 | | $ | 155,037 | | $ | 579 | | $ | 752 | | $ | 953 | | 1.63 | % | 1.97 | % | 2.47 | % | In U.S. offices | $ | 133,649 | | $ | 142,471 | | $ | 144,268 | | $ | 665 | | $ | 579 | | $ | 861 | | 1.97 | % | 1.63 | % | 2.37 | % |
In offices outside the U.S.(4) | In offices outside the U.S.(4) | 159,670 | | 153,019 | | 124,908 | | 893 | | 586 | | 722 | | 2.24 | | 1.55 | | 2.32 | | In offices outside the U.S.(4) | 154,993 | | 159,670 | | 140,765 | | 620 | | 893 | | 597 | | 1.59 | | 2.24 | | 1.69 | |
| Total | Total | $ | 302,141 | | $ | 307,817 | | $ | 279,945 | | $ | 1,472 | | $ | 1,338 | | $ | 1,675 | | 1.95 | % | 1.76 | % | 2.41 | % | Total | $ | 288,642 | | $ | 302,141 | | $ | 285,033 | | $ | 1,285 | | $ | 1,472 | | $ | 1,458 | | 1.77 | % | 1.95 | % | 2.03 | % |
| Investments | Investments | | | | | | Investments | | | | | |
| In U.S. offices | In U.S. offices | | | | | | In U.S. offices | | | | | |
| Taxable | Taxable | $ | 320,206 | | $ | 295,570 | | $ | 260,163 | | $ | 867 | | $ | 806 | | $ | 1,024 | | 1.09 | % | 1.11 | % | 1.58 | % | Taxable | $ | 332,337 | | $ | 320,206 | | $ | 282,024 | | $ | 935 | | $ | 867 | | $ | 877 | | 1.12 | % | 1.09 | % | 1.24 | % |
| Exempt from U.S. income tax | Exempt from U.S. income tax | 12,613 | | 12,902 | | 14,699 | | 114 | | 118 | | 126 | | 3.63 | | 3.71 | | 3.45 | | Exempt from U.S. income tax | 11,973 | | 12,613 | | 14,166 | | 99 | | 114 | | 126 | | 3.28 | | 3.63 | | 3.54 | |
In offices outside the U.S.(4) | In offices outside the U.S.(4) | 151,419 | | 149,477 | | 139,917 | | 863 | | 856 | | 971 | | 2.29 | | 2.32 | | 2.79 | | In offices outside the U.S.(4) | 153,802 | | 151,419 | | 142,596 | | 873 | | 863 | | 899 | | 2.25 | | 2.29 | | 2.51 | |
| Total | Total | $ | 484,238 | | $ | 457,949 | | $ | 414,779 | | $ | 1,844 | | $ | 1,780 | | $ | 2,121 | | 1.53 | % | 1.58 | % | 2.06 | % | Total | $ | 498,112 | | $ | 484,238 | | $ | 438,786 | | $ | 1,907 | | $ | 1,844 | | $ | 1,902 | | 1.52 | % | 1.53 | % | 1.72 | % |
Loans (net of unearned income)(8) | Loans (net of unearned income)(8) | | | | | | Loans (net of unearned income)(8) | | | | | |
| In U.S. offices | In U.S. offices | $ | 382,708 | | $ | 379,956 | | $ | 410,371 | | $ | 5,800 | | $ | 6,042 | | $ | 6,732 | | 6.08 | % | 6.45 | % | 6.60 | % | In U.S. offices | $ | 388,415 | | $ | 382,708 | | $ | 389,831 | | $ | 6,035 | | $ | 5,800 | | $ | 6,316 | | 6.16 | % | 6.08 | % | 6.45 | % |
In offices outside the U.S.(4) | In offices outside the U.S.(4) | 287,572 | | 286,014 | | 292,424 | | 2,956 | | 2,891 | | 3,434 | | 4.12 | | 4.10 | | 4.72 | | In offices outside the U.S.(4) | 280,072 | | 287,572 | | 287,369 | | 2,862 | | 2,956 | | 3,130 | | 4.05 | | 4.12 | | 4.33 | |
| Total | Total | $ | 670,280 | | $ | 665,970 | | $ | 702,795 | | $ | 8,756 | | $ | 8,933 | | $ | 10,166 | | 5.24 | % | 5.44 | % | 5.82 | % | Total | $ | 668,487 | | $ | 670,280 | | $ | 677,200 | | $ | 8,897 | | $ | 8,756 | | $ | 9,446 | | 5.28 | % | 5.24 | % | 5.55 | % |
Other interest-earning assets(9) | Other interest-earning assets(9) | $ | 69,691 | | $ | 76,091 | | $ | 75,287 | | $ | 111 | | $ | 97 | | $ | 110 | | 0.64 | % | 0.52 | % | 0.59 | % | Other interest-earning assets(9) | $ | 71,193 | | $ | 69,691 | | $ | 63,577 | | $ | 196 | | $ | 111 | | $ | 99 | | 1.09 | % | 0.64 | % | 0.62 | % |
| Total interest-earning assets | Total interest-earning assets | $ | 2,142,616 | | $ | 2,121,548 | | $ | 2,064,401 | | $ | 12,514 | | $ | 12,587 | | $ | 14,632 | | 2.34 | % | 2.41 | % | 2.85 | % | Total interest-earning assets | $ | 2,143,777 | | $ | 2,142,616 | | $ | 2,067,390 | | $ | 12,696 | | $ | 12,514 | | $ | 13,373 | | 2.35 | % | 2.34 | % | 2.57 | % |
Non-interest-earning assets(6) | Non-interest-earning assets(6) | $ | 199,194 | | $ | 195,245 | | $ | 202,468 | | | | | | Non-interest-earning assets(6) | $ | 202,248 | | $ | 199,194 | | $ | 192,082 | | | | | |
| | Total assets | Total assets | $ | 2,341,810 | | $ | 2,316,793 | | $ | 2,266,869 | | | | | | Total assets | $ | 2,346,025 | | $ | 2,341,810 | | $ | 2,259,472 | | | | | |
| |
| | Six Months—Assets | Average volume | Interest revenue | % Average rate | |
| Nine Months—Assets | | Nine Months—Assets | Average volume | Interest revenue | % Average rate |
| | Six Months | | Six Months | Six Months | | Six Months | Six Months | | Six Months | | Nine Months | | Nine Months | Nine Months | | Nine Months | Nine Months | | Nine Months |
| In millions of dollars, except rates | In millions of dollars, except rates | 2021 | | 2020 | 2021 | | 2020 | 2021 | | 2020 | In millions of dollars, except rates | 2021 | | 2020 | 2021 | | 2020 | 2021 | | 2020 |
Deposits with banks(4) | Deposits with banks(4) | $ | 301,893 | | | $ | 256,308 | | $ | 271 | | | $ | 686 | | 0.18 | % | | 0.54 | % | Deposits with banks(4) | $ | 299,315 | | | $ | 273,487 | | $ | 418 | | | $ | 802 | | 0.19 | % | | 0.39 | % |
Securities borrowed and purchased under agreements to resell(5) | Securities borrowed and purchased under agreements to resell(5) | | | | | | Securities borrowed and purchased under agreements to resell(5) | | | | | |
| In U.S. offices | In U.S. offices | $ | 167,679 | | | $ | 142,390 | | $ | 202 | | | $ | 923 | | 0.24 | % | | 1.30 | % | In U.S. offices | $ | 170,761 | | | $ | 146,098 | | $ | 272 | | | $ | 1,076 | | 0.21 | % | | 0.98 | % |
In offices outside the U.S.(4) | In offices outside the U.S.(4) | 145,422 | | | 135,115 | | 297 | | | 686 | | 0.41 | | | 1.02 | | In offices outside the U.S.(4) | 145,700 | | | 137,222 | | 491 | | | 885 | | 0.45 | | | 0.86 | |
| Total | Total | $ | 313,101 | | | $ | 277,505 | | $ | 499 | | | $ | 1,609 | | 0.32 | % | | 1.17 | % | Total | $ | 316,461 | | | $ | 283,320 | | $ | 763 | | | $ | 1,961 | | 0.32 | % | | 0.92 | % |
Trading account assets(6)(7) | Trading account assets(6)(7) | | | | | | Trading account assets(6)(7) | | | | | |
| In U.S. offices | In U.S. offices | $ | 148,634 | | | $ | 142,588 | | $ | 1,331 | | | $ | 1,928 | | 1.81 | % | | 2.72 | % | In U.S. offices | $ | 143,639 | | | $ | 143,148 | | $ | 1,996 | | | $ | 2,789 | | 1.86 | % | | 2.60 | % |
In offices outside the U.S.(4) | In offices outside the U.S.(4) | 156,345 | | | 123,614 | | 1,479 | | | 1,341 | | 1.91 | | | 2.18 | | In offices outside the U.S.(4) | 155,894 | | | 129,331 | | 2,099 | | | 1,938 | | 1.80 | | | 2.00 | |
| Total | Total | $ | 304,979 | | | $ | 266,202 | | $ | 2,810 | | | $ | 3,269 | | 1.86 | % | | 2.47 | % | Total | $ | 299,533 | | | $ | 272,479 | | $ | 4,095 | | | $ | 4,727 | | 1.83 | % | | 2.32 | % |
| Investments | Investments | | | | | | Investments | | | | | |
| In U.S. offices | In U.S. offices | | | | | | In U.S. offices | | | | | |
| Taxable | Taxable | $ | 307,888 | | | $ | 249,230 | | $ | 1,673 | | | $ | 2,182 | | 1.10 | % | | 1.76 | % | Taxable | $ | 316,038 | | | $ | 260,161 | | $ | 2,608 | | | $ | 3,059 | | 1.10 | % | | 1.57 | % |
| Exempt from U.S. income tax | Exempt from U.S. income tax | 12,758 | | | 14,435 | | 232 | | | 235 | | 3.67 | | | 3.27 | | Exempt from U.S. income tax | 12,496 | | | 14,345 | | 331 | | | 361 | | 3.54 | | | 3.36 | |
In offices outside the U.S.(4) | In offices outside the U.S.(4) | 150,448 | | | 134,392 | | 1,719 | | | 2,009 | | 2.30 | | | 3.01 | | In offices outside the U.S.(4) | 151,566 | | | 137,127 | | 2,592 | | | 2,908 | | 2.29 | | | 2.83 | |
| Total | Total | $ | 471,094 | | | $ | 398,057 | | $ | 3,624 | | | $ | 4,426 | | 1.55 | % | | 2.24 | % | Total | $ | 480,100 | | | $ | 411,633 | | $ | 5,531 | | | $ | 6,328 | | 1.54 | % | | 2.05 | % |
Loans (net of unearned income)(8) | Loans (net of unearned income)(8) | | | | | | Loans (net of unearned income)(8) | | | | | |
| In U.S. offices | In U.S. offices | $ | 381,332 | | | $ | 406,964 | | $ | 11,842 | | | $ | 14,050 | | 6.26 | % | | 6.94 | % | In U.S. offices | $ | 383,693 | | | $ | 401,253 | | $ | 17,877 | | | $ | 20,366 | | 6.23 | % | | 6.78 | % |
In offices outside the U.S.(4) | In offices outside the U.S.(4) | 286,793 | | | 291,771 | | 5,847 | | | 7,384 | | 4.11 | | | 5.09 | | In offices outside the U.S.(4) | 284,553 | | | 290,303 | | 8,709 | | | 10,514 | | 4.09 | | | 4.84 | |
| Total | Total | $ | 668,125 | | | $ | 698,735 | | $ | 17,689 | | | $ | 21,434 | | 5.34 | % | | 6.17 | % | Total | $ | 668,246 | | | $ | 691,556 | | $ | 26,586 | | | $ | 30,880 | | 5.32 | % | | 5.96 | % |
Other interest-earning assets(9) | Other interest-earning assets(9) | $ | 72,891 | | | $ | 72,012 | | $ | 208 | | | $ | 393 | | 0.58 | % | | 1.10 | % | Other interest-earning assets(9) | $ | 72,325 | | | $ | 69,200 | | $ | 404 | | | $ | 492 | | 0.75 | % | | 0.95 | % |
| Total interest-earning assets | Total interest-earning assets | $ | 2,132,083 | | | $ | 1,968,819 | | $ | 25,101 | | | $ | 31,817 | | 2.37 | % | | 3.25 | % | Total interest-earning assets | $ | 2,135,980 | | | $ | 2,001,675 | | $ | 37,797 | | | $ | 45,190 | | 2.37 | % | | 3.02 | % |
Non-interest-earning assets(6) | Non-interest-earning assets(6) | $ | 197,219 | | | $ | 204,643 | | | | | | Non-interest-earning assets(6) | $ | 198,896 | | | $ | 200,457 | | | | | |
| | Total assets | Total assets | $ | 2,329,302 | | | $ | 2,173,462 | | | | | | Total assets | $ | 2,334,876 | | | $ | 2,202,132 | | | | | |
(1)Interest revenue and Net interest revenue include the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio and certain tax-advantaged loan programs (based on the U.S. federal statutory tax rate of 21%) of $46 million, $51 million $53 million and $43$59 million for the three months ended September 30, 2021, June 30, 2021 March 31, 2021 and JuneSeptember 30, 2020, respectively, and $104$150 million and $89$148 million for the sixnine months ended JuneSeptember 30, 2021 and 2020, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.
(6)The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(7)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(8)Includes cash-basis loans.
(9)Includes Brokerage receivables.
Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3)
Taxable Equivalent Basis
| | Quarterly—Liabilities | Quarterly—Liabilities | Average volume | Interest expense | % Average rate | Quarterly—Liabilities | Average volume | Interest expense | % Average rate |
| | 2nd Qtr. | 1st Qtr. | 2nd Qtr. | 2nd Qtr. | 1st Qtr. | 2nd Qtr. | 2nd Qtr. | 1st Qtr. | 2nd Qtr. | | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. |
| In millions of dollars, except rates | In millions of dollars, except rates | 2021 | 2021 | 2020 | 2021 | 2021 | 2020 | 2021 | 2021 | 2020 | In millions of dollars, except rates | 2021 | 2021 | 2020 | 2021 | 2021 | 2020 | 2021 | 2021 | 2020 |
| Deposits | Deposits | | | | | | | Deposits | | | | | | |
In U.S. offices(4) | In U.S. offices(4) | $ | 496,250 | | $ | 505,694 | | $ | 492,966 | | $ | 456 | | $ | 531 | | $ | 727 | | 0.37 | % | 0.43 | % | 0.59 | % | In U.S. offices(4) | $ | 558,990 | | $ | 496,250 | | $ | 505,627 | | $ | 476 | | $ | 456 | | $ | 691 | | 0.34 | % | 0.37 | % | 0.54 | % |
In offices outside the U.S.(5) | In offices outside the U.S.(5) | 578,880 | | 568,133 | | 540,779 | | 499 | | 521 | | 742 | | 0.35 | | 0.37 | | 0.55 | | In offices outside the U.S.(5) | 538,800 | | 578,880 | | 553,673 | | 547 | | 499 | | 602 | | 0.40 | | 0.35 | | 0.43 | |
| Total | Total | $ | 1,075,130 | | $ | 1,073,827 | | $ | 1,033,745 | | $ | 955 | | $ | 1,052 | | $ | 1,469 | | 0.36 | % | 0.40 | % | 0.57 | % | Total | $ | 1,097,790 | | $ | 1,075,130 | | $ | 1,059,300 | | $ | 1,023 | | $ | 955 | | $ | 1,293 | | 0.37 | % | 0.36 | % | 0.49 | % |
Securities loaned and sold under agreements to repurchase(6) | Securities loaned and sold under agreements to repurchase(6) | | | | | | Securities loaned and sold under agreements to repurchase(6) | | | | | |
| In U.S. offices | In U.S. offices | $ | 140,708 | | $ | 146,942 | | $ | 150,055 | | $ | 170 | | $ | 171 | | $ | 240 | | 0.48 | % | 0.47 | % | 0.64 | % | In U.S. offices | $ | 132,810 | | $ | 140,708 | | $ | 132,721 | | $ | 195 | | $ | 170 | | $ | 168 | | 0.58 | % | 0.48 | % | 0.50 | % |
In offices outside the U.S.(5) | In offices outside the U.S.(5) | 95,931 | | 88,321 | | 74,720 | | 90 | | 82 | | 213 | | 0.38 | | 0.38 | | 1.15 | | In offices outside the U.S.(5) | 96,137 | | 95,931 | | 83,835 | | 92 | | 90 | | 124 | | 0.38 | | 0.38 | | 0.59 | |
| Total | Total | $ | 236,639 | | $ | 235,263 | | $ | 224,775 | | $ | 260 | | $ | 253 | | $ | 453 | | 0.44 | % | 0.44 | % | 0.81 | % | Total | $ | 228,947 | | $ | 236,639 | | $ | 216,556 | | $ | 287 | | $ | 260 | | $ | 292 | | 0.50 | % | 0.44 | % | 0.54 | % |
Trading account liabilities(7)(8) | Trading account liabilities(7)(8) | | | | | | Trading account liabilities(7)(8) | | | | | |
| In U.S. offices | In U.S. offices | $ | 48,433 | | $ | 51,797 | | $ | 38,468 | | $ | 30 | | $ | 22 | | $ | 62 | | 0.25 | % | 0.17 | % | 0.65 | % | In U.S. offices | $ | 43,740 | | $ | 48,433 | | $ | 37,040 | | $ | 28 | | $ | 30 | | $ | 39 | | 0.25 | % | 0.25 | % | 0.42 | % |
In offices outside the U.S.(5) | In offices outside the U.S.(5) | 73,705 | | 65,567 | | 54,396 | | 120 | | 92 | | 82 | | 0.65 | | 0.57 | | 0.61 | | In offices outside the U.S.(5) | 64,963 | | 73,705 | | 51,557 | | 78 | | 120 | | 84 | | 0.48 | | 0.65 | | 0.65 | |
| Total | Total | $ | 122,138 | | $ | 117,364 | | $ | 92,864 | | $ | 150 | | $ | 114 | | $ | 144 | | 0.49 | % | 0.39 | % | 0.62 | % | Total | $ | 108,703 | | $ | 122,138 | | $ | 88,597 | | $ | 106 | | $ | 150 | | $ | 123 | | 0.39 | % | 0.49 | % | 0.55 | % |
Short-term borrowings and other interest-bearing liabilities(9) | Short-term borrowings and other interest-bearing liabilities(9) | | | | | | Short-term borrowings and other interest-bearing liabilities(9) | | | | | |
| In U.S. offices | In U.S. offices | $ | 69,944 | | $ | 72,414 | | $ | 96,139 | | $ | (17) | | $ | — | | $ | 104 | | (0.10) | % | — | % | 0.44 | % | In U.S. offices | $ | 65,584 | | $ | 69,944 | | $ | 76,817 | | $ | (19) | | $ | (17) | | $ | 57 | | (0.11) | % | (0.10) | % | 0.30 | % |
In offices outside the U.S.(5) | In offices outside the U.S.(5) | 23,738 | | 20,930 | | 22,939 | | 48 | | 31 | | 36 | | 0.81 | | 0.60 | | 0.63 | | In offices outside the U.S.(5) | 27,132 | | 23,738 | | 18,654 | | 27 | | 48 | | 31 | | 0.39 | | 0.81 | | 0.66 | |
| Total | Total | $ | 93,682 | | $ | 93,344 | | $ | 119,078 | | $ | 31 | | $ | 31 | | $ | 140 | | 0.13 | % | 0.13 | % | 0.47 | % | Total | $ | 92,716 | | $ | 93,682 | | $ | 95,471 | | $ | 8 | | $ | 31 | | $ | 88 | | 0.03 | % | 0.13 | % | 0.37 | % |
Long-term debt(10) | Long-term debt(10) | | | | | | Long-term debt(10) | | | | | |
| In U.S. offices | In U.S. offices | $ | 191,009 | | $ | 201,491 | | $ | 217,676 | | $ | 852 | | $ | 905 | | $ | 1,298 | | 1.79 | % | 1.82 | % | 2.40 | % | In U.S. offices | $ | 181,723 | | $ | 191,009 | | $ | 222,406 | | $ | 802 | | $ | 852 | | $ | 1,023 | | 1.75 | % | 1.79 | % | 1.83 | % |
In offices outside the U.S.(5) | In offices outside the U.S.(5) | 4,355 | | 4,773 | | 3,848 | | 16 | | 13 | | 5 | | 1.47 | | 1.10 | | 0.52 | | In offices outside the U.S.(5) | 4,061 | | 4,355 | | 3,827 | | 26 | | 16 | | 2 | | 2.54 | | 1.47 | | 0.21 | |
| Total | Total | $ | 195,364 | | $ | 206,264 | | $ | 221,524 | | $ | 868 | | $ | 918 | | $ | 1,303 | | 1.78 | % | 1.80 | % | 2.37 | % | Total | $ | 185,784 | | $ | 195,364 | | $ | 226,233 | | $ | 828 | | $ | 868 | | $ | 1,025 | | 1.77 | % | 1.78 | % | 1.80 | % |
| Total interest-bearing liabilities | Total interest-bearing liabilities | $ | 1,722,953 | | $ | 1,726,062 | | $ | 1,691,986 | | $ | 2,264 | | $ | 2,368 | | $ | 3,509 | | 0.53 | % | 0.56 | % | 0.83 | % | Total interest-bearing liabilities | $ | 1,713,940 | | $ | 1,722,953 | | $ | 1,686,157 | | $ | 2,252 | | $ | 2,264 | | $ | 2,821 | | 0.52 | % | 0.53 | % | 0.67 | % |
| Demand deposits in U.S. offices | Demand deposits in U.S. offices | $ | 78,665 | | $ | 56,632 | | $ | 30,847 | | | | | | Demand deposits in U.S. offices | $ | 122,731 | | $ | 78,665 | | $ | 32,208 | | | | | |
Other non-interest-bearing liabilities(7) | Other non-interest-bearing liabilities(7) | 337,136 | | 333,113 | | 350,040 | | | | | | Other non-interest-bearing liabilities(7) | 307,078 | | 337,136 | | 347,525 | | | | | |
| | Total liabilities | Total liabilities | $ | 2,138,754 | | $ | 2,115,807 | | $ | 2,072,873 | | | | | | Total liabilities | $ | 2,143,749 | | $ | 2,138,754 | | $ | 2,065,890 | | | | | |
| Citigroup stockholders’ equity | Citigroup stockholders’ equity | $ | 202,368 | | $ | 200,301 | | $ | 193,372 | | | | | | Citigroup stockholders’ equity | $ | 201,608 | | $ | 202,368 | | $ | 192,923 | | | | | |
| Noncontrolling interests | Noncontrolling interests | 688 | | 685 | | 624 | | | | | | Noncontrolling interests | 668 | | 688 | | 659 | | | | | |
| Total equity | Total equity | $ | 203,056 | | $ | 200,986 | | $ | 193,996 | | | | | | Total equity | $ | 202,276 | | $ | 203,056 | | $ | 193,582 | | | | | |
| Total liabilities and stockholders’ equity | Total liabilities and stockholders’ equity | $ | 2,341,810 | | $ | 2,316,793 | | $ | 2,266,869 | | | | | | Total liabilities and stockholders’ equity | $ | 2,346,025 | | $ | 2,341,810 | | $ | 2,259,472 | | | | | |
Net interest revenue as a percentage of average interest-earning assets(11) | Net interest revenue as a percentage of average interest-earning assets(11) | | | | | | Net interest revenue as a percentage of average interest-earning assets(11) | | | | | |
| In U.S. offices | In U.S. offices | $ | 1,235,013 | | $ | 1,231,795 | | $ | 1,223,519 | | $ | 6,082 | | $ | 6,335 | | $ | 6,703 | | 1.98 | % | 2.09 | % | 2.20 | % | In U.S. offices | $ | 1,246,588 | | $ | 1,235,013 | | $ | 1,215,016 | | $ | 6,485 | | $ | 6,082 | | $ | 6,479 | | 2.06 | % | 1.98 | % | 2.12 | % |
In offices outside the U.S.(6) | In offices outside the U.S.(6) | 907,603 | | 889,753 | | 840,882 | | 4,168 | | 3,884 | | 4,420 | | 1.84 | | 1.77 | | 2.11 | | In offices outside the U.S.(6) | 897,189 | | 907,603 | | 852,374 | | 3,959 | | 4,168 | | 4,073 | | 1.75 | | 1.84 | | 1.90 | |
| Total | Total | $ | 2,142,616 | | $ | 2,121,548 | | $ | 2,064,401 | | $ | 10,250 | | $ | 10,219 | | $ | 11,123 | | 1.92 | % | 1.95 | % | 2.17 | % | Total | $ | 2,143,777 | | $ | 2,142,616 | | $ | 2,067,390 | | $ | 10,444 | | $ | 10,250 | | $ | 10,552 | | 1.93 | % | 1.92 | % | 2.03 | % |
| |
| | Six Months—Liabilities | Average volume | Interest expense | % Average rate | |
| Nine Months—Liabilities | | Nine Months—Liabilities | Average volume | Interest expense | % Average rate |
| | Six Months | | Six Months | Six Months | | Six Months | Six Months | | Six Months | | Nine Months | | Nine Months | Nine Months | | Nine Months | Nine Months | | Nine Months |
| In millions of dollars, except rates | In millions of dollars, except rates | 2021 | | 2020 | 2021 | | 2020 | 2021 | | 2020 | In millions of dollars, except rates | 2021 | | 2020 | 2021 | | 2020 | 2021 | | 2020 |
| Deposits | Deposits | | | | | | Deposits | | | | | |
In U.S. offices(4) | In U.S. offices(4) | $ | 500,972 | | | $ | 460,461 | | $ | 987 | | | $ | 2,087 | | 0.40 | % | | 0.91 | % | In U.S. offices(4) | $ | 520,311 | | | $ | 475,516 | | $ | 1,463 | | | $ | 2,778 | | 0.38 | % | | 0.78 | % |
In offices outside the U.S.(5) | In offices outside the U.S.(5) | 573,507 | | | 523,637 | | 1,020 | | | 1,996 | | 0.36 | | | 0.77 | | In offices outside the U.S.(5) | 561,938 | | | 533,649 | | 1,567 | | | 2,598 | | 0.37 | | | 0.65 | |
| Total | Total | $ | 1,074,479 | | | $ | 984,098 | | $ | 2,007 | | | $ | 4,083 | | 0.38 | % | | 0.83 | % | Total | $ | 1,082,249 | | | $ | 1,009,165 | | $ | 3,030 | | | $ | 5,376 | | 0.37 | % | | 0.71 | % |
Securities loaned and sold under agreements to repurchase(6) | Securities loaned and sold under agreements to repurchase(6) | | | | | | Securities loaned and sold under agreements to repurchase(6) | | | | | |
| In U.S. offices | In U.S. offices | $ | 143,825 | | | $ | 139,277 | | $ | 341 | | | $ | 958 | | 0.48 | % | | 1.38 | % | In U.S. offices | $ | 140,153 | | | $ | 137,091 | | $ | 536 | | | $ | 1,126 | | 0.51 | % | | 1.10 | % |
In offices outside the U.S.(5) | In offices outside the U.S.(5) | 92,126 | | | 72,366 | | 172 | | | 580 | | 0.38 | | | 1.61 | | In offices outside the U.S.(5) | 93,463 | | | 76,189 | | 264 | | | 704 | | 0.38 | | | 1.23 | |
| Total | Total | $ | 235,951 | | | $ | 211,643 | | $ | 513 | | | $ | 1,538 | | 0.44 | % | | 1.46 | % | Total | $ | 233,616 | | | $ | 213,280 | | $ | 800 | | | $ | 1,830 | | 0.46 | % | | 1.15 | % |
Trading account liabilities(7)(8) | Trading account liabilities(7)(8) | | | | | | Trading account liabilities(7)(8) | | | | | |
| In U.S. offices | In U.S. offices | $ | 50,115 | | | $ | 37,460 | | $ | 52 | | | $ | 200 | | 0.21 | % | | 1.07 | % | In U.S. offices | $ | 47,990 | | | $ | 37,321 | | $ | 80 | | | $ | 239 | | 0.22 | % | | 0.86 | % |
In offices outside the U.S.(5) | In offices outside the U.S.(5) | 69,636 | | | 51,222 | | 212 | | | 183 | | 0.61 | | | 0.72 | | In offices outside the U.S.(5) | 68,078 | | | 51,333 | | 290 | | | 267 | | 0.57 | | | 0.69 | |
| Total | Total | $ | 119,751 | | | $ | 88,682 | | $ | 264 | | | $ | 383 | | 0.44 | % | | 0.87 | % | Total | $ | 116,068 | | | $ | 88,654 | | $ | 370 | | | $ | 506 | | 0.43 | % | | 0.76 | % |
Short-term borrowings and other interest bearing liabilities(9) | Short-term borrowings and other interest bearing liabilities(9) | | | | | | Short-term borrowings and other interest bearing liabilities(9) | | | | | |
| In U.S. offices | In U.S. offices | $ | 71,179 | | | $ | 91,424 | | $ | (17) | | | $ | 430 | | (0.05) | % | | 0.95 | % | In U.S. offices | $ | 69,314 | | | $ | 86,555 | | $ | (36) | | | $ | 487 | | (0.07) | % | | 0.75 | % |
In offices outside the U.S.(5) | In offices outside the U.S.(5) | 22,334 | | | 21,395 | | 79 | | | 94 | | 0.71 | | | 0.88 | | In offices outside the U.S.(5) | 23,933 | | | 20,481 | | 106 | | | 125 | | 0.59 | | | 0.82 | |
| Total | Total | $ | 93,513 | | | $ | 112,819 | | $ | 62 | | | $ | 524 | | 0.13 | % | | 0.93 | % | Total | $ | 93,247 | | | $ | 107,036 | | $ | 70 | | | $ | 612 | | 0.10 | % | | 0.76 | % |
Long-term debt(10) | Long-term debt(10) | | | | | | Long-term debt(10) | | | | | |
| In U.S. offices | In U.S. offices | $ | 196,250 | | | $ | 207,841 | | $ | 1,757 | | | $ | 2,616 | | 1.81 | % | | 2.53 | % | In U.S. offices | $ | 191,408 | | | $ | 212,696 | | $ | 2,559 | | | $ | 3,639 | | 1.79 | % | | 2.29 | % |
In offices outside the U.S.(5) | In offices outside the U.S.(5) | 4,564 | | | 4,017 | | 29 | | | 12 | | 1.28 | | | 0.60 | | In offices outside the U.S.(5) | 4,396 | | | 3,954 | | 55 | | | 14 | | 1.67 | | | 0.47 | |
| Total | Total | $ | 200,814 | | | $ | 211,858 | | $ | 1,786 | | | $ | 2,628 | | 1.79 | % | | 2.49 | % | Total | $ | 195,804 | | | $ | 216,650 | | $ | 2,614 | | | $ | 3,653 | | 1.78 | % | | 2.25 | % |
| Total interest-bearing liabilities | Total interest-bearing liabilities | $ | 1,724,508 | | | $ | 1,609,100 | | $ | 4,632 | | | $ | 9,156 | | 0.54 | % | | 1.14 | % | Total interest-bearing liabilities | $ | 1,720,984 | | | $ | 1,634,785 | | $ | 6,884 | | | $ | 11,977 | | 0.53 | % | | 0.98 | % |
| Demand deposits in U.S. offices | Demand deposits in U.S. offices | $ | 67,649 | | | $ | 28,778 | | | | | | Demand deposits in U.S. offices | $ | 86,009 | | | $ | 29,921 | | | | | |
Other non-interest-bearing liabilities(7) | Other non-interest-bearing liabilities(7) | 335,123 | | | 341,666 | | | | | | Other non-interest-bearing liabilities(7) | 325,777 | | | 343,620 | | | | | |
| | Total liabilities | Total liabilities | $ | 2,127,280 | | | $ | 1,979,544 | | | | | | Total liabilities | $ | 2,132,770 | | | $ | 2,008,327 | | | | | |
| Citigroup stockholders’ equity | Citigroup stockholders’ equity | $ | 201,335 | | | $ | 193,285 | | | | | | Citigroup stockholders’ equity | $ | 201,426 | | | $ | 193,164 | | | | | |
| Noncontrolling interests | Noncontrolling interests | 687 | | | 633 | | | | | | Noncontrolling interests | 680 | | | 641 | | | | | |
| Total equity | Total equity | $ | 202,022 | | | $ | 193,918 | | | | | | Total equity | $ | 202,106 | | | $ | 193,805 | | | | | |
| Total liabilities and stockholders’ equity | Total liabilities and stockholders’ equity | $ | 2,329,302 | | | $ | 2,173,462 | | | | | | Total liabilities and stockholders’ equity | $ | 2,334,876 | | | $ | 2,202,132 | | | | | |
Net interest revenue as a percentage of average interest-earning assets(11) | Net interest revenue as a percentage of average interest-earning assets(11) | | | | | | Net interest revenue as a percentage of average interest-earning assets(11) | | | | | |
| In U.S. offices | In U.S. offices | $ | 1,233,404 | | | $ | 1,150,696 | | $ | 12,417 | | | $ | 13,704 | | 2.03 | % | | 2.39 | % | In U.S. offices | $ | 1,237,799 | | | $ | 1,172,136 | | $ | 18,902 | | | $ | 20,184 | | 2.04 | % | | 2.30 | % |
In offices outside the U.S.(6) | In offices outside the U.S.(6) | 898,678 | | | 818,122 | | 8,052 | | | 8,957 | | 1.81 | | | 2.20 | | In offices outside the U.S.(6) | 898,182 | | | 829,539 | | 12,011 | | | 13,029 | | 1.79 | | | 2.10 | |
| Total | Total | $ | 2,132,082 | | | $ | 1,968,818 | | $ | 20,469 | | | $ | 22,661 | | 1.94 | % | | 2.31 | % | Total | $ | 2,135,981 | | | $ | 2,001,675 | | $ | 30,913 | | | $ | 33,213 | | 1.93 | % | | 2.22 | % |
(1)Interest revenue and Net interest revenue include the taxable equivalent adjustments discussed in the table above.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.
(5)Average 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)
| | | | 2Q21 vs. 1Q21 | 2Q21 vs. 2Q20 | | 3Q21 vs. 2Q21 | 3Q21 vs. 3Q20 |
| | | 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 with banks(3) | Deposits with banks(3) | $ | (5) | | $ | (14) | | $ | (19) | | $ | (5) | | $ | (28) | | $ | (33) | | Deposits with banks(3) | $ | (1) | | $ | 22 | | $ | 21 | | $ | (5) | | $ | 36 | | $ | 31 | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | | | | | | Securities borrowed and purchased under agreements to resell | | | | | |
| In U.S. offices | In U.S. offices | $ | 5 | | $ | (37) | | $ | (32) | | $ | 29 | | $ | (118) | | $ | (89) | | In U.S. offices | $ | 3 | | $ | (18) | | $ | (15) | | $ | 20 | | $ | (103) | | $ | (83) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 7 | | (64) | | (57) | | 9 | | (116) | | (107) | | In offices outside the U.S.(3) | (2) | | 76 | | 74 | | 7 | | (12) | | (5) | |
| Total | Total | $ | 12 | | $ | (101) | | $ | (89) | | $ | 38 | | $ | (234) | | $ | (196) | | Total | $ | 1 | | $ | 58 | | $ | 59 | | $ | 27 | | $ | (115) | | $ | (88) | |
Trading account assets(4) | Trading account assets(4) | | | | | | Trading account assets(4) | | | | | |
| In U.S. offices | In U.S. offices | $ | (56) | | $ | (117) | | $ | (173) | | $ | (72) | | $ | (302) | | $ | (374) | | In U.S. offices | $ | (38) | | $ | 124 | | $ | 86 | | $ | (60) | | $ | (136) | | $ | (196) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 26 | | 281 | | 307 | | 195 | | (24) | | 171 | | In offices outside the U.S.(3) | (25) | | (248) | | (273) | | 58 | | (35) | | 23 | |
| Total | Total | $ | (30) | | $ | 164 | | $ | 134 | | $ | 123 | | $ | (326) | | $ | (203) | | Total | $ | (63) | | $ | (124) | | $ | (187) | | $ | (2) | | $ | (171) | | $ | (173) | |
Investments(1) | Investments(1) | | | | | | Investments(1) | | | | | |
| In U.S. offices | In U.S. offices | $ | 72 | | $ | (15) | | $ | 57 | | $ | 213 | | $ | (382) | | $ | (169) | | In U.S. offices | $ | 34 | | $ | 19 | | $ | 53 | | $ | 152 | | $ | (121) | | $ | 31 | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 11 | | (4) | | 7 | | 75 | | (183) | | (108) | | In offices outside the U.S.(3) | 14 | | (4) | | 10 | | 68 | | (94) | | (26) | |
| Total | Total | $ | 83 | | $ | (19) | | $ | 64 | | $ | 288 | | $ | (565) | | $ | (277) | | Total | $ | 48 | | $ | 15 | | $ | 63 | | $ | 220 | | $ | (215) | | $ | 5 | |
Loans (net of unearned income)(5) | Loans (net of unearned income)(5) | | | | | | Loans (net of unearned income)(5) | | | | | |
| In U.S. offices | In U.S. offices | $ | 43 | | $ | (285) | | $ | (242) | | $ | (438) | | $ | (494) | | $ | (932) | | In U.S. offices | $ | 88 | | $ | 147 | | $ | 235 | | $ | (23) | | $ | (258) | | $ | (281) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 16 | | 49 | | 65 | | (56) | | (422) | | (478) | | In offices outside the U.S.(3) | (77) | | (17) | | (94) | | (78) | | (190) | | (268) | |
| Total | Total | $ | 59 | | $ | (236) | | $ | (177) | | $ | (494) | | $ | (916) | | $ | (1,410) | | Total | $ | 11 | | $ | 130 | | $ | 141 | | $ | (101) | | $ | (448) | | $ | (549) | |
Other interest-earning assets(6) | Other interest-earning assets(6) | $ | (9) | | $ | 23 | | $ | 14 | | $ | (9) | | $ | 10 | | $ | 1 | | Other interest-earning assets(6) | $ | 2 | | $ | 83 | | $ | 85 | | $ | 13 | | $ | 84 | | $ | 97 | |
| Total interest revenue | Total interest revenue | $ | 110 | | $ | (183) | | $ | (73) | | $ | (59) | | $ | (2,059) | | $ | (2,118) | | Total interest revenue | $ | (2) | | $ | 184 | | $ | 182 | | $ | 152 | | $ | (829) | | $ | (677) | |
(1)Interest revenue and Net interest revenue include the taxable equivalent adjustments discussed in the table above.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes cash-basis loans.
(6)Includes Brokerage receivables.
Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3)
| | | | 2Q21 vs. 1Q21 | 2Q21 vs. 2Q20 | | 3Q21 vs. 2Q21 | 3Q21 vs. 3Q20 |
| | | 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 | $ | (10) | | $ | (65) | | $ | (75) | | $ | 5 | | $ | (276) | | $ | (271) | | In U.S. offices | $ | 55 | | $ | (35) | | $ | 20 | | $ | 67 | | $ | (282) | | $ | (215) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 10 | | (32) | | (22) | | 49 | | (292) | | (243) | | In offices outside the U.S.(3) | (36) | | 84 | | 48 | | (16) | | (39) | | (55) | |
| Total | Total | $ | — | | $ | (97) | | $ | (97) | | $ | 54 | | $ | (568) | | $ | (514) | | Total | $ | 19 | | $ | 49 | | $ | 68 | | $ | 51 | | $ | (321) | | $ | (270) | |
| 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 | $ | (7) | | $ | 6 | | $ | (1) | | $ | (14) | | $ | (56) | | $ | (70) | | In U.S. offices | $ | (10) | | $ | 35 | | $ | 25 | | $ | — | | $ | 27 | | $ | 27 | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 7 | | 1 | | 8 | | 48 | | (171) | | (123) | | In offices outside the U.S.(3) | — | | 2 | | 2 | | 16 | | (48) | | (32) | |
| Total | Total | $ | — | | $ | 7 | | $ | 7 | | $ | 34 | | $ | (227) | | $ | (193) | | Total | $ | (10) | | $ | 37 | | $ | 27 | | $ | 16 | | $ | (21) | | $ | (5) | |
Trading account liabilities(4) | Trading account liabilities(4) | | | | | | Trading account liabilities(4) | | | | | |
| In U.S. offices | In U.S. offices | $ | (1) | | $ | 9 | | $ | 8 | | $ | 13 | | $ | (45) | | $ | (32) | | In U.S. offices | $ | (3) | | $ | 1 | | $ | (2) | | $ | 6 | | $ | (17) | | $ | (11) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 12 | | 16 | | 28 | | 31 | | 7 | | 38 | | In offices outside the U.S.(3) | (13) | | (29) | | (42) | | 19 | | (25) | | (6) | |
| Total | Total | $ | 11 | | $ | 25 | | $ | 36 | | $ | 44 | | $ | (38) | | $ | 6 | | Total | $ | (16) | | $ | (28) | | $ | (44) | | $ | 25 | | $ | (42) | | $ | (17) | |
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 | $ | — | | $ | (17) | | $ | (17) | | $ | (22) | | $ | (99) | | $ | (121) | | In U.S. offices | $ | 1 | | $ | (3) | | $ | (2) | | $ | (7) | | $ | (69) | | $ | (76) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 5 | | 12 | | 17 | | 1 | | 11 | | 12 | | In offices outside the U.S.(3) | 6 | | (27) | | (21) | | 11 | | (15) | | (4) | |
| Total | Total | $ | 5 | | $ | (5) | | $ | — | | $ | (21) | | $ | (88) | | $ | (109) | | Total | $ | 7 | | $ | (30) | | $ | (23) | | $ | 4 | | $ | (84) | | $ | (80) | |
| Long-term debt | Long-term debt | | | | | | Long-term debt | | | | | |
| In U.S. offices | In U.S. offices | $ | (47) | | $ | (6) | | $ | (53) | | $ | (146) | | $ | (300) | | $ | (446) | | In U.S. offices | $ | (41) | | $ | (9) | | $ | (50) | | $ | (181) | | $ | (40) | | $ | (221) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | (1) | | 4 | | 3 | | 1 | | 10 | | 11 | | In offices outside the U.S.(3) | (1) | | 11 | | 10 | | — | | 24 | | 24 | |
| Total | Total | $ | (48) | | $ | (2) | | $ | (50) | | $ | (145) | | $ | (290) | | $ | (435) | | Total | $ | (42) | | $ | 2 | | $ | (40) | | $ | (181) | | $ | (16) | | $ | (197) | |
| Total interest expense | Total interest expense | $ | (32) | | $ | (72) | | $ | (104) | | $ | (34) | | $ | (1,211) | | $ | (1,245) | | Total interest expense | $ | (42) | | $ | 30 | | $ | (12) | | $ | (85) | | $ | (484) | | $ | (569) | |
| Net interest revenue | Net interest revenue | $ | 144 | | $ | (114) | | $ | 30 | | $ | (25) | | $ | (848) | | $ | (873) | | Net interest revenue | $ | 40 | | $ | 154 | | $ | 194 | | $ | 237 | | $ | (345) | | $ | (108) | |
(1)Interest revenue and Net interest revenue include the taxable equivalent adjustments discussed in the table above.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes Brokerage payables.
Analysis of Changes in Interest Revenue(1)(2)(3)
| | | | Six Months 2021 vs. Six Months 2020 | | Nine Months 2021 vs. Nine Months 2020 |
| | | 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 | In millions of dollars | Average
volume | Average
rate | Net
change |
Deposits with banks(3) | Deposits with banks(3) | $ | 105 | | $ | (520) | | $ | (415) | | Deposits with banks(3) | $ | 70 | | $ | (454) | | $ | (384) | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | | | Securities borrowed and purchased under agreements to resell | | |
| In U.S. offices | In U.S. offices | $ | 140 | | $ | (861) | | $ | (721) | | In U.S. offices | $ | 156 | | $ | (960) | | $ | (804) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 49 | | (438) | | (389) | | In offices outside the U.S.(3) | 52 | | (446) | | (394) | |
| Total | Total | $ | 189 | | $ | (1,299) | | $ | (1,110) | | Total | $ | 208 | | $ | (1,406) | | $ | (1,198) | |
Trading account assets(4) | Trading account assets(4) | | | Trading account assets(4) | | |
| In U.S. offices | In U.S. offices | $ | 79 | | $ | (676) | | $ | (597) | | In U.S. offices | $ | 10 | | $ | (803) | | $ | (793) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 324 | | (186) | | 138 | | In offices outside the U.S.(3) | 371 | | (210) | | 161 | |
| Total | Total | $ | 403 | | $ | (862) | | $ | (459) | | Total | $ | 381 | | $ | (1,013) | | $ | (632) | |
Investments(1) | Investments(1) | | | Investments(1) | | |
| In U.S. offices | In U.S. offices | $ | 452 | | $ | (964) | | $ | (512) | | In U.S. offices | $ | 595 | | $ | (1,076) | | $ | (481) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 221 | | (511) | | (290) | | In offices outside the U.S.(3) | 285 | | (601) | | (316) | |
| Total | Total | $ | 673 | | $ | (1,475) | | $ | (802) | | Total | $ | 880 | | $ | (1,677) | | $ | (797) | |
Loans (net of unearned income)(5) | Loans (net of unearned income)(5) | | | Loans (net of unearned income)(5) | | |
| In U.S. offices | In U.S. offices | $ | (851) | | $ | (1,357) | | $ | (2,208) | | In U.S. offices | $ | (866) | | $ | (1,623) | | $ | (2,489) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | (124) | | (1,413) | | (1,537) | | In offices outside the U.S.(3) | (204) | | (1,601) | | (1,805) | |
| Total | Total | $ | (975) | | $ | (2,770) | | $ | (3,745) | | Total | $ | (1,070) | | $ | (3,224) | | $ | (4,294) | |
Other interest-earning assets(6) | Other interest-earning assets(6) | $ | 5 | | $ | (190) | | $ | (185) | | Other interest-earning assets(6) | $ | 21 | | $ | (109) | | $ | (88) | |
| Total interest revenue | Total interest revenue | $ | 400 | | $ | (7,116) | | $ | (6,716) | | Total interest revenue | $ | 490 | | $ | (7,883) | | $ | (7,393) | |
(1)Interest revenue and Net interest revenue include the taxable equivalent adjustments discussed in the table above.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes cash-basis loans.
(6)Includes Brokerage receivables.
Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3)
| | | | Six Months 2021 vs. Six Months 2020 | | Nine Months 2021 vs. Nine Months 2020 |
| | | 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 | In millions of dollars | Average
volume | Average
rate | Net
change |
| Deposits | Deposits | | | Deposits | | |
| In U.S. offices | In U.S. offices | $ | 169 | | $ | (1,269) | | $ | (1,100) | | In U.S. offices | $ | 241 | | $ | (1,556) | | $ | (1,315) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 175 | | (1,151) | | (976) | | In offices outside the U.S.(3) | 131 | | (1,162) | | (1,031) | |
| Total | Total | $ | 344 | | $ | (2,420) | | $ | (2,076) | | Total | $ | 372 | | $ | (2,718) | | $ | (2,346) | |
| 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 | $ | 31 | | $ | (648) | | $ | (617) | | In U.S. offices | $ | 25 | | $ | (615) | | $ | (590) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 126 | | (534) | | (408) | | In offices outside the U.S.(3) | 132 | | (572) | | (440) | |
| Total | Total | $ | 157 | | $ | (1,182) | | $ | (1,025) | | Total | $ | 157 | | $ | (1,187) | | $ | (1,030) | |
Trading account liabilities(4) | Trading account liabilities(4) | | | Trading account liabilities(4) | | |
| In U.S. offices | In U.S. offices | $ | 51 | | $ | (199) | | $ | (148) | | In U.S. offices | $ | 54 | | $ | (213) | | $ | (159) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 59 | | (30) | | 29 | | In offices outside the U.S.(3) | 77 | | (54) | | 23 | |
| Total | Total | $ | 110 | | $ | (229) | | $ | (119) | | Total | $ | 131 | | $ | (267) | | $ | (136) | |
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 | $ | (78) | | $ | (369) | | $ | (447) | | In U.S. offices | $ | (81) | | $ | (442) | | $ | (523) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 4 | | (19) | | (15) | | In offices outside the U.S.(3) | 19 | | (38) | | (19) | |
| Total | Total | $ | (74) | | $ | (388) | | $ | (462) | | Total | $ | (62) | | $ | (480) | | $ | (542) | |
| Long-term debt | Long-term debt | | | Long-term debt | | |
| In U.S. offices | In U.S. offices | $ | (139) | | $ | (720) | | $ | (859) | | In U.S. offices | $ | (340) | | $ | (740) | | $ | (1,080) | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 2 | | 15 | | 17 | | In offices outside the U.S.(3) | 2 | | 39 | | 41 | |
| Total | Total | $ | (137) | | $ | (705) | | $ | (842) | | Total | $ | (338) | | $ | (701) | | $ | (1,039) | |
| Total interest expense | Total interest expense | $ | 400 | | $ | (4,924) | | $ | (4,524) | | Total interest expense | $ | 260 | | $ | (5,353) | | $ | (5,093) | |
| Net interest revenue | Net interest revenue | $ | — | | $ | (2,192) | | $ | (2,192) | | Net interest revenue | $ | 230 | | $ | (2,530) | | $ | (2,300) | |
(1)Interest revenue and Net interest revenue include the taxable equivalent adjustments discussed in the table above.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes Brokerage payables.
Market Risk of Trading Portfolios
Value at Risk (VAR)
Citi believes its VAR model is conservatively calibrated to incorporate fat-tail scaling and the greater of short-term (approximately the most recent month) and long-term (three years) market volatility. As of JuneSeptember 30, 2021, Citi estimates that the conservative features of the VAR calibration contribute an approximate 35%31% add-on to what would be a VAR estimated under the assumption of stable and perfectly, normally distributed markets. As of March 31,June 30, 2021, the add-on was 34%35%.
As set forth in the table below, Citi’s average trading VAR increaseddecreased quarter-over-quarter, mainly due to an increasea reduction in exposure from interest rate short hedges increased yield curve positioning and commodities exposures, allas well as a general reduction in interest rate risk, both in ICG Markets ’s Marketsbusinesses. Citi’s average trading and credit portfolio VAR also increased quarter-over-quarter, largely driven by the same factors.increased credit hedging activity.
Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
| | | Second Quarter | | First Quarter | | Second Quarter | | Third Quarter | | Second Quarter | | Third Quarter |
| In millions of dollars | In millions of dollars | June 30, 2021 | 2021 Average | March 31, 2021 | 2021 Average | June 30, 2020 | 2020 Average | In millions of dollars | September 30, 2021 | 2021 Average | June 30, 2021 | 2021 Average | September 30, 2020 | 2020 Average |
| Interest rate | Interest rate | $ | 62 | | $ | 76 | | $ | 68 | | $ | 66 | | $ | 95 | | $ | 78 | | Interest rate | $ | 65 | | $ | 61 | | $ | 62 | | $ | 76 | | $ | 69 | | $ | 82 | |
| Credit spread | Credit spread | 77 | | 73 | | 67 | | 72 | | 89 | | 137 | | Credit spread | 62 | | 73 | | 77 | | 73 | | 67 | | 79 | |
Covariance adjustment(1) | Covariance adjustment(1) | (35) | | (44) | | (43) | | (43) | | (60) | | (61) | | Covariance adjustment(1) | (43) | | (42) | | (35) | | (44) | | (47) | | (55) | |
Fully diversified interest rate and credit spread(2) | Fully diversified interest rate and credit spread(2) | $ | 104 | | $ | 105 | | $ | 92 | | $ | 95 | | $ | 124 | | $ | 154 | | Fully diversified interest rate and credit spread(2) | $ | 84 | | $ | 92 | | $ | 104 | | $ | 105 | | $ | 89 | | $ | 106 | |
| Foreign exchange | Foreign exchange | 35 | | 42 | | 45 | | 45 | | 23 | | 28 | | Foreign exchange | 42 | | 42 | | 35 | | 42 | | 27 | | 23 | |
| Equity | Equity | 23 | | 31 | | 37 | | 30 | | 27 | | 50 | | Equity | 36 | | 36 | | 23 | | 31 | | 29 | | 26 | |
| Commodity | Commodity | 48 | | 35 | | 30 | | 29 | | 25 | | 27 | | Commodity | 36 | | 36 | | 48 | | 35 | | 21 | | 25 | |
Covariance adjustment(1) | Covariance adjustment(1) | (107) | | (104) | | (105) | | (97) | | (73) | | (107) | | Covariance adjustment(1) | (103) | | (105) | | (107) | | (104) | | (77) | | (76) | |
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2) | Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2) | $ | 103 | | $ | 109 | | $ | 99 | | $ | 102 | | $ | 126 | | $ | 152 | | Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2) | $ | 95 | | $ | 101 | | $ | 103 | | $ | 109 | | $ | 89 | | $ | 104 | |
Specific risk-only component(3) | Specific risk-only component(3) | $ | (4) | | $ | (3) | | $ | (2) | | $ | 5 | | $ | (20) | | $ | (9) | | Specific risk-only component(3) | $ | (2) | | $ | 3 | | $ | (4) | | $ | (3) | | $ | (2) | | $ | (10) | |
| Total trading VAR—general market risk factors only (excluding credit portfolios) | Total trading VAR—general market risk factors only (excluding credit portfolios) | $ | 107 | | $ | 112 | | $ | 101 | | $ | 97 | | $ | 146 | | $ | 161 | | Total trading VAR—general market risk factors only (excluding credit portfolios) | $ | 97 | | $ | 98 | | $ | 107 | | $ | 112 | | $ | 91 | | $ | 114 | |
Incremental impact of the credit portfolio(4) | Incremental impact of the credit portfolio(4) | $ | 27 | | $ | 25 | | $ | 28 | | $ | 21 | | $ | 16 | | $ | 93 | | Incremental impact of the credit portfolio(4) | $ | 33 | | $ | 38 | | $ | 27 | | $ | 25 | | $ | 35 | | $ | 26 | |
| Total trading and credit portfolio VAR | Total trading and credit portfolio VAR | $ | 130 | | $ | 134 | | $ | 127 | | $ | 123 | | $ | 142 | | $ | 245 | | Total trading and credit portfolio VAR | $ | 128 | | $ | 139 | | $ | 130 | | $ | 134 | | $ | 124 | | $ | 130 | |
(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:
| | | | Second Quarter | First Quarter | Second Quarter | | Third Quarter | Second Quarter | Third Quarter |
| | 2021 | 2021 | 2020 | | 2021 | 2021 | 2020 |
| In millions of dollars | In millions of dollars | Low | High | Low | High | Low | High | In millions of dollars | Low | High | Low | High | Low | High |
| Interest rate | Interest rate | $ | 57 | | $ | 96 | | $ | 51 | | $ | 84 | | $ | 44 | | $ | 137 | | Interest rate | $ | 51 | | $ | 76 | | $ | 57 | | $ | 96 | | $ | 61 | | $ | 111 | |
| Credit spread | Credit spread | 65 | | 86 | | 63 | | 82 | | 89 | | 171 | | Credit spread | 62 | | 96 | | 65 | | 86 | | 67 | | 95 | |
| | Fully diversified interest rate and credit spread | Fully diversified interest rate and credit spread | $ | 90 | | $ | 123 | | $ | 86 | | $ | 106 | | $ | 112 | | $ | 223 | | Fully diversified interest rate and credit spread | $ | 77 | | $ | 115 | | $ | 90 | | $ | 123 | | $ | 83 | | $ | 128 | |
| Foreign exchange | Foreign exchange | 34 | | 48 | | 41 | | 49 | | 20 | | 34 | | Foreign exchange | 38 | | 46 | | 34 | | 48 | | 15 | | 31 | |
| Equity | Equity | 23 | | 43 | | 21 | | 37 | | 23 | | 135 | | Equity | 24 | | 50 | | 23 | | 43 | | 22 | | 33 | |
| Commodity | Commodity | 26 | | 50 | | 17 | | 42 | | 17 | | 64 | | Commodity | 27 | | 55 | | 26 | | 50 | | 21 | | 32 | |
| | Total trading | Total trading | $ | 90 | | $ | 130 | | $ | 89 | | $ | 120 | | $ | 106 | | $ | 246 | | Total trading | $ | 86 | | $ | 120 | | $ | 90 | | $ | 130 | | $ | 87 | | $ | 128 | |
| Total trading and credit portfolio | Total trading and credit portfolio | 116 | | 159 | | 108 | | 139 | | 120 | | 424 | | Total trading and credit portfolio | 114 | | 166 | | 116 | | 159 | | 113 | | 150 | |
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 | JuneSeptember 30, 2021 |
Total—all market risk factors, including
general and specific risk | |
| Average—during quarter | $ | 112102 | |
| High—during quarter | 134121 | |
| Low—during quarter | 9087 | |
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 JuneSeptember 30, 2021, there were no back-testing exceptions observed for Citi’s Regulatory VAR for the prior 12 months.
STRATEGIC RISK
For additional information regarding strategic risk, including Citi’s management of strategic risk, see “Managing Global Risk—Strategic Risk” in Citi’s First Quarter of 2021 Form 10-Q and Citi’s 2020 Annual Report on Form 10-K.
Country Risk
Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by country (excluding the U.S.) as of JuneSeptember 30, 2021. (Including the U.S, the total exposure as of JuneSeptember 30, 2021 to the top 25 countries would represent approximately 96% of Citi’s exposure to all countries.)
For purposes of the table, loan amounts are reflected in the country where the loan is booked, which is generally based on the domicile of the borrower. For example, a loan to a
Chinese 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 32% of corporate loans presented in the table below are to U.K. domiciled entities (33%(32% for unfunded commitments), with the balance of the loans predominately to European domiciled counterparties. Approximately 83%84% of the total U.K. funded loans and 84% of the total U.K. unfunded commitments were investment grade as of JuneSeptember 30, 2021.
Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.
| | 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
2Q21 | Total
as of
1Q21 | Total
as of
2Q20 | Total as a % of Citi as of 2Q21 | 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
3Q21 | Total
as of
2Q21 | Total
as of
3Q20 | Total as a % of Citi as of 3Q21 |
| United Kingdom | United Kingdom | $ | 45.9 | | $ | — | | $ | 1.6 | | $ | 53.6 | | $ | 15.2 | | $ | (5.3) | | $ | 4.7 | | $ | (3.0) | | $ | 112.7 | | $ | 115.3 | | $ | 109.7 | | 6.3 | % | United Kingdom | $ | 43.1 | | $ | 0.2 | | $ | 2.1 | | $ | 51.8 | | $ | 19.6 | | $ | (5.0) | | $ | 4.4 | | $ | (4.6) | | $ | 111.6 | | $ | 112.7 | | $ | 108.5 | | 6.3 | % |
| Mexico | Mexico | 14.2 | | 13.5 | | 0.3 | | 7.7 | | 3.4 | | (0.9) | | 20.8 | | 3.5 | | 62.5 | | 62.2 | | 59.1 | | 3.5 | | Mexico | 13.5 | | 13.0 | | 0.3 | | 7.9 | | 2.8 | | (0.9) | | 20.0 | | 3.4 | | 60.0 | | 62.5 | | 60.9 | | 3.4 | |
| Hong Kong | Hong Kong | 21.4 | | 14.1 | | 0.3 | | 7.4 | | 1.0 | | (0.7) | | 8.1 | | 1.0 | | 52.6 | | 47.8 | | 49.1 | | 2.9 | | Hong Kong | 20.9 | | 14.6 | | 0.3 | | 7.3 | | 1.2 | | (1.4) | | 8.6 | | 1.3 | | 52.8 | | 52.6 | | 47.9 | | 3.0 | |
| Singapore | | Singapore | 15.9 | | 13.8 | | 0.3 | | 7.3 | | 1.6 | | (0.7) | | 6.2 | | 1.6 | | 46.0 | | 43.6 | | 44.1 | | 2.6 | |
| Ireland | Ireland | 12.8 | | — | | 1.0 | | 29.1 | | 0.6 | | (0.2) | | — | | 0.5 | | 43.8 | | 44.1 | | 42.0 | | 2.4 | | Ireland | 14.7 | | — | | 1.4 | | 28.4 | | 0.6 | | (0.2) | | — | | 0.4 | | 45.3 | | 43.8 | | 41.2 | | 2.5 | |
| Singapore | 15.3 | | 13.8 | | 0.2 | | 5.9 | | 1.0 | | (0.6) | | 6.1 | | 1.9 | | 43.6 | | 41.5 | | 46.8 | | 2.4 | | |
| South Korea | South Korea | 3.2 | | 17.7 | | 0.1 | | 2.3 | | 2.2 | | (0.8) | | 10.4 | | 1.6 | | 36.7 | | 35.0 | | 32.7 | | 2.0 | | South Korea | 3.8 | | 16.6 | | 0.1 | | 2.2 | | 2.0 | | (0.8) | | 9.8 | | 0.5 | | 34.2 | | 36.7 | | 33.2 | | 1.9 | |
| India | India | 7.0 | | 3.8 | | 1.1 | | 5.7 | | 1.6 | | (0.6) | | 8.8 | | 0.3 | | 27.7 | | 29.6 | | 28.5 | | 1.5 | | India | 7.1 | | 3.8 | | 0.8 | | 6.3 | | 3.2 | | (0.7) | | 9.2 | | 0.6 | | 30.3 | | 27.7 | | 31.6 | | 1.7 | |
| Brazil | Brazil | 11.5 | | — | | — | | 3.1 | | 4.2 | | (0.6) | | 4.6 | | 3.3 | | 26.1 | | 23.7 | | 25.4 | | 1.5 | | Brazil | 10.5 | | — | | — | | 2.9 | | 5.6 | | (0.7) | | 5.1 | | 1.0 | | 24.4 | | 26.1 | | 25.1 | | 1.4 | |
| Australia | 4.8 | | 9.2 | | — | | 6.9 | | 1.6 | | (0.4) | | 1.4 | | 1.4 | | 24.9 | | 23.1 | | 20.2 | | 1.4 | | |
| China | China | 8.5 | | 3.6 | | 0.7 | | 2.3 | | 1.5 | | (0.5) | | 6.1 | | (2.4) | | 19.8 | | 21.1 | | 19.2 | | 1.1 | | China | 7.7 | | 3.6 | | 0.7 | | 2.3 | | 1.0 | | (0.6) | | 6.1 | | (0.6) | | 20.2 | | 19.8 | | 21.7 | | 1.1 | |
| Japan | | Japan | 2.5 | | — | | 0.1 | | 4.8 | | 4.2 | | (1.6) | | 5.0 | | 4.3 | | 19.3 | | 16.6 | | 19.7 | | 1.1 | |
Australia(7) | | Australia(7) | 4.6 | | — | | — | | 9.0 | | 1.7 | | (0.5) | | 1.3 | | 1.6 | | 17.7 | | 24.9 | | 21.2 | | 1.0 | |
| Taiwan | | Taiwan | 5.3 | | 8.4 | | 0.1 | | 1.2 | | 0.7 | | (0.1) | | 0.2 | | 1.2 | | 17.0 | | 17.3 | | 17.0 | | 1.0 | |
| Canada | | Canada | 2.0 | | 0.5 | | 0.1 | | 7.2 | | 2.3 | | (1.2) | | 3.0 | | 3.0 | | 16.9 | | 17.9 | | 17.0 | | 0.9 | |
| United Arab Emirates | | United Arab Emirates | 8.0 | | 1.4 | | 0.1 | | 4.1 | | 0.8 | | (0.4) | | 2.5 | | 0.1 | | 16.6 | | 14.2 | | 11.9 | | 0.9 | |
| Jersey | | Jersey | 7.0 | | — | | 0.2 | | 7.8 | | 0.1 | | (0.2) | | — | | — | | 14.9 | | 15.0 | | 13.3 | | 0.8 | |
| Germany | Germany | 0.2 | | — | | 0.1 | | 6.0 | | 5.4 | | (3.7) | | 6.7 | | 4.7 | | 19.4 | | 25.8 | | 24.6 | | 1.1 | | Germany | 0.2 | | — | | 0.1 | | 6.0 | | 4.5 | | (3.6) | | 6.8 | | 0.4 | | 14.4 | | 19.4 | | 27.1 | | 0.8 | |
| Canada | 2.0 | | 0.5 | | 0.1 | | 7.7 | | 2.3 | | (0.9) | | 4.3 | | 1.9 | | 17.9 | | 16.1 | | 17.8 | | 1.0 | | |
| Taiwan | 5.3 | | 8.4 | | 0.1 | | 1.2 | | 1.1 | | (0.1) | | 0.2 | | 1.1 | | 17.3 | | 17.0 | | 16.7 | | 1.0 | | |
| Japan | 2.4 | | — | | 0.1 | | 3.1 | | 3.5 | | (1.6) | | 5.1 | | 4.0 | | 16.6 | | 18.9 | | 18.5 | | 0.9 | | |
| Jersey | 6.8 | | — | | 0.6 | | 7.7 | | — | | (0.1) | | — | | — | | 15.0 | | 14.0 | | 12.0 | | 0.8 | | |
| United Arab Emirates | 7.6 | | 1.3 | | — | | 3.7 | | 0.3 | | (0.3) | | 1.6 | | — | | 14.2 | | 13.5 | | 12.9 | | 0.8 | | |
| Poland | Poland | 3.3 | | 1.9 | | — | | 2.7 | | 0.2 | | (0.1) | | 3.0 | | 0.5 | | 11.5 | | 11.4 | | 15.1 | | 0.6 | | Poland | 3.1 | | 1.8 | | — | | 2.7 | | 0.2 | | (0.1) | | 3.4 | | 0.1 | | 11.2 | | 11.5 | | 15.1 | | 0.6 | |
| Malaysia | Malaysia | 1.5 | | 3.4 | | 0.1 | | 0.9 | | 0.1 | | — | | 1.9 | | 0.4 | | 8.3 | | 8.4 | | 9.1 | | 0.5 | | Malaysia | 1.4 | | 3.3 | | 0.2 | | 0.9 | | 0.2 | | — | | 2.1 | | 0.1 | | 8.2 | | 8.3 | | 8.4 | | 0.5 | |
| Thailand | Thailand | 0.9 | | 2.7 | | — | | 2.2 | | 0.1 | | — | | 1.5 | | 0.1 | | 7.5 | | 7.4 | | 7.8 | | 0.4 | | Thailand | 1.0 | | 2.5 | | — | | 2.1 | | 0.1 | | — | | 2.0 | | 0.3 | | 8.0 | | 7.5 | | 7.9 | | 0.4 | |
| Indonesia | Indonesia | 2.1 | | 0.6 | | — | | 1.5 | | 0.2 | | (0.1) | | 1.7 | | — | | 6.0 | | 6.1 | | 5.9 | | 0.3 | | Indonesia | 2.2 | | 0.6 | | — | | 1.3 | | 0.1 | | (0.1) | | 1.5 | | 0.2 | | 5.8 | | 6.0 | | 6.0 | | 0.3 | |
| Russia | | Russia | 2.3 | | 0.7 | | — | | 0.8 | | 0.1 | | (0.1) | | 1.6 | | 0.1 | | 5.5 | | 5.4 | | 4.6 | | 0.3 | |
| Luxembourg | Luxembourg | 1.0 | | — | | — | | — | | 0.3 | | (0.6) | | 5.1 | | 0.1 | | 5.9 | | 5.5 | | 6.7 | | 0.3 | | Luxembourg | 1.0 | | — | | — | | — | | 0.3 | | (0.8) | | 4.8 | | — | | 5.3 | | 5.9 | | 6.7 | | 0.3 | |
| Russia | 2.2 | | 0.8 | | — | | 0.8 | | 0.2 | | — | | 1.6 | | (0.2) | | 5.4 | | 5.1 | | 5.4 | | 0.3 | | |
| Philippines | Philippines | 0.8 | | 1.2 | | 0.1 | | 0.6 | | 0.2 | | — | | 1.4 | | (0.2) | | 4.1 | | 4.1 | | 5.4 | | 0.2 | | Philippines | 0.8 | | 1.2 | | 0.1 | | 0.5 | | 0.2 | | — | | 1.5 | | (0.3) | | 4.0 | | 4.1 | | 4.7 | | 0.2 | |
| South Africa | South Africa | 1.5 | | — | | — | | 0.6 | | 0.2 | | (0.1) | | 1.7 | | (0.2) | | 3.7 | | 3.6 | | 4.0 | | 0.2 | | South Africa | 1.5 | | — | | 0.1 | | 0.6 | | 0.3 | | (0.1) | | 1.6 | | (0.2) | | 3.8 | | 3.7 | | 3.5 | | 0.2 | |
| Czech Republic | Czech Republic | 0.9 | | — | | — | | 0.7 | | 1.3 | | — | | 0.6 | | 0.1 | | 3.6 | | 4.5 | | 3.4 | | 0.2 | | Czech Republic | 0.8 | — | | — | | 0.7 | 1.4 | — | | 0.5 | 0.1 | 3.5 | 3.6 | 3.8 | 0.2 | |
| Total as a % of Citi’s total exposure | Total as a % of Citi’s total exposure | | 33.6 | % | Total as a % of Citi’s total exposure | | 33.4 | % |
| Total as a % of Citi’s non-U.S. total exposure | Total as a % of Citi’s non-U.S. total exposure | | 90.9 | % | Total as a % of Citi’s non-U.S. total exposure | | 90.7 | % |
(1) ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of JuneSeptember 30, 2021, private bank loans in the table above totaled $33.4$32.4 billion, concentrated in Hong Kong ($109.2 billion), the U.K. ($8.88.6 billion) and Singapore ($7.37.5 billion).
(2) Other funded includes other direct exposures such as accounts receivable, loans HFS, other loans in Corporate/Other and investments accounted for under the equity method.
(3) Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.
(4) Net mark-to-market counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.
(5) Investment securities include debt securities available-for-sale, recorded at fair market value, and debt securities held-to-maturity, recorded at amortized cost.
(6) Trading account assets are shown on a net basis and include issuer risk on cash products and derivative exposure where the underlying reference entity/issuer is located in that country.
(7) September 30, 2021 excludes GCB loans reclassified to held-for-sale as a result of Citi’s agreement to sell its consumer banking business in Australia. For additional information, see “Asia GCB” above and Note 2 to the Consolidated Financial Statements.
Argentina
Citi operates in Argentina through its ICG businesses. As of JuneSeptember 30, 2021, Citi’s net investment in its Argentine operations was approximately $1.2$1.3 billion. Citi uses the U.S. dollar as the functional currency for its operations in Argentina because the Argentine economy is considered highly inflationary countries 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 September 30, 2021, the official Argentine peso exchange rate against the U.S. dollar was 98.74.
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. Citi’s net investment in its Argentine operations is likely to increase as Citi generates net income in its Argentine franchise and its earnings are unable 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 JuneSeptember 30, 2021, 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, 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 losses on its Argentine loans, and appropriate fair value adjustments on Argentine assets and liabilities measured at fair value, for such risks under U.S. GAAP as of JuneSeptember 30, 2021. However, U.S. regulatory agencies may require Citi to record additional reserves in the future, increasing ICG’s cost of credit, based on the perceived country risk associated with its Argentine exposures. For additional information on emerging markets risks, see “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES
This section contains a summary of Citi’s most significant accounting policies. Note 1 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report on Form 10-K contains a summary of all of Citigroup’s significant accounting policies. These policies, as well as estimates made by management, are integral to the presentation of Citi’s results of operations and financial condition. While all of these policies require a certain level of management judgment and estimates, this section highlights and discusses the significant accounting policies that require management to make highly difficult, complex or subjective judgments and estimates at times regarding matters that are inherently uncertain and susceptible to change (see also “Risk Factors—Operational Risks” in Citigroup’s 2020 Annual Report on Form 10-K). Management has discussed each of these significant accounting policies, the related estimates and its judgments with the Audit Committee of the Citigroup Board of Directors.
Valuations of Financial Instruments
Citigroup holds debt and equity securities, derivatives, retained interests in securitizations, investments in private equity and other financial instruments. A substantial portion of these assets and liabilities is reflected at fair value on Citi’s Consolidated Balance Sheet as Trading account assets, Available-for-sale securities and Trading account liabilities.
Citi purchases securities under agreements to resell (reverse repos or resale agreements) and sells securities under agreements to repurchase (repos), a substantial portion of which is carried at fair value. In addition, certain loans, short-term borrowings, long-term debt and deposits, as well as certain securities borrowed and loaned positions that are collateralized with cash, are carried at fair value. Citigroup holds its investments, trading assets and liabilities, and resale and repurchase agreements on Citi’s Consolidated Balance Sheet to meet customer needs and to manage liquidity needs, interest rate risks and private equity investing.
When available, Citi generally uses quoted market prices to determine fair value and classifies such items within Level 1 of the fair value hierarchy established under ASC 820-10, Fair Value Measurement. If quoted market prices are not available, fair value is based upon internally developed valuation models that use, where possible, current market-based or independently sourced market parameters, such as interest rates, currency rates and option volatilities. Such models are often based on a discounted cash flow analysis. In addition, items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified under the fair value hierarchy as Level 3 even though there may be some significant inputs that are readily observable.
Citi is required to exercise subjective judgments relating to the applicability and functionality of internal valuation models, the significance of inputs or value drivers to the valuation of an instrument and the degree of illiquidity and subsequent lack of observability in certain markets. The fair value of these instruments is reported on Citi’s Consolidated Balance Sheet wherewith the changes in fair value are recognized in either the Consolidated Statement of Income or in AOCI.
Losses on available-for-sale securities whose fair values are less than the amortized cost, where Citi intends to sell the security or could more-likely-than-not be required to sell the security, are recognized in earnings. Where Citi does not intend to sell the security nor could more-likely-than-not be required to sell the security, the portion of the loss related to credit is recognized as an allowance for credit losses with a corresponding provision for credit losses and the remainder of the loss is recognized in other comprehensive income. Such losses are capped at the difference between the fair value and amortized cost of the security.
For equity securities carried at cost or under the measurement alternative, decreases in fair value below the carrying value are recognized as impairment in the Consolidated Statement of Income. Moreover, for certain equity method investments, decreases in fair value are only recognized in earnings in the Consolidated Statement of Income if such decreases are judged to be an other-than-temporary impairment (OTTI). Adjudicating the temporary nature of fair value impairments is also inherently judgmental.
The fair value of financial instruments incorporates the effects of Citi’s own credit risk and the market view of counterparty credit risk, the quantification of which is also complex and judgmental. For additional information on Citi’s fair value analysis, see Notes 6, 20 and 21 to the Consolidated Financial Statements in this Form 10-Q and Note 1 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
Citi’s Allowance for Credit Losses (ACL)
The table below shows Citi’s ACL as of the secondthird quarter of 2021. For information on the drivers of Citi’s ACL release in the secondthird 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 on Form 10-K.
| | | | ACL | | ACL |
| In millions of dollars | In millions of dollars | Balance Dec. 31, 2020 | 1Q21
build
(release) | 1Q21 FX/Other | Balance Mar. 31, 2021 | 2Q21
build
(release) | 2Q21 FX/Other | Balance Jun. 30, 2021 | | ACLL/EOP loans Jun. 30, 2021(1) | In millions of dollars | Balance Dec. 31, 2020 | 1Q21
build
(release) | 1Q21 FX/Other | Balance Mar. 31, 2021 | 2Q21
build
(release) | 2Q21 FX/Other | Balance Jun. 30, 2021 | 3Q21 build (release) | 3Q21 FX/Other | Balance Sept. 30, 2021 | ACLL/EOP loans Sept. 30, 2021(1) |
Cards(1) | Cards(1) | $ | 16,805 | | $ | (1,523) | | $ | (42) | | $ | 15,240 | | $ | (1,106) | | $ | 25 | | $ | 14,159 | | | 9.72 | % | Cards(1) | $ | 16,805 | | $ | (1,523) | | $ | (42) | | $ | 15,240 | | $ | (1,106) | | $ | 25 | | $ | 14,159 | | $ | (906) | | $ | (229) | | $ | 13,024 | | 9.09 | % |
All other GCB | All other GCB | 2,419 | | (283) | | (42) | | 2,094 | | (292) | | 28 | | 1,830 | | | | All other GCB | 2,419 | | (283) | | (42) | | 2,094 | | (292) | | 28 | | 1,830 | | (125) | | (129) | | 1,576 | | |
| Global Consumer Banking | Global Consumer Banking | $ | 19,224 | | $ | (1,806) | | $ | (84) | | $ | 17,334 | | $ | (1,398) | | $ | 53 | | $ | 15,989 | | | 5.90 | % | Global Consumer Banking | $ | 19,224 | | $ | (1,806) | | $ | (84) | | $ | 17,334 | | $ | (1,398) | | $ | 53 | | $ | 15,989 | | $ | (1,031) | | $ | (358) | | $ | 14,600 | | 5.61 | % |
| Institutional Clients Group | Institutional Clients Group | 5,402 | | (1,312) | | (6) | | 4,084 | | (949) | | (8) | | 3,127 | | | 0.80 | | Institutional Clients Group | 5,402 | | (1,312) | | (6) | | 4,084 | | (949) | | (8) | | 3,127 | | (65) | | (15) | | 3,047 | | 0.77 | |
| Corporate/Other | Corporate/Other | 330 | | (109) | | (1) | | 220 | | (99) | | 1 | | 122 | | | | Corporate/Other | 330 | | (109) | | (1) | | 220 | | (99) | | 1 | | 122 | | (53) | | (1) | | 68 | | |
| Allowance for credit losses on loans (ACLL) | Allowance for credit losses on loans (ACLL) | $ | 24,956 | | $ | (3,227) | | $ | (91) | | $ | 21,638 | | $ | (2,446) | | $ | 46 | | $ | 19,238 | | | 2.88 | % | Allowance for credit losses on loans (ACLL) | $ | 24,956 | | $ | (3,227) | | $ | (91) | | $ | 21,638 | | $ | (2,446) | | $ | 46 | | $ | 19,238 | | $ | (1,149) | | $ | (374) | | $ | 17,715 | | 2.69 | % |
| Allowance for credit losses on unfunded lending commitments (ACLUC) | Allowance for credit losses on unfunded lending commitments (ACLUC) | 2,655 | | (626) | | (17) | | 2,012 | | 44 | | 17 | | 2,073 | | | | Allowance for credit losses on unfunded lending commitments (ACLUC) | 2,655 | | (626) | | (17) | | 2,012 | | 44 | | 17 | | 2,073 | | (13) | | 3 | | 2,063 | | |
| Other | Other | 146 | | 1 | | (1) | | 146 | | 1 | | 1 | | 148 | | | | Other | 146 | | 1 | | (1) | | 146 | | 1 | | 1 | | 148 | | (13) | | 2 | | 137 | | |
| Total ACL | Total ACL | $ | 27,757 | | $ | (3,852) | | $ | (109) | | $ | 23,796 | | $ | (2,401) | | $ | 64 | | $ | 21,459 | | | | Total ACL | $ | 27,757 | | $ | (3,852) | | $ | (109) | | $ | 23,796 | | $ | (2,401) | | $ | 64 | | $ | 21,459 | | $ | (1,175) | | $ | (369) | | $ | 19,915 | | |
(1) As of JuneSeptember 30, 2021, in North America GCB, Citi-branded cards ACLL/EOP loans was 8.6%8.3% and Citi retail services ACLL/EOP loans was 12.7%11.5%.
Citi’s reserves for expected credit losses on funded loans and unfunded lending commitments, standby letters of credit and financial guarantees are reflected on the Consolidated Balance Sheet in the Allowance for credit losses on loans (ACLL) and Other liabilities (Allowance for credit losses on unfunded lending commitments (ACLUC)), respectively. In addition, Citi reserves for expected credit losses on other financial assets carried at amortized cost, including held-to-maturity securities, reverse repurchase agreements, securities borrowed, deposits with banks and other financial receivables. These reserves, together with the ACLL and ACLUC, are referred to as the ACL. Changes in the ACL are reflected as Provision for credit losses in the Consolidated Statement of Income for each reporting period.
The ACL is composed of quantitative and qualitative management adjustment components. The quantitative component uses a forward-looking base macroeconomic forecast. The qualitative management adjustment component reflects economic uncertainty using alternative downside macroeconomic scenarios and portfolio characteristics and current economic conditions not captured in the quantitative component, such as adjustments to reflect uncertainty around the estimated impact of the pandemic on credit losses. Both the quantitative and qualitative management adjustment components are further discussed below.
Quantitative Component
Citi estimates expected credit losses for its quantitative component using (i) its comprehensive internal data on loss and default history, (ii) internal credit risk ratings, (iii) external credit bureau and rating agencies information, and (iv) a reasonable and supportable forecast of macroeconomic conditions.
For its consumer and corporate portfolios, Citi’s expected credit losses are determined primarily by utilizing models that consider the borrowers’ probability of default (PD), loss given default (LGD) and exposure at default (EAD). The loss likelihood and severity models used for estimating expected credit losses are sensitive to changes in macroeconomic variables that inform the forecasts, and cover a wide range of geographic, industry, product and business segments.
In addition, Citi’s models determine expected credit losses based on leading credit indicators, including loan delinquencies, changes in portfolio size, default frequency, risk ratings and loss recovery rates (among other things), as well as other current economic factors and credit trends, including housing prices, unemployment and gross domestic product (GDP).
Qualitative Component
The qualitative management adjustment component includes, among other things, management adjustments to reflect economic uncertainty based on the likelihood and severity of downside scenarios and certain portfolio characteristics not captured in the quantitative component, such as concentrations, collateral valuation, model limitations, idiosyncratic events and other factors as required by banking supervisory guidance for the ACL. The qualitative management adjustment component also reflects the uncertainty around the estimated impact of the pandemic on credit loss estimates. The ultimate extent of the pandemic’s impact on Citi’s ACL will depend on, among other things, (i) how consumers respond to the conclusion of government stimulus and assistance programs, (ii) the impact on unemployment, (iii) the timing and extent of the economic recovery, (iv) the severity and duration of any resurgence of COVID-19, (v) the rate of distribution and administration of vaccines and (vi) the extent of any market volatility.
2Q213Q21 Changes in the Allowance
In the secondthird quarter of 2021, Citi released $1.5$1.1 billion of the ACL for its consumer portfolios and $0.9$0.1 billion of the ACL for its corporate portfolios, for a total release of $2.4$1.2 billion. The releasesrelease in the consumer andACL was driven primarily by continued improvements in portfolio credit quality, as well as the continued improvement in the macroeconomic outlook. The release in the corporate ACLs wereACL was also driven primarily by improvements in portfolio quality and macroeconomic forecasts.credit quality. The overall qualitative management adjustments were largely unchangeddeclined compared to the previous quarter. Based on its latest macroeconomic forecast, Citi believes its analysis of the ACL reflects the forward view of the economic analysisenvironment as of JuneSeptember 30, 2021.
Macroeconomic Variables
Citi considers a multitude of macroeconomic variables for both the base and downside macroeconomic forecasts it uses to estimate the ACL, including domestic and international variables for its global portfolios and exposures. Citi’s forecasts of the U.S. unemployment rate and U.S. Real GDP growth rate represent the key macroeconomic variables that most significantly affect its estimate of the ACL.
The tables below show Citi’s forecasted quarterly average U.S. unemployment rate and year-over-year U.S. Real GDP growth rate used in determining Citi’s ACL for each quarterly reporting period from 2Q203Q20 to 2Q21:3Q21:
| | | | | | | | | | | | | | |
| Quarterly average | |
| U.S. unemployment | 3Q21 | 1Q22 | 3Q22 | 13-quarter average(1) |
| Citi forecast at 2Q20 | 6.3 | % | 5.8 | % | 5.6 | % | 7.2 | % |
| Citi forecast at 3Q20 | 6.8 | | 6.3 | | 5.9 | | 6.6 | |
| Citi forecast at 4Q20 | 6.5 | | 6.2 | | 5.9 | | 6.1 | |
| Citi forecast at 1Q21 | 5.2 | | 4.5 | | 3.9 | | 4.3 | |
| Citi forecast at 2Q21 | 5.2 | | 4.2 | | 4.0 | | 4.1 | |
| | | | | | | | | | | | | | |
| Quarterly average | |
| U.S. unemployment | 4Q21 | 2Q22 | 4Q22 | 13-quarter average(1) |
| Citi forecast at 3Q20 | 6.4 | % | 6.1 | % | 5.7 | % | 6.6 | % |
| Citi forecast at 4Q20 | 6.3 | | 6.1 | | 5.7 | | 6.1 | |
| Citi forecast at 1Q21 | 4.9 | | 4.1 | | 3.8 | | 4.3 | |
| Citi forecast at 2Q21 | 4.6 | | 4.1 | | 3.9 | | 4.1 | |
| Citi forecast at 3Q21 | 4.5 | | 4.1 | | 3.9 | | 4.0 | |
(1) Represents the average unemployment rate for the rolling, forward-looking 13 quarters in the forecast horizon.
| | | Year-over-year growth rate(1) | | Year-over-year growth rate(1) |
| | Full year | | Full year |
| U.S. Real GDP | U.S. Real GDP | 2021 | 2022 | 2023 | U.S. Real GDP | 2021 | 2022 | 2023 |
| Citi forecast at 2Q20 | 5.5 | % | 3.3 | % | 2.1 | % | |
| Citi forecast at 3Q20 | Citi forecast at 3Q20 | 3.3 | | 2.8 | | 2.6 | | Citi forecast at 3Q20 | 3.3 | % | 2.8 | % | 2.6 | % |
| Citi forecast at 4Q20 | Citi forecast at 4Q20 | 3.7 | | 2.7 | | 2.6 | | Citi forecast at 4Q20 | 3.7 | | 2.7 | | 2.6 | |
| Citi forecast at 1Q21 | Citi forecast at 1Q21 | 6.2 | | 4.1 | | 1.9 | | Citi forecast at 1Q21 | 6.2 | | 4.1 | | 1.9 | |
| Citi forecast at 2Q21 | Citi forecast at 2Q21 | 6.5 | | 3.7 | | 2.0 | | Citi forecast at 2Q21 | 6.2 | | 3.7 | | 1.9 | |
| Citi forecast at 3Q21 | | Citi forecast at 3Q21 | 5.9 | | 3.9 | | 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 2Q21,3Q21, U.S. Real GDP growth is expected to remain strong induring the remainder of 2021 and in 2022, and the unemployment rate is expected to continue to improve as the U.S. moves past the peak of the pandemic-related health and economic crisis.
Consumer
As discussed above, Citi’s total consumer ACL release (including Corporate/Other) of $1.5$1.1 billion in the secondthird quarter of 2021 reduced the ACL balance to $16.1$14.7 billion, or 5.84%5.55% of total consumer loans at JuneSeptember 30, 2021. The release was primarily driven by the continued improvements in portfolio credit quality, as well as the improvedcontinued improvement in the macroeconomic forecast.outlook. Citi’s consumer ACL is largely driven by the cards businesses.
For cards, including Citi’s international businesses, the level of reserves relative to EOP loans decreased to 9.72%9.09% at JuneSeptember 30, 2021, compared to 10.72%9.72% at March 31,June 30, 2021, primarily driven by improvements in portfolio credit quality, as well as the improvedcontinued improvement in the macroeconomic forecast.
outlook. For the remaining consumer exposures, the level of reserves relative to EOP loans decreased to 1.4% at September 30, 2021, compared to 1.5% at June 30, 2021, compared to 1.8% at March 31, 2021.
Corporate
Citi’s corporate ACLL release of $0.9$0.1 billion in the secondthird quarter of 2021 reduced the ACLL reserve balance to $3.1$3.0 billion, or 0.80%0.77% of total funded loans, and was primarily driven by improvements in portfolio credit quality, as well as the improved macroeconomic forecast.quality.
The Allowance for credit losses on unfunded lending commitments (ACLUC) buildrelease of $43$14 million in the secondthird quarter of 2021 increaseddecreased the total ACLUC reserve balance included in Other liabilities to $2.1 billion at JuneSeptember 30, 2021.
ACLL and Non-accrual Ratios
At JuneSeptember 30, 2021, the ratio of the allowance for credit losses to total funded loans was 2.69% (5.55% for consumer loans and 0.77% for corporate loans) compared to 2.88% at June 30, 2021 (5.84% for consumer loans and 0.80% for corporate loans) compared to 3.29% at March 31, 2021 (6.41% for consumer loans and 1.06% for corporate loans).
Citi’s total non-accrual loans were $4.4$4.0 billion at JuneSeptember 30, 2021, down $708$393 million from March 31,June 30, 2021. Consumer non-accrual loans decreased $178$217 million to $1.6 billion at September 30, 2021 from $1.8 billion at June 30, 2021, from $2.0 billion at March 31, 2021, while corporate non-accrual loans decreased $530$176 million to $2.4 billion at September 30, 2021 from $2.6 billion at June 30, 2021 from $3.1 billion at March 31, 2021. In addition, the ratio of non-accrual loans to total corporate loans was 0.64%0.60%, and 0.65%0.60% of non-accrual loans to total consumer loans, at JuneSeptember 30, 2021.
Regulatory Capital Impact
Citi has elected to phase in the CECL impact for regulatory capital purposes. The transition provisions were recently modified to defer the phase-in. After two years with no impact on capital, the CECL transition impact will phase in over a three-year transition period with 25% of the impact (net of deferred taxes) recognized on the first day of each subsequent year, commencing January 1, 2022, and will be fully implemented on January 1, 2025. In addition, 25% of the build (pretax) made in 2020 and 2021 will be deferred and amortized over the same timeframe.
For a further description of the ACL and related accounts, see Notes 1 and 14 to the Consolidated Financial Statements.
For a discussion of the adoption of the CECL accounting pronouncement, see Note 1 to the Consolidated Financial Statements.
Goodwill
Citi tests goodwill for impairment annually as of July 1 (the annual test) and through interim assessments between annual tests if an event occurs or circumstances change that 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 theits annual goodwill impairment test as of July 1, 2020.2021. The fair values of the Company’s reporting units as a percentage of their carrying values ranged from approximately 115%125% to 136%153%, resulting in no impairment. While the inherent risk related to uncertainty is embedded in the key assumptions used in the valuations, the currenteconomic and business environment continuescontinue to evolve. Deteriorationevolve as management progresses on its strategic refresh, including, among others, the exits of consumer businesses in business performance or macroeconomic13 markets in Asia and EMEA. If management’s best estimate of future 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 economiccurrent assumptions, and associated cash flows were to decrease, Citi could potentially experience material goodwill impairment charges in the future. See Note 15 to the Consolidated Financial Statements for a further discussion on goodwill.
Litigation Accruals
See the discussion in Note 23 to the Consolidated Financial Statements for information regarding Citi’s policies on establishing accruals for litigation and regulatory contingencies.
