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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 September 30, 20212022
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 September 30, 2021: 1,984,267,2392022: 1,936,852,864
Available on the web at www.citigroup.com
CITIGROUP’S THIRD QUARTER 2021—2022—FORM 10-Q
| | | | | |
| OVERVIEW | |
MANAGEMENT’S DISCUSSION AND
ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS | |
| Executive Summary | |
| Summary of Selected Financial Data | |
SEGMENT REVENUES AND BUSINESS—INCOME
AND REVENUES | |
| SEGMENT BALANCE SHEET | |
Global Consumer Banking (GCB) | |
North America GCBInstitutional Clients Group | |
Latin America GCB | |
Asia GCBPersonal Banking and Wealth Management | |
Institutional Clients GroupLegacy Franchises | |
| 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 | |
| GLOSSARY OF TERMS AND ACRONYMS | |
OVERVIEW
This Quarterly Report on Form 10-Q should be read in conjunction with Citigroup’s Annual Report on Form 10-K for the year ended December 31, 2020 (20202021 and Citigroup’s Current Report on Form 8-K dated May 10, 2022 (as amended by a Current Report on Form 8-K/A dated May 10, 2022), with Historical Consolidated Financial Statements and Notes, and Management’s Discussion and Analysis of Financial Condition and Results of Operations and other Form 10-K sections (such Current Report on Form 8-K together with Citigroup’s 2021 Annual Report on Form 10-K, collectively referred to as the 2021 Form 10-K). Such Current Report on Form 8-K was conformed to reflect changes in Citigroup’s operating segments and reporting units from those contained in Citi’s 2021 Annual Report on Form 10-K, included as an exhibit thereto. This Quarterly Report on Form 10-Q should also be read in conjunction with Citigroup’s Quarterly ReportsReport on Form 10-Q for the quarter ended March 31, 20212022 (First Quarter of 20212022 Form 10-Q), and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended June 30, 20212022 (Second Quarter of 20212022 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, current reports on Form 8-K 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-Kthese filings 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“Operating Segment and Business—Reporting Unit—Income (Loss) and
Revenues” below and Notes 1 and 3 to the Consolidated Financial Statements.3.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries. All “Note” references correspond to the Notes to the Consolidated Financial Statements herein, unless otherwise indicated.
For a list of terms and acronyms used in this Quarterly Report on Form 10-Q and other Citigroup presentations, see “Glossary of Terms and Acronyms” at the end of this report.
Please see “Risk Factors” in Citi’s 2020 Annual Report on2021 Form 10-K for a discussion of material risks and uncertainties that could impact Citigroup’s businesses, results of operations and financial condition.
As of the first quarter of 2022, Citigroup implemented changes in its operating segments and reporting units to reflect its recent strategic refresh (for additional information, see “Strategic Refresh—Market Exit and Planned Revision to Reporting Structure” in Citi’s 2021 Form 10-K). As a result, Citigroup is managed pursuant to two businessthree operating segments:Global Consumer Banking and Institutional Clients Group, Personal Banking and Wealth Management and Legacy Franchises, with the remaining operations inCorporate/OtherOther..
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Citigroup Operating Segments |
| | | | | | | | | |
| | | | | |
Global
Consumer Banking
(GCB) | | | |
Institutional
Clients Group
(ICG) | | | Personal Banking
and Wealth Management
(PBWM) | | | Legacy Franchises |
| | | |
•North America •Latin America(1)
•Asia(2)
Consisting of:
•Retail banking and wealth management, includingServices
–Residential real estateTreasury and trade solutions (TTS) –Small business bankingSecurities services •Citi-branded cards in all regionsMarkets •–Citi retail servicesEquity markets
– in North AmericaFixed income markets | | | •Banking –Investment banking –Treasury and trade solutionsCorporate lending | | | •U.S. Personal Banking –Corporate lendingCards ◦Branded cards ◦Retail services –Retail banking
•Global Wealth Management (Global Wealth) –Private bank –Wealth at Work –Citigold
| | | •MarketsAsia Consumer Banking (Asia Consumer) –Retail banking and securities servicescards for the remaining 11 exit markets (Bahrain, China, India, Indonesia, Korea, Malaysia(1), Poland, Russia, Taiwan, Thailand(1) and Vietnam)
•Mexico Consumer Banking (Mexico Consumer) and Mexico Small Business and Middle-Market Banking (Mexico SBMM) –Fixed income marketsRetail banking and cards •Legacy Holdings Assets –Equity marketsCertain North America consumer mortgage loans –Securities servicesOther legacy assets
|
| | | | | | | | | |
| | | | Corporate/Other | | | | |
|
•Corporate Treasury managed portfolios •Operations and technology •Global staff functions and other corporate expenses •Legacy non-core assets: –Consumer loans
–Certain portfolios of securities, loans and other assets
•Discontinued operations
| |
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segmentthree operating segments and Corporate/Other results above.
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Citigroup Regions(3)(2) |
| | | | | | | | | | | |
| | | | | | | | | | | |
North
America | | Europe, Middle East and Africa (EMEA) | | | Latin
America | | Asia |
(1) Latin America GCB consistsCiti completed the sales of Citi’sits Thailand and Malaysia consumer banking business in Mexico.businesses on November 1, 2022. See “Executive Summary” below.
(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” below and Note 2 to the Consolidated Financial Statements. For information regarding risks related to Citi’s exits from 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
Third Quarter of 2021—2022—Results Demonstrated Continued Progress Across the FranchiseToward Achieving Priorities
As described further throughout this Executive Summary, during or since the third quarter of 2021:2022:
•Citi’s earningsrevenues increased significantly6% versus the prior-year period, largely reflecting an allowance for creditprimarily driven by a gain on sale of Citi’s Philippines consumer business versus a loss (ACL) release of $1.2 billion as a result of a continued improvement in portfolio credit quality, 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 theon sale of Citi’s Australia consumer banking business in the prior-year period. Excluding Asia Global Consumer Banking (GCB)divestiture-related impacts in both the current and prior-year periods (see “Citigroup”“Third Quarter of 2022 Results Summary” below), revenues increased 3%decreased 1%, as strengthhigher net interest income was more than offset by lower non-interest revenues.
•Citi’s expenses increased 8% versus the prior-year period, driven by continued investments in investment banking, equity marketsCiti’s transformation, including risk, controls, data and securities services in Institutional Clients Group (ICG) wasfinance programs (with approximately 25% of these investments related to technology); business-led investments and volume-related expenses; other risk and control investments; and inflation, partially offset by normalizationproductivity savings and the impact of foreign exchange translation.
•Citi’s cost of credit was $1.4 billion, reflecting a net build in market activity in fixed income markets within ICG as well as lower cardthe allowance for credit losses (ACL) for loans and deposit spreads across GCB.
• Citi continuedunfunded commitments of $0.4 billion, primarily due to investconsumer loan growth and a deterioration in its transformation, including infrastructure supporting its risk and control environment, and make business-led investments.macroeconomic forecasts primarily impacting the corporate portfolio, compared to a net ACL release of $1.2 billion in the prior-year period.
• Citi had deposit growth across ICG and GCB, reflecting continued engagement across both corporate clients and consumers.
• Citi returned approximately $4$1.0 billion of capital to its common shareholders in the form of $1 billion in dividends and $3 billion in common share repurchases, totaling approximately 43 million common shares, while maintaining robust regulatory capital ratios. Year-to-date, Citi returned nearly $11 billiondividends.
•Citi’s Common Equity Tier 1 (CET1) Capital ratio increased to 12.3% as of capitalSeptember 30, 2022, compared to its common shareholders.
• Citi submitted its plans to address the consent orders issued to Citigroup and Citibank by the Federal Reserve Board and Office11.7% as of the Comptroller of the Currency, respectivelySeptember 30, 2021 (for additional information, see “Citi’s Consent Order Compliance”“Capital Resources” below). Citi’s required regulatory CET1 Capital ratio is 11.5% as of October 1, 2022 and will be 12% as of January 1, 2023, both under the Standardized Approach. Due to the increases in Citi’s 2020 Annual Report on Form 10-K).regulatory capital requirements, as well as macroeconomic uncertainty, Citi has continued to pause common share repurchases as it continues to build capital.
•On November 8, 2021, Citi filed an amended Current Reportcontinued to make progress on Form 8-K/A with the SEC disclosing that, in connection with the previously disclosed wind-down plan of its Korea consumer banking business divestitures in the current quarter, including completing the sale of its Philippines consumer business, which resulted in a regulatory capital benefit of approximately $0.7 billion, and working toward closing the other five previously signed sale transactions and the wind-downs of Korea and Russia (for information on Citi’s wind-down in Russia, see “Update Regarding Citi’s Operations in Russia” below). As previously announced, Citi expectscompleted the sales of its Thailand and Malaysia consumer businesses on November 1, 2022, which together are expected to incur total estimated cash charges ranging fromresult in a regulatory capital benefit of 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.$1 billion.
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 each respective business’s results of operations and “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.
Third Quarter of 20212022 Results Summary
Citigroup
Citigroup reported net income of $3.5 billion, or $1.63 per share, compared to net income of $4.6 billion, or $2.15 per share compared to net income of $3.1 billion, or $1.36 per share, in the prior-year period. The increasedecrease in net income was primarily driven by lowerhigher cost of credit resulting from loan growth in Personal Banking and Wealth Management (PBWM) and higher operating expenses, partially offset by the higher expenses and lower revenues. Citigroup’s effective tax rate was 20%20.0% in the current quarter largely unchanged fromversus 20.4% in the third quarter of 2020.prior-year period (for additional information, see “Income Taxes” below). Earnings per share increased 58%(EPS) decreased 24%, reflecting the increasedecrease in net income, as well aspartially offset by a slight4% decline in average diluted shares outstanding.
Citigroup revenuesResults for the current quarter included Legacy Franchises Asia Consumer divestiture-related impacts of $17.2 billionapproximately $520 million in earnings before taxes (approximately $256 million after-tax), primarily driven by the Philippines and other Asia consumer exits, which primarily consisted of (i) an approximate $616 million Philippines gain on sale recorded in Other revenue and (ii) an approximate $107 million of aggregate divestiture-related costs, which, collectively, had a $0.13 positive impact on EPS. Excluding these divestiture-related impacts, EPS was $1.50 in the thirdcurrent quarter. Third quarter of 2021 decreased 1% from the prior-year period. Excluding the Australiaresults included Asia Consumer divestiture-related impacts of $(680) million (approximately $(580) million after-tax) within Legacy Franchises, primarily driven by a 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 GCB.
As previously disclosed,of 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.consumer business. (As used throughout this Form 10-Q, Citi’s results of operations and financial condition excluding the impact of the AustraliaPhilippines gain on sale and other Asia Consumer divestiture-related impacts are non-GAAP financial measures.)
Citigroup revenues of $18.5 billion increased 6% versus the prior-year period. Excluding the gain on sale of the Philippines consumer business in the quarter of approximately $0.6 billion and the loss on sale are non-GAAP financial measures. Citi believesof the presentationAustralia consumer business in the prior-year period of its results of operations and financial condition excludingapproximately $0.7 billion, revenues were down 1%, as the impact of the Australia sale provides a meaningful depiction of the underlying fundamentals of its broader resultshigher interest rates across businesses and strong loan growth in Asia GCBPBWM business’s results for investors, industry analystswere more than offset by declines in Investment banking and others.)Markets in Institutional Clients Group(ICG) and Asia investment product revenues in Global Wealth Management (Global Wealth).
Citigroup’s end-of-period loans were $665$646 billion, largely unchanged fromdown 3% versus the prior-year period. Excludingperiod, largely driven by the impact of foreign currencyexchange translation into U.S. dollars for reporting purposes (FX translation), Citigroup’s end-of-periodand lower balances in Legacy Franchises.The decline in Legacy Franchises primarily reflected the reclassification of loans decreased 1%. On this basis and excluding the impact ofto Other assets to reflect held-for-sale (HFS) accounting, as a result of the Australiasigning of sale (totaling approximately $9 billionagreements for consumer franchises in Asia and EMEA, as well as the impact of loans), loans increased 1%, driven by active client engagement in treasury and trade solutions, the private bank and markets, partially offset by lower loans in Korea wind-down.
GCB and Corporate/Other. Citigroup’s end-of-period deposits increased 7% towere $1.3 trillion. Excludingtrillion, down 3% versus the prior-year period, largely driven by declines in Legacy Franchises and the impact of FX translation, Citigroup’s end-of-period deposits increased 6%, primarily driven by growth across both ICG and GCB. (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.)
exchange translation, partially offset by the issuance of institutional certificates of deposit, reflected in Corporate/Other, as Citigroup continued to diversify its funding profile.
Expenses
CitigroupCitigroup’s operating expenses of $11.5$12.7 billion increased 5% from8% versus the prior-year period. Excluding the impact of FX translation, expenses increased 4%, reflectingperiod, largely driven by continued investments in Citi’s transformation, business-led investments and volume-related expenses, other risk and control investments and inflation, partially offset by productivity savings and the benefit of foreign exchange translation. As discussed above, reported expenses included approximately $107 million of divestiture-related costs. Excluding these divestiture-related costs, expenses increased 7% versus the prior-year period, largely driven by the following:
•Approximately 2% was driven by transformation investments, with about two-thirds related to the risk, controls, data and finance programs (approximately 25% of the program investments were related to technology).
•Approximately 1% was driven by business-led investments as Citi continues to hire commercial and investment bankers as well as business-ledclient advisers in wealth, and continues to invest in the client experience as well as front-office platforms and onboarding.
•Approximately 1% was driven by higher volume-related expenses across both PBWM and ICG.
•Approximately 3% was driven by other risk and control investments and revenue-related expenses,inflation, partially offset by efficiency savings.productivity savings and the impact of foreign exchange translation.
As previously disclosed, Citi expects to continue to incur higher expenses during the remainder of 2022, compared to the prior-year period, reflecting ongoing transformation-related, business-led and other risk and control investments and inflation.
Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims was a cost of $1.4 billion, compared to a benefit of $0.2 billion in the prior-year period. The higher cost of credit was driven by the net build in the allowance for credit losses (ACL) for loans and unfunded commitments of $0.4 billion, compared to a costnet ACL release of $2.4$1.2 billion in the prior-year period, primarily drivenpartially offset by a net ACL reserve release of $1.2 billion (versus a build of $436 million in the prior-year period) as well as lower net credit losses. Citi’sThe net ACL releasebuild was primarily reflecteddue to cards loan growth in PBWM and a continued improvementdeterioration in portfolio credit quality.macroeconomic forecasts primarily impacting the corporate portfolio. 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 $1.0$0.9 billion decreased 50% from8% versus the prior-year period. Consumer net credit losses of $0.9 billion decreased 42%4% to $881 million, primarily driven by Legacy Franchises (down 44% to $158 million), partially offset by an increase in PBWM. The lower net credit losses in Legacy Franchisesprimarily reflecting lower loan volumes andreflected improved delinquencies and the reclassification of loans to reflect HFS accounting as a result of the signing of sale agreements for consumer franchises in theAsia and EMEA. The increase in net credit losses in North AmericaPBWM was driven by Retail services (up 32% to $315 million),
reflecting ongoing normalization from historically low levels, partially offset by lower net credit losses in Branded cards portfolios.(down 3% to $348 million). Corporate net credit losses decreased 88% to $39$6 million from $325$39 million in the prior-year period, driven by improvements in portfolio credit quality.period.
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)CET1 Capital ratio was 12.3% as of September 30, 2022, compared to 11.7% as of September 30, 2021, based on the Basel III Standardized Approach for determining risk-weighted assets unchanged from(RWA). The increase was primarily driven by net income, the prior-year period, basedimpacts related to the closing of the Australia and Philippines consumer business sales, and business actions, including a reduction in RWA, partially offset by interest rate impacts on Citigroup’s investment portfolio and the Basel III Advanced Approaches frameworkreturn of capital to common shareholders. The increase in Citi’s CET1 Capital ratio was also partially offset by the impact of adopting the Standardized Approach for determining risk-weighted assets.Counterparty Credit Risk (SA-CCR) on January 1, 2022.
Citigroup’s Supplementary Leverage ratio as of September 30, 20212022 was 5.8%5.7%, compared to 6.8%5.8% as of September 30, 2020.2021. The decrease was primarily driven by the expiration of temporary relief grantedlower Tier 1 Capital, partially offset by the Federal Reserve Board.a decrease in Total Leverage Exposure. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below.
Global Consumer Banking
GCB net income of $1.3 billion compared to net income of $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 7% from the prior-year period. Excluding the impact of FX translation, expenses increased 5%, reflecting continued investments in Citi’s transformation, as well as business-led investments and volume-related expenses, partially offset by efficiency savings.
GCB revenues of $6.3 billion decreased 13%. Excluding the impact of FX translation and the Australia loss on sale, revenues decreased 5%, as continued solid deposit growth and momentum in investment management were more than offset by lower card loans and lower deposit spreads.
North America GCB revenues of $4.3 billion decreased 4%, with lower revenues across Citi-branded cards, Citi retail services and retail banking. Citi-branded cards revenues of $2.0 billion decreased 1%, reflecting continued higher payment rates. Citi retail services revenues of $1.3 billion decreased 6%, reflecting lower average loans and continued higher payment rates. Retail banking revenues of $1.0 billion decreased 7%, as the benefit of stronger deposit growth was more than offset by lower deposit spreads, as well as lower mortgage revenues.
Year-over-year, North America GCB average deposits of $208 billion increased 14%, assets under management of $85 billion increased 16% and average retail banking loans of $50 billion decreased 7%. Average Citi-branded card loans of $82 billion increased 1%, while average Citi retail services loans of $42 billion decreased 5%. Citi-branded card purchase sales of $106 billion increased 24% and Citi retail services purchase sales of $23 billion increased 14%, reflecting a continued recovery in sales activity from the pandemic-related low levels in the prior-year period. For additional information on the results of operations of North America GCB for the third 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 $1.9 billion decreased 27% versus the prior-year period. Excluding the impact of FX translation and the Australia loss on sale, international GCB revenues declined 5%. Excluding the impact of FX translation, Latin America GCB revenues declined 7%, driven by lower lending volumes and 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 4%, reflecting lower loans and lower deposit spreads, partially offset by higher investment revenues. For additional information on the results of operations of Latin America GCB and Asia GCB for the third 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 $145 billion increased 3%, average retail banking loans of $71 billion decreased 5% (primarily reflecting the impact of held-for-sale accounting as a result of the Australia sale) and assets under management of $144 billion increased 10%. On this basis, international GCB average card loans of $19 billion decreased 15%, primarily reflecting the impact of held-for-sale accounting as a result of the Australia sale, as well as higher payment rates, while card purchase sales of $24 billion increased 8%, reflecting a continued recovery in purchase sales activity from the pandemic-related low levels in the prior-year period.
Institutional Clients Group
ICGnet income of $3.4$2.2 billion decreased 30% versus the prior-year period, largely driven by lower revenues, higher expenses and modestly higher cost of credit. ICG operating expenses of $6.5 billion increased 21%10%, as lower cost of credit and higher revenues more than offset higher expenses. ICG operating expenses increased 9% to $6.4 billion, reflectingdriven by continued investments in Citi’s transformation, business-led investments and higher revenue-relatedvolume-related expenses, partially offset by efficiency savings.productivity savings and foreign exchange translation.
ICGrevenues of $10.8$9.5 billion increased 4%, primarily reflecting a 12% increasedecreased 5% (including losses on loan hedges) versus the prior-year period, as strong revenue growth in Banking revenues, partiallyServices was more than offset by a 4% decrease in lower revenues across Markets and securities services revenues. The increase in Banking revenuesBanking. Results included the impact of $47 million of losses on loan hedges related to corporate lending and the private bank,of $56 million, compared to losses of $124$46 million related to corporate lending and the private bank in the prior-year period.
Excluding the impact of losses on loan hedges, BankingServices revenues of $5.8$4.2 billion increased 11%, as higher revenues in investment banking, corporate lending and33% versus the private bank were partially offset by lower revenues in treasury and trade solutions. Investment banking revenues of $1.9 billion increased 39%, reflecting strong growth across products. Advisory revenues increased significantly to $539 million, equity underwriting revenues increased 5% to $507 million and debt underwriting revenues increased 19% to $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.)
prior-year period. Treasury and trade solutions (TTS) revenues of $2.3$3.2 billion declined 4%increased 40%, or 5% excluding the impactdriven by 61% growth in net interest income and 8% growth in non-interest revenue. The strong performance in TTS was driven by business actions, including balance sheet optimization, deepening of FX translation, as higher fee revenues, including a recoveryrelationships with existing clients and an increase in commercial card revenues,new clients across segments, as well as growththe benefit of higher interest rates. Securities services revenues of $968 million increased 15%, as net interest income increased 73%, driven by higher interest rates across currencies, partially offset by a 6% decrease in trade were more than offset bynon-interest revenue due to the impact of lower deposit spreads. Private bankmarket valuations.
Markets revenues increased 4% to $1.0 billion. Excludingof $4.1 billion were down 7% versus the impact of losses on loan hedges, private bank revenues also increased 4%,prior-year period, largely driven by higher feeslower client activity levels in Equity markets and lending volumes, reflecting momentum with both newspread products and existing clients, partiallybusiness actions, including a reduction in RWA. Fixed income markets
revenues of $3.1 billion increased 1%, as strength in rates and currencies was largely offset by lower deposit spreads. Corporate lending revenues of $588 million increased 39%. Excluding the impact of losses on loan hedges, corporate lending revenues of $631 million 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 $5.0 billion decreased 4%. Fixed income markets revenues of $3.2 billion decreased 16%, reflecting the continued normalizationheadwinds in market activity across rates and spread products. Equity markets revenues of $1.0 billion were down 25%, largely reflecting reduced client activity in equity derivatives relative to an unusually strong quarter in the prior-year period.
Banking revenues of $1.2 billion increased 40%decreased 50% versus the prior-year period, including the losses on loan hedges in the current quarter and the prior-year period. Excluding the losses on loan hedges, Banking revenues of $1.3 billion decreased 49%, driven by growthlower revenues in derivatives, prime financeboth Investment banking and cash equities, reflecting solid client activity and favorable market conditions. Securities servicesCorporate lending. Investment banking revenues of $692$631 million increased 10%.decreased 64%, as heightened macroeconomic uncertainty and market volatility continued to impact client activity. Excluding the impact of FX translation, securities serviceslosses on loan hedges, Corporate lending revenues increased 9%decreased 11%, driven by strong growth in fee revenues with both newlower volumes and existing clients, including growth in assets under custody and settlement volumes, partially offset by lower deposit spreads.higher hedging costs. For additional information on the results of operations of ICGfor the third quarter of 2021,2022, see “Institutional Clients Group” below.
Personal Banking and Wealth Management
PBWM net income of $792 million decreased 58% versus the prior-year period, largely driven by a net ACL release in the prior-year period, versus a net ACL build in the current quarter. PBWM operating expenses of $4.1 billion increased 13%, primarily driven by continued investments in Citi’s transformation, other risk and control initiatives, business-led investments and volume-related expenses, partially offset by productivity savings.
PBWM revenues of $6.2 billion increased 6% versus the prior-year period, as net interest income growth, driven by strong loan growth across Branded cards and Retail services and higher interest rates, was partially offset by a decline in non-interest revenue, driven by lower investment fee revenues in Global Wealth and higher partner payments in Retail services.
U.S. Personal Banking revenues of $4.3 billion increased 10% versus the prior-year period. Branded cards revenues of $2.3 billion increased 10%, driven by the higher net interest income. In Branded cards, new account acquisitions increased 10%, card spend volumes increased 14% and average loans increased 12%. Retail services revenues of $1.4 billion increased 12%, driven by the higher net interest income, partially offset by the higher partner payments. Retail banking revenues of $642 million increased 2%, primarily driven by the higher interest rates and modest deposit growth.