INCOME TAXES
Deferred Tax Assets
For additional information on Citi’s deferred tax assets (DTAs), see “Risk Factors—Strategic Risks,” “Significant Accounting Policies and Significant Estimates—Income Taxes” and Notes 1 and 9 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
At JuneSeptember 30, 2021, Citigroup had recorded net DTAs of approximately $24.5 billion, an increase of $0.3 billionunchanged from March 31,June 30, 2021 and a decrease of $0.3 billion from December 31, 2020. The increase for the quarter was driven by a valuation allowance (VA) release (see DTA Realizability below) and losses in Other comprehensive income.
The table below summarizes Citi’s net DTAs balance:
| | Jurisdiction/Component | Jurisdiction/Component | DTAs balance | Jurisdiction/Component | DTAs balance |
| In billions of dollars | In billions of dollars | June 30,
2021 | | December 31, 2020 | In billions of dollars | September 30,
2021 | | December 31, 2020 |
| Total U.S. | Total U.S. | $ | 21.7 | | | $ | 22.2 | | Total U.S. | $ | 21.7 | | | $ | 22.2 | |
| Total foreign | Total foreign | 2.8 | | | 2.6 | | Total foreign | 2.8 | | | 2.6 | |
| Total | Total | $ | 24.5 | | | $ | 24.8 | | Total | $ | 24.5 | | | $ | 24.8 | |
Of Citi’s total net DTAs of $24.5 billion as of JuneSeptember 30, 2021, $9.4$9.2 billion (primarily relating towas excluded from Citi’s Common Equity Tier 1 Capital. Excluded from Citi’s Common Equity Tier 1 Capital as of September 30, 2021 was $10.9 billion of net DTAs arising from net operating losses, foreign tax credit (FTC) and general business credit carry-forwards, which decreased by $0.4$0.3 billion in the current quarter)quarter. The amount excluded was reduced by $1.7 billion of net DTLs, primarily associated with goodwill and certain other intangible assets, that are separately deducted in calculating Citi’s regulatoryfrom capital. Net DTAs arising from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations (see “Capital Resources” in Citi’s 2020 Annual Report on Form 10-K). For the quarter ended JuneSeptember 30, 2021, Citi did not have any such DTAs. Accordingly, the remaining $15.1$15.3 billion of net DTAs as of JuneSeptember 30, 2021 was not deducted 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 $24.5 billion at JuneSeptember 30, 2021 is more-likely-than-not based on management’s expectations as to future taxable income in the jurisdictions in which the DTAs arise, as well as consideration of available tax planning strategies (as defined in ASC Topic 740, Income Taxes).
In the secondthird quarter of 2021, as part of the normal planning process, Citi updated its forecasts of operating income and foreign source income. With respect tothere was no change in Citi’s general basketDTA valuation allowance (VA) requirements for foreign tax credits (FTCs), Citi’s revised forecast provided a sufficient level of forecasted taxable income to maintain the level of general basket FTCs currently recognized. With respect to non-U.S. branches, Citi’s forecasts evidenced a sufficient level of forecasted taxable income to utilize previously unrecognized DTAs related to non-U.S. branch FTC carry-forwards in 2021 and 2022. As a result, the second quarter includes a VA release of approximately $450 million related to these FTCs.credit carry-forwards. As part of its normal planning process in the fourth quarter of 2021, Citi expects to further update its forecasts of operating income and foreign source income, which in turn could affect Citi’s valuation allowance against FTC carry-forwards.
Effective Tax Rate
Citi’s reported effective tax rate for the secondthird quarter of 2021 was approximately 16%. This compares to an effective tax rate of approximately 5% in20%, largely unchanged from the secondthird quarter of 2020. The effective tax rate in the current quarter was driven by the $450 million VA release related to non-U.S. branch FTC carry-forwards. In the second quarter of 2020, the effective tax rate was driven by the higher relative impact of tax-advantaged investments and other tax benefits on a relatively low level of earnings before taxes.
DISCLOSURE CONTROLS AND PROCEDURES
Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of JuneSeptember 30, 2021. 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 of sanctions under U.S. law. Disclosure is generally required even where the activities, transactions or dealings were conducted in compliance with applicable law. Citi, in its related quarterly report on Form 10-Q, previously disclosed nodid not identify any reportable activities for the first quarter of 2021.
During Citi identified and reported certain activities pursuant to Section 219 for the second quarter of 2021, Citigroup reported 71 transactions2021. Citi did not identify any reportable activities pursuant to Section 219. On May 10, 2021, Citibank Europe plc, acting as an intermediary bank, processed a permissible transaction between two Irish banks for visa-related fees paid to the Iranian Embassy in Ireland. The total value of the payment was EUR 100.00 (approximately USD 119.06). These transactions were authorized under the travel exemption of the Iranian Transactions and Sanctions Regulations (i.e., 31 CFR § 560.210). In addition, in May of 2021, Citigroup’s Russian subsidiary (Citi Russia) unblocked and released 69 transactions involving entities designated pursuant to Executive Orders 13382 and 13224. The total value of the transactions, which were related to payments of small bills for services, as well as salary payments, was RUB 11,371,791.17
(approximately USD 225,429.26). All transactions were processed pursuant to a specific license issued by the U.S. Office of Foreign Assets Control (OFAC) on May 26, 2021. Citi Russia received nominal fees for three of the 69 payments, which were outgoing and subject to tariffs. Finally, on June 16, 2021, two subsidiaries of Citigroup Inc. processed a transaction between the Central Bank of Iran (the CBI) and an international organization (IO). The CBI sent funds to the IO’s Korean won account at Citibank Korea Inc., which were then converted to U.S. dollars and transferred to the IO’s U.S. dollar account at Citibank, N.A., New York branch. The total value of the payment was approximately USD 16,455,375.44. The transaction was a payment219 for the Governmentthird quarter of Iran’s membership dues to the IO. Citi obtained a two-year license from OFAC for such payments on May 19, 2021. Citigroup Inc.’s two subsidiaries realized nominal fees for the processing of this payment.
SUPERVISION AND REGULATION
Securities and Commodities Regulation—Swap Dealer/ Security-Based Swap Dealer Requirements
Rules of the U.S. Commodity Futures Trading Commission (CFTC) govern the registration and regulation of swap dealers. As previously disclosed, several Citigroup subsidiaries, including Citibank, Citigroup Global Markets Inc. (CGMI), Citigroup Global Markets Limited (CGML), Citigroup Global Markets Europe (CGME) and Citigroup Energy Inc., are registered with the CFTC as swap dealers. On July 22, 2020, the CFTC adopted final rules establishing capital and financial reporting requirements for swap dealers that will taketook effect in October 2021.
In addition, the SEC has adopted rules governing the registration and regulation of security-based swap dealers. The regulations include requirements related to (i) capital, margin and segregation, (ii) record-keeping, reporting and notification and (iii) risk management practices for uncleared security-based swaps and the cross-border application of certain security-based swap requirements. These requirements will also taketook effect in October 2021.
For additional information about supervision and regulation applicable to Citi, see “Supervision, Regulation and Other—Supervision and Regulation” in Citi’s 2020 Annual Report on Form 10-K.
FORWARD-LOOKING STATEMENTS
Certain statements in this Form 10-Q, including but not limited to statements included within the Management’s Discussion and Analysis of Financial Condition and Results of Operations, are “forward-looking statements” within the meaning of the rules and regulations of the SEC. In addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the SEC, and its management may make forward-looking statements orally to analysts, investors, representatives of the media and others.
Generally, forward-looking statements are not based on historical facts but instead represent Citigroup’s and its management’s beliefs regarding future events. Such statements may be identified by words such as believe, expect, anticipate, intend, estimate, may increase, may fluctuate, target and illustrative, and similar expressions or future or conditional verbs such as will, should, would and could.
Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results and capital and other financial conditions may differ materially from those included in these statements due to a variety of factors, including without limitation (i) the precautionary statements included within each individual business’s discussion and analysis of its results of operations above, in Citi’s Second Quarter of 2021 Form 10-Q, in Citi’s First Quarter of 2021 Form 10-Q and in Citi’s 2020 Annual Report on Form 10-K and other SEC filings; (ii) the factors listed and described under “Risk Factors” in Citi’s 2020 Annual Report on Form 10-K; and (iii) the risks and uncertainties summarized below:
•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 as well as any variants becoming more prevalent and impactful; further production, distribution, acceptance and effectiveness of vaccines; the public response, including consumer confidence,and business sentiment, spending patterns, employment trends and credit card usage behaviors; government actions, including fiscal and monetary actions, further imposition of social distancing and restrictions on businesses and the movement of the public; any delay, weakness or unevenness in the economic recovery or any future economic downturn;downturn, whether related to supply chain disruptions, inflationary trends, slowing of economic growth in certain countries or otherwise; the potential impact of Citi’s recently announced vaccination requirement on the recruitment and retention of employees; 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, regulatory capital requirements, including adoption of the U.S. SA-CCR rule; annual recalibration of the Stress Capital Buffer,Buffer; Citi’s results of operations and financial condition,condition; forecasts of macroeconomic conditions,conditions; regulatory evaluations of Citi’s ability to maintain an
effective capital management frameworkframework; and Citi’s effectiveness in managing and calculating its risk-weighted assets under both the Advance Approaches and the Standardized Approach, the Supplementary Leverage Ratio and the GSIB surcharge,surcharge; whether due to the impact of the pandemic, the results of the CCAR process and regulatory stress tests or otherwise;
•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 current U.S. presidential administration, regulatory leadership and Congress or in response to the pandemic; raising of the federal debt ceiling; potential changes to various aspects of the regulatory capital framework; the future legislative and regulatory framework resulting from the U.K.’s exit from the European Union, including with respect to financial services; and the potential impact these uncertainties and changes could have on Citi’s businesses, results of operations, financial condition, business planning and compliance risks and costs;
•Citi’s ability, as part of its overall strategic priorities, to achieve its projected or expected results from its continued investments and efficiency initiatives and other actions, such as deepening client relationships, revenue growth, expense management andits transformation of its infrastructure, risk management and controls, as partdeepening of Citi’s overall strategy to meet operationalclient relationships, enhancement of offerings and financial objectives,capabilities and revenue and expense expectations, including as a result of factors that Citi cannot control;
•Citi’s ability to achieve its objectives from its strategic refresh, including, among others, those related to its Global Wealth business and plans to pursueits continued pursuit of exits of consumer businesses in 13 markets in Asia and EMEA, which 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;
•the number of Citibank Korea Inc. employees who apply for voluntary termination benefits and the number of such employees for whom Citi ultimately agrees to provide voluntary termination benefits; and Citi’s ability to successfully wind down and close the Korea consumer banking business, including within the expected timeframe, or Citi’s incurrence of unexpected losses, charges or other costs in connection with the wind-down;
•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), 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;
•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 and devaluations; sovereign volatility,volatility; election outcomes,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; 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, declining sales and revenues, partner store closures, government-imposed restrictions, reduced air and business travel or other operational difficulties of the retailer or merchant, termination of a particular relationship; or other factors, such as bankruptcies, liquidations, restructurings, consolidations or other similar events, 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;
•Citi’s ability to effectively compete with U.S. and non-U.S. financial services companies and others, including as a result of emerging technologies;
•the potential impact to Citi from climate change, including both physical and transition risks as well as higher regulatory, compliance and reputational risks and costs;
•the 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, slowing of the Chinese economy including negative economic impacts associated with such slowdown or any policy actions, a rapid rise in or an elevated level of inflation; governmental fiscal and monetary actions or expected actions, such as changes in interest rate policies and any program implemented to change the size of central bank balance sheets; geopolitical tensions and conflicts; protracted or widespread trade tensions; natural disasters; additional pandemics; and election outcomes;
•the potential impact to Citi from a failure in or disruption of its operational processes or systems, including as a result of, among other things, human error, such as
processing errors, fraud or malice, accidental system or technological failure, electrical or telecommunication outages or failure of or cyber incidents involving computer servers or infrastructure or other similar losses or damage to Citi’s property or assets, or failures by third parties, as well as disruptions in the operations of Citi’s clients, customers or other third parties;
•the increasing risk of continually evolving, sophisticated cybersecurity activities faced by financial institutions and others, including Citi and third parties with which it does business, that could result in, among other things, theft, loss, misuse or disclosure of confidential client, customer or corporate information or assets and a disruption of computer, software or network systems; and the potential impact from such risks, including reputational damage, regulatory penalties, loss of revenues, additional costs (including repair, remediation and other costs), exposure to litigation and other financial losses;
•the potential impact of 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 adjustment component; reserves related to litigation, regulatory and tax matters exposures; valuation of DTAs; and fair value of certain assets and liabilities, such as goodwill or any other asset for impairment;
•the financial impact from reclassification of any CTA component of AOCI, including related hedges and taxes, into Citi’s earnings, due to the sale or substantial liquidation of any foreign entity, such as those related to any of Citi’s 13 exit markets or legacy businesses, whether due to Citi’s strategic refresh or otherwise;
•the impact of changes to financial accounting and reporting standards or interpretations, on how Citi records and reports its financial condition and results of operations;
•the potential impact to Citi’s results of operations and/or regulatory capital and capital ratios if Citi’s risk management and mitigation processes, strategies or models, including those related to its ability to manage and aggregate data, are deficient or ineffective, or require refinement, modification or enhancement, or any related action is taken by Citi’s U.S. banking regulators;
•the potential impact of credit risk and concentrations of risk on Citi’s results of operations, whether due to a default of or deterioration involving consumer, corporate or public sector borrowers or other counterparties in the U.S. or in various countries and jurisdictions globally, including from indemnification obligations in connection with various transactions, such as hedging or reinsurance arrangements related to those obligations, whether due to the pandemic or otherwise;
•the potential impact on Citi’s liquidity and/or costs of funding as a result of external factors, including, among others, a rapid rise in or an elevated level of inflation, 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;
•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, 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 risks and controls, such as risk management, compliance, data quality management and governance and internal controls, and policies and procedures; as well as the transformative efforts to remediate deficiencies on a timely and sufficient basis and increased expenses for such remediation efforts, together with the heightened scrutiny and expectations generally from regulators, and the severity of the remedies sought by regulators, such as civil money penalties, supervisory or enforcement orders, business restrictions, limitations on dividends and changes to directors and/or officers, and potential collateral consequences to Citi arising from such outcomes.
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.
FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
| | | | | |
| CONSOLIDATED FINANCIAL STATEMENTS | |
Consolidated Statement of Income (Unaudited)—
For the Three and SixNine Months Ended JuneSeptember 30, 2021
and 2020 | |
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three and SixNine Months Ended JuneSeptember 30, 2021 and 2020 | |
Consolidated Balance Sheet—JuneSeptember 30, 2021 (Unaudited) and December 31, 2020 | |
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three and SixNine Months Ended JuneSeptember 30, 2021 and 2020 | |
Consolidated Statement of Cash Flows (Unaudited)—
For the SixNine Months Ended JuneSeptember 30, 2021 and 2020 | |
| | | | | |
| NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) | |
Note 1—Basis of Presentation, Updated Accounting Policies
and Accounting Changes | |
Note 2—Discontinued Operations, and Significant Disposals
and Other Business Exits | |
| Note 3—Business Segments | |
| Note 4—Interest Revenue and Expense | |
Note 5—Commissions and Fees; Administration and Other
Fiduciary Fees | |
| Note 6—Principal Transactions | |
| Note 7—Incentive Plans | |
| Note 8—Retirement Benefits | |
| Note 9—Earnings per Share | |
Note 10—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 June 30, | Six Months Ended June 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars, except per share amounts | In millions of dollars, except per share amounts | 2021 | 2020 | 2021 | 2020 | In millions of dollars, except per share amounts | 2021 | 2020 | 2021 | 2020 |
| Revenues | Revenues | | | | Revenues | | | |
| Interest revenue | Interest revenue | $ | 12,463 | | $ | 14,589 | | $ | 24,997 | | $ | 31,728 | | Interest revenue | $ | 12,650 | | $ | 13,314 | | $ | 37,647 | | $ | 45,042 | |
| Interest expense | Interest expense | 2,264 | | 3,509 | | 4,632 | | 9,156 | | Interest expense | 2,252 | | 2,821 | | 6,884 | | 11,977 | |
| Net interest revenue | Net interest revenue | $ | 10,199 | | $ | 11,080 | | $ | 20,365 | | $ | 22,572 | | Net interest revenue | $ | 10,398 | | $ | 10,493 | | $ | 30,763 | | $ | 33,065 | |
| Commissions and fees | Commissions and fees | $ | 3,374 | | $ | 2,933 | | $ | 7,044 | | $ | 5,954 | | Commissions and fees | $ | 3,399 | | $ | 2,753 | | $ | 10,443 | | $ | 8,707 | |
| Principal transactions | Principal transactions | 2,304 | | 4,157 | | 6,217 | | 9,418 | | Principal transactions | 2,233 | | 2,508 | | 8,450 | | 11,926 | |
| Administration and other fiduciary fees | Administration and other fiduciary fees | 1,022 | | 819 | | 1,983 | | 1,673 | | Administration and other fiduciary fees | 1,007 | | 892 | | 2,990 | | 2,565 | |
| Realized gains on sales of investments, net | Realized gains on sales of investments, net | 137 | | 748 | | 538 | | 1,180 | | Realized gains on sales of investments, net | 117 | | 304 | | 655 | | 1,484 | |
| 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 | (13) | | (69) | | (82) | | (124) | | Impairment losses on investments and other assets | (30) | | (30) | | (112) | | (154) | |
Provision for credit losses on AFS debt securities(1) | Provision for credit losses on AFS debt securities(1) | 0 | | (8) | | 0 | | (8) | | Provision for credit losses on AFS debt securities(1) | (1) | | 4 | | (1) | | (4) | |
| | Net impairment losses recognized in earnings | Net impairment losses recognized in earnings | $ | (13) | | $ | (77) | | $ | (82) | | $ | (132) | | Net impairment losses recognized in earnings | $ | (31) | | $ | (26) | | $ | (113) | | $ | (158) | |
| Other revenue (loss) | $ | 451 | | $ | 106 | | $ | 736 | | $ | (168) | | |
| Other revenue | | Other revenue | $ | 31 | | $ | 378 | | $ | 767 | | $ | 210 | |
| Total non-interest revenues | Total non-interest revenues | $ | 7,275 | | $ | 8,686 | | $ | 16,436 | | $ | 17,925 | | Total non-interest revenues | $ | 6,756 | | $ | 6,809 | | $ | 23,192 | | $ | 24,734 | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 17,474 | | $ | 19,766 | | $ | 36,801 | | $ | 40,497 | | Total revenues, net of interest expense | $ | 17,154 | | $ | 17,302 | | $ | 53,955 | | $ | 57,799 | |
| 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 | $ | (1,126) | | $ | 7,990 | | $ | (2,605) | | $ | 14,367 | | Provision for credit losses on loans | $ | (188) | | $ | 1,931 | | $ | (2,793) | | $ | 16,298 | |
| Provision for credit losses on held-to-maturity (HTM) debt securities | Provision for credit losses on held-to-maturity (HTM) debt securities | 4 | | 31 | | (7) | | 37 | | Provision for credit losses on held-to-maturity (HTM) debt securities | (10) | | (16) | | (17) | | 21 | |
| Provision for credit losses on other assets | Provision for credit losses on other assets | (3) | | 48 | | 6 | | 44 | | Provision for credit losses on other assets | (3) | | (13) | | 3 | | 31 | |
| Policyholder benefits and claims | Policyholder benefits and claims | 15 | | 15 | | 67 | | 39 | | Policyholder benefits and claims | 22 | | 58 | | 89 | | 97 | |
| Provision for credit losses on unfunded lending commitments | Provision for credit losses on unfunded lending commitments | 44 | | 113 | | (582) | | 670 | | Provision for credit losses on unfunded lending commitments | (13) | | 424 | | (595) | | 1,094 | |
Total provisions for credit losses and for benefits and claims(2) | Total provisions for credit losses and for benefits and claims(2) | $ | (1,066) | | $ | 8,197 | | $ | (3,121) | | $ | 15,157 | | Total provisions for credit losses and for benefits and claims(2) | $ | (192) | | $ | 2,384 | | $ | (3,313) | | $ | 17,541 | |
| Operating expenses | Operating expenses | | | | Operating expenses | | | |
| Compensation and benefits | Compensation and benefits | $ | 5,982 | | $ | 5,624 | | $ | 11,983 | | $ | 11,278 | | Compensation and benefits | $ | 6,058 | | $ | 5,595 | | $ | 18,041 | | $ | 16,873 | |
| Premises and equipment | Premises and equipment | 558 | | 562 | | 1,134 | | 1,127 | | Premises and equipment | 560 | | 575 | | 1,694 | | 1,702 | |
| Technology/communication | Technology/communication | 1,895 | | 1,741 | | 3,747 | | 3,464 | | Technology/communication | 1,997 | | 1,891 | | 5,744 | | 5,355 | |
| Advertising and marketing | Advertising and marketing | 340 | | 299 | | 610 | | 627 | | Advertising and marketing | 402 | | 238 | | 1,012 | | 865 | |
| Other operating | Other operating | 2,417 | | 2,234 | | 4,791 | | 4,607 | | Other operating | 2,467 | | 2,665 | | 7,258 | | 7,272 | |
| Total operating expenses | Total operating expenses | $ | 11,192 | | $ | 10,460 | | $ | 22,265 | | $ | 21,103 | | Total operating expenses | $ | 11,484 | | $ | 10,964 | | $ | 33,749 | | $ | 32,067 | |
| Income from continuing operations before income taxes | Income from continuing operations before income taxes | $ | 7,348 | | $ | 1,109 | | $ | 17,657 | | $ | 4,237 | | Income from continuing operations before income taxes | $ | 5,862 | | $ | 3,954 | | $ | 23,519 | | $ | 8,191 | |
| Provision for income taxes | Provision for income taxes | 1,155 | | 52 | | 3,487 | | 632 | | Provision for income taxes | 1,193 | | 777 | | 4,680 | | 1,409 | |
| Income from continuing operations | Income from continuing operations | $ | 6,193 | | $ | 1,057 | | $ | 14,170 | | $ | 3,605 | | Income from continuing operations | $ | 4,669 | | $ | 3,177 | | $ | 18,839 | | $ | 6,782 | |
| Discontinued operations | Discontinued operations | | | | Discontinued operations | | | |
| Income (loss) from discontinued operations | Income (loss) from discontinued operations | $ | 10 | | $ | (1) | | $ | 8 | | $ | (19) | | Income (loss) from discontinued operations | $ | (1) | | $ | (7) | | $ | 7 | | $ | (26) | |
| | Benefit for income taxes | Benefit for income taxes | 0 | | 0 | | 0 | | 0 | | Benefit for income taxes | — | | — | | — | | — | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | $ | 10 | | $ | (1) | | $ | 8 | | $ | (19) | | Income (loss) from discontinued operations, net of taxes | $ | (1) | | $ | (7) | | $ | 7 | | $ | (26) | |
| Net income before attribution of noncontrolling interests | Net income before attribution of noncontrolling interests | $ | 6,203 | | $ | 1,056 | | $ | 14,178 | | $ | 3,586 | | Net income before attribution of noncontrolling interests | $ | 4,668 | | $ | 3,170 | | $ | 18,846 | | $ | 6,756 | |
| Noncontrolling interests | Noncontrolling interests | 10 | | 0 | | 43 | | (6) | | Noncontrolling interests | 24 | | 24 | | 67 | | 18 | |
| Citigroup’s net income | Citigroup’s net income | $ | 6,193 | | $ | 1,056 | | $ | 14,135 | | $ | 3,592 | | Citigroup’s net income | $ | 4,644 | | $ | 3,146 | | $ | 18,779 | | $ | 6,738 | |
Basic earnings per share(3) | Basic earnings per share(3) | | | | Basic earnings per share(3) | | | |
| Income from continuing operations | Income from continuing operations | $ | 2.86 | | $ | 0.38 | | $ | 6.51 | | $ | 1.45 | | Income from continuing operations | $ | 2.17 | | $ | 1.37 | | $ | 8.70 | | $ | 2.82 | |
| Income from discontinued operations, net of taxes | Income from discontinued operations, net of taxes | 0 | | 0 | | 0 | | (0.01) | | Income from discontinued operations, net of taxes | — | | — | | — | | (0.01) | |
| Net income | Net income | $ | 2.87 | | $ | 0.38 | | $ | 6.52 | | $ | 1.44 | | Net income | $ | 2.17 | | $ | 1.37 | | $ | 8.70 | | $ | 2.81 | |
Weighted average common shares outstanding (in millions) | Weighted average common shares outstanding (in millions) | 2,056.5 | | 2,081.7 | | 2,069.3 | | 2,089.8 | | Weighted average common shares outstanding (in millions) | 2,009.3 | | 2,081.8 | | 2,049.3 | | 2,087.1 | |
Diluted earnings per share(3) | Diluted earnings per share(3) | | | | Diluted earnings per share(3) | | | |
| Income from continuing operations | Income from continuing operations | $ | 2.84 | | $ | 0.38 | | $ | 6.47 | | $ | 1.45 | | Income from continuing operations | $ | 2.15 | | $ | 1.36 | | $ | 8.64 | | $ | 2.81 | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | 0 | | 0 | | 0 | | (0.01) | | Income (loss) from discontinued operations, net of taxes | — | | — | | — | | (0.01) | |
| Net income | Net income | $ | 2.85 | | $ | 0.38 | | $ | 6.47 | | $ | 1.44 | | Net income | $ | 2.15 | | $ | 1.36 | | $ | 8.65 | | $ | 2.80 | |
Adjusted weighted average common shares outstanding (in millions) | Adjusted weighted average common shares outstanding (in millions) | 2,073.0 | | 2,084.3 | | 2,084.8 | | 2,103.0 | | Adjusted weighted average common shares outstanding (in millions) | 2,026.2 | | 2,094.3 | | 2,065.3 | | 2,100.1 | |
(1) In accordance with ASC 326.
(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 June 30, | Six Months Ended June 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Citigroup’s net income | Citigroup’s net income | $ | 6,193 | | $ | 1,056 | | $ | 14,135 | | $ | 3,592 | | Citigroup’s net income | $ | 4,644 | | $ | 3,146 | | $ | 18,779 | | $ | 6,738 | |
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) | $ | (474) | | $ | 837 | | $ | (2,259) | | $ | 3,965 | | Net change in unrealized gains and losses on debt securities, net of taxes(1) | $ | (279) | | $ | (282) | | $ | (2,538) | | $ | 3,683 | |
Net change in debt valuation adjustment (DVA), net of taxes(2) | Net change in debt valuation adjustment (DVA), net of taxes(2) | (62) | | (2,232) | | (104) | | 908 | | Net change in debt valuation adjustment (DVA), net of taxes(2) | (82) | | (307) | | (186) | | 601 | |
| Net change in cash flow hedges, net of taxes | Net change in cash flow hedges, net of taxes | (173) | | 74 | | (729) | | 1,971 | | Net change in cash flow hedges, net of taxes | (201) | | (235) | | (930) | | 1,736 | |
| Benefit plans liability adjustment, net of taxes | Benefit plans liability adjustment, net of taxes | 87 | | (77) | | 801 | | (363) | | Benefit plans liability adjustment, net of taxes | 135 | | 246 | | 936 | | (117) | |
| Net change in foreign currency translation adjustment, net of taxes and hedges | Net change in foreign currency translation adjustment, net of taxes and hedges | 523 | | 561 | | (751) | | (3,548) | | Net change in foreign currency translation adjustment, net of taxes and hedges | (1,312) | | 897 | | (2,063) | | (2,651) | |
| 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) | | 13 | | (20) | | 40 | | Net change in excluded component of fair value hedges, net of taxes | 8 | | (39) | | (12) | | 1 | |
| Citigroup’s total other comprehensive income (loss) | Citigroup’s total other comprehensive income (loss) | $ | (109) | | $ | (824) | | $ | (3,062) | | $ | 2,973 | | Citigroup’s total other comprehensive income (loss) | $ | (1,731) | | $ | 280 | | $ | (4,793) | | $ | 3,253 | |
| Citigroup’s total comprehensive income | Citigroup’s total comprehensive income | $ | 6,084 | | $ | 232 | | $ | 11,073 | | $ | 6,565 | | Citigroup’s total comprehensive income | $ | 2,913 | | $ | 3,426 | | $ | 13,986 | | $ | 9,991 | |
Add: Other comprehensive loss attributable to
noncontrolling interests | Add: Other comprehensive loss attributable to
noncontrolling interests | $ | 18 | | $ | 39 | | $ | (40) | | $ | (12) | | Add: Other comprehensive loss attributable to
noncontrolling interests | $ | (31) | | $ | 19 | | $ | (71) | | $ | 7 | |
| Add: Net income (loss) attributable to noncontrolling interests | Add: Net income (loss) attributable to noncontrolling interests | 10 | | 0 | | 43 | | (6) | | Add: Net income (loss) attributable to noncontrolling interests | 24 | | 24 | | 67 | | 18 | |
| Total comprehensive income | Total comprehensive income | $ | 6,112 | | $ | 271 | | $ | 11,076 | | $ | 6,547 | | Total comprehensive income | $ | 2,906 | | $ | 3,469 | | $ | 13,982 | | $ | 10,016 | |
(1)See Note 17 to the Consolidated Financial Statements.
(2)See Note 20 to the Consolidated Financial Statements.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
| | | | | | | | |
| CONSOLIDATED BALANCE SHEET | | Citigroup Inc. and Subsidiaries |
| | | June 30, | | | September 30, | |
| | 2021 | December 31, | | 2021 | December 31, |
| In millions of dollars | In millions of dollars | (Unaudited) | 2020 | In millions of dollars | (Unaudited) | 2020 |
| 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) | $ | 27,117 | | $ | 26,349 | | Cash and due from banks (including segregated cash and other deposits) | $ | 28,906 | | $ | 26,349 | |
| Deposits with banks, net of allowance | Deposits with banks, net of allowance | 272,121 | | 283,266 | | Deposits with banks, net of allowance | 294,902 | | 283,266 | |
| Securities borrowed and purchased under agreements to resell (including $187,876 and $185,204 as of June 30, 2021 and December 31, 2020, respectively, at fair value), net of allowance | 309,047 | | 294,712 | | |
| Securities borrowed and purchased under agreements to resell (including $212,200 and $185,204 as of September 30, 2021 and December 31, 2020, respectively, at fair value), net of allowance | | Securities borrowed and purchased under agreements to resell (including $212,200 and $185,204 as of September 30, 2021 and December 31, 2020, respectively, at fair value), net of allowance | 337,696 | | 294,712 | |
| Brokerage receivables, net of allowance | Brokerage receivables, net of allowance | 61,138 | | 44,806 | | Brokerage receivables, net of allowance | 59,487 | | 44,806 | |
| Trading account assets (including $167,605 and $168,967 pledged to creditors at June 30, 2021 and December 31, 2020, respectively) | 370,950 | | 375,079 | | |
| Trading account assets (including $142,662 and $168,967 pledged to creditors at September 30, 2021 and December 31, 2020, respectively) | | Trading account assets (including $142,662 and $168,967 pledged to creditors at September 30, 2021 and December 31, 2020, respectively) | 342,914 | | 375,079 | |
| Investments: | Investments: | | Investments: | |
| Available-for-sale debt securities (including $7,718 and $5,921 pledged to creditors as of June 30, 2021 and December 31, 2020, respectively), net of allowance | 302,977 | | 335,084 | | |
| Held-to-maturity debt securities (including $1,225 and $547 pledged to creditors as of June 30, 2021 and December 31, 2020, respectively), net of allowance | 176,742 | | 104,943 | | |
| Equity securities (including $793 and $1,066 at fair value as of June 30, 2021 and December 31, 2020, respectively) | 7,344 | | 7,332 | | |
| Available-for-sale debt securities (including $8,685 and $5,921 pledged to creditors as of September 30, 2021 and December 31, 2020, respectively), net of allowance | | Available-for-sale debt securities (including $8,685 and $5,921 pledged to creditors as of September 30, 2021 and December 31, 2020, respectively), net of allowance | 295,573 | | 335,084 | |
| Held-to-maturity debt securities (including $1,257 and $547 pledged to creditors as of September 30, 2021 and December 31, 2020, respectively), net of allowance | | Held-to-maturity debt securities (including $1,257 and $547 pledged to creditors as of September 30, 2021 and December 31, 2020, respectively), net of allowance | 198,056 | | 104,943 | |
| Equity securities (including $918 and $1,066 at fair value as of September 30, 2021 and December 31, 2020, respectively) | | Equity securities (including $918 and $1,066 at fair value as of September 30, 2021 and December 31, 2020, respectively) | 7,220 | | 7,332 | |
| Total investments | Total investments | $ | 487,063 | | $ | 447,359 | | Total investments | $ | 500,849 | | $ | 447,359 | |
| Loans: | Loans: | | Loans: | |
| Consumer (including $14 and $14 as of June 30, 2021 and December 31, 2020, respectively, at fair value) | 275,895 | | 288,839 | | |
| Corporate (including $7,693 and $6,840 as of June 30, 2021 and December 31, 2020, respectively, at fair value) | 400,939 | | 387,044 | | |
| Consumer (including $13 and $14 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | | Consumer (including $13 and $14 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | 264,250 | | 288,839 | |
| Corporate (including $7,146 and $6,840 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | | Corporate (including $7,146 and $6,840 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | 400,514 | | 387,044 | |
| Loans, net of unearned income | Loans, net of unearned income | $ | 676,834 | | $ | 675,883 | | Loans, net of unearned income | $ | 664,764 | | $ | 675,883 | |
| Allowance for credit losses on loans (ACLL) | Allowance for credit losses on loans (ACLL) | (19,238) | | (24,956) | | Allowance for credit losses on loans (ACLL) | (17,715) | | (24,956) | |
| Total loans, net | Total loans, net | $ | 657,596 | | $ | 650,927 | | Total loans, net | $ | 647,049 | | $ | 650,927 | |
| Goodwill | Goodwill | 22,060 | | 22,162 | | Goodwill | 21,573 | | 22,162 | |
| Intangible assets (including MSRs of $419 and $336 as of June 30, 2021 and December 31, 2020, respectively, at fair value) | 4,687 | | 4,747 | | |
| Other assets (including $11,083 and $14,613 as of June 30, 2021 and December 31, 2020, respectively, at fair value), net of allowance | 116,089 | | 110,683 | | |
| Intangible assets (including MSRs of $409 and $336 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | | Intangible assets (including MSRs of $409 and $336 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | 4,553 | | 4,747 | |
| Other assets (including $11,895 and $14,613 as of September 30, 2021 and December 31, 2020, respectively, at fair value), net of allowance | | Other assets (including $11,895 and $14,613 as of September 30, 2021 and December 31, 2020, respectively, at fair value), net of allowance | 123,947 | | 110,683 | |
| | Total assets | Total assets | $ | 2,327,868 | | $ | 2,260,090 | | Total assets | $ | 2,361,876 | | $ | 2,260,090 | |
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.
| | | June 30, | | | September 30, | |
| | 2021 | December 31, | | 2021 | December 31, |
| In millions of dollars | In millions of dollars | (Unaudited) | 2020 | In millions of dollars | (Unaudited) | 2020 |
| Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | | Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | |
| Cash and due from banks | Cash and due from banks | $ | 157 | | $ | 281 | | Cash and due from banks | $ | 194 | | $ | 281 | |
| Trading account assets | Trading account assets | 8,203 | | 8,104 | | Trading account assets | 10,433 | | 8,104 | |
| Investments | Investments | 880 | | 837 | | Investments | 897 | | 837 | |
| Loans, net of unearned income | Loans, net of unearned income | | | Loans, net of unearned income | | |
| Consumer | Consumer | 35,574 | | 37,561 | | Consumer | 33,497 | | 37,561 | |
| Corporate | Corporate | 14,867 | | 17,027 | | Corporate | 12,760 | | 17,027 | |
| Loans, net of unearned income | Loans, net of unearned income | $ | 50,441 | | $ | 54,588 | | Loans, net of unearned income | $ | 46,257 | | $ | 54,588 | |
| Allowance for credit losses on loans (ACLL) | Allowance for credit losses on loans (ACLL) | (3,238) | | (3,794) | | Allowance for credit losses on loans (ACLL) | (2,998) | | (3,794) | |
| Total loans, net | Total loans, net | $ | 47,203 | | $ | 50,794 | | Total loans, net | $ | 43,259 | | $ | 50,794 | |
| Other assets | Other assets | 43 | | 43 | | Other assets | 1,186 | | 43 | |
| Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | $ | 56,486 | | $ | 60,059 | | Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | $ | 55,969 | | $ | 60,059 | |
Statement continues on the next page.
CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries
(Continued)
| | | June 30, | | | September 30, | |
| | 2021 | December 31, | | 2021 | 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) | 2020 |
| Liabilities | Liabilities | | Liabilities | |
| Non-interest-bearing deposits in U.S. offices | Non-interest-bearing deposits in U.S. offices | $ | 149,373 | | $ | 126,942 | | Non-interest-bearing deposits in U.S. offices | $ | 145,103 | | $ | 126,942 | |
| Interest-bearing deposits in U.S. offices (including $910 and $879 as of June 30, 2021 and December 31, 2020, respectively, at fair value) | 485,589 | | 503,213 | | |
| Interest-bearing deposits in U.S. offices (including $910 and $879 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | | Interest-bearing deposits in U.S. offices (including $910 and $879 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | 567,902 | | 503,213 | |
| Non-interest-bearing deposits in offices outside the U.S. | Non-interest-bearing deposits in offices outside the U.S. | 101,723 | | 100,543 | | Non-interest-bearing deposits in offices outside the U.S. | 94,016 | | 100,543 | |
| Interest-bearing deposits in offices outside the U.S. (including $1,839 and $1,079 as of June 30, 2021 and December 31, 2020, respectively, at fair value) | 573,596 | | 549,973 | | |
| Interest-bearing deposits in offices outside the U.S. (including $1,803 and $1,079 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | | Interest-bearing deposits in offices outside the U.S. (including $1,803 and $1,079 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | 540,507 | | 549,973 | |
| Total deposits | Total deposits | $ | 1,310,281 | | $ | 1,280,671 | | Total deposits | $ | 1,347,528 | | $ | 1,280,671 | |
| Securities loaned and sold under agreements to repurchase (including $76,705 and $60,206 as of June 30, 2021 and December 31, 2020, respectively, at fair value) | 221,817 | | 199,525 | | |
| Brokerage payables | 59,416 | | 50,484 | | |
| Securities loaned and sold under agreements to repurchase (including $75,262 and $60,206 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | | Securities loaned and sold under agreements to repurchase (including $75,262 and $60,206 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | 209,184 | | 199,525 | |
Brokerage payables (including $3,423 and $6,835 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | | Brokerage payables (including $3,423 and $6,835 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | 60,501 | | 50,484 | |
| Trading account liabilities | Trading account liabilities | 174,706 | | 168,027 | | Trading account liabilities | 179,286 | | 168,027 | |
| Short-term borrowings (including $7,358 and $4,683 as of June 30, 2021 and December 31, 2020, respectively, at fair value) | 31,462 | | 29,514 | | |
| Long-term debt (including $76,375 and $67,063 as of June 30, 2021 and December 31, 2020, respectively, at fair value) | 264,575 | | 271,686 | | |
| Other liabilities (including $3,279 and $6,835 as of June 30, 2021 and December 31, 2020, respectively, at fair value), net of allowance | 62,701 | | 59,983 | | |
| Short-term borrowings (including $8,814 and $4,683 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | | Short-term borrowings (including $8,814 and $4,683 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | 29,683 | | 29,514 | |
| Long-term debt (including $78,178 and $67,063 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | | Long-term debt (including $78,178 and $67,063 as of September 30, 2021 and December 31, 2020, respectively, at fair value) | 258,274 | | 271,686 | |
| Other liabilities, net of allowance | | Other liabilities, net of allowance | 75,810 | | 59,983 | |
| | Total liabilities | Total liabilities | $ | 2,124,958 | | $ | 2,059,890 | | Total liabilities | $ | 2,160,266 | | $ | 2,059,890 | |
| Stockholders’ equity | Stockholders’ equity | | Stockholders’ equity | |
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of June 30, 2021—719,800 and as of December 31, 2020—779,200, at aggregate liquidation value | $ | 17,995 | | $ | 19,480 | | |
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of June 30, 2021—3,099,678,668 and as of December 31, 2020—3,099,763,661 | 31 | | 31 | | |
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of September 30, 2021—719,800 and as of December 31, 2020—779,200, at aggregate liquidation value | | Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of September 30, 2021—719,800 and as of December 31, 2020—779,200, at aggregate liquidation value | $ | 17,995 | | $ | 19,480 | |
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of September 30, 2021—3,099,651,835 and as of December 31, 2020—3,099,763,661 | | Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of September 30, 2021—3,099,651,835 and as of December 31, 2020—3,099,763,661 | 31 | | 31 | |
| Additional paid-in capital | Additional paid-in capital | 107,820 | | 107,846 | | Additional paid-in capital | 107,922 | | 107,846 | |
| Retained earnings | Retained earnings | 179,686 | | 168,272 | | Retained earnings | 183,024 | | 168,272 | |
Treasury stock, at cost: June 30, 2021—1,072,893,485 shares and
December 31, 2020—1,017,674,452 shares | (68,253) | | (64,129) | | |
Treasury stock, at cost: September 30, 2021—1,115,384,596 shares and
December 31, 2020—1,017,674,452 shares | | Treasury stock, at cost: September 30, 2021—1,115,384,596 shares and
December 31, 2020—1,017,674,452 shares | (71,246) | | (64,129) | |
Accumulated other comprehensive income (loss) (AOCI) | Accumulated other comprehensive income (loss) (AOCI) | (35,120) | | (32,058) | | Accumulated other comprehensive income (loss) (AOCI) | (36,851) | | (32,058) | |
| Total Citigroup stockholders’ equity | Total Citigroup stockholders’ equity | $ | 202,159 | | $ | 199,442 | | Total Citigroup stockholders’ equity | $ | 200,875 | | $ | 199,442 | |
| Noncontrolling interests | Noncontrolling interests | 751 | | 758 | | Noncontrolling interests | 735 | | 758 | |
| Total equity | Total equity | $ | 202,910 | | $ | 200,200 | | Total equity | $ | 201,610 | | $ | 200,200 | |
| Total liabilities and equity | Total liabilities and equity | $ | 2,327,868 | | $ | 2,260,090 | | Total liabilities and equity | $ | 2,361,876 | | $ | 2,260,090 | |
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.
| | | June 30, | | | September 30, | |
| | 2021 | December 31, | | 2021 | December 31, |
| In millions of dollars | In millions of dollars | (Unaudited) | 2020 | In millions of dollars | (Unaudited) | 2020 |
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup | Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup | | Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup | |
| Short-term borrowings | Short-term borrowings | $ | 8,444 | | $ | 9,278 | | Short-term borrowings | $ | 9,472 | | $ | 9,278 | |
| Long-term debt | Long-term debt | 14,522 | | 20,405 | | Long-term debt | 13,917 | | 20,405 | |
| Other liabilities | Other liabilities | 240 | | 463 | | Other liabilities | 751 | | 463 | |
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup | Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup | $ | 23,206 | | $ | 30,146 | | Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup | $ | 24,140 | | $ | 30,146 | |
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
| | | | | | | | |
| CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED) | | Citigroup Inc. and Subsidiaries |
| | | Three Months Ended June 30, | Six Months Ended June 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| 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 | $ | 20,280 | | $ | 17,980 | | $ | 19,480 | | $ | 17,980 | | Balance, beginning of period | $ | 17,995 | | $ | 17,980 | | $ | 19,480 | | $ | 17,980 | |
| Issuance of new preferred stock | Issuance of new preferred stock | — | | — | | 2,300 | | 1,500 | | Issuance of new preferred stock | — | | — | | 2,300 | | 1,500 | |
| Redemption of preferred stock | Redemption of preferred stock | (2,285) | | — | | (3,785) | | (1,500) | | Redemption of preferred stock | — | | — | | (3,785) | | (1,500) | |
| Balance, end of period | Balance, end of period | $ | 17,995 | | $ | 17,980 | | $ | 17,995 | | $ | 17,980 | | Balance, end of period | $ | 17,995 | | $ | 17,980 | | $ | 17,995 | | $ | 17,980 | |
| 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 | $ | 107,725 | | $ | 107,581 | | $ | 107,877 | | $ | 107,871 | | Balance, beginning of period | $ | 107,851 | | $ | 107,699 | | $ | 107,877 | | $ | 107,871 | |
| Employee benefit plans | Employee benefit plans | 112 | | 118 | | (63) | | (174) | | Employee benefit plans | 60 | | 93 | | (3) | | (81) | |
| 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) | 8 | | — | | 40 | | 2 | | Preferred stock issuance costs (new issuances, net of reclassifications to retained earnings for redemptions) | — | | — | | 40 | | 2 | |
| Other | Other | 6 | | — | | (3) | | — | | Other | 42 | | 3 | | 39 | | 3 | |
| Balance, end of period | Balance, end of period | $ | 107,851 | | $ | 107,699 | | $ | 107,851 | | $ | 107,699 | | Balance, end of period | $ | 107,953 | | $ | 107,795 | | $ | 107,953 | | $ | 107,795 | |
| Retained earnings | Retained earnings | | | | Retained earnings | | | |
| Balance, beginning of period | Balance, beginning of period | $ | 174,816 | | $ | 163,782 | | $ | 168,272 | | $ | 165,369 | | Balance, beginning of period | $ | 179,686 | | $ | 163,515 | | $ | 168,272 | | $ | 165,369 | |
Adjustments to opening balance, net of taxes(1) | Adjustments to opening balance, net of taxes(1) | | | | Adjustments to opening balance, net of taxes(1) | | | |
| Financial instruments—credit losses (CECL adoption) | Financial instruments—credit losses (CECL adoption) | — | | — | | — | | (3,076) | | Financial instruments—credit losses (CECL adoption) | — | | — | | — | | (3,076) | |
| Variable post-charge-off third-party collection costs | Variable post-charge-off third-party collection costs | — | | — | | — | | 330 | | Variable post-charge-off third-party collection costs | — | | — | | — | | 330 | |
| Adjusted balance, beginning of period | Adjusted balance, beginning of period | $ | 174,816 | | $ | 163,782 | | $ | 168,272 | | $ | 162,623 | | Adjusted balance, beginning of period | $ | 179,686 | | $ | 163,515 | | $ | 168,272 | | $ | 162,623 | |
| Citigroup’s net income | Citigroup’s net income | 6,193 | | 1,056 | | 14,135 | | 3,592 | | Citigroup’s net income | 4,644 | | 3,146 | | 18,779 | | 6,738 | |
Common dividends(2) | Common dividends(2) | (1,062) | | (1,071) | | (2,136) | | (2,152) | | Common dividends(2) | (1,040) | | (1,074) | | (3,176) | | (3,226) | |
| Preferred dividends | Preferred dividends | (253) | | (253) | | (545) | | (544) | | Preferred dividends | (266) | | (284) | | (811) | | (828) | |
| Other (primarily reclassifications from APIC for preferred issuance costs on redemptions) | Other (primarily reclassifications from APIC for preferred issuance costs on redemptions) | (8) | | 1 | | (40) | | (4) | | Other (primarily reclassifications from APIC for preferred issuance costs on redemptions) | — | | — | | (40) | | (4) | |
| Balance, end of period | Balance, end of period | $ | 179,686 | | $ | 163,515 | | $ | 179,686 | | $ | 163,515 | | Balance, end of period | $ | 183,024 | | $ | 165,303 | | $ | 183,024 | | $ | 165,303 | |
| Treasury stock, at cost | Treasury stock, at cost | | | | | Treasury stock, at cost | | | | |
| Balance, beginning of period | Balance, beginning of period | $ | (65,261) | | $ | (64,147) | | $ | (64,129) | | $ | (61,660) | | Balance, beginning of period | $ | (68,253) | | $ | (64,143) | | $ | (64,129) | | $ | (61,660) | |
Employee benefit plans(3) | Employee benefit plans(3) | 8 | | 4 | | 476 | | 442 | | Employee benefit plans(3) | 7 | | 6 | | 483 | | 448 | |
Treasury stock acquired(4) | Treasury stock acquired(4) | (3,000) | | — | | (4,600) | | (2,925) | | Treasury stock acquired(4) | (3,000) | | — | | (7,600) | | (2,925) | |
| Balance, end of period | Balance, end of period | $ | (68,253) | | $ | (64,143) | | $ | (68,253) | | $ | (64,143) | | Balance, end of period | $ | (71,246) | | $ | (64,137) | | $ | (71,246) | | $ | (64,137) | |
| 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 | $ | (35,011) | | $ | (32,521) | | $ | (32,058) | | $ | (36,318) | | Balance, beginning of period | $ | (35,120) | | $ | (33,345) | | $ | (32,058) | | $ | (36,318) | |
| | Citigroup’s total other comprehensive income | Citigroup’s total other comprehensive income | (109) | | (824) | | (3,062) | | 2,973 | | Citigroup’s total other comprehensive income | (1,731) | | 280 | | (4,793) | | 3,253 | |
| Balance, end of period | Balance, end of period | $ | (35,120) | | $ | (33,345) | | $ | (35,120) | | $ | (33,345) | | Balance, end of period | $ | (36,851) | | $ | (33,065) | | $ | (36,851) | | $ | (33,065) | |
| Total Citigroup common stockholders’ equity | Total Citigroup common stockholders’ equity | $ | 184,164 | | $ | 173,726 | | $ | 184,164 | | $ | 173,726 | | Total Citigroup common stockholders’ equity | $ | 182,880 | | $ | 175,896 | | $ | 182,880 | | $ | 175,896 | |
| Total Citigroup stockholders’ equity | Total Citigroup stockholders’ equity | $ | 202,159 | | $ | 191,706 | | $ | 202,159 | | $ | 191,706 | | Total Citigroup stockholders’ equity | $ | 200,875 | | $ | 193,876 | | $ | 200,875 | | $ | 193,876 | |
| Noncontrolling interests | Noncontrolling interests | | | | | Noncontrolling interests | | | | |
| Balance, beginning of period | Balance, beginning of period | $ | 724 | | $ | 651 | | $ | 758 | | $ | 704 | | Balance, beginning of period | $ | 751 | | $ | 680 | | $ | 758 | | $ | 704 | |
| Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary | Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary | — | | — | | — | | — | | 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 | 1 | | — | | 1 | | (6) | | Transactions between Citigroup and the noncontrolling-interest shareholders | 1 | | — | | 2 | | (6) | |
| Net income attributable to noncontrolling-interest shareholders | Net income attributable to noncontrolling-interest shareholders | 10 | | — | | 43 | | (6) | | Net income attributable to noncontrolling-interest shareholders | 24 | | 24 | | 67 | | 18 | |
| Distributions paid to noncontrolling-interest shareholders | Distributions paid to noncontrolling-interest shareholders | — | | — | | — | | — | | Distributions paid to noncontrolling-interest shareholders | — | | (2) | | — | | (2) | |
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders | Other comprehensive income (loss) attributable to noncontrolling-interest shareholders | 18 | | 39 | | (40) | | (12) | | Other comprehensive income (loss) attributable to noncontrolling-interest shareholders | (31) | | 19 | | (71) | | 7 | |
| Other | Other | (2) | | (10) | | (11) | | — | | Other | (10) | | (2) | | (21) | | (2) | |
| Net change in noncontrolling interests | Net change in noncontrolling interests | $ | 27 | | $ | 29 | | $ | (7) | | $ | (24) | | Net change in noncontrolling interests | $ | (16) | | $ | 39 | | $ | (23) | | $ | 15 | |
| Balance, end of period | Balance, end of period | $ | 751 | | $ | 680 | | $ | 751 | | $ | 680 | | Balance, end of period | $ | 735 | | $ | 719 | | $ | 735 | | $ | 719 | |
| Total equity | Total equity | $ | 202,910 | | $ | 192,386 | | $ | 202,910 | | $ | 192,386 | | Total equity | $ | 201,610 | | $ | 194,595 | | $ | 201,610 | | $ | 194,595 | |
(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, second and secondthird quarters of 2021 and 2020.
(3) Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements.
(4) Primarily consists of open market purchases under Citi’s Board of Directors-approved common share repurchase program.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
| | | | | | | | |
CONSOLIDATED STATEMENT OF CASH FLOWS | | Citigroup Inc. and Subsidiaries |
| (UNAUDITED) | | |
| | | | Six Months Ended June 30, | | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | In millions of dollars | 2021 | 2020 |
| Cash flows from operating activities of continuing operations | Cash flows from operating activities of continuing operations | | Cash flows from operating activities of continuing operations | |
| Net income before attribution of noncontrolling interests | Net income before attribution of noncontrolling interests | $ | 14,178 | | $ | 3,586 | | Net income before attribution of noncontrolling interests | $ | 18,846 | | $ | 6,756 | |
| Net income (loss) attributable to noncontrolling interests | 43 | | (6) | | |
| Net income attributable to noncontrolling interests | | Net income attributable to noncontrolling interests | 67 | | 18 | |
| Citigroup’s net income | Citigroup’s net income | $ | 14,135 | | $ | 3,592 | | Citigroup’s net income | $ | 18,779 | | $ | 6,738 | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | 8 | | (19) | | Income (loss) from discontinued operations, net of taxes | 7 | | (26) | |
| | Income from continuing operations—excluding noncontrolling interests | Income from continuing operations—excluding noncontrolling interests | $ | 14,127 | | $ | 3,611 | | Income from continuing operations—excluding noncontrolling interests | $ | 18,772 | | $ | 6,764 | |
| Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations | Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations | | Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations | |
| Net loss on significant disposals(1) | | Net loss on significant disposals(1) | 680 | | — | |
| | Depreciation and amortization | Depreciation and amortization | 1,944 | | 1,853 | | Depreciation and amortization | 2,979 | | 2,886 | |
| | Provisions for credit losses on loans and unfunded lending commitments | Provisions for credit losses on loans and unfunded lending commitments | (3,187) | | 15,037 | | Provisions for credit losses on loans and unfunded lending commitments | (3,388) | | 17,392 | |
| Realized gains from sales of investments | Realized gains from sales of investments | (538) | | (1,180) | | Realized gains from sales of investments | (655) | | (1,484) | |
| Impairment losses on investments and other assets | Impairment losses on investments and other assets | 82 | | 124 | | Impairment losses on investments and other assets | 112 | | 154 | |
| Change in trading account assets | Change in trading account assets | 4,098 | | (86,203) | | Change in trading account assets | 32,111 | | (72,115) | |
| Change in trading account liabilities | Change in trading account liabilities | 6,679 | | 29,370 | | Change in trading account liabilities | 11,259 | | 27,096 | |
| Change in brokerage receivables net of brokerage payables | Change in brokerage receivables net of brokerage payables | (7,400) | | 190 | | Change in brokerage receivables net of brokerage payables | (4,664) | | (6,026) | |
| Change in loans HFS | Change in loans HFS | (3,214) | | (1,200) | | Change in loans HFS | (3,068) | | 1,288 | |
| Change in other assets | Change in other assets | (2,260) | | 1,472 | | Change in other assets | (1,781) | | (28) | |
| Change in other liabilities | Change in other liabilities | 3,300 | | 2,620 | | Change in other liabilities | 8,989 | | (1,070) | |
| Other, net | Other, net | 9,932 | | 15,098 | | Other, net | (2,161) | | 2,889 | |
| Total adjustments | Total adjustments | $ | 9,436 | | $ | (22,819) | | Total adjustments | $ | 40,413 | | $ | (29,018) | |
| Net cash provided by (used in) operating activities of continuing operations | Net cash provided by (used in) operating activities of continuing operations | $ | 23,563 | | $ | (19,208) | | Net cash provided by (used in) operating activities of continuing operations | $ | 59,185 | | $ | (22,254) | |
| Cash flows from investing activities of continuing operations | Cash flows from investing activities of continuing operations | | Cash flows from investing activities of continuing operations | |
| Change in securities borrowed and purchased under agreements to resell | Change in securities borrowed and purchased under agreements to resell | $ | (14,335) | | $ | (31,595) | | Change in securities borrowed and purchased under agreements to resell | $ | (42,984) | | $ | (38,036) | |
| Change in loans | Change in loans | (3,088) | | 7,943 | | Change in loans | 6,613 | | 23,488 | |
| Proceeds from sales and securitizations of loans | Proceeds from sales and securitizations of loans | 869 | | 826 | | Proceeds from sales and securitizations of loans | 1,134 | | 924 | |
| Purchases of investments | Purchases of investments | (201,567) | | (207,701) | | Purchases of investments | (277,874) | | (276,084) | |
| Proceeds from sales of investments | Proceeds from sales of investments | 66,477 | | 86,191 | | Proceeds from sales of investments | 96,203 | | 130,237 | |
| Proceeds from maturities of investments | Proceeds from maturities of investments | 75,195 | | 53,909 | | Proceeds from maturities of investments | 107,361 | | 78,476 | |
| | Capital expenditures on premises and equipment and capitalized software | Capital expenditures on premises and equipment and capitalized software | (1,771) | | (1,318) | | Capital expenditures on premises and equipment and capitalized software | (2,811) | | (2,300) | |
| Proceeds from sales of premises and equipment, subsidiaries and affiliates and repossessed assets | Proceeds from sales of premises and equipment, subsidiaries and affiliates and repossessed assets | 28 | | 12 | | Proceeds from sales of premises and equipment, subsidiaries and affiliates and repossessed assets | 143 | | 25 | |
| Other, net | Other, net | 81 | | 44 | | Other, net | 146 | | 70 | |
| Net cash used in investing activities of continuing operations | Net cash used in investing activities of continuing operations | $ | (78,111) | | $ | (91,689) | | Net cash used in investing activities of continuing operations | $ | (112,069) | | $ | (83,200) | |
| Cash flows from financing activities of continuing operations | Cash flows from financing activities of continuing operations | | Cash flows from financing activities of continuing operations | |
| Dividends paid | Dividends paid | $ | (2,663) | | $ | (2,679) | | Dividends paid | $ | (3,959) | | $ | (4,024) | |
| Issuance of preferred stock | Issuance of preferred stock | 2,300 | | 1,500 | | Issuance of preferred stock | 2,300 | | 1,500 | |
| Redemption of preferred stock | Redemption of preferred stock | (3,785) | | (1,500) | | Redemption of preferred stock | (3,785) | | (1,500) | |
| Treasury stock acquired | Treasury stock acquired | (4,381) | | (2,925) | | Treasury stock acquired | (7,448) | | (2,925) | |
| Stock tendered for payment of withholding taxes | Stock tendered for payment of withholding taxes | (324) | | (407) | | Stock tendered for payment of withholding taxes | (328) | | (408) | |
| Change in securities loaned and sold under agreements to repurchase | Change in securities loaned and sold under agreements to repurchase | 22,292 | | 49,383 | | Change in securities loaned and sold under agreements to repurchase | 9,659 | | 40,888 | |
| Issuance of long-term debt | Issuance of long-term debt | 41,511 | | 58,471 | | Issuance of long-term debt | 53,961 | | 65,599 | |
| Payments and redemptions of long-term debt | Payments and redemptions of long-term debt | (41,894) | | (32,297) | | Payments and redemptions of long-term debt | (56,472) | | (47,521) | |
| Change in deposits | Change in deposits | 29,610 | | 163,070 | | Change in deposits | 73,769 | | 192,033 | |
| Change in short-term borrowings | Change in short-term borrowings | 1,948 | | (4,893) | | Change in short-term borrowings | 169 | | (7,610) | |
| | CONSOLIDATED STATEMENT OF CASH FLOWS | CONSOLIDATED STATEMENT OF CASH FLOWS | | CONSOLIDATED STATEMENT OF CASH FLOWS | |
| (UNAUDITED) (Continued) | (UNAUDITED) (Continued) | | (UNAUDITED) (Continued) | |
| | Six Months Ended June 30, | | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | In millions of dollars | 2021 | 2020 |
| Net cash provided by financing activities of continuing operations | Net cash provided by financing activities of continuing operations | $ | 44,614 | | $ | 227,723 | | Net cash provided by financing activities of continuing operations | $ | 67,866 | | $ | 236,032 | |
| Effect of exchange rate changes on cash and due from banks | Effect of exchange rate changes on cash and due from banks | $ | (443) | | $ | (972) | | Effect of exchange rate changes on cash and due from banks | $ | (789) | | $ | (802) | |
| | Change in cash, due from banks and deposits with banks | Change in cash, due from banks and deposits with banks | (10,377) | | 115,854 | | Change in cash, due from banks and deposits with banks | 14,193 | | 129,776 | |
| 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 | 309,615 | | 193,919 | |
| Cash, due from banks and deposits with banks at end of period | Cash, due from banks and deposits with banks at end of period | $ | 299,238 | | $ | 309,773 | | Cash, due from banks and deposits with banks at end of period | $ | 323,808 | | $ | 323,695 | |
| Cash and due from banks (including segregated cash and other deposits) | Cash and due from banks (including segregated cash and other deposits) | $ | 27,117 | | $ | 22,889 | | Cash and due from banks (including segregated cash and other deposits) | $ | 28,906 | | $ | 25,308 | |
| Deposits with banks, net of allowance | Deposits with banks, net of allowance | 272,121 | | 286,884 | | Deposits with banks, net of allowance | 294,902 | | 298,387 | |
| Cash, due from banks and deposits with banks at end of period | Cash, due from banks and deposits with banks at end of period | $ | 299,238 | | $ | 309,773 | | Cash, due from banks and deposits with banks at end of period | $ | 323,808 | | $ | 323,695 | |
| 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 | $ | 2,176 | | $ | 2,543 | | Cash paid during the period for income taxes | $ | 3,063 | | $ | 3,837 | |
| Cash paid during the period for interest | Cash paid during the period for interest | 4,545 | | 8,751 | | Cash paid during the period for interest | 6,894 | | 11,502 | |
Non-cash investing activities(1)(2) | Non-cash investing activities(1)(2) | | | Non-cash investing activities(1)(2) | | |
| | Decrease in net loans associated with significant disposals reclassified to HFS | | Decrease in net loans associated with significant disposals reclassified to HFS | $ | 8,291 | | $ | — | |
| Transfers to loans HFS (Other assets) from loans | $ | 961 | | $ | 1,036 | | |
Transfers to loans HFS (Other assets) from loans | | Transfers to loans HFS (Other assets) from loans | 5,329 | | 2,122 | |
| Non-cash financing activities(1) | | Non-cash financing activities(1) | |
| Decrease in long-term debt associated with significant disposals reclassified to HFS | | Decrease in long-term debt associated with significant disposals reclassified to HFS | $ | 521 | | $ | — | |
| Decrease in deposits associated with significant disposals reclassified to HFS | | Decrease in deposits associated with significant disposals reclassified to HFS | 6,912 | | — | |
|
(1) See Note 2 for further information on significant disposals.
(2) 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 JuneSeptember 30, 2021.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION, UPDATED ACCOUNTING POLICIES AND ACCOUNTING CHANGES
Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of JuneSeptember 30, 2021 and for the three- and six-monthnine-month periods ended JuneSeptember 30, 2021 and 2020 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 on Form 10-K) and Citigroup’s Quarterly ReportReports on Form 10-Q for the quarter ended March 31, 2021 (First Quarter of 2021 Form 10-Q) and for the quarter ended June 30, 2021 (Second Quarter of 2021 Form 10-Q).
Certain financial information that is normally included in annual financial statements prepared in accordance with U.S. generally accepted accounting principles (GAAP), but is not required for interim reporting purposes, has been condensed or omitted.
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related footnote disclosures. While management uses its best judgment, actual results could differ from those estimates.
As noted above, the Notes to these Consolidated Financial Statements are unaudited.
Throughout these Notes, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Certain reclassifications and updates have been made to the prior periods’ financial statements and notes to conform to the current period’s presentation.
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
See Note 1 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report on Form 10-K for a summary of all of Citigroup’s significant accounting policies.
ACCOUNTING CHANGES
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 lifetime 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 thean 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 quality of 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 and discounts inputs for the corporate classifiably managed portfolios, complemented by the qualitative component described below, in estimating expected credit losses and discounts inputs for the corporate classifiably managed portfolios. Reasonable and supportable forecast periods vary by product. For example, Citi’s consumer models use a 13-quarter reasonable and supportable period and revert to 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.
The qualitative management adjustment component includes, among other things, management adjustments to reflect economic uncertainty based on the likelihood and severity of downside scenarios and certain portfolio characteristics not captured in the quantitative component, such as concentrations, collateral coverage, model limitations, idiosyncratic events and other factors as required by banking supervisory guidance for the ACL. The qualitative management adjustment component also includes management adjustments to reflect the uncertainty around the estimated impact of the pandemic on credit loss estimates.
Accounting for Variable Post-Charge-Off Third-Party Collection Costs
In the fourth quarter of 2020, Citi revised the 2020 second quarter accounting conclusion for its variable post-charge-off third-party collection costs from a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to January 1, 2020 opening retained earnings, rather than 2020 net income. As a result, Citi’s full-year and quarterly results for 2020 were revised to reflect this change as if it were effective 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 in ASC Topic 250, Accounting Changes and Error Corrections; ASC Topic 270, Interim Reporting; ASC Topic 250-S99-1, Assessing Materiality; and ASC Topic 250-S99-23, Accounting Changes Not Retroactively Applied Due to Immateriality, Considering the Effects of Prior Year Misstatements when Quantifying Misstatements in Current Year Financial Statements. Citi believes that the effects of the revisions were not material to any previously reported quarterly or annual period.
Reference Rate Reform
In March 2020, the FASB issued ASU No. 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which provides optional guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. Specifically, the guidance permits an entity, when certain criteria are met, to 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 provided by the amendments are permitted to be adopted any time through December 31, 2022 and do not apply to contract modifications made and hedging relationships entered into or evaluated after December 31, 2022, except for certain optional expedients elected for certain hedging relationships existing as of December 31, 2022. The ASU was adopted by Citi as of June 30, 2020 with prospective application and did not impact financial results in 2020.
In January 2021, the FASB issued ASU No. 2021-01, Reference Rate Reform (Topic 848): Scope, which clarifies that the scope of the initial accounting relief issued by the FASB in March 2020 includes derivative instruments that do not reference a rate that is expected to be discontinued but that use an interest rate for margining, discounting or contract price alignment that is modified as a result of reference rate reform (commonly referred to as the “discounting transition”). The amendments do not apply to contract modifications made after December 31, 2022, new hedging relationships entered into after December 31, 2022 and existing hedging relationships evaluated for effectiveness in periods after December 31, 2022, except for hedging relationships existing as of December 31, 2022, that apply certain optional expedients in which the accounting effects are recorded through the end of the hedging relationship. The ASU was adopted by Citi on a full retrospective basis upon issuance and did not impact financial results in 2020.
FUTURE ACCOUNTING CHANGES
Long-Duration Insurance Contracts
In August 2018, the FASB issued ASU No. 2018-12, Financial Services—Insurance: Targeted Improvements to the Accounting for Long-Duration Contracts, which changes the 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, Financial Services—Insurance: Effective Date (issued in October 2019) and by ASU 2020-11, Financial Services—Insurance: Effective Date and Early Application (issued in November 2020). Citi plans to 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:
| | | Three Months Ended June 30, | Six Months Ended June 30, | | | Three Months Ended September 30, | Nine Months Ended September 30, | |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | | In millions of dollars | 2021 | 2020 | 2021 | 2020 | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | Total revenues, net of interest expense | $ | — | | $ | — | | $ | — | | $ | — | | |
Income (loss) from discontinued operations(1) | Income (loss) from discontinued operations(1) | $ | 10 | | $ | (1) | | $ | 8 | | $ | (19) | | | Income (loss) from discontinued operations(1) | $ | (1) | | $ | (7) | | $ | 7 | | $ | (26) | | |
| | Benefit for income taxes | Benefit for income taxes | 0 | | 0 | | 0 | | 0 | | | Benefit for income taxes | — | | — | | — | | — | | |
Income (loss) from discontinued operations,
net of taxes | Income (loss) from discontinued operations,
net of taxes | $ | 10 | | $ | (1) | | $ | 8 | | $ | (19) | | | Income (loss) from discontinued operations,
net of taxes | $ | (1) | | $ | (7) | | $ | 7 | | $ | (26) | | |
(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.
Significant Disposals
The following transactions were identified as significant disposals that are recorded within the Global Consumer Banking segment, including the assets and liabilities that were reclassified to held-for-sale within Other assets and Other liabilities on the Consolidated Balance Sheet and the Income (loss) before taxes (benefits) related to each business.
Agreement to Sell Australia Consumer Banking Business
On August 9, 2021, Citi entered into an agreement to sell its Australia consumer banking business. The sale, which is subject to regulatory approvals and other customary closing conditions, is expected to close in the first half of 2022. As of the third quarter of 2021, Citi reported the business as held-for-sale, resulting in a pretax loss on sale of approximately $680 million recorded in Other revenue ($580 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 would be removed from the AOCI component of equity, resulting in a neutral CTA impact to Citi’s Common Equity Tier 1 Capital.
Income before taxes, excluding the pretax loss on sale, for the Australia consumer banking business is as follows:
| | | | | | | | | | | | | | |
| Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Income before taxes | $ | 95 | | $ | 78 | | $ | 236 | | $ | 153 | |
The following are assets and liabilities for the Australia consumer banking business, which were identified and reclassified to held-for-sale within Other assets and Other liabilities,respectively, on the Consolidated Balance Sheet at September 30, 2021:
| | | | | | | | |
| In millions of dollars | September 30, 2021 | |
| Assets | | |
| Cash and deposits with banks | $ | 21 | | |
Loans (net of allowance of $249 millionat September 30, 2021) | 8,291 | | |
| Goodwill and intangible assets | 257 | | |
| Other assets | 85 | | |
| Total assets | $ | 8,654 | | |
| Liabilities | | |
| Deposits | $ | 6,912 | | |
| Long-term debt | 521 | | |
| Other liabilities | 143 | | |
| Total liabilities | $ | 7,576 | | |
Citi did not have any other significant disposals to report as of JuneSeptember 30, 2021. As of August 4,November 8, 2021, Citi had not entered into any other definitive sales agreements related to its recently announced intention to pursue exits of its consumer franchises in 13 markets across Asia and EMEA.
For a description of the Company’s significant disposal transactions in prior periods and financial impact, see Note 2 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
Other Business ExitsWind-Down of Korea Consumer Banking Business
On October 25, 2021, Citi announced its decision to wind down and close its Korea consumer banking business. In connection with the announcement, Citibank Korea Inc. (CKI) has commenced a voluntary termination program. 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 the employees. Citi expects to incur total estimated cash charges ranging from approximately $1.2 billion to $1.5 billion, related to voluntary termination benefits and related costs. Citi does not expect to recognize these charges all at once, but over time through the remainder of 2021 and 2022, as voluntary retirements are phased and irrevocably accepted in order to minimize business and operational impacts.
3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through 2 business segments: Global Consumer Banking (GCB)GCB) and Institutional Clients Group (ICG)(ICG), with the remaining operations in Corporate/Other, which includes activities not assigned to a specific business segment as well as certain North America legacy loan portfolios, discontinued operations and other legacy assets.
Beginning in the first quarter of 2021, Citi changed its allocation for certain recurring expenses that are attributable to the business segments from Corporate/Other to GCB and ICG. These expenses include incremental investments related to risks and controls, technology capabilities and information security initiatives, as well as some incremental spend related to the pandemic. The prior-period reportable operating segment results have been revised to conform the presentation for all periods to reflect this revised allocation methodology. Citi’s consolidated results were unchanged for all periods presented as a result of the changes discussed above.
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 tables present certain information regarding the Company’s continuing operations by segment:segment and Corporate/Other:
| | | Three Months Ended June 30, | | | Three Months Ended September 30, | |
| | Revenues,
net of interest expense(1) | Provision (benefits)
for income taxes | Income (loss) from
continuing operations(2) | Identifiable assets | | Revenues,
net of interest expense(1) | Provision (benefits)
for income taxes | Income (loss) from
continuing operations(2) | Identifiable assets |
| In millions of dollars, except identifiable assets in billions | In millions of dollars, except identifiable assets in billions | 2021 | 2020 | 2021 | 2020 | 2021 | 2020 | June 30,
2021 | December 31, 2020 | In millions of dollars, except identifiable assets in billions | 2021 | 2020 | 2021 | 2020 | 2021 | 2020 | September 30,
2021 | December 31, 2020 |
| Global Consumer Banking | Global Consumer Banking | $ | 6,820 | | $ | 7,339 | | $ | 573 | | $ | (257) | | $ | 1,832 | | $ | (705) | | $ | 432 | | $ | 434 | | Global Consumer Banking | $ | 6,260 | | $ | 7,173 | | $ | 424 | | $ | 284 | | $ | 1,334 | | $ | 920 | | $ | 442 | | $ | 434 | |
| Institutional Clients Group | Institutional Clients Group | 10,387 | | 12,137 | | 1,104 | | 455 | | 3,829 | | 1,822 | | 1,795 | | 1,730 | | Institutional Clients Group | 10,786 | | 10,353 | | 991 | | 800 | | 3,443 | | 2,857 | | 1,819 | | 1,730 | |
| Corporate/Other | Corporate/Other | 267 | | 290 | | (522) | | (146) | | 532 | | (60) | | 101 | | 96 | | Corporate/Other | 108 | | (224) | | (222) | | (307) | | (108) | | (600) | | 101 | | 96 | |
| Total | Total | $ | 17,474 | | $ | 19,766 | | $ | 1,155 | | $ | 52 | | $ | 6,193 | | $ | 1,057 | | $ | 2,328 | | $ | 2,260 | | Total | $ | 17,154 | | $ | 17,302 | | $ | 1,193 | | $ | 777 | | $ | 4,669 | | $ | 3,177 | | $ | 2,362 | | $ | 2,260 | |
| | | Six Months Ended June 30, | | | Nine Months Ended September 30, | |
| | Revenues,
net of interest expense(3) | Provision (benefits)
for income taxes | Income (loss) from
continuing operations(4) | | | Revenues,
net of interest expense(3) | Provision (benefits)
for income taxes | Income (loss) from
continuing operations(4) | |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | 2021 | 2020 | | In millions of dollars | 2021 | 2020 | 2021 | 2020 | 2021 | 2020 | |
| Global Consumer Banking | Global Consumer Banking | $ | 13,857 | | $ | 15,513 | | $ | 1,230 | | $ | (538) | | $ | 4,003 | | $ | (1,489) | | | Global Consumer Banking | $ | 20,117 | | $ | 22,686 | | $ | 1,654 | | $ | (254) | | $ | 5,337 | | $ | (569) | | |
| Institutional Clients Group | Institutional Clients Group | 22,607 | | 24,621 | | 2,830 | | 1,484 | | 9,767 | | 5,396 | | | Institutional Clients Group | 33,393 | | 34,974 | | 3,821 | | 2,284 | | 13,210 | | 8,253 | | |
| Corporate/Other | Corporate/Other | 337 | | 363 | | (573) | | (314) | | 400 | | (302) | | | Corporate/Other | 445 | | 139 | | (795) | | (621) | | 292 | | (902) | | |
| Total | Total | $ | 36,801 | | $ | 40,497 | | $ | 3,487 | | $ | 632 | | $ | 14,170 | | $ | 3,605 | | | Total | $ | 53,955 | | $ | 57,799 | | $ | 4,680 | | $ | 1,409 | | $ | 18,839 | | $ | 6,782 | | |
(1) Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $7.9$8.5 billion and $9.7$8.4 billion; in EMEA of $3.3$3.1 billion and $3.4$3.1 billion; in Latin America of $2.2$2.3 billion and $2.3$2.2 billion; and in Asia of $3.8$3.2 billion and $4.1$3.8 billion for the three months ended JuneSeptember 30, 2021 and 2020, respectively. These regional numbers exclude Corporate/Other, which largely operates within the U.S.
(2) Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $(0.1) billion and $4.2$1.7 billion; in the ICG results of $(0.8)$0.0 billion and $3.9$0.8 billion; and in the Corporate/Other results of $(0.1) billion and $0.2$(0.1) billion for the three months ended JuneSeptember 30, 2021 and 2020, respectively.
(3) Includes total revenues, net of interest expense, in North America of $17.2$25.7 billion and $19.9$28.3 billion; in EMEA of $7.0$10.1 billion and $6.9$9.9 billion; in Latin America of $4.4$6.7 billion and $4.9$7.0 billion; and in Asia of $7.9$11.1 billion and $8.5$12.3 billion for the sixnine months ended JuneSeptember 30, 2021 and 2020, respectively. Regional numbers exclude Corporate/Other, which largely operates within the U.S.
(4) Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $(0.3)$(0.4) billion and $8.9$10.6 billion; in the ICG results of $(2.6) billion and $5.9$6.7 billion; and in the Corporate/Other results of $(0.2)$(0.3) billion and $0.4$0.2 billion for the sixnine months ended JuneSeptember 30, 2021 and 2020, respectively.
4. INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
| | | Three Months Ended June 30, | Six Months Ended June 30, | | | Three Months Ended September 30, | Nine Months Ended September 30, | |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | | In millions of dollars | 2021 | 2020 | 2021 | 2020 | |
| Interest revenue | Interest revenue | | | | | Interest revenue | | | | |
| Loan interest, including fees | Loan interest, including fees | $ | 8,733 | | $ | 10,149 | | $ | 17,642 | | $ | 21,399 | | | Loan interest, including fees | $ | 8,874 | | $ | 9,421 | | $ | 26,516 | | $ | 30,820 | | |
| Deposits with banks | Deposits with banks | 126 | | 159 | | 271 | | 686 | | | Deposits with banks | 147 | | 116 | | 418 | | 802 | | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | 205 | | 401 | | 499 | | 1,609 | | | Securities borrowed and purchased under agreements to resell | 264 | | 352 | | 763 | | 1,961 | | |
| Investments, including dividends | Investments, including dividends | 1,818 | | 2,097 | | 3,570 | | 4,378 | | | Investments, including dividends | 1,885 | | 1,870 | | 5,455 | | 6,248 | | |
Trading account assets(1) | Trading account assets(1) | 1,470 | | 1,673 | | 2,807 | | 3,263 | | | Trading account assets(1) | 1,284 | | 1,457 | | 4,091 | | 4,720 | | |
| Other interest-bearing assets | Other interest-bearing assets | 111 | | 110 | | 208 | | 393 | | | Other interest-bearing assets | 196 | | 98 | | 404 | | 491 | | |
| Total interest revenue | Total interest revenue | $ | 12,463 | | $ | 14,589 | | $ | 24,997 | | $ | 31,728 | | | Total interest revenue | $ | 12,650 | | $ | 13,314 | | $ | 37,647 | | $ | 45,042 | | |
| Interest expense | Interest expense | | | | | Interest expense | | | | |
Deposits(2) | Deposits(2) | $ | 955 | | $ | 1,469 | | $ | 2,007 | | $ | 4,083 | | | Deposits(2) | $ | 1,023 | | $ | 1,293 | | $ | 3,030 | | $ | 5,376 | | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 260 | | 453 | | 513 | | 1,538 | | | Securities loaned and sold under agreements to repurchase | 287 | | 292 | | 800 | | 1,830 | | |
Trading account liabilities(1) | Trading account liabilities(1) | 150 | | 144 | | 264 | | 383 | | | Trading account liabilities(1) | 106 | | 123 | | 370 | | 506 | | |
| Short-term borrowings and other interest-bearing liabilities | Short-term borrowings and other interest-bearing liabilities | 31 | | 140 | | 62 | | 524 | | | Short-term borrowings and other interest-bearing liabilities | 8 | | 88 | | 70 | | 612 | | |
| Long-term debt | Long-term debt | 868 | | 1,303 | | 1,786 | | 2,628 | | | Long-term debt | 828 | | 1,025 | | 2,614 | | 3,653 | | |
| Total interest expense | Total interest expense | $ | 2,264 | | $ | 3,509 | | $ | 4,632 | | $ | 9,156 | | | Total interest expense | $ | 2,252 | | $ | 2,821 | | $ | 6,884 | | $ | 11,977 | | |
| Net interest revenue | Net interest revenue | $ | 10,199 | | $ | 11,080 | | $ | 20,365 | | $ | 22,572 | | | Net interest revenue | $ | 10,398 | | $ | 10,493 | | $ | 30,763 | | $ | 33,065 | | |
| Provision (benefit) for credit losses on loans | Provision (benefit) for credit losses on loans | (1,126) | | 7,990 | | (2,605) | | 14,367 | | | Provision (benefit) for credit losses on loans | (188) | | 1,931 | | (2,793) | | 16,298 | | |
| Net interest revenue after provision for credit losses on loans | Net interest revenue after provision for credit losses on loans | $ | 11,325 | | $ | 3,090 | | $ | 22,970 | | $ | 8,205 | | | Net interest revenue after provision for credit losses on loans | $ | 10,586 | | $ | 8,562 | | $ | 33,556 | | $ | 16,767 | | |
(1)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(2)Includes deposit insurance fees and charges of $279$293 million and $270$375 million for the three months ended JuneSeptember 30, 2021 and 2020, respectively, and $619$912 million
and $495$870 million for the sixnine months ended JuneSeptember 30, 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 on Form 10-K.
The following tables present Commissions and fees revenue:
| | | Three Months Ended June 30, 2021 | Six Months Ended June 30, 2021 | | Three Months Ended September 30, 2021 | Nine Months Ended September 30, 2021 |
| In millions of dollars | In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total | In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total |
| Investment banking | Investment banking | $ | 1,386 | | $ | 0 | | $ | 0 | | $ | 1,386 | | $ | 3,010 | | $ | 0 | | $ | 0 | | $ | 3,010 | | Investment banking | $ | 1,493 | | $ | — | | $ | — | | $ | 1,493 | | $ | 4,503 | | $ | — | | $ | — | | $ | 4,503 | |
| Brokerage commissions | Brokerage commissions | 528 | | 293 | | 0 | | 821 | | 1,143 | | 620 | | 0 | | 1,763 | | Brokerage commissions | 483 | | 290 | | — | | 773 | | 1,626 | | 910 | | — | | 2,536 | |
| Credit- and bank-card income | Credit- and bank-card income | | | | | | Credit- and bank-card income | | | | | |
| Interchange fees | Interchange fees | 197 | | 2,273 | | 0 | | 2,470 | | 355 | | 4,179 | | 0 | | 4,534 | | Interchange fees | 225 | | 2,317 | | — | | 2,542 | | 580 | | 6,496 | | — | | 7,076 | |
| Card-related loan fees | Card-related loan fees | 7 | | 170 | | 0 | | 177 | | 12 | | 347 | | 0 | | 359 | | Card-related loan fees | 7 | | 164 | | — | | 171 | | 19 | | 511 | | — | | 530 | |
Card rewards and partner payments(1) | Card rewards and partner payments(1) | (104) | | (2,411) | | 0 | | (2,515) | | (179) | | (4,507) | | 0 | | (4,686) | | Card rewards and partner payments(1) | (119) | | (2,541) | | — | | (2,660) | | (298) | | (7,048) | | — | | (7,346) | |
Deposit-related fees(2) | Deposit-related fees(2) | 260 | | 65 | | 0 | | 325 | | 504 | | 150 | | 0 | | 654 | | Deposit-related fees(2) | 270 | | 69 | | — | | 339 | | 774 | | 219 | | — | | 993 | |
| Transactional service fees | Transactional service fees | 251 | | 26 | | 0 | | 277 | | 492 | | 50 | | 0 | | 542 | | Transactional service fees | 257 | | 24 | | — | | 281 | | 749 | | 74 | | — | | 823 | |
Corporate finance(3) | Corporate finance(3) | 180 | | 0 | | 0 | | 180 | | 338 | | 0 | | 0 | | 338 | | Corporate finance(3) | 214 | | — | | — | | 214 | | 552 | | — | | — | | 552 | |
| Insurance distribution revenue | Insurance distribution revenue | 1 | | 112 | | 0 | | 113 | | 6 | | 242 | | 0 | | 248 | | Insurance distribution revenue | 3 | | 114 | | — | | 117 | | 9 | | 356 | | — | | 365 | |
| Insurance premiums | Insurance premiums | 0 | | 30 | | 0 | | 30 | | 0 | | 50 | | 0 | | 50 | | Insurance premiums | — | | 25 | | — | | 25 | | — | | 75 | | — | | 75 | |
| Loan servicing | Loan servicing | 10 | | 10 | | 4 | | 24 | | 22 | | 17 | | 8 | | 47 | | Loan servicing | 10 | | 11 | | 3 | | 24 | | 32 | | 28 | | 11 | | 71 | |
| Other | Other | 27 | | 56 | | 3 | | 86 | | 68 | | 114 | | 3 | | 185 | | Other | 19 | | 61 | | — | | 80 | | 87 | | 175 | | 3 | | 265 | |
Total commissions and fees(4) | Total commissions and fees(4) | $ | 2,743 | | $ | 624 | | $ | 7 | | $ | 3,374 | | $ | 5,771 | | $ | 1,262 | | $ | 11 | | $ | 7,044 | | Total commissions and fees(4) | $ | 2,862 | | $ | 534 | | $ | 3 | | $ | 3,399 | | $ | 8,633 | | $ | 1,796 | | $ | 14 | | $ | 10,443 | |
| | | Three Months Ended June 30, 2020 | Six Months Ended June 30, 2020 | | Three Months Ended September 30, 2020 | Nine Months Ended September 30, 2020 |
| In millions of dollars | In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total | In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total |
| Investment banking | Investment banking | $ | 1,358 | | $ | 0 | | $ | 0 | | $ | 1,358 | | $ | 2,398 | | $ | 0 | | $ | 0 | | $ | 2,398 | | Investment banking | $ | 1,076 | | $ | — | | $ | — | | $ | 1,076 | | $ | 3,474 | | $ | — | | $ | — | | $ | 3,474 | |
| Brokerage commissions | Brokerage commissions | 482 | | 204 | | 0 | | 686 | | 1,059 | | 453 | | 0 | | 1,512 | | Brokerage commissions | 486 | | 260 | | — | | 746 | | 1,545 | | 713 | | — | | 2,258 | |
| Credit- and bank-card income | Credit- and bank-card income | | | | | | Credit- and bank-card income | | | | | |
| Interchange fees | Interchange fees | 123 | | 1,505 | | 0 | | 1,628 | | 384 | | 3,422 | | 0 | | 3,806 | | Interchange fees | 158 | | 1,842 | | — | | 2,000 | | 542 | | 5,264 | | — | | 5,806 | |
| Card-related loan fees | Card-related loan fees | 3 | | 132 | | 0 | | 135 | | 14 | | 298 | | 0 | | 312 | | Card-related loan fees | 4 | | 157 | | — | | 161 | | 18 | | 455 | | — | | 473 | |
Card rewards and partner payments(1) | Card rewards and partner payments(1) | (70) | | (1,745) | | 0 | | (1,815) | | (219) | | (3,838) | | 0 | | (4,057) | | Card rewards and partner payments(1) | (73) | | (2,073) | | — | | (2,146) | | (292) | | (5,911) | | — | | (6,203) | |
Deposit-related fees(2) | Deposit-related fees(2) | 220 | | 85 | | 0 | | 305 | | 453 | | 200 | | 0 | | 653 | | Deposit-related fees(2) | 246 | | 79 | | — | | 325 | | 699 | | 279 | | — | | 978 | |
| Transactional service fees | Transactional service fees | 215 | | 20 | | 0 | | 235 | | 442 | | 44 | | 0 | | 486 | | Transactional service fees | 217 | | 20 | | — | | 237 | | 659 | | 64 | | — | | 723 | |
Corporate finance(3) | Corporate finance(3) | 149 | | 0 | | 0 | | 149 | | 295 | | 0 | | 0 | | 295 | | Corporate finance(3) | 77 | | — | | — | | 77 | | 372 | | — | | — | | 372 | |
| Insurance distribution revenue | Insurance distribution revenue | 1 | | 113 | | 0 | | 114 | | 5 | | 238 | | 0 | | 243 | | Insurance distribution revenue | 4 | | 129 | | — | | 133 | | 9 | | 367 | | — | | 376 | |
| Insurance premiums | Insurance premiums | 0 | | 31 | | 0 | | 31 | | 0 | | 74 | | 0 | | 74 | | Insurance premiums | — | | 25 | | — | | 25 | | — | | 99 | | — | | 99 | |
| Loan servicing | Loan servicing | 18 | | 11 | | 2 | | 31 | | 38 | | 22 | | 10 | | 70 | | Loan servicing | 16 | | 4 | | 10 | | 30 | | 54 | | 26 | | 20 | | 100 | |
| Other | Other | 27 | | 46 | | 3 | | 76 | | 57 | | 102 | | 3 | | 162 | | Other | 34 | | 55 | | — | | 89 | | 91 | | 157 | | 3 | | 251 | |
Total commissions and fees(4) | Total commissions and fees(4) | $ | 2,526 | | $ | 402 | | $ | 5 | | $ | 2,933 | | $ | 4,926 | | $ | 1,015 | | $ | 13 | | $ | 5,954 | | Total commissions and fees(4) | $ | 2,245 | | $ | 498 | | $ | 10 | | $ | 2,753 | | $ | 7,171 | | $ | 1,513 | | $ | 23 | | $ | 8,707 | |
(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$28 million and $20$23 million for the three months ended JuneSeptember 30, 2021 and 2020, respectively, and $47$75 million and $51$74 million for the sixnine months ended JuneSeptember 30, 2021 and 2020, respectively. Overdraft fees are accounted for under ASC 310.
(3)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
(4)Commissions and fees includes $(2,073)include $(2,208) million and $(1,426)$(1,816) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended JuneSeptember 30, 2021 and 2020, respectively, and $(3,822)$(6,031) million and $(3,228)$(5,044) million for the sixnine months ended JuneSeptember 30, 2021 and 2020, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.
The following tables present Administration and other fiduciary fees revenue:
| | | Three Months Ended June 30, 2021 | Six Months Ended June 30, 2021 | | Three Months Ended September 30, 2021 | Nine Months Ended September 30, 2021 |
| In millions of dollars | In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total | In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total |
| Custody fees | Custody fees | $ | 497 | | $ | 6 | | $ | 0 | | $ | 503 | | $ | 948 | | $ | 12 | | $ | 0 | | $ | 960 | | Custody fees | $ | 471 | | $ | 7 | | $ | 1 | | $ | 479 | | $ | 1,419 | | $ | 19 | | $ | 1 | | $ | 1,439 | |
| Fiduciary fees | Fiduciary fees | 200 | | 169 | | 3 | | 372 | | 392 | | 336 | | 3 | | 731 | | Fiduciary fees | 204 | | 175 | | 3 | | 382 | | 596 | | 511 | | 6 | | 1,113 | |
| Guarantee fees | Guarantee fees | 143 | | 2 | | 2 | | 147 | | 285 | | 4 | | 3 | | 292 | | Guarantee fees | 144 | | 1 | | 1 | | 146 | | 429 | | 5 | | 4 | | 438 | |
Total administration and other fiduciary fees(1) | Total administration and other fiduciary fees(1) | $ | 840 | | $ | 177 | | $ | 5 | | $ | 1,022 | | $ | 1,625 | | $ | 352 | | $ | 6 | | $ | 1,983 | | Total administration and other fiduciary fees(1) | $ | 819 | | $ | 183 | | $ | 5 | | $ | 1,007 | | $ | 2,444 | | $ | 535 | | $ | 11 | | $ | 2,990 | |
| | | Three Months Ended June 30, 2020 | Six Months Ended June 30, 2020 | | Three Months Ended September 30, 2020 | Nine Months Ended September 30, 2020 |
| In millions of dollars | In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total | In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total |
| Custody fees | Custody fees | $ | 372 | | $ | 6 | | $ | 21 | | $ | 399 | | $ | 738 | | $ | 14 | | $ | 36 | | $ | 788 | | Custody fees | $ | 427 | | $ | 8 | | $ | 2 | | $ | 437 | | $ | 1,165 | | $ | 22 | | $ | 38 | | $ | 1,225 | |
| Fiduciary fees | Fiduciary fees | 158 | | 132 | | 0 | | 290 | | 330 | | 288 | | 0 | | 618 | | Fiduciary fees | 167 | | 153 | | — | | 320 | | 497 | | 441 | | — | | 938 | |
| Guarantee fees | Guarantee fees | 127 | | 1 | | 2 | | 130 | | 261 | | 3 | | 3 | | 267 | | Guarantee fees | 132 | | 2 | | 1 | | 135 | | 393 | | 5 | | 4 | | 402 | |
Total administration and other fiduciary fees(1) | Total administration and other fiduciary fees(1) | $ | 657 | | $ | 139 | | $ | 23 | | $ | 819 | | $ | 1,329 | | $ | 305 | | $ | 39 | | $ | 1,673 | | Total administration and other fiduciary fees(1) | $ | 726 | | $ | 163 | | $ | 3 | | $ | 892 | | $ | 2,055 | | $ | 468 | | $ | 42 | | $ | 2,565 | |
(1) Administration and other fiduciary fees includes $147include $146 million and $130$135 million for the three months ended JuneSeptember 30, 2021 and 2020, respectively, and $292$438 million and $267$402 million for the sixnine months ended JuneSeptember 30, 2021 and 2020, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These generally 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 revenue related to trading activities, which is an integral part of trading activities’ profitability. See Note 4 to the Consolidated Financial Statements for information about net interest revenue related to trading activities. Principal transactions include CVA (credit valuation adjustments) and FVA (funding valuation adjustments) on over-the-counter derivatives, and gains (losses) on certain economic hedges on loans in ICG. These adjustments are discussed further in Note 20 to the Consolidated Financial Statements.
In certain transactions, Citi incurs fees and presents these fees paid to third parties in operating expenses.
The following table presents Principal transactions revenue:
| | | Three Months Ended June 30, | Six Months Ended June 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
Interest rate risks(1) | Interest rate risks(1) | $ | 530 | | $ | 1,847 | | $ | 1,964 | | $ | 3,757 | | Interest rate risks(1) | $ | 461 | | $ | 993 | | $ | 2,424 | | $ | 4,751 | |
Foreign exchange risks(2) | Foreign exchange risks(2) | 965 | | 1,114 | | 1,927 | | 2,109 | | Foreign exchange risks(2) | 924 | | 960 | | 2,851 | | 3,069 | |
Equity risks(3) | Equity risks(3) | 358 | | 103 | | 1,203 | | 921 | | Equity risks(3) | 666 | | 157 | | 1,869 | | 1,078 | |
Commodity and other risks(4) | Commodity and other risks(4) | 393 | | 365 | | 593 | | 760 | | Commodity and other risks(4) | 252 | | 248 | | 844 | | 1,007 | |
Credit products and risks(5) | Credit products and risks(5) | 58 | | 728 | | 530 | | 1,871 | | Credit products and risks(5) | (70) | | 150 | | 462 | | 2,021 | |
| Total | Total | $ | 2,304 | | $ | 4,157 | | $ | 6,217 | | $ | 9,418 | | Total | $ | 2,233 | | $ | 2,508 | | $ | 8,450 | | $ | 11,926 | |
(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 on Form 10-K.
8. RETIREMENT BENEFITS
For additional information on Citi’s retirement benefits, see Note 8 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
Net (Benefit) Expense
The following tables 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 June 30, | | Three Months Ended September 30, |
| | | Pension plans | Postretirement benefit plans | | Pension plans | Postretirement benefit plans |
| | | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans | | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| In millions of dollars | In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 |
| | Benefits earned during the period | Benefits earned during the period | $ | 0 | | $ | 0 | | | $ | 38 | | $ | 34 | | | $ | 0 | | $ | 0 | | | $ | 2 | | $ | 2 | | Benefits earned during the period | $ | — | | $ | — | | | $ | 36 | | $ | 38 | | | $ | — | | $ | — | | | $ | 2 | | $ | 2 | |
| Interest cost on benefit obligation | Interest cost on benefit obligation | 95 | | 101 | | | 70 | | 61 | | | 3 | | 5 | | | 24 | | 22 | | Interest cost on benefit obligation | 87 | | 87 | | | 67 | | 59 | | | 3 | | 4 | | | 25 | | 22 | |
| Expected return on assets | Expected return on assets | (174) | | (206) | | | (63) | | (56) | | | (3) | | (4) | | | (21) | | (18) | | Expected return on assets | (173) | | (205) | | | (65) | | (62) | | | (3) | | (4) | | | (22) | | (18) | |
| Amortization of unrecognized: | Amortization of unrecognized: | | | | | | | | | | | Amortization of unrecognized: | | | | | | | | | | |
| Prior service benefit | Prior service benefit | 0 | | 0 | | | (2) | | (2) | | | (2) | | 0 | | | (3) | | (2) | | Prior service benefit | — | | — | | | (1) | | (1) | | | (3) | | — | | | (2) | | (3) | |
| Net actuarial loss (gain) | 54 | | 53 | | | 14 | | 17 | | | (1) | | 0 | | | 3 | | 5 | | |
| Net actuarial loss | | Net actuarial loss | 57 | | 62 | | | 16 | | 17 | | | — | | — | | | 4 | | 5 | |
| Settlement loss(1) | 0 | | 0 | | | 4 | | 3 | | | 0 | | 0 | | | 0 | | 0 | | |
Settlement loss (gain)(1) | | Settlement loss (gain)(1) | — | | — | | | 1 | | (6) | | | — | | — | | | — | | — | |
| | Total net (benefit) expense | Total net (benefit) expense | $ | (25) | | $ | (52) | | | $ | 61 | | $ | 57 | | | $ | (3) | | $ | 1 | | | $ | 5 | | $ | 9 | | Total net (benefit) expense | $ | (29) | | $ | (56) | | | $ | 54 | | $ | 45 | | | $ | (3) | | $ | — | | | $ | 7 | | $ | 8 | |
(1) Losses (gains) due to settlement relate to repositioning and divestiture activities.
| | | Six Months Ended June 30, | | Nine Months Ended September 30, |
| | | Pension plans | Postretirement benefit plans | | Pension plans | Postretirement benefit plans |
| | | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans | | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| In millions of dollars | In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | |
| | Benefits earned during the period | Benefits earned during the period | $ | 0 | | $ | 0 | | | $ | 77 | | $ | 71 | | | $ | 0 | | $ | 0 | | | $ | 4 | | $ | 4 | | | Benefits earned during the period | $ | — | | $ | — | | | $ | 113 | | $ | 109 | | | $ | — | | $ | — | | | $ | 6 | | $ | 6 | | |
| Interest cost on benefit obligation | Interest cost on benefit obligation | 177 | | 207 | | | 132 | | 125 | | | 6 | | 10 | | | 49 | | 46 | | | Interest cost on benefit obligation | 264 | | 294 | | | 199 | | 184 | | | 9 | | 14 | | | 74 | | 68 | | |
| Expected return on assets | Expected return on assets | (356) | | (414) | | | (124) | | (121) | | | (7) | | (9) | | | (43) | | (38) | | | Expected return on assets | (529) | | (619) | | | (189) | | (183) | | | (10) | | (13) | | | (65) | | (56) | | |
| Amortization of unrecognized: | Amortization of unrecognized: | | | | | | | | | | | | Amortization of unrecognized: | | | | | | | | | | | |
| Prior service cost (benefit) | Prior service cost (benefit) | 1 | | 1 | | | (3) | | (3) | | | (4) | | 0 | | | (5) | | (4) | | | Prior service cost (benefit) | 1 | | 1 | | | (4) | | (4) | | | (7) | | — | | | (7) | | (7) | | |
| Net actuarial loss | 116 | | 109 | | | 32 | | 34 | | | (1) | | 0 | | | 8 | | 10 | | | |
| Net actuarial loss (gain) | | Net actuarial loss (gain) | 173 | | 171 | | | 48 | | 51 | | | (1) | | — | | | 12 | | 15 | | |
| Settlement loss(1) | 0 | | 0 | | | 4 | | 3 | | | 0 | | 0 | | | 0 | | 0 | | | |
Settlement loss (gain)(1) | | Settlement loss (gain)(1) | — | | — | | | 5 | | (3) | | | — | | — | | | — | | — | | |
| | Total net (benefit) expense | Total net (benefit) expense | $ | (62) | | $ | (97) | | | $ | 118 | | $ | 109 | | | $ | (6) | | $ | 1 | | | $ | 13 | | $ | 18 | | | Total net (benefit) expense | $ | (91) | | $ | (153) | | | $ | 172 | | $ | 154 | | | $ | (9) | | $ | 1 | | | $ | 20 | | $ | 26 | | |
(1) Losses (gains) due to settlement relate to repositioning and divestiture activities.
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:
| | | | Six Months Ended June 30, 2021 | | Nine Months Ended September 30, 2021 |
| | | Pension plans | Postretirement benefit plans | | Pension plans | Postretirement benefit plans |
| In millions of dollars | In millions of dollars | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans | In millions of dollars | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| | Change in projected benefit obligation | Change in projected benefit obligation | | | | Change in projected benefit obligation | | | |
| | Projected benefit obligation at beginning of year | Projected benefit obligation at beginning of year | $ | 13,815 | | $ | 8,629 | | $ | 559 | | $ | 1,390 | | Projected benefit obligation at beginning of year | $ | 13,815 | | $ | 8,629 | | $ | 559 | | $ | 1,390 | |
| Plans measured annually | Plans measured annually | (25) | | (2,248) | | 0 | | (277) | | Plans measured annually | (25) | | (2,248) | | — | | (277) | |
| Projected benefit obligation at beginning of year—Significant Plans | Projected benefit obligation at beginning of year—Significant Plans | $ | 13,790 | | $ | 6,381 | | $ | 559 | | $ | 1,113 | | Projected benefit obligation at beginning of year—Significant Plans | $ | 13,790 | | $ | 6,381 | | $ | 559 | | $ | 1,113 | |
| First quarter activity | First quarter activity | (983) | | (572) | | (37) | | (146) | | First quarter activity | (983) | | (572) | | (37) | | (146) | |
| Second quarter activity | | Second quarter activity | 265 | | 138 | | (6) | | 53 | |
| | Projected benefit obligation at March 31, 2021—Significant Plans | $ | 12,807 | | $ | 5,809 | | $ | 522 | | $ | 967 | | |
| Projected benefit obligation at June 30, 2021—Significant Plans | | Projected benefit obligation at June 30, 2021—Significant Plans | $ | 13,072 | | $ | 5,947 | | $ | 516 | | $ | 1,020 | |
| | Benefits earned during the period | Benefits earned during the period | 0 | | 22 | | 0 | | 1 | | Benefits earned during the period | — | | 20 | | — | | 1 | |
| Interest cost on benefit obligation | Interest cost on benefit obligation | 95 | | 59 | | 3 | | 23 | | Interest cost on benefit obligation | 87 | | 58 | | 3 | | 23 | |
Actuarial loss(1) | 429 | | 25 | | 0 | | 20 | | |
| Actuarial gain | | Actuarial gain | (63) | | (65) | | (4) | | (29) | |
| Benefits paid, net of participants’ contributions and government subsidy | Benefits paid, net of participants’ contributions and government subsidy | (259) | | (76) | | (9) | | (18) | | Benefits paid, net of participants’ contributions and government subsidy | (249) | | (87) | | (12) | | (15) | |
| Settlement gain(1) | | Settlement gain(1) | — | | (8) | | — | | — | |
Curtailment gain(1) | | Curtailment gain(1) | — | | (14) | | — | | — | |
| | Foreign exchange impact and other | Foreign exchange impact and other | 0 | | 108 | | 0 | | 27 | | Foreign exchange impact and other | — | | (147) | | — | | (32) | |
| | Projected benefit obligation at period end—Significant Plans | Projected benefit obligation at period end—Significant Plans | $ | 13,072 | | $ | 5,947 | | $ | 516 | | $ | 1,020 | | Projected benefit obligation at period end—Significant Plans | $ | 12,847 | | $ | 5,704 | | $ | 503 | | $ | 968 | |
| Change in plan assets | Change in plan assets | | | | Change in plan assets | | | |
| | Plan assets at fair value at beginning of year | Plan assets at fair value at beginning of year | $ | 13,309 | | $ | 7,831 | | $ | 331 | | $ | 1,146 | | Plan assets at fair value at beginning of year | $ | 13,309 | | $ | 7,831 | | $ | 331 | | $ | 1,146 | |
| Plans measured annually | Plans measured annually | 0 | | (1,500) | | 0 | | (8) | | Plans measured annually | — | | (1,500) | | — | | (8) | |
| Plan assets at fair value at beginning of year—Significant Plans | Plan assets at fair value at beginning of year—Significant Plans | $ | 13,309 | | $ | 6,331 | | $ | 331 | | $ | 1,138 | | Plan assets at fair value at beginning of year—Significant Plans | $ | 13,309 | | $ | 6,331 | | $ | 331 | | $ | 1,138 | |
| First quarter activity | First quarter activity | (435) | | (404) | | (8) | | (44) | | First quarter activity | (435) | | (404) | | (8) | | (44) | |
| | Plan assets at fair value at March 31, 2021—Significant Plans | $ | 12,874 | | $ | 5,927 | | $ | 323 | | $ | 1,094 | | |
| Second quarter activity | | Second quarter activity | 320 | | 213 | | 5 | | 35 | |
| Plan assets at fair value at June 30, 2021—Significant Plans | | Plan assets at fair value at June 30, 2021—Significant Plans | $ | 13,194 | | $ | 6,140 | | $ | 328 | | $ | 1,129 | |
| | Actual return on plan assets | Actual return on plan assets | 566 | | 157 | | 10 | | 24 | | Actual return on plan assets | 86 | | 32 | | 1 | | 18 | |
| Company contributions, net of reimbursements | Company contributions, net of reimbursements | 13 | | 18 | | 4 | | 0 | | Company contributions, net of reimbursements | 13 | | 16 | | 10 | | — | |
| | Benefits paid, net of participants’ contributions and government subsidy | Benefits paid, net of participants’ contributions and government subsidy | (259) | | (76) | | (9) | | (18) | | Benefits paid, net of participants’ contributions and government subsidy | (249) | | (87) | | (12) | | (15) | |
| Settlements gain(1) | | Settlements gain(1) | — | | (8) | | — | | — | |
| | Foreign exchange impact and other | Foreign exchange impact and other | 0 | | 114 | | 0 | | 29 | | Foreign exchange impact and other | — | | (130) | | — | | (36) | |
| | Plan assets at fair value at period end—Significant Plans | Plan assets at fair value at period end—Significant Plans | $ | 13,194 | | $ | 6,140 | | $ | 328 | | $ | 1,129 | | Plan assets at fair value at period end—Significant Plans | $ | 13,044 | | $ | 5,963 | | $ | 327 | | $ | 1,096 | |
| Funded status of the Significant Plans | | | | |
| Qualified plans(2) | Qualified plans(2) | $ | 802 | | $ | 193 | | $ | (188) | | $ | 109 | | Qualified plans(2) | $ | 865 | | $ | 259 | | $ | (176) | | $ | 128 | |
Nonqualified plans(3) | Nonqualified plans(3) | (680) | | 0 | | 0 | | 0 | | Nonqualified plans(3) | (668) | | — | | — | | — | |
| Funded status of the plans at period end—Significant Plans | Funded status of the plans at period end—Significant Plans | $ | 122 | | $ | 193 | | $ | (188) | | $ | 109 | | Funded status of the plans at period end—Significant Plans | $ | 197 | | $ | 259 | | $ | (176) | | $ | 128 | |
| Net amount recognized at period end | Net amount recognized at period end | | | | Net amount recognized at period end | | | |
| Benefit asset | Benefit asset | $ | 802 | | $ | 789 | | $ | 0 | | $ | 109 | | Benefit asset | $ | 865 | | $ | 808 | | $ | — | | $ | 128 | |
| Benefit liability | Benefit liability | (680) | | (596) | | (188) | | 0 | | Benefit liability | (668) | | (549) | | (176) | | — | |
| Net amount recognized on the balance sheet—Significant Plans | Net amount recognized on the balance sheet—Significant Plans | $ | 122 | | $ | 193 | | $ | (188) | | $ | 109 | | Net amount recognized on the balance sheet—Significant Plans | $ | 197 | | $ | 259 | | $ | (176) | | $ | 128 | |
Amounts recognized in AOCI at period end | Amounts recognized in AOCI at period end | | | | Amounts recognized in AOCI at period end | | | |
| | Prior service benefit | Prior service benefit | $ | 0 | | $ | 0 | | $ | 97 | | $ | 54 | | Prior service benefit | $ | — | | $ | (1) | | $ | 94 | | $ | 51 | |
| Net actuarial (loss) gain | Net actuarial (loss) gain | (6,611) | | (976) | | 85 | | (243) | | Net actuarial (loss) gain | (6,580) | | (884) | | 86 | | (207) | |
| Net amount recognized in equity (pretax)—Significant Plans | Net amount recognized in equity (pretax)—Significant Plans | $ | (6,611) | | $ | (976) | | $ | 182 | | $ | (189) | | Net amount recognized in equity (pretax)—Significant Plans | $ | (6,580) | | $ | (885) | | $ | 180 | | $ | (156) | |
| Accumulated benefit obligation at period end—Significant Plans | Accumulated benefit obligation at period end—Significant Plans | $ | 13,071 | | $ | 5,641 | | $ | 516 | | $ | 1,020 | | Accumulated benefit obligation at period end—Significant Plans | $ | 12,845 | | $ | 5,425 | | $ | 503 | | $ | 968 | |
(1)Actuarial loss is associated with the decrease in global discount rates from MarchGains due to June.settlement and curtailment relate to repositioning and divestiture activities.
(2)The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 2021 and no minimum required funding is expected for 2021.
(3)The nonqualified plans of the Company are unfunded.
The following table shows the change in AOCI related to the Company’s pension, postretirement and post employment plans:
| | In millions of dollars | In millions of dollars | Three Months Ended June 30, 2021 | Six Months Ended June 30, 2021 | | In millions of dollars | Three Months Ended September 30, 2021 | Nine Months Ended September 30, 2021 | |
| Beginning of period balance, net of tax(1)(2) | Beginning of period balance, net of tax(1)(2) | $ | (6,150) | | $ | (6,864) | | | Beginning of period balance, net of tax(1)(2) | $ | (6,063) | | $ | (6,864) | | |
| | Actuarial assumptions changes and plan experience | Actuarial assumptions changes and plan experience | (480) | | 950 | | | Actuarial assumptions changes and plan experience | 175 | | 1,125 | | |
| Net asset gain (loss) due to difference between actual and expected returns | 509 | | (209) | | | |
| Net asset loss due to difference between actual and expected returns | | Net asset loss due to difference between actual and expected returns | (116) | | (325) | | |
| Net amortization | Net amortization | 66 | | 147 | | | Net amortization | 69 | | 216 | | |
| Curtailment/settlement loss(3) | (4) | | (4) | | | |
Curtailment/settlement gain (loss)(3) | | Curtailment/settlement gain (loss)(3) | 1 | | (3) | | |
| Foreign exchange impact and other | Foreign exchange impact and other | (7) | | 107 | | | Foreign exchange impact and other | 46 | | 153 | | |
| Change in deferred taxes, net | Change in deferred taxes, net | 3 | | (190) | | | Change in deferred taxes, net | (40) | | (230) | | |
| Change, net of tax | Change, net of tax | $ | 87 | | $ | 801 | | | Change, net of tax | $ | 135 | | $ | 936 | | |
End of period balance, net of tax(1)(2) | End of period balance, net of tax(1)(2) | $ | (6,063) | | $ | (6,063) | | | End of period balance, net of tax(1)(2) | $ | (5,928) | | $ | (5,928) | | |
(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 | Net (benefit) expense assumed discount rates during the period | Three Months Ended | Net (benefit) expense assumed discount rates during the period | Three Months Ended |
| Jun. 30, 2021 | | Jun. 30, 2020 | Net (benefit) expense assumed discount rates during the period | Sept. 30, 2021 | | Sept. 30, 2020 |
| U.S. plans | U.S. plans | | | | | | |
| Qualified pension | Qualified pension | 3.10 | % | | 3.20 | % | Qualified pension | 2.75 | % | | 2.60 | % |
| Nonqualified pension | Nonqualified pension | 3.00 | | | 3.25 | | Nonqualified pension | 2.70 | | | 2.55 | |
| Postretirement | Postretirement | 2.85 | | | 3.20 | | Postretirement | 2.60 | | | 2.45 | |
| Non-U.S. plans | Non-U.S. plans | | | | Non-U.S. plans | | | |
| Pension | Pension | 0.25–9.30 | | 0.45–9.45 | Pension | 0.25–9.25 | | 0.20–8.40 |
| Weighted average | Weighted average | 4.26 | | | 4.38 | | Weighted average | 4.23 | | | 3.68 | |
| Postretirement | Postretirement | 9.70 | | | 9.75 | | Postretirement | 9.50 | | | 8.80 | |
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 | Plan obligations assumed discount rates at period ended | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | | Plan obligations assumed discount rates at period ended | Sept. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | |
| U.S. plans | U.S. plans | | | U.S. plans | | |
| Qualified pension | Qualified pension | 2.75 | % | 3.10 | % | 2.45 | % | | Qualified pension | 2.80 | % | 2.75 | % | 3.10 | % | |
| Nonqualified pension | Nonqualified pension | 2.70 | | 3.00 | | 2.35 | | | Nonqualified pension | 2.75 | | 2.70 | | 3.00 | | |
| Postretirement | Postretirement | 2.60 | | 2.85 | | 2.20 | | | Postretirement | 2.65 | | 2.60 | | 2.85 | | |
| Non-U.S. plans | Non-U.S. plans | | | Non-U.S. plans | | |
| Pension | Pension | 0.25–9.25 | 0.25–9.30 | 0.05–8.15 | | Pension | 0.30–9.55 | 0.25–9.25 | 0.25–9.30 | |
| Weighted average | Weighted average | 4.23 | | 4.26 | | 3.60 | | | Weighted average | 4.37 | | 4.23 | | 4.26 | | |
| Postretirement | Postretirement | 9.50 | | 9.70 | | 8.55 | | | Postretirement | 9.80 | | 9.50 | | 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 June 30, 2021 | | Three Months Ended September 30, 2021 |
| In millions of dollars | In millions of dollars | One-percentage-point increase | | One-percentage-point decrease | In millions of dollars | One-percentage-point increase | | One-percentage-point decrease |
| Pension | Pension | | | | Pension | | | |
| U.S. plans | U.S. plans | $ | 8 | | | $ | (11) | | U.S. plans | $ | 9 | | | $ | (12) | |
| Non-U.S. plans | Non-U.S. plans | 0 | | | 5 | | Non-U.S. plans | 1 | | | 3 | |
| Postretirement | Postretirement | | | | Postretirement | | | |
| U.S. plans | U.S. plans | 0 | | | 0 | | U.S. plans | — | | | (1) | |
| Non-U.S. plans | Non-U.S. plans | (2) | | | 2 | | Non-U.S. plans | (2) | | | 2 | |
For the U.S. pension plans, there were no required minimum cash contributions during the first sixnine months of 2021.
The following table summarizes the Company’s actual contributions for the sixnine months ended JuneSeptember 30, 2021 and 2020, as well as expected Company contributions for the remainder of 2021 and the actual contributions made in 2020:
| | | | Pension plans | Postretirement plans | | Pension plans | Postretirement plans |
| | | U.S. plans(1) | | Non-U.S. plans | | U.S. plans | | Non-U.S. plans | | | U.S. plans(1) | | Non-U.S. plans | | U.S. plans | | Non-U.S. plans | |
| In millions of dollars | In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | |
Company contributions(2) for the six months ended June 30 | $ | 27 | | $ | 28 | | | $ | 78 | | $ | 72 | | | $ | 9 | | $ | 0 | | | $ | 4 | | $ | 5 | | | |
Company contributions(2) for the nine months ended September 30 | | Company contributions(2) for the nine months ended September 30 | $ | 41 | | $ | 42 | | | $ | 116 | | $ | 111 | | | $ | 19 | | $ | — | | | $ | 6 | | $ | 6 | | |
Company contributions (reimbursements) made during the
remainder of the year | Company contributions (reimbursements) made during the
remainder of the year | — | | 28 | | | — | | 86 | | | — | | (15) | | | — | | 4 | | | Company contributions (reimbursements) made during the
remainder of the year | — | | 14 | | | — | | 47 | | | — | | (15) | | | — | | 3 | | |
Company contributions expected to be made during
the remainder of the year | Company contributions expected to be made during
the remainder of the year | 32 | | — | | | 78 | | — | | | 3 | | — | | | 4 | | — | | | Company contributions expected to be made during
the remainder of the year | 16 | | — | | | 36 | | — | | | 2 | | — | | | 2 | | — | | |
| | |
(1)The U.S. plans include benefits paid directly by the Company for the nonqualified pension plans.
(2)Company contributions are composed of cash contributions made to the plans and benefits paid directly by the Company.
Defined Contribution Plans
The following table summarizes the Company’s contributions for the defined contribution plans:
| | | Three Months Ended June 30, | Six Months
Ended June 30, | | Three Months Ended September 30, | Nine Months
Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| U.S. plans | U.S. plans | $ | 106 | | $ | 101 | | $ | 211 | | $ | 203 | | U.S. plans | $ | 113 | | $ | 101 | | $ | 324 | | $ | 304 | |
| Non-U.S. plans | Non-U.S. plans | 91 | | 74 | | 183 | | 150 | | Non-U.S. plans | 87 | | 73 | | 270 | | 223 | |
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 June 30, | Six Months
Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Service-related expense | | | | |
| | | | |
| | | | |
| Amortization of unrecognized: | | | | |
| | | | |
| Net actuarial loss | $ | 1 | | $ | 1 | | $ | 1 | | $ | 1 | |
| | | | |
| Total service-related expense | $ | 1 | | $ | 1 | | $ | 1 | | $ | 1 | |
| Non-service-related (benefit) expense | $ | (1) | | $ | 3 | | $ | 4 | | $ | 8 | |
| Total net expense | $ | 0 | | $ | 4 | | $ | 5 | | $ | 9 | |
| | | | | | | | | | | | | | |
| Three Months Ended September 30, | Nine Months
Ended September 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Service-related expense | | | | |
| Interest cost on benefit obligation | $ | — | | $ | 1 | | $ | — | | $ | 1 | |
| | | | |
| Amortization of unrecognized: | | | | |
| | | | |
| Net actuarial loss | 1 | | — | | 2 | | 1 | |
| | | | |
| Total service-related expense | $ | 1 | | $ | 1 | | $ | 2 | | $ | 2 | |
| Non-service-related expense | $ | 3 | | $ | 4 | | $ | 7 | | $ | 12 | |
| Total net expense | $ | 4 | | $ | 5 | | $ | 9 | | $ | 14 | |
9. EARNINGS PER SHARE
The following table reconciles the income and share data used in the basic and diluted earnings per share (EPS) computations:
| | | Three Months Ended June 30, | Six Months Ended June 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars, except per share amounts | In millions of dollars, except per share amounts | 2021 | 2020 | 2021 | 2020 | In millions of dollars, except per share amounts | 2021 | 2020 | 2021 | 2020 |
| Earnings per common share | Earnings per common share | | | | Earnings per common share | | | |
| Income from continuing operations before attribution of noncontrolling interests | Income from continuing operations before attribution of noncontrolling interests | $ | 6,193 | | $ | 1,057 | | $ | 14,170 | | $ | 3,605 | | Income from continuing operations before attribution of noncontrolling interests | $ | 4,669 | | $ | 3,177 | | $ | 18,839 | | $ | 6,782 | |
| Less: Noncontrolling interests from continuing operations | Less: Noncontrolling interests from continuing operations | 10 | | 0 | | 43 | | (6) | | Less: Noncontrolling interests from continuing operations | 24 | | 24 | | 67 | | 18 | |
| Net income from continuing operations (for EPS purposes) | Net income from continuing operations (for EPS purposes) | $ | 6,183 | | $ | 1,057 | | $ | 14,127 | | $ | 3,611 | | Net income from continuing operations (for EPS purposes) | $ | 4,645 | | $ | 3,153 | | $ | 18,772 | | $ | 6,764 | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | 10 | | (1) | | 8 | | (19) | | Income (loss) from discontinued operations, net of taxes | (1) | | (7) | | 7 | | (26) | |
| Citigroup’s net income | Citigroup’s net income | $ | 6,193 | | $ | 1,056 | | $ | 14,135 | | $ | 3,592 | | Citigroup’s net income | $ | 4,644 | | $ | 3,146 | | $ | 18,779 | | $ | 6,738 | |
Less: Preferred dividends(1) | Less: Preferred dividends(1) | 253 | | 253 | | 545 | | 544 | | Less: Preferred dividends(1) | 266 | | 284 | | 811 | | 828 | |
| Net income available to common shareholders | Net income available to common shareholders | $ | 5,940 | | $ | 803 | | $ | 13,590 | | $ | 3,048 | | Net income available to common shareholders | $ | 4,378 | | $ | 2,862 | | $ | 17,968 | | $ | 5,910 | |
| Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS | Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS | 41 | | 11 | | 107 | | 32 | | Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS | 26 | | 18 | | 134 | | 50 | |
| Net income allocated to common shareholders for basic EPS | Net income allocated to common shareholders for basic EPS | $ | 5,899 | | $ | 792 | | $ | 13,483 | | $ | 3,016 | | Net income allocated to common shareholders for basic EPS | $ | 4,352 | | $ | 2,844 | | $ | 17,834 | | $ | 5,860 | |
Weighted-average common shares outstanding applicable to basic EPS (in millions) | Weighted-average common shares outstanding applicable to basic EPS (in millions) | 2,056.5 | | 2,081.7 | | 2,069.3 | | 2,089.8 | | Weighted-average common shares outstanding applicable to basic EPS (in millions) | 2,009.3 | | 2,081.8 | | 2,049.3 | | 2,087.1 | |
Basic earnings per share(2) | Basic earnings per share(2) | | | | Basic earnings per share(2) | | | |
| Income from continuing operations | Income from continuing operations | $ | 2.86 | | $ | 0.38 | | $ | 6.51 | | $ | 1.45 | | Income from continuing operations | $ | 2.17 | | $ | 1.37 | | $ | 8.70 | | $ | 2.82 | |
| Discontinued operations | Discontinued operations | 0 | | 0 | | 0 | | (0.01) | | Discontinued operations | — | | — | | — | | (0.01) | |
| Net income per share—basic | Net income per share—basic | $ | 2.87 | | $ | 0.38 | | $ | 6.52 | | $ | 1.44 | | Net income per share—basic | $ | 2.17 | | $ | 1.37 | | $ | 8.70 | | $ | 2.81 | |
| Diluted earnings per share | Diluted earnings per share | | | | Diluted earnings per share | | | |
| Net income allocated to common shareholders for basic EPS | Net income allocated to common shareholders for basic EPS | $ | 5,899 | | $ | 792 | | $ | 13,483 | | $ | 3,016 | | Net income allocated to common shareholders for basic EPS | $ | 4,352 | | $ | 2,844 | | $ | 17,834 | | $ | 5,860 | |
| Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable | Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable | 8 | | 0 | | 15 | | 15 | | Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable | 8 | | 7 | | 23 | | 22 | |
| Net income allocated to common shareholders for diluted EPS | Net income allocated to common shareholders for diluted EPS | $ | 5,907 | | $ | 792 | | $ | 13,498 | | $ | 3,031 | | Net income allocated to common shareholders for diluted EPS | $ | 4,360 | | $ | 2,851 | | $ | 17,857 | | $ | 5,882 | |
Weighted-average common shares outstanding applicable to basic EPS (in millions) | Weighted-average common shares outstanding applicable to basic EPS (in millions) | 2,056.5 | | 2,081.7 | | 2,069.3 | | 2,089.8 | | Weighted-average common shares outstanding applicable to basic EPS (in millions) | 2,009.3 | | 2,081.8 | | 2,049.3 | | 2,087.1 | |
| Effect of dilutive securities | Effect of dilutive securities | | | | Effect of dilutive securities | | | |
Options(3) | Options(3) | 0 | | 0 | | 0 | | 0 | | Options(3) | — | | — | | — | | — | |
| Other employee plans | Other employee plans | 16.5 | | 2.6 | | 15.5 | | 13.2 | | Other employee plans | 16.9 | | 12.5 | | 16.0 | | 13.0 | |
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(4) | Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(4) | 2,073.0 | | 2,084.3 | | 2,084.8 | | 2,103.0 | | Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(4) | 2,026.2 | | 2,094.3 | | 2,065.3 | | 2,100.1 | |
Diluted earnings per share(2) | Diluted earnings per share(2) | | | | | Diluted earnings per share(2) | | | | |
| Income from continuing operations | Income from continuing operations | $ | 2.84 | | $ | 0.38 | | $ | 6.47 | | $ | 1.45 | | Income from continuing operations | $ | 2.15 | | $ | 1.36 | | $ | 8.64 | | $ | 2.81 | |
| Discontinued operations | Discontinued operations | 0 | | 0 | | 0 | | (0.01) | | Discontinued operations | — | | — | | — | | (0.01) | |
| Net income per share—diluted | Net income per share—diluted | $ | 2.85 | | $ | 0.38 | | $ | 6.47 | | $ | 1.44 | | Net income per share—diluted | $ | 2.15 | | $ | 1.36 | | $ | 8.65 | | $ | 2.80 | |
(1)On July 15,October 21, 2021, Citi declared preferred dividends of approximately $266$228 million for the thirdfourth quarter of 2021. On October 27, 2021, Citi issued 1.0 million shares of Series Y preferred shares for $1.0 billion. During the second quarter of 2021, Citi redeemed all of its 1.25 million Series Q preferred shares for $1.25 billion and the remaining 1.035 million Series R preferred shares for $1.035 billion. During the first quarter of 2021, Citi redeemed all of its 41.4 million Series S preferred shares for $1.035 billion and 465,000 shares of its Series R preferred shares for $465 million, and Citi also issued 2.3 million of Series X preferred shares for $2.3 billion. During the second quarter of 2021, Citi redeemed all of its 1.25 million Series Q preferred shares for $1.25 billion and the remaining 1.035 million Series R preferred shares for $1.035 billion. As of August 4, 2021, Citi estimates it will distribute preferred dividends of approximately $228 million in the fourth quarter of 2021, subject to such dividends being declared by the Citi Board of Directors.
(2)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
(3) During the first, second and secondthird quarters of 2021 and 2020, no significant options to purchase shares of common stock were outstanding.
(4) Due to rounding, weighted-average common shares outstanding applicable to basic EPS and the effect of dilutive securities may not sum to weighted-average common shares outstanding applicable to diluted EPS.
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 on Form 10-K.
Securities borrowed and purchased under agreements to resell, at their respective carrying values, consisted of the following:
| | | | | | | | |
| In millions of dollars | June 30,
2021 | December 31, 2020 |
| Securities purchased under agreements to resell | $ | 209,300 | | $ | 204,655 | |
| Deposits paid for securities borrowed | 99,755 | | 90,067 | |
Total, net(1) | $ | 309,055 | | $ | 294,722 | |
Allowance for credit losses on securities purchased and borrowed(2) | (8) | | (10) | |
| Total, net of allowance | $ | 309,047 | | $ | 294,712 | |
| | | | | | | | |
| In millions of dollars | September 30,
2021 | December 31, 2020 |
| Securities purchased under agreements to resell | $ | 234,191 | | $ | 204,655 | |
| Deposits paid for securities borrowed | 103,514 | | 90,067 | |
Total, net(1) | $ | 337,705 | | $ | 294,722 | |
Allowance for credit losses on securities purchased and borrowed(2) | (9) | | (10) | |
| Total, net of allowance | $ | 337,696 | | $ | 294,712 | |
Securities loaned and sold under agreements to repurchase, at their respective carrying values, consisted of the following:
| | In millions of dollars | In millions of dollars | June 30,
2021 | December 31, 2020 | In millions of dollars | September 30,
2021 | December 31, 2020 |
| Securities sold under agreements to repurchase | Securities sold under agreements to repurchase | $ | 198,353 | | $ | 181,194 | | Securities sold under agreements to repurchase | $ | 188,998 | | $ | 181,194 | |
| Deposits received for securities loaned | Deposits received for securities loaned | 23,464 | | 18,331 | | Deposits received for securities loaned | 20,186 | | 18,331 | |
Total, net(1) | Total, net(1) | $ | 221,817 | | $ | 199,525 | | Total, net(1) | $ | 209,184 | | $ | 199,525 | |
(1) The above tables do not include securities-for-securities lending transactions of $3.3$3.4 billion and $6.8 billion at JuneSeptember 30, 2021 and December 31, 2020, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.
(2) See Note 14 to the Consolidated Financial Statements for further information.
It is the Company’s policy to take possession of the underlying collateral, monitor its market value relative to the amounts due under the agreements and, when necessary, require prompt transfer of additional collateral in order to maintain contractual margin protection. For resale and repurchase agreements, when necessary, the Company posts additional collateral in order to maintain contractual margin protection.
A substantial portion of the resale and repurchase agreements is recorded at fair value, as described in Notes 20 and 21 to the Consolidated Financial Statements. The remaining portion is carried at the amount of cash initially advanced or received, plus accrued interest, as specified in the respective agreements.
A substantial portion of securities borrowing and lending agreements is recorded at the amount of cash advanced or received. The remaining portion is recorded at fair value as the Company elected the fair value option for certain securities borrowed and loaned portfolios, as described in Note 21 to the Consolidated Financial Statements. With respect to securities loaned, the Company receives cash collateral in an amount generally in excess of the market value of the securities loaned. The Company monitors the market value of securities borrowed and securities loaned on a daily basis and 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 June 30, 2021 | | As of September 30, 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 | $ | 303,476 | | $ | 94,176 | | $ | 209,300 | | $ | 174,835 | | $ | 34,465 | | Securities purchased under agreements to resell | $ | 355,702 | | $ | 121,511 | | $ | 234,191 | | $ | 178,517 | | $ | 55,674 | |
| Deposits paid for securities borrowed | Deposits paid for securities borrowed | 116,070 | | 16,315 | | 99,755 | | 18,037 | | 81,718 | | Deposits paid for securities borrowed | 120,159 | | 16,645 | | 103,514 | | 22,145 | | 81,369 | |
| Total | Total | $ | 419,546 | | $ | 110,491 | | $ | 309,055 | | $ | 192,872 | | $ | 116,183 | | Total | $ | 475,861 | | $ | 138,156 | | $ | 337,705 | | $ | 200,662 | | $ | 137,043 | |
| | 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 | $ | 292,529 | | $ | 94,176 | | $ | 198,353 | | $ | 97,308 | | $ | 101,045 | | Securities sold under agreements to repurchase | $ | 310,509 | | $ | 121,511 | | $ | 188,998 | | $ | 87,606 | | $ | 101,392 | |
| Deposits received for securities loaned | Deposits received for securities loaned | 39,779 | | 16,315 | | 23,464 | | 4,173 | | 19,291 | | Deposits received for securities loaned | 36,831 | | 16,645 | | 20,186 | | 3,587 | | 16,599 | |
| Total | Total | $ | 332,308 | | $ | 110,491 | | $ | 221,817 | | $ | 101,481 | | $ | 120,336 | | Total | $ | 347,340 | | $ | 138,156 | | $ | 209,184 | | $ | 91,193 | | $ | 117,991 | |
| | | | | | | | | | | | | | | | | | |
| | As of December 31, 2020 | |
| In millions of dollars | Gross amounts
of recognized
assets | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
assets included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) | |
| Securities purchased under agreements to resell | $ | 362,025 | | $ | 157,370 | | $ | 204,655 | | $ | 159,232 | | $ | 45,423 | | |
| Deposits paid for securities borrowed | 96,425 | | 6,358 | | 90,067 | | 13,474 | | 76,593 | | |
| Total | $ | 458,450 | | $ | 163,728 | | $ | 294,722 | | $ | 172,706 | | $ | 122,016 | | |
| | | | | | | | | | | | | | | | | |
| In millions of dollars | Gross amounts
of recognized
liabilities | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
liabilities included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) |
| Securities sold under agreements to repurchase | $ | 338,564 | | $ | 157,370 | | $ | 181,194 | | $ | 95,563 | | $ | 85,631 | |
| Deposits received for securities loaned | 24,689 | | 6,358 | | 18,331 | | 7,982 | | 10,349 | |
| Total | $ | 363,253 | | $ | 163,728 | | $ | 199,525 | | $ | 103,545 | | $ | 95,980 | |
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(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 June 30, 2021 | | As of September 30, 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 | $ | 138,514 | | $ | 75,384 | | $ | 31,346 | | $ | 47,285 | | $ | 292,529 | | Securities sold under agreements to repurchase | $ | 137,111 | | $ | 87,435 | | $ | 33,974 | | $ | 51,989 | | $ | 310,509 | |
| Deposits received for securities loaned | Deposits received for securities loaned | 29,519 | | 1,058 | | 1,677 | | 7,525 | | 39,779 | | Deposits received for securities loaned | 26,931 | | 42 | | 2,088 | | 7,770 | | 36,831 | |
| Total | Total | $ | 168,033 | | $ | 76,442 | | $ | 33,023 | | $ | 54,810 | | $ | 332,308 | | Total | $ | 164,042 | | $ | 87,477 | | $ | 36,062 | | $ | 59,759 | | $ | 347,340 | |
| | | | | | | | | | | | | | | | | |
| As of December 31, 2020 |
| In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total |
| Securities sold under agreements to repurchase | $ | 160,754 | | $ | 98,226 | | $ | 41,679 | | $ | 37,905 | | $ | 338,564 | |
| Deposits received for securities loaned | 17,038 | | 3 | | 2,770 | | 4,878 | | 24,689 | |
| Total | $ | 177,792 | | $ | 98,229 | | $ | 44,449 | | $ | 42,783 | | $ | 363,253 | |
The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by class of underlying collateral:
| | | As of June 30, 2021 | | As of September 30, 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 | $ | 106,277 | | $ | 0 | | $ | 106,277 | | U.S. Treasury and federal agency securities | $ | 108,346 | | $ | 2 | | $ | 108,348 | |
| State and municipal securities | State and municipal securities | 700 | | 0 | | 700 | | State and municipal securities | 996 | | — | | 996 | |
| Foreign government securities | Foreign government securities | 106,812 | | 204 | | 107,016 | | Foreign government securities | 134,204 | | 200 | | 134,404 | |
| Corporate bonds | Corporate bonds | 22,993 | | 265 | | 23,258 | | Corporate bonds | 22,914 | | 297 | | 23,211 | |
| Equity securities | Equity securities | 26,227 | | 39,113 | | 65,340 | | Equity securities | 22,025 | | 36,202 | | 58,227 | |
| Mortgage-backed securities | Mortgage-backed securities | 23,699 | | 0 | | 23,699 | | Mortgage-backed securities | 16,576 | | — | | 16,576 | |
| Asset-backed securities | Asset-backed securities | 2,052 | | 0 | | 2,052 | | Asset-backed securities | 1,571 | | — | | 1,571 | |
| Other | Other | 3,769 | | 197 | | 3,966 | | Other | 3,877 | | 130 | | 4,007 | |
| Total | Total | $ | 292,529 | | $ | 39,779 | | $ | 332,308 | | Total | $ | 310,509 | | $ | 36,831 | | $ | 347,340 | |
| | | As of December 31, 2020 | | As of December 31, 2020 |
| 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 | $ | 112,437 | | $ | — | | $ | 112,437 | |
| State and municipal securities | State and municipal securities | 664 | | 2 | | 666 | | State and municipal securities | 664 | | 2 | | 666 | |
| Foreign government securities | Foreign government securities | 130,017 | | 194 | | 130,211 | | Foreign government securities | 130,017 | | 194 | | 130,211 | |
| Corporate bonds | Corporate bonds | 20,149 | | 78 | | 20,227 | | Corporate bonds | 20,149 | | 78 | | 20,227 | |
| Equity securities | Equity securities | 21,497 | | 24,149 | | 45,646 | | Equity securities | 21,497 | | 24,149 | | 45,646 | |
| Mortgage-backed securities | Mortgage-backed securities | 45,566 | | 0 | | 45,566 | | Mortgage-backed securities | 45,566 | | — | | 45,566 | |
| Asset-backed securities | Asset-backed securities | 3,307 | | 0 | | 3,307 | | Asset-backed securities | 3,307 | | — | | 3,307 | |
| Other | Other | 4,927 | | 266 | | 5,193 | | Other | 4,927 | | 266 | | 5,193 | |
| Total | Total | $ | 338,564 | | $ | 24,689 | | $ | 363,253 | | Total | $ | 338,564 | | $ | 24,689 | | $ | 363,253 | |
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 on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
| | In millions of dollars | In millions of dollars | June 30,
2021 | December 31, 2020 | In millions of dollars | September 30,
2021 | December 31, 2020 |
| Receivables from customers | Receivables from customers | $ | 26,744 | | $ | 18,097 | | Receivables from customers | $ | 21,833 | | $ | 18,097 | |
| Receivables from brokers, dealers and clearing organizations | Receivables from brokers, dealers and clearing organizations | 34,394 | | 26,709 | | Receivables from brokers, dealers and clearing organizations | 37,654 | | 26,709 | |
Total brokerage receivables(1) | Total brokerage receivables(1) | $ | 61,138 | | $ | 44,806 | | Total brokerage receivables(1) | $ | 59,487 | | $ | 44,806 | |
| Payables to customers | Payables to customers | $ | 46,413 | | $ | 39,319 | | Payables to customers | $ | 48,300 | | $ | 39,319 | |
| Payables to brokers, dealers and clearing organizations | Payables to brokers, dealers and clearing organizations | 13,003 | | 11,165 | | Payables to brokers, dealers and clearing organizations | 12,201 | | 11,165 | |
Total brokerage payables(1) | Total brokerage payables(1) | $ | 59,416 | | $ | 50,484 | | Total brokerage payables(1) | $ | 60,501 | | $ | 50,484 | |
(1) Includes brokerage receivables and payables recorded by Citi broker-dealer entities that are accounted for in accordance with the AICPA Accounting Guide for Brokers and Dealers in Securities as codified in ASC 940-320.
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 on Form 10-K.
The following table presents Citi’s investments by category:
| | | | | | | | | |
| In millions of dollars | June 30,
2021 | December 31, 2020 | |
|
| Debt securities available-for-sale (AFS) | $ | 302,977 | | $ | 335,084 | | |
Debt securities held-to-maturity (HTM)(1) | 176,742 | | 104,943 | | |
Marketable equity securities carried at fair value(2) | 195 | | 515 | | |
Non-marketable equity securities carried at fair value(2) | 598 | | 551 | | |
Non-marketable equity securities measured using the measurement alternative(3) | 1,381 | | 962 | | |
Non-marketable equity securities carried at cost(4) | 5,170 | | 5,304 | | |
| Total investments | $ | 487,063 | | $ | 447,359 | | |
| | | | | | | | | |
| In millions of dollars | September 30,
2021 | December 31, 2020 | |
|
| Debt securities available-for-sale (AFS) | $ | 295,573 | | $ | 335,084 | | |
Debt securities held-to-maturity (HTM)(1) | 198,056 | | 104,943 | | |
Marketable equity securities carried at fair value(2) | 379 | | 515 | | |
Non-marketable equity securities carried at fair value(2) | 539 | | 551 | | |
Non-marketable equity securities measured using the measurement alternative(3) | 1,392 | | 962 | | |
Non-marketable equity securities carried at cost(4) | 4,910 | | 5,304 | | |
| Total investments | $ | 500,849 | | $ | 447,359 | | |
(1)Carried at adjusted amortized cost basis, net of any ACL.
(2)Unrealized gains and losses are recognized in earnings.
(3)Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings. See “Non-Marketable Equity Securities Not Carried at Fair Value” below.
(4) Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.
The following table presents interest and dividend income on investments:
| | | | | | | | | | | | | | |
| Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Taxable interest | $ | 1,723 | | $ | 1,984 | | $ | 3,375 | | $ | 4,163 | |
| Interest exempt from U.S. federal income tax | 57 | | 70 | | 123 | | 146 | |
| Dividend income | 38 | | 43 | | 72 | | 69 | |
| Total interest and dividend income on investments | $ | 1,818 | | $ | 2,097 | | $ | 3,570 | | $ | 4,378 | |
| | | | | | | | | | | | | | |
| Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Taxable interest | $ | 1,777 | | $ | 1,752 | | $ | 5,152 | | $ | 5,915 | |
| Interest exempt from U.S. federal income tax | 73 | | 85 | | 196 | | 231 | |
| Dividend income | 35 | | 33 | | 107 | | 102 | |
| Total interest and dividend income on investments | $ | 1,885 | | $ | 1,870 | | $ | 5,455 | | $ | 6,248 | |
The following table presents realized gains and losses on the sales of investments, which exclude impairment losses:
| | | | | | | | | | | | | | |
| Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Gross realized investment gains | $ | 155 | | $ | 775 | | $ | 615 | | $ | 1,237 | |
| Gross realized investment losses | (18) | | (27) | | (77) | | (57) | |
| Net realized gains on sales of investments | $ | 137 | | $ | 748 | | $ | 538 | | $ | 1,180 | |
| | | | | | | | | | | | | | |
| Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Gross realized investment gains | $ | 142 | | $ | 381 | | $ | 757 | | $ | 1,619 | |
| Gross realized investment losses | (25) | | (77) | | (102) | | (135) | |
| Net realized gains on sales of investments | $ | 117 | | $ | 304 | | $ | 655 | | $ | 1,484 | |
Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
| | | | June 30, 2021 | December 31, 2020 | | September 30, 2021 | December 31, 2020 |
| In millions of dollars | 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 | 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 | Debt securities AFS | | | | | | | | Debt securities AFS | | | | | | | |
Mortgage-backed securities(1) | Mortgage-backed securities(1) | | | | | | | | Mortgage-backed securities(1) | | | | | | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | $ | 38,842 | | $ | 697 | | $ | 229 | | $ | 0 | | $ | 39,310 | | $ | 42,836 | | $ | 1,134 | | $ | 52 | | $ | 0 | | $ | 43,918 | | U.S. government-sponsored agency guaranteed | $ | 36,127 | | $ | 743 | | $ | 201 | | $ | — | | $ | 36,669 | | $ | 42,836 | | $ | 1,134 | | $ | 52 | | $ | — | | $ | 43,918 | |
| | Non-U.S. residential | Non-U.S. residential | 403 | | 1 | | 0 | | 0 | | 404 | | 568 | | 3 | | 0 | | 0 | | 571 | | Non-U.S. residential | 362 | | 1 | | — | | — | | 363 | | 568 | | 3 | | — | | — | | 571 | |
| Commercial | Commercial | 43 | | 0 | | 0 | | 0 | | 43 | | 49 | | 1 | | 0 | | 0 | | 50 | | Commercial | 34 | | — | | — | | — | | 34 | | 49 | | 1 | | — | | — | | 50 | |
| Total mortgage-backed securities | Total mortgage-backed securities | $ | 39,288 | | $ | 698 | | $ | 229 | | $ | 0 | | $ | 39,757 | | $ | 43,453 | | $ | 1,138 | | $ | 52 | | $ | 0 | | $ | 44,539 | | Total mortgage-backed securities | $ | 36,523 | | $ | 744 | | $ | 201 | | $ | — | | $ | 37,066 | | $ | 43,453 | | $ | 1,138 | | $ | 52 | | $ | — | | $ | 44,539 | |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | | | | | | | U.S. Treasury and federal agency securities | | | | | | |
| U.S. Treasury | U.S. Treasury | $ | 125,224 | | $ | 1,336 | | $ | 413 | | $ | 0 | | $ | 126,147 | | $ | 144,094 | | $ | 2,108 | | $ | 49 | | $ | 0 | | $ | 146,153 | | U.S. Treasury | $ | 122,491 | | $ | 1,119 | | $ | 436 | | $ | — | | $ | 123,174 | | $ | 144,094 | | $ | 2,108 | | $ | 49 | | $ | — | | $ | 146,153 | |
| Agency obligations | Agency obligations | 0 | | 0 | | 0 | | 0 | | 0 | | 50 | | 1 | | 0 | | 0 | | 51 | | Agency obligations | — | | — | | — | | — | | — | | 50 | | 1 | | — | | — | | 51 | |
| Total U.S. Treasury and federal agency securities | Total U.S. Treasury and federal agency securities | $ | 125,224 | | $ | 1,336 | | $ | 413 | | $ | 0 | | $ | 126,147 | | $ | 144,144 | | $ | 2,109 | | $ | 49 | | $ | 0 | | $ | 146,204 | | Total U.S. Treasury and federal agency securities | $ | 122,491 | | $ | 1,119 | | $ | 436 | | $ | — | | $ | 123,174 | | $ | 144,144 | | $ | 2,109 | | $ | 49 | | $ | — | | $ | 146,204 | |
| State and municipal | State and municipal | $ | 3,096 | | $ | 95 | | $ | 112 | | $ | 0 | | $ | 3,079 | | $ | 3,753 | | $ | 123 | | $ | 157 | | $ | 0 | | $ | 3,719 | | State and municipal | $ | 2,710 | | $ | 85 | | $ | 111 | | $ | — | | $ | 2,684 | | $ | 3,753 | | $ | 123 | | $ | 157 | | $ | — | | $ | 3,719 | |
| Foreign government | Foreign government | 120,122 | | 587 | | 492 | | 0 | | 120,217 | | 123,467 | | 1,623 | | 122 | | 0 | | 124,968 | | Foreign government | 120,322 | | 496 | | 624 | | — | | 120,194 | | 123,467 | | 1,623 | | 122 | | — | | 124,968 | |
| Corporate | Corporate | 7,902 | | 74 | | 68 | | 5 | | 7,903 | | 10,444 | | 152 | | 91 | | 5 | | 10,500 | | Corporate | 6,929 | | 70 | | 65 | | 8 | | 6,926 | | 10,444 | | 152 | | 91 | | 5 | | 10,500 | |
Asset-backed securities(1) | Asset-backed securities(1) | 211 | | 0 | | 0 | | 0 | | 211 | | 277 | | 5 | | 4 | | 0 | | 278 | | Asset-backed securities(1) | 263 | | 1 | | — | | — | | 264 | | 277 | | 5 | | 4 | | — | | 278 | |
| Other debt securities | Other debt securities | 5,661 | | 2 | | 0 | | 0 | | 5,663 | | 4,871 | | 5 | | 0 | | 0 | | 4,876 | | Other debt securities | 5,265 | | 1 | | 1 | | — | | 5,265 | | 4,871 | | 5 | | — | | — | | 4,876 | |
| | Total debt securities AFS | Total debt securities AFS | $ | 301,504 | | $ | 2,792 | | $ | 1,314 | | $ | 5 | | $ | 302,977 | | $ | 330,409 | | $ | 5,155 | | $ | 475 | | $ | 5 | | $ | 335,084 | | Total debt securities AFS | $ | 294,503 | | $ | 2,516 | | $ | 1,438 | | $ | 8 | | $ | 295,573 | | $ | 330,409 | | $ | 5,155 | | $ | 475 | | $ | 5 | | $ | 335,084 | |
(1)The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.
The following table shows the fair value of AFS debt securities that have been in an unrealized loss position:
| | | | Less than 12 months | 12 months or longer | Total | | Less than 12 months | 12 months or longer | Total |
| In millions of dollars | In millions of dollars | Fair
value | Gross
unrealized
losses | Fair
value | Gross
unrealized
losses | Fair
value | Gross
unrealized
losses | In millions of dollars | Fair
value | Gross
unrealized
losses | Fair
value | Gross
unrealized
losses | Fair
value | Gross
unrealized
losses |
| June 30, 2021 | | | | | | |
| September 30, 2021 | | September 30, 2021 | | | | | |
| Debt securities AFS | Debt securities AFS | | | | | | Debt securities AFS | | | | | |
| Mortgage-backed securities | Mortgage-backed securities | | | | | | Mortgage-backed securities | | | | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | $ | 14,217 | | $ | 208 | | $ | 343 | | $ | 21 | | $ | 14,560 | | $ | 229 | | U.S. government-sponsored agency guaranteed | $ | 10,965 | | $ | 182 | | $ | 197 | | $ | 19 | | $ | 11,162 | | $ | 201 | |
| | Non-U.S. residential | Non-U.S. residential | 22 | | 0 | | 0 | | 0 | | 22 | | 0 | | Non-U.S. residential | 58 | | — | | — | | — | | 58 | | — | |
| | Commercial | | Commercial | 2 | | — | | — | | — | | 2 | | — | |
| Total mortgage-backed securities | Total mortgage-backed securities | $ | 14,239 | | $ | 208 | | $ | 343 | | $ | 21 | | $ | 14,582 | | $ | 229 | | Total mortgage-backed securities | $ | 11,025 | | $ | 182 | | $ | 197 | | $ | 19 | | $ | 11,222 | | $ | 201 | |
| | U.S. Treasury | U.S. Treasury | $ | 52,548 | | $ | 413 | | $ | 0 | | $ | 0 | | $ | 52,548 | | $ | 413 | | U.S. Treasury | $ | 38,146 | | $ | 122 | | $ | 19,579 | | $ | 314 | | $ | 57,725 | | $ | 436 | |
| | State and municipal | State and municipal | 101 | | 2 | | 1,107 | | 110 | | 1,208 | | 112 | | State and municipal | 198 | | 5 | | 1,182 | | 106 | | 1,380 | | 111 | |
| Foreign government | Foreign government | 43,680 | | 363 | | 6,510 | | 129 | | 50,190 | | 492 | | Foreign government | 54,437 | | 494 | | 9,452 | | 130 | | 63,889 | | 624 | |
| Corporate | Corporate | 1,896 | | 67 | | 19 | | 1 | | 1,915 | | 68 | | Corporate | 1,994 | | 65 | | 21 | | — | | 2,015 | | 65 | |
| Asset-backed securities | Asset-backed securities | 3 | | 0 | | 0 | | 0 | | 3 | | 0 | | Asset-backed securities | 3 | | — | | — | | — | | 3 | | — | |
| Other debt securities | Other debt securities | 2,263 | | 0 | | 0 | | 0 | | 2,263 | | 0 | | Other debt securities | 2,787 | | 1 | | — | | — | | 2,787 | | 1 | |
| Total debt securities AFS | Total debt securities AFS | $ | 114,730 | | $ | 1,053 | | $ | 7,979 | | $ | 261 | | $ | 122,709 | | $ | 1,314 | | Total debt securities AFS | $ | 108,590 | | $ | 869 | | $ | 30,431 | | $ | 569 | | $ | 139,021 | | $ | 1,438 | |
| December 31, 2020 | December 31, 2020 | | | | | | December 31, 2020 | | | | | |
| Debt securities AFS | Debt securities AFS | | | | | | Debt securities AFS | | | | | |
| Mortgage-backed securities | Mortgage-backed securities | | | | | | Mortgage-backed securities | | | | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | $ | 3,588 | | $ | 30 | | $ | 298 | | $ | 22 | | $ | 3,886 | | $ | 52 | | U.S. government-sponsored agency guaranteed | $ | 3,588 | | $ | 30 | | $ | 298 | | $ | 22 | | $ | 3,886 | | $ | 52 | |
| | Non-U.S. residential | Non-U.S. residential | 1 | | 0 | | 0 | | 0 | | 1 | | 0 | | Non-U.S. residential | 1 | | — | | — | | — | | 1 | | — | |
| Commercial | Commercial | 7 | | 0 | | 4 | | 0 | | 11 | | 0 | | Commercial | 7 | | — | | 4 | | — | | 11 | | — | |
| Total mortgage-backed securities | Total mortgage-backed securities | $ | 3,596 | | $ | 30 | | $ | 302 | | $ | 22 | | $ | 3,898 | | $ | 52 | | Total mortgage-backed securities | $ | 3,596 | | $ | 30 | | $ | 302 | | $ | 22 | | $ | 3,898 | | $ | 52 | |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | | | | | | U.S. Treasury and federal agency securities | | | | | |
| U.S. Treasury | U.S. Treasury | $ | 25,031 | | $ | 49 | | $ | 0 | | $ | 0 | | $ | 25,031 | | $ | 49 | | U.S. Treasury | $ | 25,031 | | $ | 49 | | $ | — | | $ | — | | $ | 25,031 | | $ | 49 | |
| Agency obligations | Agency obligations | 50 | | 0 | | 0 | | 0 | | 50 | | 0 | | Agency obligations | 50 | | — | | — | | — | | 50 | | — | |
| Total U.S. Treasury and federal agency securities | Total U.S. Treasury and federal agency securities | $ | 25,081 | | $ | 49 | | $ | 0 | | $ | 0 | | $ | 25,081 | | $ | 49 | | Total U.S. Treasury and federal agency securities | $ | 25,081 | | $ | 49 | | $ | — | | $ | — | | $ | 25,081 | | $ | 49 | |
| State and municipal | State and municipal | $ | 836 | | $ | 34 | | $ | 893 | | $ | 123 | | $ | 1,729 | | $ | 157 | | State and municipal | $ | 836 | | $ | 34 | | $ | 893 | | $ | 123 | | $ | 1,729 | | $ | 157 | |
| Foreign government | Foreign government | 29,344 | | 61 | | 3,502 | | 61 | | 32,846 | | 122 | | Foreign government | 29,344 | | 61 | | 3,502 | | 61 | | 32,846 | | 122 | |
| Corporate | Corporate | 1,083 | | 90 | | 24 | | 1 | | 1,107 | | 91 | | Corporate | 1,083 | | 90 | | 24 | | 1 | | 1,107 | | 91 | |
| Asset-backed securities | Asset-backed securities | 194 | | 3 | | 39 | | 1 | | 233 | | 4 | | Asset-backed securities | 194 | | 3 | | 39 | | 1 | | 233 | | 4 | |
| Other debt securities | Other debt securities | 182 | | 0 | | 0 | | 0 | | 182 | | 0 | | Other debt securities | 182 | | — | | — | | — | | 182 | | — | |
| Total debt securities AFS | Total debt securities AFS | $ | 60,316 | | $ | 267 | | $ | 4,760 | | $ | 208 | | $ | 65,076 | | $ | 475 | | Total debt securities AFS | $ | 60,316 | | $ | 267 | | $ | 4,760 | | $ | 208 | | $ | 65,076 | | $ | 475 | |
The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
| | | | | June 30, 2021 | December 31, 2020 | | September 30, 2021 | December 31, 2020 |
| 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 | $ | 107 | | $ | 107 | | $ | 27 | | $ | 27 | | Due within 1 year | $ | 200 | | $ | 200 | | $ | 27 | | $ | 27 | |
| After 1 but within 5 years | After 1 but within 5 years | 315 | | 317 | | 567 | | 571 | | After 1 but within 5 years | 187 | | 188 | | 567 | | 571 | |
| After 5 but within 10 years | After 5 but within 10 years | 679 | | 732 | | 688 | | 757 | | After 5 but within 10 years | 726 | | 776 | | 688 | | 757 | |
After 10 years(2) | After 10 years(2) | 38,187 | | 38,601 | | 42,171 | | 43,184 | | After 10 years(2) | 35,410 | | 35,902 | | 42,171 | | 43,184 | |
| Total | Total | $ | 39,288 | | $ | 39,757 | | $ | 43,453 | | $ | 44,539 | | Total | $ | 36,523 | | $ | 37,066 | | $ | 43,453 | | $ | 44,539 | |
| 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 | $ | 30,179 | | $ | 30,264 | | $ | 34,834 | | $ | 34,951 | | Due within 1 year | $ | 27,539 | | $ | 27,614 | | $ | 34,834 | | $ | 34,951 | |
| After 1 but within 5 years | After 1 but within 5 years | 93,736 | | 94,589 | | 108,160 | | 110,091 | | After 1 but within 5 years | 94,520 | | 95,132 | | 108,160 | | 110,091 | |
| After 5 but within 10 years | After 5 but within 10 years | 1,309 | | 1,294 | | 1,150 | | 1,162 | | After 5 but within 10 years | 432 | | 428 | | 1,150 | | 1,162 | |
After 10 years(2) | After 10 years(2) | 0 | | 0 | | 0 | | 0 | | After 10 years(2) | — | | — | | — | | — | |
| Total | Total | $ | 125,224 | | $ | 126,147 | | $ | 144,144 | | $ | 146,204 | | Total | $ | 122,491 | | $ | 123,174 | | $ | 144,144 | | $ | 146,204 | |
| State and municipal | State and municipal | | | | State and municipal | | | |
| Due within 1 year | Due within 1 year | $ | 379 | | $ | 379 | | $ | 427 | | $ | 428 | | Due within 1 year | $ | 45 | | $ | 45 | | $ | 427 | | $ | 428 | |
| After 1 but within 5 years | After 1 but within 5 years | 92 | | 94 | | 189 | | 198 | | After 1 but within 5 years | 137 | | 140 | | 189 | | 198 | |
| After 5 but within 10 years | After 5 but within 10 years | 245 | | 250 | | 276 | | 267 | | After 5 but within 10 years | 160 | | 168 | | 276 | | 267 | |
After 10 years(2) | After 10 years(2) | 2,380 | | 2,356 | | 2,861 | | 2,826 | | After 10 years(2) | 2,368 | | 2,331 | | 2,861 | | 2,826 | |
| Total | Total | $ | 3,096 | | $ | 3,079 | | $ | 3,753 | | $ | 3,719 | | Total | $ | 2,710 | | $ | 2,684 | | $ | 3,753 | | $ | 3,719 | |
| Foreign government | Foreign government | | | | Foreign government | | | |
| Due within 1 year | Due within 1 year | $ | 48,404 | | $ | 48,458 | | $ | 48,133 | | $ | 48,258 | | Due within 1 year | $ | 47,441 | | $ | 47,492 | | $ | 48,133 | | $ | 48,258 | |
| After 1 but within 5 years | After 1 but within 5 years | 64,721 | | 64,846 | | 67,365 | | 68,586 | | After 1 but within 5 years | 65,523 | | 65,370 | | 67,365 | | 68,586 | |
| After 5 but within 10 years | After 5 but within 10 years | 4,900 | | 4,803 | | 5,908 | | 6,011 | | After 5 but within 10 years | 5,560 | | 5,514 | | 5,908 | | 6,011 | |
After 10 years(2) | After 10 years(2) | 2,097 | | 2,110 | | 2,061 | | 2,113 | | After 10 years(2) | 1,798 | | 1,818 | | 2,061 | | 2,113 | |
| Total | Total | $ | 120,122 | | $ | 120,217 | | $ | 123,467 | | $ | 124,968 | | Total | $ | 120,322 | | $ | 120,194 | | $ | 123,467 | | $ | 124,968 | |
All other(3) | All other(3) | | | | All other(3) | | | |
| Due within 1 year | Due within 1 year | $ | 6,436 | | $ | 6,435 | | $ | 6,661 | | $ | 6,665 | | Due within 1 year | $ | 6,108 | | $ | 6,112 | | $ | 6,661 | | $ | 6,665 | |
| After 1 but within 5 years | After 1 but within 5 years | 6,200 | | 6,234 | | 7,814 | | 7,891 | | After 1 but within 5 years | 5,434 | | 5,464 | | 7,814 | | 7,891 | |
| After 5 but within 10 years | After 5 but within 10 years | 1,078 | | 1,080 | | 1,018 | | 1,034 | | After 5 but within 10 years | 853 | | 846 | | 1,018 | | 1,034 | |
After 10 years(2) | After 10 years(2) | 60 | | 28 | | 99 | | 64 | | After 10 years(2) | 62 | | 33 | | 99 | | 64 | |
| Total | Total | $ | 13,774 | | $ | 13,777 | | $ | 15,592 | | $ | 15,654 | | Total | $ | 12,457 | | $ | 12,455 | | $ | 15,592 | | $ | 15,654 | |
| Total debt securities AFS | Total debt securities AFS | $ | 301,504 | | $ | 302,977 | | $ | 330,409 | | $ | 335,084 | | Total debt securities AFS | $ | 294,503 | | $ | 295,573 | | $ | 330,409 | | $ | 335,084 | |
(1)Includes mortgage-backed securities of U.S. government-sponsored agencies. The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions.
(2)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate, asset-backed and other debt securities.
Debt Securities Held-to-Maturity
The carrying value and fair value of debt securities HTM were as follows:
| | In millions of dollars | In millions of dollars | | Amortized cost, net(1) | Gross
unrealized
gains | Gross
unrealized
losses | Fair
value | In millions of dollars | | Amortized cost, net(1) | Gross
unrealized
gains | Gross
unrealized
losses | Fair
value |
| June 30, 2021 | | | | |
| September 30, 2021 | | September 30, 2021 | | | |
| Debt securities HTM | Debt securities HTM | | | | Debt securities HTM | | | |
Mortgage-backed securities(2) | Mortgage-backed securities(2) | | | | Mortgage-backed securities(2) | | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | | $ | 65,387 | | $ | 1,525 | | $ | 472 | | $ | 66,440 | | U.S. government-sponsored agency guaranteed | | $ | 67,517 | | $ | 1,490 | | $ | 533 | | $ | 68,474 | |
| | Non-U.S. residential | Non-U.S. residential | | 757 | | 1 | | 0 | | 758 | | Non-U.S. residential | | 739 | | 1 | | — | | 740 | |
| Commercial | Commercial | | 891 | | 2 | | 2 | | 891 | | Commercial | | 957 | | 3 | | 2 | | 958 | |
| Total mortgage-backed securities | Total mortgage-backed securities | | $ | 67,035 | | $ | 1,528 | | $ | 474 | | $ | 68,089 | | Total mortgage-backed securities | | $ | 69,213 | | $ | 1,494 | | $ | 535 | | $ | 70,172 | |
| U.S. Treasury securities | U.S. Treasury securities | | $ | 72,342 | | $ | 120 | | $ | 452 | | $ | 72,010 | | U.S. Treasury securities | | $ | 88,270 | | $ | 26 | | $ | 850 | | $ | 87,446 | |
State and municipal(3) | State and municipal(3) | | 9,030 | | 655 | | 9 | | 9,676 | | State and municipal(3) | | 8,952 | | 575 | | 18 | | 9,509 | |
| Foreign government | Foreign government | | 1,755 | | 25 | | 14 | | 1,766 | | Foreign government | | 1,694 | | 10 | | 16 | | 1,688 | |
Asset-backed securities(2) | Asset-backed securities(2) | | 26,580 | | 12 | | 31 | | 26,561 | | Asset-backed securities(2) | | 29,927 | | 9 | | 27 | | 29,909 | |
| | Total debt securities HTM, net | Total debt securities HTM, net | | $ | 176,742 | | $ | 2,340 | | $ | 980 | | $ | 178,102 | | Total debt securities HTM, net | | $ | 198,056 | | $ | 2,114 | | $ | 1,446 | | $ | 198,724 | |
| December 31, 2020 | December 31, 2020 | | | | December 31, 2020 | | | |
| Debt securities HTM | Debt securities HTM | | | | | Debt securities HTM | | | | |
Mortgage-backed securities(2) | Mortgage-backed securities(2) | | | | Mortgage-backed securities(2) | | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | | $ | 49,004 | | $ | 2,162 | | $ | 15 | | $ | 51,151 | | U.S. government-sponsored agency guaranteed | | $ | 49,004 | | $ | 2,162 | | $ | 15 | | $ | 51,151 | |
| | Non-U.S. residential | Non-U.S. residential | | 1,124 | | 3 | | 1 | | 1,126 | | Non-U.S. residential | | 1,124 | | 3 | | 1 | | 1,126 | |
| Commercial | Commercial | | 825 | | 1 | | 1 | | 825 | | Commercial | | 825 | | 1 | | 1 | | 825 | |
| Total mortgage-backed securities | Total mortgage-backed securities | | $ | 50,953 | | $ | 2,166 | | $ | 17 | | $ | 53,102 | | Total mortgage-backed securities | | $ | 50,953 | | $ | 2,166 | | $ | 17 | | $ | 53,102 | |
U.S. Treasury securities(4) | U.S. Treasury securities(4) | | $ | 21,293 | | $ | 4 | | $ | 55 | | $ | 21,242 | | U.S. Treasury securities(4) | | $ | 21,293 | | $ | 4 | | $ | 55 | | $ | 21,242 | |
| State and municipal | State and municipal | | 9,185 | | 755 | | 11 | | 9,929 | | State and municipal | | 9,185 | | 755 | | 11 | | 9,929 | |
| Foreign government | Foreign government | | 1,931 | | 91 | | 0 | | 2,022 | | Foreign government | | 1,931 | | 91 | | — | | 2,022 | |
Asset-backed securities(2) | Asset-backed securities(2) | | 21,581 | | 6 | | 92 | | 21,495 | | Asset-backed securities(2) | | 21,581 | | 6 | | 92 | | 21,495 | |
| Total debt securities HTM, net | Total debt securities HTM, net | | $ | 104,943 | | $ | 3,022 | | $ | 175 | | $ | 107,790 | | Total debt securities HTM, net | | $ | 104,943 | | $ | 3,022 | | $ | 175 | | $ | 107,790 | |
(1)Amortized cost is reported net of ACL of $83$73 million and $86 million at JuneSeptember 30, 2021 and December 31, 2020, respectively.
(2)The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.
(3)In February 2021, 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, Citibankthe Company 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:
| | | | | June 30, 2021 | December 31, 2020 | | September 30, 2021 | December 31, 2020 |
| In millions of dollars | In millions of dollars | Amortized cost(1) | Fair value | Amortized cost(1) | Fair value | In millions of dollars | Amortized cost(1) | Fair value | Amortized cost(1) | Fair value |
| Mortgage-backed securities | Mortgage-backed securities | | | | Mortgage-backed securities | | | |
| Due within 1 year | Due within 1 year | $ | 307 | | $ | 304 | | $ | 81 | | $ | 81 | | Due within 1 year | $ | 160 | | $ | 160 | | $ | 81 | | $ | 81 | |
| After 1 but within 5 years | After 1 but within 5 years | 855 | | 919 | | 463 | | 477 | | After 1 but within 5 years | 737 | | 792 | | 463 | | 477 | |
| After 5 but within 10 years | After 5 but within 10 years | 1,571 | | 1,676 | | 1,699 | | 1,873 | | After 5 but within 10 years | 1,637 | | 1,736 | | 1,699 | | 1,873 | |
After 10 years(2) | After 10 years(2) | 64,302 | | 65,190 | | 48,710 | | 50,671 | | After 10 years(2) | 66,679 | | 67,484 | | 48,710 | | 50,671 | |
| Total | Total | $ | 67,035 | | $ | 68,089 | | $ | 50,953 | | $ | 53,102 | | Total | $ | 69,213 | | $ | 70,172 | | $ | 50,953 | | $ | 53,102 | |
| U.S. Treasury securities | U.S. Treasury securities | | | | U.S. Treasury securities | | | |
| Due within 1 year | Due within 1 year | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Due within 1 year | $ | — | | $ | — | | $ | — | | $ | — | |
| After 1 but within 5 years | After 1 but within 5 years | 32,125 | | 31,742 | | 18,955 | | 19,127 | | After 1 but within 5 years | 42,783 | | 42,287 | | 18,955 | | 19,127 | |
| After 5 but within 10 years | After 5 but within 10 years | 40,217 | | 40,268 | | 2,338 | | 2,115 | | After 5 but within 10 years | 45,487 | | 45,159 | | 2,338 | | 2,115 | |
After 10 years(2) | After 10 years(2) | 0 | | 0 | | 0 | | 0 | | After 10 years(2) | — | | — | | — | | — | |
| Total | Total | $ | 72,342 | | $ | 72,010 | | $ | 21,293 | | $ | 21,242 | | Total | $ | 88,270 | | $ | 87,446 | | $ | 21,293 | | $ | 21,242 | |
| State and municipal | State and municipal | | | | State and municipal | | | |
| Due within 1 year | Due within 1 year | $ | 11 | | $ | 11 | | $ | 6 | | $ | 6 | | Due within 1 year | $ | 54 | | $ | 54 | | $ | 6 | | $ | 6 | |
| After 1 but within 5 years | After 1 but within 5 years | 193 | | 197 | | 139 | | 142 | | After 1 but within 5 years | 168 | | 172 | | 139 | | 142 | |
| After 5 but within 10 years | After 5 but within 10 years | 742 | | 785 | | 818 | | 869 | | After 5 but within 10 years | 838 | | 881 | | 818 | | 869 | |
After 10 years(2) | After 10 years(2) | 8,084 | | 8,683 | | 8,222 | | 8,912 | | After 10 years(2) | 7,892 | | 8,402 | | 8,222 | | 8,912 | |
| Total | Total | $ | 9,030 | | $ | 9,676 | | $ | 9,185 | | $ | 9,929 | | Total | $ | 8,952 | | $ | 9,509 | | $ | 9,185 | | $ | 9,929 | |
| Foreign government | Foreign government | | | | Foreign government | | | |
| Due within 1 year | Due within 1 year | $ | 344 | | $ | 347 | | $ | 361 | | $ | 360 | | Due within 1 year | $ | 334 | | $ | 335 | | $ | 361 | | $ | 360 | |
| After 1 but within 5 years | After 1 but within 5 years | 1,411 | | 1,419 | | 1,570 | | 1,662 | | After 1 but within 5 years | 1,360 | | 1,353 | | 1,570 | | 1,662 | |
| After 5 but within 10 years | After 5 but within 10 years | 0 | | 0 | | 0 | | 0 | | After 5 but within 10 years | — | | — | | — | | — | |
After 10 years(2) | After 10 years(2) | 0 | | 0 | | 0 | | 0 | | After 10 years(2) | — | | — | | — | | — | |
| Total | Total | $ | 1,755 | | $ | 1,766 | | $ | 1,931 | | $ | 2,022 | | Total | $ | 1,694 | | $ | 1,688 | | $ | 1,931 | | $ | 2,022 | |
All other(3) | All other(3) | | | | All other(3) | | | |
| Due within 1 year | Due within 1 year | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Due within 1 year | $ | — | | $ | — | | $ | — | | $ | — | |
| After 1 but within 5 years | After 1 but within 5 years | 0 | | 0 | | 0 | | 0 | | After 1 but within 5 years | — | | — | | — | | — | |
| After 5 but within 10 years | After 5 but within 10 years | 10,452 | | 10,449 | | 11,795 | | 15,020 | | After 5 but within 10 years | 11,299 | | 11,297 | | 11,795 | | 15,020 | |
After 10 years(2) | After 10 years(2) | 16,128 | | 16,112 | | 9,786 | | 6,475 | | After 10 years(2) | 18,628 | | 18,612 | | 9,786 | | 6,475 | |
| Total | Total | $ | 26,580 | | $ | 26,561 | | $ | 21,581 | | $ | 21,495 | | Total | $ | 29,927 | | $ | 29,909 | | $ | 21,581 | | $ | 21,495 | |
| Total debt securities HTM | Total debt securities HTM | $ | 176,742 | | $ | 178,102 | | $ | 104,943 | | $ | 107,790 | | Total debt securities HTM | $ | 198,056 | | $ | 198,724 | | $ | 104,943 | | $ | 107,790 | |
(1)Amortized cost is reported net of ACL of $83$73 million and $86 million at JuneSeptember 30, 2021 and December 31, 2020, respectively.
(2)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate and asset-backed securities.
HTM Debt Securities Delinquency and Non-Accrual Details
Citi did not have any HTM securities that were delinquent or on non-accrual status at JuneSeptember 30, 2021 and December 31, 2020.
There were no purchased credit-deteriorated HTM debt securities held by the Company as of JuneSeptember 30, 2021 and December 31, 2020.
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 Citi’s 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 JuneSeptember 30, 2021.
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:
•the cause of the impairment and the financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer;
•the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and
•the length of time and extent to which fair value has been less than the carrying value.
Recognition and Measurement of Impairment
The following tables present total impairment on Investments recognized in earnings:
| | | Three Months Ended
June 30, 2021 | Three Months Ended
June 30, 2020 | | Three Months Ended
September 30, 2021 | Three Months Ended
September 30, 2020 |
| In millions of dollars | In millions of dollars | AFS | Other
assets | Total | AFS | | Other assets | Total | 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: | Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | 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 | Total impairment losses recognized during the period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | | Total impairment losses recognized during the period | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | |
Less: portion of impairment loss recognized in AOCI (before taxes) | Less: portion of impairment loss recognized in AOCI (before taxes) | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | 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 | 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 | | 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 | Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise | 9 | | 0 | | 9 | | 19 | | | 0 | | 19 | | 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 | 21 | | — | | 21 | | 30 | | | — | | 30 | |
| Total impairment losses recognized in earnings | Total impairment losses recognized in earnings | $ | 9 | | $ | 0 | | $ | 9 | | $ | 19 | | | $ | 0 | | $ | 19 | | Total impairment losses recognized in earnings | $ | 21 | | $ | — | | $ | 21 | | $ | 30 | | | $ | — | | $ | 30 | |
| | | Six Months Ended
June 30, 2021 | Six Months Ended
June 30, 2020 | | Nine Months Ended
September 30, 2021 | Nine Months Ended
September 30, 2020 |
| In millions of dollars | In millions of dollars | AFS | Other
assets | Total | AFS | | Other assets | Total | 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: | Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | 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 | Total impairment losses recognized during the period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | | Total impairment losses recognized during the period | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | |
Less: portion of impairment loss recognized in AOCI (before taxes) | Less: portion of impairment loss recognized in AOCI (before taxes) | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | 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 | 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 | | 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 | Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise | 78 | | 0 | | 78 | | 71 | | | 0 | | 71 | | 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 | 99 | | — | | 99 | | 101 | | | — | | 101 | |
| Total impairment losses recognized in earnings | Total impairment losses recognized in earnings | $ | 78 | | $ | 0 | | $ | 78 | | $ | 71 | | | $ | 0 | | $ | 71 | | Total impairment losses recognized in earnings | $ | 99 | | $ | — | | $ | 99 | | $ | 101 | | | $ | — | | $ | 101 | |
Allowance for Credit Losses on AFS Debt Securities
| | | Three Months Ended June 30, 2021 | | Three Months Ended September 30, 2021 |
| In millions of dollars | In millions of dollars | Mortgage-backed | U.S. Treasury and federal agency | State and municipal | Foreign government | | Corporate | Total AFS | In millions of dollars | Mortgage-backed | U.S. Treasury and federal agency | State and municipal | Foreign government | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | Allowance for credit losses at beginning of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 5 | | $ | 5 | | Allowance for credit losses at beginning of period | $ | — | | $ | — | | $ | — | | $ | — | | | $ | 5 | | $ | 5 | |
| Less: Write-offs | Less: Write-offs | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Less: Write-offs | — | | — | | — | | — | | | — | | — | |
| Recoveries of amounts written-off | Recoveries of amounts written-off | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Recoveries of amounts written-off | — | | — | | — | | — | | | — | | — | |
| Net credit losses (NCLs) | Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | | Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | |
| NCLs | NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | | NCLs | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | |
| Credit losses on securities without previous credit losses | Credit losses on securities without previous credit losses | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Credit losses on securities without previous credit losses | — | | — | | — | | — | | | 1 | | 1 | |
| Net reserve builds (releases) on securities with previous credit losses | Net reserve builds (releases) on securities with previous credit losses | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Net reserve builds (releases) on securities with previous credit losses | — | | — | | — | | — | | | — | | — | |
| | Total provision for credit losses | Total provision for credit losses | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | | Total provision for credit losses | $ | — | | $ | — | | $ | — | | $ | — | | | $ | 1 | | $ | 1 | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | Initial allowance on newly purchased credit-deteriorated securities during the period | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Initial allowance on newly purchased credit-deteriorated securities during the period | — | | — | | — | | — | | | — | | — | |
| Allowance for credit losses at end of period | Allowance for credit losses at end of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 5 | | $ | 5 | | Allowance for credit losses at end of period | $ | — | | $ | — | | $ | — | | $ | — | | | $ | 6 | | $ | 6 | |
| |
| | | Six Months Ended June 30, 2021 | | Nine Months Ended September 30, 2021 |
| In millions of dollars | In millions of dollars | Mortgage-backed | U.S. Treasury and federal agency | State and municipal | Foreign government | | Corporate | Total AFS | In millions of dollars | Mortgage-backed | U.S. Treasury and federal agency | State and municipal | Foreign government | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | Allowance for credit losses at beginning of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 5 | | $ | 5 | | Allowance for credit losses at beginning of period | $ | — | | $ | — | | $ | — | | $ | — | | | $ | 5 | | $ | 5 | |
| Less: Write-offs | Less: Write-offs | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Less: Write-offs | — | | — | | — | | — | | | — | | — | |
| Recoveries of amounts written-off | Recoveries of amounts written-off | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Recoveries of amounts written-off | — | | — | | — | | — | | | — | | — | |
| Net credit losses (NCLs) | Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | | Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | |
| NCLs | NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | | NCLs | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | |
| Credit losses on securities without previous credit losses | Credit losses on securities without previous credit losses | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Credit losses on securities without previous credit losses | — | | — | | — | | — | | | 1 | | 1 | |
| Net reserve builds (releases) on securities with previous credit losses | Net reserve builds (releases) on securities with previous credit losses | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Net reserve builds (releases) on securities with previous credit losses | — | | — | | — | | — | | | — | | — | |
| | Total provision for credit losses | Total provision for credit losses | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | | Total provision for credit losses | $ | — | | $ | — | | $ | — | | $ | — | | | $ | 1 | | $ | 1 | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | Initial allowance on newly purchased credit-deteriorated securities during the period | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Initial allowance on newly purchased credit-deteriorated securities during the period | — | | — | | — | | — | | | — | | — | |
| Allowance for credit losses at end of period | Allowance for credit losses at end of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 5 | | $ | 5 | | Allowance for credit losses at end of period | $ | — | | $ | — | | $ | — | | $ | — | | | $ | 6 | | $ | 6 | |
| |
| | | Three Months Ended June 30, 2020 | | Three Months Ended September 30, 2020 |
| In millions of dollars | In millions of dollars | Mortgage-backed | U.S. Treasury and federal agency | State and municipal | Foreign government | | Corporate | Total AFS | In millions of dollars | Mortgage-backed | U.S. Treasury and federal agency | State and municipal | Foreign government | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | Allowance for credit losses at beginning of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | | Allowance for credit losses at beginning of period | $ | — | | $ | — | | $ | — | | $ | 3 | | | $ | 5 | | $ | 8 | |
| Less: Write-offs | Less: Write-offs | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Less: Write-offs | — | | — | | — | | — | | | — | | — | |
| Recoveries of amounts written-off | Recoveries of amounts written-off | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Recoveries of amounts written-off | — | | — | | — | | — | | | 1 | | 1 | |
| Net credit losses (NCLs) | Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | | Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | | $ | 1 | | $ | 1 | |
| NCLs | NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | | NCLs | $ | — | | $ | — | | $ | — | | $ | — | | | $ | (1) | | $ | (1) | |
| Credit losses on securities without previous credit losses | Credit losses on securities without previous credit losses | 0 | | 0 | | 0 | | 3 | | | 5 | | 8 | | Credit losses on securities without previous credit losses | — | | — | | — | | — | | | — | | — | |
| Net reserve builds (releases) on securities with previous credit losses | Net reserve builds (releases) on securities with previous credit losses | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Net reserve builds (releases) on securities with previous credit losses | — | | — | | — | | (3) | | | — | | (3) | |
| | Total provision for credit losses | Total provision for credit losses | $ | 0 | | $ | 0 | | $ | 0 | | $ | 3 | | | $ | 5 | | $ | 8 | | Total provision for credit losses | $ | — | | $ | — | | $ | — | | $ | (3) | | | $ | (1) | | $ | (4) | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | Initial allowance on newly purchased credit-deteriorated securities during the period | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Initial allowance on newly purchased credit-deteriorated securities during the period | — | | — | | — | | — | | | — | | — | |
| Allowance for credit losses at end of period | Allowance for credit losses at end of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 3 | | | $ | 5 | | $ | 8 | | Allowance for credit losses at end of period | $ | — | | $ | — | | $ | — | | $ | — | | | $ | 5 | | $ | 5 | |
| |
| | | Six Months Ended June 30, 2020 | | Nine Months Ended September 30, 2020 |
| In millions of dollars | In millions of dollars | Mortgage-backed | U.S. Treasury and federal agency | State and municipal | Foreign government | | Corporate | Total AFS | In millions of dollars | Mortgage-backed | U.S. Treasury and federal agency | State and municipal | Foreign government | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | Allowance for credit losses at beginning of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | | Allowance for credit losses at beginning of period | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | |
| Less: Write-offs | Less: Write-offs | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Less: Write-offs | — | | — | | — | | — | | | — | | — | |
| Recoveries of amounts written-off | Recoveries of amounts written-off | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Recoveries of amounts written-off | — | | — | | — | | — | | | 1 | | 1 | |
| Net credit losses (NCLs) | Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | | Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | | $ | 1 | | $ | 1 | |
| NCLs | NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | $ | 0 | | $ | 0 | | NCLs | $ | — | | $ | — | | $ | — | | $ | — | | | $ | (1) | | $ | (1) | |
| Credit losses on securities without previous credit losses | Credit losses on securities without previous credit losses | 0 | | 0 | | 0 | | 3 | | | 5 | | 8 | | Credit losses on securities without previous credit losses | — | | — | | — | | 3 | | | 5 | | 8 | |
| Net reserve builds (releases) on securities with previous credit losses | Net reserve builds (releases) on securities with previous credit losses | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Net reserve builds (releases) on securities with previous credit losses | — | | — | | — | | (3) | | | — | | (3) | |
| | Total provision for credit losses | Total provision for credit losses | $ | 0 | | $ | 0 | | $ | 0 | | $ | 3 | | | $ | 5 | | $ | 8 | | Total provision for credit losses | $ | — | | $ | — | | $ | — | | $ | — | | | $ | 4 | | $ | 4 | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | Initial allowance on newly purchased credit-deteriorated securities during the period | 0 | | 0 | | 0 | | 0 | | | 0 | | 0 | | Initial allowance on newly purchased credit-deteriorated securities during the period | — | | — | | — | | — | | | — | | — | |
| Allowance for credit losses at end of period | Allowance for credit losses at end of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 3 | | | $ | 5 | | $ | 8 | | Allowance for credit losses at end of period | $ | — | | $ | — | | $ | — | | $ | — | | | $ | 5 | | $ | 5 | |
| |
Non-Marketable Equity Securities Not Carried at Fair Value
Non-marketable equity securities are required to be measured at fair value with changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost.