Global Wealth revenues of $1.9 billion decreased 2% versus the prior-year period, as investment fee headwinds, particularly in Asia, more than offset net interest income growth from higher interest rates. For additional information on the results of operations of PBWM for the third quarter of 2022, see “Personal Banking and Wealth Management” below.
Legacy Franchises
Legacy Franchises net income was $316 million, compared to a net loss of $200 million in the prior-year period, primarily reflecting the Philippines gain on sale in the quarter and the Australia loss on sale in the prior-year period. Legacy Franchises expenses of $1.8 billion increased 6%, driven by divestiture-related costs.
Legacy Franchises revenues of $2.6 billion increased 66% versus the prior-year period, primarily driven by the Philippines gain on sale versus the Australia loss on sale in the prior-year period, as well as the impacts of the Korea wind-down and the loss of revenues from the exits of the Australia and Philippines consumer businesses. For additional information on the results of operations of Legacy Franchises for the third quarter of 2022, see “Legacy Franchises” below.
Corporate/Other
Corporate/Other net lossincome was $111$209 million, in the third quarter of 2021, compared to a net loss of $607 million in the prior-year period, primarily driven by higher revenues and lower expenses, partially offset by a lower net ACL release on Citi’s residual legacy portfolio. Operating expenses of $519 million decreased 37%, primarily driven by the absence of a prior-year period civil money penalty, partially offset by an increase in expenses related to Citi’s transformation.
Corporate/Other revenues of $108 million increased from $(224)$143 million in the prior-year period, largely reflecting higher revenues and lower expenses. Corporate/Other operating expenses of $286 million decreased 35%.
Corporate/Other revenues of $299 million increased from $68 million in the prior-year period, largely driven by higher net revenue from the investment portfolio.portfolio due to higher interest rates, partially offset by mark-to-market losses, primarily related to retained interchange litigation risk associated with shares of Visa B common stock that Citi previously sold. For additional information on the results of operations of Corporate/Other for the third quarter of 2021,2022, see “Corporate/Other” below.
COVID-19 PANDEMICUpdate Regarding Citi’s Operations in Russia
AlthoughAs part of Citi’s previously announced intent to reduce its operations in and exposure to Russia, Citi disclosed its decision to wind down its Russia consumer and local commercial banking businesses, including the pursuit of portfolio sales. On October 28, 2022, Citi entered into an agreement to sell a consumer loan portfolio, including a referral agreement to transfer a portfolio of credit card loans. Additionally, Citi disclosed that it will be ending nearly all of the institutional banking services it offers in Russia by the end of the first quarter of 2023. Going forward, Citi’s only operations in Russia will be those necessary to fulfill its remaining legal and regulatory obligations. For additional information about Citi’s operations and exposure in Russia, see “Institutional Clients Group,” “Legacy Franchises” and “Managing Global Risk—Other Risks—Country Risk—Russia” below.
Macroeconomic and Other Risks and Uncertainties
Various geopolitical and macroeconomic challenges and uncertainties continue to adversely impact economic growthconditions in the U.S. and employment ratesglobally. The U.S. and other countries have continued to recover from pandemic-related lows, particularlyexperience significantly elevated levels of inflation, resulting in central banks implementing a series of interest rate increases, with additional increases expected in the U.S.,near term. In addition to the humanitarian crisis, the war in Ukraine has caused supply shocks in energy and food markets. Disruptions in global supply chains have continued and the COVID-19 pandemic has continuedcontinues to evolve.
An economic rebound in China faces constraints given the potential for future pandemic-related lockdowns, the amount of leverage in its economy and stress in the property sector. All of these factors have caused declines in financial markets, negatively impacted global economic growth rates, contributed to sharply lower consumer confidence and further increased the risk of recession in Europe, the U.S. and other countries. These and other factors could adversely affect Citi’s customers, clients, businesses, funding costs and results during the remainder of 2022.
For a further discussion of trends, uncertainties and risks that will or could impact certain industries and regions. Notwithstanding these impacts, Citi has maintained strongCiti’s businesses, results of operations, capital and liquidity positionsother financial condition during the remainder of 2022, see each respective business’s results of operations, “Managing Global Risk—Other Risks—Country Risk—Russia” and “Forward-Looking Statements” below and “Risk Factors” and “Managing Global Risk” in Citi’s 2021 Form 10-K.
CITI’S CONSENT ORDER COMPLIANCE
As previously disclosed, in 2021, Citi submitted its plans to address the consent orders to both the Federal Reserve Board and Office of the Comptroller of the Currency (OCC). Citi continues to work constructively with consistently strong business operations.
Following a U.S. presidential executive order issuedthe regulators, and will continue to reflect their feedback by submitting updates to its project plans and on execution progress for the consent orders. For additional information about the consent orders, see “Citi’s Consent Order Compliance” and “Risk Factors—Compliance Risks” in SeptemberCiti’s 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.
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RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA
Citigroup Inc. and Consolidated Subsidiaries
| | | Third Quarter | | Nine 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(1) | % Change | In millions of dollars, except per share amounts | 2022 | 2021(1) | % Change | 2022 | 2021(1) | % Change |
| Net interest revenue | $ | 10,398 | | $ | 10,493 | | (1) | % | $ | 30,763 | | $ | 33,065 | | (7) | % | |
| Net interest income | | Net interest income | $ | 12,563 | | $ | 10,691 | | 18 | % | $ | 35,398 | | $ | 31,675 | | 12 | % |
| Non-interest revenue | Non-interest revenue | 6,756 | | 6,809 | | (1) | | 23,192 | | 24,734 | | (6) | | Non-interest revenue | 5,945 | | 6,756 | | (12) | | 21,934 | | 23,192 | | (5) | |
| Revenues, net of interest expense | Revenues, net of interest expense | $ | 17,154 | | $ | 17,302 | | (1) | % | $ | 53,955 | | $ | 57,799 | | (7) | % | Revenues, net of interest expense | $ | 18,508 | | $ | 17,447 | | 6 | % | $ | 57,332 | | $ | 54,867 | | 4 | % |
| Operating expenses | Operating expenses | 11,484 | | 10,964 | | 5 | | 33,749 | | 32,067 | | 5 | | Operating expenses | 12,749 | | 11,777 | | 8 | | 38,307 | | 34,661 | | 11 | |
| Provisions for credit losses and for benefits and claims | Provisions for credit losses and for benefits and claims | (192) | | 2,384 | | NM | (3,313) | | 17,541 | | NM | Provisions for credit losses and for benefits and claims | 1,365 | | (192) | | NM | 3,394 | | (3,313) | | NM |
| Income from continuing operations before income taxes | Income from continuing operations before income taxes | $ | 5,862 | | $ | 3,954 | | 48 | % | $ | 23,519 | | $ | 8,191 | | NM | Income from continuing operations before income taxes | $ | 4,394 | | $ | 5,862 | | (25) | % | $ | 15,631 | | $ | 23,519 | | (34) | % |
| Income taxes | Income taxes | 1,193 | | 777 | | 54 | | 4,680 | | 1,409 | | NM | Income taxes | 879 | | 1,193 | | (26) | | 3,002 | | 4,680 | | (36) | |
| Income from continuing operations | Income from continuing operations | $ | 4,669 | | $ | 3,177 | | 47 | % | $ | 18,839 | | $ | 6,782 | | NM | Income from continuing operations | $ | 3,515 | | $ | 4,669 | | (25) | % | $ | 12,629 | | $ | 18,839 | | (33) | % |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | (1) | | (7) | | 86 | | 7 | | (26) | | NM | Income (loss) from discontinued operations, net of taxes | (6) | | (1) | | NM | (229) | | 7 | | NM |
| Net income before attribution of noncontrolling interests | $ | 4,668 | | $ | 3,170 | | 47 | % | $ | 18,846 | | $ | 6,756 | | NM | |
| Net income before attribution to noncontrolling interests | | Net income before attribution to noncontrolling interests | $ | 3,509 | | $ | 4,668 | | (25) | % | $ | 12,400 | | $ | 18,846 | | (34) | % |
| Net income attributable to noncontrolling interests | Net income attributable to noncontrolling interests | 24 | | 24 | | — | | 67 | | 18 | | NM | Net income attributable to noncontrolling interests | 30 | | 24 | | 25 | | 68 | | 67 | | 1 | |
| Citigroup’s net income | Citigroup’s net income | $ | 4,644 | | $ | 3,146 | | 48 | % | $ | 18,779 | | $ | 6,738 | | NM | Citigroup’s net income | $ | 3,479 | | $ | 4,644 | | (25) | % | $ | 12,332 | | $ | 18,779 | | (34) | % |
| Earnings per share | Earnings per share | | | | | Earnings per share | | | | |
| Basic | Basic | | | | | Basic | | | | |
| Income from continuing operations | Income from continuing operations | $ | 2.17 | | $ | 1.37 | | 58 | % | $ | 8.70 | | $ | 2.82 | | NM | Income from continuing operations | $ | 1.64 | | $ | 2.17 | | (24) | % | $ | 5.99 | | $ | 8.70 | | (31) | % |
| Net income | Net income | 2.17 | | 1.37 | | 58 | | 8.70 | | 2.81 | | NM | Net income | 1.64 | | 2.17 | | (24) | | 5.87 | | 8.70 | | (33) | |
| Diluted | Diluted | | | | Diluted | | | |
| Income from continuing operations | Income from continuing operations | $ | 2.15 | | $ | 1.36 | | 58 | % | $ | 8.64 | | $ | 2.81 | | NM | Income from continuing operations | $ | 1.63 | | $ | 2.15 | | (24) | % | $ | 5.95 | | $ | 8.64 | | (31) | % |
| Net income | Net income | 2.15 | | 1.36 | | 58 | | 8.65 | | 2.80 | | NM | Net income | 1.63 | | 2.15 | | (24) | | 5.84 | | 8.65 | | (32) | |
| Dividends declared per common share | Dividends declared per common share | 0.51 | | 0.51 | | — | | 1.53 | | 1.53 | | — | % | Dividends declared per common share | 0.51 | | 0.51 | | — | | 1.53 | | 1.53 | | — | |
| Common dividends | Common dividends | $ | 1,040 | | $ | 1,074 | | (3) | % | $ | 3,176 | | $ | 3,226 | | (2) | % | Common dividends | $ | 1,001 | | $ | 1,040 | | (4) | % | $ | 3,025 | | $ | 3,176 | | (5) | % |
Preferred dividends(2) | Preferred dividends(2) | 266 | | 284 | | (6) | | 811 | | 828 | | (2) | | Preferred dividends(2) | 277 | | 266 | | 4 | | 794 | | 811 | | (2) | |
| Common share repurchases | Common share repurchases | 3,000 | | — | | NM | 7,600 | | 2,925 | | NM | Common share repurchases | — | | 3,000 | | NM | 3,250 | | 7,600 | | (57) | |
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 | Third Quarter | | Nine Months | | In millions of dollars, except per share amounts,
ratios and direct staff | Third Quarter | | Nine Months | |
| 2021 | 2020(1) | % Change | 2021 | 2020(1) | % Change | 2022 | 2021(1) | % Change | 2022 | 2021(1) | % Change |
| At September 30: | At September 30: | | | | At September 30: | | | |
| Total assets | Total assets | $ | 2,361,876 | | $ | 2,234,459 | | 6 | % | | | Total assets | $ | 2,381,064 | | $ | 2,361,876 | | 1 | % | | |
| Total deposits | Total deposits | 1,347,528 | | 1,262,623 | | 7 | | | | Total deposits | 1,306,486 | | 1,347,528 | | (3) | | | |
| Long-term debt | Long-term debt | 258,274 | | 273,254 | | (5) | | | | Long-term debt | 253,068 | | 258,274 | | (2) | | | |
| Citigroup common stockholders’ equity | Citigroup common stockholders’ equity | 182,880 | | 175,896 | | 4 | | | | Citigroup common stockholders’ equity | 179,565 | | 182,880 | | (2) | | | |
| Total Citigroup stockholders’ equity | Total Citigroup stockholders’ equity | 200,875 | | 193,876 | | 4 | | | | Total Citigroup stockholders’ equity | 198,560 | | 200,875 | | (1) | | | |
| Average assets | Average assets | 2,346,025 | | 2,259,472 | | 4 | | $ | 2,334,876 | | $ | 2,202,132 | | 6 | % | Average assets | 2,399,446 | | 2,346,025 | | 2 | | $ | 2,384,513 | | $ | 2,334,876 | | 2 | % |
Direct staff (in thousands) | Direct staff (in thousands) | 220 | | 209 | | 5 | % | | | Direct staff (in thousands) | 238 | | 220 | | 8 | % | | |
| Performance metrics | Performance metrics | | | | Performance metrics | | | |
| Return on average assets | Return on average assets | 0.79 | % | 0.55 | % | | 1.08 | % | 0.41 | % | | Return on average assets | 0.58 | % | 0.79 | % | | 0.69 | % | 1.08 | % | |
Return on average common stockholders’ equity(3) | Return on average common stockholders’ equity(3) | 9.5 | | 6.5 | | | 13.2 | | 4.5 | | | Return on average common stockholders’ equity(3) | 7.1 | | 9.5 | | | 8.6 | | 13.2 | | |
Return on average total stockholders’ equity(3) | Return on average total stockholders’ equity(3) | 9.1 | | 6.5 | | | 12.5 | | 4.7 | | | Return on average total stockholders’ equity(3) | 6.9 | | 9.1 | | | 8.3 | | 12.5 | | |
Return on tangible common equity (RoTCE)(4) | Return on tangible common equity (RoTCE)(4) | 11.0 | | 7.6 | | | 15.4 | | 5.3 | | | Return on tangible common equity (RoTCE)(4) | 8.2 | | 11.0 | | | 9.9 | | 15.4 | | |
| Efficiency ratio (total operating expenses/total revenues, net) | Efficiency ratio (total operating expenses/total revenues, net) | 66.9 | | 63.4 | | | 62.6 | | 55.5 | | | Efficiency ratio (total operating expenses/total revenues, net) | 68.9 | | 67.5 | | | 66.8 | | 63.2 | | |
| Basel III ratios | Basel III ratios | | | | Basel III ratios | | | |
Common Equity Tier 1 Capital(5) | Common Equity Tier 1 Capital(5) | 11.65 | % | 11.66 | % | | | | Common Equity Tier 1 Capital(5) | 12.29 | % | 11.65 | % | | | |
Tier 1 Capital(5) | Tier 1 Capital(5) | 13.15 | | 13.15 | | | | | Tier 1 Capital(5) | 14.01 | | 13.15 | | | | |
Total Capital(5) | Total Capital(5) | 15.37 | | 15.54 | | | | | Total Capital(5) | 15.09 | | 15.37 | | | | |
Supplementary Leverage ratio | Supplementary Leverage ratio | 5.80 | | 6.82 | | | | | Supplementary Leverage ratio | 5.71 | | 5.80 | | | | |
| Citigroup common stockholders’ equity to assets | Citigroup common stockholders’ equity to assets | 7.74 | % | 7.87 | % | | | | Citigroup common stockholders’ equity to assets | 7.54 | % | 7.74 | % | | | |
| Total Citigroup stockholders’ equity to assets | Total Citigroup stockholders’ equity to assets | 8.50 | | 8.68 | | | | | Total Citigroup stockholders’ equity to assets | 8.34 | | 8.50 | | | | |
Dividend payout ratio(6) | Dividend payout ratio(6) | 24 | | 38 | | | 18 | % | 55 | % | | Dividend payout ratio(6) | 31 | | 24 | | | 26 | % | 18 | % | |
Total payout ratio(7) | Total payout ratio(7) | 92 | | 38 | | | 60 | | 104 | | | Total payout ratio(7) | 31 | | 92 | | | 54 | | 60 | | |
| Book value per common share | Book value per common share | $ | 92.16 | | $ | 84.48 | | 9 | % | | | Book value per common share | $ | 92.71 | | $ | 92.16 | | 1 | % | | |
Tangible book value (TBV) per share(4) | Tangible book value (TBV) per share(4) | 79.07 | | 71.95 | | 10 | | | | Tangible book value (TBV) per share(4) | 80.34 | | 79.07 | | 2 | | | |
(1) InDuring the fourth quarter of 2020,2021, Citi revisedreclassified deposit insurance expenses from Interest expense to Other operating expenses for all periods presented. The amounts reclassified for the 2020 secondthird 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 2020nine months of 2021 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$293 million and a decrease of $443$912 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.respectively.
(2) Certain series of preferred stock have semiannual payment dates. See Note 920 to the Consolidated Financial Statements.Statements in Citi’s 2021 Form 10-K.
(3) The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
(4) RoTCE and TBV are non-GAAP financial measures. For information on RoTCE and TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Return on Equity” below.
(5) Citi’s reportablebinding Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach, framework as of September 30, 2021, and under the Basel III Advanced Approaches framework as of September 30, 2020, whereas Citi’s reportablebinding Total Capital ratio was derived under the Basel III Advanced Approaches framework for both periods presented. As of September 30, 2022, the Supplementary Leverage ratio and the Total Capital ratio under the Basel III Advanced Approaches framework became more binding than the Common Equity Tier 1 Capital ratio under the Basel III Standardized Approach. Each of Citi’s Basel III risk-based capital and leverage ratios exceeded the respective regulatory capital requirement by at least $19 billion as of September 30, 2022. Citi expects the Basel III Standardized Approach capital ratios to be more binding in future quarters due to the increased Stress Capital Buffer in the fourth quarter of 2022 and the additional GSIB surcharge in the first quarter of 2023.
(6) Dividend payout ratio is calculated as dividendsDividends declared per common share as a percentage of net income per diluted share.
(7) Total payout ratio is calculated as total common dividends declared plus common share repurchases as a percentage of net income available to common shareholders (Net income less preferred dividends). See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 9 to the Consolidated Financial Statements and “Equity Security Repurchases”“Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends” below for the component details.
NM Not meaningful
SEGMENT REVENUES AND BUSINESS—INCOME AND REVENUES
CITIGROUP INCOME
| | | | | | | | | | | | | | | | | | | | |
| Third Quarter | | Nine Months | |
| In millions of dollars | 2021 | 2020 | % Change | 2021 | 2020 | % Change |
Income (loss) from continuing operations(1) | | | | | | |
| Global Consumer Banking | | | | | | |
| North America | $ | 1,448 | | $ | 661 | | NM | $ | 4,614 | | $ | (1,014) | | NM |
| Latin America | 228 | | 108 | | NM | 632 | | 75 | | NM |
Asia(2) | (342) | | 151 | | NM | 91 | | 370 | | (75) | % |
| Total | $ | 1,334 | | $ | 920 | | 45 | % | $ | 5,337 | | $ | (569) | | NM |
| Institutional Clients Group | | | | | | |
| North America | $ | 854 | | $ | 1,023 | | (17) | % | $ | 4,886 | | $ | 2,509 | | 95 | % |
| EMEA | 1,035 | | 880 | | 18 | | 3,657 | | 2,389 | | 53 | |
| Latin America | 665 | | 102 | | NM | 1,907 | | 427 | | NM |
| Asia | 889 | | 852 | | 4 | | 2,760 | | 2,928 | | (6) | |
| Total | $ | 3,443 | | $ | 2,857 | | 21 | % | $ | 13,210 | | $ | 8,253 | | 60 | % |
| Corporate/Other | (108) | | (600) | | 82 | | 292 | | (902) | | NM |
| Income from continuing operations | $ | 4,669 | | $ | 3,177 | | 47 | % | $ | 18,839 | | $ | 6,782 | | NM |
| Discontinued operations | $ | (1) | | $ | (7) | | 86 | % | $ | 7 | | $ | (26) | | NM |
| Less: Net income attributable to noncontrolling interests | 24 | | 24 | | — | | 67 | | 18 | | NM |
| Citigroup’s net income | $ | 4,644 | | $ | 3,146 | | 48 | % | $ | 18,779 | | $ | 6,738 | | NM |
REVENUES
(1) During the first quarter of 2021, Citi changed its classification of certain recurring expenses related to investments in infrastructure and risk controls, allocating them from Corporate/Other to GCB and ICG. This allocation change had no impact on Citi’s earnings before income taxes (EBIT) or Net income for any period. Prior-period amounts have been reclassified to conform to the current period’s presentation. See Note 3 to the Consolidated Financial Statements.
| | | | | | | | | | | | | | | | | | | | |
| Third Quarter | | Nine Months | |
| In millions of dollars | 2022 | 2021 | % Change | 2022 | 2021 | % Change |
| Institutional Clients Group | $ | 9,468 | | $ | 9,991 | | (5) | % | $ | 32,047 | | $ | 30,928 | | 4 | % |
| Personal Banking and Wealth Management | 6,187 | | 5,852 | | 6 | | 18,121 | | 17,542 | | 3 | |
| Legacy Franchises | 2,554 | | 1,536 | | 66 | | 6,420 | | 6,058 | | 6 | |
| Corporate/Other | 299 | | 68 | | NM | 744 | | 339 | | NM |
| Total Citigroup net revenues | $ | 18,508 | | $ | 17,447 | | 6 | % | $ | 57,332 | | $ | 54,867 | | 4 | % |
(2) Asia GCB includes the results of operations of GCB activities in certain EMEA countries.
NM Not meaningful
INCOME
CITIGROUP REVENUES
| | | | | | | | | | | | | | | | | | | | |
| Third Quarter | | Nine Months | |
| In millions of dollars | 2021 | 2020 | % Change | 2021 | 2020 | % Change |
| Global Consumer Banking | | | | | | |
| North America | $ | 4,338 | | $ | 4,527 | | (4) | % | $ | 12,967 | | $ | 14,493 | | (11) | % |
| Latin America | 1,038 | | 1,027 | | 1 | | 3,099 | | 3,276 | | (5) | |
Asia(1) | 884 | | 1,619 | | (45) | | 4,051 | | 4,917 | | (18) | |
| Total | $ | 6,260 | | $ | 7,173 | | (13) | % | $ | 20,117 | | $ | 22,686 | | (11) | % |
| Institutional Clients Group | | | | | | |
| North America | $ | 4,145 | | $ | 3,920 | | 6 | % | $ | 12,761 | | $ | 13,854 | | (8) | % |
| EMEA | 3,095 | | 3,085 | | — | | 10,061 | | 9,947 | | 1 | |
| Latin America | 1,261 | | 1,141 | | 11 | | 3,571 | | 3,766 | | (5) | |
| Asia | 2,285 | | 2,207 | | 4 | | 7,000 | | 7,407 | | (5) | |
| Total | $ | 10,786 | | $ | 10,353 | | 4 | % | $ | 33,393 | | $ | 34,974 | | (5) | % |
| Corporate/Other | 108 | | (224) | | NM | 445 | | 139 | | NM |
| Total Citigroup net revenues | $ | 17,154 | | $ | 17,302 | | (1) | % | $ | 53,955 | | $ | 57,799 | | (7) | % |
| | | | | | | | | | | | | | | | | | | | |
| Third Quarter | | Nine Months | |
| In millions of dollars | 2022 | 2021 | % Change | 2022 | 2021 | % Change |
| Income (loss) from continuing operations | | | | | | |
| Institutional Clients Group | $ | 2,186 | | $ | 3,115 | | (30) | % | $ | 8,822 | | $ | 11,978 | | (26) | % |
| Personal Banking and Wealth Management | 792 | | 1,896 | | (58) | | 3,205 | | 6,121 | | (48) | |
| Legacy Franchises | 316 | | (201) | | NM | (84) | | 611 | | NM |
| Corporate/Other | 221 | | (141) | | NM | 686 | | 129 | | NM |
| Income from continuing operations | $ | 3,515 | | $ | 4,669 | | (25) | % | $ | 12,629 | | $ | 18,839 | | (33) | % |
| Discontinued operations | $ | (6) | | $ | (1) | | NM | $ | (229) | | $ | 7 | | NM |
| Less: Net income attributable to noncontrolling interests | 30 | | 24 | | 25 | % | 68 | | 67 | | 1 | % |
| Citigroup’s net income | $ | 3,479 | | $ | 4,644 | | (25) | % | $ | 12,332 | | $ | 18,779 | | (34) | % |
(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries.