The election to measure a non-marketable equity security using the measurement alternative is made on an instrument-by-instrument basis. Under the measurement alternative, an equity security is carried at cost plus or minus changes resulting from observable prices in orderly transactions for the identical or a similar investment of the same issuer. The carrying value of the equity security is adjusted to fair value on the date of an observed transaction. Fair value may differ from the observed transaction price due to a number of factors, including marketability adjustments and differences in rights and obligations when the observed transaction is not for the identical investment held by Citi.
Equity securities under the measurement alternative are also assessed for impairment. On a quarterly basis, management qualitatively assesses whether each equity security under the measurement alternative is impaired. Impairment indicators that are considered include, but are not limited to, the following:
•a significant deterioration in the earnings performance, credit rating, asset quality or business prospects of the investee;
•a significant adverse change in the regulatory, economic or technological environment of the investee;
•a significant adverse change in the general market condition of either the geographical area or the industry in which the investee operates;
•a bona fide offer to purchase, an offer by the investee to sell or a completed auction process for the same or similar investment for an amount less than the carrying amount of that investment; and
•factors that raise significant concerns about the investee’s ability to continue as a going concern, such as negative cash flows from operations, working capital deficiencies or noncompliance with statutory capital requirements or debt covenants.
When the qualitative assessment indicates that impairment exists, the investment is written down to fair value, with the full difference between the fair value of the investment and its carrying amount recognized in earnings.
Below is the carrying value of non-marketable equity securities measured using the measurement alternative at JuneSeptember 30, 2021 and December 31, 2020:
| | | | | | | | |
| In millions of dollars | June 30, 2021 | December 31, 2020 |
| Measurement alternative: | | |
| Carrying value | $ | 1,381 | | $ | 962 | |
| | | | | | | | |
| In millions of dollars | September 30, 2021 | December 31, 2020 |
| Measurement alternative: | | |
| Carrying value | $ | 1,392 | | $ | 962 | |
Below are amounts recognized in earnings and life-to-date amounts for non-marketable equity securities measured using the measurement alternative:
| | | | | | | | | | | | | | |
| Three Months Ended
June 30, | Six Months
Ended
June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
Measurement alternative:(1) | | | | |
| Impairment losses | $ | 4 | | $ | 50 | | $ | 4 | | $ | 53 | |
| Downward changes for observable prices | 0 | | 19 | | 0 | | 19 | |
| Upward changes for observable prices | 215 | | 17 | | 296 | | 42 | |
| | | | | | | | | | | | | | |
| Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
Measurement alternative:(1) | | | | |
| Impairment losses | $ | 9 | | $ | 2 | | $ | 13 | | $ | 55 | |
| Downward changes for observable prices | — | | — | | — | | 19 | |
| Upward changes for observable prices | 86 | | 40 | | 382 | | 82 | |
(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 | JuneSeptember 30, 2021 |
| Measurement alternative: | |
| Impairment losses | $ | 7376 | |
| Downward changes for observable prices | 53 | |
| Upward changes for observable prices | 783861 | |
A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three and sixnine months ended JuneSeptember 30, 2021 and 2020, 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.
| | | Fair value | Unfunded
commitments | Redemption frequency
(if currently eligible)
monthly, quarterly, annually | Redemption
notice
period | | Fair value | Unfunded
commitments | Redemption frequency
(if currently eligible)
monthly, quarterly, annually | Redemption
notice
period |
| In millions of dollars | In millions of dollars | June 30,
2021 | December 31, 2020 | June 30,
2021 | December 31, 2020 | | In millions of dollars | September 30,
2021 | December 31, 2020 | September 30,
2021 | December 31, 2020 | |
| Private equity funds(1)(2) | Private equity funds(1)(2) | $ | 124 | | $ | 123 | | $ | 60 | | $ | 62 | | — | Private equity funds(1)(2) | $ | 123 | | $ | 123 | | $ | 60 | | $ | 62 | | — |
Real estate funds(2)(3) | Real estate funds(2)(3) | 2 | | 9 | | 3 | | 20 | | — | Real estate funds(2)(3) | 2 | | 9 | | 1 | | 20 | | — |
| Mutual/collective investment funds | Mutual/collective investment funds | 21 | | 20 | | 0 | | 0 | | — | Mutual/collective investment funds | 20 | | 20 | | — | | — | | — |
| Total | Total | $ | 147 | | $ | 152 | | $ | 63 | | $ | 82 | | — | Total | $ | 145 | | $ | 152 | | $ | 61 | | $ | 82 | | — |
(1)Private equity funds include funds that invest in infrastructure, emerging markets and venture capital.
(2)With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld.
(3)Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia.
13. LOANS
Citigroup loans are reported in 2 categories: consumer and corporate. These categories are classified primarily according to the segment and subsegment that manage the loans. For additional information regarding Citi’s consumer and corporate loans, including related accounting policies, see Note 1 to the Consolidated Financial Statements and Notes 1 and 14 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
Consumer Loans
Consumer loans represent loans and leases managed primarily by GCB and Corporate/Other.
Consumer Loans, Delinquencies and Non-Accrual Status at JuneSeptember 30, 2021
| | In millions of dollars | 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 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) | In North America offices(6) | | | | | In North America offices(6) | | | | |
Residential first mortgages(7) | Residential first mortgages(7) | $ | 43,811 | | $ | 315 | | $ | 307 | | $ | 402 | | $ | 44,835 | | $ | 133 | | $ | 407 | | $ | 540 | | $ | 257 | | Residential first mortgages(7) | $ | 43,388 | | $ | 289 | | $ | 275 | | $ | 393 | | $ | 44,345 | | $ | 133 | | $ | 347 | | $ | 480 | | $ | 267 | |
Home equity loans(8)(9) | Home equity loans(8)(9) | 5,937 | | 51 | | 180 | | 0 | | 6,168 | | 68 | | 253 | | 321 | | 0 | | Home equity loans(8)(9) | 5,276 | | 48 | | 161 | | — | | 5,485 | | 65 | | 210 | | 275 | | — | |
| Credit cards | Credit cards | 123,133 | | 770 | | 920 | | 0 | | 124,823 | | 0 | | 0 | | 0 | | 920 | | Credit cards | 123,897 | | 846 | | 783 | | — | | 125,526 | | — | | — | | — | | 783 | |
| Personal, small business and other | Personal, small business and other | 3,655 | | 13 | | 8 | | 0 | | 3,676 | | 0 | | 18 | | 18 | | 0 | | Personal, small business and other | 3,150 | | 12 | | 6 | | 11 | | 3,179 | | — | | 17 | | 17 | | — | |
| Total | Total | $ | 176,536 | | $ | 1,149 | | $ | 1,415 | | $ | 402 | | $ | 179,502 | | $ | 201 | | $ | 678 | | $ | 879 | | $ | 1,177 | | Total | $ | 175,711 | | $ | 1,195 | | $ | 1,225 | | $ | 404 | | $ | 178,535 | | $ | 198 | | $ | 574 | | $ | 772 | | $ | 1,050 | |
In offices outside North America(6) | In offices outside North America(6) | | | | | | | In offices outside North America(6) | | | | | | |
Residential first mortgages(7) | Residential first mortgages(7) | $ | 39,964 | | $ | 184 | | $ | 196 | | $ | 0 | | $ | 40,344 | | $ | 0 | | $ | 476 | | $ | 476 | | $ | 0 | | Residential first mortgages(7) | $ | 33,993 | | $ | 177 | | $ | 169 | | $ | — | | $ | 34,339 | | $ | — | | $ | 419 | | $ | 419 | | $ | — | |
| Credit cards | Credit cards | 20,162 | | 304 | | 310 | | 0 | | 20,776 | | 0 | | 233 | | 233 | | 232 | | Credit cards | 17,304 | | 233 | | 226 | | — | | 17,763 | | — | | 187 | | 187 | | 146 | |
| Personal, small business and other | Personal, small business and other | 34,910 | | 235 | | 128 | | — | | 35,273 | | 0 | | 218 | | 218 | | 0 | | Personal, small business and other | 33,362 | | 162 | | 89 | | — | | 33,613 | | — | | 211 | | 211 | | 26 | |
| Total | Total | $ | 95,036 | | $ | 723 | | $ | 634 | | $ | 0 | | $ | 96,393 | | $ | 0 | | $ | 927 | | $ | 927 | | $ | 232 | | Total | $ | 84,659 | | $ | 572 | | $ | 484 | | $ | — | | $ | 85,715 | | $ | — | | $ | 817 | | $ | 817 | | $ | 172 | |
Total Citigroup(10) | Total Citigroup(10) | $ | 271,572 | | $ | 1,872 | | $ | 2,049 | | $ | 402 | | $ | 275,895 | | $ | 201 | | $ | 1,605 | | $ | 1,806 | | $ | 1,409 | | Total Citigroup(10) | $ | 260,370 | | $ | 1,767 | | $ | 1,709 | | $ | 404 | | $ | 264,250 | | $ | 198 | | $ | 1,391 | | $ | 1,589 | | $ | 1,222 | |
(1)Loans less than 30 days past due are presented as current.
(2)Includes $14$13 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 mortgagesloans that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and 90 days or more past due of $0.3 billion.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(8)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Consumer loans are net of unearned income of $676$650 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 | In millions of dollars | Three Months Ended June 30, 2021 | Three Months Ended June 30, 2020 | Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 | In millions of dollars | Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 |
In North America offices(1) | In North America offices(1) | | | | In North America offices(1) | | | |
| Residential first mortgages | Residential first mortgages | $ | 3 | | $ | 4 | | $ | 6 | | $ | 7 | | Residential first mortgages | $ | 3 | | $ | 4 | | $ | 9 | | $ | 11 | |
| Home equity loans | Home equity loans | 2 | | 2 | | 4 | | 4 | | Home equity loans | 2 | | 2 | | 6 | | 6 | |
| Credit cards | Credit cards | 0 | | 0 | | 0 | | 0 | | Credit cards | — | | — | | — | | — | |
| Personal, small business and other | Personal, small business and other | 0 | | 0 | | 0 | | 0 | | Personal, small business and other | — | | — | | — | | — | |
| Total | Total | $ | 5 | | $ | 6 | | $ | 10 | | $ | 11 | | Total | $ | 5 | | $ | 6 | | $ | 15 | | $ | 17 | |
In offices outside North America(1) | In offices outside North America(1) | | | | In offices outside North America(1) | | | |
| Residential first mortgages | Residential first mortgages | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Residential first mortgages | $ | — | | $ | — | | $ | — | | $ | — | |
| Credit cards | Credit cards | 0 | | 0 | | 0 | | 0 | | Credit cards | — | | — | | — | | — | |
| Personal, small business and other | Personal, small business and other | 0 | | 0 | | 0 | | 0 | | Personal, small business and other | — | | — | | — | | — | |
| Total | Total | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Total | $ | — | | $ | — | | $ | — | | $ | — | |
| Total Citigroup | Total Citigroup | $ | 5 | | $ | 6 | | $ | 10 | | $ | 11 | | Total Citigroup | $ | 5 | | $ | 6 | | $ | 15 | | $ | 17 | |
(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 | 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 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) | In North America offices(6) | | | | | In North America offices(6) | | | | |
Residential first mortgages(7) | Residential first mortgages(7) | $ | 46,471 | | $ | 402 | | $ | 381 | | $ | 524 | | $ | 47,778 | | $ | 136 | | $ | 509 | | $ | 645 | | $ | 332 | | Residential first mortgages(7) | $ | 46,471 | | $ | 402 | | $ | 381 | | $ | 524 | | $ | 47,778 | | $ | 136 | | $ | 509 | | $ | 645 | | $ | 332 | |
Home equity loans(8)(9) | Home equity loans(8)(9) | 6,829 | | 78 | | 221 | | 0 | | 7,128 | | 72 | | 307 | | 379 | | 0 | | Home equity loans(8)(9) | 6,829 | | 78 | | 221 | | — | | 7,128 | | 72 | | 307 | | 379 | | — | |
| Credit cards | Credit cards | 127,827 | | 1,228 | | 1,330 | | 0 | | 130,385 | | 0 | | 0 | | 0 | | 1,330 | | Credit cards | 127,827 | | 1,228 | | 1,330 | | — | | 130,385 | | — | | — | | — | | 1,330 | |
| Personal, small business and other | Personal, small business and other | 4,472 | | 27 | | 10 | | 0 | | 4,509 | | 2 | | 33 | | 35 | | 0 | | Personal, small business and other | 4,472 | | 27 | | 10 | | — | | 4,509 | | 2 | | 33 | | 35 | | — | |
| Total | Total | $ | 185,599 | | $ | 1,735 | | $ | 1,942 | | $ | 524 | | $ | 189,800 | | $ | 210 | | $ | 849 | | $ | 1,059 | | $ | 1,662 | | Total | $ | 185,599 | | $ | 1,735 | | $ | 1,942 | | $ | 524 | | $ | 189,800 | | $ | 210 | | $ | 849 | | $ | 1,059 | | $ | 1,662 | |
In offices outside North America(6) | In offices outside North America(6) | | | | | In offices outside North America(6) | | | | |
Residential first mortgages(7) | Residential first mortgages(7) | $ | 39,557 | | $ | 213 | | $ | 199 | | $ | 0 | | $ | 39,969 | | $ | 0 | | $ | 486 | | $ | 486 | | $ | 0 | | Residential first mortgages(7) | $ | 39,557 | | $ | 213 | | $ | 199 | | $ | — | | $ | 39,969 | | $ | — | | $ | 486 | | $ | 486 | | $ | — | |
| Credit cards | Credit cards | 21,718 | | 429 | | 545 | | 0 | | 22,692 | | 0 | | 384 | | 384 | | 376 | | Credit cards | 21,718 | | 429 | | 545 | | — | | 22,692 | | — | | 384 | | 384 | | 324 | |
| Personal, small business and other | Personal, small business and other | 35,925 | | 319 | | 134 | | 0 | | 36,378 | | 0 | | 212 | | 212 | | 0 | | Personal, small business and other | 35,925 | | 319 | | 134 | | — | | 36,378 | | — | | 212 | | 212 | | 52 | |
| Total | Total | $ | 97,200 | | $ | 961 | | $ | 878 | | $ | 0 | | $ | 99,039 | | $ | 0 | | $ | 1,082 | | $ | 1,082 | | $ | 376 | | Total | $ | 97,200 | | $ | 961 | | $ | 878 | | $ | — | | $ | 99,039 | | $ | — | | $ | 1,082 | | $ | 1,082 | | $ | 376 | |
Total Citigroup(10) | Total Citigroup(10) | $ | 282,799 | | $ | 2,696 | | $ | 2,820 | | $ | 524 | | $ | 288,839 | | $ | 210 | | $ | 1,931 | | $ | 2,141 | | $ | 2,038 | | Total Citigroup(10) | $ | 282,799 | | $ | 2,696 | | $ | 2,820 | | $ | 524 | | $ | 288,839 | | $ | 210 | | $ | 1,931 | | $ | 2,141 | | $ | 2,038 | |
(1)Loans less than 30 days past due are presented as current.
(2)Includes $14 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies.
(4)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification, and thus almost all would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer).
(5)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.2 billion and 90 days or more past due of $0.3 billion.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(8)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Consumer loans are net of unearned income of $749 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
During the three and sixnine months ended JuneSeptember 30, 2021, the Company sold and/or reclassified to HFS $95$346 million and $191$1,178 million of consumer loans, respectively. During the three and sixnine months ended JuneSeptember 30, 2020, the Company sold and/or reclassified to HFS $12$386 million and $36$422 million of consumer loans, respectively. Loans held by a business for sale are not included in the above. For additional information regarding Citigroup’s business for sale, see Note 2.
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) | June 30, 2021 |
| In millions of dollars | Less than
680 | 680
to 760 | Greater
than 760 | FICO not available | Total loans |
| Residential first mortgages | | | | | |
| 2021 | $ | 40 | | $ | 1,465 | | $ | 3,637 | | | |
| 2020 | 213 | | 3,175 | | 8,605 | | | |
| 2019 | 127 | | 1,527 | | 4,063 | | | |
| 2018 | 208 | | 533 | | 919 | | | |
| 2017 | 257 | | 697 | | 1,403 | | | |
| Prior | 1,707 | | 4,593 | | 9,816 | | | |
| Total residential first mortgages | $ | 2,552 | | $ | 11,990 | | $ | 28,443 | | $ | 1,850 | | $ | 44,835 | |
Credit cards(3) | $ | 21,014 | | $ | 50,253 | | $ | 50,827 | | $ | 2,201 | | $ | 124,295 | |
| | | | | |
| Home equity loans (pre-reset) | $ | 237 | | $ | 932 | | $ | 1,470 | | | |
| Home equity loans (post-reset) | 846 | | 1,347 | | 1,327 | | | |
| Total home equity loans | $ | 1,083 | | $ | 2,279 | | $ | 2,797 | | $ | 9 | | $ | 6,168 | |
| Personal, small business and other | | | | | |
| 2021 | $ | 8 | | $ | 35 | | $ | 68 | | | |
| 2020 | 24 | | 56 | | 95 | | | |
| 2019 | 55 | | 77 | | 99 | | | |
| 2018 | 51 | | 55 | | 58 | | | |
| 2017 | 14 | | 16 | | 18 | | | |
| Prior | 122 | | 177 | | 142 | | | |
| Total personal, small business and other | $ | 274 | | $ | 416 | | $ | 480 | | $ | 2,506 | | $ | 3,676 | |
| Total | $ | 24,923 | | $ | 64,938 | | $ | 82,547 | | $ | 6,566 | | $ | 178,974 | |
| | | | | | | | | | | | | | | | | |
FICO score distribution in U.S. portfolio(1)(2) | September 30, 2021 |
| In millions of dollars | Less than
680 | 680
to 760 | Greater
than 760 | FICO not available | Total loans |
| Residential first mortgages | | | | | |
| 2021 | $ | 132 | | $ | 2,555 | | $ | 5,535 | | | |
| 2020 | 180 | | 2,949 | | 8,046 | | | |
| 2019 | 133 | | 1,369 | | 3,499 | | | |
| 2018 | 207 | | 468 | | 820 | | | |
| 2017 | 249 | | 646 | | 1,272 | | | |
| Prior | 1,602 | | 4,164 | | 8,755 | | | |
| Total residential first mortgages | $ | 2,503 | | $ | 12,151 | | $ | 27,927 | | $ | 1,764 | | $ | 44,345 | |
| Home equity loans (pre-reset) | $ | 228 | | $ | 877 | | $ | 1,399 | | | |
| Home equity loans (post-reset) | 678 | | 1,097 | | 1,176 | | | |
| Total home equity loans | $ | 906 | | $ | 1,974 | | $ | 2,575 | | $ | 30 | | $ | 5,485 | |
Credit cards(3) | $ | 21,579 | | $ | 50,734 | | $ | 50,451 | | $ | 2,237 | | $ | 125,001 | |
| | | | | |
| Personal, small business and other | | | | | |
| 2021 | $ | 19 | | $ | 63 | | $ | 114 | | | |
| 2020 | 23 | | 50 | | 77 | | | |
| 2019 | 48 | | 65 | | 82 | | | |
| 2018 | 41 | | 45 | | 47 | | | |
| 2017 | 11 | | 12 | | 13 | | | |
| Prior | 120 | | 176 | | 141 | | | |
| Total personal, small business and other | $ | 262 | | $ | 411 | | $ | 474 | | $ | 2,032 | | $ | 3,179 | |
| Total | $ | 25,250 | | $ | 65,270 | | $ | 81,427 | | $ | 6,063 | | $ | 178,010 | |
| FICO score distribution in U.S. portfolio(1)(2) | FICO score distribution in U.S. portfolio(1)(2) | December 31, 2020 | FICO score distribution in U.S. portfolio(1)(2) | December 31, 2020 |
| In millions of dollars | In millions of dollars | Less than
680 | 680
to 760 | Greater
than 760 | FICO not available | Total
loans | In millions of dollars | Less than
680 | 680
to 760 | Greater
than 760 | FICO not available | Total
loans |
| Residential first mortgages | Residential first mortgages | | Residential first mortgages | |
| 2020 | 2020 | $ | 187 | | $ | 3,741 | | $ | 9,052 | | | 2020 | $ | 187 | | $ | 3,741 | | $ | 9,052 | | |
| 2019 | 2019 | 150 | 1,857 | 5,384 | | 2019 | 150 | 1,857 | 5,384 | |
| 2018 | 2018 | 246 | 655 | 1,227 | | 2018 | 246 | 655 | 1,227 | |
| 2017 | 2017 | 298 | 846 | 1,829 | | 2017 | 298 | 846 | 1,829 | |
| 2016 | 2016 | 323 | 1,368 | 3,799 | | 2016 | 323 | 1,368 | 3,799 | |
| Prior | Prior | 1,708 | 4,133 | 9,105 | | Prior | 1,708 | 4,133 | 9,105 | |
| Total residential first mortgages | Total residential first mortgages | $ | 2,912 | | $ | 12,600 | | $ | 30,396 | | $ | 1,870 | | $ | 47,778 | | 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) | Home equity loans (pre-reset) | $ | 292 | | $ | 1,014 | | $ | 1,657 | | | Home equity loans (pre-reset) | $ | 292 | | $ | 1,014 | | $ | 1,657 | | |
| Home equity loans (post-reset) | Home equity loans (post-reset) | 1,055 | | 1,569 | | 1,524 | | | Home equity loans (post-reset) | 1,055 | | 1,569 | | 1,524 | | |
| Total home equity loans | Total home equity loans | $ | 1,347 | | $ | 2,583 | | $ | 3,181 | | $ | 17 | | $ | 7,128 | | Total home equity loans | $ | 1,347 | | $ | 2,583 | | $ | 3,181 | | $ | 17 | | $ | 7,128 | |
Credit cards(3) | | Credit cards(3) | $ | 26,227 | | $ | 52,778 | | $ | 49,767 | | $ | 1,041 | | $ | 129,813 | |
| Personal, small business and other | Personal, small business and other | | Personal, small business and other | |
| 2020 | 2020 | $ | 23 | | $ | 58 | | $ | 95 | | | 2020 | $ | 23 | | $ | 58 | | $ | 95 | | |
| 2019 | 2019 | 79 | | 106 | | 134 | | | 2019 | 79 | | 106 | | 134 | | |
| 2018 | 2018 | 82 | | 80 | | 84 | | | 2018 | 82 | | 80 | | 84 | | |
| 2017 | 2017 | 26 | | 27 | | 30 | | | 2017 | 26 | | 27 | | 30 | | |
| 2016 | 2016 | 10 | | 9 | | 8 | | | 2016 | 10 | | 9 | | 8 | | |
| Prior | Prior | 214 | | 393 | | 529 | | | Prior | 214 | | 393 | | 529 | | |
| Total personal, small business and other | Total personal, small business and other | $ | 434 | | $ | 673 | | $ | 880 | | $ | 2,522 | | $ | 4,509 | | Total personal, small business and other | $ | 434 | | $ | 673 | | $ | 880 | | $ | 2,522 | | $ | 4,509 | |
| Total | Total | $ | 30,920 | | $ | 68,634 | | $ | 84,224 | | $ | 5,450 | | $ | 189,228 | | Total | $ | 30,920 | | $ | 68,634 | | $ | 84,224 | | $ | 5,450 | | $ | 189,228 | |
(1)The FICO bands in the tables are consistent with general industry peer presentations.
(2)FICO scores are updated on either a monthly or quarterly basis. For updates that are made only quarterly, certain current-period loans by year of origination are greater than those disclosed in the prior periods. Loans that did not have FICO scores as of the prior period have been updated with FICO scores as they become available.
(3)Excludes $528$525 million and $572 million of balances related to Canada for JuneSeptember 30, 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 | LTV distribution in U.S. portfolio | June 30, 2021 | | LTV distribution in U.S. portfolio | September 30, 2021 | |
| In millions of dollars | 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 | 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 | Residential first mortgages | | Residential first mortgages | |
| 2021 | 2021 | $ | 4,698 | | $ | 454 | | $ | 0 | | | 2021 | $ | 7,875 | | $ | 355 | | $ | — | | |
| 2020 | 2020 | 11,573 | | 430 | | 0 | | | 2020 | 11,049 | | 137 | | — | | |
| 2019 | 2019 | 5,513 | | 211 | | 3 | | | 2019 | 4,913 | | 96 | | 1 | | |
| 2018 | 2018 | 1,398 | | 262 | | 7 | | | 2018 | 1,378 | | 117 | | 6 | | |
| 2017 | 2017 | 2,232 | | 130 | | 3 | | | 2017 | 2,117 | | 56 | | 2 | | |
| Prior | Prior | 16,129 | | 73 | | 13 | | | Prior | 14,556 | | 44 | | 10 | | |
| Total residential first mortgages | Total residential first mortgages | $ | 41,543 | | $ | 1,560 | | $ | 26 | | $ | 1,706 | | $ | 44,835 | | Total residential first mortgages | $ | 41,888 | | $ | 805 | | $ | 19 | | $ | 1,633 | | $ | 44,345 | |
| Home equity loans (pre-reset) | Home equity loans (pre-reset) | $ | 2,562 | | $ | 42 | | $ | 14 | | | Home equity loans (pre-reset) | $ | 2,441 | | $ | 34 | | $ | 10 | | |
| Home equity loans (post-reset) | Home equity loans (post-reset) | 3,324 | | 145 | | 35 | | | Home equity loans (post-reset) | 2,839 | | 69 | | 28 | | |
| Total home equity loans | Total home equity loans | $ | 5,886 | | $ | 187 | | $ | 49 | | $ | 46 | | $ | 6,168 | | Total home equity loans | $ | 5,280 | | $ | 103 | | $ | 38 | | $ | 64 | | $ | 5,485 | |
| Total | Total | $ | 47,429 | | $ | 1,747 | | $ | 75 | | $ | 1,752 | | $ | 51,003 | | Total | $ | 47,168 | | $ | 908 | | $ | 57 | | $ | 1,697 | | $ | 49,830 | |
| | LTV distribution in U.S. portfolio | LTV distribution in U.S. portfolio | December 31, 2020 | | LTV distribution in U.S. portfolio | December 31, 2020 | |
| In millions of dollars | 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 | 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 | Residential first mortgages | | Residential first mortgages | |
| 2020 | 2020 | $ | 11,447 | | $ | 1,543 | | $ | 0 | | | 2020 | $ | 11,447 | | $ | 1,543 | | $ | — | | |
| 2019 | 2019 | 7,029 | | 376 | | 2 | | | 2019 | 7,029 | | 376 | | 2 | | |
| 2018 | 2018 | 1,617 | | 507 | | 11 | | | 2018 | 1,617 | | 507 | | 11 | | |
| 2017 | 2017 | 2,711 | | 269 | | 4 | | | 2017 | 2,711 | | 269 | | 4 | | |
| 2016 | 2016 | 5,423 | | 84 | | 2 | | | 2016 | 5,423 | | 84 | | 2 | | |
| Prior | Prior | 14,966 | | 66 | | 16 | | | Prior | 14,966 | | 66 | | 16 | | |
| Total residential first mortgages | Total residential first mortgages | $ | 43,193 | | $ | 2,845 | | $ | 35 | | $ | 1,705 | | $ | 47,778 | | Total residential first mortgages | $ | 43,193 | | $ | 2,845 | | $ | 35 | | $ | 1,705 | | $ | 47,778 | |
| Home equity loans (pre-reset) | Home equity loans (pre-reset) | $ | 2,876 | | $ | 50 | | $ | 16 | | | Home equity loans (pre-reset) | $ | 2,876 | | $ | 50 | | $ | 16 | | |
| Home equity loans (post-reset) | Home equity loans (post-reset) | 3,782 | | 290 | | 58 | | | Home equity loans (post-reset) | 3,782 | | 290 | | 58 | | |
| Total home equity loans | Total home equity loans | $ | 6,658 | | $ | 340 | | $ | 74 | | $ | 56 | | $ | 7,128 | | Total home equity loans | $ | 6,658 | | $ | 340 | | $ | 74 | | $ | 56 | | $ | 7,128 | |
| Total | Total | $ | 49,851 | | $ | 3,185 | | $ | 109 | | $ | 1,761 | | $ | 54,906 | | 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
June 30, | Six Months Ended
June 30, | | Three Months Ended
September 30, | Nine Months Ended
September 30, |
| | | Balance at June 30, 2021 | 2021 | 2020 | 2021 | 2020 | | Balance at September 30, 2021 | 2021 | 2020 | 2021 | 2020 |
| In millions of dollars | In millions of dollars | Recorded investment(1)(2) | Unpaid
principal balance | Related specific allowance(3) | Average carrying value(4) | Interest income
recognized(5) | Interest income
recognized(5) | Interest income
recognized(5) | Interest income
recognized(5) | In millions of dollars | Recorded investment(1)(2) | Unpaid
principal balance | Related specific allowance(3) | Average carrying value(4) | Interest income
recognized(5) | Interest income
recognized(5) | Interest income
recognized(5) | Interest income
recognized(5) |
| Mortgage and real estate | Mortgage and real estate | | | | | | Mortgage and real estate | | | | | |
| Residential first mortgages | Residential first mortgages | $ | 1,606 | | $ | 1,768 | | $ | 122 | | $ | 1,689 | | $ | 21 | | $ | 15 | | $ | 42 | | $ | 29 | | Residential first mortgages | $ | 1,422 | | $ | 1,566 | | $ | 103 | | $ | 1,632 | | $ | 23 | | $ | 16 | | $ | 65 | | $ | 44 | |
| Home equity loans | Home equity loans | 433 | | 587 | | 33 | | 468 | | 3 | | 4 | | 6 | | 7 | | Home equity loans | 262 | | 355 | | 4 | | 408 | | 2 | | 3 | | 8 | | 10 | |
| Credit cards | Credit cards | 1,906 | | 1,942 | | 770 | | 1,951 | | 33 | | 25 | | 68 | | 51 | | Credit cards | 1,701 | | 1,702 | | 661 | | 1,895 | | 24 | | 26 | | 92 | | 77 | |
| Personal, small business and other | Personal, small business and other | 524 | | 675 | | 159 | | 524 | | 15 | | 16 | | 27 | | 32 | | Personal, small business and other | 467 | | 787 | | 123 | | 529 | | 14 | | 18 | | 41 | | 50 | |
| Total | Total | $ | 4,469 | | $ | 4,972 | | $ | 1,084 | | $ | 4,632 | | $ | 72 | | $ | 60 | | $ | 143 | | $ | 119 | | Total | $ | 3,852 | | $ | 4,410 | | $ | 891 | | $ | 4,464 | | $ | 63 | | $ | 63 | | $ | 206 | | $ | 181 | |
| | | | | | | | | | | | | | | |
| | Balance at December 31, 2020 |
| In millions of dollars | Recorded investment(1)(2) | Unpaid
principal balance | Related specific allowance(3) | Average carrying value(4) | |
| Mortgage and real estate | | | | | |
| Residential first mortgages | $ | 1,787 | | $ | 1,962 | | $ | 157 | | $ | 1,661 | | |
| Home equity loans | 478 | | 651 | | 60 | | 527 | | |
| Credit cards | 1,982 | | 2,135 | | 918 | | 1,926 | | |
| Personal, small business and other | 552 | | 552 | | 210 | | 463 | | |
| Total | $ | 4,799 | | $ | 5,300 | | $ | 1,345 | | $ | 4,577 | | |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.
(2)For JuneSeptember 30, 2021, $202$191 million of residential first mortgages and $127$119 million of home equity loans do not have a specific allowance. For December 31, 2020, $211 million of residential first mortgages and $147 million of home equity loans do not have a specific allowance.
(3)Included in the Allowance for credit losses on loans.
(4)Average carrying value represents the average recorded investment ending balance for the last 4 quarters and does not include the related specific allowance.
(5)Includes amounts recognized on both accrual and cash basis.
Consumer Troubled Debt Restructurings(1)
| | | | For the Three Months Ended June 30, 2021 | | For the Three Months Ended September 30, 2021 |
| In millions of dollars, except number of loans modified | 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 | 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 | North America | | North America | |
| Residential first mortgages | Residential first mortgages | 326 | | $ | 57 | | $ | 0 | | $ | 0 | | $ | 0 | | 0 | % | Residential first mortgages | 281 | | $ | 48 | | $ | — | | $ | — | | $ | — | | 1 | % |
| Home equity loans | Home equity loans | 50 | | 4 | | 0 | | 0 | | 0 | | 0 | | Home equity loans | 31 | | 1 | | — | | — | | — | | 1 | |
| Credit cards | Credit cards | 36,337 | | 181 | | 0 | | 0 | | 0 | | 17 | | Credit cards | 33,746 | | 159 | | — | | — | | — | | 18 | |
| Personal, small business and other | Personal, small business and other | 225 | | 3 | | 0 | | 0 | | 0 | | 3 | | Personal, small business and other | 169 | | 1 | | — | | — | | — | | 4 | |
Total(7) | Total(7) | 36,938 | | $ | 245 | | $ | 0 | | $ | 0 | | $ | 0 | | | Total(7) | 34,227 | | $ | 209 | | $ | — | | $ | — | | $ | — | | |
| International | International | | International | |
| Residential first mortgages | Residential first mortgages | 530 | | $ | 28 | | $ | 0 | | $ | 0 | | $ | 0 | | 1 | % | Residential first mortgages | 451 | | $ | 22 | | $ | — | | $ | — | | $ | — | | — | % |
| Credit cards | Credit cards | 18,297 | | 94 | | 0 | | 0 | | 1 | | 12 | | Credit cards | 16,082 | | 71 | | — | | — | | 2 | | 15 | |
| Personal, small business and other | Personal, small business and other | 6,780 | | 57 | | 0 | | 0 | | 2 | | 10 | | Personal, small business and other | 7,336 | | 49 | | — | | — | | 2 | | 9 | |
Total(7) | Total(7) | 25,607 | | $ | 179 | | $ | 0 | | $ | 0 | | $ | 3 | | | Total(7) | 23,869 | | $ | 142 | | $ | — | | $ | — | | $ | 4 | | |
| |
| | | | For the Three Months Ended June 30, 2020 | | For the Three Months Ended September 30, 2020 |
| In millions of dollars, except number of loans modified | 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 | 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 | North America | | North America | |
| Residential first mortgages | Residential first mortgages | 298 | | $ | 51 | | $ | 0 | | $ | 0 | | $ | 0 | | 0 | % | Residential first mortgages | 237 | | $ | 42 | | $ | — | | $ | — | | $ | — | | — | % |
| Home equity loans | Home equity loans | 83 | | 8 | | 0 | | 0 | | 0 | | 0 | | Home equity loans | 62 | | 5 | | — | | — | | — | | — | |
| Credit cards | Credit cards | 50,891 | | 220 | | 0 | | 0 | | 0 | | 17 | | Credit cards | 48,909 | | 261 | | — | | — | | — | | 17 | |
| Personal, small business and other | Personal, small business and other | 343 | | 3 | | 0 | | 0 | | 0 | | 4 | | Personal, small business and other | 1,040 | | 12 | | — | | — | | — | | 6 | |
Total(7) | 51,615 | | $ | 282 | | $ | 0 | | $ | 0 | | $ | 0 | | | |
Total(7) | | Total(7) | 50,248 | | $ | 320 | | $ | — | | $ | — | | $ | — | | |
| International | International | | International | |
| Residential first mortgages | Residential first mortgages | 642 | | $ | 44 | | $ | 0 | | $ | 0 | | $ | 0 | | 4 | % | Residential first mortgages | 696 | | $ | 21 | | $ | — | | $ | — | | $ | — | | 1 | % |
| Credit cards | Credit cards | 21,276 | | 94 | | 0 | | 0 | | 3 | | 16 | | Credit cards | 25,147 | | 122 | | — | | — | | 2 | | 14 | |
| Personal, small business and other | Personal, small business and other | 11,284 | | 77 | | 0 | | 0 | | 2 | | 10 | | Personal, small business and other | 12,652 | | 106 | | — | | — | | 2 | | 10 | |
Total(7) | Total(7) | 33,202 | | $ | 215 | | $ | 0 | | $ | 0 | | $ | 5 | | | Total(7) | 38,495 | | $ | 249 | | $ | — | | $ | — | | $ | 4 | | |
| |
(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 $4 million of residential first mortgages and $0.3 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended JuneSeptember 30, 2021. These amounts include $1$2 million of residential first mortgages and $0.3 million of home equity loans that were newly classified as TDRs in the three months ended JuneSeptember 30, 2021, based on previously received OCC guidance.
(4)Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(5)Represents portion of contractual loan principal that is non-interest bearing and, depending 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$2 million of residential first mortgages and $1 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended JuneSeptember 30, 2020. These amounts include $2$1 million of residential first mortgages and $1 million of home equity loans that were newly classified as TDRs in the three months ended JuneSeptember 30, 2020, based on previously received OCC guidance.
Consumer Troubled Debt Restructurings(1)
| | | | For the Six Months Ended June 30, 2021 | | For the Nine Months Ended September 30, 2021 |
| In millions of dollars, except number of loans modified | 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 | 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 | North America | | North America | |
| Residential first mortgages | Residential first mortgages | 661 | | $ | 115 | | $ | 0 | | $ | 0 | | $ | 0 | | 0 | % | Residential first mortgages | 942 | | $ | 163 | | $ | — | | $ | — | | $ | — | | — | % |
| Home equity loans | Home equity loans | 107 | | 8 | | 0 | | 0 | | 0 | | 0 | | Home equity loans | 138 | | 9 | | — | | — | | — | | — | |
| Credit cards | Credit cards | 95,383 | | 481 | | 0 | | 0 | | 0 | | 17 | | Credit cards | 129,129 | | 639 | | — | | — | | — | | 17 | |
| Personal, small business and other | Personal, small business and other | 686 | | 10 | | 0 | | 0 | | 0 | | 3 | | Personal, small business and other | 855 | | 12 | | — | | — | | — | | 3 | |
Total(7) | Total(7) | 96,837 | | $ | 614 | | $ | 0 | | $ | 0 | | $ | 0 | | | Total(7) | 131,064 | | $ | 823 | | $ | — | | $ | — | | $ | — | | |
| International | International | | International | |
| Residential first mortgages | Residential first mortgages | 997 | | $ | 52 | | $ | 0 | | $ | 0 | | $ | 0 | | 1 | % | Residential first mortgages | 1,448 | | $ | 74 | | $ | — | | $ | — | | $ | — | | — | % |
| Credit cards | Credit cards | 42,896 | | 196 | | 0 | | 0 | | 9 | | 14 | | Credit cards | 58,978 | | 267 | | — | | — | | 10 | | 14 | |
| Personal, small business and other | Personal, small business and other | 14,317 | | 114 | | 0 | | 0 | | 4 | | 10 | | Personal, small business and other | 21,653 | | 162 | | — | | — | | 5 | | 9 | |
Total(7) | Total(7) | 58,210 | | $ | 362 | | $ | 0 | | $ | 0 | | $ | 13 | | | Total(7) | 82,079 | | $ | 503 | | $ | — | | $ | — | | $ | 15 | | |
| |
| | | | For the Six Months Ended June 30, 2020 | | For the Nine Months Ended September 30, 2020 |
| In millions of dollars, except number of loans modified | 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 | 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 | North America | | North America | |
| Residential first mortgages | Residential first mortgages | 575 | | $ | 95 | | $ | 0 | | $ | 0 | | $ | 0 | | 0 | % | Residential first mortgages | 812 | | $ | 137 | | $ | — | | $ | — | | $ | — | | — | % |
| Home equity loans | Home equity loans | 165 | | 16 | | 0 | | 0 | | 0 | | 1 | | Home equity loans | 227 | | 22 | | — | | — | | — | | 1 | |
| Credit cards | Credit cards | 118,173 | | 525 | | 0 | | 0 | | 0 | | 17 | | Credit cards | 167,082 | | 786 | | — | | — | | — | | 13 | |
| Personal, small business and other | Personal, small business and other | 776 | | 7 | | 0 | | 0 | | 0 | | 3 | | Personal, small business and other | 1,816 | | 19 | | — | | — | | — | | 4 | |
Total(7) | 119,689 | | $ | 643 | | $ | 0 | | $ | 0 | | $ | 0 | | | |
Total(7) | | Total(7) | 169,937 | | $ | 964 | | $ | — | | $ | — | | $ | — | | |
| International | International | | International | |
| Residential first mortgages | Residential first mortgages | 1,178 | | $ | 58 | | $ | 0 | | $ | 0 | | $ | 0 | | 4 | % | Residential first mortgages | 1,874 | | $ | 80 | | $ | — | | $ | — | | $ | — | | 4 | % |
| Credit cards | Credit cards | 40,591 | | 167 | | 0 | | 0 | | 5 | | 16 | | Credit cards | 65,738 | | 289 | | — | | — | | 7 | | 16 | |
| Personal, small business and other | Personal, small business and other | 18,938 | | 128 | | 0 | | 0 | | 4 | | 10 | | Personal, small business and other | 31,590 | | 234 | | — | | — | | 6 | | 10 | |
Total(7) | Total(7) | 60,707 | | $ | 353 | | $ | 0 | | $ | 0 | | $ | 9 | | | Total(7) | 99,202 | | $ | 603 | | $ | — | | $ | — | | $ | 13 | | |
| |
(1)The above tables do not include loan modifications that meet the TDR relief criteria in the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) or the interagency guidance.
(2)Post-modification balances include past-due amounts that are capitalized at the modification date.
(3)Post-modification balances in North America include $7$11 million of residential first mortgages and $0.4 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the sixnine months ended JuneSeptember 30, 2021. These amounts include $2$4 million of residential first mortgages and $0.3 million of home equity loans that were newly classified as TDRs in the sixnine months ended JuneSeptember 30, 2021, based on previously received OCC guidance.
(4)Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(5)Represents portion of contractual loan principal that is non-interest bearing and, depending on borrower performance, eligible for forgiveness.
(6)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(7) The above tables reflect activity for restructured loans that were considered TDRs during the reporting period.
(8) Post-modification balances in North America include $7$10 million of residential first mortgages and $2 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the sixnine months ended JuneSeptember 30, 2020. These amounts include $5$7 million of residential first mortgages and $1 million of home equity loans that were newly classified as TDRs in the sixnine months ended JuneSeptember 30, 2020, based on previously received OCC guidance.
The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due.
| | | Three Months Ended June 30, | Six Months Ended June 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| North America | North America | | | | North America | | | |
| Residential first mortgages | Residential first mortgages | $ | 15 | | $ | 21 | | $ | 33 | | $ | 35 | | Residential first mortgages | $ | 10 | | $ | 24 | | $ | 43 | | $ | 59 | |
| Home equity loans | Home equity loans | 3 | | 4 | | 7 | | 6 | | Home equity loans | 1 | | 6 | | 8 | | 12 | |
| Credit cards | Credit cards | 73 | | 92 | | 136 | | 182 | | Credit cards | 60 | | 70 | | 196 | | 251 | |
| Personal, small business and other | Personal, small business and other | 1 | | 1 | | 2 | | 3 | | Personal, small business and other | 1 | | 1 | | 3 | | 3 | |
| Total | Total | $ | 92 | | $ | 118 | | $ | 178 | | $ | 226 | | Total | $ | 72 | | $ | 101 | | $ | 250 | | $ | 325 | |
| International | International | | | | International | | | |
| Residential first mortgages | Residential first mortgages | $ | 10 | | $ | 5 | | $ | 22 | | $ | 11 | | Residential first mortgages | $ | 9 | | $ | 6 | | $ | 31 | | $ | 17 | |
| Credit cards | Credit cards | 45 | | 38 | | 97 | | 71 | | Credit cards | 36 | | 47 | | 133 | | 118 | |
| Personal, small business and other | Personal, small business and other | 37 | | 18 | | 58 | | 35 | | Personal, small business and other | 29 | | 20 | | 87 | | 55 | |
| Total | Total | $ | 92 | | $ | 61 | | $ | 177 | | $ | 117 | | Total | $ | 74 | | $ | 73 | | $ | 251 | | $ | 190 | |
Purchased Credit-Deteriorated Assets
| | | Three Months Ended June 30, 2021 | Three Months Ended December 31, 2020 | Three Months Ended June 30,
2020 | | Three Months Ended September 30, 2021 | Three Months Ended December 31, 2020 | Three Months Ended September 30,
2020 |
| In millions of dollars | 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 | 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 | Purchase price | $ | 0 | | $ | 10 | | $ | 0 | | $ | 0 | | $ | 12 | | $ | 0 | | $ | 0 | | $ | 3 | | $ | 0 | | Purchase price | $ | — | | $ | 6 | | $ | — | | $ | — | | $ | 12 | | $ | — | | $ | — | | $ | 25 | | $ | — | |
| Allowance for credit losses at acquisition date | Allowance for credit losses at acquisition date | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Allowance for credit losses at acquisition date | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Discount or premium attributable to non-credit factors | Discount or premium attributable to non-credit factors | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Discount or premium attributable to non-credit factors | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Par value (amortized cost basis) | Par value (amortized cost basis) | $ | 0 | | $ | 10 | | $ | 0 | | $ | 0 | | $ | 12 | | $ | 0 | | $ | 0 | | $ | 3 | | $ | 0 | | Par value (amortized cost basis) | $ | — | | $ | 6 | | $ | — | | $ | — | | $ | 12 | | $ | — | | $ | — | | $ | 25 | | $ | — | |
(1) Includes loans sold to agencies that were bought back at par due to repurchase agreements.
Corporate Loans
Corporate loans represent loans and leases managed by ICG. The following table presents information by corporate loan type:
| | In millions of dollars | In millions of dollars | June 30,
2021 | December 31,
2020 | In millions of dollars | September 30,
2021 | December 31,
2020 |
In North America offices(1) | In North America offices(1) | | In North America offices(1) | |
| Commercial and industrial | Commercial and industrial | $ | 53,549 | | $ | 57,731 | | Commercial and industrial | $ | 56,496 | | $ | 57,731 | |
| Financial institutions | Financial institutions | 65,494 | | 55,809 | | Financial institutions | 62,818 | | 55,809 | |
Mortgage and real estate(2) | Mortgage and real estate(2) | 62,162 | | 60,675 | | Mortgage and real estate(2) | 63,584 | | 60,675 | |
| Installment and other | Installment and other | 26,757 | | 26,744 | | Installment and other | 26,922 | | 26,744 | |
| Lease financing | Lease financing | 547 | | 673 | | Lease financing | 425 | | 673 | |
| Total | Total | $ | 208,509 | | $ | 201,632 | | Total | $ | 210,245 | | $ | 201,632 | |
In offices outside North America(1) | In offices outside North America(1) | | | In offices outside North America(1) | | |
| Commercial and industrial | Commercial and industrial | $ | 105,486 | | $ | 104,072 | | Commercial and industrial | $ | 105,671 | | $ | 104,072 | |
| Financial institutions | Financial institutions | 35,713 | | 32,334 | | Financial institutions | 33,501 | | 32,334 | |
Mortgage and real estate(2) | Mortgage and real estate(2) | 10,995 | | 11,371 | | Mortgage and real estate(2) | 10,685 | | 11,371 | |
| Installment and other | Installment and other | 35,787 | | 33,759 | | Installment and other | 36,054 | | 33,759 | |
| Lease financing | Lease financing | 54 | | 65 | | Lease financing | 47 | | 65 | |
| Governments and official institutions | Governments and official institutions | 4,395 | | 3,811 | | Governments and official institutions | 4,311 | | 3,811 | |
| Total | Total | $ | 192,430 | | $ | 185,412 | | Total | $ | 190,269 | | $ | 185,412 | |
Corporate loans, net of unearned income(3) | Corporate loans, net of unearned income(3) | $ | 400,939 | | $ | 387,044 | | Corporate loans, net of unearned income(3) | $ | 400,514 | | $ | 387,044 | |
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Corporate loans are net of unearned income of ($841)831) million and ($844) million at JuneSeptember 30, 2021 and December 31, 2020, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
The Company sold and/or reclassified to held-for-sale $1.7$1.0 billion and $3.1$4.1 billion of corporate loans during the three and sixnine months ended JuneSeptember 30, 2021, respectively, and $0.8$0.6 billion and $1.0$1.7 billion of corporate loans during the three and sixnine months ended JuneSeptember 30, 2020, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and sixnine months ended JuneSeptember 30, 2021 or 2020.
Corporate Loan Delinquencies and Non-Accrual Details at JuneSeptember 30, 2021
| | In millions of dollars | In millions of dollars | 30–89 days past due and accruing(1) | ≥ 90 days past due and accruing(1) | Total past due
and accruing | Total non-accrual(2) | Total current(3) | Total loans(4) | In millions of dollars | 30–89 days past due and accruing(1) | ≥ 90 days past due and accruing(1) | Total past due
and accruing | Total non-accrual(2) | Total current(3) | Total loans(4) |
| Commercial and industrial | Commercial and industrial | $ | 818 | | $ | 121 | | $ | 939 | | $ | 1,878 | | $ | 149,317 | | $ | 152,134 | | Commercial and industrial | $ | 721 | | $ | 237 | | $ | 958 | | $ | 1,751 | | $ | 153,276 | | $ | 155,985 | |
| Financial institutions | Financial institutions | 477 | | 324 | | 801 | | 39 | | 100,149 | | 100,989 | | Financial institutions | 398 | | 174 | | 572 | | 53 | | 95,195 | | 95,820 | |
| Mortgage and real estate | Mortgage and real estate | 210 | | 21 | | 231 | | 458 | | 72,467 | | 73,156 | | Mortgage and real estate | 189 | | 14 | | 203 | | 418 | | 73,640 | | 74,261 | |
| Lease financing | Lease financing | 26 | | 0 | | 26 | | 22 | | 554 | | 602 | | Lease financing | — | | — | | — | | 18 | | 454 | | 472 | |
| Other | Other | 71 | | 237 | | 308 | | 179 | | 65,878 | | 66,365 | | Other | 168 | | 55 | | 223 | | 160 | | 66,447 | | 66,830 | |
| Loans at fair value | Loans at fair value | | 7,693 | | Loans at fair value | | 7,146 | |
| | Total | Total | $ | 1,602 | | $ | 703 | | $ | 2,305 | | $ | 2,576 | | $ | 388,365 | | $ | 400,939 | | Total | $ | 1,476 | | $ | 480 | | $ | 1,956 | | $ | 2,400 | | $ | 389,012 | | $ | 400,514 | |
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) | | June 30,
2021 | | | Term loans by year of origination | Revolving line of credit arrangements(2) | | September 30,
2021 | |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | | In millions of dollars | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | Revolving line of credit arrangements(2) | September 30,
2021 |
Investment grade(3) | Investment grade(3) | | | | | Investment grade(3) | | | |
Commercial and industrial(4) | Commercial and industrial(4) | $ | 37,302 | | $ | 7,576 | | $ | 5,592 | | $ | 5,066 | | $ | 3,302 | | $ | 9,628 | | $ | 28,121 | | | $ | 96,587 | | | Commercial and industrial(4) | $ | 44,949 | | $ | 6,818 | | $ | 5,187 | | $ | 4,218 | | $ | 3,358 | | $ | 9,826 | | $ | 29,013 | | | $ | 103,369 | | |
Financial institutions(4) | Financial institutions(4) | 12,951 | | 4,271 | | 1,809 | | 1,409 | | 914 | | 2,615 | | 66,706 | | | 90,675 | | | Financial institutions(4) | 13,440 | | 3,115 | | 1,650 | | 1,147 | | 631 | | 2,439 | | 61,610 | | | 84,032 | | |
| Mortgage and real estate | Mortgage and real estate | 2,896 | | 5,748 | | 5,845 | | 3,859 | | 2,010 | | 3,204 | | 1,545 | | | 25,107 | | | Mortgage and real estate | 3,357 | | 5,754 | | 5,970 | | 3,759 | | 2,122 | | 3,312 | | 1,525 | | | 25,799 | | |
Other(5) | Other(5) | 9,815 | | 6,082 | | 2,554 | | 4,315 | | 635 | | 6,629 | | 31,038 | | | 61,068 | | | Other(5) | 11,488 | | 4,338 | | 1,830 | | 4,146 | | 553 | | 6,451 | | 31,957 | | | 60,763 | | |
| Total investment grade | Total investment grade | $ | 62,964 | | $ | 23,677 | | $ | 15,800 | | $ | 14,649 | | $ | 6,861 | | $ | 22,076 | | $ | 127,410 | | | $ | 273,437 | | | Total investment grade | $ | 73,234 | | $ | 20,025 | | $ | 14,637 | | $ | 13,270 | | $ | 6,664 | | $ | 22,028 | | $ | 124,105 | | | $ | 273,963 | | |
Non-investment grade(3) | Non-investment grade(3) | | | | | Non-investment grade(3) | | | | |
| Accrual | Accrual | | | | | Accrual | | | | |
Commercial and industrial(4) | Commercial and industrial(4) | $ | 15,439 | | $ | 4,660 | | $ | 3,892 | | $ | 3,334 | | $ | 2,304 | | $ | 4,020 | | $ | 20,021 | | | $ | 53,670 | | | Commercial and industrial(4) | $ | 15,208 | | $ | 3,298 | | $ | 3,073 | | $ | 2,883 | | $ | 1,670 | | $ | 4,009 | | $ | 20,724 | | | $ | 50,865 | | |
Financial institutions(4) | Financial institutions(4) | 5,008 | | 936 | | 546 | | 334 | | 101 | | 273 | | 3,076 | | | 10,274 | | | Financial institutions(4) | 6,467 | | 535 | | 507 | | 193 | | 91 | | 619 | | 3,325 | | | 11,737 | | |
| Mortgage and real estate | Mortgage and real estate | 1,302 | | 1,314 | | 2,133 | | 1,633 | | 1,045 | | 1,304 | | 672 | | | 9,403 | | | Mortgage and real estate | 1,661 | | 1,339 | | 2,009 | | 1,469 | | 857 | | 1,027 | | 610 | | | 8,972 | | |
Other(5) | Other(5) | 1,127 | | 456 | | 644 | | 516 | | 312 | | 647 | | 1,995 | | | 5,697 | | | Other(5) | 2,416 | | 434 | | 582 | | 433 | | 240 | | 460 | | 1,797 | | | 6,362 | | |
| Non-accrual | Non-accrual | | | | | Non-accrual | | | | |
Commercial and industrial(4) | Commercial and industrial(4) | 40 | | 182 | | 201 | | 83 | | 108 | | 172 | | 1,091 | | | 1,877 | | | Commercial and industrial(4) | 11 | | 142 | | 99 | | 104 | | 108 | | 167 | | 1,120 | | | 1,751 | | |
| Financial institutions | Financial institutions | 0 | | 0 | | 0 | | 0 | | 0 | | 11 | | 29 | | | 40 | | | Financial institutions | — | | — | | — | | — | | — | | 5 | | 46 | | | 51 | | |
| Mortgage and real estate | Mortgage and real estate | 2 | | 13 | | 5 | | 85 | | 10 | | 62 | | 280 | | | 457 | | | Mortgage and real estate | 16 | | 12 | | 4 | | 81 | | 11 | | 26 | | 267 | | | 417 | | |
Other(5) | Other(5) | 90 | | 19 | | 5 | | 20 | | 28 | | 20 | | 20 | | | 202 | | | Other(5) | 21 | | 11 | | 19 | | 19 | | 26 | | 20 | | 61 | | | 177 | | |
| Total non-investment grade | Total non-investment grade | $ | 23,008 | | $ | 7,580 | | $ | 7,426 | | $ | 6,005 | | $ | 3,908 | | $ | 6,509 | | $ | 27,184 | | | $ | 81,620 | | | Total non-investment grade | $ | 25,800 | | $ | 5,771 | | $ | 6,293 | | $ | 5,182 | | $ | 3,003 | | $ | 6,333 | | $ | 27,950 | | | $ | 80,332 | | |
Non-rated private bank loans managed on a delinquency basis(3)(6) | Non-rated private bank loans managed on a delinquency basis(3)(6) | $ | 5,600 | | $ | 9,537 | | $ | 6,551 | | $ | 3,210 | | $ | 3,248 | | $ | 10,043 | | $ | 0 | | | $ | 38,189 | | | Non-rated private bank loans managed on a delinquency basis(3)(6) | $ | 8,007 | | $ | 9,233 | | $ | 6,277 | | $ | 3,074 | | $ | 3,087 | | $ | 9,395 | | $ | — | | | $ | 39,073 | | |
Loans at fair value(7) | Loans at fair value(7) | | | 7,693 | | | Loans at fair value(7) | | | 7,146 | | |
| Corporate loans, net of unearned income | Corporate loans, net of unearned income | $ | 91,572 | | $ | 40,794 | | $ | 29,777 | | $ | 23,864 | | $ | 14,017 | | $ | 38,628 | | $ | 154,594 | | | $ | 400,939 | | | Corporate loans, net of unearned income | $ | 107,041 | | $ | 35,029 | | $ | 27,207 | | $ | 21,526 | | $ | 12,754 | | $ | 37,756 | | $ | 152,055 | | | $ | 400,514 | | |
| | | | 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, 2020 | |
| In millions of dollars | In millions of dollars | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | | In millions of dollars | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | Revolving line of credit arrangements(2) | December 31, 2020 |
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) | $ | 38,398 | | $ | 7,607 | | $ | 5,929 | | $ | 3,909 | | $ | 2,094 | | $ | 8,670 | | $ | 25,819 | | | $ | 92,426 | | |
Financial institutions(4) | Financial institutions(4) | 10,560 | | 2,964 | | 2,106 | | 782 | | 681 | | 2,030 | | 56,239 | | | 75,362 | | | Financial institutions(4) | 10,560 | | 2,964 | | 2,106 | | 782 | | 681 | | 2,030 | | 56,239 | | | 75,362 | | |
| Mortgage and real estate | Mortgage and real estate | 6,793 | | 6,714 | | 5,174 | | 2,568 | | 1,212 | | 1,719 | | 1,557 | | | 25,737 | | | Mortgage and real estate | 6,793 | | 6,714 | | 5,174 | | 2,568 | | 1,212 | | 1,719 | | 1,557 | | | 25,737 | | |
Other(5) | Other(5) | 10,874 | | 3,566 | | 4,597 | | 952 | | 780 | | 5,290 | | 31,696 | | | 57,755 | | | Other(5) | 10,874 | | 3,566 | | 4,597 | | 952 | | 780 | | 5,290 | | 31,696 | | | 57,755 | | |
| Total investment grade | Total investment grade | $ | 66,625 | | $ | 20,851 | | $ | 17,806 | | $ | 8,211 | | $ | 4,767 | | $ | 17,709 | | $ | 115,311 | | | $ | 251,280 | | | Total investment grade | $ | 66,625 | | $ | 20,851 | | $ | 17,806 | | $ | 8,211 | | $ | 4,767 | | $ | 17,709 | | $ | 115,311 | | | $ | 251,280 | | |
Non-investment grade(3) | Non-investment grade(3) | | | | | 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) | $ | 19,683 | | $ | 4,794 | | $ | 4,645 | | $ | 2,883 | | $ | 1,182 | | $ | 4,533 | | $ | 23,400 | | | $ | 61,120 | | |
Financial institutions(4) | Financial institutions(4) | 7,413 | | 700 | | 654 | | 274 | | 141 | | 197 | | 2,855 | | | 12,234 | | | Financial institutions(4) | 7,413 | | 700 | | 654 | | 274 | | 141 | | 197 | | 2,855 | | | 12,234 | | |
| Mortgage and real estate | Mortgage and real estate | 1,882 | | 1,919 | | 2,058 | | 1,457 | | 697 | | 837 | | 551 | | | 9,401 | | | Mortgage and real estate | 1,882 | | 1,919 | | 2,058 | | 1,457 | | 697 | | 837 | | 551 | | | 9,401 | | |
Other(5) | Other(5) | 1,407 | | 918 | | 725 | | 370 | | 186 | | 657 | | 1,986 | | | 6,249 | | | Other(5) | 1,407 | | 918 | | 725 | | 370 | | 186 | | 657 | | 1,986 | | | 6,249 | | |
| 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) | 260 | | 203 | | 192 | | 143 | | 57 | | 223 | | 1,717 | | | 2,795 | | |
| Financial institutions | Financial institutions | 1 | | 0 | | 0 | | 0 | | 0 | | 0 | | 91 | | | 92 | | | Financial institutions | 1 | | — | | — | | — | | — | | — | | 91 | | | 92 | | |
| Mortgage and real estate | Mortgage and real estate | 13 | | 4 | | 3 | | 18 | | 8 | | 32 | | 427 | | | 505 | | | Mortgage and real estate | 13 | | 4 | | 3 | | 18 | | 8 | | 32 | | 427 | | | 505 | | |
Other(5) | Other(5) | 15 | | 3 | | 12 | | 29 | | 2 | | 65 | | 9 | | | 135 | | | Other(5) | 15 | | 3 | | 12 | | 29 | | 2 | | 65 | | 9 | | | 135 | | |
| 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 | $ | 30,674 | | $ | 8,541 | | $ | 8,289 | | $ | 5,174 | | $ | 2,273 | | $ | 6,544 | | $ | 31,036 | | | $ | 92,531 | | |
Non-rated private bank loans managed on a delinquency basis(3)(6) | Non-rated private bank loans managed on a delinquency basis(3)(6) | $ | 9,823 | | $ | 7,121 | | $ | 3,533 | | $ | 3,674 | | $ | 4,300 | | $ | 7,942 | | $ | 0 | | | $ | 36,393 | | | Non-rated private bank loans managed on a delinquency basis(3)(6) | $ | 9,823 | | $ | 7,121 | | $ | 3,533 | | $ | 3,674 | | $ | 4,300 | | $ | 7,942 | | $ | — | | | $ | 36,393 | | |
Loans at fair value(7) | Loans at fair value(7) | | | 6,840 | | | Loans at fair value(7) | | | 6,840 | | |
| 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 | $ | 107,122 | | $ | 36,513 | | $ | 29,628 | | $ | 17,059 | | $ | 11,340 | | $ | 32,195 | | $ | 146,347 | | | $ | 387,044 | | |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)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:
| | | | June 30, 2021 | Three Months Ended
June 30, 2021 | Six Months Ended
June 30, 2021 | | September 30, 2021 | Three Months Ended
September 30, 2021 | Nine Months Ended
September 30, 2021 |
| In millions of dollars | In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | Interest income recognized | Interest income recognized(3) | In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | Interest income recognized | Interest income recognized(3) |
| Non-accrual corporate loans | Non-accrual corporate loans | | | | | Non-accrual corporate loans | | | | |
| Commercial and industrial | Commercial and industrial | $ | 1,878 | | $ | 2,453 | | $ | 314 | | $ | 2,481 | | $ | 15 | | $ | 25 | | Commercial and industrial | $ | 1,751 | | $ | 2,331 | | $ | 293 | | $ | 2,222 | | $ | 6 | | $ | 31 | |
| Financial institutions | Financial institutions | 39 | | 116 | | 0 | | 83 | | 0 | | 0 | | Financial institutions | 53 | | 120 | | 4 | | 55 | | — | | — | |
| Mortgage and real estate | Mortgage and real estate | 458 | | 749 | | 28 | | 486 | | 0 | | 0 | | Mortgage and real estate | 418 | | 668 | | 16 | | 469 | | — | | — | |
| Lease financing | Lease financing | 22 | | 22 | | 0 | | 28 | | 0 | | 0 | | Lease financing | 18 | | 19 | | — | | 23 | | — | | — | |
| Other | Other | 179 | | 251 | | 3 | | 121 | | 0 | | 6 | | Other | 160 | | 251 | | 2 | | 133 | | 2 | | 8 | |
| Total non-accrual corporate loans | Total non-accrual corporate loans | $ | 2,576 | | $ | 3,591 | | $ | 345 | | $ | 3,199 | | $ | 15 | | $ | 31 | | Total non-accrual corporate loans | $ | 2,400 | | $ | 3,389 | | $ | 315 | | $ | 2,902 | | $ | 8 | | $ | 39 | |
| | | December 31, 2020 | | | December 31, 2020 | |
| 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) | |
| 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 | $ | 2,795 | | $ | 3,664 | | $ | 442 | | $ | 2,649 | | |
| Financial institutions | Financial institutions | 92 | | 181 | | 17 | | 132 | | | Financial institutions | 92 | | 181 | | 17 | | 132 | | |
| Mortgage and real estate | Mortgage and real estate | 505 | | 803 | | 38 | | 413 | | | Mortgage and real estate | 505 | | 803 | | 38 | | 413 | | |
| Lease financing | Lease financing | 24 | | 24 | | 0 | | 34 | | | Lease financing | 24 | | 24 | | — | | 34 | | |
| Other | Other | 111 | | 235 | | 18 | | 174 | | | Other | 111 | | 235 | | 18 | | 174 | | |
| Total non-accrual corporate loans | Total non-accrual corporate loans | $ | 3,527 | | $ | 4,907 | | $ | 515 | | $ | 3,402 | | | Total non-accrual corporate loans | $ | 3,527 | | $ | 4,907 | | $ | 515 | | $ | 3,402 | | |
| | | | June 30, 2021 | December 31, 2020 | | September 30, 2021 | December 31, 2020 |
| 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) | Related specific
allowance | Recorded investment(1) | Related specific
allowance |
| Non-accrual corporate loans with specific allowances | Non-accrual corporate loans with specific allowances | | | | Non-accrual corporate loans with specific allowances | | | |
| Commercial and industrial | Commercial and industrial | $ | 1,568 | | $ | 314 | | $ | 1,523 | | $ | 442 | | Commercial and industrial | $ | 801 | | $ | 293 | | $ | 1,523 | | $ | 442 | |
| Financial institutions | Financial institutions | 0 | | 0 | | 90 | | 17 | | Financial institutions | 27 | | 4 | | 90 | | 17 | |
| Mortgage and real estate | Mortgage and real estate | 142 | | 28 | | 246 | | 38 | | Mortgage and real estate | 229 | | 16 | | 246 | | 38 | |
| | Other | Other | 58 | | 3 | | 68 | | 18 | | Other | 9 | | 2 | | 68 | | 18 | |
| Total non-accrual corporate loans with specific allowances | Total non-accrual corporate loans with specific allowances | $ | 1,768 | | $ | 345 | | $ | 1,927 | | $ | 515 | | Total non-accrual corporate loans with specific allowances | $ | 1,066 | | $ | 315 | | $ | 1,927 | | $ | 515 | |
| Non-accrual corporate loans without specific allowances | Non-accrual corporate loans without specific allowances | | | | Non-accrual corporate loans without specific allowances | | | |
| Commercial and industrial | Commercial and industrial | $ | 310 | | | $ | 1,272 | | | Commercial and industrial | $ | 950 | | | $ | 1,272 | | |
| Financial institutions | Financial institutions | 39 | | | 2 | | | Financial institutions | 26 | | | 2 | | |
| Mortgage and real estate | Mortgage and real estate | 316 | | | 259 | | | Mortgage and real estate | 189 | | | 259 | | |
| Lease financing | Lease financing | 22 | | | 24 | | | Lease financing | 18 | | | 24 | | |
| Other | Other | 121 | | | 43 | | | Other | 151 | | | 43 | | |
| Total non-accrual corporate loans without specific allowances | Total non-accrual corporate loans without specific allowances | $ | 808 | | N/A | $ | 1,600 | | N/A | Total non-accrual corporate loans without specific allowances | $ | 1,334 | | N/A | $ | 1,600 | | N/A |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Average carrying value represents the average recorded investment balance and does not include related specific allowances.
(3)Interest income recognized for the three and sixnine months ended JuneSeptember 30, 2020 was $4$5 million and $19$24 million, respectively.
N/A Not applicable
Corporate Troubled Debt Restructurings(1)
Three and SixNine Months Ended JuneSeptember 30, 2021
| | 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 | |
| Three Months Ended June 30, 2021 | | | | | |
| Three Months Ended September 30, 2021 | | Three Months Ended September 30, 2021 | | | | |
| Commercial and industrial | Commercial and industrial | $ | 52 | | $ | 0 | | $ | 0 | | $ | 52 | | | Commercial and industrial | $ | 2 | | $ | — | | $ | — | | $ | 2 | | |
| | Mortgage and real estate | Mortgage and real estate | 5 | | 0 | | 0 | | 5 | | | Mortgage and real estate | 1 | | — | | — | | 1 | | |
| | Other | Other | 0 | | 0 | | 0 | | 0 | | | Other | 4 | | — | | — | | 4 | | |
| Total | Total | $ | 57 | | $ | 0 | | $ | 0 | | $ | 57 | | | Total | $ | 7 | | $ | — | | $ | — | | $ | 7 | | |
| Six Months Ended June 30, 2021 | | | | | |
| Nine Months Ended September 30, 2021 | | Nine Months Ended September 30, 2021 | | | | |
| Commercial and industrial | Commercial and industrial | $ | 73 | | $ | 0 | | $ | 0 | | $ | 73 | | | Commercial and industrial | $ | 75 | | $ | — | | $ | — | | $ | 75 | | |
| | Mortgage and real estate | Mortgage and real estate | 6 | | 0 | | 0 | | 6 | | | Mortgage and real estate | 7 | | — | | — | | 7 | | |
| Other | Other | 1 | | 1 | | 0 | | 0 | | | Other | 5 | | 1 | | — | | 4 | | |
| Total | Total | $ | 80 | | $ | 1 | | $ | 0 | | $ | 79 | | | Total | $ | 87 | | $ | 1 | | $ | — | | $ | 86 | | |
Three and SixNine Months Ended JuneSeptember 30, 2020
| | 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 | |
| Three Months Ended June 30, 2020 | | | | | |
| Three Months Ended September 30, 2020 | | Three Months Ended September 30, 2020 | | | | |
| Commercial and industrial | Commercial and industrial | $ | 86 | | $ | 0 | | $ | 0 | | $ | 86 | | | Commercial and industrial | $ | 52 | | $ | — | | $ | — | | $ | 52 | | |
| | Mortgage and real estate | Mortgage and real estate | 4 | | 0 | | 0 | | 4 | | | Mortgage and real estate | 8 | | — | | — | | 8 | | |
| | Other | Other | 4 | | 4 | | 0 | | 0 | | | Other | 1 | | 1 | | — | | — | | |
| | Total | Total | $ | 94 | | $ | 4 | | $ | 0 | | $ | 90 | | | Total | $ | 61 | | $ | 1 | | $ | — | | $ | 60 | | |
| Six Months Ended June 30, 2020 | | | | | |
| Nine Months Ended September 30, 2020 | | Nine Months Ended September 30, 2020 | | | | |
| Commercial and industrial | Commercial and industrial | $ | 148 | | $ | 0 | | $ | 0 | | $ | 148 | | | Commercial and industrial | $ | 200 | | $ | — | | $ | — | | $ | 200 | | |
| Mortgage and real estate | Mortgage and real estate | 8 | | 0 | | 0 | | 8 | | | Mortgage and real estate | 16 | | — | | — | | 16 | | |
| Other | Other | 4 | | 4 | | 0 | | 0 | | | Other | 5 | | 5 | | — | | — | | |
| | Total | Total | $ | 160 | | $ | 4 | | $ | 0 | | $ | 156 | | | Total | $ | 221 | | $ | 5 | | $ | — | | $ | 216 | | |
(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.
| | | TDR loans that re-defaulted within one year of modification during the | | TDR loans that re-defaulted within one year of modification during the | | TDR loans that re-defaulted within one year of modification during the | | TDR loans that re-defaulted within one year of modification during the |
| In millions of dollars | In millions of dollars | TDR
balances at June 30, 2021 | Three Months Ended
June 30, 2021 | Six Months Ended
June 30, 2021 | TDR
balances at
June 30, 2020 | Three Months Ended
June 30, 2020 | Six Months Ended
June 30, 2020 | In millions of dollars | TDR
balances at September 30, 2021 | Three Months Ended
September 30, 2021 | Nine Months Ended
September 30, 2021 | TDR
balances at
September 30, 2020 | Three Months Ended
September 30, 2020 | Nine Months Ended
September 30, 2020 |
| Commercial and industrial | Commercial and industrial | $ | 298 | | $ | 0 | | $ | 0 | | $ | 406 | | $ | 0 | | $ | 0 | | Commercial and industrial | $ | 252 | | $ | — | | $ | — | | $ | 390 | | $ | — | | $ | — | |
| | Mortgage and real estate | Mortgage and real estate | 80 | | 0 | | 0 | | 91 | | 0 | | 0 | | Mortgage and real estate | 65 | | — | | — | | 98 | | — | | — | |
| | Other | Other | 38 | | 0 | | 0 | | 10 | | 0 | | 0 | | Other | 51 | | — | | — | | 22 | | — | | — | |
Total(1) | Total(1) | $ | 416 | | $ | 0 | | $ | 0 | | $ | 507 | | $ | 0 | | $ | 0 | | Total(1) | $ | 368 | | $ | — | | $ | — | | $ | 510 | | $ | — | | $ | — | |
(1)The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.
14. ALLOWANCE FOR CREDIT LOSSES
| | | Three Months Ended June 30, | Six Months Ended June 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Allowance for credit losses on loans (ACLL) at beginning of period | Allowance for credit losses on loans (ACLL) at beginning of period | $ | 21,638 | | $ | 20,380 | | $ | 24,956 | | $ | 12,783 | | Allowance for credit losses on loans (ACLL) at beginning of period | $ | 19,238 | | $ | 26,298 | | $ | 24,956 | | $ | 12,783 | |
Adjustments to opening balance:(1) | Adjustments to opening balance:(1) | | | | Adjustments to opening balance:(1) | | | |
Financial instruments—credit losses (CECL)(1) | Financial instruments—credit losses (CECL)(1) | 0 | | 0 | | 0 | | 4,201 | | Financial instruments—credit losses (CECL)(1) | — | | — | | — | | 4,201 | |
Variable post-charge-off third-party collection costs(1) | Variable post-charge-off third-party collection costs(1) | 0 | | 0 | | 0 | | (443) | | Variable post-charge-off third-party collection costs(1) | — | | — | | — | | (443) | |
| Adjusted ACLL at beginning of period | Adjusted ACLL at beginning of period | $ | 21,638 | | $ | 20,380 | | $ | 24,956 | | $ | 16,541 | | Adjusted ACLL at beginning of period | $ | 19,238 | | $ | 26,298 | | $ | 24,956 | | $ | 16,541 | |
| Gross credit losses on loans | Gross credit losses on loans | $ | (1,844) | | $ | (2,528) | | $ | (4,052) | | $ | (5,007) | | Gross credit losses on loans | $ | (1,389) | | $ | (2,367) | | $ | (5,441) | | $ | (7,374) | |
| Gross recoveries on loans | Gross recoveries on loans | 524 | | 367 | | 984 | | 787 | | Gross recoveries on loans | 428 | | 448 | | 1,412 | | 1,235 | |
| Net credit losses on loans (NCLs) | Net credit losses on loans (NCLs) | $ | (1,320) | | $ | (2,161) | | $ | (3,068) | | $ | (4,220) | | Net credit losses on loans (NCLs) | $ | (961) | | $ | (1,919) | | $ | (4,029) | | $ | (6,139) | |
| Replenishment of NCLs | Replenishment of NCLs | $ | 1,320 | | $ | 2,161 | | $ | 3,068 | | $ | 4,220 | | Replenishment of NCLs | $ | 961 | | $ | 1,919 | | $ | 4,029 | | $ | 6,139 | |
| Net reserve builds (releases) for loans | Net reserve builds (releases) for loans | (2,184) | | 5,195 | | (5,252) | | 9,289 | | Net reserve builds (releases) for loans | (1,010) | | 164 | | (6,262) | | 9,453 | |
| Net specific reserve builds (releases) for loans | Net specific reserve builds (releases) for loans | (262) | | 634 | | (421) | | 858 | | Net specific reserve builds (releases) for loans | (139) | | (152) | | (560) | | 706 | |
| Total provision for credit losses on loans (PCLL) | Total provision for credit losses on loans (PCLL) | $ | (1,126) | | $ | 7,990 | | $ | (2,605) | | $ | 14,367 | | Total provision for credit losses on loans (PCLL) | $ | (188) | | $ | 1,931 | | $ | (2,793) | | $ | 16,298 | |
| Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period | Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period | 0 | | 0 | | 0 | | 4 | | Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period | — | | — | | — | | 4 | |
| Other, net (see table below) | Other, net (see table below) | 46 | | 89 | | (45) | | (394) | | Other, net (see table below) | (374) | | 116 | | (419) | | (278) | |
| ACLL at end of period | ACLL at end of period | $ | 19,238 | | $ | 26,298 | | $ | 19,238 | | $ | 26,298 | | ACLL at end of period | $ | 17,715 | | $ | 26,426 | | $ | 17,715 | | $ | 26,426 | |
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2) | Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2) | $ | 2,012 | | $ | 1,813 | | $ | 2,655 | | $ | 1,456 | | Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2) | $ | 2,073 | | $ | 1,859 | | $ | 2,655 | | $ | 1,456 | |
Adjustment to opening balance for CECL adoption(1) | Adjustment to opening balance for CECL adoption(1) | 0 | | 0 | | 0 | | (194) | | Adjustment to opening balance for CECL adoption(1) | — | | — | | — | | (194) | |
| Provision (release) for credit losses on unfunded lending commitments | Provision (release) for credit losses on unfunded lending commitments | 44 | | 113 | | (582) | | 670 | | Provision (release) for credit losses on unfunded lending commitments | (13) | | 424 | | (595) | | 1,094 | |
| Other, net | Other, net | 17 | | (67) | | 0 | | (73) | | Other, net | 3 | | 16 | | 3 | | (57) | |
ACLUC at end of period(2) | ACLUC at end of period(2) | $ | 2,073 | | $ | 1,859 | | $ | 2,073 | | $ | 1,859 | | ACLUC at end of period(2) | $ | 2,063 | | $ | 2,299 | | $ | 2,063 | | $ | 2,299 | |
| Total allowance for credit losses on loans, leases and unfunded lending commitments | Total allowance for credit losses on loans, leases and unfunded lending commitments | $ | 21,311 | | $ | 28,157 | | $ | 21,311 | | $ | 28,157 | | Total allowance for credit losses on loans, leases and unfunded lending commitments | $ | 19,778 | | $ | 28,725 | | $ | 19,778 | | $ | 28,725 | |
| | | | | | | | | | | | | | |
| Other, net details | Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| | | | |
| | | | |
| | | | |
| Sales or transfers of various consumer loan portfolios to HFS | $ | 0 | | $ | (1) | | $ | 0 | | $ | (4) | |
| FX translation | 62 | | 88 | | (46) | | (395) | |
| Other | (16) | | 2 | | 1 | | 5 | |
| Other, net | $ | 46 | | $ | 89 | | $ | (45) | | $ | (394) | |
| | | | | | | | | | | | | | |
| Other, net details | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| | | | |
| | | | |
| | | | |
| Sales or transfers of various consumer loan portfolios to HFS | $ | (278) | | $ | — | | $ | (278) | | $ | (4) | |
| FX translation | (93) | | 116 | | (139) | | (279) | |
| Other | (3) | | — | | (2) | | 5 | |
| Other, net | $ | (374) | | $ | 116 | | $ | (419) | | $ | (278) | |
(1)See Note 1 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K for further discussion of the impact of Citi’s adoption of CECL and the change in accounting principle for collection costs.
(2)Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.
Allowance for Credit Losses on Loans and End-of-Period Loans
| | | Three Months Ended | | | Three Months Ended | |
| | June 30, 2021 | June 30, 2020 | | | September 30, 2021 | September 30, 2020 | |
| In millions of dollars | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | |
| ACLL at beginning of period | ACLL at beginning of period | $ | 4,084 | | $ | 17,554 | | $ | 21,638 | | $ | 3,451 | | $ | 16,929 | | $ | 20,380 | | | ACLL at beginning of period | $ | 3,127 | | $ | 16,111 | | $ | 19,238 | | $ | 6,824 | | $ | 19,474 | | $ | 26,298 | | |
| | Charge-offs | Charge-offs | (151) | | (1,693) | | (1,844) | | (347) | | (2,181) | | (2,528) | | | Charge-offs | (49) | | (1,340) | | (1,389) | | (351) | | (2,016) | | (2,367) | | |
| Recoveries | Recoveries | 62 | | 462 | | 524 | | 23 | | 344 | | 367 | | | Recoveries | 10 | | 418 | | 428 | | 26 | | 422 | | 448 | | |
| Replenishment of NCLs | Replenishment of NCLs | 89 | | 1,231 | | 1,320 | | 324 | | 1,837 | | 2,161 | | | Replenishment of NCLs | 39 | | 922 | | 961 | | 325 | | 1,594 | | 1,919 | | |
| Net reserve builds (releases) | Net reserve builds (releases) | (820) | | (1,364) | | (2,184) | | 2,883 | | 2,312 | | 5,195 | | | Net reserve builds (releases) | (44) | | (966) | | (1,010) | | 267 | | (103) | | 164 | | |
| Net specific reserve builds (releases) | Net specific reserve builds (releases) | (130) | | (132) | | (262) | | 486 | | 148 | | 634 | | | Net specific reserve builds (releases) | (21) | | (118) | | (139) | | (161) | | 9 | | (152) | | |
| Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period | Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | | Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period | — | | — | | — | | — | | — | | — | | |
| Other | Other | (7) | | 53 | | 46 | | 4 | | 85 | | 89 | | | Other | (15) | | (359) | | (374) | | 8 | | 108 | | 116 | | |
| Ending balance | Ending balance | $ | 3,127 | | $ | 16,111 | | $ | 19,238 | | $ | 6,824 | | $ | 19,474 | | $ | 26,298 | | | Ending balance | $ | 3,047 | | $ | 14,668 | | $ | 17,715 | | $ | 6,938 | | $ | 19,488 | | $ | 26,426 | | |
| | Six Months Ended | | | Nine Months Ended | |
| | June 30, 2021 | June 30, 2020 | | | September 30, 2021 | September 30, 2020 | |
| In millions of dollars | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | |
| ACLL at beginning of period | ACLL at beginning of period | $ | 5,402 | | $ | 19,554 | | $ | 24,956 | | $ | 2,886 | | $ | 9,897 | | $ | 12,783 | | | ACLL at beginning of period | $ | 5,402 | | $ | 19,554 | | $ | 24,956 | | $ | 2,886 | | $ | 9,897 | | $ | 12,783 | | |
| Adjustments to opening balance: | Adjustments to opening balance: | | | | | | | Adjustments to opening balance: | | | | | | |
Financial instruments—credit losses (CECL adoption) | Financial instruments—credit losses (CECL adoption) | 0 | | 0 | | 0 | | (721) | | 4,922 | | 4,201 | | | Financial instruments—credit losses (CECL adoption) | — | | — | | — | | (721) | | 4,922 | | 4,201 | | |
Variable post-charge-off third-party collection costs | Variable post-charge-off third-party collection costs | 0 | | 0 | | 0 | | 0 | | (443) | | (443) | | | Variable post-charge-off third-party collection costs | — | | — | | — | | — | | (443) | | (443) | | |
| Charge-offs | Charge-offs | (354) | | (3,698) | | (4,052) | | (485) | | (4,522) | | (5,007) | | | Charge-offs | (403) | | (5,038) | | (5,441) | | (837) | | (6,537) | | (7,374) | | |
| Recoveries | Recoveries | 79 | | 905 | | 984 | | 34 | | 753 | | 787 | | | Recoveries | 89 | | 1,323 | | 1,412 | | 61 | | 1,174 | | 1,235 | | |
| Replenishment of NCLs | Replenishment of NCLs | 275 | | 2,793 | | 3,068 | | 451 | | 3,769 | | 4,220 | | | Replenishment of NCLs | 314 | | 3,715 | | 4,029 | | 776 | | 5,363 | | 6,139 | | |
| Net reserve builds (releases) | Net reserve builds (releases) | (2,093) | | (3,159) | | (5,252) | | 4,151 | | 5,138 | | 9,289 | | | Net reserve builds (releases) | (2,137) | | (4,125) | | (6,262) | | 4,418 | | 5,035 | | 9,453 | | |
| Net specific reserve builds (releases) | Net specific reserve builds (releases) | (168) | | (253) | | (421) | | 534 | | 324 | | 858 | | | Net specific reserve builds (releases) | (189) | | (371) | | (560) | | 373 | | 333 | | 706 | | |
| Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period | Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period | 0 | | 0 | | 0 | | 0 | | 4 | | 4 | | | Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period | — | | — | | — | | — | | 4 | | 4 | | |
| Other | Other | (14) | | (31) | | (45) | | (26) | | (368) | | (394) | | | Other | (29) | | (390) | | (419) | | (18) | | (260) | | (278) | | |
| Ending balance | Ending balance | $ | 3,127 | | $ | 16,111 | | $ | 19,238 | | $ | 6,824 | | $ | 19,474 | | $ | 26,298 | | | Ending balance | $ | 3,047 | | $ | 14,668 | | $ | 17,715 | | $ | 6,938 | | $ | 19,488 | | $ | 26,426 | | |
(1)See “Accounting Changes” in Note 1 to the Consolidated Financial Statements for additional details.
| | | June 30, 2021 | December 31, 2020 | | September 30, 2021 | December 31, 2020 |
| In millions of dollars | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| ACLL | ACLL | | | | | | ACLL | | | | | |
| Collectively evaluated | Collectively evaluated | $ | 2,782 | | $ | 15,028 | | $ | 17,810 | | $ | 4,887 | | $ | 18,207 | | $ | 23,094 | | Collectively evaluated | $ | 2,732 | | $ | 13,777 | | $ | 16,509 | | $ | 4,887 | | $ | 18,207 | | $ | 23,094 | |
| Individually evaluated | Individually evaluated | 345 | | 1,084 | | 1,429 | | 515 | | 1,345 | | 1,860 | | Individually evaluated | 315 | | 891 | | 1,206 | | 515 | | 1,345 | | 1,860 | |
Purchased credit deteriorated(1) | Purchased credit deteriorated(1) | 0 | | (1) | | (1) | | 0 | | 2 | | 2 | | Purchased credit deteriorated(1) | — | | — | | — | | — | | 2 | | 2 | |
| Total ACLL | Total ACLL | $ | 3,127 | | $ | 16,111 | | $ | 19,238 | | $ | 5,402 | | $ | 19,554 | | $ | 24,956 | | Total ACLL | $ | 3,047 | | $ | 14,668 | | $ | 17,715 | | $ | 5,402 | | $ | 19,554 | | $ | 24,956 | |
| Loans, net of unearned income | Loans, net of unearned income | | | | | | Loans, net of unearned income | | | | | |
| Collectively evaluated | Collectively evaluated | $ | 390,670 | | $ | 271,278 | | $ | 661,948 | | $ | 376,677 | | $ | 283,885 | | $ | 660,562 | | Collectively evaluated | $ | 390,968 | | $ | 260,258 | | $ | 651,226 | | $ | 376,677 | | $ | 283,885 | | $ | 660,562 | |
| Individually evaluated | Individually evaluated | 2,576 | | 4,469 | | 7,045 | | 3,527 | | 4,799 | | 8,326 | | Individually evaluated | 2,400 | | 3,852 | | 6,252 | | 3,527 | | 4,799 | | 8,326 | |
| Purchased credit deteriorated | Purchased credit deteriorated | 0 | | 134 | | 134 | | 0 | | 141 | | 141 | | Purchased credit deteriorated | — | | 127 | | 127 | | — | | 141 | | 141 | |
| Held at fair value | Held at fair value | 7,693 | | 14 | | 7,707 | | 6,840 | | 14 | | 6,854 | | Held at fair value | 7,146 | | 13 | | 7,159 | | 6,840 | | 14 | | 6,854 | |
| Total loans, net of unearned income | Total loans, net of unearned income | $ | 400,939 | | $ | 275,895 | | $ | 676,834 | | $ | 387,044 | | $ | 288,839 | | $ | 675,883 | | Total loans, net of unearned income | $ | 400,514 | | $ | 264,250 | | $ | 664,764 | | $ | 387,044 | | $ | 288,839 | | $ | 675,883 | |
(1) The negative allowance on purchased credit-deteriorated loans resulted from expected recoveries on previously written-off accounts.