NM Not meaningful
SEGMENT BALANCE SHEET(1)—SEPTEMBER 30, 20212022
| | In millions of dollars | In millions of dollars | Global
Consumer
Banking | Institutional
Clients
Group | Corporate/Other and consolidating eliminations(2) | Citigroup parent company- issued long-term debt and stockholders’ equity(3) | Total
Citigroup
consolidated | In millions of dollars | Institutional
Clients
Group | Personal Banking
and Wealth Management | Legacy Franchises | Corporate/Other and consolidating eliminations(2) | Citigroup parent company- issued long-term debt and stockholders’ equity(3) | Total
Citigroup
consolidated |
| Assets | Assets | | | | | Assets | | | | | |
| Cash and deposits with banks, net of allowance | Cash and deposits with banks, net of allowance | $ | 7,753 | | $ | 99,060 | | $ | 216,995 | | $ | — | | $ | 323,808 | | Cash and deposits with banks, net of allowance | $ | 104,690 | | $ | 5,495 | | $ | 3,525 | | $ | 185,897 | | $ | — | | $ | 299,607 | |
| Securities borrowed and purchased under agreements to resell, net of allowance | Securities borrowed and purchased under agreements to resell, net of allowance | 305 | | 337,166 | | 225 | | — | | 337,696 | | Securities borrowed and purchased under agreements to resell, net of allowance | 348,267 | | 530 | | 417 | | — | | — | | 349,214 | |
| Trading account assets | Trading account assets | 1,370 | | 328,361 | | 13,183 | | — | | 342,914 | | Trading account assets | 342,289 | | 4,212 | | 676 | | 11,083 | | — | | 358,260 | |
| Investments, net of allowance | Investments, net of allowance | 1,244 | | 132,623 | | 366,982 | | — | | 500,849 | | Investments, net of allowance | 125,479 | | 73 | | 1,483 | | 380,981 | | — | | 508,016 | |
Loans, net of unearned income and allowance
for credit losses on loans | Loans, net of unearned income and allowance
for credit losses on loans | 245,477 | | 397,458 | | 4,114 | | — | | 647,049 | | Loans, net of unearned income and allowance for credit losses on loans | 278,595 | | 315,352 | | 35,704 | | — | | — | | 629,651 | |
| Other assets, net of allowance | Other assets, net of allowance | 48,848 | | 118,248 | | 42,464 | | — | | 209,560 | | Other assets, net of allowance | 134,590 | | 26,751 | | 33,159 | | 41,816 | | — | | 236,316 | |
Net inter-segment liquid assets(4) | Net inter-segment liquid assets(4) | 137,285 | | 406,563 | | (543,848) | | — | | — | | Net inter-segment liquid assets(4) | 372,431 | | 126,539 | | 25,306 | | (524,276) | | — | | — | |
| Total assets | Total assets | $ | 442,282 | | $ | 1,819,479 | | $ | 100,115 | | $ | — | | $ | 2,361,876 | | Total assets | $ | 1,706,341 | | $ | 478,952 | | $ | 100,270 | | $ | 95,501 | | $ | — | | $ | 2,381,064 | |
| Liabilities and equity | Liabilities and equity | | | | | Liabilities and equity | | | | | |
| Total deposits | Total deposits | $ | 354,437 | | $ | 986,215 | | $ | 6,876 | | $ | — | | $ | 1,347,528 | | Total deposits | $ | 796,871 | | $ | 427,336 | | $ | 50,400 | | $ | 31,879 | | $ | — | | $ | 1,306,486 | |
Securities loaned and sold under agreements
to repurchase | Securities loaned and sold under agreements
to repurchase | 2,180 | | 207,003 | | 1 | | — | | 209,184 | | Securities loaned and sold under
agreements to repurchase | 201,793 | | 41 | | 1,595 | | — | | — | | 203,429 | |
| Trading account liabilities | Trading account liabilities | 845 | | 177,958 | | 483 | | — | | 179,286 | | Trading account liabilities | 192,755 | | 3,259 | | 305 | | 160 | | — | | 196,479 | |
| Short-term borrowings | Short-term borrowings | 17 | | 29,324 | | 342 | | — | | 29,683 | | Short-term borrowings | 35,104 | | — | | — | | 12,264 | | — | | 47,368 | |
Long-term debt(3) | Long-term debt(3) | 530 | | 85,457 | | 2,183 | | 170,104 | | 258,274 | | Long-term debt(3) | 80,716 | | 229 | | 424 | | 12,448 | | 159,251 | | 253,068 | |
| Other liabilities, net of allowance | 28,978 | | 89,474 | | 17,859 | | — | | 136,311 | | |
| Other liabilities | | Other liabilities | 118,050 | | 12,287 | | 30,592 | | 14,188 | | — | | 175,117 | |
Net inter-segment funding (lending)(3) | Net inter-segment funding (lending)(3) | 55,295 | | 244,048 | | 71,636 | | (370,979) | | — | | Net inter-segment funding (lending)(3) | 281,052 | | 35,800 | | 16,954 | | 24,005 | | (357,811) | | — | |
| Total liabilities | Total liabilities | $ | 442,282 | | $ | 1,819,479 | | $ | 99,380 | | $ | (200,875) | | $ | 2,160,266 | | Total liabilities | $ | 1,706,341 | | $ | 478,952 | | $ | 100,270 | | $ | 94,944 | | $ | (198,560) | | $ | 2,181,947 | |
Total stockholders’ equity(5) | Total stockholders’ equity(5) | — | | — | | 735 | | 200,875 | | 201,610 | | Total stockholders’ equity(5) | — | | — | | — | | 557 | | 198,560 | | 199,117 | |
| Total liabilities and equity | Total liabilities and equity | $ | 442,282 | | $ | 1,819,479 | | $ | 100,115 | | $ | — | | $ | 2,361,876 | | Total liabilities and equity | $ | 1,706,341 | | $ | 478,952 | | $ | 100,270 | | $ | 95,501 | | $ | — | | $ | 2,381,064 | |
(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reportable segment and Corporate/Other.segment. The respective segment information depicts the assets and liabilities managed by each segment and Corporate/Other as of such date.segment.
(2)Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within Corporate/Other.
(3)The total stockholders’ equity and the majority of long-term debt of Citigroup are reflected on the Citigroup parent company balance sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)Represents the attribution of Citigroup’s liquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage ratio (LCR) assumptions.
(5)Corporate/Other equity represents noncontrolling interests.
GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB)consists of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provides traditional banking services to retail customers through retail banking, Citi-branded cards and, in the U.S., Citi retail services. GCB is focused on markets in the U.S., Mexico and Asia. As of September 30, 2021, GCB had 2,157 branches in 19 countries and jurisdictions with $442 billion in assets and $354 billion in retail banking 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, 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 its pursuit of exits of its consumer franchises in 13 markets across Asia and EMEA, see “Executive Summary” above, “Asia GCB” below and Note 2 to the Consolidated Financial Statements.
| | | | | | | | | | | | | | | | | | | | |
| Third Quarter | | Nine Months | |
| In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | 2021 | 2020 | % Change |
| Net interest revenue | $ | 5,963 | | $ | 6,251 | | (5) | % | $ | 17,763 | | $ | 19,857 | | (11) | % |
| Non-interest revenue | 297 | | 922 | | (68) | | 2,354 | | 2,829 | | (17) | |
| Total revenues, net of interest expense | $ | 6,260 | | $ | 7,173 | | (13) | % | $ | 20,117 | | $ | 22,686 | | (11) | % |
| Total operating expenses | $ | 4,567 | | $ | 4,287 | | 7 | % | $ | 13,517 | | $ | 12,884 | | 5 | % |
| Net credit losses on loans | $ | 944 | | $ | 1,598 | | (41) | % | $ | 3,777 | | $ | 5,374 | | (30) | % |
| Credit reserve build (release) for loans | (1,031) | | 34 | | NM | (4,235) | | 5,144 | | 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 | 21 | | 45 | | (53) | | 65 | | 103 | | (37) | |
| 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 | $ | 1,758 | | $ | 1,204 | | 46 | % | $ | 6,991 | | $ | (823) | | NM |
| Income taxes (benefits) | 424 | | 284 | | 49 | | 1,654 | | (254) | | NM |
| Income (loss) from continuing operations | $ | 1,334 | | $ | 920 | | 45 | % | $ | 5,337 | | $ | (569) | | NM |
| Noncontrolling interests | (2) | | — | | NM | (7) | | (3) | | NM |
| Net income (loss) | $ | 1,336 | | $ | 920 | | 45 | % | $ | 5,344 | | $ | (566) | | NM |
| Balance Sheet data and ratios | | | | | | |
EOP assets (in billions of dollars) | $ | 442 | | $ | 435 | | 2 | % | | | |
Average assets (in billions of dollars) | 441 | | 434 | | 2 | | $ | 439 | | $ | 419 | | 5 | % |
| Return on average assets | 1.20 | % | 0.84 | % | | 1.63 | % | (0.18) | % | |
| Efficiency ratio | 73 | | 60 | | | 67 | | 57 | | |
Average retail banking deposits (in billions of dollars) | $ | 353 | | $ | 320 | | 10 | | $ | 351 | | $ | 304 | | 15 | |
| Net credit losses as a percentage of average loans | 1.42 | % | 2.33 | % | | 1.89 | % | 2.58 | % | |
| Revenue by business | | | | | | |
| Retail banking | $ | 2,146 | | $ | 2,916 | | (26) | % | $ | 7,792 | | $ | 8,798 | | (11) | % |
Cards(1) | 4,114 | | 4,257 | | (3) | | 12,325 | | 13,888 | | (11) | |
| Total | $ | 6,260 | | $ | 7,173 | | (13) | % | $ | 20,117 | | $ | 22,686 | | (11) | % |
| Income (loss) from continuing operations by business | | | | | | |
| Retail banking | $ | (326) | | $ | 264 | | NM | $ | 205 | | $ | 384 | | (47) | % |
Cards(1) | 1,660 | | 656 | | NM | 5,132 | | (953) | | NM |
| Total | $ | 1,334 | | $ | 920 | | 45 | % | $ | 5,337 | | $ | (569) | | NM |
Table continues on the next page, including footnotes.
| | | | | | | | | | | | | | | | | | | | |
| Foreign currency (FX) translation impact | | | | | | |
| Total revenue—as reported | $ | 6,260 | | $ | 7,173 | | (13) | % | $ | 20,117 | | $ | 22,686 | | (11) | % |
Impact of FX translation(2) | — | | 95 | | | — | | 365 | | |
Total revenues—ex-FX(3) | $ | 6,260 | | $ | 7,268 | | (14) | % | $ | 20,117 | | $ | 23,051 | | (13) | % |
| Total operating expenses—as reported | $ | 4,567 | | $ | 4,287 | | 7 | % | $ | 13,517 | | $ | 12,884 | | 5 | % |
Impact of FX translation(2) | — | | 59 | | | — | | 227 | | |
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 | $ | (65) | | $ | 1,682 | | NM | $ | (391) | | $ | 10,625 | | NM |
Impact of FX translation(2) | — | | 15 | | | — | | 123 | | |
Total provisions for credit losses and PBC—ex-FX(3) | $ | (65) | | $ | 1,697 | | NM | $ | (391) | | $ | 10,748 | | NM |
| Net income—as reported | $ | 1,336 | | $ | 920 | | 45 | % | $ | 5,344 | | $ | (566) | | NM |
Impact of FX translation(2) | — | | 11 | | | — | | 7 | | |
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 for the third 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 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, The Home Depot, Sears, Best Buy and Macy’s) within Citi retail services.
At September 30, 2021, North America GCB had 658 retail bank branches concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also, as of September 30, 2021, North America GCB had $48.8 billion in retail banking loans and $211.4 billion in retail banking deposits. In addition, North America GCB had $125.5 billion in outstanding card loan balances.
| | | | | | | | | | | | | | | | | | | | |
| Third Quarter | | Nine Months | |
| In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | 2021 | 2020 | % Change |
| Net interest revenue | $ | 4,336 | | $ | 4,500 | | (4) | % | $ | 12,786 | | $ | 14,243 | | (10) | % |
| Non-interest revenue | 2 | | 27 | | (93) | | 181 | | 250 | | (28) | |
| Total revenues, net of interest expense | $ | 4,338 | | $ | 4,527 | | (4) | % | $ | 12,967 | | $ | 14,493 | | (11) | % |
| Total operating expenses | $ | 2,658 | | $ | 2,483 | | 7 | % | $ | 7,737 | | $ | 7,506 | | 3 | % |
| Net credit losses on loans | $ | 617 | | $ | 1,182 | | (48) | % | $ | 2,384 | | $ | 4,120 | | (42) | % |
| Credit reserve build (release) for loans | (809) | | (10) | | NM | (3,141) | | 4,200 | | 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 | 4 | | (6) | | NM | 12 | | 18 | | (33) | |
| 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 | $ | 1,867 | | $ | 873 | | NM | $ | 5,973 | | $ | (1,355) | | NM |
| Income taxes (benefits) | 419 | | 212 | | 98 | % | 1,359 | | (341) | | NM |
| Income (loss) from continuing operations | $ | 1,448 | | $ | 661 | | NM | $ | 4,614 | | $ | (1,014) | | NM |
| Noncontrolling interests | — | | — | | — | % | — | | — | | — | % |
| Net income (loss) | $ | 1,448 | | $ | 661 | | NM | $ | 4,614 | | $ | (1,014) | | NM |
| Balance Sheet data and ratios | | | | | | |
Average assets (in billions of dollars) | $ | 267 | | $ | 274 | | (3) | % | $ | 265 | | $ | 261 | | 2 | % |
| Return on average assets | 2.15 | % | 0.96 | % | | 2.33 | % | (0.52) | % | |
| Efficiency ratio | 61 | | 55 | | | 60 | | 52 | | |
Average retail banking deposits (in billions of dollars) | $ | 208 | | $ | 182 | | 14 | | $ | 203 | | $ | 172 | | 18 | |
| Net credit losses as a percentage of average loans | 1.41 | % | 2.63 | % | | 1.84 | % | 2.98 | % | |
| Revenue by business | | | | | | |
| Retail banking | $ | 1,031 | | $ | 1,113 | | (7) | % | $ | 3,111 | | $ | 3,365 | | (8) | % |
| Citi-branded cards | 2,036 | | 2,061 | | (1) | | 6,086 | | 6,626 | | (8) | |
| Citi retail services | 1,271 | | 1,353 | | (6) | | 3,770 | | 4,502 | | (16) | |
| Total | $ | 4,338 | | $ | 4,527 | | (4) | % | $ | 12,967 | | $ | 14,493 | | (11) | % |
| Income (loss) from continuing operations by business | | | | | | |
| Retail banking | $ | (73) | | $ | 25 | | NM | $ | (119) | | $ | (160) | | 26 | % |
| Citi-branded cards | 781 | | 422 | | 85 | % | 2,824 | | (627) | | NM |
| Citi retail services | 740 | | 214 | | NM | 1,909 | | (227) | | NM |
| Total | $ | 1,448 | | $ | 661 | | NM | $ | 4,614 | | $ | (1,014) | | NM |
NM Not meaningful
3Q21 vs. 3Q20
Net income was $1.4 billion, compared to $661 million in the prior-year period, reflecting significantly lower cost of credit, partially offset by a decline in revenues and higher expenses.
Revenues decreased 4%, reflecting lower revenues in retail banking, Citi retail services and Citi-branded cards.
Retail banking revenues decreased 7%, as the benefit of strong deposit growth and growth in assets under management (increase of 16%, reflecting favorable market conditions and strong client engagement) was more than offset by lower deposit spreads, as well as lower mortgage revenues. Average deposits increased 14%, driven by higher levels of consumer liquidity due to government stimulus, as well as continued strategic efforts to drive organic growth.
Cards revenues decreased 3%. Citi-branded cards revenues decreased 1%, primarily driven by continued higher payment rates, reflecting increased customer liquidity from government stimulus and relief programs, largely offset by higher spending-related revenues. Purchase sales increased 24%, reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior-year period.
Citi retail services revenues decreased 6%, primarily driven by lower average loans (down 5%) and continued higher payment rates from the increased customer liquidity from government stimulus and relief programs. Purchase sales increased 14%, reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior-year period.
Expenses increased 7%, primarily driven by continued investments in Citi’s transformation, as well as business-led investments and higher volume-related expenses, partially offset by efficiency savings.
Provisions reflected a benefit of $187 million, compared to costs of $1.2 billion in the prior-year period, primarily driven by a larger net ACL release in the current quarter, as well as lower net credit losses. Net credit losses decreased 48%, consisting of lower net credit losses in both Citi-branded cards (down 45% to $357 million) and Citi retail services (down 53% to $238 million), primarily driven by lower loan volumes and improved delinquencies, as a result of the higher payment rates.
The net ACL release was $808 million, compared to a release of $5 million in the prior-year period, reflecting improvement in portfolio credit quality and the continued improvement in the macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” 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.
3Q21 YTD vs. 3Q20 YTD
Year-to-date, North America GCB experienced similar trends to those described above. Net income was $4.6 billion, compared to a net loss of $1.0 billion in the prior-year period, as significantly lower cost of credit more than offset a decline in revenues and higher expenses.
Revenues decreased 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 11%. In Citi-branded cards, revenues decreased 8%, driven by the same factors described above. Citi retail services revenues decreased 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 3%, driven by the same factors described above.
Provisions reflected a benefit of $743 million, compared to costs of $8.3 billion in the prior-year period. Net credit losses decreased 42%, driven by the same factors described above. The ACL release was $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 September 30, 2021, Latin America GCB had 1,278 retail branches in Mexico, with $8.7 billion in retail banking loans and $23.3 billion in deposits. In addition, the business had $4.3 billion in outstanding card loan balances.
| | | | | | | | | | | | | | | | | | | | |
| Third Quarter | | Nine Months | % Change |
| In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | 2021 | 2020 |
| Net interest revenue | $ | 702 | | $ | 697 | | 1 | % | $ | 2,063 | | $ | 2,339 | | (12) | % |
| Non-interest revenue | 336 | | 330 | | 2 | | 1,036 | | 937 | | 11 | |
| Total revenues, net of interest expense | $ | 1,038 | | $ | 1,027 | | 1 | % | $ | 3,099 | | $ | 3,276 | | (5) | % |
| Total operating expenses | $ | 700 | | $ | 667 | | 5 | % | $ | 2,127 | | $ | 2,001 | | 6 | % |
| Net credit losses on loans | $ | 175 | | $ | 228 | | (23) | % | $ | 790 | | $ | 704 | | 12 | % |
| Credit reserve build (release) for loans | (178) | | (66) | | NM | (764) | | 399 | | NM |
| Provision for credit losses on unfunded lending commitments | — | | — | | — | | — | | — | | — | |
| 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) | $ | 16 | | $ | 209 | | (92) | % | $ | 80 | | $ | 1,181 | | (93) | % |
| Income (loss) from continuing operations before taxes | $ | 322 | | $ | 151 | | NM | $ | 892 | | $ | 94 | | NM |
| Income taxes (benefits) | 94 | | 43 | | NM | 260 | | 19 | | NM |
| Income (loss) from continuing operations | $ | 228 | | $ | 108 | | NM | $ | 632 | | $ | 75 | | NM |
| Noncontrolling interests | — | | — | | — | % | — | | — | | — | % |
| Net income (loss) | $ | 228 | | $ | 108 | | NM | $ | 632 | | $ | 75 | | NM |
| Balance Sheet data and ratios | | | | | | |
Average assets (in billions of dollars) | $ | 36 | | $ | 31 | | 16 | % | $ | 35 | | $ | 32 | | 9 | % |
| Return on average assets | 2.51 | % | 1.39 | % | | 2.41 | % | 0.31 | % | |
| Efficiency ratio | 67 | | 65 | | | 69 | | 61 | | |
Average deposits (in billions of dollars) | $ | 24 | | $ | 23 | | 4 | | $ | 24 | | $ | 22 | | 9 | |
| Net credit losses as a percentage of average loans | 5.26 | % | 6.67 | % | | 7.77 | % | 6.49 | % | |
| Revenue by business | | | | | | |
| Retail banking | $ | 767 | | $ | 737 | | 4 | % | $ | 2,247 | | $ | 2,225 | | 1 | % |
| Citi-branded cards | 271 | | 290 | | (7) | | 852 | | 1,051 | | (19) | |
| Total | $ | 1,038 | | $ | 1,027 | | 1 | % | $ | 3,099 | | $ | 3,276 | | (5) | % |
| Income (loss) from continuing operations by business | | | | | | |
| Retail banking | $ | 119 | | $ | 68 | | 75 | % | $ | 339 | | $ | 29 | | NM |
| Citi-branded cards | 109 | | 40 | | NM | 293 | | 46 | | NM |
| Total | $ | 228 | | $ | 108 | | NM | $ | 632 | | $ | 75 | | NM |
| FX translation impact | | | | | | |
| Total revenues—as reported | $ | 1,038 | | $ | 1,027 | | 1 | % | $ | 3,099 | | $ | 3,276 | | (5) | % |
Impact of FX translation(1) | — | | 86 | | | — | | 226 | | |
Total revenues—ex-FX(2) | $ | 1,038 | | $ | 1,113 | | (7) | % | $ | 3,099 | | $ | 3,502 | | (12) | % |
| Total operating expenses—as reported | $ | 700 | | $ | 667 | | 5 | % | $ | 2,127 | | $ | 2,001 | | 6 | % |
Impact of FX translation(1) | — | | 51 | | | — | | 130 | | |
Total operating expenses—ex-FX(2) | $ | 700 | | $ | 718 | | (3) | % | $ | 2,127 | | $ | 2,131 | | — | % |
| Provisions for credit losses and PBC—as reported | $ | 16 | | $ | 209 | | (92) | % | $ | 80 | | $ | 1,181 | | (93) | % |
Impact of FX translation(1) | — | | 15 | | | — | | 92 | | |
Provisions for credit losses and PBC—ex-FX(2) | $ | 16 | | $ | 224 | | (93) | % | $ | 80 | | $ | 1,273 | | (94) | % |
| Net income (loss)—as reported | $ | 228 | | $ | 108 | | NM | $ | 632 | | $ | 75 | | NM |
Impact of FX translation(1) | — | | 12 | | | — | | — | | |
Net income (loss)—ex-FX(2) | $ | 228 | | $ | 120 | | 90 | % | $ | 632 | | $ | 75 | | NM |
(1)Reflects the impact of FX translation into U.S. dollars for the third 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.
3Q21 vs. 3Q20
Net income increased 90%, reflecting significantly lower cost of credit and lower expenses, partially offset by lower revenues.
Revenues decreased 7%, reflecting lower cards and retail banking revenues, largely due to the continued impact of the pandemic.
Retail banking revenues decreased 4%, primarily driven by continued lower loan volumes and deposit spreads, partially offset by growth in assets under management. Average loans decreased 13%, reflecting the impact of the pandemic on customer activity. Assets under management increased 6%, reflecting favorable market conditions, as well as strong client engagement.
Cards revenues decreased 14%, primarily driven by lower average loans (down 10%), reflecting higher payment rates. Purchase sales increased 20%, reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior-year period.
Expenses decreased 3%, as efficiency savings more than offset continued investments in Citi’s transformation, as well as business-led investments.
Provisions of $16 million decreased 93%, reflecting a higher ACL release and lower net credit losses in the current period. Net credit losses decreased 29%, primarily reflecting lower cards loan volumes and improved delinquencies.