Allowance for Credit Losses on HTM Debt Securities
| | | Three Months Ended June 30, 2021 | | Three Months Ended September 30, 2021 |
| In millions of dollars | In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-backed | | Total HTM | 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 | Allowance for credit losses on HTM debt securities at beginning
of quarter | $ | 4 | | | $ | 69 | | $ | 5 | | | $ | 0 | | | $ | 78 | | Allowance for credit losses on HTM debt securities at beginning
of quarter | $ | 5 | | | $ | 72 | | $ | 5 | | | $ | 1 | | | $ | 83 | |
| | Gross credit losses | Gross credit losses | 0 | | | 0 | | 0 | | | 0 | | | 0 | | Gross credit losses | — | | | — | | — | | | — | | | — | |
| Gross recoveries | Gross recoveries | 0 | | | 0 | | 0 | | | 0 | | | 0 | | Gross recoveries | — | | | — | | — | | | — | | | — | |
| Net credit losses (NCLs) | Net credit losses (NCLs) | $ | 0 | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | | Net credit losses (NCLs) | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Replenishment of NCLs | Replenishment of NCLs | $ | 0 | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | | Replenishment of NCLs | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Net reserve builds (releases) | Net reserve builds (releases) | 1 | | | 3 | | 0 | | | 0 | | | 4 | | Net reserve builds (releases) | — | | | (5) | | (1) | | | — | | | (6) | |
| Net specific reserve builds (releases) | Net specific reserve builds (releases) | 0 | | | 0 | | 0 | | | 0 | | | 0 | | Net specific reserve builds (releases) | (4) | | | — | | — | | | — | | | (4) | |
| Total provision for credit losses on HTM debt securities | Total provision for credit losses on HTM debt securities | $ | 1 | | | $ | 3 | | $ | 0 | | | $ | 0 | | | $ | 4 | | Total provision for credit losses on HTM debt securities | $ | (4) | | | $ | (5) | | $ | (1) | | | $ | — | | | $ | (10) | |
| Other, net | Other, net | $ | 0 | | | $ | 0 | | $ | 0 | | | $ | 1 | | | $ | 1 | | Other, net | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | 0 | | | 0 | | 0 | | | 0 | | | 0 | | Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | — | | | — | | — | | | — | | | — | |
| Allowance for credit losses on HTM debt securities at end of quarter | Allowance for credit losses on HTM debt securities at end of quarter | $ | 5 | | | $ | 72 | | $ | 5 | | | $ | 1 | | | $ | 83 | | Allowance for credit losses on HTM debt securities at end of quarter | $ | 1 | | | $ | 67 | | $ | 4 | | | $ | 1 | | | $ | 73 | |
| | | Six Months Ended June 30, 2021 | | Nine Months Ended September 30, 2021 |
| In millions of dollars | In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-backed | | Total HTM | In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-backed | | Total HTM |
Allowance for credit losses on HTM debt securities at beginning
of year | Allowance for credit losses on HTM debt securities at beginning
of year | $ | 3 | | | $ | 74 | | $ | 6 | | | $ | 3 | | | $ | 86 | | Allowance for credit losses on HTM debt securities at beginning
of year | $ | 3 | | | $ | 74 | | $ | 6 | | | $ | 3 | | | $ | 86 | |
| | Gross credit losses | Gross credit losses | 0 | | | 0 | | 0 | | | 0 | | | 0 | | Gross credit losses | — | | | — | | — | | | — | | | — | |
| Gross recoveries | Gross recoveries | 3 | | | 0 | | 0 | | | 0 | | | 3 | | Gross recoveries | 3 | | | — | | — | | | — | | | 3 | |
| Net credit losses (NCLs) | Net credit losses (NCLs) | $ | 3 | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 3 | | Net credit losses (NCLs) | $ | 3 | | | $ | — | | $ | — | | | $ | — | | | $ | 3 | |
| Replenishment of NCLs | Replenishment of NCLs | $ | (3) | | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | (3) | | Replenishment of NCLs | $ | (3) | | | $ | — | | $ | — | | | $ | — | | | $ | (3) | |
| Net reserve builds (releases) | Net reserve builds (releases) | 2 | | | (2) | | (1) | | | (3) | | | (4) | | Net reserve builds (releases) | 2 | | | (7) | | (2) | | | (3) | | | (10) | |
| Net specific reserve builds (releases) | Net specific reserve builds (releases) | 0 | | | 0 | | 0 | | | 0 | | | 0 | | Net specific reserve builds (releases) | (4) | | | — | | — | | | — | | | (4) | |
| Total provision for credit losses on HTM debt securities | Total provision for credit losses on HTM debt securities | $ | (1) | | | $ | (2) | | $ | (1) | | | $ | (3) | | | $ | (7) | | Total provision for credit losses on HTM debt securities | $ | (5) | | | $ | (7) | | $ | (2) | | | $ | (3) | | | $ | (17) | |
| Other, net | Other, net | $ | 0 | | | $ | 0 | | $ | 0 | | | $ | 1 | | | $ | 1 | | Other, net | $ | — | | | $ | — | | $ | — | | | $ | 1 | | | $ | 1 | |
| Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | 0 | | | 0 | | 0 | | | 0 | | | 0 | | Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | — | | | — | | — | | | — | | | — | |
| Allowance for credit losses on HTM debt securities at end of quarter | Allowance for credit losses on HTM debt securities at end of quarter | $ | 5 | | | $ | 72 | | $ | 5 | | | $ | 1 | | | $ | 83 | | Allowance for credit losses on HTM debt securities at end of quarter | $ | 1 | | | $ | 67 | | $ | 4 | | | $ | 1 | | | $ | 73 | |
|
Allowance for Credit Losses on HTM Debt Securities
| | | | Three Months Ended June 30, 2020 | | Three Months Ended September 30, 2020 |
| In millions of dollars | In millions of dollars | | State and municipal | Foreign government | | Asset-
backed | | Total HTM | 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 | Allowance for credit losses on HTM debt securities at beginning of quarter | | $ | 66 | | $ | 4 | | | $ | 6 | | | $ | 76 | | Allowance for credit losses on HTM debt securities at beginning of quarter | $ | — | | | $ | 99 | | $ | 6 | | | $ | 2 | | | $ | 107 | |
| Adjustment to opening balance for CECL adoption | Adjustment to opening balance for CECL adoption | | 0 | | 0 | | | 0 | | | 0 | | Adjustment to opening balance for CECL adoption | — | | | — | | — | | | — | | | — | |
| Gross credit losses | Gross credit losses | | 0 | | 0 | | | 0 | | | 0 | | Gross credit losses | — | | | — | | — | | | — | | | — | |
| Gross recoveries | Gross recoveries | | 0 | | 0 | | | 0 | | | 0 | | Gross recoveries | — | | | — | | — | | | — | | | — | |
| Net credit losses (NCLs) | Net credit losses (NCLs) | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | | Net credit losses (NCLs) | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Replenishment of NCLs | Replenishment of NCLs | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | | Replenishment of NCLs | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Net reserve builds (releases) | Net reserve builds (releases) | | 30 | | 2 | | | (1) | | | 31 | | Net reserve builds (releases) | 3 | | | (19) | | (1) | | | 1 | | | (16) | |
| Net specific reserve builds (releases) | Net specific reserve builds (releases) | | 0 | | 0 | | | 0 | | | 0 | | Net specific reserve builds (releases) | — | | | — | | — | | | — | | | — | |
| Total provision for credit losses on HTM debt securities | Total provision for credit losses on HTM debt securities | | $ | 30 | | $ | 2 | | | $ | (1) | | | $ | 31 | | Total provision for credit losses on HTM debt securities | $ | 3 | | | $ | (19) | | $ | (1) | | | $ | 1 | | | $ | (16) | |
| Other, net | Other, net | | $ | 3 | | $ | 0 | | | $ | (3) | | | $ | 0 | | Other, net | $ | 5 | | | $ | — | | $ | 2 | | | $ | — | | | $ | 7 | |
| Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | | 0 | | 0 | | | 0 | | | 0 | | Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | — | | | — | | — | | | — | | | — | |
| Allowance for credit losses on HTM debt securities at end of quarter | Allowance for credit losses on HTM debt securities at end of quarter | | $ | 99 | | $ | 6 | | | $ | 2 | | | $ | 107 | | Allowance for credit losses on HTM debt securities at end of quarter | $ | 8 | | | $ | 80 | | $ | 7 | | | $ | 3 | | | $ | 98 | |
| | | | | Six Months Ended June 30, 2020 | | Nine Months Ended September 30, 2020 |
| In millions of dollars | In millions of dollars | | State and municipal | Foreign government | | Asset-
backed | | Total HTM | In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-
backed | | Total HTM |
| Allowance for credit losses on HTM debt securities at beginning of year | Allowance for credit losses on HTM debt securities at beginning of year | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | | Allowance for credit losses on HTM debt securities at beginning of year | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Adjustment to opening balance for CECL adoption | Adjustment to opening balance for CECL adoption | | 61 | | 4 | | | 5 | | | 70 | | Adjustment to opening balance for CECL adoption | — | | | 61 | | 4 | | | 5 | | | 70 | |
| Gross credit losses | Gross credit losses | | 0 | | 0 | | | 0 | | | 0 | | Gross credit losses | — | | | — | | — | | | — | | | — | |
| Gross recoveries | Gross recoveries | | 0 | | 0 | | | 0 | | | 0 | | Gross recoveries | — | | | — | | — | | | — | | | — | |
| Net credit losses (NCLs) | Net credit losses (NCLs) | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | | Net credit losses (NCLs) | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Replenishment of NCLs | Replenishment of NCLs | | $ | 0 | | $ | 0 | | | $ | 0 | | | $ | 0 | | Replenishment of NCLs | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Net reserve builds | Net reserve builds | | 35 | | 2 | | | 0 | | | 37 | | Net reserve builds | 3 | | | 16 | | 1 | | | 1 | | | 21 | |
| Net specific reserve builds (releases) | Net specific reserve builds (releases) | | 0 | | 0 | | | 0 | | | 0 | | Net specific reserve builds (releases) | — | | | — | | — | | | — | | | — | |
| Total provision for credit losses on HTM debt securities | Total provision for credit losses on HTM debt securities | | $ | 35 | | $ | 2 | | | $ | 0 | | | $ | 37 | | Total provision for credit losses on HTM debt securities | $ | 3 | | | $ | 16 | | $ | 1 | | | $ | 1 | | | $ | 21 | |
| Other, net | Other, net | | $ | 3 | | $ | 0 | | | $ | (3) | | | $ | 0 | | Other, net | $ | 5 | | | $ | 3 | | $ | 2 | | | $ | (3) | | | $ | 7 | |
| Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | | 0 | | 0 | | | 0 | | | 0 | | Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period | — | | | — | | — | | | — | | | — | |
| Allowance for credit losses on HTM debt securities at end of quarter | Allowance for credit losses on HTM debt securities at end of quarter | | $ | 99 | | $ | 6 | | | $ | 2 | | | $ | 107 | | Allowance for credit losses on HTM debt securities at end of quarter | $ | 8 | | | $ | 80 | | $ | 7 | | | $ | 3 | | | $ | 98 | |
Allowance for Credit Losses on Other Assets
| | | Three Months Ended June 30, 2021 | | | Three Months Ended September 30, 2021 | |
| In millions of dollars | 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 | | In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total | |
| Allowance for credit losses on other assets at beginning of quarter | Allowance for credit losses on other assets at beginning of quarter | $ | 0 | | $ | 28 | | $ | 5 | | $ | 0 | | $ | 30 | | $ | 63 | | | Allowance for credit losses on other assets at beginning of quarter | $ | — | | $ | 24 | | $ | 8 | | $ | — | | $ | 28 | | $ | 60 | | |
| | Gross credit losses | Gross credit losses | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | | Gross credit losses | — | | — | | — | | — | | — | | — | | |
| Gross recoveries | Gross recoveries | 0 | | 0 | 0 | | 0 | | 0 | | 0 | | | Gross recoveries | — | | 0 | — | | — | | — | | — | | |
| Net credit losses (NCLs) | Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | |
| Replenishment of NCLs | Replenishment of NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | Replenishment of NCLs | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | |
| Net reserve builds (releases) | Net reserve builds (releases) | 0�� | | (4) | | 3 | | 0 | | (2) | | (3) | | | Net reserve builds (releases) | — | | — | | 1 | | — | | (4) | | (3) | | |
| Total provision for credit losses | Total provision for credit losses | $ | 0 | | $ | (4) | | $ | 3 | | $ | 0 | | $ | (2) | | $ | (3) | | | Total provision for credit losses | $ | — | | $ | — | | $ | 1 | | $ | — | | $ | (4) | | $ | (3) | | |
| Other, net | Other, net | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | Other, net | $ | — | | $ | — | | $ | — | | $ | — | | $ | 1 | | $ | 1 | | |
| Allowance for credit losses on other assets at end of quarter | Allowance for credit losses on other assets at end of quarter | $ | 0 | | $ | 24 | | $ | 8 | | $ | 0 | | $ | 28 | | $ | 60 | | | Allowance for credit losses on other assets at end of quarter | $ | — | | $ | 24 | | $ | 9 | | $ | — | | $ | 25 | | $ | 58 | | |
| | | Six Months Ended June 30, 2021 | | | Nine Months Ended September 30, 2021 | |
| In millions of dollars | 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 | | In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total | |
| Allowance for credit losses on other assets at beginning of year | Allowance for credit losses on other assets at beginning of year | $ | 0 | | $ | 20 | | $ | 10 | | $ | 0 | | $ | 25 | | $ | 55 | | | Allowance for credit losses on other assets at beginning of year | $ | — | | $ | 20 | | $ | 10 | | $ | — | | $ | 25 | | $ | 55 | | |
| | Gross credit losses | Gross credit losses | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | | Gross credit losses | — | | — | | — | | — | | — | | — | | |
| Gross recoveries | Gross recoveries | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | | Gross recoveries | — | | — | | — | | — | | — | | — | | |
| Net credit losses (NCLs) | Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | |
| Replenishment of NCLs | Replenishment of NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | Replenishment of NCLs | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | |
| Net reserve builds (releases) | Net reserve builds (releases) | 0 | | 5 | | (2) | | 0 | | 3 | | 6 | | | Net reserve builds (releases) | — | | 5 | | (1) | | — | | (1) | | 3 | | |
| Total provision for credit losses | Total provision for credit losses | $ | 0 | | $ | 5 | | $ | (2) | | $ | 0 | | $ | 3 | | $ | 6 | | | Total provision for credit losses | $ | — | | $ | 5 | | $ | (1) | | $ | — | | $ | (1) | | $ | 3 | | |
| Other, net | Other, net | $ | 0 | | $ | (1) | | $ | 0 | | $ | 0 | | $ | 0 | | $ | (1) | | | Other, net | $ | — | | $ | (1) | | $ | — | | $ | — | | $ | 1 | | $ | — | | |
| Allowance for credit losses on other assets at end of quarter | Allowance for credit losses on other assets at end of quarter | $ | 0 | | $ | 24 | | $ | 8 | | $ | 0 | | $ | 28 | | $ | 60 | | | Allowance for credit losses on other assets at end of quarter | $ | — | | $ | 24 | | $ | 9 | | $ | — | | $ | 25 | | $ | 58 | | |
|
(1)Primarily accounts receivable.
Allowance for Credit Losses on Other Assets | | | Three Months Ended June 30, 2020 | | Three Months Ended September 30, 2020 |
| In millions of dollars | 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 | In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total |
| Allowance for credit losses at beginning of quarter | Allowance for credit losses at beginning of quarter | $ | 0 | | $ | 8 | | $ | 5 | | $ | 0 | | $ | 41 | | $ | 54 | | Allowance for credit losses at beginning of quarter | $ | — | | $ | 18 | | $ | 7 | | $ | — | | $ | 77 | | $ | 102 | |
| Adjustment to opening balance for CECL adoption | Adjustment to opening balance for CECL adoption | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Adjustment to opening balance for CECL adoption | — | | — | | — | | — | | — | | — | |
| Gross credit losses | Gross credit losses | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Gross credit losses | — | | — | | — | | — | | — | | — | |
| Gross recoveries | Gross recoveries | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Gross recoveries | — | | — | | — | | — | | — | | — | |
| Net credit losses (NCLs) | Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Replenishment of NCLs | Replenishment of NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Replenishment of NCLs | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Net reserve builds (releases) | Net reserve builds (releases) | 0 | | 10 | | 2 | | 0 | | 36 | | 48 | | Net reserve builds (releases) | — | | 7 | | (3) | | — | | (17) | | (13) | |
| Total provision for credit losses | Total provision for credit losses | $ | 0 | | $ | 10 | | $ | 2 | | $ | 0 | | $ | 36 | | $ | 48 | | Total provision for credit losses | $ | — | | $ | 7 | | $ | (3) | | $ | — | | $ | (17) | | $ | (13) | |
| Other, net | Other, net | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Other, net | $ | — | | $ | — | | $ | — | | $ | — | | $ | (10) | | $ | (10) | |
| Allowance for credit losses on other assets at end of quarter | Allowance for credit losses on other assets at end of quarter | $ | 0 | | $ | 18 | | $ | 7 | | $ | 0 | | $ | 77 | | $ | 102 | | Allowance for credit losses on other assets at end of quarter | $ | — | | $ | 25 | | $ | 4 | | $ | — | | $ | 50 | | $ | 79 | |
| | | | | |
| | Six Months Ended June 30, 2020 | | Nine Months Ended September 30, 2020 |
| In millions of dollars | 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 | In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total |
| Allowance for credit losses at beginning of year | Allowance for credit losses at beginning of year | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Allowance for credit losses at beginning of year | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Adjustment to opening balance for CECL adoption | Adjustment to opening balance for CECL adoption | 6 | | 14 | | 2 | | 1 | | 3 | | 26 | | Adjustment to opening balance for CECL adoption | 6 | | 14 | | 2 | | 1 | | 3 | | 26 | |
| Gross credit losses | Gross credit losses | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Gross credit losses | — | | — | | — | | — | | — | | — | |
| Gross recoveries | Gross recoveries | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Gross recoveries | — | | — | | — | | — | | — | | — | |
| Net credit losses (NCLs) | Net credit losses (NCLs) | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Replenishment of NCLs | Replenishment of NCLs | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Replenishment of NCLs | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Net reserve builds (releases) | Net reserve builds (releases) | (6) | | 4 | | 5 | | (1) | | 42 | | 44 | | Net reserve builds (releases) | (6) | | 11 | | 2 | | (1) | | 25 | | 31 | |
| Total provision for credit losses | Total provision for credit losses | $ | (6) | | $ | 4 | | $ | 5 | | $ | (1) | | $ | 42 | | $ | 44 | | Total provision for credit losses | $ | (6) | | $ | 11 | | $ | 2 | | $ | (1) | | $ | 25 | | $ | 31 | |
| Other, net | Other, net | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 32 | | $ | 32 | | Other, net | $ | — | | $ | — | | $ | — | | $ | — | | $ | 22 | | $ | 22 | |
| Allowance for credit losses on other assets at end of year | Allowance for credit losses on other assets at end of year | $ | 0 | | $ | 18 | | $ | 7 | | $ | 0 | | $ | 77 | | $ | 102 | | Allowance for credit losses on other assets at end of year | $ | — | | $ | 25 | | $ | 4 | | $ | — | | $ | 50 | | $ | 79 | |
(1) Primarily accounts receivable.
For ACL on AFS debt securities, see Note 12 to the Consolidated Financial Statements.
15. GOODWILL AND INTANGIBLE ASSETS
Goodwill
The changes in Goodwill were as follows:
| | | | | | | | | | | |
| In millions of dollars | Global Consumer Banking | Institutional Clients Group | Total |
| Balance at December 31, 2020 | $ | 12,142 | | $ | 10,020 | | $ | 22,162 | |
| Foreign currency translation | (68) | | (189) | | (257) | |
| Balance at March 31, 2021 | $ | 12,074 | | $ | 9,831 | | $ | 21,905 | |
| | | |
| | | |
| Foreign currency translation | 34 | | 121 | | 155 | |
| Balance at June 30, 2021 | $ | 12,108 | | $ | 9,952 | | $ | 22,060 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | | | | | | | | | |
| In millions of dollars | Global Consumer Banking | Institutional Clients Group | Total |
| Balance at December 31, 2020 | $ | 12,142 | | $ | 10,020 | | $ | 22,162 | |
| Foreign currency translation | (68) | | (189) | | (257) | |
| Balance at March 31, 2021 | $ | 12,074 | | $ | 9,831 | | $ | 21,905 | |
| Foreign currency translation | 34 | | 121 | | 155 | |
| Balance at June 30, 2021 | $ | 12,108 | | $ | 9,952 | | $ | 22,060 | |
| Foreign currency translation | (87) | | (173) | | (260) | |
Divesture(1) | (227) | | — | | (227) | |
| Balance at September 30, 2021 | $ | 11,794 | | $ | 9,779 | | $ | 21,573 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
(1)Goodwill allocated to the Australia consumer banking business, which was classified as HFS during the third quarter of 2021.
Citi testsThe Company performed its annual goodwill annually for impairment test 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 reduce2021, at the fair value oflevel below each business segment (referred to as a reporting unit below its carrying amount.unit). The resultsfair values of the 2020 annual impairment test resulted in fair valuesCompany’s reporting units as a percentage of their carrying values between 115% and 136%. During the three and six months ended June 30, 2021, Citi qualitatively assessed the current environment, including the continuing impact of the COVID-19 pandemic, management’s announced strategyranged from approximately 125% to pursue exits of its consumer franchises153%, resulting in 13 markets within Asia GCB, observed changes in market multiples and actual business performance, together with the latest available management forecasts. Based on the above, Citi determined it was not more-likely-than-not that the fair value of any reporting unit was below its book value and there was no indication of impairment as of June 30, 2021.
impairment. While the inherent risk related to uncertainty is embedded in the key assumptions used in the valuations, the currenteconomic and business environment continuescontinue to evolve. Deteriorationevolve as management progresses on its strategic refresh, including, among others, the exits of consumer businesses in business performance or macroeconomic13 markets in Asia and EMEA. If management’s best estimate of future 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 net income projections. If the future were to differ from management’s best estimate of key economiccurrent assumptions, and associated cash flows were to decrease, Citi could potentially experience material goodwill impairment charges in the future.
For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 16 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K. Refer to Note 3 for a description of Citi’s Business Segments.business segments.
Intangible Assets
The components of intangible assets were as follows:
| | | | June 30, 2021 | December 31, 2020 | | September 30, 2021 | December 31, 2020 |
| In millions of dollars | In millions of dollars | Gross
carrying
amount | Accumulated
amortization | Net
carrying
amount | Gross
carrying
amount | Accumulated
amortization | Net
carrying
amount | In millions of dollars | Gross
carrying
amount | Accumulated
amortization | Net
carrying
amount | Gross
carrying
amount | Accumulated
amortization | Net
carrying
amount |
| Purchased credit card relationships | Purchased credit card relationships | $ | 5,615 | | $ | 4,283 | | $ | 1,332 | | $ | 5,648 | | $ | 4,229 | | $ | 1,419 | | Purchased credit card relationships | $ | 5,579 | | $ | 4,306 | | $ | 1,273 | | $ | 5,648 | | $ | 4,229 | | $ | 1,419 | |
Credit card contract-related intangibles(1) | Credit card contract-related intangibles(1) | 3,924 | | 1,323 | | 2,601 | | 3,929 | | 1,276 | | 2,653 | | Credit card contract-related intangibles(1) | 3,887 | | 1,337 | | 2,550 | | 3,929 | | 1,276 | | 2,653 | |
| Core deposit intangibles | Core deposit intangibles | 44 | | 44 | | 0 | | 45 | | 44 | | 1 | | Core deposit intangibles | 39 | | 39 | | — | | 45 | | 44 | | 1 | |
| Other customer relationships | Other customer relationships | 434 | | 306 | | 128 | | 455 | | 314 | | 141 | | Other customer relationships | 433 | | 307 | | 126 | | 455 | | 314 | | 141 | |
| Present value of future profits | Present value of future profits | 32 | | 30 | | 2 | | 32 | | 30 | | 2 | | Present value of future profits | 31 | | 29 | | 2 | | 32 | | 30 | | 2 | |
| Indefinite-lived intangible assets | Indefinite-lived intangible assets | 189 | | — | | 189 | | 190 | | — | | 190 | | Indefinite-lived intangible assets | 183 | | — | | 183 | | 190 | | — | | 190 | |
| Other | Other | 76 | | 60 | | 16 | | 72 | | 67 | | 5 | | Other | 76 | | 66 | | 10 | | 72 | | 67 | | 5 | |
| Intangible assets (excluding MSRs) | Intangible assets (excluding MSRs) | $ | 10,314 | | $ | 6,046 | | $ | 4,268 | | $ | 10,371 | | $ | 5,960 | | $ | 4,411 | | Intangible assets (excluding MSRs) | $ | 10,228 | | $ | 6,084 | | $ | 4,144 | | $ | 10,371 | | $ | 5,960 | | $ | 4,411 | |
Mortgage servicing rights (MSRs)(2) | Mortgage servicing rights (MSRs)(2) | 419 | | — | | 419 | | 336 | | — | | 336 | | Mortgage servicing rights (MSRs)(2) | 409 | | — | | 409 | | 336 | | — | | 336 | |
| Total intangible assets | Total intangible assets | $ | 10,733 | | $ | 6,046 | | $ | 4,687 | | $ | 10,707 | | $ | 5,960 | | $ | 4,747 | | Total intangible assets | $ | 10,637 | | $ | 6,084 | | $ | 4,553 | | $ | 10,707 | | $ | 5,960 | | $ | 4,747 | |
(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 JuneSeptember 30, 2021 and December 31, 2020, respectively.
(2)For additional information on Citi’s MSRs, see Note 18 to the Consolidated Financial Statements.
The changes in intangible assets were as follows:
| | In millions of dollars | In millions of dollars | Net carrying amount at December 31, 2020 | Acquisitions/renewals/
divestitures | Amortization | Impairments | FX translation and other | Net carrying amount at June 30, 2021 | In millions of dollars | Net carrying amount at December 31, 2020 | Acquisitions/renewals/
divestitures | Amortization | Impairments | FX translation and other | Net carrying amount at September 30, 2021 |
Purchased credit card relationships(1) | Purchased credit card relationships(1) | $ | 1,419 | | $ | 0 | | $ | (86) | | $ | 0 | | $ | (1) | | $ | 1,332 | | Purchased credit card relationships(1) | $ | 1,419 | | $ | (15) | | $ | (129) | | $ | — | | $ | (2) | | $ | 1,273 | |
Credit card contract-related intangibles(2) | Credit card contract-related intangibles(2) | 2,653 | | 19 | | (70) | | (1) | | 0 | | 2,601 | | Credit card contract-related intangibles(2) | 2,653 | | 4 | | (105) | | (1) | | (1) | | 2,550 | |
| Core deposit intangibles | Core deposit intangibles | 1 | | 0 | | (1) | | 0 | | 0 | | 0 | | Core deposit intangibles | 1 | | — | | (1) | | — | | — | | — | |
| Other customer relationships | Other customer relationships | 141 | | 7 | | (12) | | 0 | | (8) | | 128 | | Other customer relationships | 141 | | 12 | | (17) | | — | | (10) | | 126 | |
| Present value of future profits | Present value of future profits | 2 | | 0 | | 0 | | 0 | | 0 | | 2 | | Present value of future profits | 2 | | — | | — | | — | | — | | 2 | |
| Indefinite-lived intangible assets | Indefinite-lived intangible assets | 190 | | 0 | | 0 | | 0 | | (1) | | 189 | | Indefinite-lived intangible assets | 190 | | — | | — | | — | | (7) | | 183 | |
| Other | Other | 5 | | 23 | | (13) | | 0 | | 1 | | 16 | | Other | 5 | | 23 | | (19) | | — | | 1 | | 10 | |
| Intangible assets (excluding MSRs) | Intangible assets (excluding MSRs) | $ | 4,411 | | $ | 49 | | $ | (182) | | $ | (1) | | $ | (9) | | $ | 4,268 | | Intangible assets (excluding MSRs) | $ | 4,411 | | $ | 24 | | $ | (271) | | $ | (1) | | $ | (19) | | $ | 4,144 | |
Mortgage servicing rights (MSRs)(3) | Mortgage servicing rights (MSRs)(3) | 336 | | | 419 | | Mortgage servicing rights (MSRs)(3) | 336 | | | 409 | |
| Total intangible assets | Total intangible assets | $ | 4,747 | | | $ | 4,687 | | Total intangible assets | $ | 4,747 | | | $ | 4,553 | |
(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 JuneSeptember 30, 2021 and December 31, 2020, respectively.
(3)For additional information on Citi’s MSRs, including the rollforward for the three and sixnine months ended JuneSeptember 30, 2021, see Note 18 to the Consolidated Financial Statements.
16. DEBT
For additional information regarding Citi’s short-term borrowings and long-term debt, see Note 17 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
Short-Term Borrowings
| | In millions of dollars | In millions of dollars | June 30,
2021 | December 31,
2020 | In millions of dollars | September 30,
2021 | December 31,
2020 |
| Commercial paper | Commercial paper | | | Commercial paper | | |
Bank(1) | Bank(1) | $ | 8,974 | | $ | 10,022 | | | Bank(1) | $ | 10,017 | | $ | 10,022 | | |
Broker-dealer and other(2) | Broker-dealer and other(2) | 9,692 | | 7,988 | | | Broker-dealer and other(2) | 6,995 | | 7,988 | | |
| Total commercial paper | Total commercial paper | $ | 18,666 | | $ | 18,010 | | | Total commercial paper | $ | 17,012 | | $ | 18,010 | | |
Other borrowings(3) | Other borrowings(3) | 12,796 | | 11,504 | | | Other borrowings(3) | 12,671 | | 11,504 | | |
| Total | Total | $ | 31,462 | | $ | 29,514 | | | Total | $ | 29,683 | | $ | 29,514 | | |
(1)Represents Citibank entities as well as other bank entities.
(2)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.
(3)Includes borrowings from Federal Home Loan Banks and other market participants. At JuneSeptember 30, 2021 and December 31, 2020, collateralized short-term advances from the Federal Home Loan Banks were $2.0 billion$1 million and $4.0$4 billion, respectively.
Long-Term Debt
| | In millions of dollars | In millions of dollars | June 30,
2021 | December 31, 2020 | In millions of dollars | September 30,
2021 | December 31, 2020 |
Citigroup Inc.(1) | Citigroup Inc.(1) | $ | 174,366 | | $ | 170,563 | | Citigroup Inc.(1) | $ | 170,104 | | $ | 170,563 | |
Bank(2) | Bank(2) | 28,661 | | 44,742 | | Bank(2) | 24,715 | | 44,742 | |
Broker-dealer and other(3) | Broker-dealer and other(3) | 61,548 | | 56,381 | | Broker-dealer and other(3) | 63,455 | | 56,381 | |
| Total | Total | $ | 264,575 | | $ | 271,686 | | Total | $ | 258,274 | | $ | 271,686 | |
(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At JuneSeptember 30, 2021 and December 31, 2020, collateralized long-term advances from the Federal Home Loan Banks were $9.5$5.8 billion and $10.9 billion, respectively.
(3)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company. Certain Citigroup consolidated hedging activities are also included in this line.
Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $1.7 billion at both JuneSeptember 30, 2021 and December 31, 2020.
The following table summarizes Citi’s outstanding trust preferred securities at JuneSeptember 30, 2021:
| | | | | Junior subordinated debentures owned by trust | | | Junior subordinated debentures owned by trust |
| Trust | Trust | Issuance
date | Securities
issued | Liquidation value(1) | Coupon rate(2) | Common
shares
issued
to parent | Amount | Maturity | Redeemable
by issuer
beginning | 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 | In millions of dollars, except securities and share amounts | | In millions of dollars, except securities and share amounts | |
| Citigroup Capital III | Citigroup Capital III | Dec. 1996 | 194,053 | | $ | 194 | | 7.625 | % | 6,003 | | $ | 200 | | Dec. 1, 2036 | Not redeemable | Citigroup Capital III | Dec. 1996 | 194,053 | | $ | 194 | | 7.625 | % | 6,003 | | $ | 200 | | Dec. 1, 2036 | Not redeemable |
| Citigroup Capital XIII | 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 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 | Citigroup Capital XVIII | Jun. 2007 | 99,901 | | 138 | | 3 mo. sterling LIBOR + 88.75 bps | 50 | | 138 | | Jun. 28, 2067 | Jun. 28, 2017 | Citigroup Capital XVIII | Jun. 2007 | 99,901 | | 135 | | 3 mo. sterling LIBOR + 88.75 bps | 50 | | 135 | | Jun. 28, 2067 | Jun. 28, 2017 |
| Total obligated | Total obligated | | $ | 2,578 | | | | $ | 2,584 | | | Total obligated | | $ | 2,575 | | | | $ | 2,581 | | |
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 and SixNine Months Ended JuneSeptember 30, 2021
| | 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) |
| Three Months Ended June 30, 2021 | | | |
| Balance, March 31, 2021 | $ | 1,535 | | $ | (1,461) | | $ | 1,037 | | $ | (6,150) | | $ | (29,915) | | $ | (57) | | $ | (35,011) | | |
| Three Months Ended September 30, 2021 | | Three Months Ended September 30, 2021 | | |
| Balance, June 30, 2021 | | Balance, June 30, 2021 | $ | 1,061 | | $ | (1,523) | | $ | 864 | | $ | (6,063) | | $ | (29,392) | | $ | (67) | | $ | (35,120) | |
| Other comprehensive income before
reclassifications | Other comprehensive income before
reclassifications | (379) | | (72) | | 28 | | 36 | | 523 | | (11) | | 125 | | Other comprehensive income before
reclassifications | (204) | | (138) | | 2 | | 84 | | (1,325) | | 7 | | (1,574) | |
Increase (decrease) due to amounts reclassified from AOCI | Increase (decrease) due to amounts reclassified from AOCI | (95) | | 10 | | (201) | | 51 | | 0 | | 1 | | (234) | | Increase (decrease) due to amounts reclassified from AOCI | (75) | | 56 | | (203) | | 51 | | 13 | | 1 | | (157) | |
Change, net of taxes | Change, net of taxes | $ | (474) | | $ | (62) | | $ | (173) | | $ | 87 | | $ | 523 | | $ | (10) | | $ | (109) | | Change, net of taxes | $ | (279) | | $ | (82) | | $ | (201) | | $ | 135 | | $ | (1,312) | | $ | 8 | | $ | (1,731) | |
| Balance at June 30, 2021 | $ | 1,061 | | $ | (1,523) | | $ | 864 | | $ | (6,063) | | $ | (29,392) | | $ | (67) | | $ | (35,120) | | |
| Six Months Ended June 30, 2021 | | | |
| Balance at September 30, 2021 | | Balance at September 30, 2021 | $ | 782 | | $ | (1,605) | | $ | 663 | | $ | (5,928) | | $ | (30,704) | | $ | (59) | | $ | (36,851) | |
| Nine Months Ended September 30, 2021 | | Nine Months Ended September 30, 2021 | | |
| Balance, December 31, 2020 | Balance, December 31, 2020 | $ | 3,320 | | $ | (1,419) | | $ | 1,593 | | $ | (6,864) | | $ | (28,641) | | $ | (47) | | $ | (32,058) | | Balance, December 31, 2020 | $ | 3,320 | | $ | (1,419) | | $ | 1,593 | | $ | (6,864) | | $ | (28,641) | | $ | (47) | | $ | (32,058) | |
| Other comprehensive income before
reclassifications | Other comprehensive income before
reclassifications | (1,898) | | (156) | | (316) | | 689 | | (751) | | (21) | | (2,453) | | Other comprehensive income before
reclassifications | (2,101) | | (295) | | (318) | | 773 | | (2,076) | | (14) | | (4,031) | |
Increase (decrease) due to amounts reclassified from AOCI | Increase (decrease) due to amounts reclassified from AOCI | (361) | | 52 | | (413) | | 112 | | 0 | | 1 | | (609) | | Increase (decrease) due to amounts reclassified from AOCI | (437) | | 109 | | (612) | | 163 | | 13 | | 2 | | (762) | |
| Change, net of taxes | Change, net of taxes | $ | (2,259) | | $ | (104) | | $ | (729) | | $ | 801 | | $ | (751) | | $ | (20) | | $ | (3,062) | | Change, net of taxes | $ | (2,538) | | $ | (186) | | $ | (930) | | $ | 936 | | $ | (2,063) | | $ | (12) | | $ | (4,793) | |
| Balance at June 30, 2021 | $ | 1,061 | | $ | (1,523) | | $ | 864 | | $ | (6,063) | | $ | (29,392) | | $ | (67) | | $ | (35,120) | | |
| Balance at September 30, 2021 | | Balance at September 30, 2021 | $ | 782 | | $ | (1,605) | | $ | 663 | | $ | (5,928) | | $ | (30,704) | | $ | (59) | | $ | (36,851) | |
Footnotes to the table above appear on the following page.
Three and SixNine Months Ended JuneSeptember 30, 2020
| | In millions of dollars | 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) | In millions of dollars | Net
unrealized
gains (losses)
on investment securities | Debt valuation adjustment (DVA)(1) | Cash flow hedges(2) | Benefit plans(3) | Foreign
currency
translation
adjustment (CTA), net of hedges(4) | Excluded component of fair value hedges | Accumulated
other
comprehensive income (loss) |
| Three Months Ended June 30, 2020 | | | |
| Balance, March 31, 2020 | $ | 2,863 | | $ | 2,196 | | $ | 2,020 | | $ | (7,095) | | $ | (32,500) | | $ | (5) | | $ | (32,521) | | |
| Three Months Ended September 30, 2020 | | Three Months Ended September 30, 2020 | | |
| Balance, June 30, 2020 | | Balance, June 30, 2020 | $ | 3,700 | | $ | (36) | | $ | 2,094 | | $ | (7,172) | | $ | (31,939) | | $ | 8 | | $ | (33,345) | |
| Other comprehensive income before
reclassifications | Other comprehensive income before
reclassifications | 1,391 | | (2,204) | | 226 | | (132) | | 561 | | 13 | | (145) | | Other comprehensive income before
reclassifications | (72) | | (313) | | (41) | | 189 | | 897 | | (39) | | 621 | |
Increase (decrease) due to amounts reclassified from AOCI | Increase (decrease) due to amounts reclassified from AOCI | (554) | | (28) | | (152) | | 55 | | 0 | | 0 | | (679) | | Increase (decrease) due to amounts reclassified from AOCI | (210) | | 6 | | (194) | | 57 | | — | | — | | (341) | |
Change, net of taxes | Change, net of taxes | $ | 837 | | $ | (2,232) | | $ | 74 | | $ | (77) | | $ | 561 | | $ | 13 | | $ | (824) | | Change, net of taxes | $ | (282) | | $ | (307) | | $ | (235) | | $ | 246 | | $ | 897 | | $ | (39) | | $ | 280 | |
| Balance at June 30, 2020 | $ | 3,700 | | $ | (36) | | $ | 2,094 | | $ | (7,172) | | $ | (31,939) | | $ | 8 | | $ | (33,345) | | |
| Six Months Ended June 30, 2020 | | | |
| Balance at September 30, 2020 | | Balance at September 30, 2020 | $ | 3,418 | | $ | (343) | | $ | 1,859 | | $ | (6,926) | | $ | (31,042) | | $ | (31) | | $ | (33,065) | |
| Nine Months Ended September 30, 2020 | | Nine Months Ended September 30, 2020 | | |
| Balance, December 31, 2019 | Balance, December 31, 2019 | $ | (265) | | $ | (944) | | $ | 123 | | $ | (6,809) | | $ | (28,391) | | $ | (32) | | $ | (36,318) | | Balance, December 31, 2019 | $ | (265) | | $ | (944) | | $ | 123 | | $ | (6,809) | | $ | (28,391) | | $ | (32) | | $ | (36,318) | |
| Other comprehensive income before
reclassifications | Other comprehensive income before
reclassifications | 4,795 | | 913 | | 2,124 | | (476) | | (3,548) | | 40 | | 3,848 | | Other comprehensive income before
reclassifications | 4,735 | | 599 | | 2,083 | | (287) | | (2,651) | | 1 | | 4,480 | |
Increase (decrease) due to amounts reclassified from AOCI | Increase (decrease) due to amounts reclassified from AOCI | (830) | | (5) | | (153) | | 113 | | 0 | | 0 | | (875) | | Increase (decrease) due to amounts reclassified from AOCI | (1,052) | | 2 | | (347) | | 170 | | — | | — | | (1,227) | |
| Change, net of taxes | Change, net of taxes | $ | 3,965 | | $ | 908 | | $ | 1,971 | | $ | (363) | | $ | (3,548) | | $ | 40 | | $ | 2,973 | | Change, net of taxes | $ | 3,683 | | $ | 601 | | $ | 1,736 | | $ | (117) | | $ | (2,651) | | $ | 1 | | $ | 3,253 | |
| Balance at June 30, 2020 | $ | 3,700 | | $ | (36) | | $ | 2,094 | | $ | (7,172) | | $ | (31,939) | | $ | 8 | | $ | (33,345) | | |
| Balance at September 30, 2020 | | Balance at September 30, 2020 | $ | 3,418 | | $ | (343) | | $ | 1,859 | | $ | (6,926) | | $ | (31,042) | | $ | (31) | | $ | (33,065) | |
(1)Reflects the after-tax valuation of Citi’s fair value options liabilities. See “Market Valuation Adjustments” in Note 20 to the Consolidated Financial Statements.
(2)Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.
(3)Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.
(4)Primarily reflects the movements in (by order of impact) the Mexican peso, South Korean won, Euro, Chilean peso and Brazilian real Polish zloty, New Taiwan dollar, Euro and Indian rupee against the U.S. dollar and changes in related tax effects and hedges for the three months ended JuneSeptember 30, 2021. Primarily reflects the movements in (by order of impact) the Mexican peso, South Korean won, Japanese yen, Euro, Indian rupee, MexicanChilean peso and New Taiwan dollarJapanese yen against the U.S. dollar and changes in related tax effects and hedges for the sixnine months ended JuneSeptember 30, 2021. Primarily reflects the movements in (by order of impact) the Australian dollar,Mexican peso, Euro, South Korean won, Indonesian rupiahAustralian dollar and EuroChinese yuan against the U.S. dollar and changes in related tax effects and hedges for the three months ended JuneSeptember 30, 2020. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Indian rupee, Russian ruble and Chilean pesoSouth African rand against the U.S. dollar and changes in related tax effects and hedges for the sixnine months ended JuneSeptember 30, 2020. Amounts recorded in the CTA component of AOCI remain in AOCI until the sale or substantial liquidation of the foreign entity, at which point such amounts related to the foreign entity are reclassified into earnings.
(5)September 30, 2021 includes an approximate $475 million (after-tax) currency translation adjustment (CTA) loss (net of hedges) associated with the sale of the consumer banking business in Australia (see Note 2 to the Consolidated Financial Statements). The transaction generated a pretax loss on sale of approximately $680 million upon classification as held-for-sale ($580 million after-tax), subject to closing adjustments. The loss on sale primarily reflects the impact of the pretax $625 million CTA loss (net of hedges) ($475 million after-tax) already reflected in the AOCI component of equity. Upon closing, the CTA-related balance will be removed from the AOCI component of equity, 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 and SixNine Months Ended JuneSeptember 30, 2021
| | In millions of dollars | In millions of dollars | Pretax | Tax effect | After-tax | In millions of dollars | Pretax | Tax effect | After-tax |
| Three Months Ended June 30, 2021 | | | |
| Balance, March 31, 2021 | $ | (40,631) | | $ | 5,620 | | $ | (35,011) | | |
| Three Months Ended September 30, 2021 | | Three Months Ended September 30, 2021 | | |
| Balance, June 30, 2021 | | Balance, June 30, 2021 | $ | (41,087) | | $ | 5,967 | | $ | (35,120) | |
| | Change in net unrealized gains (losses) on debt securities | Change in net unrealized gains (losses) on debt securities | (638) | | 164 | | (474) | | Change in net unrealized gains (losses) on debt securities | (374) | | 95 | | (279) | |
| Debt valuation adjustment (DVA) | Debt valuation adjustment (DVA) | (110) | | 48 | | (62) | | Debt valuation adjustment (DVA) | (107) | | 25 | | (82) | |
| Cash flow hedges | Cash flow hedges | (224) | | 51 | | (173) | | Cash flow hedges | (265) | | 64 | | (201) | |
| Benefit plans | Benefit plans | 84 | | 3 | | 87 | | Benefit plans | 175 | | (40) | | 135 | |
| Foreign currency translation adjustment | Foreign currency translation adjustment | 445 | | 78 | | 523 | | Foreign currency translation adjustment | (1,325) | | 13 | | (1,312) | |
| Excluded component of fair value hedges | Excluded component of fair value hedges | (13) | | 3 | | (10) | | Excluded component of fair value hedges | 12 | | (4) | | 8 | |
| Change | Change | $ | (456) | | $ | 347 | | $ | (109) | | Change | $ | (1,884) | | $ | 153 | | $ | (1,731) | |
| Balance at June 30, 2021 | $ | (41,087) | | $ | 5,967 | | $ | (35,120) | | |
| Six Months Ended June 30, 2021 | | | |
| Balance at September 30, 2021 | | Balance at September 30, 2021 | $ | (42,971) | | $ | 6,120 | | $ | (36,851) | |
| Nine Months Ended September 30, 2021 | | Nine Months Ended September 30, 2021 | | |
| Balance, December 31, 2020 | Balance, December 31, 2020 | $ | (36,992) | | $ | 4,934 | | $ | (32,058) | | Balance, December 31, 2020 | $ | (36,992) | | $ | 4,934 | | $ | (32,058) | |
| | Change in net unrealized gains (losses) on debt securities | Change in net unrealized gains (losses) on debt securities | (3,065) | | 806 | | (2,259) | | Change in net unrealized gains (losses) on debt securities | (3,439) | | 901 | | (2,538) | |
| Debt valuation adjustment (DVA) | Debt valuation adjustment (DVA) | (148) | | 44 | | (104) | | Debt valuation adjustment (DVA) | (256) | | 70 | | (186) | |
| Cash flow hedges | Cash flow hedges | (953) | | 224 | | (729) | | Cash flow hedges | (1,219) | | 289 | | (930) | |
| Benefit plans | Benefit plans | 991 | | (190) | | 801 | | Benefit plans | 1,166 | | (230) | | 936 | |
| Foreign currency translation adjustment | Foreign currency translation adjustment | (894) | | 143 | | (751) | | Foreign currency translation adjustment | (2,217) | | 154 | | (2,063) | |
| Excluded component of fair value hedges | Excluded component of fair value hedges | (26) | | 6 | | (20) | | Excluded component of fair value hedges | (14) | | 2 | | (12) | |
| Change | Change | $ | (4,095) | | $ | 1,033 | | $ | (3,062) | | Change | $ | (5,979) | | $ | 1,186 | | $ | (4,793) | |
| Balance at June 30, 2021 | $ | (41,087) | | $ | 5,967 | | $ | (35,120) | | |
| Balance at September 30, 2021 | | Balance at September 30, 2021 | $ | (42,971) | | $ | 6,120 | | $ | (36,851) | |
Three and SixNine Months Ended JuneSeptember 30, 2020
| | In millions of dollars | In millions of dollars | Pretax | Tax effect | After-tax | In millions of dollars | Pretax | Tax effect | After-tax |
| Three Months Ended June 30, 2020 | | | |
| Balance, March 31, 2020 | $ | (36,419) | | $ | 3,898 | | $ | (32,521) | | |
| Three Months Ended September 30, 2020 | | Three Months Ended September 30, 2020 | | |
| Balance, June 30, 2020 | | Balance, June 30, 2020 | $ | (37,678) | | $ | 4,333 | | $ | (33,345) | |
| | Change in net unrealized gains (losses) on debt securities | Change in net unrealized gains (losses) on debt securities | 1,178 | | (341) | | 837 | | Change in net unrealized gains (losses) on debt securities | (393) | | 111 | | (282) | |
| Debt valuation adjustment (DVA) | Debt valuation adjustment (DVA) | (2,935) | | 703 | | (2,232) | | Debt valuation adjustment (DVA) | (452) | | 145 | | (307) | |
| Cash flow hedges | Cash flow hedges | 90 | | (16) | | 74 | | Cash flow hedges | (307) | | 72 | | (235) | |
| Benefit plans | Benefit plans | (93) | | 16 | | (77) | | Benefit plans | 344 | | (98) | | 246 | |
| Foreign currency translation adjustment | Foreign currency translation adjustment | 485 | | 76 | | 561 | | Foreign currency translation adjustment | 918 | | (21) | | 897 | |
| Excluded component of fair value hedges | Excluded component of fair value hedges | 16 | | (3) | | 13 | | Excluded component of fair value hedges | (51) | | 12 | | (39) | |
| Change | Change | $ | (1,259) | | $ | 435 | | $ | (824) | | Change | $ | 59 | | $ | 221 | | $ | 280 | |
| Balance, June 30, 2020 | $ | (37,678) | | $ | 4,333 | | $ | (33,345) | | |
| Six Months Ended June 30, 2020 | | | |
| Balance, September 30, 2020 | | Balance, September 30, 2020 | $ | (37,619) | | $ | 4,554 | | $ | (33,065) | |
| Nine Months Ended September 30, 2020 | | Nine Months Ended September 30, 2020 | | |
| Balance, December 31, 2019 | Balance, December 31, 2019 | $ | (42,772) | | $ | 6,454 | | $ | (36,318) | | Balance, December 31, 2019 | $ | (42,772) | | $ | 6,454 | | $ | (36,318) | |
| | Change in net unrealized gains (losses) on debt securities | Change in net unrealized gains (losses) on debt securities | 5,298 | | (1,333) | | 3,965 | | Change in net unrealized gains (losses) on debt securities | 4,905 | | (1,222) | | 3,683 | |
| Debt valuation adjustment (DVA) | Debt valuation adjustment (DVA) | 1,253 | | (345) | | 908 | | Debt valuation adjustment (DVA) | 801 | | (200) | | 601 | |
| Cash flow hedges | Cash flow hedges | 2,574 | | (603) | | 1,971 | | Cash flow hedges | 2,267 | | (531) | | 1,736 | |
| Benefit plans | Benefit plans | (510) | | 147 | | (363) | | Benefit plans | (166) | | 49 | | (117) | |
| Foreign currency translation adjustment | Foreign currency translation adjustment | (3,570) | | 22 | | (3,548) | | Foreign currency translation adjustment | (2,652) | | 1 | | (2,651) | |
| Excluded component of fair value hedges | Excluded component of fair value hedges | 49 | | (9) | | 40 | | Excluded component of fair value hedges | (2) | | 3 | | 1 | |
| Change | Change | $ | 5,094 | | $ | (2,121) | | $ | 2,973 | | Change | $ | 5,153 | | $ | (1,900) | | $ | 3,253 | |
| Balance, June 30, 2020 | $ | (37,678) | | $ | 4,333 | | $ | (33,345) | | |
| Balance, September 30, 2020 | | Balance, September 30, 2020 | $ | (37,619) | | $ | 4,554 | | $ | (33,065) | |
The Company recognized pretax gains (losses) related to amounts in AOCI reclassified to the Consolidated Statement of Income as follows:
| | | Increase (decrease) in AOCI due to
amounts reclassified to
Consolidated Statement of Income | | Increase (decrease) in AOCI due to
amounts reclassified to
Consolidated Statement of Income |
| | Three Months Ended June 30, | Six Months Ended June 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Realized (gains) losses on sales of investments | Realized (gains) losses on sales of investments | $ | (137) | | $ | (748) | | $ | (538) | | $ | (1,180) | | Realized (gains) losses on sales of investments | $ | (117) | | $ | (304) | | $ | (655) | | $ | (1,484) | |
| Gross impairment losses | Gross impairment losses | 9 | | 19 | | 78 | | 71 | | Gross impairment losses | 21 | | 30 | | 99 | | 101 | |
| Subtotal, pretax | Subtotal, pretax | $ | (128) | | $ | (729) | | $ | (460) | | $ | (1,109) | | Subtotal, pretax | $ | (96) | | $ | (274) | | $ | (556) | | $ | (1,383) | |
| Tax effect | Tax effect | 33 | | 175 | | 99 | | 279 | | Tax effect | 21 | | 64 | | 119 | | 331 | |
Net realized (gains) losses on investments after-tax(1) | Net realized (gains) losses on investments after-tax(1) | $ | (95) | | $ | (554) | | $ | (361) | | $ | (830) | | Net realized (gains) losses on investments after-tax(1) | $ | (75) | | $ | (210) | | $ | (437) | | $ | (1,052) | |
| Realized DVA (gains) losses on fair value option liabilities, pretax | Realized DVA (gains) losses on fair value option liabilities, pretax | $ | 13 | | $ | (37) | | $ | 69 | | $ | (6) | | Realized DVA (gains) losses on fair value option liabilities, pretax | $ | 72 | | $ | 8 | | $ | 141 | | $ | 3 | |
| Tax effect | Tax effect | (3) | | 9 | | (17) | | 1 | | Tax effect | (16) | | (2) | | (32) | | (1) | |
| Net realized debt valuation adjustment, after-tax | Net realized debt valuation adjustment, after-tax | $ | 10 | | $ | (28) | | $ | 52 | | $ | (5) | | Net realized debt valuation adjustment, after-tax | $ | 56 | | $ | 6 | | $ | 109 | | $ | 2 | |
| Interest rate contracts | Interest rate contracts | $ | (266) | | $ | (200) | | $ | (544) | | $ | (203) | | Interest rate contracts | $ | (269) | | $ | (256) | | $ | (809) | | $ | (459) | |
| Foreign exchange contracts | Foreign exchange contracts | 1 | | 1 | | 2 | | 2 | | Foreign exchange contracts | 1 | | 1 | | 3 | | 3 | |
| Subtotal, pretax | Subtotal, pretax | $ | (265) | | $ | (199) | | $ | (542) | | $ | (201) | | Subtotal, pretax | $ | (268) | | $ | (255) | | $ | (806) | | $ | (456) | |
| Tax effect | Tax effect | 64 | | 47 | | 129 | | 48 | | Tax effect | 65 | | 61 | | 194 | | 109 | |
Amortization of cash flow hedges, after-tax(2) | Amortization of cash flow hedges, after-tax(2) | $ | (201) | | $ | (152) | | $ | (413) | | $ | (153) | | Amortization of cash flow hedges, after-tax(2) | $ | (203) | | $ | (194) | | $ | (612) | | $ | (347) | |
| Amortization of unrecognized: | Amortization of unrecognized: | | | | Amortization of unrecognized: | | | |
| Prior service cost (benefit) | Prior service cost (benefit) | $ | (6) | | $ | (3) | | $ | (12) | | $ | (6) | | Prior service cost (benefit) | $ | (5) | | $ | (4) | | $ | (17) | | $ | (10) | |
| Net actuarial loss | Net actuarial loss | 71 | | 75 | | 158 | | 154 | | Net actuarial loss | 74 | | 85 | | 232 | | 239 | |
Curtailment/settlement impact(3) | Curtailment/settlement impact(3) | 4 | | 3 | | 4 | | 3 | | Curtailment/settlement impact(3) | 1 | | (5) | | 5 | | (2) | |
| Subtotal, pretax | Subtotal, pretax | $ | 69 | | $ | 75 | | $ | 150 | | $ | 151 | | Subtotal, pretax | $ | 70 | | $ | 76 | | $ | 220 | | $ | 227 | |
| Tax effect | Tax effect | (18) | | (20) | | (38) | | (38) | | Tax effect | (19) | | (19) | | (57) | | (57) | |
Amortization of benefit plans, after-tax(3) | Amortization of benefit plans, after-tax(3) | $ | 51 | | $ | 55 | | $ | 112 | | $ | 113 | | Amortization of benefit plans, after-tax(3) | $ | 51 | | $ | 57 | | $ | 163 | | $ | 170 | |
| Excluded component of fair value hedges, pretax | Excluded component of fair value hedges, pretax | $ | 1 | | 0 | $ | 1 | | 0 | Excluded component of fair value hedges, pretax | $ | 1 | | $ | — | | $ | 2 | | $ | — | |
| Tax effect | Tax effect | 0 | | 0 | | 0 | | 0 | | Tax effect | — | | — | | — | | — | |
| Excluded component of fair value hedges, after-tax | Excluded component of fair value hedges, after-tax | $ | 1 | | $ | 0 | | $ | 1 | | $ | 0 | | Excluded component of fair value hedges, after-tax | $ | 1 | | $ | — | | $ | 2 | | $ | — | |
| Foreign currency translation adjustment, pretax | Foreign currency translation adjustment, pretax | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Foreign currency translation adjustment, pretax | $ | 20 | | $ | — | | $ | 20 | | $ | — | |
| Tax effect | Tax effect | 0 | | 0 | | 0 | | 0 | | Tax effect | (7) | | — | | (7) | | — | |
| Foreign currency translation adjustment, after-tax | Foreign currency translation adjustment, after-tax | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Foreign currency translation adjustment, after-tax | $ | 13 | | $ | — | | $ | 13 | | $ | — | |
Total amounts reclassified out of AOCI, pretax | Total amounts reclassified out of AOCI, pretax | $ | (310) | | $ | (890) | | $ | (782) | | $ | (1,165) | | Total amounts reclassified out of AOCI, pretax | $ | (201) | | $ | (445) | | $ | (979) | | $ | (1,609) | |
| Total tax effect | Total tax effect | 76 | | 211 | | 173 | | 290 | | Total tax effect | 44 | | 104 | | 217 | | 382 | |
Total amounts reclassified out of AOCI, after-tax | Total amounts reclassified out of AOCI, after-tax | $ | (234) | | $ | (679) | | $ | (609) | | $ | (875) | | Total amounts reclassified out of AOCI, after-tax | $ | (157) | | $ | (341) | | $ | (762) | | $ | (1,227) | |
(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 on Form 10-K.
Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests or has continuing involvement through servicing a majority of the assets in a VIE is presented below:
| | | As of June 30, 2021 | | As of September 30, 2021 |
| | | Maximum exposure to loss in significant unconsolidated VIEs(1) | | | Maximum exposure to loss in significant unconsolidated VIEs(1) |
| | Funded exposures(2) | Unfunded exposures | | | Funded exposures(2) | Unfunded exposures | |
| In millions of dollars | 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 | $ | 30,948 | | $ | 30,948 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Credit card securitizations | $ | 30,343 | | $ | 30,343 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
Mortgage securitizations(4) | Mortgage securitizations(4) | | | | | | | | | Mortgage securitizations(4) | | | | | | | | |
| U.S. agency-sponsored | U.S. agency-sponsored | 114,664 | | 0 | | 114,664 | | 1,533 | | 0 | | 0 | | 50 | | 1,583 | | U.S. agency-sponsored | 114,519 | | — | | 114,519 | | 1,537 | | — | | — | | 47 | | 1,584 | |
| Non-agency-sponsored | Non-agency-sponsored | 57,157 | | 773 | | 56,384 | | 2,893 | | 0 | | 5 | | 0 | | 2,898 | | Non-agency-sponsored | 59,584 | | 677 | | 58,907 | | 2,327 | | — | | 1 | | — | | 2,328 | |
| Citi-administered asset-backed commercial paper conduits | Citi-administered asset-backed commercial paper conduits | 14,566 | | 14,566 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Citi-administered asset-backed commercial paper conduits | 12,460 | | 12,460 | | — | | — | | — | | — | | — | | — | |
| Collateralized loan obligations (CLOs) | Collateralized loan obligations (CLOs) | 11,430 | | 0 | | 11,430 | | 3,529 | | 0 | | 0 | | 0 | | 3,529 | | Collateralized loan obligations (CLOs) | 10,094 | | — | | 10,094 | | 3,254 | | — | | — | | — | | 3,254 | |
Asset-based financing(5) | Asset-based financing(5) | 256,827 | | 8,657 | | 248,170 | | 29,196 | | 1,195 | | 10,255 | | 0 | | 40,646 | | Asset-based financing(5) | 279,044 | | 11,106 | | 267,938 | | 29,033 | | 1,283 | | 11,008 | | — | | 41,324 | |
| Municipal securities tender option bond trusts (TOBs) | Municipal securities tender option bond trusts (TOBs) | 3,302 | | 915 | | 2,387 | | 0 | | 0 | | 1,523 | | 0 | | 1,523 | | Municipal securities tender option bond trusts (TOBs) | 3,320 | | 909 | | 2,411 | | 16 | | — | | 1,529 | | — | | 1,545 | |
| Municipal investments | Municipal investments | 21,914 | | 0 | | 21,914 | | 2,662 | | 3,797 | | 3,539 | | 0 | | 9,998 | | Municipal investments | 21,078 | | 3 | | 21,075 | | 2,677 | | 3,706 | | 3,558 | | — | | 9,941 | |
| Client intermediation | Client intermediation | 911 | | 470 | | 441 | | 75 | | 0 | | 0 | | 56 | | 131 | | Client intermediation | 872 | | 280 | | 592 | | 75 | | — | | — | | 206 | | 281 | |
| Investment funds | Investment funds | 483 | | 158 | | 325 | | 2 | | 0 | | 13 | | 1 | | 16 | | Investment funds | 523 | | 192 | | 331 | | 1 | | — | | 13 | | 5 | | 19 | |
| Other | Other | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Other | — | | — | | — | | — | | — | | — | | — | | — | |
| Total | Total | $ | 512,202 | | $ | 56,487 | | $ | 455,715 | | $ | 39,890 | | $ | 4,992 | | $ | 15,335 | | $ | 107 | | $ | 60,324 | | Total | $ | 531,837 | | $ | 55,970 | | $ | 475,867 | | $ | 38,920 | | $ | 4,989 | | $ | 16,109 | | $ | 258 | | $ | 60,276 | |
| | | As of December 31, 2020 | | As of December 31, 2020 |
| | | 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 | $ | 32,420 | | $ | 32,420 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
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 | 123,999 | | — | | 123,999 | | 1,948 | | — | | — | | 61 | | 2,009 | |
| Non-agency-sponsored | Non-agency-sponsored | 46,132 | | 939 | | 45,193 | | 2,550 | | 0 | | 2 | | 1 | | 2,553 | | Non-agency-sponsored | 46,132 | | 939 | | 45,193 | | 2,550 | | — | | 2 | | 1 | | 2,553 | |
| 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 | 16,730 | | 16,730 | | — | | — | | — | | — | | — | | — | |
| Collateralized loan obligations (CLOs) | Collateralized loan obligations (CLOs) | 18,332 | | 0 | | 18,332 | | 4,273 | | 0 | | 0 | | 0 | | 4,273 | | Collateralized loan obligations (CLOs) | 18,332 | | — | | 18,332 | | 4,273 | | — | | — | | — | | 4,273 | |
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) | 222,274 | | 8,069 | | 214,205 | | 25,153 | | 1,587 | | 9,114 | | — | | 35,854 | |
| 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) | 3,349 | | 835 | | 2,514 | | — | | — | | 1,611 | | — | | 1,611 | |
| Municipal investments | Municipal investments | 20,335 | | 0 | | 20,335 | | 2,569 | | 4,056 | | 3,041 | | 0 | | 9,666 | | Municipal investments | 20,335 | | — | | 20,335 | | 2,569 | | 4,056 | | 3,041 | | — | | 9,666 | |
| Client intermediation | Client intermediation | 1,352 | | 910 | | 442 | | 88 | | 0 | | 0 | | 56 | | 144 | | Client intermediation | 1,352 | | 910 | | 442 | | 88 | | — | | — | | 56 | | 144 | |
| Investment funds | Investment funds | 488 | | 153 | | 335 | | 0 | | 0 | | 15 | | 0 | | 15 | | Investment funds | 488 | | 153 | | 335 | | — | | — | | 15 | | — | | 15 | |
| 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 | $ | 485,411 | | $ | 60,056 | | $ | 425,355 | | $ | 36,581 | | $ | 5,643 | | $ | 13,783 | | $ | 118 | | $ | 56,125 | |
(1) The definition of maximum exposure to loss is included in the text that follows this table.
(2) Included on Citigroup’s JuneSeptember 30, 2021 and December 31, 2020 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 $109$115 billion and $78 billion in unconsolidated VIE assets and $507 million and $425 million in maximum exposure to loss as of JuneSeptember 30, 2021 and December 31, 2020, respectively.
The previous tables do not include:
•certain venture capital investments made by some of the Company’s private equity subsidiaries, as the Company accounts for these investments in accordance with the Investment Company Audit Guide (codified in ASC 946);
•certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;
•certain third-party sponsored private equity funds to which the Company provides secured credit facilities. The Company has no decision-making power and does not consolidate these funds, some of which may meet the definition of a VIE. The Company’s maximum exposure to loss is generally limited to a loan or lending-related commitment. As of JuneSeptember 30, 2021 and December 31, 2020, the Company’s maximum exposure to loss related to these deals was $59.6$56.6 billion and $57.0 billion, respectively (for more information on these positions, see Note 13 to the Consolidated Financial Statements and Note 26 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report on Form 10-K);
•certain VIEs structured by third parties in which the Company holds securities in inventory, as these investments are made on arm’s-length terms;
•certain positions in mortgage- and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, in which the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 12 and 20 to the Consolidated Financial Statements);
•certain representations and warranties exposures in legacy ICG-sponsored mortgage- and asset-backed securitizations in which the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 in which the Company has no variable interest or continuing involvement as servicer was approximately $5.0$4.7 billion and $5.2 billion at JuneSeptember 30, 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 classification of the asset (e.g., loan or security) and the associated accounting 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:
| | | June 30, 2021 | December 31, 2020 | | September 30, 2021 | December 31, 2020 |
| 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 | $ | — | | $ | 1 | | $ | — | | $ | 2 | |
| Asset-based financing | Asset-based financing | 0 | | 10,255 | | 0 | | 9,114 | | Asset-based financing | — | | 11,008 | | — | | 9,114 | |
| Municipal securities tender option bond trusts (TOBs) | Municipal securities tender option bond trusts (TOBs) | 1,523 | | 0 | | 1,611 | | 0 | | Municipal securities tender option bond trusts (TOBs) | 1,529 | | — | | 1,611 | | — | |
| Municipal investments | Municipal investments | 0 | | 3,539 | | 0 | | 3,041 | | Municipal investments | — | | 3,558 | | — | | 3,041 | |
| Investment funds | Investment funds | 0 | | 13 | | 0 | | 15 | | Investment funds | — | | 13 | | — | | 15 | |
| Other | Other | 0 | | 0 | | 0 | | 0 | | Other | — | | — | | — | | — | |
| Total funding commitments | Total funding commitments | $ | 1,523 | | $ | 13,812 | | $ | 1,611 | | $ | 12,172 | | Total funding commitments | $ | 1,529 | | $ | 14,580 | | $ | 1,611 | | $ | 12,172 | |
Significant Interests in Unconsolidated VIEs—Balance Sheet Classification
The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs:
| | In billions of dollars | In billions of dollars | June 30, 2021 | December 31, 2020 | In billions of dollars | September 30, 2021 | December 31, 2020 |
| Cash | Cash | $ | 0 | | $ | 0 | | Cash | $ | — | | $ | — | |
| Trading account assets | Trading account assets | 1.4 | | 2.0 | | Trading account assets | 1.4 | | 2.0 | |
| Investments | Investments | 9.6 | | 10.6 | | Investments | 9.3 | | 10.6 | |
| Total loans, net of allowance | Total loans, net of allowance | 33.2 | | 29.3 | | Total loans, net of allowance | 32.3 | | 29.3 | |
| Other | Other | 0.7 | | 0.3 | | Other | 0.9 | | 0.3 | |
| Total assets | Total assets | $ | 44.9 | | $ | 42.2 | | Total assets | $ | 43.9 | | $ | 42.2 | |
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 | June 30, 2021 | December 31, 2020 | In billions of dollars | September 30, 2021 | December 31, 2020 |
Ownership interests in principal amount of trust credit card receivables | | Sold to investors via trust-issued securities | Sold to investors via trust-issued securities | $ | 11.0 | | $ | 15.7 | | Sold to investors via trust-issued securities | $ | 11.0 | | $ | 15.7 | |
| Retained by Citigroup as trust-issued securities | Retained by Citigroup as trust-issued securities | 7.2 | | 7.9 | | Retained by Citigroup as trust-issued securities | 7.2 | | 7.9 | |
| Retained by Citigroup via non-certificated interests | Retained by Citigroup via non-certificated interests | 14.6 | | 11.1 | | Retained by Citigroup via non-certificated interests | 13.9 | | 11.1 | |
| Total | Total | $ | 32.8 | | $ | 34.7 | | Total | $ | 32.1 | | $ | 34.7 | |
The following tables summarizetable summarizes selected cash flow information related to Citigroup’s credit card securitizations:
| | | | | | | | |
| Three Months Ended June 30, |
| In billions of dollars | 2021 | 2020 |
| Proceeds from new securitizations | $ | 0 | | $ | 0 | |
| Pay down of maturing notes | (1.1) | | (3.2) | |
| | |
| | | Six Months Ended
June 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In billions of dollars | In billions of dollars | 2021 | 2020 | In billions of dollars | 2021 | 2020 | 2021 | 2020 |
| Proceeds from new securitizations | Proceeds from new securitizations | $ | 0 | | $ | 0 | | Proceeds from new securitizations | $ | — | | $ | — | | $ | — | | $ | — | |
| Pay down of maturing notes | Pay down of maturing notes | (4.7) | | (3.2) | | Pay down of maturing notes | — | | (1.1) | | (4.7) | | (4.3) | |
|
Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was 3.63.3 years as of JuneSeptember 30, 2021 and 2.9 years as of December 31, 2020.
| | | | | | | | |
| In billions of dollars | Sept. 30, 2021 | Dec. 31, 2020 |
| Term notes issued to third parties | $ | 9.7 | | $ | 13.9 | |
| Term notes retained by Citigroup affiliates | 2.2 | | 2.7 | |
| Total Master Trust liabilities | $ | 11.9 | | $ | 16.6 | |
| | | | | | | | |
| In billions of dollars | Jun. 30, 2021 | Dec. 31, 2020 |
| Term notes issued to third parties | $ | 9.7 | | $ | 13.9 | |
| Term notes retained by Citigroup affiliates | 2.2 | | 2.7 | |
| Total Master Trust liabilities | $ | 11.9 | | $ | 16.6 | |
Omni Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Omni Trust was 1.81.9 years as of JuneSeptember 30, 2021 and 1.1 years as of December 31, 2020.
| | In billions of dollars | In billions of dollars | Jun. 30, 2021 | Dec. 31, 2020 | In billions of dollars | Sept. 30, 2021 | Dec. 31, 2020 |
| Term notes issued to third parties | Term notes issued to third parties | $ | 1.3 | | $ | 1.8 | | Term notes issued to third parties | $ | 1.3 | | $ | 1.8 | |
| Term notes retained by Citigroup affiliates | Term notes retained by Citigroup affiliates | 5.0 | | 5.2 | | Term notes retained by Citigroup affiliates | 5.0 | | 5.2 | |
| Total Omni Trust liabilities | Total Omni Trust liabilities | $ | 6.3 | | $ | 7.0 | | Total Omni Trust liabilities | $ | 6.3 | | $ | 7.0 | |
The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:
| | | Three Months Ended June 30, | | Three Months Ended September 30, |
| | 2021 | 2020 | | 2021 | 2020 |
| In billions of dollars | In billions of dollars | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages | In billions of dollars | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages |
| Principal securitized | Principal securitized | $ | 1.9 | | $ | 7.1 | | $ | 2.4 | | $ | 0.9 | | Principal securitized | $ | 0.5 | | $ | 1.7 | | $ | 2.7 | | $ | 2.9 | |
| Proceeds from new securitizations | Proceeds from new securitizations | 1.9 | | 7.2 | | 2.6 | | 0.9 | | Proceeds from new securitizations | 0.5 | | 1.9 | | 2.9 | | 4.5 | |
| Purchases of previously transferred financial assets | Purchases of previously transferred financial assets | 0 | | 0 | | 0 | | 0 | | Purchases of previously transferred financial assets | — | | — | | 0.2 | | — | |
| | | |
| | | Six Months Ended June 30, | | Nine Months Ended September 30, |
| | 2021 | 2020 | | 2021 | 2020 |
| In billions of dollars | In billions of dollars | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages | In billions of dollars | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages |
| Principal securitized | Principal securitized | $ | 4.9 | | $ | 18.1 | | $ | 4.5 | | $ | 1.6 | | Principal securitized | $ | 5.4 | | $ | 19.8 | | $ | 7.2 | | $ | 5.4 | |
| Proceeds from new securitizations | Proceeds from new securitizations | 5.1 | | 17.8 | | 4.7 | | 3.4 | | Proceeds from new securitizations | 5.6 | | 19.7 | | 7.6 | | 7.9 | |
| Contractual servicing fees received | | Contractual servicing fees received | 0.1 | | — | | 0.1 | | — | |
| Purchases of previously transferred financial assets | Purchases of previously transferred financial assets | 0.1 | | 0 | | 0.1 | | 0 | | Purchases of previously transferred financial assets | 0.1 | | — | | 0.3 | | — | |
| | | |
Note: Excludes re-securitization transactions.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $0.2$2 million and $1.3$3 million for the three and sixnine months ended JuneSeptember 30, 2021, respectively. For the three and sixnine months ended JuneSeptember 30, 2021, gains recognized on the securitization of non-agency sponsorednon-agency-sponsored mortgages were $135.6$121 million and $301.7$423 million, respectively.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $2$83 million and $4$87 million for the three and sixnine months ended JuneSeptember 30, 2020.2020, respectively. Gains recognized on the securitization of non-agency sponsorednon-agency-sponsored mortgages were $27$51 million and $65$116 million for the three and sixnine months ended JuneSeptember 30, 2020, respectively.
| | | June 30, 2021 | December 31, 2020 | | September 30, 2021 | December 31, 2020 |
| | | Non-agency-sponsored mortgages(1) | | Non-agency-sponsored mortgages(1) | | | Non-agency-sponsored mortgages(1) | | Non-agency-sponsored mortgages(1) |
| In millions of dollars | In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests(2) | Subordinated
interests | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests | 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) | Carrying value of retained interests(3) | $ | 388 | | $ | 2,393 | | $ | 479 | | $ | 315 | | $ | 1,210 | | $ | 145 | | Carrying value of retained interests(3) | $ | 379 | | $ | 1,777 | | $ | 500 | | $ | 315 | | $ | 1,210 | | $ | 145 | |
(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2) Senior interests in non-agency-sponsored mortgages include $93$82 million related to personal loan securitizations at JuneSeptember 30, 2021.
(3) Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 20 to the Consolidated Financial Statements for more information about fair value measurements.
Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:
| | | Three Months Ended June 30, 2021 | | Three Months Ended September 30, 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 | 9.0 | % | 1.8 | % | 2.8 | % | Weighted average discount rate | 8.6 | % | 2.2 | % | 2.4 | % |
| Weighted average constant prepayment rate | Weighted average constant prepayment rate | 4.2 | % | 0 | % | 10.0 | % | Weighted average constant prepayment rate | 5.9 | % | 4.3 | % | 13.3 | % |
Weighted average anticipated net credit losses(2) | Weighted average anticipated net credit losses(2) | NM | 0 | % | 1.0 | % | Weighted average anticipated net credit losses(2) | NM | 0.8 | % | 0.2 | % |
| Weighted average life | Weighted average life | 7.8 years | 6.7 years | 5.7 years | Weighted average life | 7.4 years | 3.2 years | 4.9 years |
| | | Three Months Ended June 30, 2020 | | Three Months Ended September 30, 2020 |
| | | | 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 | 3.5 | % | 6.2 | % | 3.0 | % | Weighted average discount rate | 3.5 | % | 1.8 | % | NM |
| Weighted average constant prepayment rate | Weighted average constant prepayment rate | 28.7 | % | 0 | % | 25.0 | % | Weighted average constant prepayment rate | 29.7 | % | 2.5 | % | NM |
Weighted average anticipated net credit losses(2) | Weighted average anticipated net credit losses(2) | NM | 0 | % | 0.5 | % | Weighted average anticipated net credit losses(2) | NM | 0.2 | % | NM |
| Weighted average life | Weighted average life | 4.1 years | 9.8 years | 2.3 years | Weighted average life | 4.2 years | 3.9 years | NM |
| | | Six Months Ended June 30, 2021 | | Nine Months Ended September 30, 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 | 8.9 | % | 0.4 | % | 2.9 | % | Weighted average discount rate | 8.8 | % | 2.2 | % | 2.8 | % |
| Weighted average constant prepayment rate | Weighted average constant prepayment rate | 5.0 | % | 0 | % | 10.3 | % | Weighted average constant prepayment rate | 5.3 | % | 6.3 | % | 10.6 | % |
Weighted average anticipated net credit losses(2) | Weighted average anticipated net credit losses(2) | NM | 0.4 | % | 1.1 | % | Weighted average anticipated net credit losses(2) | NM | 1.4 | % | 1.0 | % |
| Weighted average life | Weighted average life | 7.8 years | 3.4 years | 5.5 years | Weighted average life | 7.6 years | 3.4 years | 5.4 years |
| | | Six Months Ended June 30, 2020 | | Nine Months Ended September 30, 2020 |
| | | | 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 | 6.0 | % | 1.8 | % | 3.0 | % | Weighted average discount rate | 5.2 | % | 1.8 | % | 3.0 | % |
| Weighted average constant prepayment rate | Weighted average constant prepayment rate | 27.1 | % | 0 | % | 25.0 | % | Weighted average constant prepayment rate | 27.9 | % | 1.8 | % | 25.0 | % |
Weighted average anticipated net credit losses(2) | Weighted average anticipated net credit losses(2) | NM | 1.6 | % | 0.5 | % | Weighted average anticipated net credit losses(2) | NM | 0.7 | % | 0.5 | % |
| Weighted average life | Weighted average life | 4.7 years | 4.8 years | 2.3 years | Weighted average life | 4.5 years | 4.2 years | 2.3 years |
(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
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:
| | | June 30, 2021 | | September 30, 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 | 6.4 | % | 7.9 | % | 3.0 | % | Weighted average discount rate | 6.4 | % | 13.0 | % | 3.0 | % |
| Weighted average constant prepayment rate | Weighted average constant prepayment rate | 12.5 | % | 4.5 | % | 4.6 | % | Weighted average constant prepayment rate | 11.3 | % | 6.0 | % | 7.0 | % |
Weighted average anticipated net credit losses(2) | Weighted average anticipated net credit losses(2) | NM | 1.0 | % | 1.2 | % | Weighted average anticipated net credit losses(2) | NM | 1.5 | % |
| Weighted average life | Weighted average life | 5.5 years | 4.7 years | 18.2 years | Weighted average life | 5.7 years | 12.6 years | 18.2 years |
| | | | | | | | | | | |
| December 31, 2020 |
| |
| | Non-agency-sponsored mortgages(1) |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 5.9 | % | 7.2 | % | 4.3 | % |
| Weighted average constant prepayment rate | 22.7 | % | 5.3 | % | 4.7 | % |
Weighted average anticipated net credit losses(2) | NM | 1.2 | % | 1.4 | % |
| Weighted average life | 4.5 years | 5.3 years | 4.7 years |
(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
The sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions 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.
| | | June 30, 2021 | | September 30, 2021 |
| | | Non-agency-sponsored mortgages | | | Non-agency-sponsored mortgages |
| In millions of dollars | In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests | In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Discount rate | Discount rate | | Discount rate | |
| Adverse change of 10% | Adverse change of 10% | $ | (9) | | $ | 0 | | $ | (1) | | Adverse change of 10% | $ | (9) | | $ | — | | $ | — | |
| Adverse change of 20% | Adverse change of 20% | (18) | | 0 | | (2) | | Adverse change of 20% | (18) | | (1) | | (1) | |
| Constant prepayment rate | Constant prepayment rate | | Constant prepayment rate | |
| Adverse change of 10% | Adverse change of 10% | (20) | | 0 | | 0 | | Adverse change of 10% | (18) | | — | | — | |
| Adverse change of 20% | Adverse change of 20% | (38) | | 0 | | 0 | | Adverse change of 20% | (35) | | — | | — | |
| Anticipated net credit losses | Anticipated net credit losses | | Anticipated net credit losses | |
| Adverse change of 10% | Adverse change of 10% | NM | 0 | | 0 | | Adverse change of 10% | NM | — | | — | |
| Adverse change of 20% | Adverse change of 20% | NM | 0 | | 0 | | Adverse change of 20% | NM | — | | — | |
| | | December 31, 2020 | | December 31, 2020 |
| | | Non-agency-sponsored mortgages | | | Non-agency-sponsored mortgages |
| In millions of dollars | In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests | In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Discount rate | Discount rate | | Discount rate | |
| Adverse change of 10% | Adverse change of 10% | $ | (8) | | $ | 0 | | $ | (1) | | Adverse change of 10% | $ | (8) | | $ | — | | $ | (1) | |
| Adverse change of 20% | Adverse change of 20% | (15) | | (1) | | (1) | | Adverse change of 20% | (15) | | (1) | | (1) | |
| Constant prepayment rate | Constant prepayment rate | | Constant prepayment rate | |
| Adverse change of 10% | Adverse change of 10% | (21) | | 0 | | 0 | | Adverse change of 10% | (21) | | — | | — | |
| Adverse change of 20% | Adverse change of 20% | (40) | | 0 | | 0 | | Adverse change of 20% | (40) | | — | | — | |
| Anticipated net credit losses | Anticipated net credit losses | | Anticipated net credit losses | |
| Adverse change of 10% | Adverse change of 10% | NM | 0 | | 0 | | Adverse change of 10% | NM | — | | — | |
| Adverse change of 20% | Adverse change of 20% | NM | 0 | | 0 | | 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 | | Liquidation losses |
| | Securitized assets | 90 days past due | Three Months Ended June 30, | Six Months Ended June 30, | | Securitized assets | 90 days past due | Three Months Ended September 30, | Nine Months Ended September 30, |
| In billions of dollars, except liquidation losses in millions | In billions of dollars, except liquidation losses in millions | Jun. 30, 2021 | Dec. 31, 2020 | Jun. 30, 2021 | Dec. 31, 2020 | 2021 | 2020 | 2021 | 2020 | In billions of dollars, except liquidation losses in millions | Sept. 30, 2021 | Dec. 31, 2020 | Sept. 30, 2021 | Dec. 31, 2020 | 2021 | 2020 | 2021 | 2020 |
| Securitized assets | Securitized assets | | | | | | | | Securitized assets | | | | | | | |
Residential mortgages(1) | Residential mortgages(1) | $ | 28.7 | | $ | 16.9 | | $ | 0.4 | | $ | 0.5 | | $ | 5 | | $ | 7 | | $ | 6.6 | | $ | 18 | | Residential mortgages(1) | $ | 28.5 | | $ | 16.9 | | $ | 0.3 | | $ | 0.5 | | $ | 2 | | $ | 5 | | $ | 8 | | $ | 23 | |
| Commercial and other | Commercial and other | 25.8 | | 23.9 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Commercial and other | 25.6 | | 23.9 | | — | | — | | — | | — | | $ | — | | — | |
| Total | Total | $ | 54.5 | | $ | 40.8 | | $ | 0.4 | | $ | 0.5 | | $ | 5 | | $ | 7 | | $ | 6.6 | | $ | 18 | | Total | $ | 54.1 | | $ | 40.8 | | $ | 0.3 | | $ | 0.5 | | $ | 2 | | $ | 5 | | $ | 8 | | $ | 23 | |
(1) Securitized assets include $0.2 billion of personal loan securitizations as of JuneSeptember 30, 2021.
Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $419$409 million and $345$334 million at JuneSeptember 30, 2021 and 2020, respectively. The MSRs correspond to principal loan balances of $50$48 billion and $57$56 billion as of JuneSeptember 30, 2021 and 2020, respectively. The following table summarizes the changes in capitalized MSRs:
| | | Three Months Ended June 30, | Six Months Ended
June 30, | | Three Months Ended September 30, | Nine Months Ended
September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Balance, beginning of period | Balance, beginning of period | $ | 433 | | $ | 367 | | $ | 336 | | $ | 495 | | Balance, beginning of period | $ | 419 | | $ | 345 | | $ | 336 | | $ | 495 | |
| Originations | Originations | 25 | | 24 | | 68 | | 56 | | Originations | 8 | | 31 | | 76 | | 87 | |
| Changes in fair value of MSRs due to changes in inputs and assumptions | Changes in fair value of MSRs due to changes in inputs and assumptions | (21) | | (26) | | 52 | | (169) | | Changes in fair value of MSRs due to changes in inputs and assumptions | (3) | | (22) | | 49 | | (191) | |
Other changes(1) | Other changes(1) | (18) | | (20) | | (37) | | (37) | | Other changes(1) | (15) | | (20) | | (52) | | (57) | |
| Sales of MSRs | Sales of MSRs | 0 | | 0 | | 0 | | 0 | | Sales of MSRs | — | | — | | — | | — | |
| Balance, as of June 30 | $ | 419 | | $ | 345 | | $ | 419 | | $ | 345 | | |
| Balance, as of September 30 | | Balance, as of September 30 | $ | 409 | | $ | 334 | | $ | 409 | | $ | 334 | |
(1) Represents changes due to customer payments and passage of time.
The fair value of the MSRs is primarily affected by changes in prepayments of mortgages that result from shifts in mortgage interest rates. Specifically, higher interest rates tend to lead to declining prepayments, which causes the fair value of the MSRs to increase. In managing this risk, Citigroup
economically hedges a significant portion of the value of its
MSRs through the use of interest rate derivative contracts, forward purchase and sale commitments of mortgage-backed securities and purchased securities, all classified as Trading account assets.
The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:
| | | Three Months Ended June 30, | Six Months Ended June 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Servicing fees | Servicing fees | $ | 37 | | $ | 34 | | $ | 68 | | $ | 73 | | Servicing fees | $ | 32 | | $ | 29 | | $ | 100 | | $ | 102 | |
| Late fees | Late fees | 0 | | 1 | | 1 | | 3 | Late fees | 1 | | 1 | | 2 | | 4 |
| Ancillary fees | Ancillary fees | 0 | | 0 | | 0 | | 0 | Ancillary fees | — | | — | | — | | — |
| Total MSR fees | Total MSR fees | $ | 37 | | $ | 35 | | $ | 69 | | $ | 76 | | Total MSR fees | $ | 33 | | $ | 30 | | $ | 102 | | $ | 106 | |
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 JuneSeptember 30, 2021 and 2020. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of JuneSeptember 30, 2021 and December 31, 2020, Citi held 0no retained interests in private label re-securitization transactions structured by Citi.
The Company also re-securitizes U.S. government-agency-guaranteed mortgage-backed (agency) securities. During the three and sixnine months ended JuneSeptember 30, 2021, Citi transferred agency securities with a fair value of approximately $11.4$12.6 billion and $24.5$37.1 billion, respectively, to re-securitization entities compared to approximately $12$11.5 billion and $19.4$31.8 billion for the three and sixnine months ended JuneSeptember 30, 2020, respectively.
As of JuneSeptember 30, 2021, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $1.2 billion (including $410$526 million related to re-securitization transactions executed in 2021) compared to $1.6 billion as of December 31, 2020 (including $916 million related to re-securitization transactions executed in 2020), 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 JuneSeptember 30, 2021 and December 31, 2020 were approximately $76$78 billion and $83.6 billion, respectively.
As of JuneSeptember 30, 2021 and December 31, 2020, the Company did not consolidate any private label or agency re-securitization entities.
Citi-Administered Asset-Backed Commercial Paper Conduits
At JuneSeptember 30, 2021 and December 31, 2020, the commercial paper conduits administered by Citi had approximately $14.6$12.5 billion and $16.7 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $20$20.5 billion and $17.1 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At JuneSeptember 30, 2021 and December 31, 2020, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 5265 and 54 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 $1.3$1.1 billion and $1.5 billion as of JuneSeptember 30, 2021 and December 31, 2020, respectively. The net result across multi-seller conduits administered by the Company is that, in the event that defaulted assets exceed the transaction-specific credit enhancements described above, any losses in each conduit are allocated first to the Company and then to the commercial paper investors.
At JuneSeptember 30, 2021 and December 31, 2020, the Company owned $5.6$2.5 billion and $6.6 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 JuneSeptember 30, 2021 and 2020. The following table summarizes selected retained interests related to Citigroup CLOs:
| | In millions of dollars | In millions of dollars | Jun. 30, 2021 | Dec. 31, 2020 | In millions of dollars | Sept. 30, 2021 | Dec. 31, 2020 |
| Carrying value of retained interests | Carrying value of retained interests | $ | 1,574 | | $ | 1,611 | | Carrying value of retained interests | $ | 1,519 | | $ | 1,611 | |
All of Citi’s retained interests were held-to-maturity securities as of JuneSeptember 30, 2021 and December 31, 2020.
Asset-Based Financing
The primary types of Citi’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement and Citi’s maximum exposure to loss are shown below. For Citi to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.
| | | | | | | | |
| June 30, 2021 |
| In millions of dollars | Total
unconsolidated
VIE assets | Maximum
exposure to
unconsolidated VIEs |
| Type | | |
Commercial and other
real estate | $ | 33,341 | | $ | 7,073 | |
| Corporate loans | 15,963 | | 10,588 | |
| Other (including investment funds, airlines and shipping) | 198,866 | | 22,985 | |
| Total | $ | 248,170 | | $ | 40,646 | |
| | | | | | | | |
| December 31, 2020 |
| In millions of dollars | Total
unconsolidated
VIE assets | Maximum
exposure to
unconsolidated VIEs |
| Type | | |
Commercial and other
real estate | $ | 34,570 | | $ | 7,758 | |
| Corporate loans | 12,022 | | 7,654 | |
| Other (including investment funds, airlines and shipping) | 167,613 | | 20,442 | |
| Total | $ | 214,205 | | $ | 35,854 | |
Municipal Securities Tender Option Bond (TOB) Trusts
At JuneSeptember 30, 2021 and December 31, 2020, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At JuneSeptember 30, 2021 and December 31, 2020, liquidity agreements provided with respect to customer TOB trusts totaled $1.5 billion and $1.6 billion, respectively, of which $0.7 billion and $0.8 billion, respectively, were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the residual owned by the customer was at least 25% of the bond value at the inception of the transaction, no reimbursement agreement was executed.
The Company also provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled $2.5$2.2 billion and $3.6 billion as of JuneSeptember 30, 2021 and December 31, 2020, 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.
| | | | | | | | | | | | | | |
| September 30, 2021 | December 31, 2020 |
| 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 | $ | 33,741 | | $ | 6,841 | | $ | 34,570 | | $ | 7,758 | |
| Corporate loans | 18,465 | | 11,363 | | 12,022 | | 7,654 | |
| Other (including investment funds, airlines and shipping) | 215,732 | | 23,120 | | 167,613 | | 20,442 | |
| Total | $ | 267,938 | | $ | 41,324 | | $ | 214,205 | | $ | 35,854 | |
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 on 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 | June 30,
2021 | December 31,
2020 | June 30,
2021 | December 31,
2020 | | In millions of dollars | September 30,
2021 | December 31,
2020 | September 30,
2021 | December 31,
2020 | |
| Interest rate contracts | Interest rate contracts | | | | | Interest rate contracts | | | | |
| Swaps | Swaps | $ | 295,160 | | $ | 334,351 | | $ | 19,629,538 | | $ | 17,724,147 | | | Swaps | $ | 283,433 | | $ | 334,351 | | $ | 20,154,428 | | $ | 17,724,147 | | |
| Futures and forwards | Futures and forwards | 0 | | 0 | | 4,381,531 | | 4,142,514 | | | Futures and forwards | — | | — | | 3,485,545 | | 4,142,514 | | |
| Written options | Written options | 0 | | 0 | | 1,598,478 | | 1,573,483 | | | Written options | — | | — | | 1,619,341 | | 1,573,483 | | |
| Purchased options | Purchased options | 0 | | 0 | | 1,472,341 | | 1,418,255 | | | Purchased options | — | | — | | 1,470,167 | | 1,418,255 | | |
| Total interest rate contracts | Total interest rate contracts | $ | 295,160 | | $ | 334,351 | | $ | 27,081,888 | | $ | 24,858,399 | | | Total interest rate contracts | $ | 283,433 | | $ | 334,351 | | $ | 26,729,481 | | $ | 24,858,399 | | |
| Foreign exchange contracts | Foreign exchange contracts | | | | | | Foreign exchange contracts | | | | | |
| Swaps | Swaps | $ | 55,575 | | $ | 65,709 | | $ | 6,495,324 | | $ | 6,567,304 | | | Swaps | $ | 50,214 | | $ | 65,709 | | $ | 6,707,996 | | $ | 6,567,304 | | |
| Futures, forwards and spot | Futures, forwards and spot | 42,510 | | 37,080 | | 4,586,090 | | 3,945,391 | | | Futures, forwards and spot | 54,135 | | 37,080 | | 4,778,312 | | 3,945,391 | | |
| Written options | Written options | 24 | | 47 | | 796,584 | | 907,338 | | | Written options | — | | 47 | | 746,078 | | 907,338 | | |
| Purchased options | Purchased options | 26 | | 53 | | 790,172 | | 900,626 | | | Purchased options | — | | 53 | | 740,239 | | 900,626 | | |
| Total foreign exchange contracts | Total foreign exchange contracts | $ | 98,135 | | $ | 102,889 | | $ | 12,668,170 | | $ | 12,320,659 | | | Total foreign exchange contracts | $ | 104,349 | | $ | 102,889 | | $ | 12,972,625 | | $ | 12,320,659 | | |
| Equity contracts | Equity contracts | | | | | | Equity contracts | | | | | |
| Swaps | Swaps | $ | 0 | | $ | 0 | | $ | 306,856 | | $ | 274,098 | | | Swaps | $ | — | | $ | — | | $ | 313,557 | | $ | 274,098 | | |
| Futures and forwards | Futures and forwards | 0 | | 0 | | 82,175 | | 67,025 | | | Futures and forwards | — | | — | | 92,136 | | 67,025 | | |
| Written options | Written options | 0 | | 0 | | 525,671 | | 441,003 | | | Written options | — | | — | | 585,440 | | 441,003 | | |
| Purchased options | Purchased options | 0 | | 0 | | 436,045 | | 328,202 | | | Purchased options | — | | — | | 473,549 | | 328,202 | | |
| Total equity contracts | Total equity contracts | $ | 0 | | $ | 0 | | $ | 1,350,747 | | $ | 1,110,328 | | | Total equity contracts | $ | — | | $ | — | | $ | 1,464,682 | | $ | 1,110,328 | | |
| Commodity and other contracts | Commodity and other contracts | | | | | | Commodity and other contracts | | | | | |
| Swaps | Swaps | $ | 0 | | $ | 0 | | $ | 90,785 | | $ | 80,127 | | | Swaps | $ | — | | $ | — | | $ | 94,768 | | $ | 80,127 | | |
| Futures and forwards | Futures and forwards | 1,929 | | 924 | | 168,072 | | 143,175 | | | Futures and forwards | 2,342 | | 924 | | 176,408 | | 143,175 | | |
| Written options | Written options | 0 | | 0 | | 68,024 | | 71,376 | | | Written options | — | | — | | 63,308 | | 71,376 | | |
| Purchased options | Purchased options | 0 | | 0 | | 64,810 | | 67,849 | | | Purchased options | — | | — | | 58,947 | | 67,849 | | |
| Total commodity and other contracts | Total commodity and other contracts | $ | 1,929 | | $ | 924 | | $ | 391,691 | | $ | 362,527 | | | Total commodity and other contracts | $ | 2,342 | | $ | 924 | | $ | 393,431 | | $ | 362,527 | | |
Credit derivatives(1) | Credit derivatives(1) | | | | | | Credit derivatives(1) | | | | | |
| Protection sold | Protection sold | $ | 0 | | $ | 0 | | $ | 563,906 | | $ | 543,607 | | | Protection sold | $ | — | | $ | — | | $ | 634,497 | | $ | 543,607 | | |
| Protection purchased | Protection purchased | 0 | | 0 | | 632,441 | | 612,770 | | | Protection purchased | — | | — | | 705,590 | | 612,770 | | |
| Total credit derivatives | Total credit derivatives | $ | 0 | | $ | 0 | | $ | 1,196,347 | | $ | 1,156,377 | | | Total credit derivatives | $ | — | | $ | — | | $ | 1,340,087 | | $ | 1,156,377 | | |
| Total derivative notionals | Total derivative notionals | $ | 395,224 | | $ | 438,164 | | $ | 42,688,843 | | $ | 39,808,290 | | | Total derivative notionals | $ | 390,124 | | $ | 438,164 | | $ | 42,900,306 | | $ | 39,808,290 | | |
(1)Credit derivatives are arrangements designed to allow one party (protection purchaser) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The Company enters into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk.
The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of JuneSeptember 30, 2021 and December 31, 2020. Gross positive fair values are offset against gross negative fair values by counterparty, pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount if a legal opinion supporting the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.
In addition, the 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 $275$290 billion and $280 billion as of JuneSeptember 30, 2021 and December 31, 2020, respectively, of derivative assets and derivative liabilities that previously would have been reported on a gross basis, but are now legally settled and not subject to collateral. The tables also present amounts that are not permitted to be offset, such as security collateral or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.
Derivative Mark-to-Market (MTM) Receivables/Payables
| | In millions of dollars at June 30, 2021 | Derivatives classified in
Trading account assets/liabilities(1)(2) | |
| In millions of dollars at September 30, 2021 | | In millions of dollars at September 30, 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 | $ | 1,331 | | $ | 38 | | Over-the-counter | $ | 1,964 | | $ | 30 | |
| Cleared | Cleared | 88 | | 148 | | Cleared | 244 | | 84 | |
| | Interest rate contracts | Interest rate contracts | $ | 1,419 | | $ | 186 | | Interest rate contracts | $ | 2,208 | | $ | 114 | |
| Over-the-counter | Over-the-counter | $ | 879 | | $ | 1,342 | | Over-the-counter | $ | 1,146 | | $ | 1,482 | |
| Cleared | Cleared | 0 | | 3 | | Cleared | 6 | | — | |
| | Foreign exchange contracts | Foreign exchange contracts | $ | 879 | | $ | 1,345 | | Foreign exchange contracts | $ | 1,152 | | $ | 1,482 | |
| | Total derivatives instruments designated as ASC 815 hedges | Total derivatives instruments designated as ASC 815 hedges | $ | 2,298 | | $ | 1,531 | | Total derivatives instruments designated as ASC 815 hedges | $ | 3,360 | | $ | 1,596 | |
| 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 | $ | 172,044 | | $ | 157,764 | | Over-the-counter | $ | 159,004 | | $ | 146,083 | |
| Cleared | Cleared | 12,425 | | 10,770 | | Cleared | 12,129 | | 10,673 | |
| Exchange traded | Exchange traded | 89 | | 21 | | Exchange traded | 55 | | 29 | |
| Interest rate contracts | Interest rate contracts | $ | 184,558 | | $ | 168,555 | | Interest rate contracts | $ | 171,188 | | $ | 156,785 | |
| Over-the-counter | Over-the-counter | $ | 117,330 | | $ | 115,100 | | Over-the-counter | $ | 130,707 | | $ | 128,259 | |
| Cleared | Cleared | 362 | | 290 | | Cleared | 401 | | 249 | |
| | Foreign exchange contracts | Foreign exchange contracts | $ | 117,692 | | $ | 115,390 | | Foreign exchange contracts | $ | 131,108 | | $ | 128,508 | |
| Over-the-counter | Over-the-counter | $ | 28,687 | | $ | 40,156 | | Over-the-counter | $ | 30,147 | | $ | 38,966 | |
| Cleared | Cleared | 0 | | 1 | | Cleared | 18 | | 24 | |
| Exchange traded | Exchange traded | 19,828 | | 19,770 | | Exchange traded | 23,516 | | 23,583 | |
| Equity contracts | Equity contracts | $ | 48,515 | | $ | 59,927 | | Equity contracts | $ | 53,681 | | $ | 62,573 | |
| Over-the-counter | Over-the-counter | $ | 23,419 | | $ | 25,917 | | Over-the-counter | $ | 43,833 | | $ | 43,394 | |
| | Exchange traded | Exchange traded | 1,778 | | 2,269 | | Exchange traded | 3,302 | | 3,824 | |
| Commodity and other contracts | Commodity and other contracts | $ | 25,197 | | $ | 28,186 | | Commodity and other contracts | $ | 47,135 | | $ | 47,218 | |
| Over-the-counter | Over-the-counter | $ | 7,108 | | $ | 7,206 | | Over-the-counter | $ | 7,237 | | $ | 7,331 | |
| Cleared | Cleared | 2,744 | | 3,271 | | Cleared | 3,005 | | 3,318 | |
| | Credit derivatives | Credit derivatives | $ | 9,852 | | $ | 10,477 | | Credit derivatives | $ | 10,242 | | $ | 10,649 | |
| Total derivatives instruments not designated as ASC 815 hedges | Total derivatives instruments not designated as ASC 815 hedges | $ | 385,814 | | $ | 382,535 | | Total derivatives instruments not designated as ASC 815 hedges | $ | 413,354 | | $ | 405,733 | |
| Total derivatives | Total derivatives | $ | 388,112 | | $ | 384,066 | | Total derivatives | $ | 416,714 | | $ | 407,329 | |
Cash collateral paid/received(3) | Cash collateral paid/received(3) | $ | 22,104 | | $ | 17,965 | | Cash collateral paid/received(3) | $ | 23,216 | | $ | 18,492 | |
Less: Netting agreements(4) | Less: Netting agreements(4) | (293,047) | | (293,047) | | Less: Netting agreements(4) | (313,526) | | (313,526) | |
Less: Netting cash collateral received/paid(5) | Less: Netting cash collateral received/paid(5) | (43,554) | | (48,079) | | Less: Netting cash collateral received/paid(5) | (48,391) | | (49,460) | |
Net receivables/payables included on the Consolidated Balance Sheet(6) | Net receivables/payables included on the Consolidated Balance Sheet(6) | $ | 73,615 | | $ | 60,905 | | Net receivables/payables included on the Consolidated Balance Sheet(6) | $ | 78,013 | | $ | 62,835 | |
| 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 | $ | (982) | | $ | (1,586) | | Less: Cash collateral received/paid | $ | (881) | | $ | (509) | |
| Less: Non-cash collateral received/paid | Less: Non-cash collateral received/paid | (6,800) | | (13,639) | | Less: Non-cash collateral received/paid | (5,726) | | (13,358) | |
Total net receivables/payables(6) | Total net receivables/payables(6) | $ | 65,833 | | $ | 45,680 | | Total net receivables/payables(6) | $ | 71,406 | | $ | 48,968 | |
(1)The derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements.
(2)Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(3)Reflects the net amount of the $70,183$72,676 million and $61,519$66,883 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $48,079$49,460 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $43,554$48,391 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $262$278 billion, $12 billion and $19$23 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(5)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)The net receivables/payables include approximately $12$10 billion of derivative asset and $13$12 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
| | In millions of dollars at December 31, 2020 | In millions of dollars at December 31, 2020 | Derivatives classified in
Trading account assets/liabilities(1)(2) | In millions of dollars at December 31, 2020 | 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 | $ | 1,781 | | $ | 161 | |
| Cleared | Cleared | 74 | | 319 | | Cleared | 74 | | 319 | |
| | Interest rate contracts | Interest rate contracts | $ | 1,855 | | $ | 480 | | Interest rate contracts | $ | 1,855 | | $ | 480 | |
| Over-the-counter | Over-the-counter | $ | 2,037 | | $ | 2,042 | | Over-the-counter | $ | 2,037 | | $ | 2,042 | |
| | Foreign exchange contracts | Foreign exchange contracts | $ | 2,037 | | $ | 2,042 | | Foreign exchange contracts | $ | 2,037 | | $ | 2,042 | |
| | 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 | $ | 3,892 | | $ | 2,522 | |
| 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 | $ | 228,519 | | $ | 209,330 | |
| Cleared | Cleared | 11,041 | | 12,563 | | Cleared | 11,041 | | 12,563 | |
| Exchange traded | Exchange traded | 46 | | 38 | | Exchange traded | 46 | | 38 | |
| Interest rate contracts | Interest rate contracts | $ | 239,606 | | $ | 221,931 | | Interest rate contracts | $ | 239,606 | | $ | 221,931 | |
| Over-the-counter | Over-the-counter | $ | 153,791 | | $ | 152,784 | | Over-the-counter | $ | 153,791 | | $ | 152,784 | |
| Cleared | Cleared | 842 | | 1,239 | | Cleared | 842 | | 1,239 | |
| Exchange traded | Exchange traded | 0 | | 1 | | Exchange traded | — | | 1 | |
| Foreign exchange contracts | Foreign exchange contracts | $ | 154,633 | | $ | 154,024 | | Foreign exchange contracts | $ | 154,633 | | $ | 154,024 | |
| Over-the-counter | Over-the-counter | $ | 29,244 | | $ | 41,036 | | Over-the-counter | $ | 29,244 | | $ | 41,036 | |
| Cleared | Cleared | 1 | | 18 | | Cleared | 1 | | 18 | |
| Exchange traded | Exchange traded | 21,274 | | 22,515 | | Exchange traded | 21,274 | | 22,515 | |
| Equity contracts | Equity contracts | $ | 50,519 | | $ | 63,569 | | Equity contracts | $ | 50,519 | | $ | 63,569 | |
| Over-the-counter | Over-the-counter | $ | 13,659 | | $ | 17,076 | | Over-the-counter | $ | 13,659 | | $ | 17,076 | |
| | Exchange traded | Exchange traded | 879 | | 1,017 | | Exchange traded | 879 | | 1,017 | |
| Commodity and other contracts | Commodity and other contracts | $ | 14,538 | | $ | 18,093 | | Commodity and other contracts | $ | 14,538 | | $ | 18,093 | |
| Over-the-counter | Over-the-counter | $ | 7,826 | | $ | 7,951 | | Over-the-counter | $ | 7,826 | | $ | 7,951 | |
| Cleared | Cleared | 1,963 | | 2,178 | | Cleared | 1,963 | | 2,178 | |
| | Credit derivatives | Credit derivatives | $ | 9,789 | | $ | 10,129 | | Credit derivatives | $ | 9,789 | | $ | 10,129 | |
| 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 | $ | 469,085 | | $ | 467,746 | |
| Total derivatives | Total derivatives | $ | 472,977 | | $ | 470,268 | | Total derivatives | $ | 472,977 | | $ | 470,268 | |
Cash collateral paid/received(3) | Cash collateral paid/received(3) | $ | 32,778 | | $ | 8,196 | | Cash collateral paid/received(3) | $ | 32,778 | | $ | 8,196 | |
Less: Netting agreements(4) | Less: Netting agreements(4) | (364,879) | | (364,879) | | Less: Netting agreements(4) | (364,879) | | (364,879) | |
Less: Netting cash collateral received/paid(5) | Less: Netting cash collateral received/paid(5) | (63,915) | | (45,628) | | Less: Netting cash collateral received/paid(5) | (63,915) | | (45,628) | |
Net receivables/payables included on the Consolidated Balance Sheet(6) | Net receivables/payables included on the Consolidated Balance Sheet(6) | $ | 76,961 | | $ | 67,957 | | Net receivables/payables included on the Consolidated Balance Sheet(6) | $ | 76,961 | | $ | 67,957 | |
| Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | 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 | $ | (1,567) | | $ | (473) | |
| Less: Non-cash collateral received/paid | Less: Non-cash collateral received/paid | (7,408) | | (13,087) | | Less: Non-cash collateral received/paid | (7,408) | | (13,087) | |
Total net receivables/payables(6) | Total net receivables/payables(6) | $ | 67,986 | | $ | 54,397 | | Total net receivables/payables(6) | $ | 67,986 | | $ | 54,397 | |
(1)The derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements.
(2)Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(3)Reflects the net amount of the $78,406 million and $72,111 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $45,628 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $63,915 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $336 billion, $9 billion and $20 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(5)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)The net receivables/payables include approximately $6 billion of derivative asset and $8 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
For the three and sixnine months ended JuneSeptember 30, 2021 and 2020, amounts recognized in Principal transactions in the Consolidated Statement of Income include certain derivatives not designated in a qualifying hedging relationship. Citigroup presents this disclosure by business classification, showing derivative gains and losses related to its trading activities together with gains and losses related to non-derivative instruments within the same trading portfolios, as this represents how these portfolios are risk managed. See Note 6 to the Consolidated Financial Statements for further information.
The amounts recognized in Other revenue in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains (losses) on the economically hedged items to the extent that such amounts are also recorded in Other revenue.
| | | | Gains (losses) included in
Other revenue | | Gains (losses) included in
Other revenue |
| | Three Months Ended June 30, | Six Months Ended June 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Interest rate contracts | Interest rate contracts | $ | (15) | | $ | 19 | | $ | (75) | | $ | 174 | | Interest rate contracts | $ | 9 | | $ | (3) | | $ | (66) | | $ | 171 | |
| Foreign exchange | Foreign exchange | (13) | | (61) | | (34) | | (37) | | Foreign exchange | (26) | | 19 | | (60) | | (18) | |
| Total | Total | $ | (28) | | $ | (42) | | $ | (109) | | $ | 137 | | Total | $ | (17) | | $ | 16 | | $ | (126) | | $ | 153 | |
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) | | Gains (losses) on fair value hedges(1) |
| | Three Months Ended June 30, | Six Months Ended June 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| | 2021 | 2020 | 2021 | 2020 | | 2021 | 2020 | 2021 | 2020 |
| In millions of dollars | In millions of dollars | Other revenue | Net interest revenue | Other revenue | Net interest revenue | Other
revenue | Net interest revenue | Other revenue | Net interest revenue | In millions of dollars | Other revenue | Net interest revenue | Other revenue | Net interest revenue | Other
revenue | Net interest revenue | Other revenue | Net interest revenue |
| Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | | | | | | | | Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | | | | | | | |
| Interest rate hedges | Interest rate hedges | $ | 0 | | $ | 454 | | $ | 0 | | $ | 239 | | $ | 0 | | $ | (3,481) | | $ | 0 | | $ | 7,086 | | Interest rate hedges | $ | — | | $ | (747) | | $ | — | | $ | (1,121) | | $ | — | | $ | (4,228) | | $ | — | | $ | 5,965 | |
| Foreign exchange hedges | Foreign exchange hedges | 220 | | 0 | | 434 | | 0 | | 10 | | 0 | | (1,477) | | 0 | | Foreign exchange hedges | (724) | | — | | 1,235 | | — | | (714) | | — | | (242) | | — | |
| Commodity hedges | Commodity hedges | (277) | | 0 | | (381) | | 0 | | (566) | | 0 | | (91) | | 0 | | Commodity hedges | (166) | | — | | (3) | | — | | (732) | | — | | (94) | | — | |
| Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | $ | (57) | | $ | 454 | | $ | 53 | | $ | 239 | | $ | (556) | | $ | (3,481) | | $ | (1,568) | | $ | 7,086 | | Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | $ | (890) | | $ | (747) | | $ | 1,232 | | $ | (1,121) | | $ | (1,446) | | $ | (4,228) | | $ | (336) | | $ | 5,965 | |
| Gain (loss) on the hedged item in designated and qualifying fair value hedges | Gain (loss) on the hedged item in designated and qualifying fair value hedges | | | | | | | | Gain (loss) on the hedged item in designated and qualifying fair value hedges | | | | | | | |
| Interest rate hedges | Interest rate hedges | $ | 0 | | $ | (559) | | $ | 0 | | $ | (313) | | $ | 0 | | $ | 3,267 | | $ | 0 | | $ | (7,128) | | Interest rate hedges | $ | — | | $ | 667 | | $ | — | | $ | 955 | | $ | — | | $ | 3,934 | | $ | — | | $ | (6,173) | |
| Foreign exchange hedges | Foreign exchange hedges | (220) | | 0 | | (434) | | 0 | | (10) | | 0 | | 1,477 | | 0 | | Foreign exchange hedges | 725 | | — | | (1,235) | | — | | 715 | | — | | 242 | | — | |
| Commodity hedges | Commodity hedges | 277 | | 0 | | 381 | | 0 | | 566 | | 0 | | 91 | | 0 | | Commodity hedges | 166 | | — | | 3 | | — | | 732 | | — | | 94 | | — | |
| Total gain (loss) on the hedged item in designated and qualifying fair value hedges | Total gain (loss) on the hedged item in designated and qualifying fair value hedges | $ | 57 | | $ | (559) | | $ | (53) | | $ | (313) | | $ | 556 | | $ | 3,267 | | $ | 1,568 | | $ | (7,128) | | Total gain (loss) on the hedged item in designated and qualifying fair value hedges | $ | 891 | | $ | 667 | | $ | (1,232) | | $ | 955 | | $ | 1,447 | | $ | 3,934 | | $ | 336 | | $ | (6,173) | |
Net gain (loss) on the hedging derivatives excluded from
assessment of the effectiveness of fair value hedges | Net gain (loss) on the hedging derivatives excluded from
assessment of the effectiveness of fair value hedges | | | | | | | | Net gain (loss) on the hedging derivatives excluded from
assessment of the effectiveness of fair value hedges | | | | | | | |
| Interest rate hedges | Interest rate hedges | $ | 0 | | $ | 1 | | $ | 0 | | $ | (18) | | $ | 0 | | $ | (3) | | $ | 0 | | $ | (23) | | Interest rate hedges | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | (3) | | $ | — | | $ | (23) | |
Foreign exchange hedges(2) | Foreign exchange hedges(2) | 13 | | 0 | | 17 | | 0 | | 17 | | 0 | | (41) | | 0 | | Foreign exchange hedges(2) | 79 | | — | | (24) | | — | | 96 | | — | | (65) | | — | |
| Commodity hedges | Commodity hedges | (53) | | 0 | | 15 | | 0 | | (75) | | 0 | | (10) | | 0 | | Commodity hedges | 42 | | — | | 91 | | — | | (33) | | — | | 81 | | — | |
| Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges | Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges | $ | (40) | | $ | 1 | | $ | 32 | | $ | (18) | | $ | (58) | | $ | (3) | | $ | (51) | | $ | (23) | | Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges | $ | 121 | | $ | — | | $ | 67 | | $ | — | | $ | 63 | | $ | (3) | | $ | 16 | | $ | (23) | |
(1)Gain (loss) amounts for interest rate risk hedges are included in Interest income/Interest expense. The accrued interest income on fair value hedges is recorded in Net interest revenue and is excluded from this table.
(2)Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings. Amounts related to cross-currency basis, which are recognized in AOCI, are not reflected in the table above. The amount of cross-currency basis included in AOCI was $(13)$12 million and $(26)$(14) million for the three and sixnine months ended JuneSeptember 30, 2021 and $16$(51) million and $49$(2) million for the three and sixnine months ended JuneSeptember 30, 2020, 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 JuneSeptember 30, 2021 and December 31, 2020, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities, that would reverse through earnings in future periods.
| | In millions of dollars | In millions of dollars | In millions of dollars |
| Balance sheet line item in which hedged item is recorded | 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 | 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 | Active | De-designated |
| As of June 30, 2021 | | |
| As of September 30, 2021 | | As of September 30, 2021 | |
Debt securities AFS(1)(3) | Debt securities AFS(1)(3) | $ | 78,108 | | $ | 59 | | $ | 126 | | Debt securities AFS(1)(3) | $ | 72,366 | | $ | 103 | | $ | 165 | |
| Long-term debt | Long-term debt | 159,712 | | 2,563 | | 4,177 | | Long-term debt | 155,659 | | 1,804 | | 4,061 | |
| As of December 31, 2020 | As of December 31, 2020 | | As of December 31, 2020 | |
Debt securities AFS(2)(3) | Debt securities AFS(2)(3) | $ | 81,082 | | $ | 28 | | $ | 342 | | Debt securities AFS(2)(3) | $ | 81,082 | | $ | 28 | | $ | 342 | |
| Long-term debt | Long-term debt | 169,026 | | 5,554 | | 4,989 | | Long-term debt | 169,026 | | 5,554 | | 4,989 | |
(1)These amounts include a cumulative basis adjustment of $111$76 million for active hedges and $(131)$(118) million for de-designated hedges as of JuneSeptember 30, 2021, related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $7 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $33$30 billion as of JuneSeptember 30, 2021) in a last-of-layer hedging relationship.
(2)These amounts include a cumulative basis adjustment of $(18) million for active hedges and $62 million for de-designated hedges as of December 31, 2020, related to certain prepayable financial assets designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $3 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $19 billion as of December 31, 2020) in a last-of-layer hedging relationship.
(3)Carrying amount represents the amortized cost.
Cash Flow Hedges
Citigroup hedges the variability of forecasted cash flows due to changes in contractually specified interest rates associated with floating-rate assets/liabilities and other forecasted transactions. These cash flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis.
For cash flow hedges, the entire change in the fair value of the hedging derivative is recognized in AOCI and then reclassified to earnings in the same period that the forecasted hedged cash flows impact earnings. The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of JuneSeptember 30, 2021 is approximately $1 billion. The maximum length of time over which forecasted cash flows are hedged is 10 years.
The pretax change in AOCI from cash flow hedges is presented below. The after-tax impact of cash flow hedges on AOCI is shown in Note 17 to the Consolidated Financial Statements.
| | | | Three Months Ended June 30, | Six Months Ended June 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
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 | $ | 39 | | $ | 294 | | $ | (416) | | $ | 2,791 | | Interest rate contracts | $ | 19 | | $ | (52) | | $ | (397) | | $ | 2,739 | |
| Foreign exchange contracts | Foreign exchange contracts | (3) | | (5) | | 0 | | (16) | | Foreign exchange contracts | (16) | | — | | (16) | | (16) | |
Total gain (loss) recognized in AOCI | Total gain (loss) recognized in AOCI | $ | 36 | | $ | 289 | | $ | (416) | | $ | 2,775 | | Total gain (loss) recognized in AOCI | $ | 3 | | $ | (52) | | $ | (413) | | $ | 2,723 | |
|
| Other
revenue | Net interest
revenue | Other
revenue |
Net interest
revenue | Other
revenue | Net interest
revenue | Other
revenue | Net interest
revenue |
| Other
revenue | Net interest
revenue | Other
revenue |
Net interest
revenue | Other
revenue | Net interest
revenue | Other
revenue | Net interest
revenue |
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 | | $ | 266 | | $ | 0 | | $ | 200 | | $ | 0 | | $ | 544 | | $ | 0 | | $ | 203 | | Interest rate contracts | $ | — | | $ | 269 | | $ | — | | $ | 256 | | $ | — | | $ | 809 | | $ | — | | $ | 459 | |
| Foreign exchange contracts | Foreign exchange contracts | (1) | | 0 | | (1) | | 0 | | (2) | | 0 | | (2) | | 0 | | Foreign exchange contracts | (1) | | — | | (1) | | — | | (3) | | — | | (3) | | — | |
Total gain (loss) reclassified from AOCI into earnings | Total gain (loss) reclassified from AOCI into earnings | $ | (1) | | $ | 266 | | $ | (1) | | $ | 200 | | $ | (2) | | $ | 544 | | $ | (2) | | $ | 203 | | Total gain (loss) reclassified from AOCI into earnings | $ | (1) | | $ | 269 | | $ | (1) | | $ | 256 | | $ | (3) | | $ | 809 | | $ | (3) | | $ | 459 | |
Net pretax change in cash flow hedges included within AOCI | Net pretax change in cash flow hedges included within AOCI | | $ | (229) | | | $ | 90 | | | $ | (958) | | | $ | 2,574 | | Net pretax change in cash flow hedges included within AOCI | | $ | (265) | | | $ | (307) | | | $ | (1,219) | | | $ | 2,267 | |
(1)All amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest revenue). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest revenue in the Consolidated Statement of Income.
Net Investment Hedges
The pretax gain (loss) recorded in Foreign currency translation adjustment within AOCI, related to net investment hedges, was ($426)$700 million and $131$831 million for the three and sixnine months ended JuneSeptember 30, 2021 and $(741)$(450) million and $1,419$882 million for the three and sixnine months ended JuneSeptember 30, 2020, respectively.
Credit Derivatives
The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:
| | | | | | | | | | | | | | |
| Fair values | Notionals |
| In millions of dollars at June 30, 2021 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold |
| By industry of counterparty | | | | |
| Banks | $ | 2,498 | | $ | 3,167 | | $ | 107,848 | | $ | 103,288 | |
| Broker-dealers | 1,817 | | 1,124 | | 45,629 | | 41,188 | |
| Non-financial | 119 | | 79 | | 6,089 | | 2,774 | |
Insurance and other financial
institutions | 5,418 | | 6,107 | | 472,875 | | 416,656 | |
| Total by industry of counterparty | $ | 9,852 | | $ | 10,477 | | $ | 632,441 | | $ | 563,906 | |
| By instrument | | | | |
| Credit default swaps and options | $ | 9,170 | | $ | 9,784 | | $ | 615,504 | | $ | 556,760 | |
| Total return swaps and other | 682 | | 693 | | 16,937 | | 7,146 | |
| Total by instrument | $ | 9,852 | | $ | 10,477 | | $ | 632,441 | | $ | 563,906 | |
| By rating of reference entity | | | | |
| Investment grade | $ | 4,192 | | $ | 4,036 | | $ | 477,097 | | $ | 421,549 | |
| Non-investment grade | 5,660 | | 6,441 | | 155,344 | | 142,357 | |
| Total by rating of reference entity | $ | 9,852 | | $ | 10,477 | | $ | 632,441 | | $ | 563,906 | |
| By maturity | | | | |
| Within 1 year | $ | 937 | | $ | 1,479 | | $ | 132,426 | | $ | 123,092 | |
| From 1 to 5 years | 6,157 | | 6,323 | | 441,620 | | 396,219 | |
| After 5 years | 2,758 | | 2,675 | | 58,395 | | 44,595 | |
| Total by maturity | $ | 9,852 | | $ | 10,477 | | $ | 632,441 | | $ | 563,906 | |
| | | | | | | | | | | | | | |
| Fair values | Notionals |
| In millions of dollars at September 30, 2021 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold |
| By industry of counterparty | | | | |
| Banks | $ | 2,384 | | $ | 3,060 | | $ | 112,636 | | $ | 108,122 | |
| Broker-dealers | 1,984 | | 1,229 | | 50,752 | | 44,525 | |
| Non-financial | 125 | | 75 | | 6,056 | | 2,635 | |
Insurance and other financial
institutions | 5,749 | | 6,285 | | 536,146 | | 479,215 | |
| Total by industry of counterparty | $ | 10,242 | | $ | 10,649 | | $ | 705,590 | | $ | 634,497 | |
| By instrument | | | | |
| Credit default swaps and options | $ | 9,609 | | $ | 9,927 | | $ | 689,107 | | $ | 626,484 | |
| Total return swaps and other | 633 | | 722 | | 16,483 | | 8,013 | |
| Total by instrument | $ | 10,242 | | $ | 10,649 | | $ | 705,590 | | $ | 634,497 | |
| By rating of reference entity | | | | |
| Investment grade | $ | 4,179 | | $ | 4,053 | | $ | 541,747 | | $ | 478,178 | |
| Non-investment grade | 6,063 | | 6,596 | | 163,843 | | 156,319 | |
| Total by rating of reference entity | $ | 10,242 | | $ | 10,649 | | $ | 705,590 | | $ | 634,497 | |
| By maturity | | | | |
| Within 1 year | $ | 783 | | $ | 1,274 | | $ | 131,085 | | $ | 121,324 | |
| From 1 to 5 years | 6,188 | | 6,192 | | 460,850 | | 419,029 | |
| After 5 years | 3,271 | | 3,183 | | 113,655 | | 94,144 | |
| Total by maturity | $ | 10,242 | | $ | 10,649 | | $ | 705,590 | | $ | 634,497 | |
(1)The fair value amount receivable is composed of $3,376$3,729 million under protection purchased and $6,476$6,513 million under protection sold.
(2)The fair value amount payable is composed of $7,228$7,244 million under protection purchased and $3,249$3,405 million under protection sold.
| | | | | | | | | | | | | | |
| | Fair values | Notionals |
| In millions of dollars at December 31, 2020 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold |
| By industry of counterparty | | | | |
| Banks | $ | 2,902 | | $ | 3,187 | | $ | 117,685 | | $ | 120,739 | |
| Broker-dealers | 1,770 | | 1,215 | | 46,928 | | 44,692 | |
| Non-financial | 109 | | 90 | | 5,740 | | 2,217 | |
Insurance and other financial
institutions | 5,008 | | 5,637 | | 442,417 | | 375,959 | |
| Total by industry of counterparty | $ | 9,789 | | $ | 10,129 | | $ | 612,770 | | $ | 543,607 | |
| By instrument | | | | |
| Credit default swaps and options | $ | 9,254 | | $ | 9,254 | | $ | 599,633 | | $ | 538,426 | |
| Total return swaps and other | 535 | | 875 | | 13,137 | | 5,181 | |
| Total by instrument | $ | 9,789 | | $ | 10,129 | | $ | 612,770 | | $ | 543,607 | |
| By rating of reference entity | | | | |
| Investment grade | $ | 4,136 | | $ | 4,037 | | $ | 478,643 | | $ | 418,147 | |
| Non-investment grade | 5,653 | | 6,092 | | 134,127 | | 125,460 | |
| Total by rating of reference entity | $ | 9,789 | | $ | 10,129 | | $ | 612,770 | | $ | 543,607 | |
| By maturity | | | | |
| Within 1 year | $ | 914 | | $ | 1,355 | | $ | 134,080 | | $ | 125,464 | |
| From 1 to 5 years | 6,022 | | 5,991 | | 421,682 | | 374,376 | |
| After 5 years | 2,853 | | 2,783 | | 57,008 | | 43,767 | |
| Total by maturity | $ | 9,789 | | $ | 10,129 | | $ | 612,770 | | $ | 543,607 | |
(1) The fair value amount receivable is composed of $3,514 million under protection purchased and $6,275 million under protection sold.
(2) The fair value amount payable is composed of $7,037 million under protection purchased and $3,092 million under protection sold.
Credit Risk-Related Contingent Features in Derivatives
Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates.
The fair value (excluding CVA) of all derivative instruments with credit risk-related contingent features that were in a net liability position at JuneSeptember 30, 2021 and December 31, 2020 was $21$20 billion and $25 billion, respectively. The Company posted $19$18 billion and $22 billion as collateral for this exposure in the normal course of business as of JuneSeptember 30, 2021 and December 31, 2020, respectively.
A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank were downgraded a single notch by all 3 major rating agencies as of JuneSeptember 30, 2021, the Company could be required to post an additional $1.2$1.5 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 $0.2$0.1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1.4$1.6 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 $3.9$1.6 billion and $2.0 billion as of JuneSeptember 30, 2021 and December 31, 2020, respectively.
At JuneSeptember 30, 2021, the fair value of these previously derecognized assets was $3.9$1.6 billion. The fair value of the total return swaps as of JuneSeptember 30, 2021 was $62$53 million recorded as gross derivative assets and $21$18 million recorded as gross derivative liabilities. At December 31, 2020, the fair value of these previously derecognized assets was $2.2 billion, and the fair value of the total return swaps was $135 million recorded as gross derivative assets and $7 million recorded as gross derivative liabilities.
The balances for the total return swaps are on a gross basis, before the application of counterparty and cash collateral netting, and are included primarily as equity derivatives in the tabular disclosures in this Note.
20. FAIR VALUE MEASUREMENT
For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
Market Valuation Adjustments
The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments at JuneSeptember 30, 2021 and December 31, 2020:
| | | | | | | | |
| | Credit and funding valuation adjustments
contra-liability (contra-asset) |
| In millions of dollars | June 30,
2021 | December 31,
2020 |
| Counterparty CVA | $ | (617) | | $ | (800) | |
| Asset FVA | (434) | | (525) | |
| Citigroup (own credit) CVA | 335 | | 403 | |
| Liability FVA | 78 | | 67 | |
| Total CVA—derivative instruments | $ | (638) | | $ | (855) | |
| | | | | | | | |
| | Credit and funding valuation adjustments
contra-liability (contra-asset) |
| In millions of dollars | September 30,
2021 | December 31,
2020 |
| Counterparty CVA | $ | (671) | | $ | (800) | |
| Asset FVA | (459) | | (525) | |
| Citigroup (own credit) CVA | 375 | | 403 | |
| Liability FVA | 80 | | 67 | |
| Total CVA—derivative instruments | $ | (675) | | $ | (855) | |
The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:
| | | | | | | | | | | | | | |
| | Credit/funding/debt valuation
adjustments gain (loss) |
| Three Months Ended June 30, | Six Months Ended June 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Counterparty CVA | $ | 34 | | $ | 45 | | $ | 43 | | $ | (238) | |
| Asset FVA | 25 | | 632 | | 94 | | (421) | |
| Own credit CVA | (41) | | (271) | | (78) | | 262 | |
| Liability FVA | (13) | | (214) | | 11 | | 123 | |
| Total CVA—derivative instruments | $ | 5 | | $ | 192 | | $ | 70 | | $ | (274) | |
DVA related to own FVO liabilities(1) | $ | (110) | | $ | (2,935) | | $ | (148) | | $ | 1,253 | |
| Total CVA and DVA | $ | (105) | | $ | (2,743) | | $ | (78) | | $ | 979 | |
| | | | | | | | | | | | | | |
| | Credit/funding/debt valuation
adjustments gain (loss) |
| Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Counterparty CVA | $ | 25 | | $ | 104 | | $ | 68 | | $ | (134) | |
| Asset FVA | (23) | | 105 | | 71 | | (316) | |
| Own credit CVA | 34 | | (62) | | (44) | | 200 | |
| Liability FVA | (63) | | (36) | | (52) | | 87 | |
| Total CVA—derivative instruments | $ | (27) | | $ | 111 | | $ | 43 | | $ | (163) | |
DVA related to own FVO liabilities(1) | $ | (107) | | $ | (452) | | $ | (256) | | $ | 801 | |
| Total CVA and DVA | $ | (134) | | $ | (341) | | $ | (213) | | $ | 638 | |
(1) See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on 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: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. These include quotedQuoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active and model-derived valuations in which all significant inputs and significant value drivers are observable in the market.
•Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.
As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible. The frequency of transactions, the size of the bid/ask spread and the amount of adjustment necessary when comparing similar transactions are all factors in determining the relevance of observed prices in those markets.
Items Measured at Fair Value on a Recurring Basis
The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at JuneSeptember 30, 2021 and December 31, 2020. The Company may hedge positions
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. The effects of these hedges are presented gross in the following tables:
Fair Value Levels
| | In millions of dollars at June 30, 2021 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance | |
| In millions of dollars at September 30, 2021 | | In millions of dollars at September 30, 2021 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Assets | Assets | | | Assets | | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | $ | 0 | | $ | 275,313 | | $ | 211 | | $ | 275,524 | | $ | (87,648) | | $ | 187,876 | | Securities borrowed and purchased under agreements to resell | $ | — | | $ | 328,482 | | $ | 257 | | $ | 328,739 | | $ | (116,539) | | $ | 212,200 | |
| Trading non-derivative assets | Trading non-derivative assets | | | Trading non-derivative assets | | |
| Trading mortgage-backed securities | Trading mortgage-backed securities | | | Trading mortgage-backed securities | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | 0 | | 31,998 | | 376 | | 32,374 | | — | | 32,374 | | U.S. government-sponsored agency guaranteed | — | | 29,577 | | 432 | | 30,009 | | — | | 30,009 | |
| Residential | Residential | 0 | | 368 | | 95 | | 463 | | — | | 463 | | Residential | — | | 415 | | 61 | | 476 | | — | | 476 | |
| Commercial | Commercial | 0 | | 900 | | 87 | | 987 | | — | | 987 | | Commercial | — | | 656 | | 120 | | 776 | | — | | 776 | |
| Total trading mortgage-backed securities | Total trading mortgage-backed securities | $ | 0 | | $ | 33,266 | | $ | 558 | | $ | 33,824 | | $ | — | | $ | 33,824 | | Total trading mortgage-backed securities | $ | — | | $ | 30,648 | | $ | 613 | | $ | 31,261 | | $ | — | | $ | 31,261 | |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | $ | 60,491 | | $ | 3,004 | | $ | 0 | | $ | 63,495 | | $ | — | | $ | 63,495 | | U.S. Treasury and federal agency securities | $ | 42,689 | | $ | 4,621 | | $ | — | | $ | 47,310 | | $ | — | | $ | 47,310 | |
| State and municipal | State and municipal | 0 | | 1,540 | | 70 | | 1,610 | | — | | 1,610 | | State and municipal | — | | 1,570 | | 71 | | 1,641 | | — | | 1,641 | |
| Foreign government | Foreign government | 60,726 | | 30,205 | | 141 | | 91,072 | | — | | 91,072 | | Foreign government | 54,922 | | 27,517 | | 33 | | 82,472 | | — | | 82,472 | |
| Corporate | Corporate | 1,939 | | 18,840 | | 823 | | 21,602 | | — | | 21,602 | | Corporate | 1,914 | | 20,833 | | 541 | | 23,288 | | — | | 23,288 | |
| Equity securities | Equity securities | 55,141 | | 13,038 | | 147 | | 68,326 | | — | | 68,326 | | Equity securities | 49,713 | | 10,350 | | 205 | | 60,268 | | — | | 60,268 | |
| Asset-backed securities | Asset-backed securities | 0 | | 1,016 | | 692 | | 1,708 | | — | | 1,708 | | Asset-backed securities | — | | 804 | | 664 | | 1,468 | | — | | 1,468 | |
Other trading assets(2) | Other trading assets(2) | 305 | | 14,838 | | 555 | | 15,698 | | — | | 15,698 | | Other trading assets(2) | — | | 16,278 | | 915 | | 17,193 | | — | | 17,193 | |
| Total trading non-derivative assets | Total trading non-derivative assets | $ | 178,602 | | $ | 115,747 | | $ | 2,986 | | $ | 297,335 | | $ | — | | $ | 297,335 | | Total trading non-derivative assets | $ | 149,238 | | $ | 112,621 | | $ | 3,042 | | $ | 264,901 | | $ | — | | $ | 264,901 | |
| Trading derivatives | Trading derivatives | | | Trading derivatives | | |
| Interest rate contracts | Interest rate contracts | $ | 61 | | $ | 183,139 | | $ | 2,777 | | $ | 185,977 | | | | Interest rate contracts | $ | 59 | | $ | 170,175 | | $ | 3,162 | | $ | 173,396 | | | |
| Foreign exchange contracts | Foreign exchange contracts | 0 | | 118,018 | | 553 | | 118,571 | | | | Foreign exchange contracts | — | | 131,744 | | 516 | | 132,260 | | | |
| Equity contracts | Equity contracts | 0 | | 46,973 | | 1,542 | | 48,515 | | | | Equity contracts | — | | 51,894 | | 1,787 | | 53,681 | | | |
| Commodity contracts | Commodity contracts | 0 | | 24,306 | | 891 | | 25,197 | | | | Commodity contracts | — | | 45,933 | | 1,202 | | 47,135 | | | |
| Credit derivatives | Credit derivatives | 0 | | 8,994 | | 858 | | 9,852 | | | | Credit derivatives | — | | 9,432 | | 810 | | 10,242 | | | |
| Total trading derivatives—before netting and collateral | Total trading derivatives—before netting and collateral | $ | 61 | | $ | 381,430 | | $ | 6,621 | | $ | 388,112 | | | | Total trading derivatives—before netting and collateral | $ | 59 | | $ | 409,178 | | $ | 7,477 | | $ | 416,714 | | | |
Cash collateral paid(3) | Cash collateral paid(3) | | $ | 22,104 | | | | Cash collateral paid(3) | | $ | 23,216 | | | |
| Netting agreements | Netting agreements | | $ | (293,047) | | | Netting agreements | | $ | (313,526) | | |
| Netting of cash collateral received | Netting of cash collateral received | | (43,554) | | | Netting of cash collateral received | | (48,391) | | |
| Total trading derivatives—after netting and collateral | Total trading derivatives—after netting and collateral | $ | 61 | | $ | 381,430 | | $ | 6,621 | | $ | 410,216 | | $ | (336,601) | | $ | 73,615 | | Total trading derivatives—after netting and collateral | $ | 59 | | $ | 409,178 | | $ | 7,477 | | $ | 439,930 | | $ | (361,917) | | $ | 78,013 | |
| Investments | Investments | | | Investments | | |
| Mortgage-backed securities | Mortgage-backed securities | | | Mortgage-backed securities | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | $ | 0 | | $ | 39,258 | | $ | 52 | | $ | 39,310 | | $ | — | | $ | 39,310 | | U.S. government-sponsored agency guaranteed | $ | — | | $ | 36,617 | | $ | 52 | | $ | 36,669 | | $ | — | | $ | 36,669 | |
| Residential | Residential | 0 | | 404 | | 0 | | 404 | | — | | 404 | | Residential | — | | 351 | | 12 | | 363 | | — | | 363 | |
| Commercial | Commercial | 0 | | 43 | | 0 | | 43 | | — | | 43 | | Commercial | — | | 34 | | — | | 34 | | — | | 34 | |
| Total investment mortgage-backed securities | Total investment mortgage-backed securities | $ | 0 | | $ | 39,705 | | $ | 52 | | $ | 39,757 | | $ | — | | $ | 39,757 | | Total investment mortgage-backed securities | $ | — | | $ | 37,002 | | $ | 64 | | $ | 37,066 | | $ | — | | $ | 37,066 | |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | $ | 126,147 | | $ | 0 | | $ | 0 | | $ | 126,147 | | $ | — | | $ | 126,147 | | U.S. Treasury and federal agency securities | $ | 123,004 | | $ | 170 | | $ | — | | $ | 123,174 | | $ | — | | $ | 123,174 | |
| State and municipal | State and municipal | 0 | | 2,331 | | 748 | | 3,079 | | — | | 3,079 | | State and municipal | — | | 1,949 | | 735 | | 2,684 | | — | | 2,684 | |
| Foreign government | Foreign government | 66,557 | | 52,703 | | 957 | | 120,217 | | — | | 120,217 | | Foreign government | 65,314 | | 54,068 | | 812 | | 120,194 | | — | | 120,194 | |
| Corporate | Corporate | 4,358 | | 3,441 | | 104 | | 7,903 | | — | | 7,903 | | Corporate | 3,577 | | 3,157 | | 192 | | 6,926 | | — | | 6,926 | |
| Marketable equity securities | Marketable equity securities | 129 | | 66 | | 0 | | 195 | | — | | 195 | | Marketable equity securities | 243 | | 136 | | — | | 379 | | — | | 379 | |
| Asset-backed securities | Asset-backed securities | 0 | | 208 | | 3 | | 211 | | — | | 211 | | Asset-backed securities | — | | 261 | | 3 | | 264 | | — | | 264 | |
| Other debt securities | Other debt securities | 0 | | 5,663 | | 0 | | 5,663 | | — | | 5,663 | | Other debt securities | — | | 5,265 | | — | | 5,265 | | — | | 5,265 | |
Non-marketable equity securities(4) | Non-marketable equity securities(4) | 0 | | 69 | | 382 | | 451 | | — | | 451 | | Non-marketable equity securities(4) | — | | 47 | | 347 | | 394 | | — | | 394 | |
| Total investments | Total investments | $ | 197,191 | | $ | 104,186 | | $ | 2,246 | | $ | 303,623 | | $ | — | | $ | 303,623 | | Total investments | $ | 192,138 | | $ | 102,055 | | $ | 2,153 | | $ | 296,346 | | $ | — | | $ | 296,346 | |
Table continues on the next page.
| | In millions of dollars at June 30, 2021 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance | |
| In millions of dollars at September 30, 2021 | | In millions of dollars at September 30, 2021 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Loans | Loans | $ | 0 | $ | 7,278 | $ | 429 | $ | 7,707 | | $ | — | | $ | 7,707 | | Loans | $ | — | $ | 6,437 | $ | 722 | $ | 7,159 | | $ | — | | $ | 7,159 | |
| Mortgage servicing rights | Mortgage servicing rights | 0 | 419 | 419 | | — | | 419 | | Mortgage servicing rights | — | 409 | 409 | | — | | 409 | |
| | Non-trading derivatives and other financial assets measured on a recurring basis | Non-trading derivatives and other financial assets measured on a recurring basis | $ | 3,457 | $ | 7,571 | $ | 55 | $ | 11,083 | | $ | 0 | | $ | 11,083 | | Non-trading derivatives and other financial assets measured on a recurring basis | $ | 4,347 | $ | 7,462 | $ | 86 | $ | 11,895 | | $ | — | | $ | 11,895 | |
| Total assets | Total assets | $ | 379,311 | $ | 891,525 | $ | 12,967 | $ | 1,305,907 | | $ | (424,249) | | $ | 881,658 | | Total assets | $ | 345,782 | $ | 966,235 | $ | 14,146 | $ | 1,349,379 | | $ | (478,456) | | $ | 870,923 | |
Total as a percentage of gross assets(5) | Total as a percentage of gross assets(5) | 29.5% | 69.4% | 1.0% | | | Total as a percentage of gross assets(5) | 26.1% | 72.9% | 1.1% | | |
| Liabilities | Liabilities | | | Liabilities | | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 0 | $ | 2,595 | $ | 154 | $ | 2,749 | | $ | — | | $ | 2,749 | | Interest-bearing deposits | $ | — | $ | 2,531 | $ | 182 | $ | 2,713 | | $ | — | | $ | 2,713 | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 0 | 157,088 | 488 | 157,576 | | (80,871) | | 76,705 | | Securities loaned and sold under agreements to repurchase | — | 184,142 | 656 | 184,798 | | (109,536) | | 75,262 | |
| Trading account liabilities | Trading account liabilities | | | Trading account liabilities | | |
| Securities sold, not yet purchased | Securities sold, not yet purchased | 91,879 | 21,740 | 168 | 113,787 | | — | | 113,787 | | Securities sold, not yet purchased | 98,685 | 17,671 | 88 | 116,444 | | — | | 116,444 | |
| Other trading liabilities | Other trading liabilities | 0 | 13 | 1 | 14 | | — | | 14 | | Other trading liabilities | — | 7 | — | 7 | | — | | 7 | |
| Total trading liabilities | Total trading liabilities | $ | 91,879 | $ | 21,753 | $ | 169 | $ | 113,801 | | $ | — | | $ | 113,801 | | Total trading liabilities | $ | 98,685 | $ | 17,678 | $ | 88 | $ | 116,451 | | $ | — | | $ | 116,451 | |
| Trading derivatives | Trading derivatives | | | Trading derivatives | | |
| Interest rate contracts | Interest rate contracts | $ | 42 | $ | 167,686 | $ | 1,013 | $ | 168,741 | | | | Interest rate contracts | $ | 45 | $ | 155,183 | $ | 1,671 | $ | 156,899 | | | |
| Foreign exchange contracts | Foreign exchange contracts | 2 | 115,996 | 737 | 116,735 | | | | Foreign exchange contracts | 3 | 129,263 | 724 | 129,990 | | | |
| Equity contracts | Equity contracts | 0 | 55,835 | 4,092 | 59,927 | | | | Equity contracts | 26 | 58,787 | 3,760 | 62,573 | | | |
| Commodity contracts | Commodity contracts | 0 | 27,437 | 749 | 28,186 | | | | Commodity contracts | — | 46,434 | 784 | 47,218 | | | |
| Credit derivatives | Credit derivatives | 0 | 9,578 | 899 | 10,477 | | | | Credit derivatives | — | 9,889 | 760 | 10,649 | | | |
| Total trading derivatives—before netting and collateral | Total trading derivatives—before netting and collateral | $ | 44 | $ | 376,532 | $ | 7,490 | $ | 384,066 | | | | Total trading derivatives—before netting and collateral | $ | 74 | $ | 399,556 | $ | 7,699 | $ | 407,329 | | | |
Cash collateral received(6) | Cash collateral received(6) | | $ | 17,965 | | | | Cash collateral received(6) | | $ | 18,492 | | | |
| Netting agreements | Netting agreements | | $ | (293,047) | | | Netting agreements | | $ | (313,526) | | |
| Netting of cash collateral paid | Netting of cash collateral paid | | (48,079) | | | Netting of cash collateral paid | | (49,460) | | |
| Total trading derivatives—after netting and collateral | Total trading derivatives—after netting and collateral | $ | 44 | $ | 376,532 | $ | 7,490 | $ | 402,031 | | $ | (341,126) | | $ | 60,905 | | Total trading derivatives—after netting and collateral | $ | 74 | $ | 399,556 | $ | 7,699 | $ | 425,821 | | $ | (362,986) | | $ | 62,835 | |
| Short-term borrowings | Short-term borrowings | $ | 0 | $ | 7,317 | $ | 41 | $ | 7,358 | | $ | — | | $ | 7,358 | | Short-term borrowings | $ | — | $ | 8,811 | $ | 3 | $ | 8,814 | | $ | — | | $ | 8,814 | |
| Long-term debt | Long-term debt | 0 | 51,307 | 25,068 | 76,375 | | — | | 76,375 | | Long-term debt | — | 52,136 | 26,042 | 78,178 | | — | | 78,178 | |
| | 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 | $ | 3,152 | $ | 123 | $ | 4 | $ | 3,279 | | 0 | $ | 3,279 | | Total non-trading derivatives and other financial liabilities measured on a recurring basis | $ | 3,245 | $ | 177 | $ | 1 | $ | 3,423 | | 0 | $ | 3,423 | |
| Total liabilities | Total liabilities | $ | 95,075 | $ | 616,715 | $ | 33,414 | $ | 763,169 | | $ | (421,997) | | $ | 341,172 | | Total liabilities | $ | 102,004 | $ | 665,031 | $ | 34,671 | $ | 820,198 | | $ | (472,522) | | $ | 347,676 | |
Total as a percentage of gross liabilities(5) | Total as a percentage of gross liabilities(5) | 12.8 | % | 82.8 | % | 4.5 | % | | | Total as a percentage of gross liabilities(5) | 12.7 | % | 83.0 | % | 4.3 | % | | |
(1)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)Reflects the net amount of $70,183$72,676 million of gross cash collateral paid, of which $48,079$49,460 million was used to offset trading derivative liabilities.
(4)Amounts exclude $0.1 billion of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)Reflects the net amount of $61,519$66,883 million of gross cash collateral received, of which $43,554$48,391 million was used to offset trading derivative assets.
Fair Value Levels
| | In millions of dollars at December 31, 2020 | In millions of dollars at December 31, 2020 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance | In millions of dollars at December 31, 2020 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Assets | Assets | | | Assets | | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | $ | 0 | | $ | 335,073 | | $ | 320 | | $ | 335,393 | | $ | (150,189) | | $ | 185,204 | | Securities borrowed and purchased under agreements to resell | $ | — | | $ | 335,073 | | $ | 320 | | $ | 335,393 | | $ | (150,189) | | $ | 185,204 | |
| Trading non-derivative assets | Trading non-derivative assets | | | Trading non-derivative assets | | |
| Trading mortgage-backed securities | Trading mortgage-backed securities | | | Trading mortgage-backed securities | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | 0 | | 42,903 | | 27 | | 42,930 | | — | | 42,930 | | U.S. government-sponsored agency guaranteed | — | | 42,903 | | 27 | | 42,930 | | — | | 42,930 | |
| Residential | Residential | 0 | | 391 | | 340 | | 731 | | — | | 731 | | Residential | — | | 391 | | 340 | | 731 | | — | | 731 | |
| Commercial | Commercial | 0 | | 893 | | 136 | | 1,029 | | — | | 1,029 | | Commercial | — | | 893 | | 136 | | 1,029 | | — | | 1,029 | |
| Total trading mortgage-backed securities | Total trading mortgage-backed securities | $ | 0 | | $ | 44,187 | | $ | 503 | | $ | 44,690 | | $ | — | | $ | 44,690 | | Total trading mortgage-backed securities | $ | — | | $ | 44,187 | | $ | 503 | | $ | 44,690 | | $ | — | | $ | 44,690 | |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | $ | 64,529 | | $ | 2,269 | | $ | 0 | | $ | 66,798 | | $ | — | | $ | 66,798 | | U.S. Treasury and federal agency securities | $ | 64,529 | | $ | 2,269 | | $ | — | | $ | 66,798 | | $ | — | | $ | 66,798 | |
| State and municipal | State and municipal | 0 | | 1,224 | | 94 | | 1,318 | | — | | 1,318 | | State and municipal | — | | 1,224 | | 94 | | 1,318 | | — | | 1,318 | |
| Foreign government | Foreign government | 68,195 | | 15,143 | | 51 | | 83,389 | | — | | 83,389 | | Foreign government | 68,195 | | 15,143 | | 51 | | 83,389 | | — | | 83,389 | |
| Corporate | Corporate | 1,607 | | 18,840 | | 375 | | 20,822 | | — | | 20,822 | | Corporate | 1,607 | | 18,840 | | 375 | | 20,822 | | — | | 20,822 | |
| Equity securities | Equity securities | 54,117 | | 12,289 | | 73 | | 66,479 | | — | | 66,479 | | Equity securities | 54,117 | | 12,289 | | 73 | | 66,479 | | — | | 66,479 | |
| Asset-backed securities | Asset-backed securities | 0 | | 776 | | 1,606 | | 2,382 | | — | | 2,382 | | Asset-backed securities | — | | 776 | | 1,606 | | 2,382 | | — | | 2,382 | |
Other trading assets(2) | Other trading assets(2) | 0 | | 11,295 | | 945 | | 12,240 | | — | | 12,240 | | Other trading assets(2) | — | | 11,295 | | 945 | | 12,240 | | — | | 12,240 | |
| Total trading non-derivative assets | Total trading non-derivative assets | $ | 188,448 | | $ | 106,023 | | $ | 3,647 | | $ | 298,118 | | $ | — | | $ | 298,118 | | Total trading non-derivative assets | $ | 188,448 | | $ | 106,023 | | $ | 3,647 | | $ | 298,118 | | $ | — | | $ | 298,118 | |
| Trading derivatives | Trading derivatives | | | Trading derivatives | | |
| Interest rate contracts | Interest rate contracts | $ | 42 | | $ | 238,026 | | $ | 3,393 | | $ | 241,461 | | | | Interest rate contracts | $ | 42 | | $ | 238,026 | | $ | 3,393 | | $ | 241,461 | | | |
| Foreign exchange contracts | Foreign exchange contracts | 2 | | 155,994 | | 674 | | 156,670 | | | | Foreign exchange contracts | 2 | | 155,994 | | 674 | | 156,670 | | | |
| Equity contracts | Equity contracts | 66 | | 48,362 | | 2,091 | | 50,519 | | | | Equity contracts | 66 | | 48,362 | | 2,091 | | 50,519 | | | |
| Commodity contracts | Commodity contracts | 0 | | 13,546 | | 992 | | 14,538 | | | | Commodity contracts | — | | 13,546 | | 992 | | 14,538 | | | |
| Credit derivatives | Credit derivatives | 0 | | 8,634 | | 1,155 | | 9,789 | | | | Credit derivatives | — | | 8,634 | | 1,155 | | 9,789 | | | |
| Total trading derivatives—before netting and collateral | Total trading derivatives—before netting and collateral | $ | 110 | | $ | 464,562 | | $ | 8,305 | | $ | 472,977 | | | | Total trading derivatives—before netting and collateral | $ | 110 | | $ | 464,562 | | $ | 8,305 | | $ | 472,977 | | | |
Cash collateral paid(3) | Cash collateral paid(3) | | $ | 32,778 | | | | Cash collateral paid(3) | | $ | 32,778 | | | |
| Netting agreements | Netting agreements | | $ | (364,879) | | | Netting agreements | | $ | (364,879) | | |
| Netting of cash collateral received | Netting of cash collateral received | | (63,915) | | | Netting of cash collateral received | | (63,915) | | |
| Total trading derivatives—after netting and collateral | Total trading derivatives—after netting and collateral | $ | 110 | | $ | 464,562 | | $ | 8,305 | | $ | 505,755 | | $ | (428,794) | | $ | 76,961 | | Total trading derivatives—after netting and collateral | $ | 110 | | $ | 464,562 | | $ | 8,305 | | $ | 505,755 | | $ | (428,794) | | $ | 76,961 | |
| Investments | Investments | | | Investments | | |
| Mortgage-backed securities | Mortgage-backed securities | | | Mortgage-backed securities | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | $ | 0 | | $ | 43,888 | | $ | 30 | | $ | 43,918 | | $ | — | | $ | 43,918 | | U.S. government-sponsored agency guaranteed | $ | — | | $ | 43,888 | | $ | 30 | | $ | 43,918 | | $ | — | | $ | 43,918 | |
| Residential | Residential | 0 | | 571 | | 0 | | 571 | | — | | 571 | | Residential | — | | 571 | | — | | 571 | | — | | 571 | |
| Commercial | Commercial | 0 | | 50 | | 0 | | 50 | | — | | 50 | | Commercial | — | | 50 | | — | | 50 | | — | | 50 | |
| Total investment mortgage-backed securities | Total investment mortgage-backed securities | $ | 0 | | $ | 44,509 | | $ | 30 | | $ | 44,539 | | $ | — | | $ | 44,539 | | Total investment mortgage-backed securities | $ | — | | $ | 44,509 | | $ | 30 | | $ | 44,539 | | $ | — | | $ | 44,539 | |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | $ | 146,032 | | $ | 172 | | $ | 0 | | $ | 146,204 | | $ | — | | $ | 146,204 | | U.S. Treasury and federal agency securities | $ | 146,032 | | $ | 172 | | $ | — | | $ | 146,204 | | $ | — | | $ | 146,204 | |
| State and municipal | State and municipal | 0 | | 2,885 | | 834 | | 3,719 | | — | | 3,719 | | State and municipal | — | | 2,885 | | 834 | | 3,719 | | — | | 3,719 | |
| Foreign government | Foreign government | 77,056 | | 47,644 | | 268 | | 124,968 | | — | | 124,968 | | Foreign government | 77,056 | | 47,644 | | 268 | | 124,968 | | — | | 124,968 | |
| Corporate | Corporate | 6,326 | | 4,114 | | 60 | | 10,500 | | — | | 10,500 | | Corporate | 6,326 | | 4,114 | | 60 | | 10,500 | | — | | 10,500 | |
| Marketable equity securities | Marketable equity securities | 287 | | 228 | | 0 | | 515 | | — | | 515 | | Marketable equity securities | 287 | | 228 | | — | | 515 | | — | | 515 | |
| Asset-backed securities | Asset-backed securities | 0 | | 277 | | 1 | | 278 | | — | | 278 | | Asset-backed securities | — | | 277 | | 1 | | 278 | | — | | 278 | |
| Other debt securities | Other debt securities | 0 | | 4,876 | | 0 | | 4,876 | | — | | 4,876 | | Other debt securities | — | | 4,876 | | — | | 4,876 | | — | | 4,876 | |
Non-marketable equity securities(4) | Non-marketable equity securities(4) | 0 | | 50 | | 349 | | 399 | | — | | 399 | | Non-marketable equity securities(4) | — | | 50 | | 349 | | 399 | | — | | 399 | |
| Total investments | Total investments | $ | 229,701 | | $ | 104,755 | | $ | 1,542 | | $ | 335,998 | | $ | — | | $ | 335,998 | | Total investments | $ | 229,701 | | $ | 104,755 | | $ | 1,542 | | $ | 335,998 | | $ | — | | $ | 335,998 | |
Table continues on the next page.
| | In millions of dollars at December 31, 2020 | 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, 2020 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(2) | Net
balance |
| Loans | Loans | $ | 0 | $ | 4,869 | $ | 1,985 | $ | 6,854 | | $ | — | | $ | 6,854 | | Loans | $ | — | $ | 4,869 | $ | 1,985 | $ | 6,854 | | $ | — | | $ | 6,854 | |
| Mortgage servicing rights | Mortgage servicing rights | 0 | 336 | 336 | | — | | 336 | | Mortgage servicing rights | — | 336 | 336 | | — | | 336 | |
| | 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 | $ | 6,230 | $ | 8,383 | $ | — | $ | 14,613 | | $ | — | | $ | 14,613 | |
| Total assets | Total assets | $ | 424,489 | $ | 1,023,665 | $ | 16,135 | $ | 1,497,067 | | $ | (578,983) | | $ | 918,084 | | Total assets | $ | 424,489 | $ | 1,023,665 | $ | 16,135 | $ | 1,497,067 | | $ | (578,983) | | $ | 918,084 | |
Total as a percentage of gross assets(5) | Total as a percentage of gross assets(5) | 29.0% | 69.9% | 1.1% | | | Total as a percentage of gross assets(5) | 29.0% | 69.9% | 1.1% | | |
| Liabilities | Liabilities | | | Liabilities | | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 0 | $ | 1,752 | $ | 206 | $ | 1,958 | | $ | — | | $ | 1,958 | | Interest-bearing deposits | $ | — | $ | 1,752 | $ | 206 | $ | 1,958 | | $ | — | | $ | 1,958 | |
| 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 | — | 156,644 | 631 | 157,275 | | (97,069) | | 60,206 | |
| 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 | 85,353 | 14,477 | 214 | 100,044 | | — | | 100,044 | |
| Other trading liabilities | Other trading liabilities | 0 | 26 | 26 | | — | | 26 | | Other trading liabilities | — | 26 | 26 | | — | | 26 | |
| Total trading liabilities | Total trading liabilities | $ | 85,353 | $ | 14,477 | $ | 240 | $ | 100,070 | | $ | — | | $ | 100,070 | | Total trading liabilities | $ | 85,353 | $ | 14,477 | $ | 240 | $ | 100,070 | | $ | — | | $ | 100,070 | |
| Trading account derivatives | | | |
| Trading derivatives | | Trading derivatives | | |
| Interest rate contracts | Interest rate contracts | $ | 25 | $ | 220,607 | $ | 1,779 | $ | 222,411 | | | | Interest rate contracts | $ | 25 | $ | 220,607 | $ | 1,779 | $ | 222,411 | | | |
| Foreign exchange contracts | Foreign exchange contracts | 3 | 155,441 | 622 | 156,066 | | | | Foreign exchange contracts | 3 | 155,441 | 622 | 156,066 | | | |
| Equity contracts | Equity contracts | 53 | 58,212 | 5,304 | 63,569 | | | | Equity contracts | 53 | 58,212 | 5,304 | 63,569 | | | |
| Commodity contracts | Commodity contracts | 0 | 17,393 | 700 | 18,093 | | | | Commodity contracts | — | 17,393 | 700 | 18,093 | | | |
| Credit derivatives | Credit derivatives | 0 | 9,022 | 1,107 | 10,129 | | | | Credit derivatives | — | 9,022 | 1,107 | 10,129 | | | |
| Total trading derivatives—before netting and collateral | Total trading derivatives—before netting and collateral | $ | 81 | $ | 460,675 | $ | 9,512 | $ | 470,268 | | | | Total trading derivatives—before netting and collateral | $ | 81 | $ | 460,675 | $ | 9,512 | $ | 470,268 | | | |
Cash collateral received(6) | Cash collateral received(6) | | $ | 8,196 | | | | Cash collateral received(6) | | $ | 8,196 | | | |
| Netting agreements | Netting agreements | | $ | (364,879) | | | Netting agreements | | $ | (364,879) | | |
| Netting of cash collateral paid | Netting of cash collateral paid | | (45,628) | | | Netting of cash collateral paid | | (45,628) | | |
| Total trading derivatives—after netting and collateral | Total trading derivatives—after netting and collateral | $ | 81 | $ | 460,675 | $ | 9,512 | $ | 478,464 | | $ | (410,507) | | $ | 67,957 | | Total trading derivatives—after netting and collateral | $ | 81 | $ | 460,675 | $ | 9,512 | $ | 478,464 | | $ | (410,507) | | $ | 67,957 | |
| Short-term borrowings | Short-term borrowings | $ | 0 | $ | 4,464 | $ | 219 | $ | 4,683 | | $ | — | | $ | 4,683 | | Short-term borrowings | $ | — | $ | 4,464 | $ | 219 | $ | 4,683 | | $ | — | | $ | 4,683 | |
| Long-term debt | Long-term debt | 0 | 41,853 | 25,210 | 67,063 | | — | | 67,063 | | Long-term debt | — | 41,853 | 25,210 | 67,063 | | — | | 67,063 | |
| | 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 | $ | 6,762 | $ | 72 | $ | 1 | $ | 6,835 | | $ | — | | $ | 6,835 | |
| Total liabilities | Total liabilities | $ | 92,196 | $ | 679,937 | $ | 36,019 | $ | 816,348 | | $ | (507,576) | | $ | 308,772 | | Total liabilities | $ | 92,196 | $ | 679,937 | $ | 36,019 | $ | 816,348 | | $ | (507,576) | | $ | 308,772 | |
Total as a percentage of gross liabilities(5) | Total as a percentage of gross liabilities(5) | 11.4 | % | 84.1 | % | 4.5 | % | | | Total as a percentage of gross liabilities(5) | 11.4 | % | 84.1 | % | 4.5 | % | | |
(1)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)Reflects the net amount of $78,406 million of gross cash collateral paid, of which $45,628 million was used to offset trading derivative liabilities.
(4)Amounts exclude $0.2 billion of investments measured at NAV in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)Reflects the net amount of $72,111 million of gross cash collateral received, of which $63,915 million was used to offset trading derivative assets.
Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the three and sixnine months ended JuneSeptember 30, 2021 and 2020. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.
The Company often hedges positions with offsetting positions that are classified in a different level. For example,
the gains and losses for assets and liabilities in the Level 3 category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 or Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The hedged items and related hedges are presented gross in the following tables:
Level 3 Fair Value Rollforward
| | | | | Net realized/unrealized gains (losses) incl. in(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 | Mar. 31, 2021 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2021 | In millions of dollars | Jun. 30, 2021 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2021 |
| Assets | Assets | | | | Assets | | | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | $ | 262 | | $ | (2) | | $ | 0 | | $ | 0 | | $ | (49) | | $ | 43 | | $ | 0 | | $ | 0 | | $ | (43) | | $ | 211 | | $ | 1 | | Securities borrowed and purchased under agreements to resell | $ | 211 | | $ | 1 | | $ | — | | $ | 45 | | $ | — | | $ | 43 | | $ | — | | $ | — | | $ | (43) | | $ | 257 | | $ | 3 | |
| Trading non-derivative assets | Trading non-derivative assets | | | | | Trading non-derivative assets | | | |
| Trading mortgage-backed securities | Trading mortgage-backed securities | | | | Trading mortgage-backed securities | | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | 38 | | 2 | | 0 | | 238 | | (7) | | 113 | | 0 | | (8) | | 0 | | 376 | | (12) | | U.S. government-sponsored agency guaranteed | 376 | | 20 | | — | | 60 | | (52) | | 154 | | — | | (126) | | — | | 432 | | 17 | |
| Residential | Residential | 268 | | (1) | | 0 | | 41 | | (65) | | 57 | | 0 | | (205) | | 0 | | 95 | | 2 | | Residential | 95 | | 2 | | — | | 5 | | (9) | | 19 | | — | | (51) | | — | | 61 | | 3 | |
| Commercial | Commercial | 59 | | 16 | | 0 | | 60 | | (8) | | 11 | | 0 | | (51) | | 0 | | 87 | | 3 | | Commercial | 87 | | 1 | | — | | 17 | | (12) | | 36 | | — | | (9) | | — | | 120 | | 1 | |
| Total trading mortgage-backed securities | Total trading mortgage-backed securities | $ | 365 | | $ | 17 | | $ | 0 | | $ | 339 | | $ | (80) | | $ | 181 | | $ | 0 | | $ | (264) | | $ | 0 | | $ | 558 | | $ | (7) | | Total trading mortgage-backed securities | $ | 558 | | $ | 23 | | $ | — | | $ | 82 | | $ | (73) | | $ | 209 | | $ | — | | $ | (186) | | $ | — | | $ | 613 | | $ | 21 | |
| 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 | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | State and municipal | 94 | | 0 | | 0 | | 0 | | (29) | | 5 | | 0 | | 0 | | 0 | | 70 | | 0 | | State and municipal | 70 | | 3 | | — | | — | | — | | — | | — | | (2) | | — | | 71 | | 4 | |
| Foreign government | Foreign government | 81 | | 4 | | 0 | | 125 | | (28) | | 14 | | 0 | | (55) | | 0 | | 141 | | 1 | | Foreign government | 141 | | 26 | | — | | 7 | | (98) | | 6 | | — | | (49) | | — | | 33 | | 4 | |
| Corporate | Corporate | 290 | | (15) | | 0 | | 312 | | (50) | | 408 | | 0 | | (122) | | 0 | | 823 | | (36) | | Corporate | 823 | | 3 | | — | | 123 | | (110) | | 246 | | — | | (544) | | — | | 541 | | 16 | |
| Marketable equity securities | Marketable equity securities | 89 | | 2 | | 0 | | 80 | | (40) | | 23 | | 0 | | (7) | | 0 | | 147 | | 15 | | Marketable equity securities | 147 | | 12 | | — | | 55 | | (9) | | 58 | | — | | (58) | | — | | 205 | | 14 | |
| Asset-backed securities | Asset-backed securities | 1,208 | | 209 | | 0 | | 17 | | (148) | | 352 | | 0 | | (946) | | 0 | | 692 | | 22 | | Asset-backed securities | 692 | | 101 | | — | | 128 | | (19) | | 186 | | — | | (424) | | — | | 664 | | (28) | |
| Other trading assets | Other trading assets | 571 | | 62 | | 0 | | 31 | | (121) | | 201 | | 0 | | (189) | | 0 | | 555 | | 4 | | Other trading assets | 555 | | 138 | | — | | 25 | | (67) | | 379 | | — | | (115) | | — | | 915 | | 36 | |
| Total trading non-derivative assets | Total trading non-derivative assets | $ | 2,698 | | $ | 279 | | $ | 0 | | $ | 904 | | $ | (496) | | $ | 1,184 | | $ | 0 | | $ | (1,583) | | $ | 0 | | $ | 2,986 | | $ | (1) | | Total trading non-derivative assets | $ | 2,986 | | $ | 306 | | $ | — | | $ | 420 | | $ | (376) | | $ | 1,084 | | $ | — | | $ | (1,378) | | $ | — | | $ | 3,042 | | $ | 67 | |
Trading derivatives, net(4) | Trading derivatives, net(4) | | | | Trading derivatives, net(4) | | | |
| Interest rate contracts | Interest rate contracts | $ | 1,229 | | $ | (126) | | $ | 0 | | $ | 218 | | $ | 321 | | $ | 2 | | $ | 0 | | $ | 0 | | $ | 120 | | $ | 1,764 | | $ | (70) | | Interest rate contracts | $ | 1,764 | | $ | (160) | | $ | — | | $ | (79) | | $ | 56 | | $ | 10 | | $ | — | | $ | — | | $ | (100) | | $ | 1,491 | | $ | (189) | |
| Foreign exchange contracts | Foreign exchange contracts | (86) | | 59 | | 0 | | 0 | | 4 | | 111 | | 0 | | (282) | | 10 | | (184) | | (28) | | Foreign exchange contracts | (184) | | 131 | | — | | (71) | | (22) | | 11 | | — | | (3) | | (70) | | (208) | | 121 | |
| Equity contracts | Equity contracts | (2,876) | | 309 | | 0 | | (634) | | 892 | | 85 | | 0 | | (94) | | (232) | | (2,550) | | 349 | | Equity contracts | (2,550) | | 538 | | — | | (370) | | 668 | | 134 | | — | | (98) | | (295) | | (1,973) | | 452 | |
| Commodity contracts | Commodity contracts | 732 | | 236 | | 0 | | (148) | | (612) | | 28 | | 0 | | (45) | | (49) | | 142 | | (194) | | Commodity contracts | 142 | | 200 | | — | | (3) | | 106 | | 44 | | — | | (50) | | (21) | | 418 | | 218 | |
| Credit derivatives | Credit derivatives | 71 | | (57) | | 0 | | (52) | | (74) | | 0 | | 0 | | 0 | | 71 | | (41) | | (107) | | Credit derivatives | (41) | | (84) | | — | | 24 | | 116 | | — | | — | | — | | 35 | | 50 | | (87) | |
Total trading derivatives, net(4) | Total trading derivatives, net(4) | $ | (930) | | $ | 421 | | $ | 0 | | $ | (616) | | $ | 531 | | $ | 226 | | $ | 0 | | $ | (421) | | $ | (80) | | $ | (869) | | $ | (50) | | Total trading derivatives, net(4) | $ | (869) | | $ | 625 | | $ | — | | $ | (499) | | $ | 924 | | $ | 199 | | $ | — | | $ | (151) | | $ | (451) | | $ | (222) | | $ | 515 | |
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 | Mar. 31, 2021 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2021 | In millions of dollars | Jun. 30, 2021 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2021 |
| 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 | | $ | 2 | | $ | 22 | | $ | 0 | | $ | 3 | | $ | 0 | | $ | (5) | | $ | 0 | | $ | 52 | | $ | (21) | | U.S. government-sponsored agency guaranteed | $ | 52 | | $ | — | | $ | — | | $ | 20 | | $ | (10) | | $ | — | | $ | — | | $ | (10) | | $ | — | | $ | 52 | | $ | — | |
| | Residential | | Residential | — | | — | | — | | — | | — | | 12 | | — | | — | | — | | 12 | | — | |
| | Total investment mortgage-backed securities | Total investment mortgage-backed securities | $ | 30 | | $ | 0 | | $ | 2 | | $ | 22 | | $ | 0 | | $ | 3 | | $ | 0 | | $ | (5) | | $ | 0 | | $ | 52 | | $ | (21) | | Total investment mortgage-backed securities | $ | 52 | | $ | — | | $ | — | | $ | 20 | | $ | (10) | | $ | 12 | | $ | — | | $ | (10) | | $ | — | | $ | 64 | | $ | — | |
| 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 | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | State and municipal | 794 | | 0 | | 8 | | 54 | | (108) | | 2 | | 0 | | (2) | | 0 | | 748 | | 6 | | State and municipal | 748 | | — | | (6) | | — | | — | | 2 | | — | | (9) | | — | | 735 | | (6) | |
| Foreign government | Foreign government | 523 | | 0 | | 3 | | 440 | | (289) | | 315 | | 0 | | (35) | | 0 | | 957 | | 3 | | Foreign government | 957 | | — | | (25) | | 63 | | (232) | | 99 | | — | | (50) | | — | | 812 | | (6) | |
| Corporate | Corporate | 56 | | 0 | | (7) | | 32 | | 0 | | 30 | | 0 | | (7) | | 0 | | 104 | | (1) | | Corporate | 104 | | — | | (2) | | 151 | | (41) | | 7 | | — | | (27) | | — | | 192 | | — | |
| | Marketable equity securities | | Marketable equity securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Asset-backed securities | Asset-backed securities | 4 | | 0 | | (21) | | 33 | | 0 | | 0 | | 0 | | (13) | | 0 | | 3 | | 1 | | Asset-backed securities | 3 | | — | | — | | — | | — | | — | | — | | — | | — | | 3 | | — | |
| | Other debt securities | | Other debt securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Non-marketable equity securities | Non-marketable equity securities | 352 | | 0 | | 30 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 382 | | 2 | | Non-marketable equity securities | 382 | | — | | (36) | | 1 | | — | | — | | — | | — | | — | | 347 | | (53) | |
| Total investments | Total investments | $ | 1,759 | | $ | 0 | | $ | 15 | | $ | 581 | | $ | (397) | | $ | 350 | | $ | 0 | | $ | (62) | | $ | 0 | | $ | 2,246 | | $ | (10) | | Total investments | $ | 2,246 | | $ | — | | $ | (69) | | $ | 235 | | $ | (283) | | $ | 120 | | $ | — | | $ | (96) | | $ | — | | $ | 2,153 | | $ | (65) | |
| Loans | Loans | $ | 1,944 | | $ | 0 | | $ | 476 | | $ | 60 | | $ | (2,051) | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 429 | | $ | 169 | | Loans | $ | 429 | | $ | — | | $ | (16) | | $ | — | | $ | (20) | | $ | — | | $ | 336 | | $ | — | | $ | (7) | | $ | 722 | | $ | 14 | |
| Mortgage servicing rights | Mortgage servicing rights | 433 | | 0 | | (21) | | 0 | | 0 | | 0 | | 25 | | 0 | | (18) | | 419 | | (21) | | Mortgage servicing rights | 419 | | — | | (3) | | — | | — | | — | | 8 | | — | | (15) | | 409 | | (3) | |
| Other financial assets measured on a recurring basis | Other financial assets measured on a recurring basis | 0 | | 0 | | 0 | | 55 | | 0 | | 0 | | 0 | | 0 | | 0 | | 55 | | 0 | | Other financial assets measured on a recurring basis | 55 | | — | | 3 | | 10 | | (4) | | 33 | | — | | (11) | | — | | 86 | | — | |
| Liabilities | Liabilities | | | | Liabilities | | | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 199 | | $ | 0 | | $ | 2 | | $ | 0 | | $ | (44) | | $ | 0 | | $ | 11 | | $ | 0 | | $ | (10) | | $ | 154 | | $ | 0 | | Interest-bearing deposits | $ | 154 | | $ | — | | $ | (25) | | $ | — | | $ | — | | $ | — | | $ | 14 | | $ | — | | $ | (11) | | $ | 182 | | $ | 5 | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 977 | | 22 | | 0 | | 0 | | (483) | | 80 | | 0 | | 0 | | (64) | | 488 | | 0 | | Securities loaned and sold under agreements to repurchase | 488 | | (29) | | — | | 183 | | — | | — | | — | | — | | (44) | | 656 | | 6 | |
| Trading account liabilities | Trading account liabilities | | | | Trading account liabilities | | | |
| Securities sold, not yet purchased | Securities sold, not yet purchased | 167 | | 7 | | 0 | | 54 | | (21) | | 10 | | 0 | | 0 | | (35) | | 168 | | 26 | | Securities sold, not yet purchased | 168 | | (22) | | — | | 7 | | (4) | | 21 | | — | | — | | (126) | | 88 | | 4 | |
| Other trading liabilities | Other trading liabilities | 6 | | 5 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 1 | | 4 | | Other trading liabilities | 1 | | 1 | | — | | — | | — | | — | | — | | — | | — | | — | | 4 | |
| Short-term borrowings | Short-term borrowings | 49 | | 33 | | 0 | | 40 | | (32) | | 0 | | 17 | | 0 | | 0 | | 41 | | 17 | | Short-term borrowings | 41 | | (1) | | — | | 2 | | (12) | | — | | 2 | | — | | (31) | | 3 | | 2 | |
| Long-term debt | Long-term debt | 26,337 | | (849) | | 0 | | 3,937 | | (5,966) | | 0 | | 1,825 | | 0 | | (1,914) | | 25,068 | | (699) | | Long-term debt | 25,068 | | 486 | | — | | 2,052 | | (1,086) | | — | | 1,526 | | — | | (1,032) | | 26,042 | | 434 | |
| Other financial liabilities measured on a recurring basis | Other financial liabilities measured on a recurring basis | 8 | | 0 | | 0 | | 0 | | (4) | | 0 | | 0 | | 0 | 0 | | 4 | | 0 | | Other financial liabilities measured on a recurring basis | 4 | | — | | — | | — | | — | | — | | — | | 0 | (3) | | 1 | | — | |
|
(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 JuneSeptember 30, 2021.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.
| | | | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | Unrealized
gains
(losses)
still held(3) | | | 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 | Jun. 30, 2021 | In millions of dollars | Dec. 31, 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2021 |
| Assets | Assets | | | | Assets | | | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | $ | 320 | | $ | (11) | | $ | 0 | | $ | 0 | | $ | (49) | | $ | 276 | | $ | 0 | | $ | 0 | | $ | (325) | | $ | 211 | | $ | 1 | | Securities borrowed and purchased under agreements to resell | $ | 320 | | $ | (10) | | $ | — | | $ | 45 | | $ | (49) | | $ | 319 | | $ | — | | $ | — | | $ | (368) | | $ | 257 | | $ | 25 | |
| Trading non-derivative assets | Trading non-derivative assets | | | | Trading non-derivative assets | | | |
| Trading mortgage-backed securities | Trading mortgage-backed securities | | | | Trading mortgage-backed securities | | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | 27 | | 1 | | 0 | | 252 | | (8) | | 114 | | 0 | | (10) | | 0 | | 376 | | 16 | | U.S. government-sponsored agency guaranteed | 27 | | 21 | | — | | 312 | | (60) | | 268 | | — | | (136) | | — | | 432 | | 31 | |
| Residential | Residential | 340 | | 22 | | 0 | | 69 | | (68) | | 201 | | 0 | | (469) | | 0 | | 95 | | 18 | | Residential | 340 | | 24 | | — | | 74 | | (77) | | 220 | | — | | (520) | | — | | 61 | | 17 | |
| Commercial | Commercial | 136 | | 21 | | 0 | | 76 | | (41) | | 24 | | 0 | | (129) | | 0 | | 87 | | 2 | | Commercial | 136 | | 22 | | — | | 93 | | (53) | | 60 | | — | | (138) | | — | | 120 | | 2 | |
| Total trading mortgage-backed securities | Total trading mortgage-backed securities | $ | 503 | | $ | 44 | | $ | 0 | | $ | 397 | | $ | (117) | | $ | 339 | | $ | 0 | | $ | (608) | | $ | 0 | | $ | 558 | | $ | 36 | | Total trading mortgage-backed securities | $ | 503 | | $ | 67 | | $ | — | | $ | 479 | | $ | (190) | | $ | 548 | | $ | — | | $ | (794) | | $ | — | | $ | 613 | | $ | 50 | |
| 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 | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | State and municipal | 94 | | 0 | | 0 | | 0 | | (29) | | 5 | | 0 | | 0 | | 0 | | 70 | | 1 | | State and municipal | 94 | | 3 | | — | | — | | (29) | | 5 | | — | | (2) | | — | | 71 | | 4 | |
| Foreign government | Foreign government | 51 | | 5 | | 0 | | 136 | | (28) | | 71 | | 0 | | (94) | | 0 | | 141 | | (6) | | Foreign government | 51 | | 31 | | — | | 143 | | (126) | | 77 | | — | | (143) | | — | | 33 | | 4 | |
| Corporate | Corporate | 375 | | 75 | | 0 | | 318 | | (168) | | 475 | | 0 | | (252) | | 0 | | 823 | | (7) | | Corporate | 375 | | 78 | | — | | 441 | | (278) | | 721 | | — | | (796) | | — | | 541 | | (6) | |
| Marketable equity securities | Marketable equity securities | 73 | | 47 | | 0 | | 84 | | (42) | | 35 | | 0 | | (50) | | 0 | | 147 | | 32 | | Marketable equity securities | 73 | | 59 | | — | | 139 | | (51) | | 93 | | — | | (108) | | — | | 205 | | 26 | |
| Asset-backed securities | Asset-backed securities | 1,606 | | 248 | | 0 | | 35 | | (198) | | 934 | | 0 | | (1,933) | | 0 | | 692 | | 8 | | Asset-backed securities | 1,606 | | 349 | | — | | 163 | | (217) | | 1,120 | | — | | (2,357) | | — | | 664 | | (58) | |
| Other trading assets | Other trading assets | 945 | | 18 | | 0 | | 61 | | (129) | | 348 | | 4 | | (688) | | (4) | | 555 | | (5) | | Other trading assets | 945 | | 156 | | — | | 86 | | (196) | | 727 | | 4 | | (803) | | (4) | | 915 | | 29 | |
| Total trading non-derivative assets | Total trading non-derivative assets | $ | 3,647 | | $ | 437 | | $ | 0 | | $ | 1,031 | | $ | (711) | | $ | 2,207 | | $ | 4 | | $ | (3,625) | | $ | (4) | | $ | 2,986 | | $ | 59 | | Total trading non-derivative assets | $ | 3,647 | | $ | 743 | | $ | — | | $ | 1,451 | | $ | (1,087) | | $ | 3,291 | | $ | 4 | | $ | (5,003) | | $ | (4) | | $ | 3,042 | | $ | 49 | |
Trading derivatives, net(4) | Trading derivatives, net(4) | | | | Trading derivatives, net(4) | | | |
| Interest rate contracts | Interest rate contracts | $ | 1,614 | | $ | (298) | | $ | 0 | | $ | 173 | | $ | 321 | | $ | 2 | | $ | (84) | | $ | 0 | | $ | 36 | | $ | 1,764 | | $ | (197) | | Interest rate contracts | $ | 1,614 | | $ | (458) | | $ | — | | $ | 94 | | $ | 377 | | $ | 12 | | $ | (84) | | $ | — | | $ | (64) | | $ | 1,491 | | $ | (216) | |
| Foreign exchange contracts | Foreign exchange contracts | 52 | | (79) | | 0 | | 8 | | 4 | | 134 | | 0 | | (297) | | (6) | | (184) | | (57) | | Foreign exchange contracts | 52 | | 52 | | — | | (63) | | (18) | | 145 | | — | | (300) | | (76) | | (208) | | 53 | |
| Equity contracts | Equity contracts | (3,213) | | 612 | | 0 | | (598) | | 898 | | 109 | | 0 | | (117) | | (241) | | (2,550) | | 213 | | Equity contracts | (3,213) | | 1,150 | | — | | (968) | | 1,566 | | 243 | | — | | (215) | | (536) | | (1,973) | | 237 | |
| Commodity contracts | Commodity contracts | 292 | | 550 | | 0 | | 10 | | (617) | | 94 | | 0 | | (155) | | (32) | | 142 | | 280 | | Commodity contracts | 292 | | 750 | | — | | 7 | | (511) | | 138 | | — | | (205) | | (53) | | 418 | | 272 | |
| Credit derivatives | Credit derivatives | 48 | | (121) | | 0 | | 15 | | (71) | | 0 | | 0 | | — | | 88 | | (41) | | (198) | | Credit derivatives | 48 | | (205) | | — | | 39 | | 45 | | — | | — | | — | | 123 | | 50 | | (239) | |
Total trading derivatives, net(4) | Total trading derivatives, net(4) | $ | (1,207) | | $ | 664 | | $ | 0 | | $ | (392) | | $ | 535 | | $ | 339 | | $ | (84) | | $ | (569) | | $ | (155) | | $ | (869) | | $ | 41 | | Total trading derivatives, net(4) | $ | (1,207) | | $ | 1,289 | | $ | — | | $ | (891) | | $ | 1,459 | | $ | 538 | | $ | (84) | | $ | (720) | | $ | (606) | | $ | (222) | | $ | 107 | |
| 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 | | $ | 2 | | $ | 22 | | $ | 0 | | $ | 3 | | $ | 0 | | $ | (5) | | $ | 0 | | $ | 52 | | $ | (42) | | U.S. government-sponsored agency guaranteed | $ | 30 | | $ | — | | $ | 2 | | $ | 42 | | $ | (10) | | $ | 3 | | $ | — | | $ | (15) | | $ | — | | $ | 52 | | $ | (53) | |
| | Residential | | Residential | — | | — | | — | | — | | — | | 12 | | — | | — | | — | | 12 | | — | |
| | Total investment mortgage-backed securities | Total investment mortgage-backed securities | $ | 30 | | $ | 0 | | $ | 2 | | $ | 22 | | $ | 0 | | $ | 3 | | $ | 0 | | $ | (5) | | $ | 0 | | $ | 52 | | $ | (42) | | Total investment mortgage-backed securities | $ | 30 | | $ | — | | $ | 2 | | $ | 42 | | $ | (10) | | $ | 15 | | $ | — | | $ | (15) | | $ | — | | $ | 64 | | $ | (53) | |
| 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 | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | State and municipal | 834 | | 0 | | (10) | | 58 | | (108) | | 3 | | 0 | | (29) | | 0 | | 748 | | (8) | | State and municipal | 834 | | — | | (16) | | 58 | | (108) | | 5 | | — | | (38) | | — | | 735 | | (12) | |
| Foreign government | Foreign government | 268 | | 0 | | 1 | | 440 | | (289) | | 645 | | 0 | | (108) | | 0 | | 957 | | 3 | | Foreign government | 268 | | — | | (24) | | 503 | | (521) | | 744 | | — | | (158) | | — | | 812 | | (4) | |
| Corporate | Corporate | 60 | | 0 | | (11) | | 32 | | 0 | | 30 | | 0 | | (7) | | 0 | | 104 | | (1) | | Corporate | 60 | | — | | (13) | | 183 | | (41) | | 37 | | — | | (34) | | — | | 192 | | 2 | |
| | Asset-backed securities | Asset-backed securities | 1 | | 0 | | (21) | | 36 | | 0 | | 0 | | 0 | | (13) | | 0 | | 3 | | (37) | | Asset-backed securities | 1 | | — | | (21) | | 36 | | — | | — | | — | | (13) | | — | | 3 | | (25) | |
| | Non-marketable equity securities | Non-marketable equity securities | 349 | | 0 | | 40 | | 1 | | 0 | | 0 | | 0 | | (8) | | 0 | | 382 | | 2 | | Non-marketable equity securities | 349 | | — | | 4 | | 2 | | — | | — | | — | | (8) | | — | | 347 | | (53) | |
| Total investments | Total investments | $ | 1,542 | | $ | 0 | | $ | 1 | | $ | 589 | | $ | (397) | | $ | 681 | | $ | 0 | | $ | (170) | | $ | 0 | | $ | 2,246 | | $ | (83) | | Total investments | $ | 1,542 | | $ | — | | $ | (68) | | $ | 824 | | $ | (680) | | $ | 801 | | $ | — | | $ | (266) | | $ | — | | $ | 2,153 | | $ | (145) | |
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 | Jun. 30, 2021 | In millions of dollars | Dec. 31 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2021 |
| Loans | Loans | $ | 1,985 | | $ | 0 | | $ | 348 | | $ | 271 | | $ | (2,051) | | $ | 0 | | $ | 1 | | $ | 0 | | $ | (125) | | $ | 429 | | $ | 100 | | Loans | $ | 1,985 | | $ | — | | $ | 332 | | $ | 271 | | $ | (2,071) | | $ | — | | $ | 337 | | $ | — | | $ | (132) | | $ | 722 | | $ | 111 | |
| Mortgage servicing rights | Mortgage servicing rights | 336 | | 0 | | 52 | | 0 | | 0 | | 0 | | 68 | | 0 | | (37) | | 419 | | 59 | | Mortgage servicing rights | 336 | | — | | 49 | | — | | — | | — | | 76 | | — | | (52) | | 409 | | 50 | |
| Other financial assets measured on a recurring basis | Other financial assets measured on a recurring basis | 0 | | 0 | | 0 | | 55 | | 0 | | 0 | | 0 | | 0 | | 0 | | 55 | | 0 | | Other financial assets measured on a recurring basis | — | | — | | 3 | | 65 | | (4) | | 33 | | — | | (11) | | — | | 86 | | — | |
| Liabilities | Liabilities | | | | Liabilities | | | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 206 | | $ | 0 | | $ | 18 | | $ | 0 | | $ | (44) | | $ | 0 | | $ | 20 | | $ | 0 | | $ | (10) | | $ | 154 | | $ | (45) | | Interest-bearing deposits | $ | 206 | | $ | — | | $ | (7) | | $ | — | | $ | (44) | | $ | — | | $ | 34 | | $ | — | | $ | (21) | | $ | 182 | | $ | (146) | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 631 | | 7 | | 0 | | 0 | | (483) | | 488 | | 0 | | 0 | | (141) | | $ | 488 | | 19 | | Securities loaned and sold under agreements to repurchase | 631 | | (22) | | — | | 183 | | (483) | | 488 | | — | | — | | (185) | | 656 | | 25 | |
| Trading account liabilities | Trading account liabilities | | | | Trading account liabilities | | | |
| Securities sold, not yet purchased | Securities sold, not yet purchased | 214 | | 61 | | 0 | | 62 | | (25) | | 20 | | 0 | | 0 | | (42) | | $ | 168 | | (2) | | Securities sold, not yet purchased | 214 | | 39 | | — | | 69 | | (29) | | 41 | | — | | — | | (168) | | 88 | | 4 | |
| Other trading liabilities | Other trading liabilities | 26 | | 25 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | $ | 1 | | 0 | | Other trading liabilities | 26 | | 26 | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Short-term borrowings | Short-term borrowings | 219 | | 32 | | 0 | | 42 | | (44) | | 0 | | 25 | | 0 | | (169) | | $ | 41 | | 17 | | Short-term borrowings | 219 | | 31 | | — | | 44 | | (56) | | — | | 27 | | — | | (200) | | 3 | | 2 | |
| Long-term debt | Long-term debt | 25,210 | | 1,773 | | 0 | | 4,869 | | (5,968) | | 0 | | 7,545 | | 0 | | (4,815) | | $ | 25,068 | | 791 | | Long-term debt | 25,210 | | 2,259 | | — | | 6,921 | | (7,054) | | — | | 9,071 | | — | | (5,847) | | 26,042 | | 1,305 | |
| Other financial liabilities measured on a recurring basis | Other financial liabilities measured on a recurring basis | 1 | | 0 | | (3) | | 0 | | (4) | | 0 | | 14 | | 0 | | (10) | | $ | 4 | | 0 | | Other financial liabilities measured on a recurring basis | 1 | | — | | (3) | | — | | (4) | | — | | 14 | | — | | (13) | | 1 | | — | |
|
(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at JuneSeptember 30, 2021.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Mar. 31, 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2020 |
| Assets | | | | | | | | | | | |
| Securities borrowed or purchased under agreements to resell | $ | 300 | | $ | 34 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 42 | | $ | 0 | | $ | 0 | | $ | (50) | | $ | 326 | | $ | 36 | |
| Trading non-derivative assets | | | | | | | | | | | |
| Trading mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 85 | | 1 | | 0 | | 4 | | (6) | | 67 | | 0 | | (55) | | 0 | | 96 | | 4 | |
| Residential | 304 | | 14 | | 0 | | 144 | | (39) | | 96 | | 0 | | (86) | | 0 | | 433 | | 7 | |
| Commercial | 44 | | 4 | | 0 | | 140 | | (14) | | 62 | | 0 | | (19) | | 0 | | 217 | | 11 | |
| Total trading mortgage-backed securities | $ | 433 | | $ | 19 | | $ | 0 | | $ | 288 | | $ | (59) | | $ | 225 | | $ | 0 | | $ | (160) | | $ | 0 | | $ | 746 | | $ | 22 | |
| U.S. Treasury and federal agency securities | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| State and municipal | 92 | | 0 | | 0 | | 5 | | (1) | | 41 | | 0 | | (20) | | 0 | | 117 | | 0 | |
| Foreign government | 39 | | 57 | | 0 | | 2 | | (2) | | 18 | | 0 | | (88) | | 0 | | 26 | | 54 | |
| Corporate | 412 | | (12) | | 0 | | 64 | | (78) | | 204 | | 0 | | (185) | | (6) | | 399 | | (71) | |
| Equity securities | 143 | | 9 | | 0 | | 10 | | 0 | | 174 | | 0 | | (244) | | 0 | | 92 | | (3) | |
| Asset-backed securities | 1,561 | | 67 | | 0 | | 257 | | (56) | | 272 | | 0 | | (316) | | 0 | | 1,785 | | 46 | |
| Other trading assets | 639 | | 27 | | 0 | | 153 | | (15) | | 126 | | 6 | | (134) | | (5) | | 797 | | 1 | |
| Total trading non-derivative assets | $ | 3,319 | | $ | 167 | | $ | 0 | | $ | 779 | | $ | (211) | | $ | 1,060 | | $ | 6 | | $ | (1,147) | | $ | (11) | | $ | 3,962 | | $ | 49 | |
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | 1,755 | | $ | 24 | | $ | 0 | | $ | 231 | | $ | 20 | | $ | 1 | | $ | 0 | | $ | 0 | | $ | (63) | | $ | 1,968 | | $ | 7 | |
| Foreign exchange contracts | 2 | | (37) | | 0 | | (8) | | 2 | | 5 | | 0 | | (5) | | 15 | | (26) | | (47) | |
| Equity contracts | (1,836) | | (354) | | 0 | | (104) | | 12 | | 21 | | 0 | | (5) | | 31 | | (2,235) | | (349) | |
| Commodity contracts | (542) | | 253 | | 0 | | (1) | | (14) | | 20 | | 0 | | (10) | | 16 | | (278) | | 241 | |
| Credit derivatives | 816 | | (367) | | 0 | | 17 | | (72) | | 0 | | 0 | | 0 | | 8 | | 402 | | (367) | |
Total trading derivatives, net(4) | $ | 195 | | $ | (481) | | $ | 0 | | $ | 135 | | $ | (52) | | $ | 47 | | $ | 0 | | $ | (20) | | $ | 7 | | $ | (169) | | $ | (515) | |
| Investments | | | | | | | | | | | |
| Mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 47 | | $ | 0 | | $ | (19) | | $ | 1 | | $ | 0 | | $ | 1 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 30 | | $ | (36) | |
| Residential | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Commercial | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Total investment mortgage-backed securities | $ | 47 | | $ | 0 | | $ | (19) | | $ | 1 | | $ | 0 | | $ | 1 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 30 | | $ | (36) | |
| U.S. Treasury and federal agency securities | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | |
| State and municipal | 687 | | 0 | | 24 | | 172 | | (131) | | 95 | | 0 | | (22) | | 0 | | 825 | | 21 | |
| Foreign government | 225 | | 0 | | 7 | | 0 | | (64) | | 61 | | 0 | | (33) | | 0 | | 196 | | 6 | |
| Corporate | 238 | | 0 | | 10 | | 0 | | (152) | | 10 | | 0 | | 0 | | 0 | | 106 | | 0 | |
| Equity securities | 0 | | 0 | | 0 | | 1 | | 0 | | 0 | | 0 | | 0 | | 0 | | 1 | | 0 | |
| Asset-backed securities | 16 | | 0 | | (2) | | 0 | | 0 | | 0 | | 0 | | (8) | | 0 | | 6 | | 0 | |
| Other debt securities | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | |
| Non-marketable equity securities | 354 | | 0 | | 21 | | 0 | | 0 | | 2 | | 0 | | 0 | | (45) | | 332 | | 25 | |
| Total investments | $ | 1,567 | | $ | 0 | | $ | 41 | | $ | 174 | | $ | (347) | | $ | 169 | | $ | 0 | | $ | (63) | | $ | (45) | | $ | 1,496 | | $ | 16 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Jun. 30, 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2020 |
| Assets | | | | | | | | | | | |
| Securities borrowed or purchased under agreements to resell | $ | 326 | | $ | 4 | | $ | — | | $ | — | | $ | — | | $ | 43 | | $ | — | | $ | — | | $ | (43) | | $ | 330 | | $ | 4 | |
| Trading non-derivative assets | | | | | | | | | | | |
| Trading mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 96 | | 9 | | — | | 5 | | — | | 182 | | — | | (26) | | — | | 266 | | 9 | |
| Residential | 433 | | 64 | | — | | 10 | | (17) | | 67 | | — | | (288) | | — | | 269 | | (1) | |
| Commercial | 217 | | 1 | | — | | 13 | | — | | 24 | | — | | (74) | | — | | 181 | | — | |
| Total trading mortgage-backed securities | $ | 746 | | $ | 74 | | $ | — | | $ | 28 | | $ | (17) | | $ | 273 | | $ | — | | $ | (388) | | $ | — | | $ | 716 | | $ | 8 | |
| U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | 117 | | — | | — | | — | | — | | — | | — | | (41) | | — | | 76 | | — | |
| Foreign government | 26 | | 1 | | — | | 4 | | — | | 26 | | — | | (16) | | — | | 41 | | — | |
| Corporate | 399 | | (25) | | — | | 22 | | (57) | | 160 | | 2 | | (227) | | — | | 274 | | (16) | |
| Marketable equity securities | 92 | | (31) | | — | | 2 | | — | | 15 | | — | | (13) | | — | | 65 | | (25) | |
| Asset-backed securities | 1,785 | | 14 | | — | | 167 | | (1) | | 351 | | — | | (488) | | — | | 1,828 | | 4 | |
| Other trading assets | 797 | | (24) | | — | | 140 | | (102) | | 66 | | 5 | | (84) | | (4) | | 794 | | (29) | |
| Total trading non-derivative assets | $ | 3,962 | | $ | 9 | | $ | — | | $ | 363 | | $ | (177) | | $ | 891 | | $ | 7 | | $ | (1,257) | | $ | (4) | | $ | 3,794 | | $ | (58) | |
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | 1,968 | | $ | 70 | | $ | — | | $ | (17) | | $ | (7) | | $ | 31 | | $ | 78 | | $ | (62) | | $ | (525) | | $ | 1,536 | | $ | 50 | |
| Foreign exchange contracts | (26) | | 122 | | — | | (23) | | 29 | | 3 | | — | | (6) | | (74) | | 25 | | 47 | |
| Equity contracts | (2,235) | | (183) | | — | | (41) | | (69) | | 1 | | — | | (12) | | (120) | | (2,659) | | (160) | |
| Commodity contracts | (278) | | 172 | | — | | 48 | | (5) | | 29 | | — | | (15) | | 24 | | (25) | | 151 | |
| Credit derivatives | 402 | | (271) | | — | | (33) | | 19 | | — | | — | | — | | 34 | | 151 | | (274) | |
Total trading derivatives, net(4) | $ | (169) | | $ | (90) | | $ | — | | $ | (66) | | $ | (33) | | $ | 64 | | $ | 78 | | $ | (95) | | $ | (661) | | $ | (972) | | $ | (186) | |
| Investments | | | | | | | | | | | |
| Mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 30 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 30 | | $ | (27) | |
| Residential | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | 8 | |
| Commercial | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Total investment mortgage-backed securities | $ | 30 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 30 | | $ | (19) | |
| U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | 825 | | — | | (5) | | 2 | | — | | 19 | | — | | (16) | | — | | 825 | | 25 | |
| Foreign government | 196 | | — | | 3 | | — | | — | | 66 | | — | | (76) | | — | | 189 | | — | |
| Corporate | 106 | | — | | — | | — | | — | | — | | — | | (50) | | — | | 56 | | — | |
| Marketable equity securities | 1 | | — | | (1) | | — | | — | | — | | — | | — | | — | | — | | (1) | |
| Asset-backed securities | 6 | | — | | (4) | | — | | — | | — | | — | | — | | — | | 2 | | — | |
| Other debt securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Non-marketable equity securities | 332 | | — | | 17 | | — | | (2) | | — | | 3 | | — | | — | | 350 | | 16 | |
| Total investments | $ | 1,496 | | $ | — | | $ | 10 | | $ | 2 | | $ | (2) | | $ | 85 | | $ | 3 | | $ | (142) | | $ | — | | $ | 1,452 | | $ | 21 | |
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 | Mar. 31, 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2020 | In millions of dollars | Jun. 30, 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2020 |
| Loans | Loans | $ | 537 | | $ | 0 | | $ | 447 | | $ | 0 | | $ | (5) | | $ | 0 | | $ | 0 | | $ | 0 | | $ | (1) | | $ | 978 | | $ | 355 | | Loans | $ | 978 | | $ | — | | $ | 567 | | $ | 138 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | (2) | | $ | 1,681 | | $ | 573 | |
| Mortgage servicing rights | Mortgage servicing rights | 367 | | 0 | | (26) | | 0 | | 0 | | 0 | | 24 | | 0 | | (20) | | 345 | | (14) | | Mortgage servicing rights | 345 | | — | | (22) | | — | | — | | — | | 31 | | — | | (20) | | 334 | | (14) | |
| Other financial assets measured on a recurring basis | Other financial assets measured on a recurring basis | 0 | | 0 | | 14 | | 0 | | 0 | | 0 | | (6) | | (4) | | (4) | | 0 | | 2 | | Other financial assets measured on a recurring basis | — | | — | | (3) | | 19 | | — | | — | | (13) | | (3) | | — | | — | | (11) | |
| Liabilities | Liabilities | | | | Liabilities | | | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 491 | | $ | 0 | | $ | (5) | | $ | 0 | | $ | (151) | | $ | 0 | | $ | 30 | | $ | 0 | | $ | (138) | | $ | 237 | | $ | (27) | | Interest-bearing deposits | $ | 237 | | $ | — | | $ | 26 | | $ | — | | $ | — | | $ | — | | $ | 4 | | $ | — | | $ | (2) | | $ | 213 | | $ | 23 | |
| Securities loaned or sold under agreements to repurchase | Securities loaned or sold under agreements to repurchase | 730 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | (105) | | 625 | | 0 | | Securities loaned or sold under agreements to repurchase | 625 | | (34) | | — | | — | | — | | — | | — | | — | | — | | 659 | | (126) | |
| Trading account liabilities | Trading account liabilities | | | | Trading account liabilities | | | |
| Securities sold, not yet purchased | Securities sold, not yet purchased | 200 | | (28) | | 0 | | 43 | | (8) | | 0 | | 0 | | 0 | | (159) | | 104 | | 24 | | Securities sold, not yet purchased | 104 | | 3 | | — | | 54 | | (3) | | — | | — | | — | | (11) | | 141 | | — | |
| Other trading liabilities | Other trading liabilities | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Other trading liabilities | — | | (16) | | — | | 27 | | — | | — | | — | | — | | — | | 43 | | (15) | |
| Short-term borrowings | Short-term borrowings | 52 | | 9 | | 0 | | 75 | | (6) | | 0 | | 23 | | 0 | | (7) | | 128 | | 16 | | Short-term borrowings | 128 | | 9 | | — | | 78 | | — | | — | | 11 | | — | | (7) | | 201 | | 13 | |
| Long-term debt | Long-term debt | 19,269 | | (1,691) | | 0 | | 1,875 | | (1,475) | | 0 | | 2,527 | | 0 | | (2,254) | | 21,633 | | (1,518) | | Long-term debt | 21,633 | | (267) | | — | | 1,396 | | (27) | | — | | 1,308 | | — | | (1,461) | | 23,116 | | (234) | |
| Other financial liabilities measured on a recurring basis | Other financial liabilities measured on a recurring basis | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Other financial liabilities measured on a recurring basis | — | | — | | — | | — | | — | | — | | 2 | | — | | — | | 2 | | 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 investments are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at JuneSeptember 30, 2020.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.
| | | | | Net realized/unrealized gains (losses) incl. in(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 | Jun. 30, 2020 | In millions of dollars | Dec. 31, 2019 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2020 |
| Assets | Assets | | | | Assets | | | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | $ | 303 | | $ | 14 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 108 | | $ | 0 | | $ | 0 | | $ | (99) | | $ | 326 | | $ | 39 | | Securities borrowed and purchased under agreements to resell | $ | 303 | | $ | 18 | | $ | — | | $ | — | | $ | — | | $ | 151 | | $ | — | | $ | — | | $ | (142) | | $ | 330 | | $ | 4 | |
| Trading non-derivative assets | Trading non-derivative assets | | | | Trading non-derivative assets | | | |
| Trading mortgage-backed securities | Trading mortgage-backed securities | | | | Trading mortgage-backed securities | | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | 10 | | (74) | | 0 | | 16 | | (9) | | 208 | | 0 | | (55) | | 0 | | 96 | | 5 | | U.S. government-sponsored agency guaranteed | 10 | | (65) | | — | | 21 | | (9) | | 390 | | — | | (81) | | — | | 266 | | 14 | |
| Residential | Residential | 123 | | 6 | | 0 | | 204 | | (43) | | 274 | | 0 | | (131) | | 0 | | 433 | | 0 | | Residential | 123 | | 70 | | — | | 214 | | (60) | | 341 | | — | | (419) | | — | | 269 | | (6) | |
| Commercial | Commercial | 61 | | 4 | | 0 | | 143 | | (17) | | 89 | | 0 | | (63) | | 0 | | 217 | | (10) | | Commercial | 61 | | 5 | | — | | 156 | | (17) | | 113 | | — | | (137) | | — | | 181 | | (13) | |
| Total trading mortgage-backed securities | Total trading mortgage-backed securities | $ | 194 | | $ | (64) | | $ | 0 | | $ | 363 | | $ | (69) | | $ | 571 | | $ | 0 | | $ | (249) | | $ | 0 | | $ | 746 | | $ | (5) | | Total trading mortgage-backed securities | $ | 194 | | $ | 10 | | $ | — | | $ | 391 | | $ | (86) | | $ | 844 | | $ | — | | $ | (637) | | $ | — | | $ | 716 | | $ | (5) | |
| 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 | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | State and municipal | 64 | | 2 | | 0 | | 15 | | (3) | | 62 | | 0 | | (23) | | 0 | | 117 | | 1 | | State and municipal | 64 | | 2 | | — | | 15 | | (3) | | 62 | | — | | (64) | | — | | 76 | | 1 | |
| Foreign government | Foreign government | 52 | | (28) | | 0 | | 2 | | (2) | | 104 | | 0 | | (102) | | 0 | | 26 | | 52 | | Foreign government | 52 | | (27) | | — | | 6 | | (2) | | 130 | | — | | (118) | | — | | 41 | | — | |
| Corporate | Corporate | 313 | | 290 | | 0 | | 86 | | (70) | | 419 | | 0 | | (633) | | (6) | | 399 | | (87) | | Corporate | 313 | | 265 | | — | | 108 | | (127) | | 579 | | 2 | | (860) | | (6) | | 274 | | 7 | |
| Marketable equity securities | Marketable equity securities | 100 | | 9 | | 0 | | 38 | | (3) | | 206 | | 0 | | (258) | | 0 | | 92 | | (19) | | Marketable equity securities | 100 | | (22) | | — | | 40 | | (3) | | 221 | | — | | (271) | | — | | 65 | | (33) | |
| Asset-backed securities | Asset-backed securities | 1,117 | | (102) | | 0 | | 496 | | (60) | | 740 | | 0 | | (466) | | 0 | | 1,785 | | (222) | | Asset-backed securities | 1,177 | | (88) | | — | | 663 | | (61) | | 1,091 | | — | | (954) | | — | | 1,828 | | (208) | |
| Other trading assets | Other trading assets | 555 | | 220 | | 0 | | 181 | | (152) | | 231 | | 14 | | (237) | | (15) | | 797 | | (23) | | Other trading assets | 555 | | 196 | | — | | 321 | | (254) | | 297 | | 19 | | (321) | | (19) | | 794 | | (63) | |
| Total trading non-derivative assets | Total trading non-derivative assets | $ | 2,455 | | $ | 327 | | $ | 0 | | $ | 1,181 | | $ | (359) | | $ | 2,333 | | $ | 14 | | $ | (1,968) | | $ | (21) | | $ | 3,962 | | $ | (303) | | Total trading non-derivative assets | $ | 2,455 | | $ | 336 | | $ | — | | $ | 1,544 | | $ | (536) | | $ | 3,224 | | $ | 21 | | $ | (3,225) | | $ | (25) | | $ | 3,794 | | $ | (301) | |
Trading derivatives, net(4) | Trading derivatives, net(4) | | | | Trading derivatives, net(4) | | | |
| Interest rate contracts | Interest rate contracts | $ | 1 | | $ | 375 | | $ | 0 | | $ | 1,614 | | $ | (2) | | $ | 2 | | $ | 56 | | $ | 13 | | $ | (91) | | $ | 1,968 | | $ | 387 | | Interest rate contracts | $ | 1 | | $ | 445 | | $ | — | | $ | 1,597 | | $ | (9) | | $ | 33 | | $ | 134 | | $ | (49) | | $ | (616) | | $ | 1,536 | | $ | 365 | |
| Foreign exchange contracts | Foreign exchange contracts | (5) | | (52) | | 0 | | (33) | | 11 | | 49 | | 0 | | (13) | | 17 | | (26) | | 104 | | Foreign exchange contracts | (5) | | 70 | | — | | (56) | | 40 | | 52 | | — | | (19) | | (57) | | 25 | | 339 | |
| Equity contracts | Equity contracts | (1,596) | | (564) | | 0 | | (391) | | 236 | | 24 | | 0 | | (6) | | 62 | | (2,235) | | (663) | | Equity contracts | (1,596) | | (747) | | — | | (432) | | 167 | | 25 | | — | | (18) | | (58) | | (2,659) | | (658) | |
| Commodity contracts | Commodity contracts | (59) | | (206) | | 0 | | 37 | | (70) | | 66 | | 0 | | (44) | | (2) | | (278) | | (211) | | Commodity contracts | (59) | | (34) | | — | | 85 | | (75) | | 95 | | — | | (59) | | 22 | | (25) | | (34) | |
| Credit derivatives | Credit derivatives | (56) | | 579 | | 0 | | 171 | | (358) | | 0 | | 0 | | 0 | | 66 | | 402 | | 372 | | Credit derivatives | (56) | | 308 | | — | | 138 | | (339) | | — | | — | | — | | 100 | | 151 | | 49 | |
Total trading derivatives, net(4) | Total trading derivatives, net(4) | $ | (1,715) | | $ | 132 | | $ | 0 | | $ | 1,398 | | $ | (183) | | $ | 141 | | $ | 56 | | $ | (50) | | $ | 52 | | $ | (169) | | $ | (11) | | Total trading derivatives, net(4) | $ | (1,715) | | $ | 42 | | $ | — | | $ | 1,332 | | $ | (216) | | $ | 205 | | $ | 134 | | $ | (145) | | $ | (609) | | $ | (972) | | $ | 61 | |
| Investments | Investments | | | | Investments | | | |
| Mortgage-backed securities | Mortgage-backed securities | | | | Mortgage-backed securities | | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | $ | 32 | | $ | 0 | | $ | (5) | | $ | 1 | | $ | 1 | | $ | 1 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 30 | | $ | (23) | | U.S. government-sponsored agency guaranteed | $ | 32 | | $ | — | | $ | (5) | | $ | 1 | | $ | 1 | | $ | 1 | | $ | — | | $ | — | | $ | — | | $ | 30 | | $ | (64) | |
| Residential | Residential | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Residential | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | 8 | |
| Commercial | Commercial | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Commercial | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Total investment mortgage-backed securities | Total investment mortgage-backed securities | $ | 32 | | $ | 0 | | $ | (5) | | $ | 1 | | $ | 1 | | $ | 1 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 30 | | $ | (23) | | Total investment mortgage-backed securities | $ | 32 | | $ | — | | $ | (5) | | $ | 1 | | $ | 1 | | $ | 1 | | $ | — | | $ | — | | $ | — | | $ | 30 | | $ | (56) | |
| 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 | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | State and municipal | 623 | | 0 | | (7) | | 310 | | (131) | | 95 | | 0 | | (65) | | 0 | | 825 | | 25 | | State and municipal | 623 | | — | | (12) | | 312 | | (131) | | 114 | | — | | (81) | | — | | 825 | | 50 | |
| Foreign government | Foreign government | 96 | | 0 | | 5 | | 27 | | (64) | | 208 | | 0 | | (76) | | 0 | | 196 | | (9) | | Foreign government | 96 | | — | | 8 | | 27 | | (64) | | 274 | | — | | (152) | | — | | 189 | | — | |
| Corporate | Corporate | 45 | | 0 | | 2 | | 49 | | (152) | | 162 | | 0 | | 0 | | 0 | | 106 | | 0 | | Corporate | 45 | | — | | 2 | | 49 | | (152) | | 162 | | — | | (50) | | — | | 56 | | — | |
| Marketable equity securities | Marketable equity securities | 0 | | 0 | | 0 | | 1 | | 0 | | 0 | | 0 | | 0 | | 0 | | 1 | | 0 | | Marketable equity securities | — | | — | | (1) | | 1 | | — | | — | | — | | — | | — | | — | | (1) | |
| Asset-backed securities | Asset-backed securities | 22 | | 0 | | 3 | | 0 | | 0 | | 0 | | 0 | | (19) | | 0 | | 6 | | 34 | | Asset-backed securities | 22 | | — | | (1) | | — | | — | | — | | — | | (19) | | — | | 2 | | 6 | |
| 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 | 441 | | 0 | | (53) | | 0 | | 0 | | 2 | | 0 | | (3) | | (55) | | 332 | | 22 | | Non-marketable equity securities | 441 | | — | | (36) | | — | | (2) | | 2 | | 3 | | (3) | | (55) | | 350 | | 24 | |
| Total investments | Total investments | $ | 1,259 | | $ | 0 | | $ | (55) | | $ | 388 | | $ | (346) | | $ | 468 | | $ | 0 | | $ | (163) | | $ | (55) | | $ | 1,496 | | $ | 49 | | Total investments | $ | 1,259 | | $ | — | | $ | (45) | | $ | 390 | | $ | (348) | | $ | 553 | | $ | 3 | | $ | (305) | | $ | (55) | | $ | 1,452 | | $ | 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 | Jun. 30, 2020 | In millions of dollars | Dec. 31, 2019 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2020 |
| Loans | Loans | $ | 402 | | $ | 0 | | $ | 368 | | $ | 217 | | $ | (6) | | $ | 0 | | $ | 0 | | $ | 0 | | $ | (3) | | $ | 978 | | $ | 509 | | Loans | $ | 402 | | $ | — | | $ | 935 | | $ | 355 | | $ | (6) | | $ | — | | $ | — | | $ | — | | $ | (5) | | $ | 1,681 | | $ | 1,026 | |
| Mortgage servicing rights | Mortgage servicing rights | 495 | | 0 | | (169) | | 0 | | 0 | | 0 | | 56 | | 0 | | (37) | | 345 | | (147) | | Mortgage servicing rights | 495 | | — | | (191) | | — | | — | | — | | 87 | | — | | (57) | | 334 | | (161) | |
| Other financial assets measured on a recurring basis | Other financial assets measured on a recurring basis | 1 | | 0 | | 14 | | 0 | | 0 | | 0 | | (6) | | (5) | | (4) | | 0 | | 16 | | Other financial assets measured on a recurring basis | 1 | | — | | 11 | | 19 | | — | | — | | (19) | | (8) | | (4) | | — | | 9 | |
| Liabilities | Liabilities | | | | Liabilities | | | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 215 | | $ | 0 | | $ | (11) | | $ | 278 | | $ | (151) | | $ | 0 | | $ | 30 | | $ | 0 | | $ | (146) | | $ | 237 | | $ | (6) | | Interest-bearing deposits | $ | 215 | | $ | — | | $ | 15 | | $ | 278 | | $ | (151) | | $ | — | | $ | 34 | | $ | — | | $ | (148) | | $ | 213 | | $ | (122) | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 757 | | 27 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | (105) | | 625 | | (33) | | Securities loaned and sold under agreements to repurchase | 757 | | (7) | | — | | — | | — | | — | | — | | — | | (105) | | 659 | | (159) | |
| Trading account liabilities | Trading account liabilities | | | | Trading account liabilities | | | |
| Securities sold, not yet purchased | Securities sold, not yet purchased | 48 | | (129) | | 0 | | 117 | | (18) | | 0 | | 9 | | 0 | | (181) | | 104 | | (7) | | Securities sold, not yet purchased | 48 | | (126) | | — | | 171 | | (21) | | — | | 9 | | — | | (192) | | 141 | | (40) | |
| Other trading liabilities | Other trading liabilities | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Other trading liabilities | — | | (16) | | — | | 27 | | — | | — | | — | | — | | — | | 43 | | (15) | |
| Short-term borrowings | Short-term borrowings | 13 | | 19 | | 0 | | 86 | | (6) | | 0 | | 61 | | 0 | | (7) | | 128 | | 21 | | Short-term borrowings | 13 | | 28 | | — | | 164 | | (6) | | — | | 72 | | — | | (14) | | 201 | | 15 | |
| Long-term debt | Long-term debt | 17,169 | | (380) | | 0 | | 5,063 | | (4,168) | | 0 | | 6,788 | | 0 | | (3,600) | | 21,633 | | (746) | | Long-term debt | 17,169 | | (647) | | — | | 6,459 | | (4,195) | | — | | 8,096 | | — | | (5,060) | | 23,116 | | (487) | |
| 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 | — | | — | | — | | — | | — | | — | | 4 | | — | | (2) | | 2 | | — | |
|
(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 securitiesinvestments 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 JuneSeptember 30, 2020.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.
Level 3 Fair Value Rollforward
The following were the significant Level 3 transfers for the period December 31, 2020 to JuneSeptember 30, 2021:
•During the three and sixnine months ended JuneSeptember 30, 2021, transfers of Loans of $2.1$2.0 billion from Level 3 to Level 2 were primarily driven by equity forward and volatility inputs that have been assessed as not significant to the overall valuation of certain hybrid loan instruments, including equity options and long dated equity call spreads.
•During the nine months ended September 30, 2021, transfers of Equity contracts of $1.0 billion from Level 2 to Level 3 were due to equity forward and volatility inputs becoming an unobservable and/or significant input relative to the overall valuation of equity options and equity swaps. In other instances, market changes have resulted in observable equity forward and volatility inputs 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 resulted in $1.6 billion of certain Equity contracts being transferred from Level 3 to Level 2.
•During the three and sixnine months ended JuneSeptember 30, 2021, transfers of Long-term debt were $3.9$2.1 billion and $4.9$6.9 billion, respectively, from Level 2 to Level 3. Of the $4.9$6.9 billion transfer in the sixnine months ended JuneSeptember 30, 2021, approximately $4.0$5.9 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $0.8$0.9 billion related to equity volatility inputs (in addition to other volatility inputs, e.g., interest rate volatility inputs) becoming unobservable and/or
significant to their overall valuation. In other instances, market changes have resulted in some inputs becoming more observable, and some unobservable inputs becoming less significant to the overall valuation of the instruments (e.g., when an option becomes deep-in or deep-out of the money). This has primarily resulted in $6.0$1.1 billion and $7.1 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three and sixnine months ended JuneSeptember 30, 2021.
2021, respectively.The following were the significant Level 3 transfers for the period December 31, 2019 to JuneSeptember 30, 2020:
•During the sixnine months ended JuneSeptember 30, 2020, transfers ofInterest rate contractsof $1.6 billion from Level 2 to Level 3 were due to interest rate option volatility becoming an unobservable and/or significant input relative to the overall valuation of the relatedinflation and other interest rate derivatives.
•During the three and sixnine months ended JuneSeptember 30, 2020, $1.9$1.4 billion and $5.1$6.5 billion, respectively, of Long-term debtcontaining embedded derivatives was transferred from Level 2 to Level 3, as a result of interest rate option volatility, equity correlation and credit derivative inputs becoming unobservable and/or significant relative to the overall valuation of certain structured long-term debt products. In other instances, market changes resulted in unobservable volatility inputs becoming insignificant to the overall valuation of the instrument (e.g., when an option becomes deep-in or deep-out of the money). This has resulted in $1.5 billion and $4.2 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three and sixnine months ended JuneSeptember 30, 2020, respectively.2020.
Valuation Techniques and Inputs for Level 3 Fair Value
Measurements
The following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements. Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.
| | As of June 30, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | |
| As of September 30, 2021 | | As of September 30, 2021 | 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 | $ | 211 | | Model-based | Credit spread | 15 bps | Securities borrowed and purchased under agreements to resell | $ | 257 | | Model-based | Credit spread | 15 bps |
| | Interest rate | 0.30 | % | 0.30 | % | 0.30 | % | | Interest rate | 0.27 | % | 0.64 | % | 0.46 | % |
| Mortgage-backed securities | Mortgage-backed securities | $ | 452 | | Yield analysis | Yield | 1.64 | % | 17.78 | % | 7.31 | % | Mortgage-backed securities | $ | 376 | | Yield analysis | Yield | 2.10 | % | 17.85 | % | 5.62 | % |
| | 136 | | Price-based | Price | $ | 4.00 | | $ | 120.68 | | $ | 91.67 | | | 244 | | Price-based | Price | $ | 4.41 | | $ | 120.77 | | $ | 50.04 | |
| State and municipal, foreign government, corporate and other debt securities | State and municipal, foreign government, corporate and other debt securities | $ | 2,069 | | Price-based | Price | $ | 5.24 | $ | 1,027.67 | $ | 213.01 | State and municipal, foreign government, corporate and other debt securities | $ | 2,223 | | Price-based | Price | $ | 0.01 | $ | 1,024.98 | $ | 188.92 |
| | 973 | | Model-based | Credit spread | 35 bps | 583 bps | 246 bps | | 904 | | Model-based | Equity volatility | — | % | 286.78 | % | 23.08 | % |
Marketable equity securities(5) | Marketable equity securities(5) | $ | 139 | | Price-based | Price | $ | 0 | $ | 97,500.00 | $ | 25,976.84 | Marketable equity securities(5) | $ | 139 | | Price-based | Price | $ | — | $ | 73,000.00 | $ | 6,027.91 |
| | | 41 | | Model-based | Illiquidity discount | 20.00 | % | 21.00 | % | 20.31 | % |
| | | 25 | | Comparables analysis | WAL | 1.99 years |
| | | Recovery (in millions) | $ | 5,733 | | $ | 5,733 | | $ | 5,733 | |
| | 0 | | Illiquidity discount | 24.70 | % | 25.00 | % | 24.87 | % | | Revenue multiple | 6.40x |
| | Asset-backed securities | Asset-backed securities | $ | 418 | | Price-based | Price | $ | 2.08 | $ | 166.03 | $ | 68.96 | Asset-backed securities | $ | 360 | | Price-based | Price | $ | 5.70 | $ | 3,450.00 | $ | 447.00 |
| | 211 | | Yield analysis | Yield | 2.29 | % | 15.40 | % | 6.35 | % | | 307 | | Yield analysis | Yield | 2.76 | % | 21.13 | % | 7.25 | % |
| Non-marketable equities | Non-marketable equities | $ | 248 | | Comparables analysis | Illiquidity discount | 10.00 | % | 35.00 | % | 21.53 | % | Non-marketable equities | $ | 166 | | Comparables analysis | Illiquidity discount | 10.00 | % | 35.00 | % | 27.40 | % |
| | 97 | | Price-based | PE ratio | 12.00x | 31.00x | 18.52x | | 114 | | Price-based | PE ratio | 11.20x | 29.60x | 16.62x |
| | Adjustment factor | 0.18x | 0.80x | 0.47x | | 67 | Model-based | Adjustment factor | —x | 0.70x | 0.32x |
| | Price | $ | 11.03 | $ | 1,610.00 | $ | 1,269.53 | | Price | $ | 43.43 | $ | 1,684.00 | $ | 1,219.39 |
| | EBITDA multiples | 5.70x | 19.40x | 13.18x | | EBITDA multiples | 4.60x | 18.30x | 12.89x |
| | Revenue multiple | 10.20x | 15.30x | 13.58x | | Revenue multiple | 13.00x | 25.10x | 18.54x |
Derivatives—gross(6) | Derivatives—gross(6) | | Derivatives—gross(6) | |
| Interest rate contracts (gross) | Interest rate contracts (gross) | $ | 3,740 | | Model-based | IR Normal volatility | 0.10 | % | 0.75 | % | 0.55 | % | Interest rate contracts (gross) | $ | 4,681 | | Model-based | IR Normal volatility | 0.05 | % | 0.78 | % | 0.57 | % |
| | Inflation volatility | 0.28 | % | 2.58 | % | 1.47 | % | | Inflation volatility | 0.26 | % | 2.71 | % | 1.22 | % |
| Foreign exchange contracts (gross) | Foreign exchange contracts (gross) | $ | 1,240 | | Model-based | IR Normal volatility | 0.11 | % | 0.58 | % | 0.51 | % | Foreign exchange contracts (gross) | $ | 1,219 | | Model-based | IR Normal volatility | 0.11 | % | 0.59 | % | 0.51 | % |
| | IR basis | (0.70) | % | 1.07 | % | 0.10 | % | | FX volatility | 0.76 | % | 41.60 | % | 10.25 | % |
| | FX volatility | 5.00 | % | 28.55 | % | 9.94 | % | | Interest rate | 2.43 | % | 8.04 | % | 6.39 | % |
| Equity contracts (gross)(7) | Equity contracts (gross)(7) | $ | 5,608 | | Model-based | Equity volatility | 0 | % | 299.00 | % | 50.26 | % | Equity contracts (gross)(7) | $ | 5,400 | | Model-based | Equity volatility | — | % | 286.78 | % | 35.61 | % |
| | Equity forward | 57.00 | % | 125.00 | % | 89.82 | % | | Equity forward | 57.78 | % | 127.80 | % | 89.35 | % |
| | | Equity-Equity correlation | (40.00) | % | 99.00 | % | 80.51 | % |
| | | Equity-FX correlation | (80.10) | % | 80.00 | % | (10.34) | % |
| | Commodity and other contracts (gross) | Commodity and other contracts (gross) | $ | 1,640 | | Model-based | Commodity correlation | (49.00) | % | 92.00 | % | 18.34 | % | Commodity and other contracts (gross) | $ | 1,985 | | Model-based | Commodity correlation | (50.82) | % | 91.95 | % | (0.71) | % |
| | Commodity volatility | 10.00 | % | 69.00 | % | 24.91 | % | | Commodity volatility | 11.00 | % | 130.00 | % | 25.04 | % |
| | Forward price | 9.99 | % | 421.06 | % | 110.04 | % | | Forward price | 37.49 | % | 619.33 | % | 99.31 | % |
| Credit derivatives (gross) | Credit derivatives (gross) | $ | 1,283 | | Model-based | Credit spread | 4 bps | 600 bps | 52 bps | Credit derivatives (gross) | $ | 1,111 | | Model-based | Credit spread | 5 bps | 625 bps | 66 bps |
| | 466 | | Price-based | Recovery rate | 25.00 | % | 75.00 | % | 46.24 | % | | 458 | | Price-based | Recovery rate | 25.00 | % | 75.00 | % | 42.25 | % |
| | Upfront points | 5.05 | % | 100.00 | % | 58.73 | % | | Upfront points | 4.54 | % | 99.97 | % | 59.38 | % |
| | Price | $ | 15.06 | $ | 103.63 | $ | 72.48 | | Credit correlation | 25.00 | % | 80.00 | % | 52.25 | % |
| Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross) | $ | 17 | | Price-based | Price | $ | 4.96 | $ | 44.50 | $ | 39.76 | |
| Loans and leases | $ | 335 | | Model-based | Equity volatility | 22.06 | % | 63.96 | % | 30.76 | % | |
| | 87 | | Price-based | Price | $ | 35.23 | | $ | 409.11 | | $ | 111.37 | | | Price | $ | 40.00 | $ | 102.88 | $ | 79.01 |
| | | Mortgage servicing rights | $ | 339 | | Cash flow | Yield | 2.00 | % | 15.00 | % | 6.74 | % | |
| | As of June 30, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | |
| As of September 30, 2021 | | As of September 30, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross) | | Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross) | $ | 87 | | Price-based | Price | $ | 5.63 | $ | 252.23 | $ | 152.32 |
| Loans and leases | | Loans and leases | $ | 656 | | Model-based | Equity volatility | 23.42 | % | 63.96 | % | 36.98 | % |
| | Mortgage servicing rights | | Mortgage servicing rights | $ | 333 | | Cash flow | Yield | 2.00 | % | 14.00 | % | 6.70 | % |
| | 80 | | Model-based | WAL | 3.15 years | 6.32 years | 5.49 years | | 76 | | Model-based | WAL | 3.26 years | 6.68 years | 5.68 years |
| Liabilities | Liabilities | | Liabilities | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 154 | | Model-based | IR Normal volatility | 0.13 | % | 0.75 | % | 0.61 | % | Interest-bearing deposits | $ | 149 | | Model-based | IR Normal volatility | 0.14 | % | 0.78 | % | 0.62 | % |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | $ | 488 | | Model-based | Interest rate | 0.06 | % | 2.04 | % | 1.25 | % | Securities loaned and sold under agreements to repurchase | $ | 656 | | Model-based | Interest rate | 0.13 | % | 2.34 | % | 1.62 | % |
| 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 | $ | 116 | | Model-based | IR Lognormal volatility | 55.87 | % | 139.01 | % | 106.26 | % | Securities sold, not yet purchased and other trading liabilities | $ | 81 | | Price-based | Price | $ | — | $ | 12,100.00 | $ | 1,378.00 |
| | 52 | | Price-based | Price | $ | 0 | $ | 12,351.44 | $ | 2,184.24 | |
| | Interest rate | 0.17 | % | 0.23 | % | 0.20 | % | |
| | Short-term borrowings and long-term debt | Short-term borrowings and long-term debt | $ | 24,881 | | Model-based | IR Normal volatility | 0.11 | % | 0.75 | % | 0.55 | % | Short-term borrowings and long-term debt | $ | 25,792 | | Model-based | IR Normal volatility | 0.11 | % | 0.78 | % | 0.56 | % |
| | Equity volatility | 0.07 | % | 299.00 | % | 64.51 | % | | Equity volatility | — | % | 286.78 | % | 23.17 | % |
| | Equity forward | 57.00 | % | 125.00 | % | 89.78 | % | | Equity-IR correlation | (13.00) | % | 60.00 | % | 29.19 | % |
| | Equity-FX correlation | (81.00) | % | 80.00 | % | (12.54) | % | | Equity-FX correlation | (80.10) | % | 80.00 | % | (10.34) | % |
| | FX volatility | 0 | % | 37.00 | % | 10.12 | % | | FX volatility | — | % | 32.57 | % | 9.68 | % |
| | As of December 31, 2020 | As of December 31, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | As of December 31, 2020 | 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 | $ | 320 | | Model-based | Credit spread | 15 bps | Securities borrowed and purchased under agreements to resell | $ | 320 | | Model-based | Credit spread | 15 bps |
| | Interest rate | 0.30 | % | 0.35 | % | 0.32 | % | | Interest rate | 0.30 | % | 0.35 | % | 0.32 | % |
| Mortgage-backed securities | Mortgage-backed securities | $ | 344 | | Price-based | Price | $ | 30 | | $ | 111 | | $ | 80 | | Mortgage-backed securities | $ | 344 | | Price-based | Price | $ | 30 | | $ | 111 | | $ | 80 | |
| | 168 | | Yield analysis | Yield | 2.63 | % | 21.80 | % | 10.13 | % | | 168 | | Yield analysis | Yield | 2.63 | % | 21.80 | % | 10.13 | % |
| State and municipal, foreign government, corporate and other debt securities | State and municipal, foreign government, corporate and other debt securities | $ | 1,566 | | Price-based | Price | $ | 0 | | $ | 2,265 | | $ | 90 | | State and municipal, foreign government, corporate and other debt securities | $ | 1,566 | | Price-based | Price | $ | — | | $ | 2,265 | | $ | 90 | |
| | 852 | | Model-based | Credit spread | 35 bps | 375 bps | 226 bps | | 852 | | Model-based | Credit spread | 35 bps | 375 bps | 226 bps |
Marketable equity securities(5) | Marketable equity securities(5) | $ | 36 | | Model-based | Price | $ | 0 | | $ | 31,000 | | $ | 5,132 | | Marketable equity securities(5) | $ | 36 | | Model-based | Price | $ | — | | $ | 31,000 | | $ | 5,132 | |
| | 36 | | Price-based | WAL | 1.48 years | | 36 | | Price-based | WAL | 1.48 years |
| | Recovery (in millions) | $ | 5,733 | | $ | 5,733 | | $ | 5,733 | | | Recovery (in millions) | $ | 5,733 | | $ | 5,733 | | $ | 5,733 | |
| Asset-backed securities | Asset-backed securities | $ | 863 | | Price-based | Price | $ | 2 | | $ | 157 | | $ | 59 | | Asset-backed securities | $ | 863 | | Price-based | Price | $ | 2 | | $ | 157 | | $ | 59 | |
| | 744 | | Yield analysis | Yield | 3.77 | % | 21.77 | % | 9.01 | % | | 744 | | Yield analysis | Yield | 3.77 | % | 21.77 | % | 9.01 | % |
| Non-marketable equities | Non-marketable equities | $ | 205 | | Comparables analysis | Illiquidity discount | 10.00 | % | 45.00 | % | 25.29 | % | Non-marketable equities | $ | 205 | | Comparables analysis | Illiquidity discount | 10.00 | % | 45.00 | % | 25.29 | % |
| | PE ratio | 13.60x | 28.00x | 22.83x | | PE ratio | 13.60x | 28.00x | 22.83x |
| | 142 | | Price-based | Price | $ | 136 | | $ | 2,041 | | $ | 1,647 | | | 142 | | Price-based | Price | $ | 136 | | $ | 2,041 | | $ | 1,647 | |
| | EBITDA multiples | 3.30x | 36.70x | 15.10x | | EBITDA multiples | 3.30x | 36.70x | 15.10x |
| | Adjustment factor | 0.20x | 0.61x | 0.25x | | Adjustment factor | 0.20x | 0.61x | 0.25x |
| | Appraised value (in thousands) | $ | 287 | | $ | 39,745 | | $ | 21,754 | | | Appraised value (in thousands) | $ | 287 | | $ | 39,745 | | $ | 21,754 | |
| | Revenue multiple | 2.70x | 28.00x | 8.92x | | Revenue multiple | 2.70x | 28.00x | 8.92x |
Derivatives—gross(6) | Derivatives—gross(6) | | Derivatives—gross(6) | |
| Interest rate contracts (gross) | Interest rate contracts (gross) | $ | 5,143 | | Model-based | Inflation volatility | 0.27 | % | 2.36 | % | 0.78 | % | 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 | % | | IR normal volatility | 0.11 | % | 0.73 | % | 0.52 | % |
| Foreign exchange contracts (gross) | Foreign exchange contracts (gross) | $ | 1,296 | | Model-based | FX volatility | 1.70 | % | 12.63 | % | 5.41 | % | Foreign exchange contracts (gross) | $ | 1,296 | | Model-based | FX volatility | 1.70 | % | 12.63 | % | 5.41 | % |
| | Contingent event | 100.00 | % | 100.00 | % | 100.00 | % | | 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 | % | |
| | As of December 31, 2020 | As of December 31, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | As of December 31, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| | | 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 | % | | IR-IR correlation | (21.71) | % | 40.00 | % | 38.09 | % |
Equity contracts (gross)(7) | Equity contracts (gross)(7) | $ | 7,330 | | Model-based | Equity volatility | 5.00 | % | 91.43 | % | 42.74 | % | Equity contracts (gross)(7) | $ | 7,330 | | Model-based | Equity volatility | 5.00 | % | 91.43 | % | 42.74 | % |
| | Forward price | 65.88 | % | 105.20 | % | 91.82 | % | | Forward price | 65.88 | % | 105.20 | % | 91.82 | % |
| 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) | $ | 1,636 | | Model-based | Commodity correlation | (44.92) | % | 95.91 | % | 70.60 | % |
| | Commodity volatility | 0.16 | % | 80.17 | % | 23.72 | % | | Commodity volatility | 0.16 | % | 80.17 | % | 23.72 | % |
| | Forward price | 15.40 | % | 262.00 | % | 98.53 | % | | Forward price | 15.40 | % | 262.00 | % | 98.53 | % |
| Credit derivatives (gross) | Credit derivatives (gross) | $ | 1,854 | | Model-based | Credit spread | 3.50 bps | 352.35 bps | 99.89 bps | Credit derivatives (gross) | $ | 1,854 | | Model-based | Credit spread | 3.50 bps | 352.35 bps | 99.89 bps |
| | 408 | | Price-based | Recovery rate | 20.00 | % | 60.00 | % | 41.60 | % | | 408 | | Price-based | Recovery rate | 20.00 | % | 60.00 | % | 41.60 | % |
| | Credit correlation | 25.00 | % | 80.00 | % | 43.36 | % | | Credit correlation | 25.00 | % | 80.00 | % | 43.36 | % |
| | Upfront points | 0 | % | 107.20 | % | 48.10 | % | | Upfront points | — | % | 107.20 | % | 48.10 | % |
| | Loans and leases | Loans and leases | $ | 1,804 | | Model-based | Equity volatility | 24.65 | % | 83.09 | % | 58.23 | % | Loans and leases | $ | 1,804 | | Model-based | Equity volatility | 24.65 | % | 83.09 | % | 58.23 | % |
| | Mortgage servicing rights | Mortgage servicing rights | $ | 258 | | Cash flow | Yield | 2.86 | % | 16.00 | % | 6.32 | % | Mortgage servicing rights | $ | 258 | | Cash flow | Yield | 2.86 | % | 16.00 | % | 6.32 | % |
| | 78 | | Model-based | WAL | 2.66 years | 5.40 years | 4.46 years | | 78 | | Model-based | WAL | 2.66 years | 5.40 years | 4.46 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 | $ | 206 | | Model-based | IR Normal volatility | 0.11 | % | 0.73 | % | 0.54 | % |
| | 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 | $ | 631 | | Model-based | Interest rate | 0.08 | % | 1.86 | % | 0.71 | % |
| Trading account liabilities | Trading account liabilities | | Trading account liabilities | |
| Securities sold, not yet purchased | Securities sold, not yet purchased | $ | 178 | | Model-based | IR lognormal volatility | 52.06 | % | 128.87 | % | 89.82 | % | Securities sold, not yet purchased | $ | 178 | | Model-based | IR lognormal volatility | 52.06 | % | 128.87 | % | 89.82 | % |
| | 62 | | Price-based | Price | $ | 0 | | $ | 866 | | $ | 80 | | | 62 | | Price-based | Price | $ | — | | $ | 866 | | $ | 80 | |
| | Interest rate | 10.03 | % | 20.07 | % | 13.70 | % | | Interest rate | 10.03 | % | 20.07 | % | 13.70 | % |
| Short-term borrowings and
long-term debt | Short-term borrowings and
long-term debt | $ | 24,827 | | Model-based | IR Normal volatility | 0.11 | % | 0.73 | % | 0.51 | % | 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 | % | | Forward price | 15.40 | % | 262.00 | % | 92.48 | % |
(1)The tables above include the fair values for the items listed and may not foot to the total population for each category.
(2)Some inputs are shown as zero due to rounding.
(3)When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.
(4)Weighted averages are calculated based on the fair values of the instruments.
(5)For equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount.
(6)Both trading and non-trading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
(7)Includes hybrid products.
Items Measured at Fair Value on a Nonrecurring Basis
Certain assets and liabilities are measured at fair value on a nonrecurring basis and, therefore, are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. These also include non-marketable equity securities that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for an identical or similar investment in the same issuer. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market 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 | In millions of dollars | Fair value | Level 2 | Level 3 | In millions of dollars | Fair value | Level 2 | Level 3 |
| June 30, 2021 | | | | |
| September 30, 2021 | | September 30, 2021 | | | |
Loans HFS(1) | Loans HFS(1) | $ | 587 | | $ | 212 | | $ | 375 | | Loans HFS(1) | $ | 876 | | $ | 368 | | $ | 508 | |
| Other real estate owned | Other real estate owned | 22 | | 0 | | 22 | | Other real estate owned | 5 | | — | | 5 | |
Loans(2) | Loans(2) | 354 | | 0 | | 354 | | Loans(2) | 224 | | — | | 224 | |
| | Non-marketable equity securities measured using the measurement alternative | Non-marketable equity securities measured using the measurement alternative | 487 | | 152 | | 335 | | Non-marketable equity securities measured using the measurement alternative | 233 | | 44 | | 189 | |
| Total assets at fair value on a nonrecurring basis | Total assets at fair value on a nonrecurring basis | $ | 1,450 | | $ | 364 | | $ | 1,086 | | Total assets at fair value on a nonrecurring basis | $ | 1,338 | | $ | 412 | | $ | 926 | |
| | | | | | | | | | | |
| In millions of dollars | Fair value | Level 2 | Level 3 |
| December 31, 2020 | | | |
Loans HFS(1) | $ | 3,375 | | $ | 478 | | $ | 2,897 | |
| Other real estate owned | 17 | | 4 | | 13 | |
Loans(2) | 1,015 | | 679 | | 336 | |
| Non-marketable equity securities measured using the measurement alternative | 315 | | 312 | | 3 | |
| Total assets at fair value on a nonrecurring basis | $ | 4,722 | | $ | 1,473 | | $ | 3,249 | |
(1)Net of fair value amounts on the unfunded portion of loans HFS recognized as Other liabilities on the Consolidated Balance Sheet.
(2)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.
Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements
The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements:
| | As of June 30, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) | |
| As of September 30, 2021 | | As of September 30, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) |
| Loans held-for-sale | Loans held-for-sale | $ | 375 | | Price-based | Price | $ | 90.32 | | $ | 100.00 | | $ | 96.68 | | Loans held-for-sale | $ | 508 | | Price-based | Price | $ | 90.00 | | $ | 100.00 | | $ | 98.37 | |
| Other real estate owned | Other real estate owned | $ | 13 | | Recovery analysis | Appraised value(4) | $ | 20,000 | | $ | 1,800,000 | | $ | 599,971 | | Other real estate owned | $ | 5 | | Recovery analysis | Appraised value(4) | $ | 27,000 | | $ | 3,400,000 | | $ | 712,192 | |
Loans (5) | Loans (5) | $ | 224 | | Recovery analysis | Appraised value(4) | $ | 4,000 | | $ | 21,240,661 | | $ | 4,002,656 | | Loans (5) | $ | 192 | | Price-based | Appraised value(4) | $ | 91 | | $ | 3,900,000 | | $ | 253,297 | |
| | 128 | | Price-based | Price | 2.55 | | 60.00 | | $ | 29.10 | | | 32 | | Recovery analysis | Price | 2.70 | | 70.00 | | 32.14 | |
| Non-marketable equity securities measured using the measurement alternative | Non-marketable equity securities measured using the measurement alternative | $ | 331 | | Price-based | Price | $ | 5.41 | | $ | 1,592.82 | | $ | 468.68 | | Non-marketable equity securities measured using the measurement alternative | $ | 189 | | Price-based | Price | $ | 8.48 | | $ | 1,951.67 | | $ | 580.68 | |
| | | | | | | | | | | | | | | | | | | | |
| As of December 31, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) |
| Loans held-for-sale | $ | 2,683 | | Price-based | Price | $ | 79 | | $ | 100 | | $ | 98 | |
| Other real estate owned | $ | 7 | | Price-based | Appraised value(4) | $ | 3,110,711 | | $ | 4,241,357 | | $ | 3,586,975 | |
| 4 | | Recovery analysis | Price | 51 | | 51 | | 51 | |
| | | | | | |
| | | | | | |
Loans(5) | $ | 147 | | Price-based | Price | $ | 2 | | $ | 49 | | $ | 23 | |
| 73 | | Recovery analysis | Recovery rate | 0.99 | % | 78.00 | % | 13.37 | % |
| | | Appraised value(4) | $ | 34 | | $ | 43,646,426 | | $ | 17,762,950 | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
(1)The table above includes the fair values for the items listed and may not foot to the total population for each category.
(2)Some inputs are shown as zero due to rounding.
(3)Weighted averages are calculated based on the fair values of the instruments.
(4)Appraised values are disclosed in whole dollars.
(5)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.
Nonrecurring Fair Value Changes
The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:
| | | Three Months Ended June 30, | Six Months Ended June 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Loans HFS | Loans HFS | $ | (15) | | $ | 32 | | $ | (17) | | $ | (198) | | Loans HFS | $ | (13) | | $ | (26) | | $ | (22) | | $ | (133) | |
| Other real estate owned | Other real estate owned | 0 | | (1) | | 0 | | (1) | | Other real estate owned | — | | — | | — | | (1) | |
Loans(1) | Loans(1) | 49 | | (266) | | 60 | | (189) | | Loans(1) | (10) | | (31) | | 33 | | (131) | |
| Non-marketable equity securities measured using the measurement alternative | Non-marketable equity securities measured using the measurement alternative | 211 | | (52) | | 291 | | (29) | | Non-marketable equity securities measured using the measurement alternative | 72 | | 37 | | 363 | | 8 | |
| | Total nonrecurring fair value gains (losses) | Total nonrecurring fair value gains (losses) | $ | 245 | | $ | (287) | | $ | 334 | | $ | (417) | | Total nonrecurring fair value gains (losses) | $ | 49 | | $ | (20) | | $ | 374 | | $ | (257) | |
(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 tables present the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The tables below therefore exclude items measured at fair value on a recurring basis presented in the tables above.
| | | | June 30, 2021 | Estimated fair value | | September 30, 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, net of allowance | Investments, net of allowance | $ | 181.9 | | $ | 183.4 | | $ | 73.8 | | $ | 106.9 | | $ | 2.7 | | Investments, net of allowance | $ | 203.0 | | $ | 203.7 | | $ | 89.1 | | $ | 111.6 | | $ | 3.0 | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | 121.2 | | 121.2 | | 0 | | 120.9 | | 0.3 | | Securities borrowed and purchased under agreements to resell | 125.5 | | 125.5 | | — | | 121.8 | | 3.7 | |
Loans(1)(2) | Loans(1)(2) | 649.3 | | 665.2 | | 0 | | 0 | | 665.2 | | Loans(1)(2) | 639.4 | | 654.2 | | — | | — | | 654.2 | |
Other financial assets(2)(3) | Other financial assets(2)(3) | 397.9 | | 397.9 | | 279.3 | | 19.9 | | 98.7 | | Other financial assets(2)(3) | 421.0 | | 421.0 | | 302.5 | | 21.3 | | 97.2 | |
| Liabilities | Liabilities | | | | Liabilities | | | |
| Deposits | Deposits | $ | 1,307.5 | | $ | 1,308.3 | | $ | 0 | | $ | 1,138.6 | | $ | 169.7 | | Deposits | $ | 1,344.8 | | $ | 1,345.5 | | $ | — | | $ | 1,178.0 | | $ | 167.5 | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 145.1 | | 145.1 | | 0 | | 145.0 | | 0.1 | | Securities loaned and sold under agreements to repurchase | 133.9 | | 133.9 | | — | | 133.6 | | 0.3 | |
Long-term debt(4) | Long-term debt(4) | 188.2 | | 203.1 | | 0 | | 184.0 | | 19.1 | | Long-term debt(4) | 180.1 | | 194.0 | | — | | 179.8 | | 14.2 | |
Other financial liabilities(5) | Other financial liabilities(5) | 114.8 | | 114.8 | | 0 | | 19.6 | | 95.2 | | Other financial liabilities(5) | 115.4 | | 115.4 | | — | | 18.0 | | 97.4 | |
| | | | December 31, 2020 | Estimated fair value | | December 31, 2020 | 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, net of allowance | Investments, net of allowance | $ | 110.3 | | $ | 113.2 | | $ | 23.3 | | $ | 87.0 | | $ | 2.9 | | Investments, net of allowance | $ | 110.3 | | $ | 113.2 | | $ | 23.3 | | $ | 87.0 | | $ | 2.9 | |
| 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 | 109.5 | | 109.5 | | — | | 109.5 | | — | |
Loans(1)(2) | Loans(1)(2) | 643.3 | | 663.9 | | 0 | | 0.6 | | 663.3 | | Loans(1)(2) | 643.3 | | 663.9 | | — | | 0.6 | | 663.3 | |
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) | 383.2 | | 383.2 | | 291.5 | | 18.1 | | 73.6 | |
| Liabilities | Liabilities | | | | Liabilities | | | |
| Deposits | Deposits | $ | 1,278.7 | | $ | 1,278.8 | | $ | 0 | | $ | 1,093.3 | | $ | 185.5 | | Deposits | $ | 1,278.7 | | $ | 1,278.8 | | $ | — | | $ | 1,093.3 | | $ | 185.5 | |
| 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 | 139.3 | | 139.3 | | — | | 139.3 | | — | |
Long-term debt(4) | Long-term debt(4) | 204.6 | | 221.2 | | 0 | | 197.8 | | 23.4 | | Long-term debt(4) | 204.6 | | 221.2 | | — | | 197.8 | | 23.4 | |
Other financial liabilities(5) | Other financial liabilities(5) | 102.4 | | 102.4 | | 0 | | 19.2 | | 83.2 | | Other financial liabilities(5) | 102.4 | | 102.4 | | — | | 19.2 | | 83.2 | |
(1)The carrying value of loans is net of the Allowance for credit losses on loans of $19.2$17.7 billion for JuneSeptember 30, 2021 and $25.0 billion for December 31, 2020. In addition, the carrying values exclude $0.6$0.5 billion and $0.7 billion of lease finance receivables at JuneSeptember 30, 2021 and December 31, 2020, respectively.
(2)Includes items measured at fair value on a nonrecurring basis.
(3)Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
(4)The carrying value includes long-term debt balances under qualifying fair value hedges.
(5)Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
The estimated fair values of the Company’s corporate unfunded lending commitments at JuneSeptember 30, 2021 and December 31, 2020 were off-balance liabilities of $6.7$9.1 billion and $7.3 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of consumer unfunded lending commitments, which are generally cancellable by providing notice to the borrower.
21. FAIR VALUE ELECTIONS
The Company may elect to report most financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings, other than DVA (see below). The election is made upon the initial recognition of an eligible financial asset, financial liability or firm commitment or when certain specified reconsideration events occur. The fair value election may not otherwise be revoked once an election is made. The
changes in fair value are recorded in current earnings. 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.
The Company has elected fair value accounting for its mortgage servicing rights (MSRs). See Note 18 to the Consolidated Financial Statements for additional 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) | | Changes in fair value—gains (losses) |
| | | Three Months Ended June 30, | Six Months Ended June 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Assets | Assets | | | | Assets | | | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | $ | (8) | | $ | (48) | | $ | (36) | | $ | 44 | | Securities borrowed and purchased under agreements to resell | $ | (28) | | $ | (27) | | $ | (64) | | $ | 17 | |
| Trading account assets | Trading account assets | 52 | | 373 | | 153 | | (461) | | Trading account assets | (2) | | 183 | | 151 | | (278) | |
| Loans | Loans | | | | | Loans | | | | |
| Certain corporate loans | Certain corporate loans | 539 | | (154) | | 668 | | (1,017) | | Certain corporate loans | (292) | | 1,003 | | 376 | | 973 | |
| Certain consumer loans | Certain consumer loans | 0 | | (1) | | 0 | | 0 | | Certain consumer loans | — | | — | | — | | — | |
| Total loans | Total loans | $ | 539 | | $ | (155) | | $ | 668 | | $ | (1,017) | | Total loans | $ | (292) | | $ | 1,003 | | $ | 376 | | $ | 973 | |
| Other assets | Other assets | | | | | Other assets | | | | |
| MSRs | MSRs | $ | (21) | | $ | (26) | | $ | 52 | | $ | (169) | | MSRs | $ | (3) | | $ | (22) | | $ | 49 | | $ | (191) | |
Certain mortgage loans HFS(1) | Certain mortgage loans HFS(1) | 47 | | 72 | | 44 | | 134 | | Certain mortgage loans HFS(1) | 25 | | 74 | | 69 | | 208 | |
| Total other assets | Total other assets | $ | 26 | | $ | 46 | | $ | 96 | | $ | (35) | | Total other assets | $ | 22 | | $ | 52 | | $ | 118 | | $ | 17 | |
| Total assets | Total assets | $ | 609 | | $ | 216 | | $ | 881 | | $ | (1,469) | | Total assets | $ | (300) | | $ | 1,211 | | $ | 581 | | $ | 729 | |
| Liabilities | Liabilities | | | | | Liabilities | | | | |
| Interest-bearing deposits | Interest-bearing deposits | $ | (130) | | $ | (164) | | $ | (93) | | $ | (52) | | Interest-bearing deposits | $ | 54 | | $ | (53) | | $ | (39) | | $ | (105) | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 5 | | 196 | | 18 | | (92) | | Securities loaned and sold under agreements to repurchase | 19 | | 482 | | 37 | | 390 | |
| Trading account liabilities | Trading account liabilities | 8 | | 44 | | 10 | | (17) | | Trading account liabilities | 5 | | 16 | | 15 | | (1) | |
Short-term borrowings(2) | Short-term borrowings(2) | 327 | | (259) | | 192 | | 997 | | Short-term borrowings(2) | 140 | | (60) | | 332 | | 937 | |
Long-term debt(2) | Long-term debt(2) | (2,441) | | (5,402) | | (433) | | 1,963 | | Long-term debt(2) | 975 | | (1,098) | | 542 | | 865 | |
| Total liabilities | Total liabilities | $ | (2,231) | | $ | (5,585) | | $ | (306) | | $ | 2,799 | | Total liabilities | $ | 1,193 | | $ | (713) | | $ | 887 | | $ | 2,086 | |
(1)Includes gains (losses) associated with interest rate lock commitments for those loans that have been originated and elected under the fair value option.
(2)Includes DVA that is included in AOCI. See Notes 17 and 20 to the Consolidated Financial Statements.
Own Debt Valuation Adjustments (DVA)
Own debt valuation adjustments are recognized on Citi’s liabilities for which the fair value option has been elected using Citi’s credit spreads observed in the bond market. 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 loss of $110$107 million and a loss of $2,935$452 million for the three months ended JuneSeptember 30, 2021 and 2020, and a loss of $148$256 million and a gain of $1,253$801 million for the sixnine months ended JuneSeptember 30, 2021 and 2020, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.
The Fair Value Option for Financial Assets and Financial Liabilities
Selected Portfolios of Securities Purchased Under Agreements to Resell, Securities Borrowed, Securities Sold Under Agreements to Repurchase, Securities Loaned and Certain 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:
| | | | June 30, 2021 | December 31, 2020 | | September 30, 2021 | December 31, 2020 |
| In millions of dollars | In millions of dollars | Trading assets | Loans | Trading assets | Loans | In millions of dollars | Trading assets | Loans | Trading assets | Loans |
| Carrying amount reported on the Consolidated Balance Sheet | Carrying amount reported on the Consolidated Balance Sheet | $ | 8,594 | | $ | 7,707 | | $ | 8,063 | | $ | 6,854 | | Carrying amount reported on the Consolidated Balance Sheet | $ | 8,382 | | $ | 7,159 | | $ | 8,063 | | $ | 6,854 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | Aggregate unpaid principal balance in excess of (less than) fair value | (203) | | (197) | | (915) | | (14) | | Aggregate unpaid principal balance in excess of (less than) fair value | (116) | | (161) | | (915) | | (14) | |
| Balance of non-accrual loans or loans more than 90 days past due | Balance of non-accrual loans or loans more than 90 days past due | 0 | | 17 | | 0 | | 4 | | Balance of non-accrual loans or loans more than 90 days past due | — | | 1 | | — | | 4 | |
| Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due | Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due | 0 | | (15) | | 0 | | 0 | | Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due | — | | 1 | | — | | — | |
In addition to the amounts reported above, $763$744 million and $1,068 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of JuneSeptember 30, 2021 and December 31, 2020, respectively.
Changes in the fair value of funded and unfunded credit products are classified in Principal transactions in Citi’s Consolidated Statement of Income. Related interest revenue is measured based on the contractual interest rates and reported as Interest revenue on Trading account assets or loan interest depending on the balance sheet classifications of the credit products. The changes in fair value for the sixnine months ended JuneSeptember 30, 2021 and 2020 due to instrument-specific credit risk totaled to losses of $2$(10) million and $40$(23) million, respectively.
Certain Investments in Unallocated Precious Metals
Citigroup invests in unallocated precious metals accounts (gold, silver, platinum and palladium) as part of its commodity and foreign currency trading activities or to economically hedge certain exposures from issuing structured liabilities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity forward derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the debt host contract within Trading account assets on the Company’s Consolidated Balance Sheet. The total carrying amount of debt host contracts across unallocated precious metals accounts was approximately $0.4 billion and $0.5 billion at JuneSeptember 30, 2021 and December 31, 2020, respectively. The amounts are expected to fluctuate based on trading activity in future periods.
As part of its commodity and foreign currency trading activities, Citi trades unallocated precious metals investments and executes forward purchase and forward sale derivative contracts with trading counterparties. When Citi sells an unallocated precious metals investment, Citi’s receivable from its depository bank is repaid and Citi derecognizes its investment in the unallocated precious metal. The forward purchase or sale contract with the trading counterparty indexed to unallocated precious metals is accounted for as a derivative, at fair value through earnings. As of JuneSeptember 30, 2021, there were approximately $5.0$16.7 billion and $5.0$6.7 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 | In millions of dollars | June 30,
2021 | December 31, 2020 | In millions of dollars | September 30,
2021 | December 31, 2020 |
| Carrying amount reported on the Consolidated Balance Sheet | Carrying amount reported on the Consolidated Balance Sheet | $ | 1,681 | | $ | 1,742 | | Carrying amount reported on the Consolidated Balance Sheet | $ | 2,630 | | $ | 1,742 | |
| Aggregate fair value in excess of (less than) unpaid principal balance | Aggregate fair value in excess of (less than) unpaid principal balance | 52 | | 91 | | Aggregate fair value in excess of (less than) unpaid principal balance | 77 | | 91 | |
| Balance of non-accrual loans or loans more than 90 days past due | Balance of non-accrual loans or loans more than 90 days past due | 0 | | 0 | | 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 | Aggregate unpaid principal balance in excess of fair value for 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 | — | | — | |
The changes in the fair values of these mortgage loans are reported in Other revenue in the Company’s Consolidated Statement of Income. There was no net change in fair value during the sixnine months ended JuneSeptember 30, 2021 and 2020 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 Debt Liabilities
The Company has elected the fair value option for certain 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 notes carried at fair value, disaggregated by type of risk:
| | In billions of dollars | In billions of dollars | June 30, 2021 | December 31, 2020 | In billions of dollars | September 30, 2021 | December 31, 2020 |
| Interest rate linked | Interest rate linked | $ | 38.9 | | $ | 34.5 | | Interest rate linked | $ | 38.3 | | $ | 34.5 | |
| Foreign exchange linked | Foreign exchange linked | 0.6 | | 1.2 | | Foreign exchange linked | 0.2 | | 1.2 | |
| Equity linked | Equity linked | 31.3 | | 27.3 | | Equity linked | 32.8 | | 27.3 | |
| Commodity linked | Commodity linked | 2.9 | | 1.4 | | Commodity linked | 4.0 | | 1.4 | |
| Credit linked | Credit linked | 2.7 | | 2.6 | | Credit linked | 2.9 | | 2.6 | |
| Total | Total | $ | 76.4 | | $ | 67.0 | | Total | $ | 78.2 | | $ | 67.0 | |
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 liabilities include accrued interest, which is also included in the change in fair value reported in Principal transactions.
The following table provides information about long-term debt carried at fair value:
| | In millions of dollars | In millions of dollars | June 30, 2021 | December 31, 2020 | In millions of dollars | September 30, 2021 | December 31, 2020 |
| Carrying amount reported on the Consolidated Balance Sheet | Carrying amount reported on the Consolidated Balance Sheet | $ | 76,375 | | $ | 67,063 | | Carrying amount reported on the Consolidated Balance Sheet | $ | 78,178 | | $ | 67,063 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | Aggregate unpaid principal balance in excess of (less than) fair value | (4,638) | | (5,130) | | Aggregate unpaid principal balance in excess of (less than) fair value | (3,019) | | (5,130) | |
The following table provides information about short-term borrowings carried at fair value:
| | | | | | | | |
| In millions of dollars | June 30, 2021 | December 31, 2020 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 7,358 | | $ | 4,683 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | 0 | | 68 | |
| | | | | | | | |
| In millions of dollars | September 30, 2021 | December 31, 2020 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 8,814 | | $ | 4,683 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | — | | 68 | |
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 these tables, see Note 26 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
The following tables present information about Citi’s guarantees at JuneSeptember 30, 2021 and December 31, 2020:
| | | Maximum potential amount of future payments | | | Maximum potential amount of future payments | |
| In billions of dollars at June 30, 2021 | Expire within
1 year | Expire after
1 year | Total amount
outstanding | Carrying value (in millions of dollars) | |
| In billions of dollars at September 30, 2021 | | In billions of dollars at September 30, 2021 | Expire within
1 year | Expire after
1 year | Total amount
outstanding | Carrying value (in millions of dollars) |
| Financial standby letters of credit | Financial standby letters of credit | $ | 24.3 | | $ | 68.2 | | $ | 92.5 | | $ | 882 | | Financial standby letters of credit | $ | 27.6 | | $ | 64.9 | | $ | 92.5 | | $ | 937 | |
| Performance guarantees | Performance guarantees | 6.8 | | 5.9 | | 12.7 | | 48 | | Performance guarantees | 6.5 | | 6.1 | | 12.6 | | 46 | |
| Derivative instruments considered to be guarantees | Derivative instruments considered to be guarantees | 16.1 | | 58.5 | | 74.6 | | 304 | | Derivative instruments considered to be guarantees | 17.0 | | 54.9 | | 71.9 | | 360 | |
| Loans sold with recourse | Loans sold with recourse | 0 | | 1.7 | | 1.7 | | 16 | | Loans sold with recourse | — | | 1.7 | | 1.7 | | 15 | |
Securities lending indemnifications(1) | Securities lending indemnifications(1) | 134.4 | | 0 | | 134.4 | | 0 | | Securities lending indemnifications(1) | 131.7 | | — | | 131.7 | | — | |
Credit card merchant processing(2) | Credit card merchant processing(2) | 110.9 | | 0 | | 110.9 | | 4 | | Credit card merchant processing(2) | 114.6 | | — | | 114.6 | | 1 | |
| Credit card arrangements with partners | Credit card arrangements with partners | 0 | | 0.8 | | 0.8 | | 7 | | Credit card arrangements with partners | — | | 0.8 | | 0.8 | | 7 | |
| Custody indemnifications and other | Custody indemnifications and other | 0 | | 24.2 | | 24.2 | | 37 | | Custody indemnifications and other | — | | 24.5 | | 24.5 | | 37 | |
| Total | Total | $ | 292.5 | | $ | 159.3 | | $ | 451.8 | | $ | 1,298 | | Total | $ | 297.4 | | $ | 152.9 | | $ | 450.3 | | $ | 1,403 | |
| | | | Maximum potential amount of future payments | | | Maximum potential amount of future payments | |
| In billions of dollars at December 31, 2020 | 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) | 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 | Financial standby letters of credit | $ | 25.3 | | $ | 68.4 | | $ | 93.7 | | $ | 1,407 | | Financial standby letters of credit | $ | 25.3 | | $ | 68.4 | | $ | 93.7 | | $ | 1,407 | |
| Performance guarantees | Performance guarantees | 7.3 | | 6.0 | | 13.3 | | 72 | | Performance guarantees | 7.3 | | 6.0 | | 13.3 | | 72 | |
| Derivative instruments considered to be guarantees | Derivative instruments considered to be guarantees | 20.0 | | 60.9 | | 80.9 | | 671 | | Derivative instruments considered to be guarantees | 20.0 | | 60.9 | | 80.9 | | 671 | |
| Loans sold with recourse | Loans sold with recourse | 0 | | 1.2 | | 1.2 | | 9 | | Loans sold with recourse | — | | 1.2 | | 1.2 | | 9 | |
Securities lending indemnifications(1) | Securities lending indemnifications(1) | 112.2 | | 0 | | 112.2 | | 0 | | Securities lending indemnifications(1) | 112.2 | | — | | 112.2 | | — | |
Credit card merchant processing(2) | Credit card merchant processing(2) | 101.9 | | 0 | | 101.9 | | 3 | | Credit card merchant processing(2) | 101.9 | | — | | 101.9 | | 3 | |
| Credit card arrangements with partners | Credit card arrangements with partners | 0.2 | | 0.8 | | 1.0 | | 7 | | Credit card arrangements with partners | 0.2 | | 0.8 | | 1.0 | | 7 | |
| Custody indemnifications and other | Custody indemnifications and other | 0 | | 37.3 | | 37.3 | | 35 | | Custody indemnifications and other | — | | 37.3 | | 37.3 | | 35 | |
| Total | Total | $ | 266.9 | | $ | 174.6 | | $ | 441.5 | | $ | 2,204 | | Total | $ | 266.9 | | $ | 174.6 | | $ | 441.5 | | $ | 2,204 | |
(1)The carrying values of securities lending indemnifications were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)At JuneSeptember 30, 2021 and December 31, 2020, this maximum potential exposure was estimated to be $111$115 billion and $102 billion, respectively. However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants.
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 million and $31 million at JuneSeptember 30, 2021 and December 31, 2020, 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 JuneSeptember 30, 2021 and December 31, 2020, the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were immaterial.
Value-Transfer Networks (Including Exchanges and Clearing Houses) (VTNs)
Citi is a member of, or shareholder in, hundreds of value-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 JuneSeptember 30, 2021 or December 31, 2020 for potential obligations that could arise from Citi’s involvement with VTN associations.
Long-Term Care Insurance Indemnification
In 2000, Travelers Life & Annuity (Travelers), then a subsidiary of Citi, entered into a reinsurance agreement to transfer the risks and rewards of its long-term care (LTC) business to GE Life (now Genworth Financial Inc., or Genworth), then a subsidiary of the General Electric Company (GE). As part of this transaction, the reinsurance obligations were provided by two regulated insurance subsidiaries of GE Life, which funded two collateral trusts with securities. Presently, as discussed below, the trusts are referred to as the Genworth Trusts.
As part of GE’s spin-off of Genworth in 2004, GE retained the risks and rewards associated with the 2000 Travelers reinsurance agreement by providing a reinsurance contract to Genworth through 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. As a result of these reinsurance agreements and the spin-off of Genworth, Genworth has reinsurance protection from UFLIC (supported by GE) and has reinsurance obligations in connection with the Travelers LTC policies. As noted below, the Genworth reinsurance obligations now benefit Brighthouse Financial, Inc. (Brighthouse). While neither Brighthouse nor Citi are direct beneficiaries of the capital maintenance agreement between GE and UFLIC, Brighthouse and Citi benefit indirectly from the existence of the capital maintenance agreement, which helps assure that UFLIC will continue to have funds necessary to pay its reinsurance obligations to Genworth.
In connection with Citi’s 2005 sale of Travelers to MetLife Inc. (MetLife), Citi provided an indemnification to MetLife for losses (including policyholder claims) relating to the LTC business for the entire term of the Travelers LTC policies, which, as noted above, are reinsured by subsidiaries of Genworth. In 2017, MetLife spun off its retail insurance business to Brighthouse. As a result, the Travelers LTC policies now reside with Brighthouse. The original reinsurance agreement between Travelers (now Brighthouse) and Genworth remains in place and Brighthouse is the sole beneficiary of the Genworth Trusts. The 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. 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 JuneSeptember 30, 2021 and December 31, 2020 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 and the September 2019 AM Best credit ratings downgrade for the Genworth subsidiaries.
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$17.1 billion and $16.6 billion as of JuneSeptember 30, 2021 and December 31, 2020, respectively.
Variation margin due from clients to the respective CCP, or from the CCP to clients, reflects changes in the value of the client’s derivative contracts for each trading day. As a clearing member, Citi is exposed to the risk of non-performance by clients (e.g., failure of a client to post variation margin to the CCP for negative changes in the value of the client’s derivative contracts). In the event of non-performance by a client, Citi would move to close out the client’s positions. The CCP would typically utilize initial margin posted by the client and held by the CCP, with any remaining shortfalls required to be paid by Citi as clearing member. Citi generally holds incremental cash or securities margin posted by the client, which would typically be expected to be sufficient to mitigate Citi’s credit risk in the event the client fails to perform.
As required by ASC 860-30-25-5, securities collateral posted by clients is not recognized on Citi’s Consolidated Balance Sheet.
Carrying Value—Guarantees and Indemnifications
At JuneSeptember 30, 2021 and December 31, 2020, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to approximately $1.3$1.4 billion and $2.2 billion, respectively. The carrying value of financial and performance guarantees is included in Other liabilities. For loans sold with recourse, the carrying value of the liability is included in Other liabilities.
Collateral
Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $64.6$62.8 billion and $51.6 billion at JuneSeptember 30, 2021 and December 31, 2020, respectively. Securities and other marketable assets held as collateral amounted to $94.1$88.1 billion and $80.1 billion at JuneSeptember 30, 2021 and December 31, 2020, 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 $4.5$3.9 billion and $6.6 billion at JuneSeptember 30, 2021 and December 31, 2020, respectively. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined.
Performance 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 June 30, 2021 | Investment
grade | Non-investment
grade | Not
rated | Total | |
| In billions of dollars at September 30, 2021 | | In billions of dollars at September 30, 2021 | Investment
grade | Non-investment
grade | Not
rated | Total |
| Financial standby letters of credit | Financial standby letters of credit | $ | 77.7 | | $ | 14.7 | | $ | 0.1 | | $ | 92.5 | | Financial standby letters of credit | $ | 80.1 | | $ | 12.2 | | $ | 0.2 | | $ | 92.5 | |
| Performance guarantees | Performance guarantees | 10.1 | | 2.6 | | 0 | | 12.7 | | Performance guarantees | 10.0 | | 2.6 | | — | | 12.6 | |
| Derivative instruments deemed to be guarantees | Derivative instruments deemed to be guarantees | 0 | | 0 | | 74.6 | | 74.6 | | Derivative instruments deemed to be guarantees | — | | — | | 71.9 | | 71.9 | |
| Loans sold with recourse | Loans sold with recourse | 0 | | 0 | | 1.7 | | 1.7 | | Loans sold with recourse | — | | — | | 1.7 | | 1.7 | |
| Securities lending indemnifications | Securities lending indemnifications | 0 | | 0 | | 134.4 | | 134.4 | | Securities lending indemnifications | — | | — | | 131.7 | | 131.7 | |
| Credit card merchant processing | Credit card merchant processing | 0 | | 0 | | 110.9 | | 110.9 | | Credit card merchant processing | — | | — | | 114.6 | | 114.6 | |
| Credit card arrangements with partners | Credit card arrangements with partners | 0 | | 0 | | 0.8 | | 0.8 | | Credit card arrangements with partners | — | | — | | 0.8 | | 0.8 | |
| Custody indemnifications and other | Custody indemnifications and other | 11.6 | | 12.6 | | 0 | | 24.2 | | Custody indemnifications and other | 11.8 | | 12.7 | | — | | 24.5 | |
| Total | Total | $ | 99.4 | | $ | 29.9 | | $ | 322.5 | | $ | 451.8 | | Total | $ | 101.9 | | $ | 27.5 | | $ | 320.9 | | $ | 450.3 | |
| | | | Maximum potential amount of future payments | | Maximum potential amount of future payments |
| In billions of dollars at December 31, 2020 | In billions of dollars at December 31, 2020 | Investment
grade | Non-investment
grade | Not
rated | Total | In billions of dollars at December 31, 2020 | 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 | $ | 78.5 | | $ | 14.6 | | $ | 0.6 | | $ | 93.7 | |
| Performance guarantees | Performance guarantees | 9.8 | | 3.0 | | 0.5 | | 13.3 | | Performance guarantees | 9.8 | | 3.0 | | 0.5 | | 13.3 | |
| Derivative instruments deemed to be guarantees | Derivative instruments deemed to be guarantees | 0 | | 0 | | 80.9 | | 80.9 | | Derivative instruments deemed to be guarantees | — | | — | | 80.9 | | 80.9 | |
| Loans sold with recourse | Loans sold with recourse | 0 | | 0 | | 1.2 | | 1.2 | | Loans sold with recourse | — | | — | | 1.2 | | 1.2 | |
| Securities lending indemnifications | Securities lending indemnifications | 0 | | 0 | | 112.2 | | 112.2 | | Securities lending indemnifications | — | | — | | 112.2 | | 112.2 | |
| Credit card merchant processing | Credit card merchant processing | 0 | | 0 | | 101.9 | | 101.9 | | Credit card merchant processing | — | | — | | 101.9 | | 101.9 | |
| Credit card arrangements with partners | Credit card arrangements with partners | 0 | | 0 | | 1.0 | | 1.0 | | Credit card arrangements with partners | — | | — | | 1.0 | | 1.0 | |
| Custody indemnifications and other | Custody indemnifications and other | 24.9 | | 12.4 | | 0 | | 37.3 | | Custody indemnifications and other | 24.9 | | 12.4 | | — | | 37.3 | |
| Total | Total | $ | 113.2 | | $ | 30.0 | | $ | 298.3 | | $ | 441.5 | | Total | $ | 113.2 | | $ | 30.0 | | $ | 298.3 | | $ | 441.5 | |
Leases
The Company’s operating leases, where Citi is a lessee, include real estate such as office space and branches and various types of equipment. These leases have a weighted-average remaining lease term of approximately six years as of JuneSeptember 30, 2021. The operating lease ROU asset and lease liability were $2.8 billion and $3.0 billion, respectively, as of JuneSeptember 30, 2021, compared to an operating lease ROU asset of $2.8 billion and lease liability of $3.1 billion as of December 31, 2020. The Company recognizes fixed lease costs on a straight-line basis throughout the lease term in the Consolidated Statement of Income. In addition, variable lease costs are recognized in the period in which the obligation for those payments is incurred.
Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments:
| | In millions of dollars | In millions of dollars | U.S. | Outside of
U.S. | June 30,
2021 | December 31,
2020 | In millions of dollars | U.S. | Outside of
U.S. | September 30,
2021 | December 31,
2020 |
| Commercial and similar letters of credit | Commercial and similar letters of credit | $ | 929 | | $ | 4,840 | | $ | 5,769 | | $ | 5,221 | | Commercial and similar letters of credit | $ | 696 | | $ | 5,713 | | $ | 6,409 | | $ | 5,221 | |
| One- to four-family residential mortgages | One- to four-family residential mortgages | 1,823 | | 2,520 | | 4,343 | | 5,002 | | One- to four-family residential mortgages | 1,735 | | 2,756 | | 4,491 | | 5,002 | |
| Revolving open-end loans secured by one- to four-family residential properties | Revolving open-end loans secured by one- to four-family residential properties | 7,687 | | 1,154 | | 8,841 | | 9,626 | | Revolving open-end loans secured by one- to four-family residential properties | 7,225 | | 1,130 | | 8,355 | | 9,626 | |
| Commercial real estate, construction and land development | Commercial real estate, construction and land development | 14,959 | | 1,507 | | 16,466 | | 12,867 | | Commercial real estate, construction and land development | 14,267 | | 2,733 | | 17,000 | | 12,867 | |
| Credit card lines | Credit card lines | 605,944 | | 102,007 | | 707,951 | | 710,399 | | Credit card lines | 604,350 | | 100,607 | | 704,957 | | 710,399 | |
| Commercial and other consumer loan commitments | Commercial and other consumer loan commitments | 214,023 | | 120,988 | | 335,011 | | 322,458 | | Commercial and other consumer loan commitments | 214,515 | | 118,283 | | 332,798 | | 322,458 | |
| Other commitments and contingencies | Other commitments and contingencies | 5,278 | | 524 | | 5,802 | | 5,715 | | Other commitments and contingencies | 5,437 | | 212 | | 5,649 | | 5,715 | |
| Total | Total | $ | 850,643 | | $ | 233,540 | | $ | 1,084,183 | | $ | 1,071,288 | | Total | $ | 848,225 | | $ | 231,434 | | $ | 1,079,659 | | $ | 1,071,288 | |
The majority of unused commitments are contingent upon customers maintaining specific credit standards. Commercial commitments generally have floating interest rates and fixed expiration dates and may require payment of fees. Such fees (net of certain direct costs) are deferred and, upon exercise of the commitment, amortized over the life of the loan or, if exercise is deemed remote, amortized over the commitment period.
Other 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 JuneSeptember 30, 2021 and December 31, 2020, Citigroup had approximately $92.4$135.8 billion and $71.8 billion of unsettled reverse repurchase and securities borrowing agreements, and approximately $38.2$57.4 billion and $62.5 billion of unsettled repurchase and securities lending agreements, respectively. For a further discussion of securities purchased under agreements to resell and securities borrowed, and securities sold under agreements to repurchase and securities loaned, including the Company’s policy for offsetting repurchase and reverse repurchase agreements, see Note 10 to the Consolidated Financial Statements.
Restricted Cash
Citigroup defines restricted cash (as cash subject to withdrawal restrictions) to include cash deposited with central banks that must be maintained to meet minimum regulatory requirements, and cash set aside for the benefit of customers or for other purposes such as compensating balance arrangements or debt retirement. Restricted cash includes minimum reserve requirements with the Federal Reserve Bank and certain other central banks and cash segregated to satisfy rules regarding the protection of customer assets as required by Citigroup broker-dealers’ primary regulators, including the United States Securities and Exchange Commission (SEC), the Commodity Futures Trading Commission and the United Kingdom’s Prudential Regulation Authority.
Restricted cash is included on the Consolidated Balance Sheet within the following balance sheet lines:
| | In millions of dollars | In millions of dollars | June 30,
2021 | December 31,
2020 | In millions of dollars | September 30,
2021 | December 31,
2020 |
| Cash and due from banks | Cash and due from banks | $ | 4,001 | | $ | 3,774 | | Cash and due from banks | $ | 2,733 | | $ | 3,774 | |
| Deposits with banks, net of allowance | Deposits with banks, net of allowance | 13,750 | | 14,203 | | Deposits with banks, net of allowance | 13,900 | | 14,203 | |
| Total | Total | $ | 17,751 | | $ | 17,977 | | Total | $ | 16,633 | | $ | 17,977 | |
In response to the COVID-19 pandemic, the Federal Reserve Bank and certain other central banks eased regulations related to minimum required cash deposited with central banks.
23. CONTINGENCIES
The following information supplements and amends, as applicable, the disclosuredisclosures in Note 23 to the Consolidated Financial Statements in Citi’s Second Quarter of 2021 Form 10-Q and First Quarter of 2021 Form 10-Q and in Note 27 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K. For purposes of this Note, Citigroup, its affiliates and subsidiaries and current and former officers, directors, and employees, are sometimes collectively referred to as Citigroup and Related Parties.
In accordance with ASC 450, Citigroup establishes accruals for contingencies, including 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 for which an estimate can be made. At JuneSeptember 30, 2021, Citigroup estimates that the reasonably possible unaccrued loss for these matters ranges up to approximately $1.4$1.5 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 preliminary or incomplete 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 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 on Form 10-K.
Foreign Exchange MattersANZ Underwriting Matter
Antitrust and Other Litigation: On May 21,In August 2021, in ALLIANZ GLOBAL INVESTORS GMBH AND OTHERS v. BARCLAYS BANK PLC AND OTHERS,the Australian Commonwealth Director of Public Prosecution (CDPP) discontinued four of the six charges brought against Citigroup Citibank, and other defendants filed amended defenses.Global Markets Australia Pty Limited. The CDPP also discontinued all charges against one former Citi employee. Additional information concerning this action is publicly available in court filings under the docket number CL-2018-000840.NSD 1316–NSD 1324/2020.
Interbank Offered Rates–RelatedRates-Related Litigation and Other Matters
Antitrust and Other Litigation: On March 24, 2021, in IN RE ICE LIBOR ANTITRUST LITIGATION, the United States Court of Appeals for the Second Circuit granted DYJ Holdings, LLC’s motion to intervene as a plaintiff and denied defendants’ motion to dismiss for lack of subject matter jurisdiction. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 439 (S.D.N.Y.) (Daniels, J.) and 20-1492 (2d Cir.).
On May 24,September 9, 2021, in MCCARTHY, ET AL. v. INTERCONTINENTAL EXCHANGE, INC., ET AL., plaintiffs filed a motion for an order to show cause why an injunction should not issue in connection with the LIBOR setting process. On June 3, 2021, the court issued an order denying defendants’ motionheld a hearing on plaintiffs’ motions for preliminary and permanent injunctions. On September 30, 2021, defendants moved to transferdismiss the case to the United States District Court for the Southern District of New York.complaint. Additional information concerning this action is publicly available in court filings under the docket number 20 Civ. 5832 (N.D. Cal.) (Donato, J.).
Revlon-related Wire TransferInterchange Fee Litigation
On May 12,September 27, 2021, the district court denied Citibank’sgranted the injunctive relief class plaintiffs’ motion to extendcertify a non-opt-out class. Additional information concerning these consolidated actions is publicly available in court filings under the temporary restraining orders pending appeal but extendeddocket number MDL 05-1720 (E.D.N.Y.) (Brodie, J.).
Madoff-Related Litigation
In December 2008, a Securities Investor Protection Act (SIPA) trustee, Irving H. Picard, was appointed for the temporary restraining orders to allowSIPA liquidation of Bernard L. Madoff Investment Securities LLC (BLMIS), in the United States Bankruptcy Court for the Southern District of New York. Beginning in 2010, he commenced actions against multiple Citi entities, including Citibank, to file a motion for an injunction withN.A., Citicorp North America, Inc., Citigroup Global Markets Limited, and Citibank (Switzerland) AG, seeking recovery of monies that originated at BLMIS and were allegedly received by the Citi entities as subsequent transferees. On August 30, 2021, the United States Court of Appeals for the Second Circuit which Citibank did on May 19, 2021. Additional information concerning this action is publicly available inreversed the bankruptcy court’s denial of the SIPA trustee’s motion for leave to amend his complaint and remanded the case to the bankruptcy court filings under docket numbers 20-CV-6539 (S.D.N.Y.) (Furman, J.) and 21-487 (2d Cir.).
Shareholder Derivative and Securities Litigation
On June 4, 2021, defendants moved to dismiss the consolidated amended complaint, in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-9132 (S.D.N.Y.) (Nathan, J.).
for further proceedings. The actions are captionedPICARD v. CITIBANK, N.A., ET AL. and PICARD v. CITIBANK(SWITZERLAND)AG. Additional information concerning these actions is publicly available in court filings under the docket numbers 10-5345, 12-1700 (Bankr. S.D.N.Y.) (Morris, J.); 12-MC-115 (S.D.N.Y.) (Rakoff, J.); and 17-2992, 17-3076, 17-3139, 19-4282, 20-1333 (2d Cir.).
Also beginning in 2010, the British Virgin Islands liquidators of Fairfield Sentry Limited, whose assets were invested with BLMIS, commenced multiple actions in the United States Bankruptcy Court for the Southern District of New York against over 400 defendants, including Citigroup Global Markets Limited; Citibank (Switzerland) AG; Citibank, N.A., London; Citivic Nominees, Limited; and Cititrust (Bahamas) Limited. The actions seek recovery of monies that were allegedly received by Citi entities from Fairfield Sentry. Appeals concerning various dismissed claims are pending before the United States District Court for the Southern District of New York, and there is one claim remaining in Bankruptcy Court. These actions are captioned FAIRFIELD SENTRY LTD., ET AL. v. CGML, ET AL.; FAIRFIELD SENTRY LTD., ET AL. v. CITIBANK NA LONDON, ET AL.; FAIRFIELD SENTRY LTD., ET AL. v. ZURICH CAPITAL MARKETS COMPANY, ET AL.; and FAIRFIELD SENTRY LTD., ET AL. v. DON CHIMANGO SA, ET AL. Additional information is publicly available in court filings under the docket numbers 10-13164, 10-3496, 10-3622, 10-3634, 10-3640, 10-4100, 11-2770, 12-1298 (Bankr. S.D.N.Y.) (Morris, J.); and 19-3911, 19-4267, 19-4396, 19-4484, 19-5106, 19-5135, 21-2997, 21-3243, 21-3526, 21-3529, 21-3530, 21-4307, 21-4498, 21-4496 (S.D.N.Y.) (Broderick, J.).
Sovereign Securities Matters
Antitrust and Other Litigation: On May 14,July 19, 2021, in IN RE TREASURY SECURITIES AUCTIONSSA BONDS ANTITRUST LITIGATION, the United States Court of Appeals for the Second Circuit affirmed the district court’s dismissal of the case. Additional information concerning this action is publicly available in court filings under the docket numbers 16-CV-3711 (S.D.N.Y.) (Ramos, J.) and 20-1759 (2d Cir.).
Tribune Company Bankruptcy
On August 20, 2021, the United States Court of Appeals for the Second Circuit issued its decision in the consolidated appeals in KIRSCHNER v. FITZSIMONS and KIRSCHNER v. CGMI. In the FITZSIMONS action, the Second Circuit affirmed the dismissal of the actual fraudulent transfer claim against the shareholder defendants, including the Citigroup affiliates. In the CGMI action, the Second Circuit affirmed the dismissal of all claims against CGMI except for the claim of constructive fraudulent conveyance. As to that claim, the Second Circuit vacated the dismissal and remanded to the district court for further proceedings on that claim and other claims that remain against certain other defendants that are not Citigroup affiliates. Additional information concerning this action is publicly available in court filings under the docket numbers 12 MC 2296 (S.D.N.Y.) (Cote, J.), 19-0449 (2d Cir.), and 19-3049 (2d Cir.).
Variable Rate Demand Obligation Litigation
On August 6, 2021, the plaintiffs in the nationwide putative class action filed ana consolidated amended consolidated complaint.complaint, captioned THE BOARD OF DIRECTORS OF THE SAN DIEGO ASSOCIATION OF GOVERNMENTS v. BANK OF AMERICA CORP., ET AL. On JuneSeptember 14, 2021, certain defendants including Citigroup Global Markets Inc., moved to dismiss the consolidated amended complaint.complaint in part. Additional information concerning this action is publicly available in court filings under the docket number 15-MD-2673 (S.D.N.Y.) (Gardephe, J.).
On April 21, 2021, in STATE OF LOUISIANA v. BANK OF AMERICA, N.A., ET AL., CITY OF BATON ROUGE, ET AL. v. BANK OF AMERICA, N.A., ET AL., LOUISIANA ASSET MANAGEMENT POOL v. BANK OF AMERICA CORPORATION, ET AL., and CITY OF NEW ORLEANS, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., plaintiffs filed notices of settlement, and on June 9, 2021, the parties filed stipulations of dismissal and the court dismissed the actions with prejudice. Additional information concerning these actions is publicly available in court filings under the docket numbers 19 Civ. 638 (M.D. La.) (Dick, C.J.), 19 Civ. 725 (M.D. La.) (Dick, C.J.), 21 Civ. 0003 (M.D. La.) (Dick, C.J.), and 21 Civ. 147 (M.D. La.) (Dick, C.J.).
On May 20, 2021, in IN RE MEXICAN GOVERNMENT BONDS ANTITRUST LITIGATION, plaintiffs moved for reconsideration of the court’s order granting defendants’ motion to dismiss for lack of personal jurisdiction. Additional information concerning this action is publicly available in court filings under the docket number 18 Civ. 2830 (S.D.N.Y.) (Oetken, J.).
Variable Rate Demand Obligation Litigations
On June 2, 2021, the Board of Directors of the San Diego Association of Governments, acting as the San Diego County Regional Transportation Commission, filed a putative class action similar to and against the same defendants named in the already pending nationwide consolidated class action captioned CITY OF PHILADELPHIA v. BANK OF AMERICA CORP., ET AL. and MAYOR AND CITY COUNCIL OF BALTIMORE v. BANK OF AMERICA CORP., ET AL. Additional information concerning these actions is publicly available in court filings under the docket numbers 21-CV-4893 (S.D.N.Y.) (Furman, J.), 19-CV-1608 (S.D.N.Y.) (Furman, J.), and 19-CV-2667 (S.D.N.Y.) (Furman, J.).
Wind Farm Litigations
On April 8,September 11, 2021, the motion for a preliminary injunction filed by the Stephens Ranch plaintiffs was denied. On April 19, 2021, plaintiffs filed a notice of appeal of that decision. On May 20, 2021, temporary injunction motions were denied in the actions commenced by the Shannon, Flat Top, and Midway projects, and on June 29, 2021, defendants filed motions to dismiss the complaints.voluntarily dismissed their action with prejudice. Additional information concerning these actionsthis action is publicly available in court filings under docket numbers 652078/2021 (Sup. Ct. N.Y. Cnty.) (Reed, J.), and 2021-01387 (1st Dep’t), 652312/2021 (Sup. Ct. N.Y. Cnty.) (Reed, J.), and 2021-23588 (District Court Harris County TX) (Schaffer, J.).
Settlement Payments
Payments required in any settlement agreements described above have been made or are covered by existing litigation or other accruals.
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 and sixnine months ended JuneSeptember 30, 2021 and 2020, Condensed Consolidating Balance Sheet as of JuneSeptember 30, 2021 and December 31, 2020 and Condensed Consolidating Statement of Cash Flows for the sixnine months ended JuneSeptember 30, 2021 and 2020 for Citigroup Inc., the parent holding company (Citigroup parent company), CGMHI, other Citigroup subsidiaries and eliminations and total consolidating adjustments. “Other Citigroup subsidiaries and eliminations” includes all other subsidiaries of Citigroup, intercompany eliminations and income (loss) from discontinued operations. “Consolidating adjustments” includes Citigroup parent company elimination of distributed and undistributed income of subsidiaries and investment in subsidiaries.
These Condensed Consolidating Financial Statements have been prepared and presented in accordance with SEC Regulation S-X Rule 3-10, “Financial Statements of Guarantors and Issuers of Guaranteed Securities Registered or Being Registered.”
These Condensed Consolidating Financial Statements are presented for purposes of additional analysis, but should be considered in relation to the Consolidated Financial Statements of Citigroup taken as a whole.
Condensed Consolidating Statements of Income and Comprehensive Income
| | | Three Months Ended June 30, 2021 | | Three Months Ended September 30, 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 | $ | 3,700 | | | $ | 0 | | | $ | 0 | | | $ | (3,700) | | | $ | 0 | | Dividends from subsidiaries | $ | 2,592 | | | $ | — | | | $ | — | | | $ | (2,592) | | | $ | — | |
| Interest revenue | Interest revenue | 0 | | | 1,014 | | | 11,449 | | | 0 | | | 12,463 | | Interest revenue | — | | | 844 | | | 11,806 | | | — | | | 12,650 | |
| Interest revenue—intercompany | Interest revenue—intercompany | 954 | | | 136 | | | (1,090) | | | 0 | | | 0 | | Interest revenue—intercompany | 935 | | | 129 | | | (1,064) | | | — | | | — | |
| Interest expense | Interest expense | 1,209 | | | 221 | | | 834 | | | 0 | | | 2,264 | | Interest expense | 1,190 | | | 201 | | | 861 | | | — | | | 2,252 | |
| Interest expense—intercompany | Interest expense—intercompany | 94 | | | 330 | | | (424) | | | 0 | | | 0 | | Interest expense—intercompany | 56 | | | 323 | | | (379) | | | — | | | — | |
| Net interest revenue | Net interest revenue | $ | (349) | | | $ | 599 | | | $ | 9,949 | | | $ | 0 | | | $ | 10,199 | | Net interest revenue | $ | (311) | | | $ | 449 | | | $ | 10,260 | | | $ | — | | | $ | 10,398 | |
| Commissions and fees | Commissions and fees | $ | 0 | | | $ | 1,836 | | | $ | 1,538 | | | $ | 0 | | | $ | 3,374 | | Commissions and fees | $ | — | | | $ | 1,893 | | | $ | 1,506 | | | $ | — | | | $ | 3,399 | |
| Commissions and fees—intercompany | Commissions and fees—intercompany | (1) | | | 88 | | | (87) | | | 0 | | | 0 | | Commissions and fees—intercompany | — | | | 85 | | | (85) | | | — | | | — | |
| Principal transactions | Principal transactions | (892) | | | 919 | | | 2,277 | | | 0 | | | 2,304 | | Principal transactions | 130 | | | (1,468) | | | 3,571 | | | — | | | 2,233 | |
| Principal transactions—intercompany | Principal transactions—intercompany | 910 | | | (110) | | | (800) | | | 0 | | | 0 | | Principal transactions—intercompany | (305) | | | 2,220 | | | (1,915) | | | — | | | — | |
| Other revenue | Other revenue | (4) | | | 139 | | | 1,462 | | | 0 | | | 1,597 | | Other revenue | (138) | | | 159 | | | 1,103 | | | — | | | 1,124 | |
| Other revenue—intercompany | Other revenue—intercompany | 3 | | | (8) | | | 5 | | | 0 | | | 0 | | Other revenue—intercompany | (44) | | | (13) | | | 57 | | | — | | | — | |
| Total non-interest revenues | Total non-interest revenues | $ | 16 | | | $ | 2,864 | | | $ | 4,395 | | | $ | 0 | | | $ | 7,275 | | Total non-interest revenues | $ | (357) | | | $ | 2,876 | | | $ | 4,237 | | | $ | — | | | $ | 6,756 | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 3,367 | | | $ | 3,463 | | | $ | 14,344 | | | $ | (3,700) | | | $ | 17,474 | | Total revenues, net of interest expense | $ | 1,924 | | | $ | 3,325 | | | $ | 14,497 | | | $ | (2,592) | | | $ | 17,154 | |
| Provisions for credit losses and for benefits and claims | Provisions for credit losses and for benefits and claims | $ | 2 | | | $ | 3 | | | $ | (1,071) | | | $ | 0 | | | $ | (1,066) | | Provisions for credit losses and for benefits and claims | $ | (2) | | | $ | 2 | | | $ | (192) | | | $ | — | | | $ | (192) | |
| Operating expenses | Operating expenses | | | Operating expenses | | |
| Compensation and benefits | Compensation and benefits | $ | 0 | | | $ | 1,303 | | | $ | 4,679 | | | $ | 0 | | | $ | 5,982 | | Compensation and benefits | $ | 3 | | | $ | 1,347 | | | $ | 4,708 | | | $ | — | | | $ | 6,058 | |
| Compensation and benefits—intercompany | Compensation and benefits—intercompany | 24 | | | 0 | | | (24) | | | 0 | | | 0 | | Compensation and benefits—intercompany | 21 | | | — | | | (21) | | | — | | | — | |
| Other operating | Other operating | 14 | | | 680 | | | 4,516 | | | 0 | | | 5,210 | | Other operating | 35 | | | 728 | | | 4,663 | | | — | | | 5,426 | |
| Other operating—intercompany | Other operating—intercompany | 3 | | | 808 | | | (811) | | | 0 | | | 0 | | Other operating—intercompany | 2 | | | 781 | | | (783) | | | — | | | — | |
| Total operating expenses | Total operating expenses | $ | 41 | | | $ | 2,791 | | | $ | 8,360 | | | $ | 0 | | | $ | 11,192 | | Total operating expenses | $ | 61 | | | $ | 2,856 | | | $ | 8,567 | | | $ | — | | | $ | 11,484 | |
| Equity in undistributed income of subsidiaries | Equity in undistributed income of subsidiaries | $ | 2,567 | | | $ | 0 | | | $ | 0 | | | $ | (2,567) | | | $ | 0 | | Equity in undistributed income of subsidiaries | $ | 2,530 | | | $ | — | | | $ | — | | | $ | (2,530) | | | $ | — | |
| Income (loss) from continuing operations before income taxes | Income (loss) from continuing operations before income taxes | $ | 5,891 | | | $ | 669 | | | $ | 7,055 | | | $ | (6,267) | | | $ | 7,348 | | Income (loss) from continuing operations before income taxes | $ | 4,395 | | | $ | 467 | | | $ | 6,122 | | | $ | (5,122) | | | $ | 5,862 | |
| Provision (benefit) for income taxes | Provision (benefit) for income taxes | (302) | | | (119) | | | 1,576 | | | 0 | | | 1,155 | | Provision (benefit) for income taxes | (249) | | | 183 | | | 1,259 | | | — | | | 1,193 | |
| Income (loss) from continuing operations | Income (loss) from continuing operations | $ | 6,193 | | | $ | 788 | | | $ | 5,479 | | | $ | (6,267) | | | $ | 6,193 | | Income (loss) from continuing operations | $ | 4,644 | | | $ | 284 | | | $ | 4,863 | | | $ | (5,122) | | | $ | 4,669 | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | 0 | | | 0 | | | 10 | | | 0 | | | 10 | | Income (loss) from discontinued operations, net of taxes | — | | | — | | | (1) | | | — | | | (1) | |
| Net income before attribution of noncontrolling interests | Net income before attribution of noncontrolling interests | $ | 6,193 | | | $ | 788 | | | $ | 5,489 | | | $ | (6,267) | | | $ | 6,203 | | Net income before attribution of noncontrolling interests | $ | 4,644 | | | $ | 284 | | | $ | 4,862 | | | $ | (5,122) | | | $ | 4,668 | |
| Noncontrolling interests | Noncontrolling interests | 0 | | | 0 | | | 10 | | | 0 | | | 10 | | Noncontrolling interests | — | | | — | | | 24 | | | — | | | 24 | |
| Net income (loss) | Net income (loss) | $ | 6,193 | | | $ | 788 | | | $ | 5,479 | | | $ | (6,267) | | | $ | 6,193 | | Net income (loss) | $ | 4,644 | | | $ | 284 | | | $ | 4,838 | | | $ | (5,122) | | | $ | 4,644 | |
| Comprehensive income | Comprehensive income | | | Comprehensive income | | |
| Add: Other comprehensive income (loss) | Add: Other comprehensive income (loss) | $ | (109) | | | $ | 7 | | | $ | (1,966) | | | $ | 1,959 | | | $ | (109) | | Add: Other comprehensive income (loss) | $ | (1,731) | | | $ | (195) | | | $ | 2,007 | | | $ | (1,812) | | | $ | (1,731) | |
| Total Citigroup comprehensive income (loss) | Total Citigroup comprehensive income (loss) | $ | 6,084 | | | $ | 795 | | | $ | 3,513 | | | $ | (4,308) | | | $ | 6,084 | | Total Citigroup comprehensive income (loss) | $ | 2,913 | | | $ | 89 | | | $ | 6,845 | | | $ | (6,934) | | | $ | 2,913 | |
| Add: Other comprehensive income attributable to noncontrolling interests | Add: Other comprehensive income attributable to noncontrolling interests | $ | 0 | | | $ | 0 | | | $ | 18 | | | $ | 0 | | | $ | 18 | | Add: Other comprehensive income attributable to noncontrolling interests | $ | — | | | $ | — | | | $ | (31) | | | $ | — | | | $ | (31) | |
| Add: Net income attributable to noncontrolling interests | Add: Net income attributable to noncontrolling interests | 0 | | | 0 | | | 10 | | | 0 | | | 10 | | Add: Net income attributable to noncontrolling interests | — | | | — | | | 24 | | | — | | | 24 | |
| Total comprehensive income (loss) | Total comprehensive income (loss) | $ | 6,084 | | | $ | 795 | | | $ | 3,541 | | | $ | (4,308) | | | $ | 6,112 | | Total comprehensive income (loss) | $ | 2,913 | | | $ | 89 | | | $ | 6,838 | | | $ | (6,934) | | | $ | 2,906 | |
| |
| Condensed Consolidating Statements of Income and Comprehensive Income | | | Six Months Ended June 30, 2021 | | Nine Months Ended September 30, 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 | $ | 3,800 | | | $ | 0 | | | $ | 0 | | | $ | (3,800) | | | $ | 0 | | Dividends from subsidiaries | $ | 6,392 | | | $ | — | | | $ | — | | | $ | (6,392) | | | $ | — | |
| Interest revenue | Interest revenue | 0 | | | 1,985 | | | 23,012 | | | 0 | | | 24,997 | | Interest revenue | — | | | 2,829 | | | 34,818 | | | — | | | 37,647 | |
| Interest revenue—intercompany | Interest revenue—intercompany | 1,912 | | | 281 | | | (2,193) | | | 0 | | | 0 | | Interest revenue—intercompany | 2,847 | | | 410 | | | (3,257) | | | — | | | — | |
| Interest expense | Interest expense | 2,421 | | | 444 | | | 1,767 | | | 0 | | | 4,632 | | Interest expense | 3,611 | | | 645 | | | 2,628 | | | — | | | 6,884 | |
| Interest expense—intercompany | Interest expense—intercompany | 178 | | | 659 | | | (837) | | | 0 | | | 0 | | Interest expense—intercompany | 234 | | | 982 | | | (1,216) | | | — | | | — | |
| Net interest revenue | Net interest revenue | $ | (687) | | | $ | 1,163 | | | $ | 19,889 | | | $ | 0 | | | $ | 20,365 | | Net interest revenue | $ | (998) | | | $ | 1,612 | | | $ | 30,149 | | | $ | — | | | $ | 30,763 | |
| Commissions and fees | Commissions and fees | $ | 0 | | | $ | 3,997 | | | $ | 3,047 | | | $ | 0 | | | $ | 7,044 | | Commissions and fees | $ | — | | | $ | 5,890 | | | $ | 4,553 | | | $ | — | | | $ | 10,443 | |
| Commissions and fees—intercompany | Commissions and fees—intercompany | (27) | | | 135 | | | (108) | | | 0 | | | 0 | | Commissions and fees—intercompany | (27) | | | 220 | | | (193) | | | — | | | — | |
| Principal transactions | Principal transactions | 877 | | | 6,577 | | | (1,237) | | | 0 | | | 6,217 | | Principal transactions | 1,007 | | | 5,109 | | | 2,334 | | | — | | | 8,450 | |
| Principal transactions—intercompany | Principal transactions—intercompany | (968) | | | (4,348) | | | 5,316 | | | 0 | | | 0 | | Principal transactions—intercompany | (1,273) | | | (2,128) | | | 3,401 | | | — | | | — | |
| Other revenue | Other revenue | 51 | | | 242 | | | 2,882 | | | 0 | | | 3,175 | | Other revenue | (87) | | | 401 | | | 3,985 | | | — | | | 4,299 | |
| Other revenue—intercompany | Other revenue—intercompany | (61) | | | (28) | | | 89 | | | 0 | | | 0 | | Other revenue—intercompany | (105) | | | (41) | | | 146 | | | — | | | — | |
| Total non-interest revenues | Total non-interest revenues | $ | (128) | | | $ | 6,575 | | | $ | 9,989 | | | $ | 0 | | | $ | 16,436 | | Total non-interest revenues | $ | (485) | | | $ | 9,451 | | | $ | 14,226 | | | $ | — | | | $ | 23,192 | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 2,985 | | | $ | 7,738 | | | $ | 29,878 | | | $ | (3,800) | | | $ | 36,801 | | Total revenues, net of interest expense | $ | 4,909 | | | $ | 11,063 | | | $ | 44,375 | | | $ | (6,392) | | | $ | 53,955 | |
| Provisions for credit losses and for benefits and claims | Provisions for credit losses and for benefits and claims | $ | 2 | | | $ | 7 | | | $ | (3,130) | | | $ | 0 | | | $ | (3,121) | | Provisions for credit losses and for benefits and claims | $ | — | | | $ | 9 | | | $ | (3,322) | | | $ | — | | | $ | (3,313) | |
| Operating expenses | Operating expenses | | | Operating expenses | | |
| Compensation and benefits | Compensation and benefits | $ | 28 | | | $ | 2,637 | | | $ | 9,318 | | | $ | 0 | | | $ | 11,983 | | Compensation and benefits | $ | 31 | | | $ | 3,984 | | | $ | 14,026 | | | $ | — | | | $ | 18,041 | |
| Compensation and benefits—intercompany | Compensation and benefits—intercompany | 48 | | | 0 | | | (48) | | | 0 | | | 0 | | Compensation and benefits—intercompany | 69 | | | — | | | (69) | | | — | | | — | |
| Other operating | Other operating | 25 | | | 1,322 | | | 8,935 | | | 0 | | | 10,282 | | Other operating | 60 | | | 2,050 | | | 13,598 | | | — | | | 15,708 | |
| Other operating—intercompany | Other operating—intercompany | 6 | | | 1,488 | | | (1,494) | | | 0 | | | 0 | | Other operating—intercompany | 8 | | | 2,269 | | | (2,277) | | | — | | | — | |
| Total operating expenses | Total operating expenses | $ | 107 | | | $ | 5,447 | | | $ | 16,711 | | | $ | 0 | | | $ | 22,265 | | Total operating expenses | $ | 168 | | | $ | 8,303 | | | $ | 25,278 | | | $ | — | | | $ | 33,749 | |
| Equity in undistributed income of subsidiaries | Equity in undistributed income of subsidiaries | $ | 10,740 | | | $ | 0 | | | $ | 0 | | | $ | (10,740) | | | $ | 0 | | Equity in undistributed income of subsidiaries | $ | 13,270 | | | $ | — | | | $ | — | | | $ | (13,270) | | | $ | — | |
| Income (loss) from continuing operations before income taxes | Income (loss) from continuing operations before income taxes | $ | 13,616 | | | $ | 2,284 | | | $ | 16,297 | | | $ | (14,540) | | | $ | 17,657 | | Income (loss) from continuing operations before income taxes | $ | 18,011 | | | $ | 2,751 | | | $ | 22,419 | | | $ | (19,662) | | | $ | 23,519 | |
| Provision (benefit) for income taxes | Provision (benefit) for income taxes | (519) | | | 333 | | | 3,673 | | | 0 | | | 3,487 | | Provision (benefit) for income taxes | (768) | | | 516 | | | 4,932 | | | — | | | 4,680 | |
| Income (loss) from continuing operations | Income (loss) from continuing operations | $ | 14,135 | | | $ | 1,951 | | | $ | 12,624 | | | $ | (14,540) | | | $ | 14,170 | | Income (loss) from continuing operations | $ | 18,779 | | | $ | 2,235 | | | $ | 17,487 | | | $ | (19,662) | | | $ | 18,839 | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | 0 | | | 0 | | | 8 | | | 0 | | | 8 | | Income (loss) from discontinued operations, net of taxes | — | | | — | | | 7 | | | — | | | 7 | |
| Net income before attribution of noncontrolling interests | Net income before attribution of noncontrolling interests | $ | 14,135 | | | $ | 1,951 | | | $ | 12,632 | | | $ | (14,540) | | | $ | 14,178 | | Net income before attribution of noncontrolling interests | $ | 18,779 | | | $ | 2,235 | | | $ | 17,494 | | | $ | (19,662) | | | $ | 18,846 | |
| Noncontrolling interests | Noncontrolling interests | 0 | | | 0 | | | 43 | | | 0 | | | 43 | | Noncontrolling interests | — | | | — | | | 67 | | | — | | | 67 | |
| Net income (loss) | Net income (loss) | $ | 14,135 | | | $ | 1,951 | | | $ | 12,589 | | | $ | (14,540) | | | $ | 14,135 | | Net income (loss) | $ | 18,779 | | | $ | 2,235 | | | $ | 17,427 | | | $ | (19,662) | | | $ | 18,779 | |
| Comprehensive income | Comprehensive income | | | Comprehensive income | | |
| Add: Other comprehensive income (loss) | Add: Other comprehensive income (loss) | $ | (3,062) | | | $ | (43) | | | $ | (1,429) | | | $ | 1,472 | | | $ | (3,062) | | Add: Other comprehensive income (loss) | $ | (4,793) | | | $ | (238) | | | $ | 578 | | | $ | (340) | | | $ | (4,793) | |
| Total Citigroup comprehensive income (loss) | Total Citigroup comprehensive income (loss) | $ | 11,073 | | | $ | 1,908 | | | $ | 11,160 | | | $ | (13,068) | | | $ | 11,073 | | Total Citigroup comprehensive income (loss) | $ | 13,986 | | | $ | 1,997 | | | $ | 18,005 | | | $ | (20,002) | | | $ | 13,986 | |
| Add: Other comprehensive income attributable to noncontrolling interests | Add: Other comprehensive income attributable to noncontrolling interests | $ | 0 | | | $ | 0 | | | $ | (40) | | | $ | 0 | | | $ | (40) | | Add: Other comprehensive income attributable to noncontrolling interests | $ | — | | | $ | — | | | $ | (71) | | | $ | — | | | $ | (71) | |
| Add: Net income attributable to noncontrolling interests | Add: Net income attributable to noncontrolling interests | 0 | | | 0 | | | 43 | | | 0 | | | 43 | | Add: Net income attributable to noncontrolling interests | — | | | — | | | 67 | | | — | | | 67 | |
| Total comprehensive income (loss) | Total comprehensive income (loss) | $ | 11,073 | | | $ | 1,908 | | | $ | 11,163 | | | $ | (13,068) | | | $ | 11,076 | | Total comprehensive income (loss) | $ | 13,986 | | | $ | 1,997 | | | $ | 18,001 | | | $ | (20,002) | | | $ | 13,982 | |
| |
Condensed Consolidating Statements of Income and Comprehensive Income
| | | Three Months Ended June 30, 2020 | | Three Months Ended September 30, 2020 |
| 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 | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | 0 | | Dividends from subsidiaries | $ | 2,250 | | | $ | — | | | $ | — | | | $ | (2,250) | | | $ | — | |
| Interest revenue | Interest revenue | 0 | | | 1,309 | | | 13,280 | | | 0 | | | 14,589 | | Interest revenue | — | | | 1,128 | | | 12,186 | | | — | | | 13,314 | |
| Interest revenue—intercompany | Interest revenue—intercompany | 1,067 | | | 282 | | | (1,349) | | | 0 | | | 0 | | Interest revenue—intercompany | 991 | | | 153 | | | (1,144) | | | — | | | — | |
| Interest expense | Interest expense | 1,265 | | | 380 | | | 1,864 | | | 0 | | | 3,509 | | Interest expense | 1,267 | | | 274 | | | 1,280 | | | — | | | 2,821 | |
| Interest expense—intercompany | Interest expense—intercompany | 142 | | | 621 | | | (763) | | | 0 | | | 0 | | Interest expense—intercompany | 61 | | | 416 | | | (477) | | | — | | | — | |
| Net interest revenue | Net interest revenue | $ | (340) | | | $ | 590 | | | $ | 10,830 | | | $ | 0 | | | $ | 11,080 | | Net interest revenue | $ | (337) | | | $ | 591 | | | $ | 10,239 | | | $ | — | | | $ | 10,493 | |
| Commissions and fees | Commissions and fees | $ | 0 | | | $ | 1,771 | | | $ | 1,162 | | | $ | 0 | | | $ | 2,933 | | Commissions and fees | $ | — | | | $ | 1,494 | | | $ | 1,259 | | | $ | — | | | $ | 2,753 | |
| Commissions and fees—intercompany | Commissions and fees—intercompany | 0 | | | 73 | | | (73) | | | 0 | | | 0 | | Commissions and fees—intercompany | — | | | 30 | | | (30) | | | — | | | — | |
| Principal transactions | Principal transactions | (258) | | | (2,993) | | | 7,408 | | | 0 | | | 4,157 | | Principal transactions | (169) | | | (3,779) | | | 6,456 | | | — | | | 2,508 | |
| Principal transactions—intercompany | Principal transactions—intercompany | 62 | | | 4,890 | | | (4,952) | | | 0 | | | 0 | | Principal transactions—intercompany | 42 | | | 4,350 | | | (4,392) | | | — | | | — | |
| Other revenue | Other revenue | (14) | | | 211 | | | 1,399 | | | 0 | | | 1,596 | | Other revenue | (90) | | | 208 | | | 1,430 | | | — | | | 1,548 | |
| Other revenue—intercompany | Other revenue—intercompany | 8 | | | 13 | | | (21) | | | 0 | | | 0 | | Other revenue—intercompany | 78 | | | 12 | | | (90) | | | — | | | — | |
| Total non-interest revenues | Total non-interest revenues | $ | (202) | | | $ | 3,965 | | | $ | 4,923 | | | $ | 0 | | | $ | 8,686 | | Total non-interest revenues | $ | (139) | | | $ | 2,315 | | | $ | 4,633 | | | $ | — | | | $ | 6,809 | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | (542) | | | $ | 4,555 | | | $ | 15,753 | | | $ | 0 | | | $ | 19,766 | | Total revenues, net of interest expense | $ | 1,774 | | | $ | 2,906 | | | $ | 14,872 | | | $ | (2,250) | | | $ | 17,302 | |
| Provisions for credit losses and for benefits and claims | Provisions for credit losses and for benefits and claims | $ | 0 | | | $ | 1 | | | $ | 8,196 | | | $ | 0 | | | $ | 8,197 | | Provisions for credit losses and for benefits and claims | $ | — | | | $ | (1) | | | $ | 2,385 | | | $ | — | | | $ | 2,384 | |
| Operating expenses | Operating expenses | | | Operating expenses | | |
| Compensation and benefits | Compensation and benefits | $ | 105 | | | $ | 1,345 | | | $ | 4,174 | | | $ | 0 | | | $ | 5,624 | | Compensation and benefits | $ | (21) | | | $ | 1,165 | | | $ | 4,451 | | | $ | — | | | $ | 5,595 | |
| Compensation and benefits—intercompany | Compensation and benefits—intercompany | 1 | | | 0 | | | (1) | | | 0 | | | 0 | | Compensation and benefits—intercompany | 44 | | | — | | | (44) | | | — | | | — | |
| Other operating | Other operating | 9 | | | 594 | | | 4,233 | | | 0 | | | 4,836 | | Other operating | 5 | | | 597 | | | 4,767 | | | — | | | 5,369 | |
| Other operating—intercompany | Other operating—intercompany | 4 | | | 375 | | | (379) | | | 0 | | | 0 | | Other operating—intercompany | 4 | | | 772 | | | (776) | | | — | | | — | |
| Total operating expenses | Total operating expenses | $ | 119 | | | $ | 2,314 | | | $ | 8,027 | | | $ | 0 | | | $ | 10,460 | | Total operating expenses | $ | 32 | | | $ | 2,534 | | | $ | 8,398 | | | $ | — | | | $ | 10,964 | |
| Equity in undistributed income of subsidiaries | Equity in undistributed income of subsidiaries | $ | 1,847 | | | $ | 0 | | | $ | 0 | | | $ | (1,847) | | | $ | 0 | | Equity in undistributed income of subsidiaries | $ | 1,056 | | | $ | — | | | $ | — | | | $ | (1,056) | | | $ | — | |
Income (loss) from continuing operations before income
taxes | Income (loss) from continuing operations before income
taxes | $ | 1,186 | | | $ | 2,240 | | | $ | (470) | | | $ | (1,847) | | | $ | 1,109 | | Income (loss) from continuing operations before income
taxes | $ | 2,798 | | | $ | 373 | | | $ | 4,089 | | | $ | (3,306) | | | $ | 3,954 | |
| Provision (benefit) for income taxes | Provision (benefit) for income taxes | 130 | | | 715 | | | (793) | | | 0 | | | 52 | | Provision (benefit) for income taxes | (348) | | | 165 | | | 960 | | | — | | | 777 | |
| Income (loss) from continuing operations | Income (loss) from continuing operations | $ | 1,056 | | | $ | 1,525 | | | $ | 323 | | | $ | (1,847) | | | $ | 1,057 | | Income (loss) from continuing operations | $ | 3,146 | | | $ | 208 | | | $ | 3,129 | | | $ | (3,306) | | | $ | 3,177 | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | 0 | | | 0 | | | (1) | | | 0 | | | (1) | | Income (loss) from discontinued operations, net of taxes | — | | | — | | | (7) | | | — | | | (7) | |
| Net income (loss) before attribution of noncontrolling interests | Net income (loss) before attribution of noncontrolling interests | $ | 1,056 | | | $ | 1,525 | | | $ | 322 | | | $ | (1,847) | | | $ | 1,056 | | Net income (loss) before attribution of noncontrolling interests | $ | 3,146 | | | $ | 208 | | | $ | 3,122 | | | $ | (3,306) | | | $ | 3,170 | |
| Noncontrolling interests | Noncontrolling interests | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | Noncontrolling interests | — | | | — | | | 24 | | | — | | | 24 | |
| Net income (loss) | Net income (loss) | $ | 1,056 | | | $ | 1,525 | | | $ | 322 | | | $ | (1,847) | | | $ | 1,056 | | Net income (loss) | $ | 3,146 | | | $ | 208 | | | $ | 3,098 | | | $ | (3,306) | | | $ | 3,146 | |
| Comprehensive income | Comprehensive income | | | Comprehensive income | | |
| Add: Other comprehensive income (loss) | Add: Other comprehensive income (loss) | $ | (824) | | | $ | (1,429) | | | $ | (1,223) | | | $ | 2,652 | | | $ | (824) | | Add: Other comprehensive income (loss) | $ | 280 | | | $ | (51) | | | $ | (2,178) | | | $ | 2,229 | | | $ | 280 | |
| Total Citigroup comprehensive income (loss) | Total Citigroup comprehensive income (loss) | $ | 232 | | | $ | 96 | | | $ | (901) | | | $ | 805 | | | $ | 232 | | Total Citigroup comprehensive income (loss) | $ | 3,426 | | | $ | 157 | | | $ | 920 | | | $ | (1,077) | | | $ | 3,426 | |
| Add: Other comprehensive income attributable to noncontrolling interests | Add: Other comprehensive income attributable to noncontrolling interests | $ | 0 | | | $ | 0 | | | $ | 39 | | | $ | 0 | | | $ | 39 | | Add: Other comprehensive income attributable to noncontrolling interests | $ | — | | | $ | — | | | $ | 19 | | | $ | — | | | $ | 19 | |
| Add: Net income attributable to noncontrolling interests | Add: Net income attributable to noncontrolling interests | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | Add: Net income attributable to noncontrolling interests | — | | | — | | | 24 | | | — | | | 24 | |
| Total comprehensive income (loss) | Total comprehensive income (loss) | $ | 232 | | | $ | 96 | | | $ | (862) | | | $ | 805 | | | $ | 271 | | Total comprehensive income (loss) | $ | 3,426 | | | $ | 157 | | | $ | 963 | | | $ | (1,077) | | | $ | 3,469 | |
| |
| Condensed Consolidating Statements of Income and Comprehensive Income | | | Six Months Ended June 30, 2020 | | Nine Months Ended September 30, 2020 |
| 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 | $ | 2,355 | | | $ | — | | | $ | — | | | $ | (2,355) | | | $ | — | |
| Interest revenue | Interest revenue | 0 | | | 3,212 | | | 28,516 | | | 0 | | | 31,728 | | Interest revenue | — | | | 4,340 | | | 40,702 | | | — | | | 45,042 | |
| Interest revenue—intercompany | Interest revenue—intercompany | 2,211 | | | 623 | | | (2,834) | | | 0 | | | 0 | | Interest revenue—intercompany | 3,202 | | | 776 | | | (3,978) | | | — | | | — | |
| Interest expense | Interest expense | 2,408 | | | 1,521 | | | 5,227 | | | 0 | | | 9,156 | | Interest expense | 3,675 | | | 1,795 | | | 6,507 | | | — | | | 11,977 | |
| Interest expense—intercompany | Interest expense—intercompany | 390 | | | 1,403 | | | (1,793) | | | 0 | | | 0 | | Interest expense—intercompany | 451 | | | 1,819 | | | (2,270) | | | — | | | — | |
| Net interest revenue | Net interest revenue | $ | (587) | | | $ | 911 | | | $ | 22,248 | | | $ | 0 | | | $ | 22,572 | | Net interest revenue | $ | (924) | | | $ | 1,502 | | | $ | 32,487 | | | $ | — | | | $ | 33,065 | |
| Commissions and fees | Commissions and fees | $ | 0 | | | $ | 3,321 | | | $ | 2,633 | | | $ | 0 | | | $ | 5,954 | | Commissions and fees | $ | — | | | $ | 4,815 | | | $ | 3,892 | | | $ | — | | | $ | 8,707 | |
| Commissions and fees—intercompany | Commissions and fees—intercompany | (19) | | | 237 | | | (218) | | | 0 | | | 0 | | Commissions and fees—intercompany | (19) | | | 267 | | | (248) | | | — | | | — | |
| Principal transactions | Principal transactions | (930) | | | 3,261 | | | 7,087 | | | 0 | | | 9,418 | | Principal transactions | (1,099) | | | (518) | | | 13,543 | | | — | | | 11,926 | |
| Principal transactions—intercompany | Principal transactions—intercompany | 564 | | | 499 | | | (1,063) | | | 0 | | | 0 | | Principal transactions—intercompany | 606 | | | 4,849 | | | (5,455) | | | — | | | — | |
| Other revenue | Other revenue | 66 | | | 260 | | | 2,227 | | | 0 | | | 2,553 | | Other revenue | (24) | | | 468 | | | 3,657 | | | — | | | 4,101 | |
| Other revenue—intercompany | Other revenue—intercompany | (62) | | | 26 | | | 36 | | | 0 | | | 0 | | Other revenue—intercompany | 16 | | | 38 | | | (54) | | | — | | | — | |
| Total non-interest revenues | Total non-interest revenues | $ | (381) | | | $ | 7,604 | | | $ | 10,702 | | | $ | 0 | | | $ | 17,925 | | Total non-interest revenues | $ | (520) | | | $ | 9,919 | | | $ | 15,335 | | | $ | — | | | $ | 24,734 | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | (863) | | | $ | 8,515 | | | $ | 32,950 | | | $ | (105) | | | $ | 40,497 | | Total revenues, net of interest expense | $ | 911 | | | $ | 11,421 | | | $ | 47,822 | | | $ | (2,355) | | | $ | 57,799 | |
| Provisions for credit losses and for benefits and claims | Provisions for credit losses and for benefits and claims | $ | 0 | | | $ | 0 | | | $ | 15,157 | | | $ | 0 | | | $ | 15,157 | | Provisions for credit losses and for benefits and claims | $ | — | | | $ | (1) | | | $ | 17,542 | | | $ | — | | | $ | 17,541 | |
| Operating expenses | Operating expenses | | | Operating expenses | | |
| Compensation and benefits | Compensation and benefits | $ | 133 | | | $ | 2,641 | | | $ | 8,504 | | | $ | 0 | | | $ | 11,278 | | Compensation and benefits | $ | 112 | | | $ | 3,806 | | | $ | 12,955 | | | $ | — | | | $ | 16,873 | |
| Compensation and benefits—intercompany | Compensation and benefits—intercompany | 75 | | | 0 | | | (75) | | | 0 | | | 0 | | Compensation and benefits—intercompany | 119 | | | — | | | (119) | | | — | | | — | |
| Other operating | Other operating | 32 | | | 1,192 | | | 8,601 | | | 0 | | | 9,825 | | Other operating | 37 | | | 1,789 | | | 13,368 | | | — | | | 15,194 | |
| Other operating—intercompany | Other operating—intercompany | 8 | | | 857 | | | (865) | | | 0 | | | 0 | | Other operating—intercompany | 12 | | | 1,629 | | | (1,641) | | | — | | | — | |
| Total operating expenses | Total operating expenses | $ | 248 | | | $ | 4,690 | | | $ | 16,165 | | | $ | 0 | | | $ | 21,103 | | Total operating expenses | $ | 280 | | | $ | 7,224 | | | $ | 24,563 | | | $ | — | | | $ | 32,067 | |
| Equity in undistributed income of subsidiaries | Equity in undistributed income of subsidiaries | $ | 4,229 | | | $ | 0 | | | $ | 0 | | | $ | (4,229) | | | $ | 0 | | Equity in undistributed income of subsidiaries | $ | 5,285 | | | $ | — | | | $ | — | | | $ | (5,285) | | | $ | — | |
Income (loss) from continuing operations before income
taxes | Income (loss) from continuing operations before income
taxes | $ | 3,118 | | | $ | 3,825 | | | $ | 1,628 | | | $ | (4,334) | | | $ | 4,237 | | Income (loss) from continuing operations before income
taxes | $ | 5,916 | | | $ | 4,198 | | | $ | 5,717 | | | $ | (7,640) | | | $ | 8,191 | |
| Provision (benefit) for income taxes | Provision (benefit) for income taxes | (474) | | | 1,052 | | | 54 | | | 0 | | | 632 | | Provision (benefit) for income taxes | (822) | | | 1,217 | | | 1,014 | | | — | | | 1,409 | |
| Income (loss) from continuing operations | Income (loss) from continuing operations | $ | 3,592 | | | $ | 2,773 | | | $ | 1,574 | | | $ | (4,334) | | | $ | 3,605 | | Income (loss) from continuing operations | $ | 6,738 | | | $ | 2,981 | | | $ | 4,703 | | | $ | (7,640) | | | $ | 6,782 | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | 0 | | | 0 | | | (19) | | | 0 | | | (19) | | Income (loss) from discontinued operations, net of taxes | — | | | — | | | (26) | | | — | | | (26) | |
| Net income (loss) before attribution of noncontrolling interests | Net income (loss) before attribution of noncontrolling interests | $ | 3,592 | | | $ | 2,773 | | | $ | 1,555 | | | $ | (4,334) | | | $ | 3,586 | | Net income (loss) before attribution of noncontrolling interests | $ | 6,738 | | | $ | 2,981 | | | $ | 4,677 | | | $ | (7,640) | | | $ | 6,756 | |
| Noncontrolling interests | Noncontrolling interests | 0 | | | 0 | | | (6) | | | 0 | | | (6) | | Noncontrolling interests | — | | | — | | | 18 | | | — | | | 18 | |
| Net income (loss) | Net income (loss) | $ | 3,592 | | | $ | 2,773 | | | $ | 1,561 | | | $ | (4,334) | | | $ | 3,592 | | Net income (loss) | $ | 6,738 | | | $ | 2,981 | | | $ | 4,659 | | | $ | (7,640) | | | $ | 6,738 | |
| Comprehensive income | Comprehensive income | | | Comprehensive income | | |
| Add: Other comprehensive income (loss) | Add: Other comprehensive income (loss) | $ | 2,973 | | | $ | 328 | | | $ | 12,236 | | | $ | (12,564) | | | $ | 2,973 | | Add: Other comprehensive income (loss) | $ | 3,253 | | | $ | 277 | | | $ | 10,058 | | | $ | (10,335) | | | $ | 3,253 | |
| Total Citigroup comprehensive income (loss) | Total Citigroup comprehensive income (loss) | $ | 6,565 | | | $ | 3,101 | | | $ | 13,797 | | | $ | (16,898) | | | $ | 6,565 | | Total Citigroup comprehensive income (loss) | $ | 9,991 | | | $ | 3,258 | | | $ | 14,717 | | | $ | (17,975) | | | $ | 9,991 | |
| Add: Other comprehensive income attributable to noncontrolling interests | Add: Other comprehensive income attributable to noncontrolling interests | $ | 0 | | | $ | 0 | | | $ | (12) | | | $ | 0 | | | $ | (12) | | Add: Other comprehensive income attributable to noncontrolling interests | $ | — | | | $ | — | | | $ | 7 | | | $ | — | | | $ | 7 | |
| 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 | — | | | — | | | 18 | | | — | | | 18 | |
| Total comprehensive income (loss) | Total comprehensive income (loss) | $ | 6,565 | | | $ | 3,101 | | | $ | 13,779 | | | $ | (16,898) | | | $ | 6,547 | | Total comprehensive income (loss) | $ | 9,991 | | | $ | 3,258 | | | $ | 14,742 | | | $ | (17,975) | | | $ | 10,016 | |
Condensed Consolidating Balance Sheet
| | | June 30, 2021 | | September 30, 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 | | | $ | 723 | | | $ | 26,394 | | | $ | 0 | | | $ | 27,117 | | Cash and due from banks | $ | — | | | $ | 965 | | | $ | 27,941 | | | $ | — | | | $ | 28,906 | |
| Cash and due from banks—intercompany | Cash and due from banks—intercompany | 16 | | | 5,919 | | | (5,935) | | | 0 | | | 0 | | Cash and due from banks—intercompany | 8 | | | 6,033 | | | (6,041) | | | — | | | — | |
| Deposits with banks, net of allowance | Deposits with banks, net of allowance | 0 | | | 7,398 | | | 264,723 | | | 0 | | | 272,121 | | Deposits with banks, net of allowance | — | | | 5,763 | | | 289,139 | | | — | | | 294,902 | |
| Deposits with banks—intercompany | Deposits with banks—intercompany | 3,000 | | | 8,915 | | | (11,915) | | | 0 | | | 0 | | Deposits with banks—intercompany | 4,000 | | | 9,200 | | | (13,200) | | | — | | | — | |
| Securities borrowed and purchased under resale agreements | Securities borrowed and purchased under resale agreements | 0 | | | 251,864 | | | 57,183 | | | 0 | | | 309,047 | | Securities borrowed and purchased under resale agreements | — | | | 277,955 | | | 59,741 | | | — | | | 337,696 | |
| Securities borrowed and purchased under resale agreements—intercompany | Securities borrowed and purchased under resale agreements—intercompany | 0 | | | 25,247 | | | (25,247) | | | 0 | | | 0 | | Securities borrowed and purchased under resale agreements—intercompany | — | | | 25,137 | | | (25,137) | | | — | | | — | |
| Trading account assets | Trading account assets | 264 | | | 222,808 | | | 147,878 | | | 0 | | | 370,950 | | Trading account assets | 249 | | | 204,591 | | | 138,074 | | | — | | | 342,914 | |
| Trading account assets—intercompany | Trading account assets—intercompany | 1,069 | | | 9,759 | | | (10,828) | | | 0 | | | 0 | | Trading account assets—intercompany | 1,001 | | | 5,043 | | | (6,044) | | | — | | | — | |
| Investments, net of allowance | Investments, net of allowance | 1 | | | 265 | | | 486,797 | | | 0 | | | 487,063 | | Investments, net of allowance | 1 | | | 266 | | | 500,582 | | | — | | | 500,849 | |
| Loans, net of unearned income | Loans, net of unearned income | 0 | | | 3,135 | | | 673,699 | | | 0 | | | 676,834 | | Loans, net of unearned income | — | | | 3,018 | | | 661,746 | | | — | | | 664,764 | |
| 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 | | | (19,238) | | | 0 | | | (19,238) | | Allowance for credit losses on loans (ACLL) | — | | | — | | | (17,715) | | | — | | | (17,715) | |
| Total loans, net | Total loans, net | $ | 0 | | | $ | 3,135 | | | $ | 654,461 | | | $ | 0 | | | $ | 657,596 | | Total loans, net | $ | — | | | $ | 3,018 | | | $ | 644,031 | | | $ | — | | | $ | 647,049 | |
| Advances to subsidiaries | Advances to subsidiaries | $ | 153,845 | | | $ | 0 | | | $ | (153,845) | | | $ | 0 | | | $ | 0 | | Advances to subsidiaries | $ | 147,338 | | | $ | — | | | $ | (147,338) | | | $ | — | | | $ | — | |
| Investments in subsidiaries | Investments in subsidiaries | 220,810 | | | 0 | | | 0 | | | (220,810) | | | 0 | | Investments in subsidiaries | 222,021 | | | — | | | — | | | (222,021) | | | — | |
Other assets, net of allowance(1) | Other assets, net of allowance(1) | 11,302 | | | 74,398 | | | 118,274 | | | 0 | | | 203,974 | | Other assets, net of allowance(1) | 11,043 | | | 74,168 | | | 124,349 | | | — | | | 209,560 | |
| Other assets—intercompany | Other assets—intercompany | 3,354 | | | 58,861 | | | (62,215) | | | 0 | | | 0 | | Other assets—intercompany | 2,867 | | | 62,048 | | | (64,915) | | | — | | | — | |
| Total assets | Total assets | $ | 393,661 | | | $ | 669,292 | | | $ | 1,485,725 | | | $ | (220,810) | | | $ | 2,327,868 | | Total assets | $ | 388,528 | | | $ | 674,187 | | | $ | 1,521,182 | | | $ | (222,021) | | | $ | 2,361,876 | |
| Liabilities and equity | Liabilities and equity | | | Liabilities and equity | | |
| Deposits | Deposits | $ | 0 | | | $ | 0 | | | $ | 1,310,281 | | | $ | 0 | | | $ | 1,310,281 | | Deposits | $ | — | | | $ | — | | | $ | 1,347,528 | | | $ | — | | | $ | 1,347,528 | |
| 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 | | | 203,715 | | | 18,102 | | | 0 | | | 221,817 | | Securities loaned and sold under repurchase agreements | — | | | 192,276 | | | 16,908 | | | — | | | 209,184 | |
| Securities loaned and sold under repurchase agreements—intercompany | Securities loaned and sold under repurchase agreements—intercompany | 0 | | | 48,508 | | | (48,508) | | | 0 | | | 0 | | Securities loaned and sold under repurchase agreements—intercompany | — | | | 66,703 | | | (66,703) | | | — | | | — | |
| Trading account liabilities | Trading account liabilities | 19 | | | 125,785 | | | 48,902 | | | 0 | | | 174,706 | | Trading account liabilities | 32 | | | 131,565 | | | 47,689 | | | — | | | 179,286 | |
| Trading account liabilities—intercompany | Trading account liabilities—intercompany | 564 | | | 8,578 | | | (9,142) | | | 0 | | | 0 | | Trading account liabilities—intercompany | 632 | | | 4,565 | | | (5,197) | | | — | | | — | |
| Short-term borrowings | Short-term borrowings | 0 | | | 15,681 | | | 15,781 | | | 0 | | | 31,462 | | Short-term borrowings | — | | | 14,547 | | | 15,136 | | | — | | | 29,683 | |
| Short-term borrowings—intercompany | Short-term borrowings—intercompany | 0 | | | 18,337 | | | (18,337) | | | 0 | | | 0 | | Short-term borrowings—intercompany | — | | | 16,400 | | | (16,400) | | | — | | | — | |
| Long-term debt | Long-term debt | 174,366 | | | 56,087 | | | 34,122 | | | 0 | | | 264,575 | | Long-term debt | 170,104 | | | 57,826 | | | 30,344 | | | — | | | 258,274 | |
| Long-term debt—intercompany | Long-term debt—intercompany | 0 | | | 77,668 | | | (77,668) | | | 0 | | | 0 | | Long-term debt—intercompany | — | | | 74,016 | | | (74,016) | | | — | | | — | |
| Advances from subsidiaries | Advances from subsidiaries | 13,747 | | | 0 | | | (13,747) | | | 0 | | | 0 | | Advances from subsidiaries | 14,049 | | | — | | | (14,049) | | | — | | | — | |
| Other liabilities, including allowance | Other liabilities, including allowance | 2,806 | | | 61,526 | | | 57,785 | | | 0 | | | 122,117 | | Other liabilities, including allowance | 2,780 | | | 66,345 | | | 67,186 | | | — | | | 136,311 | |
| Other liabilities—intercompany | Other liabilities—intercompany | 0 | | | 16,004 | | | (16,004) | | | 0 | | | 0 | | Other liabilities—intercompany | 56 | | | 12,466 | | | (12,522) | | | — | | | — | |
| Stockholders’ equity | Stockholders’ equity | 202,159 | | | 37,403 | | | 184,158 | | | (220,810) | | | 202,910 | | Stockholders’ equity | 200,875 | | | 37,478 | | | 185,278 | | | (222,021) | | | 201,610 | |
| Total liabilities and equity | Total liabilities and equity | $ | 393,661 | | | $ | 669,292 | | | $ | 1,485,725 | | | $ | (220,810) | | | $ | 2,327,868 | | Total liabilities and equity | $ | 388,528 | | | $ | 674,187 | | | $ | 1,521,182 | | | $ | (222,021) | | | $ | 2,361,876 | |
(1)Other assets for Citigroup parent company at JuneSeptember 30, 2021 included $42.0$35.0 billion of placements to Citibank and its branches, of which $31.8$19.5 billion had a remaining term of less than 30 days.
Condensed Consolidating Balance Sheet
| | | December 31, 2020 | | December 31, 2020 |
| 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 | $ | — | | | $ | 628 | | | $ | 25,721 | | | $ | — | | | $ | 26,349 | |
| 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 | 16 | | | 6,081 | | | (6,097) | | | — | | | — | |
| 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 | — | | | 5,224 | | | 278,042 | | | — | | | 283,266 | |
| Deposits with banks—intercompany | Deposits with banks—intercompany | 4,500 | | | 8,179 | | | (12,679) | | | 0 | | | 0 | | Deposits with banks—intercompany | 4,500 | | | 8,179 | | | (12,679) | | | — | | | — | |
| 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 | — | | | 238,718 | | | 55,994 | | | — | | | 294,712 | |
| 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 | — | | | 24,309 | | | (24,309) | | | — | | | — | |
| Trading account assets | Trading account assets | 307 | | | 222,278 | | | 152,494 | | | 0 | | | 375,079 | | Trading account assets | 307 | | | 222,278 | | | 152,494 | | | — | | | 375,079 | |
| Trading account assets—intercompany | Trading account assets—intercompany | 723 | | | 9,400 | | | (10,123) | | | 0 | | | 0 | | Trading account assets—intercompany | 723 | | | 9,400 | | | (10,123) | | | — | | | — | |
| Investments, net of allowance | Investments, net of allowance | 1 | | | 374 | | | 446,984 | | | 0 | | | 447,359 | | Investments, net of allowance | 1 | | | 374 | | | 446,984 | | | — | | | 447,359 | |
| Loans, net of unearned income | Loans, net of unearned income | 0 | | | 2,524 | | | 673,359 | | | 0 | | | 675,883 | | Loans, net of unearned income | — | | | 2,524 | | | 673,359 | | | — | | | 675,883 | |
| 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) | — | | | — | | | (24,956) | | | — | | | (24,956) | |
| Total loans, net | Total loans, net | $ | 0 | | | $ | 2,524 | | | $ | 648,403 | | | $ | 0 | | | $ | 650,927 | | Total loans, net | $ | — | | | $ | 2,524 | | | $ | 648,403 | | | $ | — | | | $ | 650,927 | |
| Advances to subsidiaries | Advances to subsidiaries | $ | 152,383 | | | $ | 0 | | | $ | (152,383) | | | $ | 0 | | | $ | 0 | | Advances to subsidiaries | $ | 152,383 | | | $ | — | | | $ | (152,383) | | | $ | — | | | $ | — | |
| Investments in subsidiaries | Investments in subsidiaries | 213,267 | | | 0 | | | 0 | | | (213,267) | | | 0 | | Investments in subsidiaries | 213,267 | | | — | | | — | | | (213,267) | | | — | |
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) | 12,156 | | | 60,273 | | | 109,969 | | | — | | | 182,398 | |
| Other assets—intercompany | Other assets—intercompany | 2,781 | | | 51,489 | | | (54,270) | | | 0 | | | 0 | | Other assets—intercompany | 2,781 | | | 51,489 | | | (54,270) | | | — | | | — | |
| Total assets | Total assets | $ | 386,134 | | | $ | 629,477 | | | $ | 1,457,746 | | | $ | (213,267) | | | $ | 2,260,090 | | Total assets | $ | 386,134 | | | $ | 629,477 | | | $ | 1,457,746 | | | $ | (213,267) | | | $ | 2,260,090 | |
| Liabilities and equity | Liabilities and equity | | | Liabilities and equity | | |
| Deposits | Deposits | $ | 0 | | | $ | 0 | | | $ | 1,280,671 | | | $ | 0 | | | $ | 1,280,671 | | Deposits | $ | — | | | $ | — | | | $ | 1,280,671 | | | $ | — | | | $ | 1,280,671 | |
| 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 | — | | | 184,786 | | | 14,739 | | | — | | | 199,525 | |
| 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 | — | | | 76,590 | | | (76,590) | | | — | | | — | |
| Trading account liabilities | Trading account liabilities | 0 | | | 113,100 | | | 54,927 | | | 0 | | | 168,027 | | Trading account liabilities | — | | | 113,100 | | | 54,927 | | | — | | | 168,027 | |
| Trading account liabilities—intercompany | Trading account liabilities—intercompany | 397 | | | 8,591 | | | (8,988) | | | 0 | | | 0 | | Trading account liabilities—intercompany | 397 | | | 8,591 | | | (8,988) | | | — | | | — | |
| Short-term borrowings | Short-term borrowings | 0 | | | 12,323 | | | 17,191 | | | 0 | | | 29,514 | | Short-term borrowings | — | | | 12,323 | | | 17,191 | | | — | | | 29,514 | |
| Short-term borrowings—intercompany | Short-term borrowings—intercompany | 0 | | | 12,757 | | | (12,757) | | | 0 | | | 0 | | Short-term borrowings—intercompany | — | | | 12,757 | | | (12,757) | | | — | | | — | |
| Long-term debt | Long-term debt | 170,563 | | | 47,732 | | | 53,391 | | | 0 | | | 271,686 | | Long-term debt | 170,563 | | | 47,732 | | | 53,391 | | | — | | | 271,686 | |
| Long-term debt—intercompany | Long-term debt—intercompany | 0 | | | 67,322 | | | (67,322) | | | 0 | | | 0 | | Long-term debt—intercompany | — | | | 67,322 | | | (67,322) | | | — | | | — | |
| Advances from subsidiaries | Advances from subsidiaries | 12,975 | | | 0 | | | (12,975) | | | 0 | | | 0 | | Advances from subsidiaries | 12,975 | | | — | | | (12,975) | | | — | | | — | |
| Other liabilities, including allowance | Other liabilities, including allowance | 2,692 | | | 55,217 | | | 52,558 | | | 0 | | | 110,467 | | Other liabilities, including allowance | 2,692 | | | 55,217 | | | 52,558 | | | — | | | 110,467 | |
| Other liabilities—intercompany | Other liabilities—intercompany | 65 | | | 15,378 | | | (15,443) | | | 0 | | | 0 | | Other liabilities—intercompany | 65 | | | 15,378 | | | (15,443) | | | — | | | — | |
| Stockholders’ equity | Stockholders’ equity | 199,442 | | | 35,681 | | | 178,344 | | | (213,267) | | | 200,200 | | Stockholders’ equity | 199,442 | | | 35,681 | | | 178,344 | | | (213,267) | | | 200,200 | |
| Total liabilities and equity | Total liabilities and equity | $ | 386,134 | | | $ | 629,477 | | | $ | 1,457,746 | | | $ | (213,267) | | | $ | 2,260,090 | | Total liabilities and equity | $ | 386,134 | | | $ | 629,477 | | | $ | 1,457,746 | | | $ | (213,267) | | | $ | 2,260,090 | |
(1)Other assets for Citigroup parent company at December 31, 2020 included $29.5 billion of placements to Citibank and its branches, of which $24.3 billion had a remaining term of less than 30 days.
Condensed Consolidating Statement of Cash Flows
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Six Months Ended June 30, 2021 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Net cash provided by operating activities of continuing operations | $ | 1,429 | | | $ | 5,912 | | | $ | 16,222 | | | $ | 0 | | | $ | 23,563 | |
| Cash flows from investing activities of continuing operations | | | | | | | | | |
| Purchases of investments | $ | 0 | | | $ | 0 | | | $ | (201,567) | | | $ | 0 | | | $ | (201,567) | |
| Proceeds from sales of investments | 0 | | | 0 | | | 66,477 | | | 0 | | | 66,477 | |
| Proceeds from maturities of investments | 0 | | | 0 | | | 75,195 | | | 0 | | | 75,195 | |
| | | | | | | | | |
| Change in loans | 0 | | | 0 | | | (3,088) | | | 0 | | | (3,088) | |
| Proceeds from sales and securitizations of loans | 0 | | | 0 | | | 869 | | | 0 | | | 869 | |
| | | | | | | | | |
| | | | | | | | | |
| Change in securities borrowed and purchased under agreements to resell | 0 | | | (14,084) | | | (251) | | | 0 | | | (14,335) | |
| Changes in investments and advances—intercompany | (2,424) | | | (7,360) | | | 9,784 | | | 0 | | | 0 | |
| Other investing activities | 0 | | | (15) | | | (1,647) | | | 0 | | | (1,662) | |
| Net cash used in investing activities of continuing operations | $ | (2,424) | | | $ | (21,459) | | | $ | (54,228) | | | $ | 0 | | | $ | (78,111) | |
| Cash flows from financing activities of continuing operations | | | | | | | | | |
| Dividends paid | $ | (2,663) | | | $ | (187) | | | $ | 187 | | | $ | 0 | | | $ | (2,663) | |
| Issuance of preferred stock | 2,300 | | | 0 | | | 0 | | | 0 | | | 2,300 | |
| Redemption of preferred stock | (3,785) | | | 0 | | | 0 | | | 0 | | | (3,785) | |
| Treasury stock acquired | (4,381) | | | 0 | | | 0 | | | 0 | | | (4,381) | |
| Proceeds (repayments) from issuance of long-term debt, net | 7,576 | | | 8,446 | | | (16,405) | | | 0 | | | (383) | |
| Proceeds (repayments) from issuance of long-term debt—intercompany, net | 0 | | | 11,040 | | | (11,040) | | | 0 | | | 0 | |
| Change in deposits | 0 | | | 0 | | | 29,610 | | | 0 | | | 29,610 | |
| Change in securities loaned and sold under agreements to repurchase | 0 | | | (9,152) | | | 31,444 | | | 0 | | | 22,292 | |
| Change in short-term borrowings | 0 | | | 3,358 | | | (1,410) | | | 0 | | | 1,948 | |
| Net change in short-term borrowings and other advances—intercompany | 772 | | | 4,885 | | | (5,657) | | | 0 | | | 0 | |
| | | | | | | | | |
| Other financing activities | (324) | | | 0 | | | 0 | | | 0 | | | (324) | |
| Net cash provided by (used in) financing activities of continuing operations | $ | (505) | | | $ | 18,390 | | | $ | 26,729 | | | $ | 0 | | | $ | 44,614 | |
| Effect of exchange rate changes on cash and due from banks | $ | 0 | | | $ | 0 | | | $ | (443) | | | $ | 0 | | | $ | (443) | |
| | | | | | | | | |
| | | | | | | | | |
| Change in cash and due from banks and deposits with banks | $ | (1,500) | | | $ | 2,843 | | | $ | (11,720) | | | $ | 0 | | | $ | (10,377) | |
| Cash and due from banks and deposits with banks at beginning of period | 4,516 | | | 20,112 | | | 284,987 | | | 0 | | | 309,615 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,016 | | | $ | 22,955 | | | $ | 273,267 | | | $ | 0 | | | $ | 299,238 | |
| Cash and due from banks | $ | 16 | | | $ | 6,642 | | | $ | 20,459 | | | $ | 0 | | | $ | 27,117 | |
| Deposits with banks, net of allowance | 3,000 | | | 16,313 | | | 252,808 | | | 0 | | | 272,121 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,016 | | | $ | 22,955 | | | $ | 273,267 | | | $ | 0 | | | $ | 299,238 | |
| Supplemental disclosure of cash flow information for continuing operations | | | | | | | | | |
| Cash paid (received) during the period for income taxes | $ | (1,437) | | | $ | 649 | | | $ | 2,964 | | | $ | 0 | | | $ | 2,176 | |
| Cash paid during the period for interest | 1,287 | | | 1,197 | | | 2,061 | | | 0 | | | 4,545 | |
| Non-cash investing activities | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
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| Transfers to loans HFS from loans | $ | 0 | | | $ | 0 | | | $ | 961 | | | $ | 0 | | | $ | 961 | |
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| Nine Months Ended September 30, 2021 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Net cash provided by operating activities of continuing operations | $ | 3,604 | | | $ | 30,413 | | | $ | 25,168 | | | $ | — | | | $ | 59,185 | |
| Cash flows from investing activities of continuing operations | | | | | | | | | |
| Purchases of investments | $ | — | | | $ | — | | | $ | (277,874) | | | $ | — | | | $ | (277,874) | |
| Proceeds from sales of investments | — | | | — | | | 96,203 | | | — | | | 96,203 | |
| Proceeds from maturities of investments | — | | | — | | | 107,361 | | | — | | | 107,361 | |
| | | | | | | | | |
| Change in loans | — | | | — | | | 6,613 | | | — | | | 6,613 | |
| Proceeds from sales and securitizations of loans | — | | | — | | | 1,134 | | | — | | | 1,134 | |
| | | | | | | | | |
| | | | | | | | | |
| Change in securities borrowed and purchased under agreements to resell | — | | | (40,065) | | | (2,919) | | | — | | | (42,984) | |
| Changes in investments and advances—intercompany | 3,374 | | | (9,743) | | | 6,369 | | | — | | | — | |
| Other investing activities | — | | | (42) | | | (2,480) | | | — | | | (2,522) | |
| Net cash provided by (used in) investing activities of continuing operations | $ | 3,374 | | | $ | (49,850) | | | $ | (65,593) | | | $ | — | | | $ | (112,069) | |
| Cash flows from financing activities of continuing operations | | | | | | | | | |
| Dividends paid | $ | (3,959) | | | $ | (195) | | | $ | 195 | | | $ | — | | | $ | (3,959) | |
| Issuance of preferred stock | 2,300 | | | — | | | — | | | — | | | 2,300 | |
| Redemption of preferred stock | (3,785) | | | — | | | — | | | — | | | (3,785) | |
| Treasury stock acquired | (7,448) | | | — | | | — | | | — | | | (7,448) | |
| Proceeds (repayments) from issuance of long-term debt, net | 4,660 | | | 11,336 | | | (18,507) | | | — | | | (2,511) | |
| Proceeds (repayments) from issuance of long-term debt—intercompany, net | — | | | 9,084 | | | (9,084) | | | — | | | — | |
| Change in deposits | — | | | — | | | 73,769 | | | — | | | 73,769 | |
| Change in securities loaned and sold under agreements to repurchase | — | | | (2,397) | | | 12,056 | | | — | | | 9,659 | |
| Change in short-term borrowings | — | | | 2,224 | | | (2,055) | | | — | | | 169 | |
| Net change in short-term borrowings and other advances—intercompany | 1,074 | | | 1,253 | | | (2,327) | | | — | | | — | |
| Capital contributions from (to) parent | — | | — | | (19) | | | 19 | | | — | | | — | |
| Other financing activities | (328) | | | — | | | — | | | — | | | (328) | |
| Net cash provided by (used in) financing activities of continuing operations | $ | (7,486) | | | $ | 21,286 | | | $ | 54,066 | | | $ | — | | | $ | 67,866 | |
| Effect of exchange rate changes on cash and due from banks | $ | — | | | $ | — | | | $ | (789) | | | $ | — | | | $ | (789) | |
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| Change in cash and due from banks and deposits with banks | $ | (508) | | | $ | 1,849 | | | $ | 12,852 | | | $ | — | | | $ | 14,193 | |
| 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 | $ | 4,008 | | | $ | 21,961 | | | $ | 297,839 | | | $ | — | | | $ | 323,808 | |
| Cash and due from banks | $ | 8 | | | $ | 6,998 | | | $ | 21,900 | | | $ | — | | | $ | 28,906 | |
| Deposits with banks, net of allowance | 4,000 | | | 14,963 | | | 275,939 | | | — | | | 294,902 | |
| Cash and due from banks and deposits with banks at end of period | $ | 4,008 | | | $ | 21,961 | | | $ | 297,839 | | | $ | — | | | $ | 323,808 | |
| Supplemental disclosure of cash flow information for continuing operations | | | | | | | | | |
| Cash paid (received) during the period for income taxes | $ | (1,757) | | | $ | 809 | | | $ | 4,011 | | | $ | — | | | $ | 3,063 | |
| Cash paid during the period for interest | 2,307 | | | 1,687 | | | 2,900 | | | — | | | 6,894 | |
| Non-cash investing activities | | | | | | | | | |
| | | | | | | | | |
| Decrease in net loans associated with significant disposals reclassified to HFS | $ | — | | | $ | — | | | $ | 8,291 | | | $ | — | | | $ | 8,291 | |
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| Transfers to loans HFS from loans | — | | | — | | | 5,329 | | | — | | | 5,329 | |
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| Non-cash financing activities | | | | | | | | | |
| Decrease in long-term debt associated with significant disposals reclassified to HFS | $ | — | | | $ | — | | | $ | 521 | | | $ | — | | | $ | 521 | |
| Decrease in deposits associated with significant disposals reclassified to HFS | — | | | — | | | 6,912 | | | — | | | 6,912 | |
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Condensed Consolidating Statement of Cash Flows
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Six Months Ended June 30, 2020 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Net cash provided by (used in) operating activities of continuing operations | $ | 2,857 | | | $ | (53,782) | | | $ | 31,717 | | | $ | 0 | | | $ | (19,208) | |
| Cash flows from investing activities of continuing operations | | | | | | | | | |
| Purchases of investments | $ | 0 | | | $ | 0 | | | $ | (207,701) | | | $ | 0 | | | $ | (207,701) | |
| Proceeds from sales of investments | 0 | | | 0 | | | 86,191 | | | 0 | | | 86,191 | |
| Proceeds from maturities of investments | 0 | | | 0 | | | 53,909 | | | 0 | | | 53,909 | |
| Change in loans | 0 | | | 0 | | | 7,943 | | | 0 | | | 7,943 | |
| Proceeds from sales and securitizations of loans | 0 | | | 0 | | | 826 | | | 0 | | | 826 | |
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| Change in securities borrowed and purchased under agreements to resell | 0 | | | (29,475) | | | (2,120) | | | 0 | | | (31,595) | |
| Changes in investments and advances—intercompany | (7,371) | | | (4,890) | | | 12,261 | | | 0 | | | 0 | |
| Other investing activities | 0 | | | 0 | | | (1,262) | | | 0 | | | (1,262) | |
| Net cash used in investing activities of continuing operations | $ | (7,371) | | | $ | (34,365) | | | $ | (49,953) | | | $ | 0 | | | $ | (91,689) | |
| Cash flows from financing activities of continuing operations | | | | | | | | | |
| Dividends paid | $ | (2,679) | | | $ | 0 | | | $ | 0 | | | $ | 0 | | | $ | (2,679) | |
| Issuance of preferred stock | 1,500 | | | 0 | | | 0 | | | 0 | | | 1,500 | |
| Redemption of preferred stock | (1,500) | | | 0 | | | 0 | | | 0 | | | (1,500) | |
| Treasury stock acquired | (2,925) | | | 0 | | | 0 | | | 0 | | | (2,925) | |
| Proceeds (repayments) from issuance of long-term debt, net | 17,353 | | | 8,907 | | | (86) | | | 0 | | | 26,174 | |
| Proceeds (repayments) from issuance of long-term debt—intercompany, net | 0 | | | 6,815 | | | (6,815) | | | 0 | | | 0 | |
| Change in deposits | 0 | | | 0 | | | 163,070 | | | 0 | | | 163,070 | |
| Change in securities loaned and sold under agreements to repurchase | 0 | | | 68,650 | | | (19,267) | | | 0 | | | 49,383 | |
| Change in short-term borrowings | 0 | | | 1,074 | | | (5,967) | | | 0 | | | (4,893) | |
| Net change in short-term borrowings and other advances—intercompany | (6,826) | | | 3,035 | | | 3,791 | | | 0 | | | 0 | |
| | | | | | | | | |
| Other financing activities | (407) | | | (118) | | | 118 | | | 0 | | | (407) | |
| Net cash provided by financing activities of continuing operations | $ | 4,516 | | | $ | 88,363 | | | $ | 134,844 | | | $ | 0 | | | $ | 227,723 | |
| Effect of exchange rate changes on cash and due from banks | $ | 0 | | | $ | 0 | | | $ | (972) | | | $ | 0 | | | $ | (972) | |
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| Change in cash and due from banks and deposits with banks | $ | 2 | | | $ | 216 | | | $ | 115,636 | | | $ | 0 | | | $ | 115,854 | |
| Cash and due from banks and deposits with banks at beginning of period | 3,021 | | | 16,441 | | | 174,457 | | | 0 | | | 193,919 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,023 | | | $ | 16,657 | | | $ | 290,093 | | | $ | 0 | | | $ | 309,773 | |
| Cash and due from banks | $ | 23 | | | $ | 3,728 | | | $ | 19,138 | | | $ | 0 | | | $ | 22,889 | |
| Deposits with banks, net of allowance | 3,000 | | | 12,929 | | | 270,955 | | | 0 | | | 286,884 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,023 | | | $ | 16,657 | | | $ | 290,093 | | | $ | 0 | | | $ | 309,773 | |
| Supplemental disclosure of cash flow information for continuing operations | | | | | | | | | |
| Cash paid during the period for income taxes | $ | 39 | | | $ | 174 | | | $ | 2,330 | | | $ | 0 | | | $ | 2,543 | |
| Cash paid during the period for interest | 1,757 | | | 3,006 | | | 3,988 | | | 0 | | | 8,751 | |
| Non-cash investing activities | | | | | | | | | |
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| Transfers to loans HFS from loans | $ | 0 | | | $ | 0 | | | $ | 1,036 | | | $ | 0 | | | $ | 1,036 | |
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| Nine Months Ended September 30, 2020 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Net cash provided by (used in) operating activities of continuing operations | $ | 3,605 | | | $ | (36,465) | | | $ | 10,606 | | | $ | — | | | $ | (22,254) | |
| Cash flows from investing activities of continuing operations | | | | | | | | | |
| Purchases of investments | $ | — | | | $ | — | | | $ | (276,084) | | | $ | — | | | $ | (276,084) | |
| Proceeds from sales of investments | — | | | — | | | 130,237 | | | — | | | 130,237 | |
| Proceeds from maturities of investments | — | | | — | | | 78,476 | | | — | | | 78,476 | |
| Change in loans | — | | | — | | | 23,488 | | | — | | | 23,488 | |
| Proceeds from sales and securitizations of loans | — | | | — | | | 924 | | | — | | | 924 | |
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| | | | | | | | | |
| Change in securities borrowed and purchased under agreements to resell | — | | | (35,332) | | | (2,704) | | | — | | | (38,036) | |
| Changes in investments and advances—intercompany | (5,179) | | | (5,532) | | | 10,711 | | | — | | | — | |
| Other investing activities | — | | | — | | | (2,205) | | | — | | | (2,205) | |
| Net cash used in investing activities of continuing operations | $ | (5,179) | | | $ | (40,864) | | | $ | (37,157) | | | $ | — | | | $ | (83,200) | |
| Cash flows from financing activities of continuing operations | | | | | | | | | |
| Dividends paid | $ | (4,024) | | | $ | (168) | | | $ | 168 | | | $ | — | | | $ | (4,024) | |
| Issuance of preferred stock | 1,500 | | | — | | | — | | | — | | | 1,500 | |
| Redemption of preferred stock | (1,500) | | | — | | | — | | | — | | | (1,500) | |
| Treasury stock acquired | (2,925) | | | — | | | — | | | — | | | (2,925) | |
| Proceeds (repayments) from issuance of long-term debt, net | 16,136 | | | 6,606 | | | (4,664) | | | — | | | 18,078 | |
| Proceeds (repayments) from issuance of long-term debt—intercompany, net | — | | | 1,607 | | | (1,607) | | | — | | | — | |
| Change in deposits | — | | | — | | | 192,033 | | | — | | | 192,033 | |
| Change in securities loaned and sold under agreements to repurchase | — | | | 75,977 | | | (35,089) | | | — | | | 40,888 | |
| Change in short-term borrowings | — | | | 788 | | | (8,398) | | | — | | | (7,610) | |
| Net change in short-term borrowings and other advances—intercompany | (7,214) | | | (6,524) | | | 13,738 | | | — | | | — | |
| | | | | | | | | |
| Other financing activities | (408) | | | — | | | — | | | — | | | (408) | |
| Net cash provided by financing activities of continuing operations | $ | 1,565 | | | $ | 78,286 | | | $ | 156,181 | | | $ | — | | | $ | 236,032 | |
| Effect of exchange rate changes on cash and due from banks | $ | — | | | $ | — | | | $ | (802) | | | $ | — | | | $ | (802) | |
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| Change in cash and due from banks and deposits with banks | $ | (9) | | | $ | 957 | | | $ | 128,828 | | | $ | — | | | $ | 129,776 | |
| Cash and due from banks and deposits with banks at beginning of period | 3,021 | | | 16,441 | | | 174,457 | | | — | | | 193,919 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,012 | | | $ | 17,398 | | | $ | 303,285 | | | $ | — | | | $ | 323,695 | |
| Cash and due from banks | $ | 12 | | | $ | 5,960 | | | $ | 19,336 | | | $ | — | | | $ | 25,308 | |
| Deposits with banks, net of allowance | 3,000 | | | 11,438 | | | 283,949 | | | — | | | 298,387 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,012 | | | $ | 17,398 | | | $ | 303,285 | | | $ | — | | | $ | 323,695 | |
| Supplemental disclosure of cash flow information for continuing operations | | | | | | | | | |
| Cash paid during the period for income taxes | $ | (1,263) | | | $ | 1,177 | | | $ | 3,923 | | | $ | — | | | $ | 3,837 | |
| Cash paid during the period for interest | 2,507 | | | 3,988 | | | 5,007 | | | — | | | 11,502 | |
| Non-cash investing activities | | | | | | | | | |
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| Transfers to loans HFS from loans | $ | — | | | $ | — | | | $ | 2,122 | | | $ | — | | | $ | 2,122 | |
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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 March 2021, Citi and other large U.S. banks were permitted to repurchase shares during the second quarter of 2021, subject to the average of net income for the four preceding calendar quarters, in addition to common dividends paid. These limitations on capital distributions were lifted by the Federal Reserve Board, commencing as of the third quarter of 2021. All large banks, including Citi, remainare 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 uponon the extent to which the buffers are breached. For additional information, see “Capital Resources—Regulatory Capital Buffers” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
Citi repurchased its common shares for an aggregate of $3.0 billion during the secondthird quarter of 2021, as indicated in the table below. All shares repurchased were added to treasury stock.
The following table summarizes Citi’s common share repurchases:
| | In millions, except per share amounts | In millions, except per share amounts | Total shares purchased | Average
price paid
per share | | In millions, except per share amounts | Total shares purchased | Average
price paid
per share | |
| April 2021 | | | |
| July 2021 | | July 2021 | | |
| Open market repurchases | Open market repurchases | — | | $ | — | | | Open market repurchases | 6.9 | | $ | 68.04 | | |
Employee transactions(1) | Employee transactions(1) | — | | — | | | Employee transactions(1) | — | | — | | |
| May 2021 | | | |
| August 2021 | | August 2021 | | |
| Open market repurchases | Open market repurchases | 14.3 | | 76.79 | | | Open market repurchases | 21.5 | | 71.26 | | |
Employee transactions(1) | Employee transactions(1) | — | | — | | | Employee transactions(1) | — | | — | | |
| June 2021 | | | |
| September 2021 | | September 2021 | | |
| Open market repurchases | Open market repurchases | 26.1 | | 72.88 | | | Open market repurchases | 14.3 | | 70.08 | | |
Employee transactions(1) | Employee transactions(1) | — | | — | | | Employee transactions(1) | — | | — | | |
| Total for 2Q21 | 40.4 | | $ | 74.26 | | | |
| Total for 3Q21 | | Total for 3Q21 | 42.7 | | $ | 70.34 | | |
(1) During the secondthird quarter, pursuant to Citigroup’s Board of Directors’ authorization, Citi withheld 7,0038,552 shares (at an average price of $64.91)$72.74) of common stock, added to treasury stock, related to activity on employee stock programs to satisfy the employee tax requirements.
Dividends
Consistent withCiti paid common dividends of $0.51 per share during the regulatory capital framework, Citithird quarter of 2021, and declared common dividends of $0.51 per share for the thirdfourth quarter of 2021 on July 22,October 21, 2021. As previously announced, Citi intends to maintain its planned capital actions, which include a quarterly common dividend of at least $0.51 per share, subject to financial and macroeconomic conditions as well as Board of Directors’ approval.
As discussed above, Citi’s ability to pay common stock dividends also remainsis 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 uponon the extent to which the buffers are breached. For additional information, see “Capital Resources—Regulatory Capital Buffers” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
Any dividend on Citi’s outstanding common stock would also need to be in compliance with Citi’s obligations on its outstanding preferred stock.
For information on the ability of Citigroup’s subsidiary depository institutions to pay dividends, see Note 18 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on the 4th8th day of August,November, 2021.
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)
EXHIBIT INDEX
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| Exhibit | | |
| Number | | Description of Exhibit |
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| 101.01+ | | Financial statements from the Quarterly Report on Form 10-Q of Citigroup for the quarter ended JuneSeptember 30, 2021, filed on August 4,November 8, 2021, formatted in Inline XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Shareholders’ Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to the Consolidated Financial Statements. |
| | |
| 104 | | See the cover page of this Quarterly Report on Form 10-Q, formatted in Inline XBRL. |
The total amount of securities authorized pursuant to any instrument defining rights of holders of long-term debt of the Company does not exceed 10% of the total assets of the Company and its consolidated subsidiaries. The Company will furnish copies of any such instrument to the SEC upon request.
* Denotes a management contract or compensatory plan or arrangement.
+ Filed herewith.