The net ACL release was $178 million, compared to $77 million in the prior-year period. The release reflected an improvement in portfolio credit quality, as well as the continued 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 LatinAmerica GCB’s retail banking and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to Latin America GCB’s future results, see “Forward-Looking Statements” below and “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
3Q21 YTD vs. 3Q20 YTD
Year-to-date, Latin America GCB experienced similar trends to those described above. Net income was $632 million, compared to $75 million in the prior-year period, as significantly lower cost of credit more than offset lower revenues.
Revenues decreased 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 24%, driven by the same factors described above.
Expenses were largely unchanged, as efficiency savings were offset by the 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. The ACL release was $764 million, compared to a build of $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. 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.
Citi is pursuing exits of its consumer franchises in 13 markets across Asia and EMEA and will focus its consumer banking franchise in the two regions on four wealth centers: Singapore, Hong Kong, the UAE and London. As 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 Note 2 to the Consolidated Financial Statements). For additional information regarding risks related to Citi’s exits from 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.
| | | | | | | | | | | | | | | | | | | | |
| Third Quarter | | Nine Months | % Change |
In millions of dollars, except as otherwise noted(1) | 2021 | 2020 | % Change | 2021 | 2020 |
| Net interest revenue | $ | 925 | | $ | 1,054 | | (12) | % | $ | 2,914 | | $ | 3,275 | | (11) | % |
| Non-interest revenue | (41) | | 565 | | NM | 1,137 | | 1,642 | | (31) | |
| Total revenues, net of interest expense | $ | 884 | | $ | 1,619 | | (45) | % | $ | 4,051 | | $ | 4,917 | | (18) | % |
| Total operating expenses | $ | 1,209 | | $ | 1,137 | | 6 | % | $ | 3,653 | | $ | 3,377 | | 8 | % |
| Net credit losses on loans | $ | 152 | | $ | 188 | | (19) | % | $ | 603 | | $ | 550 | | 10 | % |
| Credit reserve build (release) for loans | (44) | | 110 | | NM | (330) | | 545 | | NM |
| Provisions for HTM debt securities and other assets | (2) | | 4 | | NM | (1) | | 7 | | NM |
| Provisions for credit losses | $ | 106 | | $ | 302 | | (65) | % | $ | 272 | | $ | 1,102 | | (75) | % |
| Income (loss) from continuing operations before taxes | $ | (431) | | $ | 180 | | NM | $ | 126 | | $ | 438 | | (71) | % |
| Income taxes (benefits) | (89) | | 29 | | NM | 35 | | 68 | | (49) | |
| Income (loss) from continuing operations | $ | (342) | | $ | 151 | | NM | $ | 91 | | $ | 370 | | (75) | % |
| Noncontrolling interests | (2) | | — | | NM | (7) | | (3) | | NM |
| Net income (loss) | $ | (340) | | $ | 151 | | NM | $ | 98 | | $ | 373 | | (74) | % |
| Balance Sheet data and ratios | | | | | | |
Average assets (in billions of dollars) | $ | 138 | | $ | 129 | | 7 | % | $ | 140 | | $ | 126 | | 11 | % |
| Return on average assets | (0.98) | % | 0.47 | % | | 0.09 | % | 0.40 | % | |
| Efficiency ratio | 137 | | 70 | | | 90 | | 69 | | |
Average deposits (in billions of dollars) | $ | 121 | | $ | 115 | | 5 | | $ | 123 | | $ | 110 | | 12 | |
| Net credit losses as a percentage of average loans | 0.79 | % | 0.94 | % | | 1.00 | % | 0.93 | % | |
| Revenue by business | | | | | | |
| Retail banking | $ | 348 | | $ | 1,066 | | (67) | % | $ | 2,434 | | $ | 3,208 | | (24) | % |
| Citi-branded cards | 536 | | 553 | | (3) | | 1,617 | | 1,709 | | (5) | |
| Total | $ | 884 | | $ | 1,619 | | (45) | % | $ | 4,051 | | $ | 4,917 | | (18) | % |
| Income (loss) from continuing operations by business | | | | | | |
| Retail banking | $ | (372) | | $ | 171 | | NM | $ | (15) | | $ | 515 | | NM |
| Citi-branded cards | 30 | | (20) | | NM | 106 | | (145) | | NM |
| Total | $ | (342) | | $ | 151 | | NM | $ | 91 | | $ | 370 | | (75) | % |
| FX translation impact | | | | | | |
| Total revenues—as reported | $ | 884 | | $ | 1,619 | | (45) | % | $ | 4,051 | | $ | 4,917 | | (18) | % |
Impact of FX translation(2) | — | | 9 | | | — | | 139 | | |
Total revenues—ex-FX(3) | $ | 884 | | $ | 1,628 | | (46) | % | $ | 4,051 | | $ | 5,056 | | (20) | % |
| Total operating expenses—as reported | $ | 1,209 | | $ | 1,137 | | 6 | % | $ | 3,653 | | $ | 3,377 | | 8 | % |
Impact of FX translation(2) | — | | 8 | | | — | | 97 | | |
Total operating expenses—ex-FX(3) | $ | 1,209 | | $ | 1,145 | | 6 | % | $ | 3,653 | | $ | 3,474 | | 5 | % |
| | | | | | | | | | | | | | | | | | | | |
| 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 for the third 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.
3Q21 vs. 3Q20
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 $240 million compared to $150 million in the prior-year period, reflecting significantly lower cost of credit, partially offset by higher expenses and lower revenues.
Revenues decreased 46%, including 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 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 13%, reflecting the impact of market conditions, as well as strong client engagement. Average deposits increased 4% and average loans decreased 4%. The decline in retail banking revenues was also impacted by a 3% decrease in retail lending revenues, reflecting a decline in personal loans driven by spread compression.
Cards revenues decreased 3%, as lower average loans (down 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 6%), reflecting a continued recovery in sales activity from the pandemic-driven low levels in the prior-year period.
Expenses increased 6%, primarily driven by continued investments in Citi’s transformation, as well as business-led investments, partially offset by efficiency savings.
Provisions decreased 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 20%, primarily reflecting lower cards loan volumes and improved delinquencies.
The net ACL release was $44 million, compared to a build of $109 million in the prior-year period. The release reflected an improvement in portfolio credit quality, as well as the 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 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.
3Q21 YTD vs. 3Q20 YTD
Year-to-date, Asia GCB experienced similar trends to those described above. Net income decreased 74%, including the loss on sale. Excluding the loss on sale, net income increased 78%, as significantly lower cost of credit was partially offset by lower revenues and higher expenses.
Revenues decreased 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 26%, including the loss on sale. Excluding the loss on sale, retail banking revenues decreased 5%, primarily driven by the same factors described above. Cards revenues decreased 8%, driven by the same factors described above.
Expenses increased 5%, driven by the same factors described above.
Provisions decreased 76%, driven by a net ACL release compared to a net ACL build in the prior-year period. Net credit losses increased 6%, primarily reflecting the expiration of consumer relief programs and the lingering pandemic-related macroeconomic impacts in the region in early 2021. The ACL release was $330 million, compared to a build of $558 million in the prior-year period, driven by the same factors described above.
INSTITUTIONAL CLIENTS GROUP
Institutional Clients Group (ICG) includes Banking(ICG) and includes Services, Markets and securities servicesBanking (for additional information on these businesses, see “Citigroup Operating Segments” above). ICG provides corporate, institutional and public sector and high-net-worth clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services. ICG transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products. For more information on ICG’s business activities, see “Institutional Clients Group” in Citi’s 2020 Annual Report on2021 Form 10-K.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 9695 countries and jurisdictions. As previously disclosed, Citi intends to end nearly all of the institutional banking services it offers in Russia by the end of the first quarter of 2023. Going forward, Citi’s only operations in Russia will be those necessary to fulfill its remaining legal and regulatory obligations. At this time, Citi does not expect the costs incurred in relation to this action to be material. For additional information about Citi’s continued efforts to reduce its operations and exposure in Russia, see “Legacy Franchises” and “Managing Global Risk—Other Risks—Country Risk—Russia” below.
At September 30, 2021,2022, ICG had $1.8$1.7 trillion in assets and $986$797 billion in deposits, while two of its businesses—securitiesdeposits. Securities services and issuer services—had $25.8managed $20.7 trillion in assets under custody comparedand administration at September 30, 2022, of which Citi provided both custody and administrative services to $24.0certain clients related to $1.8 trillion of such assets. Managed assets under trust were $3.9 trillion at December 31, 2020September 30, 2022. For additional information on these operations, see “Administration and $25.9 trillion at June 30, 2021.Other Fiduciary Fees” in Note 5.
| | | | | | | | | | | | | | | | | | | | |
| Third Quarter | | Nine Months | % Change |
| In millions of dollars, except as otherwise noted | 2021 | 2020 | % Change | 2021 | 2020 |
| Commissions and fees | $ | 1,160 | | $ | 1,099 | | 6 | % | $ | 3,598 | | $ | 3,348 | | 7 | % |
| Administration and other fiduciary fees | 845 | | 747 | | 13 | | 2,524 | | 2,122 | | 19 | |
| Investment banking | 1,692 | | 1,145 | | 48 | | 5,067 | | 3,902 | | 30 | |
| Principal transactions | 2,297 | | 2,511 | | (9) | | 8,352 | | 11,779 | | (29) | |
| Other | 609 | | 378 | | 61 | | 1,293 | | 683 | | 89 | |
| Total non-interest revenue | $ | 6,603 | | $ | 5,880 | | 12 | % | $ | 20,834 | | $ | 21,834 | | (5) | % |
| Net interest revenue (including dividends) | 4,183 | | 4,473 | | (6) | | 12,559 | | 13,140 | | (4) | |
| Total revenues, net of interest expense | $ | 10,786 | | $ | 10,353 | | 4 | % | $ | 33,393 | | $ | 34,974 | | (5) | % |
| Total operating expenses | $ | 6,398 | | $ | 5,858 | | 9 | % | $ | 18,970 | | $ | 17,741 | | 7 | % |
| Net credit losses on loans | $ | 40 | | $ | 326 | | (88) | % | $ | 315 | | $ | 777 | | (59) | % |
| Credit reserve build (release) for loans | (65) | | 106 | | NM | (2,326) | | 4,792 | | 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 | (8) | | (17) | | 53 | | (9) | | 44 | | NM |
| Provisions (releases) for credit losses | $ | (46) | | $ | 838 | | NM | $ | (2,608) | | $ | 6,696 | | NM |
| Income from continuing operations before taxes | $ | 4,434 | | $ | 3,657 | | 21 | % | $ | 17,031 | | $ | 10,537 | | 62 | % |
| Income taxes | 991 | | 800 | | 24 | | 3,821 | | 2,284 | | 67 | |
| Income from continuing operations | $ | 3,443 | | $ | 2,857 | | 21 | % | $ | 13,210 | | $ | 8,253 | | 60 | % |
| Noncontrolling interests | 24 | | 24 | | — | | 73 | | 28 | | NM |
| Net income | $ | 3,419 | | $ | 2,833 | | 21 | % | $ | 13,137 | | $ | 8,225 | | 60 | % |
Balance Sheet data and ratios (in billions of dollars) | | | | | | |
EOP assets (in billions of dollars) | $ | 1,819 | | $ | 1,703 | | 7 | % | | | |
Average assets (in billions of dollars) | 1,809 | | 1,732 | | 4 | | $ | 1,801 | | $ | 1,689 | | 7 | % |
| Return on average assets | 0.75 | % | 0.65 | % | | 0.98 | % | 0.65 | % | |
| Efficiency ratio | 59 | | 57 | | | 57 | | 51 | | |
| Revenues by region | | | | | | |
| North America | $ | 4,145 | | $ | 3,920 | | 6 | % | $ | 12,761 | | $ | 13,854 | | (8) | % |
| EMEA | 3,095 | | 3,085 | | — | | 10,061 | | 9,947 | | 1 | |
| Latin America | 1,261 | | 1,141 | | 11 | | 3,571 | | 3,766 | | (5) | |
| Asia | 2,285 | | 2,207 | | 4 | | 7,000 | | 7,407 | | (5) | |
| Total | $ | 10,786 | | $ | 10,353 | | 4 | % | $ | 33,393 | | $ | 34,974 | | (5) | % |
| Income from continuing operations by region | | | | | | |
| North America | $ | 854 | | $ | 1,023 | | (17) | % | $ | 4,886 | | $ | 2,509 | | 95 | % |
| EMEA | 1,035 | | 880 | | 18 | | 3,657 | | 2,389 | | 53 | |
| Latin America | 665 | | 102 | | NM | 1,907 | | 427 | | NM |
| Asia | 889 | | 852 | | 4 | | 2,760 | | 2,928 | | (6) | |
| Total | $ | 3,443 | | $ | 2,857 | | 21 | % | $ | 13,210 | | $ | 8,253 | | 60 | % |
| | | | | | | | | | | | | | | | | | | | |
| Third Quarter | | Nine Months | |
| In millions of dollars, except as otherwise noted | 2022 | 2021 | % Change | 2022 | 2021 | % Change |
| Commissions and fees | $ | 1,082 | | $ | 1,055 | | 3 | % | $ | 3,337 | | $ | 3,236 | | 3 | % |
| Administration and other fiduciary fees | 651 | | 676 | | (4) | | 2,055 | | 2,031 | | 1 | |
Investment banking fees(1) | 816 | | 1,685 | | (52) | | 2,845 | | 5,040 | | (44) | |
| Principal transactions | 2,776 | | 2,229 | | 25 | | 11,576 | | 8,109 | | 43 | |
| Other | (427) | | 608 | | NM | (640) | | 1,281 | | NM |
| Total non-interest revenue | $ | 4,898 | | $ | 6,253 | | (22) | % | $ | 19,173 | | $ | 19,697 | | (3) | % |
| Net interest income (including dividends) | 4,570 | | 3,738 | | 22 | | 12,874 | | 11,231 | | 15 | |
| Total revenues, net of interest expense | $ | 9,468 | | $ | 9,991 | | (5) | % | $ | 32,047 | | $ | 30,928 | | 4 | % |
| Total operating expenses | $ | 6,541 | | $ | 5,963 | | 10 | % | $ | 19,698 | | $ | 17,724 | | 11 | % |
| Net credit losses on loans | $ | — | | $ | 31 | | (100) | % | $ | 48 | | $ | 274 | | (82) | % |
| Credit reserve build (release) for loans | 75 | | 14 | | NM | 595 | | (1,901) | | NM |
| Provision (release) for credit losses on unfunded lending commitments | (59) | | (13) | | NM | 124 | | (572) | | NM |
| Provisions (releases) for credit losses on HTM debt securities and other assets | 70 | | (8) | | NM | 88 | | (10) | | NM |
| Provisions (releases) for credit losses | $ | 86 | | $ | 24 | | NM | $ | 855 | | $ | (2,209) | | NM |
| Income from continuing operations before taxes | $ | 2,841 | | $ | 4,004 | | (29) | % | $ | 11,494 | | $ | 15,413 | | (25) | % |
| Income taxes | 655 | | 889 | | (26) | | 2,672 | | 3,435 | | (22) | |
| Income from continuing operations | $ | 2,186 | | $ | 3,115 | | (30) | % | $ | 8,822 | | $ | 11,978 | | (26) | % |
| Noncontrolling interests | 24 | | 24 | | — | | 59 | | 73 | | (19) | |
| Net income | $ | 2,162 | | $ | 3,091 | | (30) | % | $ | 8,763 | | $ | 11,905 | | (26) | % |
Balance Sheet data (in billions of dollars) | | | | | | |
| EOP assets | $ | 1,706 | | $ | 1,670 | | 2 | % | | | |
| Average assets | 1,729 | | 1,660 | | 4 | | $ | 1,704 | | $ | 1,659 | | 3 | % |
| Efficiency ratio | 69 | % | 60 | % | | 61 | % | 57 | % | |
Average loans by reporting unit (in billions of dollars) | | | | | | |
| Services | $ | 82 | | $ | 76 | | 8 | % | $ | 82 | | $ | 73 | | 12 | % |
| Banking | 197 | | 196 | | 1 | | 197 | | 197 | | — | |
| Markets | 12 | | 17 | | (29) | | 13 | | 16 | | (19) | |
| Total | $ | 291 | | $ | 289 | | 1 | % | $ | 292 | | $ | 286 | | 2 | % |
Average deposits by reporting unit and component (in billions of dollars) | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Average loans by region (in billions of dollars) | | | | | | |
| North America | $ | 205 | | $ | 198 | | 4 | % | $ | 200 | | $ | 204 | | (2) | % |
| EMEA | 90 | | 88 | | 2 | | 90 | | 89 | | 1 | |
| Latin America | 32 | | 40 | | (20) | | 32 | | 40 | | (20) | |
| Asia | 74 | | 71 | | 4 | | 73 | | 72 | | 1 | |
| Total | $ | 401 | | $ | 397 | | 1 | % | $ | 395 | | $ | 405 | | (2) | % |
EOP deposits by business (in billions of dollars) | | | | | | |
| Treasury and trade solutions | $ | 676 | | $ | 660 | | 2 | % | | | |
All other ICG businesses | 310 | | 265 | | 17 | | | | |
| Total | $ | 986 | | $ | 925 | | 7 | % | | | |
| | | | | | | | | | | | | | | | | | | | |
| TTS | $ | 664 | | $ | 668 | | (1) | % | $ | 664 | | $ | 658 | | 1 | % |
| Securities services | 131 | | 135 | | (3) | | 134 | | 133 | | 1 | |
| Services | $ | 795 | | $ | 803 | | (1) | % | $ | 798 | | $ | 791 | | 1 | % |
| Markets | 22 | | 28 | | (21) | | 26 | | 28 | | (7) | |
| Total | $ | 817 | | $ | 831 | | (2) | % | $ | 824 | | $ | 819 | | 1 | % |
(1) Investment banking fees are substantially composed of underwriting and advisory revenues.
NM Not meaningful
ICG Revenue Details
| | | | | | | | | | | | | | | | | | | | |
| Third Quarter | | Nine Months | % Change |
| In millions of dollars | 2021 | 2020 | % Change | 2021 | 2020 |
Investment banking revenue details | | | | | | |
| Advisory | $ | 539 | | $ | 163 | | NM | $ | 1,225 | | $ | 778 | | 57 | % |
| Equity underwriting | 507 | | 484 | | 5 | % | 1,927 | | 1,155 | | 67 | |
| Debt underwriting | 877 | | 740 | | 19 | | 2,516 | | 2,567 | | (2) | |
| Total investment banking | $ | 1,923 | | $ | 1,387 | | 39 | % | $ | 5,668 | | $ | 4,500 | | 26 | % |
| Treasury and trade solutions | 2,291 | | 2,394 | | (4) | | 6,746 | | 7,124 | | (5) | |
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) | 973 | | 938 | | 4 | | 2,993 | | 2,843 | | 5 | |
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) | $ | (47) | | $ | (124) | | 62 | % | $ | (165) | | $ | 261 | | NM |
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 | $ | 3,182 | | $ | 3,788 | | (16) | % | $ | 10,943 | | $ | 14,169 | | (23) | % |
| Equity markets | 1,226 | | 875 | | 40 | | 3,760 | | 2,814 | | 34 | |
| Securities services | 692 | | 631 | | 10 | | 2,017 | | 1,895 | | 6 | |
| Other | (85) | | (74) | | (15) | | (231) | | (264) | | 13 | |
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 | $ | 10,786 | | $ | 10,353 | | 4 | % | $ | 33,393 | | $ | 34,974 | | (5) | % |
| Commissions and fees | $ | 198 | | $ | 159 | | 25 | % | $ | 580 | | $ | 502 | | 16 | % |
Principal transactions(2) | 1,519 | | 2,178 | | (30) | | 6,371 | | 9,736 | | (35) | |
| Other | 404 | | 301 | | 34 | | 916 | | 472 | | 94 | |
| Total non-interest revenue | $ | 2,121 | | $ | 2,638 | | (20) | % | $ | 7,867 | | $ | 10,710 | | (27) | % |
| Net interest revenue | 1,061 | | 1,150 | | (8) | | 3,076 | | 3,459 | | (11) | |
Total fixed income markets(3) | $ | 3,182 | | $ | 3,788 | | (16) | % | $ | 10,943 | | $ | 14,169 | | (23) | % |
| Rates and currencies | $ | 2,124 | | $ | 2,520 | | (16) | % | $ | 7,156 | | $ | 10,136 | | (29) | % |
| Spread products/other fixed income | 1,058 | | 1,268 | | (17) | | 3,787 | | 4,033 | | (6) | |
| Total fixed income markets | $ | 3,182 | | $ | 3,788 | | (16) | % | $ | 10,943 | | $ | 14,169 | | (23) | % |
| Commissions and fees | $ | 276 | | $ | 279 | | (1) | % | $ | 966 | | $ | 946 | | 2 | % |
Principal transactions(2) | 688 | | 344 | | 100 | | 1,745 | | 1,311 | | 33 | |
| Other | 38 | | 48 | | (21) | | 157 | | 58 | | NM |
| Total non-interest revenue | $ | 1,002 | | $ | 671 | | 49 | % | $ | 2,868 | | $ | 2,315 | | 24 | % |
| Net interest revenue | 224 | | 204 | | 10 | | 892 | | 499 | | 79 | |
Total equity markets(3) | $ | 1,226 | | $ | 875 | | 40 | % | $ | 3,760 | | $ | 2,814 | | 34 | % |
| | | | | | | | | | | | | | | | | | | | |
| Third Quarter | | Nine Months | |
| In millions of dollars | 2022 | 2021 | % Change | 2022 | 2021 | % Change |
| Services | | | | | | |
| Net interest income | $ | 2,619 | | $ | 1,613 | | 62 | % | $ | 6,853 | | $ | 4,870 | | 41 | % |
| Non-interest revenue | 1,558 | | 1,528 | | 2 | | 4,795 | | 4,411 | | 9 | |
| Total Services revenues | $ | 4,177 | | $ | 3,141 | | 33 | % | $ | 11,648 | | $ | 9,281 | | 26 | % |
| Net interest income | $ | 2,232 | | $ | 1,389 | | 61 | % | $ | 5,917 | | $ | 4,221 | | 40 | % |
| Non-interest revenue | 977 | | 908 | | 8 | | 2,911 | | 2,549 | | 14 | |
| TTS revenues | $ | 3,209 | | $ | 2,297 | | 40 | % | $ | 8,828 | | $ | 6,770 | | 30 | % |
| Net interest income | $ | 387 | | $ | 224 | | 73 | % | $ | 936 | | $ | 649 | | 44 | % |
| Non-interest revenue | 581 | | 620 | | (6) | | 1,884 | | 1,862 | | 1 | |
| Securities services revenues | $ | 968 | | $ | 844 | | 15 | % | $ | 2,820 | | $ | 2,511 | | 12 | % |
| Markets | | | | | | |
| Net interest income | $ | 1,228 | | $ | 1,265 | | (3) | % | $ | 3,720 | | $ | 3,953 | | (6) | % |
| Non-interest revenue | 2,840 | | 3,122 | | (9) | | 11,494 | | 10,622 | | 8 | |
Total Markets revenues(1) | $ | 4,068 | | $ | 4,387 | | (7) | % | $ | 15,214 | | $ | 14,575 | | 4 | % |
| Fixed income markets | $ | 3,062 | | $ | 3,040 | | 1 | % | $ | 11,445 | | $ | 10,497 | | 9 | % |
| Equity markets | 1,006 | | 1,347 | | (25) | | 3,769 | | 4,078 | | (8) | |
| Total Markets revenues | $ | 4,068 | | $ | 4,387 | | (7) | % | $ | 15,214 | | $ | 14,575 | | 4 | % |
| Rates and currencies | $ | 2,492 | | $ | 2,112 | | 18 | % | $ | 9,000 | | $ | 7,114 | | 27 | % |
| Spread products / other fixed income | 570 | | 928 | | (39) | | 2,445 | | 3,383 | | (28) | |
| Total Fixed income markets revenues | $ | 3,062 | | $ | 3,040 | | 1 | % | $ | 11,445 | | $ | 10,497 | | 9 | % |
| Banking | | | | | | |
| Net interest income | $ | 723 | | $ | 860 | | (16) | % | $ | 2,301 | | $ | 2,408 | | (4) | % |
| Non-interest revenue | 500 | | 1,603 | | (69) | | 2,884 | | 4,664 | | (38) | |
| Total Banking revenues | $ | 1,223 | | $ | 2,463 | | (50) | % | $ | 5,185 | | $ | 7,072 | | (27) | % |
| Investment banking | | | | | | |
| Advisory | $ | 392 | | $ | 539 | | (27) | % | $ | 1,096 | | $ | 1,225 | | (11) | % |
| Equity underwriting | 100 | | 468 | | (79) | | 462 | | 1,787 | | (74) | |
| Debt underwriting | 139 | | 770 | | (82) | | 906 | | 2,066 | | (56) | |
| Total Investment banking revenues | $ | 631 | | $ | 1,777 | | (64) | % | $ | 2,464 | | $ | 5,078 | | (51) | % |
Corporate lending (excluding gains (losses) on loan hedges)(2) | $ | 648 | | $ | 732 | | (11) | % | $ | 2,114 | | $ | 2,155 | | (2) | % |
Total Banking revenues (excluding gains (losses) on loan hedges)(2) | $ | 1,279 | | $ | 2,509 | | (49) | % | $ | 4,578 | | $ | 7,233 | | (37) | % |
Gains (losses) on loan hedges(2) | (56) | | (46) | | (22) | | 607 | | (161) | | NM |
Total Banking revenues (including gains (losses) on loan hedges)(2) | $ | 1,223 | | $ | 2,463 | | (50) | % | $ | 5,185 | | $ | 7,072 | | (27) | % |
Total ICG revenues, net of interest expense | $ | 9,468 | | $ | 9,991 | | (5) | % | $ | 32,047 | | $ | 30,928 | | 4 | % |
(1) Citi assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate Net interest income may be risk managed with derivatives that are recorded in Principal transactions revenue within Non-interest revenue. For a description of the composition of these revenue line items, see Notes 4, 5 and 6.
(1)(2) Credit derivatives are used to economically hedge a portion of the private bank and corporate loan portfolio that includes both accrual loans and loans at fair value. Gains (losses) on loan hedges include the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium
costs of these hedges are netted against the private bank and corporate lending revenues to reflect the cost of credit protection. Gains (losses) on loan hedges include $(43) million and $(152) million related to the corporate loan portfolio and $(4) million and $(13) million related to the private bank for the three and nine months ended September 30, 2021, respectively. Gains (losses) on loan hedges include $(117) million and $224 million related to the corporate loan portfolio and $(8) million and $37 million related to the private bank for the three and nine months ended September 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 and loans at fair value, which are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above.
3Q213Q22 vs. 3Q203Q21
Net income of $3.4$2.2 billion increased 21% versus the prior-year period,decreased 30%, primarily driven by lower revenues, higher expenses and modestly higher cost of creditcredit.
Revenues decreased 5% (including losses on loan hedges), primarily reflecting lower Banking and higherMarkets revenues, partially offset by higher expenses.
Revenues increased 4%, reflecting higher Services revenues. Banking revenues (increase of 12% includingwere down 50% (including the impact of losses on loan hedges), largely reflecting lower revenues in both Investment banking and Corporate lending. Markets revenues were down 7%, primarily driven by Equity markets, partially offset by lower higher Fixed income markets revenues. Markets and securities services revenues. Excluding the impact of losses on loan hedges, Banking revenues were also impacted by business actions, including a reduction in RWA. Services revenues were up 11%33%, driven by higher revenues in investmentboth TTS and Securities services.
Citi expects that revenues in its Investment banking corporate lendingbusinesses will continue to reflect the overall market environment, including reduced levels of capital markets and M&A activity, during the private bank,remainder of 2022.
Within Services:
•TTS revenues increased 40%, driven by 61% growth in net interest income and 8% growth in non-interest revenue, reflecting strong growth across all client segments. The increase in net interest income was driven by both the cash and trade businesses, reflecting benefits from higher interest rates, balance sheet optimization and higher average loans (9% increase). The increase in average loans was driven by the trade business, reflecting strength in trade flows, primarily in Asia and Latin America, partially offset by lower revenuesasset sales in treasuryNorth America. Average deposits decreased 1%, largely driven by foreign exchange translation. The increase in non-interest revenue was primarily due to strong fee growth across both the cash and trade solutions. businesses, reflecting solid client engagement and healthy growth of underlying drivers, with U.S. dollar clearing volumes up 2%, cross-border flows up 10% and commercial card spend up 49%.
•Markets and securitiesSecurities services revenues were down 4%increased 15%, primarily reflecting normalizationas net interest income grew 73%, driven by higher interest rates across currencies. Non-interest revenues decreased 6%, driven by lower fees in fixed income marketsthe custody business due to lower assets under custody (decline of 5%), driven by declines in global financial markets. The decline in non-interest revenues was partially offset by growthcontinued elevated levels of corporate activity in equity markets and securitiesIssuer services.
Within Markets:
•BankingFixed income markets revenues increased 1%, driven by growth in rates and currencies in EMEA and Asia, due to strong corporate client engagement, largely offset by a continued decline in spread products, driven by North America.
Rates and currencies increased 18%, reflecting increased market volatility, driven by rising interest rates and quantitative tightening, as central banks respond to elevated levels of inflation. Spread products and other fixed income revenues decreased 39%, due to continued lower client activity across spread products and a challenging credit market due to widening spreads.
•:Equity markets revenues decreased 25%, driven by equity derivatives, primarily reflecting lower activity by both corporate and institutional clients due to a strong prior-year comparison, as well as a decline in equity cash, driven by lower volumes.
Within Banking:
•Investment banking revenues increased 39%declined 64%, reflecting a decline in the overall market wallet, as heightened macroeconomic uncertainty and volatility continued to impact client activity. Advisory revenues decreased 27%, reflecting a decline in North America and EMEA, driven by higher revenues across advisory, equity underwritingthe decline in the market wallet. Equity and debt underwriting. Advisoryunderwriting revenues increased significantly from the prior-year period,decreased 79% and 82%, respectively, reflecting strengtha decline in North America, EMEA and EMEA,Asia, also driven by growththe decline in the market wallet as well as wallet share gains. Equity underwriting revenues increased modestly, as growth in North America and EMEA was largely offset by Asia. Debt underwriting revenues increased 19%, also reflecting strength in North America and EMEA, driven by growth in the market wallet and wallet share gains.
•Treasury and trade solutions revenues decreased 4%. Excluding the impact of FX translation, revenues declined 5%, reflecting a decline in the cash business, partially offset by an increasewallet share. The decline in trade. Cashdebt underwriting revenues decreased, as strong growth in fee revenues reflecting solid client engagementalso reflected markdowns on loan commitments and growth in transaction volumes, including a continued recovery in commercial cards from low pandemic-related levels in the prior-year period, were more than offset by the impact of lower deposit spreads. The increase in trade revenues 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. End-of-period trade loans grew 15% (both including and excluding the impact of FX translation).losses on loan sales.
•Corporate lending revenues increased 39%,were $592 million versus $686 million in the prior-year period, a decrease of 14% including the impact of losses on loan hedges. Excluding the impact of losses on loan hedges, revenues increased 17%decreased 11%, primarily driven by
lower cost of fundsvolumes and a modest gain on sale, partially offset by lower loan volumes, reflecting muted demand given stronger client liquidity positions.
•Private bank revenues increased 4% (both including and excluding the impact of losses on loan hedges), mainly due to strong performance in North America. The increase in revenues was driven by higher fees and lending volumes, reflecting continued client engagement, partially offset by lower deposit spreads and lower capital markets revenues.hedging costs.
Within Markets and securities services:
•Fixed income markets revenues decreased 16%, reflecting declines across North 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 lower investor client activity across rates and currencies and spread products. Net interest revenues also decreased, largely reflecting a change in the mix of trading positions.
Rates and currencies revenues decreased 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 17%, driven by a comparison to a strong prior-year period and a normalization in activity, particularly in flow trading, including lower volatility and spreads, partially offset by strong securitization activity.
•Equity markets revenues increased 40%, driven by growth across all products. Equity derivatives revenues increased reflecting higher client activity, particularly in EMEA and Asia. Prime finance revenues increased due to favorable market conditions as well as growth in client balances. Cash equities revenues increased modestly reflecting higher client activity. Non-interest revenues increased, primarily in principal transactions, primarily due to the higher client activity.
•Securities services revenues increased 10%. Excluding the impact of FX translation, revenues increased 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 lower deposit spreads.
Expenses were up 9%10%, primarily driven by continued investmentsinvestment in Citi’s transformation, business-led investments and higher revenue-relatedvolume-related expenses, partially offset by efficiency savings.productivity savings and foreign exchange translation.
Provisions reflected a benefit of $46were $86 million, compared to costs of $838$24 million in the prior-year period. Net credit losses declinedwere zero compared to $40 million from $326$31 million in the prior-year period, driven by improvements in portfolio credit quality.period.
The ACL release for the quarterbuild was $0.1 billion,$86 million, compared to a buildrelease of $0.5 billion$7 million in the prior-year period. The releaseACL build was primarilylargely driven by an improvementa deterioration in portfolio credit quality.macroeconomic forecasts, largely offset by a release of a COVID-19–related uncertainty reserve and a release related to collections on Russia non-accrual
loans. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on ICG’scorporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information on trends in ICG’s deposits and loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.
For additional information on ICG’scorporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information about trends, uncertainties and risks related to ICG’s future results, see “Strategic“Executive Summary” above, “Managing Global Risk—Other Risks—Country Risk—Argentina” and “—Russia” and “Forward-Looking Statements” below and “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks”Factors” in Citi’s 2020 Annual Report on2021 Form 10-K.
3Q212022 YTD vs. 3Q202021 YTD
Net income of $13.1$8.8 billion increased 60%decreased 26% versus the prior-year period, primarily driven by ACL releases in the prior-year period and higher expenses, partially offset by higher revenues.
Revenues increased 4% (including gains (losses) on loan hedges), primarily reflecting higher revenues in Services and Markets, partially offset by lower cost of credit,Banking revenues. Services revenues were up 26%, driven by higher revenues in both TTS and Securities services. Markets revenues were up 4%, primarily driven by higher revenues in Fixed income markets, partially offset by lower revenues and higher expenses.
Revenues in Equity markets. Banking revenues declined 5%, driven by an 11% decrease in Markets and securities services revenues, partially offset by a 3% increase in Banking revenues27% (including the impact of gains (losses) on loan hedges). Excluding the impact of gains (losses) on loan hedges, Banking revenues declined 37%, largely driven by lower revenues in Investment banking.
Within Services:
•BankingTTS revenues increased 6%30%, reflecting higher net interest income of 40% and non-interest revenue of 14%, driven by the same factors described above.
•Securities services revenues increased 12%, reflecting higher net interest income, driven by the same factors described above. Non-interest revenue was largely unchanged, as the decrease in revenues in the custody business was offset by an increase in Issuer services.
Within Markets:
•Fixed income marketsrevenues increased 9%, driven by growth in investment banking, the private bankrates and corporate lending wascurrencies across EMEA, Latin America and Asia, partially offset by a decreasedecline in treasuryspread products, driven by the same factors described above.
•Equity markets revenues decreased 8%, reflecting declines in equity cash and trade solutions. equity derivativesMarkets and securities services, driven by the same factors described above.
Within Banking:
•Investment banking revenues decreased 51%. Advisory revenues decreased 11%, primarily driven by normalization in fixed income markets revenues due to a strong prior-year performance, partially offset by growth in equity markets and securities services.
Within Banking:
•Investment banking revenues increased 26%. Advisory revenues increased 57%, driven by growth in the market wallet. Equity underwriting revenues increased 67%, primarily driven by growthdecline in the market wallet in the first half of 2021, as well as share gains. Debt underwriting revenues decreased 2%, driven by a decline in wallet share.
•Treasury and trade solutions Equity underwriting revenues decreased 5% (6% decrease excluding the impact of FX translation)74%, driven by lower cashand debt underwriting revenues partially offset by higher trade revenues. Cash revenues declined,decreased 56%, driven by the same factors described above. Trade revenues increased, reflecting improved loan spreads.
•Corporate lending revenues decreased 19%increased 36%, including the impact of gains (losses) on loan hedges. Excluding the impact of gains (losses) on loan hedges, revenues increaseddecreased 2%, primarily driven by the same factors described above, and lower mark-downs onpartially offset by the portfolio, given lower volatility compared to the first halfimpacts of 2020 due to the pandemic.foreign currency translation.
•
Private bankExpenses revenues increased 3%. Excluding the impact of gains (losses) on loan hedges, revenues increased 5%11%, driven by the same factors described above.
Provisions were $855 million, compared to a net benefit of $2.2 billion in the prior-year period, driven by an ACL build, partially offset by lower net credit losses. Net credit losses declined to $48 million from $274 million in the prior-year period, largely driven by improvements in portfolio credit quality. The ACL build was $807 million, compared to a release of $2.5 billion in the prior-year period. The ACL build was primarily driven by increased macroeconomic uncertainty as well as a build primarily related to Citi’s exposures in Russia and the broader impact of the war in Ukraine on the macroeconomic environment in the first quarter of 2022, partially offset by the release of a COVID-19–related uncertainty reserve and subsequent reductions in Russia-related exposures.
PERSONAL BANKING AND WEALTH MANAGEMENT
Within Personal Banking and Wealth Management (PBWM)Markets consists of U.S. Personal Banking and securitiesGlobal Wealth Management (Global Wealth). U.S. Personal Banking includes Retail banking, which provides traditional banking services to retail and small business customers. U.S. Personal Banking’s cards portfolio includes its proprietary portfolios (Cash, Rewards and Value portfolios) and co-branded cards (including, among others, American Airlines and Costco) within Branded cards, as well as its co-brand and private label relationships (including, among others, The Home Depot, Best Buy, Sears and Macy’s) within Retail services. Global Wealth includes Private bank, Wealth at Work and Citigold and provides financial services to the entire continuum of wealth clients—from affluent to ultra-high-net-worth—through banking, lending, mortgages, investment, custody and trust product offerings in 20 countries, including the U.S., Mexico and four wealth management centers: Singapore, Hong Kong, the UAE and London.
At September 30, 2022, U.S. Personal Banking had 653 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 September 30, 2022, U.S. Personal Banking had $140 billion in outstanding credit card balances, $36 billion in retail banking loans and $115 billion in deposits.
At September 30, 2022, Global Wealth had $82 billion in mortgage loans, $65 billion in personal and small business loans, $4 billion in outstanding credit card balances and $312 billion in deposits.
| | | | | | | | | | | | | | | | | | | | |
| Third Quarter | | Nine Months | |
| In millions of dollars, except as otherwise noted | 2022 | 2021 | % Change | 2022 | 2021 | % Change |
| Net interest income | $ | 5,836 | | $ | 5,174 | | 13 | % | $ | 16,790 | | $ | 15,324 | | 10 | % |
| Non-interest revenue | 351 | | 678 | | (48) | | 1,331 | | 2,218 | | (40) | |
| Total revenues, net of interest expense | $ | 6,187 | | $ | 5,852 | | 6 | % | $ | 18,121 | | $ | 17,542 | | 3 | % |
| Total operating expenses | $ | 4,077 | | $ | 3,624 | | 13 | % | $ | 11,951 | | $ | 10,593 | | 13 | % |
| Net credit losses on loans | $ | 723 | | $ | 641 | | 13 | % | $ | 2,113 | | $ | 2,493 | | (15) | % |
| Credit reserve build (release) for loans | 360 | | (836) | | NM | (64) | | (3,418) | | 98 | |
| Provision (release) for credit losses on unfunded lending commitments | 19 | | (7) | | NM | 30 | | (13) | | NM |
| Provisions for benefits and claims (PBC), and other assets | 7 | | 1 | | NM | 9 | | 10 | | (10) | |
| Provisions (releases) for credit losses and PBC | $ | 1,109 | | $ | (201) | | NM | $ | 2,088 | | $ | (928) | | NM |
| Income (loss) from continuing operations before taxes | $ | 1,001 | | $ | 2,429 | | (59) | % | $ | 4,082 | | $ | 7,877 | | (48) | % |
| Income taxes (benefits) | 209 | | 533 | | (61) | | 877 | | 1,756 | | (50) | |
| Income (loss) from continuing operations | $ | 792 | | $ | 1,896 | | (58) | % | $ | 3,205 | | $ | 6,121 | | (48) | % |
| Noncontrolling interests | — | | — | | — | | — | | — | | — | |
| Net income (loss) | $ | 792 | | $ | 1,896 | | (58) | % | $ | 3,205 | | $ | 6,121 | | (48) | % |
Balance Sheet data (in billions of dollars) | | | | | | |
| EOP assets | $ | 479 | | $ | 477 | | — | % | | | |
| Average assets | 473 | | 474 | | — | | $ | 474 | | $ | 463 | | 2 | % |
| Average loans | 325 | | 309 | | 5 | | 318 | | 305 | | 4 | |
| Average deposits | 428 | | 424 | | 1 | | 437 | | 410 | | 7 | |
| Efficiency ratio | 66 | % | 62 | % | | 66 | % | 60 | % | |
| Net credit losses as a percentage of average loans | 0.88 | | 0.82 | | | 0.89 | | 1.09 | | |
| Revenue by reporting unit and component | | | | | | |
| Branded cards | $ | 2,258 | | $ | 2,045 | | 10 | % | $ | 6,516 | | $ | 6,117 | | 7 | % |
| Retail services | 1,431 | | 1,277 | | 12 | | 4,030 | | 3,792 | | 6 | |
| Retail banking | 642 | | 629 | | 2 | | 1,893 | | 1,882 | | 1 | |
| U.S. Personal Banking | $ | 4,331 | | $ | 3,951 | | 10 | % | $ | 12,439 | | $ | 11,791 | | 5 | % |
| Private bank | $ | 649 | | $ | 722 | | (10) | % | $ | 2,173 | | $ | 2,255 | | (4) | % |
| Wealth at Work | 182 | | 172 | | 6 | | 535 | | 514 | | 4 | |
| Citigold | 1,025 | | 1,007 | | 2 | | 2,974 | | 2,982 | | — | |
| Global Wealth | $ | 1,856 | | $ | 1,901 | | (2) | % | $ | 5,682 | | $ | 5,751 | | (1) | % |
| Total | $ | 6,187 | | $ | 5,852 | | 6 | % | $ | 18,121 | | $ | 17,542 | | 3 | % |
NM Not meaningful
3Q22 vs. 3Q21
Net income: was $792 million, compared to $1.9 billion in the prior-year period, largely driven by higher cost of credit and higher expenses, partially offset by higher revenues.
Revenues increased 6%, primarily due to higher net interest income, driven by strong loan growth in Branded cards and Retail services and higher interest rates. The increase was partially offset by lower non-interest revenue, reflecting lower investment fee revenue in Global Wealth andhigher partner payments in Retail services.
U.S. Personal Banking revenues increased 10%, reflecting higher revenues in Cards and Retail banking.
Cards revenues increased 11%. Branded cards revenues increased 10%, primarily driven by higher net interest income on higher loan balances. Branded cards new account acquisitions increased 10% and card spend volumes increased 14%. Average loans increased 12%, reflecting the higher card spend volumes.
Retail services revenues increased 12%, primarily driven by higher net interest income on higher loan balances and lower payment rates, partially offset by the higher partner payments, reflecting higher income sharing as a result of higher revenues (for additional information on partner payments, see Note 5). Retail services card spend volumes increased 8% and average loans increased 9%, reflecting the higher card spend volumes.
Retail banking revenues increased 2%, largely driven by the higher interest rates and modest deposit growth. Average deposits increased 1%.
Global Wealth revenues decreased 2%, reflecting investment fee headwinds, particularly in Asia, driven by overall market volatility, partially offset by net interest income growth, driven by higher interest rates. Average deposits increased 1% and average loans were unchanged. Client assets decreased 10%, primarily driven by declines in equity market valuations. Global Wealth continued to add client advisors, which increased 5%. Private bank revenues decreased 10%, Wealth at Work revenues increased 6% and Citigold revenues increased 2%.
Expenses increased 13%, primarily driven by continued investments in Citi’s transformation, other risk and control initiatives, business-led investments and volume-driven expenses, partially offset by productivity savings.
Provisions were $1.1 billion, compared to a benefit of $201 million in the prior-year period, largely driven by a net ACL build and higher net credit losses. Net credit losses increased 13%, reflecting ongoing normalization from historically low levels, particularly in Retail services (net credit losses up 32% to $315 million).
The net ACL build was $379 million, compared to a net release of $843 million in the prior-year period, primarily driven by U.S. Cards loan growth, partially offset by a release of a COVID-19–related uncertainty reserve. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on U.S. Personal Banking’s Retail banking, Branded cards and Retail services portfolios, see “Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to PBWM’s future results, see “Executive Summary” above and “Forward-Looking Statements” below, and “Risk Factors—Strategic Risks” in Citi’s 2021 Form 10-K.
2022 YTD vs. 2021 YTD
•Year-to-date, FixedPBWM experienced similar trends to those described above. Net income markets revenues decreased 23%, with declines across all regions, reflecting a strongwas $3.2 billion, compared to $6.1 billion in the prior-year comparison, particularly in ratesperiod, largely driven by higher cost of credit and currencies, as well as declines in spread products and other fixed incomehigher expenses, partially offset by higher revenues.
•Equity marketsRevenues revenues increased 34%3%, driven largely bydue to higher revenues in equity derivatives and prime finance, as well as an increase in cash equities.
•Securities servicesU.S. Personal Banking. U.S. Personal Banking revenues increased 6%. Excluding5%, reflecting higher revenues in Cards, largely driven by the impact of FX translation,same factors described above. Global Wealth revenues increased 5%decreased 1%, driven by the same factors described above.
Expenses increased 7%13%, primarily driven by continued investments in Citi’s transformation and business-led investments, partially offset by efficiency savings.the same factors described above.
Provisions reflected a net benefit of $2.6were $2.1 billion, compared to costsa benefit of $6.7 billion,$928 million in the prior-year period, driven by ana lower net ACL release, andpartially offset by lower net credit losses. Net credit losses declineddecreased 15%, driven by strong credit performance across portfolios in the first half of 2022, partially offset by the higher net credit losses in the third quarter of 2022.
The net ACL release was $34 million, compared to $315a release of $3.4 billion in the prior-year period. The net ACL release primarily reflected improvement in portfolio credit quality and the continued improvement in the macroeconomic outlook in the first quarter of 2022, partially offset by net ACL builds in the second and third quarters of 2022 due to increased macroeconomic uncertainty and U.S. Cards loan growth.
LEGACY FRANCHISES
As of September 30, 2022, Legacy Franchises included (i) Asia Consumer Banking (Asia Consumer), representing the consumer banking operations of the remaining 11 Asia and EMEA exit countries (and Australia and the Philippines, until their sale closings on June 1, 2022 and August 1, 2022, respectively; the Thailand and Malaysia sales both closed on November 1, 2022, but business activity was included in the results for all historical periods in 2021 and 2022); (ii) Mexico Consumer Banking (Mexico Consumer) and Mexico Small Business and Middle-Market Banking (Mexico SBMM), collectively Mexico Consumer/SBMM, which Citi also plans to exit; and (iii) Legacy Holdings Assets (certain North America consumer mortgage loans and other legacy assets). See Note 2 for additional information on the Philippines sale and other sales and exits.
Asia Consumer provides traditional retail banking and branded card products to retail and small business customers. Mexico Consumer/SBMM provides traditional retail banking and branded card products to consumers and small business customers and provides traditional middle-market banking products and services to commercial customers through Citibanamex.
In August 2022, Citi disclosed its decision to wind down its consumer banking and local commercial banking operations in Russia, including its continued active pursuit of sales of certain Russian consumer banking portfolios. In connection with the wind-down plan, Citi expects to incur approximately $170 million in costs (excluding the impact from any portfolio sales), primarily over the next 18 months, largely driven by restructuring, vendor termination fees and other related charges. On October 28, 2022, Citi entered into an agreement to sell a portfolio of ruble-denominated personal installment loans, totaling approximately $345 million in outstanding loan balances as of the third quarter of 2022, to Uralsib, a Russian commercial bank. In connection with the portfolio sale, Citi also entered into a referral agreement to transfer to Uralsib a portfolio of ruble-denominated credit card loans, subject to customer consents. The outstanding card loans balance was approximately $320 million as of the third quarter of 2022. For additional information about Citi’s continued efforts to reduce its operations and exposure in Russia, see “Executive Summary”above and “Managing Global Risk—Other Risks—Country Risk—Russia” below. In addition, Citi has entered into agreements to sell its consumer banking businesses in Bahrain, India, Indonesia, Taiwan and Vietnam.
At September 30, 2022, on a combined basis, Legacy Franchises had 1,457 retail branches, $22 billion in retail banking loans and $50 billion in deposits. In addition, the businesses had $8 billion in outstanding card loan balances, and Mexico SBMM had $7 billion in outstanding corporate loan balances. These amounts exclude approximately $17 billion of loans ($12 billion of retail banking loans and $5 billion of credit card loan balances) and $20 billion of deposits, all of which were reclassified to Other assets and Other liabilities held-for-sale (HFS) as a result of Citi’s agreements to sell its consumer banking businesses in the above-listed countries. See Note 2 for additional information.
| | | | | | | | | | | | | | | | | | | | |
| Third Quarter | | Nine Months | % Change |
| In millions of dollars, except as otherwise noted | 2022 | 2021 | % Change | 2022 | 2021 |
| Net interest income | $ | 1,385 | | $ | 1,532 | | (10) | % | $ | 4,367 | | $ | 4,716 | | (7) | % |
| Non-interest revenue | 1,169 | | 4 | | NM | 2,053 | | 1,342 | | 53 | |
| Total revenues, net of interest expense | $ | 2,554 | | $ | 1,536 | | 66 | % | $ | 6,420 | | $ | 6,058 | | 6 | % |
| Total operating expenses | $ | 1,845 | | $ | 1,748 | | 6 | % | $ | 5,952 | | $ | 5,288 | | 13 | % |
| Net credit losses on loans | $ | 164 | | $ | 289 | | (43) | % | $ | 448 | | $ | 1,262 | | (65) | % |
| Credit reserve build (release) for loans | 6 | | (327) | | NM | (168) | | (1,503) | | 89 | |
| Provision (release) for credit losses on unfunded lending commitments | (31) | | 7 | | NM | 90 | | (10) | | NM |
| Provisions for benefits and claims (PBC), HTM debt securities and other assets | 28 | | 17 | | 65 | | 78 | | 77 | | 1 | |
| Provisions (releases) for credit losses and PBC | $ | 167 | | $ | (14) | | NM | $ | 448 | | $ | (174) | | NM |
| Income (loss) from continuing operations before taxes | $ | 542 | | $ | (198) | | NM | $ | 20 | | $ | 944 | | (98) | % |
| Income taxes (benefits) | 226 | | 3 | | NM | 104 | | 333 | | (69) | |
| Income (loss) from continuing operations | $ | 316 | | $ | (201) | | NM | $ | (84) | | $ | 611 | | NM |
| Noncontrolling interests | — | | (1) | | 100 | % | — | | (6) | | 100 | % |
| Net income (loss) | $ | 316 | | $ | (200) | | NM | $ | (84) | | $ | 617 | | NM |
Balance Sheet data (in billions of dollars) | | | | | | |
| EOP assets | $ | 100 | | $ | 124 | | (19) | % | | | |
| Average assets | 103 | | 126 | | (18) | | $ | 114 | | $ | 128 | | (11) | % |
| EOP loans | 37 | | 67 | | (45) | | | | |
| EOP deposits | 50 | | 78 | | (35) | | | | |
| Efficiency ratio | 72 | % | 114 | % | | 93 | % | 87 | % | |
| Revenue by reporting unit and component | | | | | | |
| Asia Consumer | $ | 1,372 | | $ | 330 | | NM | $ | 3,039 | | $ | 2,457 | | 24 | % |
| | | | | | | | | | | | | | | | | | | | |
| Mexico Consumer/SBMM | 1,173 | | 1,162 | | 1 | % | 3,496 | | 3,483 | | — | |
| Legacy Holdings Assets | 9 | | 44 | | (80) | | (115) | | 118 | | NM |
| Total | $ | 2,554 | | $ | 1,536 | | 66 | % | $ | 6,420 | | $ | 6,058 | | 6 | % |
NM Not meaningful
3Q22 vs. 3Q21
Net income was $316 million, compared to a net loss of $200 million in the prior-year period, primarily driven by higher revenues, partially offset by higher expenses and higher cost of credit.
Results for the third quarter of 2022 included Asia Consumer divestiture-related impacts of approximately $520 million (approximately $256 million after-tax), primarily driven by the gain on sale of the Philippines consumer business and other Asia consumer exits, which primarily consisted of (i) an approximate $616 million Philippines gain on sale recorded in revenues and (ii) an approximate $107 million of aggregate divestiture-related costs. Third quarter of 2021 results included Asia divestiture-related impacts of $(680) million (approximately $(580) million after-tax), primarily driven by a loss on sale of the Australia consumer business.
Revenues increased 66%, primarily due to the gain on sale of the Philippines consumer business versus the loss on sale of the Australia consumer business in the prior-year period.
Asia Consumer revenues of $1.4 billion increased from $330 million in the prior-year period, primarily driven by the Philippines gain on sale versus the Australia loss on sale in the prior-year period, as well as the impacts of the Korea wind-down and the loss of revenues from the exits of the Australia and Philippines consumer businesses.
Mexico Consumer/SBMM revenues increased 1%, as cards revenues increased 10% and SBMM revenues increased 15%, primarily due to higher interest rates and higher lending volumes. The increase in revenues was partially offset by a 4% decrease in retail banking revenues, primarily driven by lower fiduciary fees reflecting declines in equity market valuations.
Legacy Holdings Assets revenues decreased $35 million from $777the prior-year period, largely driven by the continued wind-down of legacy assets.
Expenses increased 6%, driven by higher divestiture-related expenses in Asia Consumer and Mexico Consumer/SBMM.
Provisions were $167 million, compared to a benefit of $14 million in the prior-year period, driven by improvementsa lower net ACL release, partially offset by lower net credit losses. Net credit losses decreased 43%, primarily reflecting improved delinquencies in portfolioboth Asia Consumer and Mexico Consumer and the reclassification of loans and net credit quality. losses to reflect HFS accounting as a result of the signing of sale agreements for consumer banking businesses in Asia and EMEA.
The net ACL release was $2.9 billion,$25 million, compared to a buildnet release of $5.9$320 million in the prior-year period. 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 Legacy Franchises’ future results, see “Executive Summary” above, “Managing Global Risk—Other Risks—Country Risk—Russia” and “Forward-Looking Statements” below, and “Risk Factors—Strategic Risks” in Citi’s 2021 Form 10-K.
2022 YTD vs. 2021 YTD
Net loss was $84 million, compared to net income of $617 million in the prior-year period, primarily driven by higher expenses and higher cost of credit, partially offset by higher revenues.
Results for year-to-date 2022 included Asia Consumer divestiture-related impacts of approximately $(110) million (approximately $(297) million after-tax), which primarily consisted of (i) the approximate $616 million Philippines gain on sale in the third quarter of 2022; (ii) an approximate $(88) million incremental Australia consumer banking loss on sale recorded in revenues for year-to-date 2022; (iii) an approximate $107 million of aggregate Asia Consumer divestiture-related costs in the third quarter of 2022; and (iv) an approximate $535 million goodwill write-down recorded in expenses in the first quarter of 2022. Results for year-to-date 2021 included divestiture-related impacts of $(680) million (approximately $(580) million after-tax), primarily driven by a loss on sale of the Australia consumer business.
Revenues increased 6%, reflecting the Philippines gain on sale versus the Australia loss on sale, as well as the impacts of the Korea wind-down and the loss of revenues from the exits of the Australia and Philippines consumer businesses.
Asia Consumer revenues increased 24%, driven by the same factors described above. Mexico Consumer/SBMM revenues were largely unchanged. Legacy Holdings Assets revenues of $(115) million decreased from $118 million in the prior-year period, largely driven by a second quarter of 2022 release of a CTA loss (net of hedges) recorded in AOCI related to the substantial liquidation of a legacy U.K. consumer operation (for additional information, see “Corporate/Other” below and Note 2), as well as the continued wind-down of legacy assets.
Expenses increased 13%, primarily driven by divestiture-related expenses in the current period, including the goodwill impairment in the first quarter of 2022, as well as impairment of long-lived assets related to the Russia consumer banking business in the second quarter of 2022, partially offset by lower expenses related to the Asia Consumer exit markets.
Provisions were $448 million, compared to a benefit of $174 million in the prior-year period, driven by a lower net ACL release, partially offset by lower net credit losses. The net ACL release was $78 million, compared to a release of $1.5 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
Activities not assigned to the operating segments (ICG, PBWM and Legacy Franchises) are included in Corporate/Other.Corporate/Other includesincluded certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance)compliance-related costs), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as results of Corporate Treasury certain North America legacy consumer loan portfolios, other legacy assetsinvestment activities and discontinued operations (for additional information on Corporate/Other, see “Citigroup Segments” above).operations. At September 30, 2021,2022, Corporate/Other had $101$96 billion in assets.assets, primarily related to the investment securities.
| | | Third Quarter | | Nine Months | % Change | | Third Quarter | | Nine Months | % Change |
| In millions of dollars | In millions of dollars | 2021 | 2020 | % Change | 2021 | 2020 | In millions of dollars | 2022 | 2021 | % Change | 2022 | 2021 |
| Net interest revenue | $ | 252 | | $ | (231) | | NM | $ | 441 | | $ | 68 | | NM | |
| Net interest income | | Net interest income | $ | 772 | | $ | 247 | | NM | $ | 1,367 | | $ | 404 | | NM |
| Non-interest revenue | Non-interest revenue | (144) | | 7 | | NM | 4 | | 71 | | (94) | % | Non-interest revenue | (473) | | (179) | | NM | (623) | | (65) | | NM |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 108 | | $ | (224) | | NM | $ | 445 | | $ | 139 | | NM | Total revenues, net of interest expense | $ | 299 | | $ | 68 | | NM | $ | 744 | | $ | 339 | | NM |
| Total operating expenses | Total operating expenses | $ | 519 | | $ | 819 | | (37) | % | $ | 1,262 | | $ | 1,442 | | (12) | % | Total operating expenses | $ | 286 | | $ | 442 | | (35) | % | $ | 706 | | $ | 1,056 | | (33) | % |
| Net credit losses (recoveries) on loans | $ | (23) | | $ | (5) | | NM | $ | (63) | | $ | (12) | | NM | |
| Credit reserve build (release) for loans | (53) | | (128) | | 59 | % | (261) | | 223 | | NM | |
| 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 | (1) | | (4) | | 75 | | (9) | | 7 | | NM | |
| Provisions (release) for credit losses and for benefits and claims | $ | (81) | | $ | (136) | | 40 | % | $ | (314) | | $ | 220 | | NM | |
| Provisions (releases) for HTM debt securities and other assets | | Provisions (releases) for HTM debt securities and other assets | $ | 3 | | $ | (1) | | NM | $ | 3 | | $ | (2) | | NM |
| Income (loss) from continuing operations before taxes | Income (loss) from continuing operations before taxes | $ | (330) | | $ | (907) | | 64 | % | $ | (503) | | $ | (1,523) | | 67 | % | Income (loss) from continuing operations before taxes | $ | 10 | | $ | (373) | | NM | $ | 35 | | $ | (715) | | NM |
| Income taxes (benefits) | Income taxes (benefits) | (222) | | (307) | | 28 | | (795) | | (621) | | (28) | | Income taxes (benefits) | (211) | | (232) | | 9 | % | (651) | | (844) | | 23 | % |
| Income (loss) from continuing operations | Income (loss) from continuing operations | $ | (108) | | $ | (600) | | 82 | % | $ | 292 | | $ | (902) | | NM | Income (loss) from continuing operations | $ | 221 | | $ | (141) | | NM | $ | 686 | | $ | 129 | | NM |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | (1) | | (7) | | 86 | | 7 | | (26) | | NM | Income (loss) from discontinued operations, net of taxes | (6) | | (1) | | NM | (229) | | 7 | | NM |
| Net income (loss) before attribution of noncontrolling interests | $ | (109) | | $ | (607) | | 82 | % | $ | 299 | | $ | (928) | | NM | |
| Net income (loss) before attribution to noncontrolling interests | | Net income (loss) before attribution to noncontrolling interests | $ | 215 | | $ | (142) | | NM | $ | 457 | | $ | 136 | | NM |
| Noncontrolling interests | Noncontrolling interests | 2 | | — | | NM | 1 | | (7) | | NM | Noncontrolling interests | 6 | | 1 | | NM | 9 | | — | | — | % |
| Net income (loss) | Net income (loss) | $ | (111) | | $ | (607) | | 82 | % | $ | 298 | | $ | (921) | | NM | Net income (loss) | $ | 209 | | $ | (143) | | NM | $ | 448 | | $ | 136 | | NM |
NM Not meaningful
3Q213Q22 vs. 3Q203Q21
Net lossincome was $111$209 million, in the third quarter of 2021, compared to a net loss of $607$143 million in the prior-year period,period. The increase in net income was primarily driven by higher revenues and lower expenses partially offset by a lower net ACL release.as well as the impact of certain income tax benefit items related to non-U.S. operations in the current quarter.
Revenues of $108increased $231 million, increased from $(224) million in the prior-year period, largely reflectingprimarily driven by higher net revenue from the investment portfolio.portfolio, due to higher interest rates, partially offset by mark-to-market losses, primarily related to retained interchange litigation risk associated with shares of Visa B common stock that Citi previously sold.
Expenses decreased 37%35%, primarily driven by the absence of 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 $81 million, compared to a net benefit of $136 million in the prior-year period, primarily driven by a lower net ACL release in the current quarter ($54 million compared to $132 million in the prior-year period), reflecting the continued wind‐down of the legacy North America mortgage portfolio.consulting expenses.
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/Other’s future results, see “Executive Summary” above, “Forward-Looking Statements” below and “COVID-19 Pandemic Overview” and “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on2021 Form 10-K.
3Q212022 YTD vs. 3Q202021 YTD
Year-to-date, Corporate/Other experienced similar trends
to those described above.Net income was$298 $448 million, compared to a net lossincome of $921$136 million in the prior-year period, largely reflectingdriven by the higher revenues, lower expenses and a higher net ACL release, as well as certain income tax benefit items related to non-U.S. operations insame factors described above, partially offset by the second quarter of 2021.2022 release of a CTA loss (net of hedges) from AOCI, recorded in discontinued operations, related to the substantial liquidation of a U.K. consumer legacy operation (for additional information, see “Legacy Franchises”above and Note 2).
Revenuesof $445 increased $405 million, increased from $139 million in the prior-year period, primarily reflectingdriven by the same factors described above.
Expenses decreased 12%33%, driven by the same factors described above partially offset by an increase in brand marketing and transformation spend.
Provisions reflected a benefit of $314 million, compared to costs of $220 millionas well as certain settlements in the prior-yearcurrent period. The net ACL release was $270 million, compared to a build of $230 million in the prior-year period, primarily reflecting Citi’s improved macroeconomic outlook.
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 on2021 Form 10-K.
During the third quarter of 2021,2022, Citi returned a total of approximately $4.0$1.0 billion of capital to common shareholders in the form of share repurchases (approximately 43 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 $11 billion of capital to its common shareholders.
Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 (CET1) 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. Citi’s Common Equity Tier 1 Capital ratioApproach was 11.7%12.3% as of September 30, 2022, compared to 11.9% as of June 30, 2022 and 12.2% as of December 31, 2020,2021, relative to a required regulatory CET1 Capital ratio of 10.5% as of such dates under the Standardized Approach.
Citi’s CET1 Capital ratio under the Basel III Advanced Approaches was 11.8% as of September 30, 2022, compared to 11.7% as of June 30, 2022 and 12.3% as of December 31, 2021, relative to a required regulatory CET1 Capital ratio of 10.0% as of such dates under the Advanced Approaches framework.
Citi’s Common Equity Tier 1CET1 Capital ratio decreasedincreased under both the Standardized Approach and Advanced Approaches from June 30, 2021, as an increase2022, driven primarily by net income, a decrease in risk-weighted assets and the returnimpact related to the closing of approximately $4 billionthe Philippines consumer banking sale, partially offset by the return of capital to common shareholders werethrough dividends and interest rate impacts on Citigroup’s investment portfolio.
Citi’s CET1 Capital ratio increased under the Standardized Approach from year-end 2021 due to year-to-date net income of $12.3 billion, the impacts related to the closing of the Australia and Philippines consumer banking sales, and business actions, including a reduction in risk-weighted assets, partially offset by net incomeinterest rate impacts on Citigroup’s investment portfolio and the return of $4.6 billion.
capital to common shareholders. The increase in Citi’s Common Equity Tier 1CET1 Capital ratio remained unchanged from year-end 2020, as net income of $18.8 billion was also partially offset by the returnimpact of approximately $11 billionthe adoption of the Standardized Approach for Counterparty Credit Risk (SA-CCR) on January 1, 2022.
Citi’s CET1 Capital ratio decreased under the Advanced Approaches from year-end 2021, due to the interest rate impacts on Citigroup’s investment portfolio,the return of capital to common shareholders adverse net movements in Accumulated other comprehensive income (AOCI), an increase in risk-weighted assets and a reduction in the benefitimpact of the modified CECL transition provision as a resultadoption of the Allowance for credit losses (ACL) released duringSA-CCR, partially offset by year-to-date net income of $12.3 billion and the year.impact related to the closing of the Australia and Philippines consumer banking sales.
For additional information on SA-CCR, see “Capital Resources” in Citi’s First Quarter of 2022 Form 10-Q.
Stress Capital Buffer
In August 2021,2022, the Federal Reserve Board finalized and announced Citi’s Stress Capital Buffer (SCB) requirement of 3.0%. Accordingly, beginning4.0% for the four-quarter window starting from October 1, 2021, Citigroup2022 to September 30, 2023.
Accordingly, as of October 1, 2022, Citi is required to maintain a 10.5% effective minimum Common Equity Tier 1an 11.5% required regulatory CET1 Capital requirementratio under the Standardized Approach.Approach, incorporating this SCB and its current GSIB surcharge of 3.0%. Citi’s effective minimum Common Equity Tier 1required regulatory CET1 Capital requirementratio under the Advanced Approaches (using the fixed 2.5% Capital Conservation Buffer) remains unchanged at 10.0%.
The SCB applies to Citigroup only. Theonly; the regulatory capital framework applicable to Citibank, including the Capital Conservation Buffer, is unchangedunaffected by Citigroup’s SCB.
In addition, as previously disclosed, commencing January 1, 2023, Citi’s GSIB surcharge will increase from 3.0% to 3.5%, which will be applicable to both the Standardized and the Advanced Approaches, resulting in a required regulatory CET1 Capital ratio of 12.0% under the Standardized Approach and 10.5% under the Advanced Approaches, both as of such date.
For additional information regarding regulatory capital buffers, including the SCB and GSIB surcharge, see “Capital Resources—Regulatory Capital Buffers—Stress Capital Buffer”Buffers” in Citi’s 2020 Annual Report on2021 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 on2021 Form 10-K.
Citigroup’s Capital Resources
The following tables set forthtable presents Citi’s required risk-based capital componentsratios as of September 30, 2022, June 30, 2022 and ratios:December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | |
| | 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) | | $ | 149,631 | | $ | 150,378 | | $ | 147,274 | | $ | 149,631 | | $ | 150,378 | | $ | 147,274 | |
| Tier 1 Capital | | 168,902 | | 169,636 | | 167,053 | | 168,902 | | 169,636 | | 167,053 | |
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 | | 1,265,297 | | 1,253,785 | | 1,255,284 | | 1,284,316 | | 1,271,046 | | 1,221,576 | |
Credit Risk(2) | | $ | 871,668 | | $ | 860,231 | | $ | 844,374 | | $ | 1,187,516 | | $ | 1,175,263 | | $ | 1,109,435 | |
| Market Risk | | 93,376 | | 91,594 | | 107,812 | | 96,800 | | 95,783 | | 112,141 | |
| Operational Risk | | 300,253 | | 301,960 | | 303,098 | | — | | — | | — | |
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) | 11.5 | | 13.35 | | 13.53 | | 13.31 | | 13.15 | | 13.35 | | 13.68 | |
Total Capital ratio(3) | 13.5 | | 15.37 | | 15.63 | | 15.61 | | 15.91 | | 16.17 | | 16.77 | |
| | | | | | | | | | | | | | |
| 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) | | $ | 2,311,830 | | $ | 2,307,323 | | $ | 2,265,615 | |
Total Leverage Exposure(2)(5) | | 2,911,050 | | 2,903,655 | | 2,386,881 | |
| Tier 1 Leverage ratio | 4.0 | % | 7.31 | % | 7.35 | % | 7.37 | % |
| Supplementary Leverage ratio | 5.0 | | 5.80 | | 5.84 | | 7.00 | |
| | | | | | | | | | | | | | | | | | | | |
| Advanced Approaches | Standardized Approach |
| September 30, 2022 | June 30, 2022 | December 31, 2021 | September 30, 2022 | June 30, 2022 | December 31, 2021 |
Common Equity Tier 1 Capital ratio(1) | 10.0 | % | 10.0 | % | 10.0 | % | 10.5 | % | 10.5 | % | 10.5 | % |
Tier 1 Capital ratio(1) | 11.5 | | 11.5 | | 11.5 | | 12.0 | | 12.0 | | 12.0 | |
Total Capital ratio(1) | 13.5 | | 13.5 | | 13.5 | | 14.0 | | 14.0 | | 14.0 | |
(1)Citi’s effective minimumrequired risk-based capital requirements includeratios included the 2.5%3.0% Stress Capital Buffer (SCB) 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). These effective minimum requirements were applicable through September 30, 2021.2022. See “Stress Capital Buffer” above for additionalmore information.
(2)
The following tables present Citi’s capital components and ratios:
| | | | | | | | | | | | | | | | | | | | |
| Advanced Approaches | Standardized Approach |
| In millions of dollars, except ratios | September 30,
2022 | June 30,
2022 | December 31,
2021 | September 30,
2022 | June 30,
2022 | December 31,
2021 |
Common Equity Tier 1 Capital(1) | $ | 144,567 | | $ | 144,893 | | $ | 149,305 | | $ | 144,567 | | $ | 144,893 | | $ | 149,305 | |
| Tier 1 Capital | 164,830 | | 165,159 | | 169,568 | | 164,830 | | 165,159 | | 169,568 | |
Total Capital (Tier 1 Capital + Tier 2 Capital)(1) | 185,046 | | 187,350 | | 194,006 | | 193,871 | | 196,408 | | 203,838 | |
| Total Risk-Weighted Assets | 1,226,578 | | 1,235,956 | | 1,209,374 | | 1,176,749 | | 1,217,459 | | 1,219,175 | |
Credit Risk(1) | $ | 849,769 | | $ | 861,298 | | $ | 840,483 | | $ | 1,096,384 | | $ | 1,135,558 | | $ | 1,135,906 | |
| Market Risk | 78,748 | | 79,912 | | 78,634 | | 80,365 | | 81,901 | | 83,269 | |
| Operational Risk | 298,061 | | 294,746 | | 290,257 | | — | | — | | — | |
Common Equity Tier 1 Capital ratio(2) | 11.79 | % | 11.72 | % | 12.35 | % | 12.29 | % | 11.90 | % | 12.25 | % |
Tier 1 Capital ratio(2) | 13.44 | | 13.36 | | 14.02 | | 14.01 | | 13.57 | | 13.91 | |
Total Capital ratio(2) | 15.09 | | 15.16 | | 16.04 | | 16.48 | | 16.13 | | 16.72 | |
| | | | | | | | | | | | | | |
| In millions of dollars, except ratios | Required Capital Ratios | September 30, 2022 | June 30, 2022 | December 31, 2021 |
Quarterly Adjusted Average Total Assets(1)(3) | | $ | 2,364,564 | | $ | 2,344,675 | | $ | 2,351,434 | |
Total Leverage Exposure(1)(4) | | 2,888,535 | | 2,935,289 | | 2,957,764 | |
Tier 1 Leverage ratio(2) | 4.0 | % | 6.97 | % | 7.04 | % | 7.21 | % |
Supplementary Leverage ratio(2) | 5.0 | | 5.71 | | 5.63 | | 5.73 | |
(1)Citi has elected to applyCiti’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the impactcurrent expected credit losses (CECL) standard. For additional information, see “Capital Resources—Regulatory Capital Treatment—Modified Transition of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changesCurrent Expected Credit Losses Methodology” 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,Citi’s 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. In addition, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.Form 10-K.
(3)(2)Citi’s reportablebinding 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 December 31, 2020, whereas Citi’s reportablebinding Total Capital ratio was derived under the Basel III Advanced Approaches framework for all periods presented. As of September 30, 2022, the Supplementary Leverage ratio and the Total Capital ratio under the Basel III Advanced Approaches framework became more binding than the Common Equity Tier 1 Capital ratio under the Basel III Standardized Approach. Each of Citi’s Basel III risk-based capital and leverage ratios exceeded the respective regulatory capital requirement by at least $19 billion as of September 30, 2022. Citi expects the Basel III Standardized Approach capital ratios to be more binding in future quarters due to the increased Stress Capital Buffer in the fourth quarter of 2022 and the additional GSIB surcharge in the first quarter of 2023.
(4)(3)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(5)(4)Supplementary Leverage ratio denominator. Commencing with the second quarter of 2020 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.
As indicated in the table above, Citigroup’s risk-based capital ratios at September 30, 20212022 were in excess of the stated and effective minimumregulatory capital requirements under the U.S. Basel III rules. In addition, Citi was also “well capitalized” under current federal bank regulatory agencyagencies definitions as of September 30, 2021.
Components of Citigroup Capital
| | | | | | | | |
| In millions of dollars | September 30,
2021 | December 31,
2020 |
| Common Equity Tier 1 Capital | | |
Citigroup common stockholders’ equity(1) | $ | 183,005 | | $ | 180,118 | |
| Add: Qualifying noncontrolling interests | 136 | | 141 | |
| Regulatory capital adjustments and deductions: | | |
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 | 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 | (1,317) | | (1,109) | |
| Less: Intangible assets: | | |
Goodwill, net of related DTLs(3) | 20,689 | | 21,124 | |
Identifiable intangible assets other than MSRs, net of related DTLs | 3,899 | | 4,166 | |
| 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) | 10,897 | | 11,638 | |
| Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches) | $ | 149,631 | | $ | 147,274 | |
| Additional Tier 1 Capital | | |
Qualifying noncumulative perpetual preferred stock(1) | $ | 17,870 | | $ | 19,324 | |
Qualifying trust preferred securities(5) | 1,398 | | 1,393 | |
| Qualifying noncontrolling interests | 34 | | 35 | |
| Regulatory capital deductions: | | |
Less: Permitted ownership interests in covered funds(6) | — | | 917 | |
| Less: Other | 31 | | 56 | |
| 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) | $ | 168,902 | | $ | 167,053 | |
| Tier 2 Capital | | |
| Qualifying subordinated debt | $ | 20,456 | | $ | 23,481 | |
Qualifying trust preferred securities(7) | 248 | | 331 | |
| Qualifying noncontrolling interests | 40 | | 41 | |
Eligible allowance for credit losses(2)(8) | 14,860 | | 13,974 | |
| Regulatory capital deduction: | | |
| Less: Other | 218 | | 31 | |
| Total Tier 2 Capital (Standardized Approach) | $ | 35,386 | | $ | 37,796 | |
| 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) | $ | (9,865) | | $ | (8,890) | |
| Total Tier 2 Capital (Advanced Approaches) | $ | 25,521 | | $ | 28,906 | |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches) | $ | 194,423 | | $ | 195,959 | |
| | | | | | | | |
| In millions of dollars | September 30,
2022 | December 31,
2021 |
| Common Equity Tier 1 Capital | | |
Citigroup common stockholders’ equity(1) | $ | 179,696 | | $ | 183,108 | |
| Add: Qualifying noncontrolling interests | 113 | | 143 | |
| Regulatory capital adjustments and deductions: | | |
Add: CECL transition provision(2) | 2,271 | | 3,028 | |
| Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax | (2,869) | | 101 | |
Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax | 3,211 | | (896) | |
| Less: Intangible assets: | | |
Goodwill, net of related DTLs(3) | 18,796 | | 20,619 | |
Identifiable intangible assets other than MSRs, net of related DTLs | 3,492 | | 3,800 | |
| Less: Defined benefit pension plan net assets; other | 1,932 | | 2,080 | |
Less: DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards(4) | 11,690 | | 11,270 | |
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments, and MSRs(4)(5) | 1,261 | | — | |
| Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches) | $ | 144,567 | | $ | 149,305 | |
| Additional Tier 1 Capital | | |
Qualifying noncumulative perpetual preferred stock(1) | $ | 18,864 | | $ | 18,864 | |
Qualifying trust preferred securities(6) | 1,404 | | 1,399 | |
| Qualifying noncontrolling interests | 27 | | 34 | |
| Regulatory capital deductions: | | |
| Less: Other | 32 | | 34 | |
| Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches) | $ | 20,263 | | $ | 20,263 | |
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital) (Standardized Approach and Advanced Approaches) | $ | 164,830 | | $ | 169,568 | |
| Tier 2 Capital | | |
| Qualifying subordinated debt | $ | 15,679 | | $ | 20,064 | |
Qualifying trust preferred securities(7) | — | | 248 | |
| Qualifying noncontrolling interests | 33 | | 42 | |
Eligible allowance for credit losses(2)(8) | 13,752 | | 14,209 | |
| Regulatory capital deduction: | | |
| Less: Other | 423 | | 293 | |
| Total Tier 2 Capital (Standardized Approach) | $ | 29,041 | | $ | 34,270 | |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach) | $ | 193,871 | | $ | 203,838 | |
Adjustment for excess of eligible credit reserves over expected credit losses(2)(8) | $ | (8,825) | | $ | (9,832) | |
| Total Tier 2 Capital (Advanced Approaches) | $ | 20,216 | | $ | 24,438 | |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches) | $ | 185,046 | | $ | 194,006 | |
(1)Issuance costs of $125 million and $156$131 million related to outstanding noncumulative perpetual preferred stock as ofat September 30, 20212022 and December 31, 2020, respectively, are2021 were excluded from common stockholders’ equity and arewere netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)Citi has elected to applyCiti’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the impactcurrent expected credit losses (CECL) standard. For additional information, see “Capital Resources—Regulatory Capital Treatment—Modified Transition of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changesCurrent Expected Credit Losses Methodology” 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,Citi’s 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date.Form 10-K.
(3)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
Footnotes continue on the following page.
(4)Of Citi’s $24.5$27.1 billion of net DTAs at September 30, 2021, $15.3 billion was included in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $9.2 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of September 30, 2021 was $10.92022, $11.7 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 $1.7carry-forwards, as well as $1.3 billion of net DTLs primarily associated with goodwill and certain other intangible assets that are separately deducted from capital. DTAs arising from temporary differences that exceeded 10%/15% limitations, were excluded from Citi’s Common Equity Tier 1 Capital as of September 30, 2022. DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards are required to be entirely deducted from Common Equity Tier 1 Capital under the U.S. Basel III rules. DTAs arising from temporary differences are required to be deducted from capital only if these DTAs exceed 10%/15% limitations under the U.S. Basel III rules. Citi’s DTAs do not currently exceed these limitations and, therefore, are not
(5)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At September 30, 2022, this deduction related only to DTAs arising from Common Equity Tier 1 Capital, but are subject to risk weighting at 250%.temporary differences that exceeded the 10% limitation. At December 31, 2021, none of these assets were in excess of the 10%/15% limitations.
(5)(6)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(6)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Commencing January 1, 2021, Citi no longer deducts permitted market making positions in third-party covered funds from Tier 1 Capital, in accordance with the revised Volcker Rule 2.0 issued by the U.S. agencies in November 2019. Upon the removal of the capital deduction, permitted market making positions in third-party covered funds are included in risk-weighted assets.
(7)Represents the amount of non-grandfathered trust preferred securities that were previously eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will berules. Commencing January 1, 2022, non-grandfathered trust preferred securities have been fully phased out of Tier 2 Capital by January 1, 2022.Capital.
(8)Under the 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 $5.0were $4.9 billion and $5.1$4.4 billion at September 30, 20212022 and December 31, 2020,2021, respectively.
Citigroup Capital Rollforward
| | | | | | | | |
| In millions of dollars | Three Months Ended
September 30, 2021 | Nine Months Ended
September 30, 2021 |
| Common Equity Tier 1 Capital, beginning of period | $ | 150,378 | | $ | 147,274 | |
| Net income | 4,644 | | 18,779 | |
| Common and preferred dividends declared | (1,306) | | (3,987) | |
| Net increase in treasury stock | (2,993) | | (7,117) | |
| 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 | (1,312) | | (2,063) | |
| 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 | 135 | | 936 | |
| Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax | (23) | | 22 | |
| Net change in excluded component of fair value hedges | 8 | | (12) | |
| Net decrease in goodwill, net of related DTLs | 310 | | 435 | |
| Net decrease in identifiable intangible assets other than MSRs, net of related DTLs | 87 | | 267 | |
| 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 | 295 | | 741 | |
| Net decrease in CECL 25% provision deferral | (385) | | (1,959) | |
| Other | 43 | | (389) | |
| Net change in Common Equity Tier 1 Capital | $ | (747) | | $ | 2,357 | |
Common Equity Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 149,631 | | $ | 149,631 | |
| Additional Tier 1 Capital, beginning of period | $ | 19,258 | | $ | 19,779 | |
| Net decrease in qualifying perpetual preferred stock | — | | (1,454) | |
| Net increase in qualifying trust preferred securities | 1 | | 5 | |
| Net decrease in permitted ownership interests in covered funds | — | | 917 | |
| Other | 12 | | 24 | |
| Net change in Additional Tier 1 Capital | $ | 13 | | $ | (508) | |
Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 168,902 | | $ | 168,902 | |
| Tier 2 Capital, beginning of period (Standardized Approach) | $ | 35,895 | | $ | 37,796 | |
| Net decrease in qualifying subordinated debt | (753) | | (3,025) | |
| Net increase in eligible allowance for credit losses | 135 | | 886 | |
| Other | 109 | | (271) | |
| Net decrease in Tier 2 Capital (Standardized Approach) | $ | (509) | | $ | (2,410) | |
| Tier 2 Capital, end of period (Standardized Approach) | $ | 35,386 | | $ | 35,386 | |
| Total Capital, end of period (Standardized Approach) | $ | 204,288 | | $ | 204,288 | |
| Tier 2 Capital, beginning of period (Advanced Approaches) | $ | 26,336 | | $ | 28,906 | |
| Net decrease in qualifying subordinated debt | (753) | | (3,025) | |
| Net decrease in excess of eligible credit reserves over expected credit losses | (171) | | (89) | |
| Other | 109 | | (271) | |
| Net decrease in Tier 2 Capital (Advanced Approaches) | $ | (815) | | $ | (3,385) | |
| Tier 2 Capital, end of period (Advanced Approaches) | $ | 25,521 | | $ | 25,521 | |
| Total Capital, end of period (Advanced Approaches) | $ | 194,423 | | $ | 194,423 | |
| | | | | | | | |
| In millions of dollars | Three Months Ended
September 30, 2022 | Nine Months Ended
September 30, 2022 |
| Common Equity Tier 1 Capital, beginning of period | $ | 144,893 | | $ | 149,305 | |
| Net income | 3,479 | | 12,332 | |
| Common and preferred dividends declared | (1,278) | | (3,819) | |
| Net change in treasury stock | 11 | | (2,737) | |
| Net increase in common stock and additional paid-in capital | 137 | | 344 | |
| Net change in foreign currency translation adjustment net of hedges, net of tax | (2,399) | | (4,043) | |
| Net change in unrealized gains (losses) on debt securities AFS, net of tax | (580) | | (6,358) | |
| Net decrease in defined benefit plans liability adjustment, net of tax | 37 | | 119 | |
| Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax | (194) | | (475) | |
| Net decrease in excluded component of fair value hedges | 30 | | 87 | |
| Net decrease in goodwill, net of related DTLs | 708 | | 1,823 | |
| Net decrease in identifiable intangible assets other than MSRs, net of related DTLs | 107 | | 308 | |
| Net decrease in defined benefit pension plan net assets | 50 | | 68 | |
| Net increase in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards | (11) | | (420) | |
| Net increase in excess over 10%/15% limitations for other DTAs, certain common stock investments and MSRs | (463) | | (1,261) | |
| Net change in CECL transition provision | — | | (757) | |
| Other | 40 | | 51 | |
| Net decrease in Common Equity Tier 1 Capital | $ | (326) | | $ | (4,738) | |
Common Equity Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 144,567 | | $ | 144,567 | |
| Additional Tier 1 Capital, beginning of period | $ | 20,266 | | $ | 20,263 | |
| Net increase in qualifying trust preferred securities | 1 | | 5 | |
| Other | (4) | | (5) | |
| Net change in Additional Tier 1 Capital | $ | (3) | | $ | — | |
Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 164,830 | | $ | 164,830 | |
| Tier 2 Capital, beginning of period (Standardized Approach) | $ | 31,249 | | $ | 34,270 | |
| Net decrease in qualifying subordinated debt | (1,659) | | (4,385) | |
| Net decrease in eligible allowance for credit losses | (474) | | (457) | |
| Other | (75) | | (387) | |
| Net decrease in Tier 2 Capital (Standardized Approach) | $ | (2,208) | | $ | (5,229) | |
| Tier 2 Capital, end of period (Standardized Approach) | $ | 29,041 | | $ | 29,041 | |
| Total Capital, end of period (Standardized Approach) | $ | 193,871 | | $ | 193,871 | |
| Tier 2 Capital, beginning of period (Advanced Approaches) | $ | 22,191 | | $ | 24,438 | |
| Net decrease in qualifying subordinated debt | (1,659) | | (4,385) | |
| Net change in excess of eligible credit reserves over expected credit losses | (241) | | 550 | |
| Other | (75) | | (387) | |
| Net decrease in Tier 2 Capital (Advanced Approaches) | $ | (1,975) | | $ | (4,222) | |
| Tier 2 Capital, end of period (Advanced Approaches) | $ | 20,216 | | $ | 20,216 | |
| Total Capital, end of period (Advanced Approaches) | $ | 185,046 | | $ | 185,046 | |
Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach)
| | | | | | | | |
| In millions of dollars | Three Months Ended
September 30, 2021 | Nine Months Ended September 30, 2021 |
| Total Risk-Weighted Assets, beginning of period | $ | 1,271,046 | | $ | 1,221,576 | |
| Changes in Credit Risk-Weighted Assets | | |
General credit risk exposures(1) | (3,460) | | 648 | |
Repo-style transactions(2) | 4,283 | | 9,450 | |
Securitization exposures(3) | (1,357) | | 6,588 | |
| Equity exposures | (996) | | 706 | |
Over-the-counter (OTC) derivatives(4) | 9,431 | | 31,924 | |
Other exposures(5) | 8,031 | | 22,433 | |
Off-balance sheet exposures(6) | (3,679) | | 6,332 | |
| Net change in Credit Risk-Weighted Assets | $ | 12,253 | | $ | 78,081 | |
| Changes in Market Risk-Weighted Assets | | |
| Risk levels | $ | (434) | | $ | (17,390) | |
| Model and methodology updates | 1,451 | | 2,049 | |
Net change in Market Risk-Weighted Assets(7) | $ | 1,017 | | $ | (15,341) | |
| Total Risk-Weighted Assets, end of period | $ | 1,284,316 | | $ | 1,284,316 | |
| | | | | | | | |
| In millions of dollars | Three Months Ended
September 30, 2022 | Nine Months Ended
September 30, 2022 |
| Total Risk-Weighted Assets, beginning of period | $ | 1,217,459 | | $ | 1,219,175 | |
| Changes in Credit Risk-Weighted Assets | | |
General credit risk exposures(1) | (18,472) | | (21,818) | |
Repo-style transactions(2) | (3,162) | | (15,077) | |
Securitization exposures(3) | 2,794 | | 1,958 | |
Equity exposures(4) | (1,402) | | (3,298) | |
Over-the-counter (OTC) derivatives(5) | (4,477) | | 22,701 | |
Other exposures(6) | (6,702) | | (8,807) | |
Off-balance sheet exposures(7) | (7,753) | | (15,181) | |
| Net decrease in Credit Risk-Weighted Assets | $ | (39,174) | | $ | (39,522) | |
| Changes in Market Risk-Weighted Assets | | |
| Risk levels | $ | (3,129) | | $ | (6,988) | |
| Model and methodology updates | 1,593 | | 4,084 | |
| Net decrease in Market Risk-Weighted Assets | $ | (1,536) | | $ | (2,904) | |
| Total Risk-Weighted Assets, end of period | $ | 1,176,749 | | $ | 1,176,749 | |
(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures decreased during the three and nine months ended September 30, 2021,2022 primarily due to a decrease in commercialwholesale loans.
(2)Repo-style transactions include repurchase and reverse repurchase transactions, as well as securities borrowing and securities lending transactions. Repo-style transactions increaseddecreased during the three andmonths ended September 30, 2022 primarily due to a decrease in margin loans, as well as reduced exposure in securities lending. Repo-style transactions decreased during the nine months ended September 30, 2021,2022 primarily due to volume-reduced exposure in repurchase agreements and exposure-driven increases.securities lending, as well as a decrease in margin loans.
(3)Securitization exposures increased during the three months ended September 30, 2022 primarily due to new issuances.
(4)Equity exposures decreased during the nine months ended September 30, 2021,2022 primarily due to increasesdecreases in new deals.market share prices of various investments.
(4)(5)OTC derivatives increaseddecreased during the three months ended September 30, 2021, mainly2022 primarily due to an increasedecreases in mark-to-market for bilateral derivatives.commodities and rates. OTC derivatives increased during the nine months ended September 30, 2021, mainly2022 primarily due to changesthe adoption of SA-CCR, partially offset by decreases in risk parameterscommodities, rates, FX and increasesequities. For additional information on SA-CCR, see “Capital Resources” in mark-to-market and notionals for bilateral derivatives.Citi’s First Quarter of 2022 Form 10-Q.
(5)(6)Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures increaseddecreased during the three and nine months ended September 30, 2021,2022 primarily due to increasesa decrease in various other assets.cleared derivatives.
(6)(7)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 theand nine months ended September 30, 2021, mainly2022 primarily due to an increasea decrease in wholesale loan commitments.
(7)Market risk-weighted assets decreased during the nine months ended September 30, 2021, primarily due to exposure changes.
Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
| | | | | | | | |
| In millions of dollars | Three Months Ended
September 30, 2021 | Nine Months Ended September 30, 2021 |
| Total Risk-Weighted Assets, beginning of period | $ | 1,253,785 | | $ | 1,255,284 | |
| Changes in Credit Risk-Weighted Assets | | |
Retail exposures(1) | 1,808 | | (14,383) | |
Wholesale exposures(2) | (6,854) | | 2,927 | |
Repo-style transactions(3) | 2,884 | | 839 | |
Securitization exposures(4) | (927) | | 6,884 | |
| Equity exposures | (1,036) | | 459 | |
Over-the-counter (OTC) derivatives(5) | 6,059 | | 15,615 | |
Derivatives CVA(6) | 5,245 | | 5,130 | |
Other exposures(7) | 3,947 | | 8,737 | |
| Supervisory 6% multiplier | 311 | | 1,086 | |
| Net change in Credit Risk-Weighted Assets | $ | 11,437 | | $ | 27,294 | |
| Changes in Market Risk-Weighted Assets | | |
| Risk levels | $ | 330 | | $ | (16,485) | |
| Model and methodology updates | 1,452 | | 2,049 | |
Net change in Market Risk-Weighted Assets(8) | $ | 1,782 | | $ | (14,436) | |
Net change in Operational Risk-Weighted Assets(9) | $ | (1,707) | | $ | (2,845) | |
| Total Risk-Weighted Assets, end of period | $ | 1,265,297 | | $ | 1,265,297 | |
| | | | | | | | |
| In millions of dollars | Three Months Ended
September 30, 2022 | Nine Months Ended
September 30, 2022 |
| Total Risk-Weighted Assets, beginning of period | $ | 1,235,956 | | $ | 1,209,374 | |
| Changes in Credit Risk-Weighted Assets | | |
Retail exposures(1) | 3,832 | | 8,023 | |
Wholesale exposures(2) | (13,067) | | (16,937) | |
Repo-style transactions(3) | (1,411) | | (11,084) | |
| Securitization exposures | 1,665 | | 2,141 | |
| Equity exposures | (1,324) | | (2,847) | |
Over-the-counter (OTC) derivatives(4) | (743) | | 9,262 | |
Derivatives CVA(5) | 5,493 | | 21,734 | |
Other exposures(6) | (5,010) | | (301) | |
| Supervisory 6% multiplier | (964) | | (705) | |
| Net change in Credit Risk-Weighted Assets | $ | (11,529) | | $ | 9,286 | |
| Changes in Market Risk-Weighted Assets | | |
| Risk levels | $ | (2,757) | | $ | (3,969) | |
| Model and methodology updates | 1,593 | | 4,083 | |
| Net change in Market Risk-Weighted Assets | $ | (1,164) | | $ | 114 | |
Net increase in Operational Risk-Weighted Assets(7) | $ | 3,315 | | $ | 7,804 | |
| Total Risk-Weighted Assets, end of period | $ | 1,226,578 | | $ | 1,226,578 | |
(1)Retail exposures decreasedincreased during the three months ended September 30, 2022 primarily due to an increase in consumer loans. Retail exposures increased during the nine months ended September 30, 2021,2022 primarily driven by seasonal holiday spending repaymentsdue to increases in consumer loans and improving delinquency and credit quality on qualifying revolving (cards) exposures.model recalibrations.
(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 nine months ended September 30, 2021,2022 primarily due to commercial loan growth and an increasedecreases in wholesale loan commitments.loans and available-for-sale securities.
(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 increaseddecreased during the nine months ended September 30, 2021,2022 primarily due to increasesreduced exposure in new deals.repurchase agreements and securities lending, as well as a decrease in margin loans.
(5)(4)OTC derivatives increased during the three months ended September 30, 2021, mainly driven by an increase in mark-to-market for bilateral derivatives. OTC derivatives increased during the nine months ended September 30, 2021,2022 primarily due to changesthe adoption of SA-CCR. For additional information on SA-CCR, see “Capital Resources” in risk parameters and an increase in mark-to-market for bilateral derivatives.Citi’s First Quarter of 2022 Form 10-Q.
(6)(5)Derivatives CVA increased during the three andmonths ended September 30, 2022 primarily due to an increase in equities. Derivatives CVA increased during the nine months ended September 30, 2021,2022 primarily driven by an increasedue to the adoption of SA-CCR. For additional information on SA-CCR, see “Capital Resources” in mark-to-market for bilateral derivatives.Citi’s First Quarter of 2022 Form 10-Q.
(7)(6)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures decreased during the three months ended September 30, 2022 primarily due to a decrease in accounts receivable.
(7)Operational risk-weighted assets increased during the three and nine months ended September 30, 2021,2022 primarily due to increases in various other assets.new model severity update.
(8)Market risk-weighted assets decreased during the nine months ended September 30, 2021, primarily due to exposure changes.
(9)Operational risk-weighted assets decreased during the three and nine months ended September 30, 2021, mainly driven by changes in operational loss frequency.
Supplementary Leverage Ratio
The following table sets forthpresents Citi’s Supplementary Leverage ratio and related components:
| | | | | | | | | | | |
| In millions of dollars, except ratios | September 30, 2021 | June 30, 2021 | December 31, 2020 |
| Tier 1 Capital | $ | 168,902 | | $ | 169,636 | | $ | 167,053 | |
| Total Leverage Exposure | | | |
On-balance sheet assets(1)(2)(3) | $ | 2,349,414 | | $ | 2,345,584 | | $ | 1,864,374 | |
Certain off-balance sheet exposures:(4) | | | |
| Potential future exposure on derivative contracts | 222,157 | | 216,555 | | 183,604 | |
Effective notional of sold credit derivatives, net(5) | 21,987 | | 25,590 | | 32,640 | |
Counterparty credit risk for repo-style transactions(6) | 21,174 | | 21,375 | | 20,168 | |
| Unconditionally cancellable commitments | 70,541 | | 70,931 | | 71,163 | |
Other off-balance sheet exposures(7) | 263,361 | | 261,881 | | 253,754 | |
| Total of certain off-balance sheet exposures | $ | 599,220 | | $ | 596,332 | | $ | 561,329 | |
| Less: Tier 1 Capital deductions | 37,584 | | 38,261 | | 38,822 | |
Total Leverage Exposure(3) | $ | 2,911,050 | | $ | 2,903,655 | | $ | 2,386,881 | |
| Supplementary Leverage ratio | 5.80 | % | 5.84 | % | 7.00 | % |
| | | | | | | | | | | |
| In millions of dollars, except ratios | September 30, 2022 | June 30, 2022 | December 31, 2021 |
| Tier 1 Capital | $ | 164,830 | | $ | 165,159 | | $ | 169,568 | |
| Total Leverage Exposure | | | |
On-balance sheet assets(1)(2) | $ | 2,401,767 | | $ | 2,382,324 | | $ | 2,389,237 | |
Certain off-balance sheet exposures:(3) | | | |
| Potential future exposure on derivative contracts | 153,842 | | 178,183 | | 222,241 | |
Effective notional of sold credit derivatives, net(4) | 32,768 | | 33,187 | | 23,788 | |
Counterparty credit risk for repo-style transactions(5) | 16,997 | | 20,022 | | 25,775 | |
| Other off-balance sheet exposures | 320,364 | | 359,222 | | 334,526 | |
| Total of certain off-balance sheet exposures | $ | 523,971 | | $ | 590,614 | | $ | 606,330 | |
| Less: Tier 1 Capital deductions | 37,203 | | 37,649 | | 37,803 | |
| Total Leverage Exposure | $ | 2,888,535 | | $ | 2,935,289 | | $ | 2,957,764 | |
| Supplementary Leverage ratio | 5.71 | % | 5.63 | % | 5.73 | % |
(1)Represents the daily average of on-balance sheet assets for the quarter.
(2)Citi has elected to applyCiti’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in DTAs arising from temporary differences and the allowance forcurrent expected credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in Total Leverage Exposure.
(3)Commencing with the second quarter of 2020 and continuing through the first quarter of 2021, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and deposits at Federal Reserve Banks.(CECL) standard. For additional information, see “Capital Resources—Current Regulatory Capital Standards—Temporary Supplementary Leverage Ratio Relief”Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 2020 Annual Report on2021 Form 10-K.
(4)(3)Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(5)(4)Under the U.S. Basel III rules, banking organizations are required to include in Total Leverage Exposure the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.
(6)(5)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
(7)Other off-balance sheet exposures include unfunded commitments other than those that are unconditionally cancellable.
As set forthpresented in the table above, Citigroup’s Supplementary Leverage Ratioratio was approximately 5.8%5.7% at September 30, 20212022 and June 30,December 31, 2021, compared to 7.0%5.6% at December 31, 2020.June 30, 2022. The ratio remained largely unchangedincrease from the second quarter of 2021.
The ratio decreased2022 was primarily driven by net income and a decrease in Total Leverage Exposure, partially offset by a reduction in Tier 1 Capital resulting from interest rate impacts on Citigroup’s investment portfolio and the fourth quarterreturn of 2020, primarily attributablecapital 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.common shareholders through dividends.
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 forthpresent the capital components and ratios for Citibank, Citi’s primary subsidiary U.S. depository institution:
| | | Advanced Approaches | Standardized Approach | | Advanced Approaches | Standardized Approach |
| In millions of dollars, except ratios | 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 | In millions of dollars, except ratios | Required Capital Ratios(1) | September 30, 2022 | June 30, 2022 | December 31, 2021 | September 30, 2022 | June 30, 2022 | December 31, 2021 |
Common Equity Tier 1 Capital(2) | Common Equity Tier 1 Capital(2) | | $ | 147,459 | | $ | 146,729 | | $ | 142,854 | | $ | 147,459 | | $ | 146,729 | | $ | 142,854 | | Common Equity Tier 1 Capital(2) | | $ | 147,938 | | $ | 148,742 | | $ | 148,548 | | $ | 147,938 | | $ | 148,742 | | $ | 148,548 | |
| Tier 1 Capital | Tier 1 Capital | | 149,588 | | 148,858 | | 144,962 | | 149,588 | | 148,858 | | 144,962 | | Tier 1 Capital | | 150,062 | | 150,870 | | 150,679 | | 150,062 | | 150,870 | | 150,679 | |
Total Capital (Tier 1 Capital + Tier 2 Capital)(2)(3) | Total Capital (Tier 1 Capital + Tier 2 Capital)(2)(3) | | 166,169 | | 165,462 | | 161,319 | | 174,652 | | 173,964 | | 169,303 | | Total Capital (Tier 1 Capital + Tier 2 Capital)(2)(3) | | 165,171 | | 166,094 | | 166,921 | | 172,916 | | 174,213 | | 175,427 | |
Total Risk-Weighted Assets(4) | Total Risk-Weighted Assets(4) | | 1,062,794 | | 1,060,121 | | 1,021,479 | | 1,099,462 | | 1,093,887 | | 1,038,031 | | Total Risk-Weighted Assets(4) | | 1,046,884 | | 1,057,336 | | 1,017,774 | | 1,024,923 | | 1,068,525 | | 1,066,015 | |
Credit Risk(2) | Credit Risk(2) | | $ | 756,647 | | $ | 759,744 | | $ | 716,513 | | $ | 1,041,022 | | $ | 1,043,517 | | $ | 977,366 | | Credit Risk(2) | | $ | 762,660 | | $ | 780,785 | | $ | 737,802 | | $ | 983,949 | | $ | 1,023,309 | | $ | 1,016,293 | |
| Market Risk | Market Risk | | 55,566 | | 48,799 | | 59,815 | | 58,440 | | 50,370 | | 60,665 | | Market Risk | | 40,676 | | 44,755 | | 48,089 | | 40,974 | | 45,216 | | 49,722 | |
| Operational Risk | Operational Risk | | 250,581 | | 251,578 | | 245,151 | | — | | — | | — | | Operational Risk | | 243,548 | | 231,796 | | 231,883 | | — | | — | | — | |
Common Equity Tier 1 Capital ratio(4)(5) | Common Equity Tier 1 Capital ratio(4)(5) | 7.0 | % | 13.87 | % | 13.84 | % | 13.99 | % | 13.41 | % | 13.41 | % | 13.76 | % | Common Equity Tier 1 Capital ratio(4)(5) | 7.0 | % | 14.13 | % | 14.07 | % | 14.60 | % | 14.43 | % | 13.92 | % | 13.93 | % |
Tier 1 Capital ratio(4)(5) | Tier 1 Capital ratio(4)(5) | 8.5 | | 14.08 | | 14.04 | | 14.19 | | 13.61 | | 13.61 | | 13.97 | | Tier 1 Capital ratio(4)(5) | 8.5 | | 14.33 | | 14.27 | | 14.80 | | 14.64 | | 14.12 | | 14.13 | |
Total Capital ratio(4)(5) | Total Capital ratio(4)(5) | 10.5 | | 15.64 | | 15.61 | | 15.79 | | 15.89 | | 15.90 | | 16.31 | | Total Capital ratio(4)(5) | 10.5 | | 15.78 | | 15.71 | | 16.40 | | 16.87 | | 16.30 | | 16.46 | |
| | In millions of dollars, except ratios | In millions of dollars, except ratios | Effective Minimum Requirement | September 30, 2021 | June 30, 2021 | December 31, 2020 | In millions of dollars, except ratios | Required Capital Ratios | September 30, 2022 | June 30, 2022 | December 31, 2021 |
Quarterly Adjusted Average Total Assets(2)(6) | Quarterly Adjusted Average Total Assets(2)(6) | | $ | 1,682,993 | | $ | 1,680,681 | | $ | 1,680,026 | | Quarterly Adjusted Average Total Assets(2)(6) | | $ | 1,694,381 | | $ | 1,680,846 | | $ | 1,716,596 | |
Total Leverage Exposure(2)(7) | Total Leverage Exposure(2)(7) | | 2,205,471 | | 2,199,985 | | 2,180,821 | | Total Leverage Exposure(2)(7) | | 2,147,923 | | 2,178,239 | | 2,236,839 | |
Tier 1 Leverage ratio(5) | Tier 1 Leverage ratio(5) | 5.0 | % | 8.89 | % | 8.86 | % | 8.63 | % | Tier 1 Leverage ratio(5) | 5.0 | % | 8.86 | % | 8.98 | % | 8.78 | % |
Supplementary Leverage ratio(5) | Supplementary Leverage ratio(5) | 6.0 | | 6.78 | | 6.77 | | 6.65 | | Supplementary Leverage ratio(5) | 6.0 | | 6.99 | | 6.93 | | 6.74 | |
(1)Citibank’s effective minimumrequired risk-based capital requirementsratios 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 applyCitibank’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the impactcurrent expected credit losses (CECL) standard. For additional information, see “Capital Resources—Regulatory Capital Treatment—Modified Transition of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changesCurrent Expected Credit Losses Methodology” 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,Citi’s 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. In addition, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.Form 10-K.
(3)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 reportablebinding Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Advanced Approaches framework as of September 30, 2022, and under the Basel III Standardized Approach as of June 30, 2022 and December 31, 2021, whereas Citibank’s binding 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 minimumrequired 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 minimumrequired 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 September 30, 20212022 were in excess of the stated and effective minimumregulatory capital requirements under the U.S. Basel III rules. In addition, Citibank was “well capitalized” as of September 30, 2021.2022.
Impact of Changes on Citigroup and Citibank Capital Ratios
The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to changes of $100 million in Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in
Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of September 30, 2021.2022. This information is provided for the purpose of analyzing the impact that a change in Citigroup’s or Citibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, quarterly adjusted average total assets or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.
| | | Common Equity Tier 1 Capital ratio | Tier 1 Capital ratio | Total Capital ratio | | Common Equity Tier 1 Capital ratio | Tier 1 Capital ratio | Total Capital ratio |
| In basis points | In basis points | Impact of $100 million change in Common Equity Tier 1 Capital | Impact of $1 billion change in risk- weighted assets | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in risk- weighted assets | Impact of $100 million change in Total Capital | Impact of $1 billion change in risk- weighted assets | In basis points | Impact of $100 million change in Common Equity Tier 1 Capital | Impact of $1 billion change in risk- weighted assets | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in risk- weighted assets | Impact of $100 million change in Total Capital | Impact of $1 billion change in risk- weighted assets |
| Citigroup | Citigroup | | | | | | Citigroup | | | | | |
| Advanced Approaches | Advanced Approaches | 0.8 | 0.9 | 0.8 | 1.1 | 0.8 | 1.2 | Advanced Approaches | 0.8 | 1.0 | 0.8 | 1.1 | 0.8 | 1.2 |
| Standardized Approach | Standardized Approach | 0.8 | 0.9 | 0.8 | 1.0 | 0.8 | 1.2 | Standardized Approach | 0.8 | 1.0 | 0.8 | 1.2 | 0.8 | 1.4 |
| Citibank | Citibank | | | | | | Citibank | | | | | |
| Advanced Approaches | Advanced Approaches | 0.9 | 1.3 | 0.9 | 1.3 | 0.9 | 1.5 | Advanced Approaches | 1.0 | 1.4 | 1.0 | 1.4 | 1.0 | 1.5 |
| Standardized Approach | Standardized Approach | 0.9 | 1.2 | 0.9 | 1.2 | 0.9 | 1.4 | Standardized Approach | 1.0 | 1.4 | 1.0 | 1.4 | 1.0 | 1.6 |
| | | | | | | | | | | | | | |
| 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 September 30, 2021,2022, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of $13$10 billion, which exceeded the minimum requirement by $9$6 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$27 billion at September 30, 2021,2022, which exceeded the PRA’s minimum regulatory capital requirements.
In addition, certain of Citi’s other broker-dealer subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other principal broker-dealer subsidiaries were in compliance with their regulatory capital requirements at September 30, 2021.2022.
Total Loss-Absorbing Capacity (TLAC)
The table below details Citi’s eligible external TLAC and long-term debt (LTD) amounts and ratios, and each effective minimum TLAC and LTD ratioregulatory requirement, as well as the surplus amount in dollars in excess of each requirement.
As of September 30, 2021, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $12 billion surplus above its binding TLAC requirement of LTD as a percentage of Total Leverage Exposure.
| | | September 30, 2021 | | September 30, 2022 |
| In billions of dollars, except ratios | In billions of dollars, except ratios | External TLAC | LTD | In billions of dollars, except ratios | External TLAC | LTD |
| Total eligible amount | Total eligible amount | $ | 318 | | $ | 143 | | Total eligible amount | $ | 327 | | $ | 158 | |
% of Standardized Approach risk-
weighted assets | 24.8 | % | 11.1 | % | |
Effective minimum requirement(1)(2) | 22.5 | | 9.0 | | |
% of Advanced Approaches risk-
weighted assets | | % of Advanced Approaches risk-
weighted assets | 26.7 | % | 12.8 | % |
Regulatory requirement(1)(2) | | Regulatory requirement(1)(2) | 22.5 | | 9.0 | |
| Surplus amount | Surplus amount | $ | 29 | | $ | 27 | | Surplus amount | $ | 51 | | $ | 47 | |
| % of Total Leverage Exposure | % of Total Leverage Exposure | 10.9 | % | 4.9 | % | % of Total Leverage Exposure | 11.3 | % | 5.5 | % |
| Effective minimum requirement | 9.5 | | 4.5 | | |
| Regulatory requirement | | Regulatory requirement | 9.5 | | 4.5 | |
| Surplus amount | Surplus amount | $ | 41 | | $ | 12 | | Surplus amount | $ | 53 | | $ | 28 | |
(1) External TLAC includes Method 1 GSIB surcharge of 2.0%.
(2) LTD includes Method 2 GSIB surcharge of 3.0%.
As of September 30, 2022, Citi exceeded each of the TLAC and LTD regulatory requirements, resulting in a $28 billion surplus above its binding TLAC requirement of LTD as a percentage of Total Leverage Exposure.
For additional information on Citi’s TLAC-related requirements, see “Capital Resources—Total Loss-Absorbing Capacity (TLAC)” and “Risk Factors—Compliance Risks” in Citi’s 2020 Annual Report on2021 Form 10-K.
Capital Resources (Full Adoption of CECL)(1)
The following tables set forthpresent Citigroup’s and Citibank’s capital components and ratios reflectingunder a hypothetical scenario where the full impact of CECL is reflected as of September 30, 2021:2022:
| | | | | | | | | | | | | | | | | | | | |
| Citigroup | Citibank |
| Effective Minimum Requirement(2) | Advanced Approaches | Standardized Approach | Effective Minimum Requirement | Advanced Approaches | Standardized Approach |
| Common Equity Tier 1 Capital ratio | 10.0 | % | 11.55 | % | 11.38 | % | 7.0 | % | 13.59 | % | 13.14 | % |
| Tier 1 Capital ratio | 11.5 | | 13.07 | | 12.88 | | 8.5 | | 13.79 | | 13.33 | |
| Total Capital ratio | 13.5 | | 15.11 | | 15.65 | | 10.5 | | 15.35 | | 15.62 | |
| | | | | | | | | | | | | | | | | | | | |
| Effective Minimum Requirement | Citigroup | Effective Minimum Requirement | Citibank |
| Tier 1 Leverage ratio | 4.0 | % | 7.15 | % | 5.0 | % | 8.71 | % |
| Supplementary Leverage ratio | 5.0 | | 5.68 | | 6.0 | | 6.64 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| Citigroup | Citibank |
| Required Capital Ratios, Advanced Approaches | Required Capital Ratios, Standardized Approach | Advanced Approaches | Standardized Approach | Required Capital Ratios(2) | Advanced Approaches | Standardized Approach |
| Common Equity Tier 1 Capital ratio | 10.0 | % | 10.5 | % | 11.56 | % | 12.05 | % | 7.0 | % | 13.94 | % | 14.24 | % |
| Tier 1 Capital ratio | 11.5 | | 12.0 | | 13.21 | | 13.78 | | 8.5 | | 14.14 | | 14.44 | |
| Total Capital ratio | 13.5 | | 14.0 | | 14.88 | | 16.25 | | 10.5 | | 15.59 | | 16.68 | |
| | | | | | | | | | | | | | | | | | | | |
| Required Capital Ratios | Citigroup | Required Capital Ratios | Citibank |
| Tier 1 Leverage ratio | 4.0 | % | 6.84 % | 5.0 | % | 8.74 % |
| Supplementary Leverage ratio | 5.0 | | 5.60 | 6.0 | | 6.89 |
(1)See footnote 2 on the “Components of Citigroup Capital” table above.
(2)The effective minimum requirementsCitibank’s required capital ratios were applicable through September 30, 2021. See “Stress Capital Buffer” above for additional information.
Upcoming Adoption of the Standardized Approach for Counterparty Credit Risk
In January 2020, the U.S. banking agencies issued a final rule to introduce the Standardized Approach for Counterparty Credit Risk (SA-CCR). SA-CCR will replace the Current Exposure Method, which is the current methodology used to calculate exposure for derivative contracts, throughout the regulatory framework. Among other instances, SA-CCR will be used for purposes of calculating risk-weighted assetssame under the Standardized Approach and the Advanced Approaches (where internal models are not used), as well as Total Leverage Exposure. The mandatory compliance date of the SA-CCR final rule is January 1, 2022. For additional information on the SA-CCR final rule, see “Capital Resources—Regulatory Capital Standards Developments—Standardized Approach for Counterparty Credit Risk” in Citi’s 2020 Annual Report on Form 10-K.
Citi’s adoption of SA-CCR will result in an adverse impact to Citigroup’s and Citibank’s regulatory capital ratios in the first quarter of 2022. The magnitude of the impact upon adoption remains subject to additional implementation planning and business actions, including composition of the derivatives portfolio as of the adoption date.framework.
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 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 | September 30,
2021 | December 31,
2020 |
| Total Citigroup stockholders’ equity | $ | 200,875 | | $ | 199,442 | |
| Less: Preferred stock | 17,995 | | 19,480 | |
| Common stockholders’ equity | $ | 182,880 | | $ | 179,962 | |
| Less: | | |
| Goodwill | 21,573 | | 22,162 | |
| 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) | 257 | | — | |
| Tangible common equity (TCE) | $ | 156,906 | | $ | 153,389 | |
| Common shares outstanding (CSO) | 1,984.3 | | 2,082.1 | |
| Book value per share (common stockholders’ equity/CSO) | $ | 92.16 | | $ | 86.43 | |
| Tangible book value per share (TCE/CSO) | 79.07 | | 73.67 | |
| | | | | | | | | | | | | | |
| Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Net income available to common shareholders | $ | 4,378 | | $ | 2,862 | | $ | 17,968 | | $ | 5,910 | |
| Average common stockholders’ equity | 183,613 | | 174,943 | | 182,422 | | 174,934 | |
| Average TCE | 157,371 | | 149,012 | | 156,047 | | 149,018 | |
| Return on average common stockholders’ equity | 9.5 | % | 6.5 | % | 13.2 | % | 4.5 | % |
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. Tangible book value per share represents average TCE divided by average common shares outstanding. Other companies may calculate these measures differently. TCE, RoTCE and tangible book value per share are non-GAAP financial measures.
| | | | | | | | |
| In millions of dollars or shares, except per share amounts | September 30,
2022 | December 31,
2021 |
| Total Citigroup stockholders’ equity | $ | 198,560 | | $ | 201,972 | |
| Less: Preferred stock | 18,995 | | 18,995 | |
| Common stockholders’ equity | $ | 179,565 | | $ | 182,977 | |
| Less: | | |
| Goodwill | 19,326 | | 21,299 | |
| Identifiable intangible assets (other than MSRs) | 3,838 | | 4,091 | |
Goodwill and identifiable intangible assets (other than MSRs) related to assets held-for-sale (HFS) | 794 | | 510 | |
| Tangible common equity (TCE) | $ | 155,607 | | $ | 157,077 | |
| Common shares outstanding (CSO) | 1,936.9 | | 1,984.4 | |
| Book value per share (common stockholders’ equity/CSO) | $ | 92.71 | | $ | 92.21 | |
| Tangible book value per share (TCE/CSO) | 80.34 | | 79.16 | |
| | | | | | | | | | | | | | |
| Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2022 | 2021 | 2022 | 2021 |
| Net income available to common shareholders | $ | 3,202 | | $ | 4,378 | | $ | 11,538 | | $ | 17,968 | |
| Average common stockholders’ equity | 179,699 | | 183,613 | | 179,950 | | 182,422 | |
| Average TCE | 155,511 | | 157,371 | | 155,391 | | 156,047 | |
| Return on average common stockholders’ equity | 7.1 | % | 9.5 | % | 8.6 | % | 13.2 | % |
| RoTCE | 8.2 | | 11.0 | | 9.9 | | 15.4 | |
Managing Global Risk Table of Contents
| | | | | | | | |
| MANAGING GLOBAL RISK | | |
CREDIT RISK(1) | | |
| Corporate Credit | | |
| Consumer Credit | | |
Corporate Credit | | |
| Additional Consumer and Corporate Credit Details | | |
| Loans Outstanding | | |
| Details of Credit Loss Experience | | |
| Allowance for Credit Losses on Loans (ACLL) | | 5248 |
| Non-Accrual Loans and Assets and Renegotiated Loans | | |
| LIQUIDITY RISK | | |
| High-Quality Liquid Assets (HQLA) | | |
| Liquidity Coverage Ratio (LCR) | | |
| Loans | | 5854 |
| Deposits | | 5854 |
| Long-Term Debt | | 5955 |
| Secured Funding Transactions and Short-Term Borrowings | | 6157 |
| Credit Ratings | | 6258 |
MARKET RISK(1) | | |
| Market Risk of Non-Trading Portfolios | | |
| Market Risk of Trading Portfolios | | |
STRATEGIC RISKOTHER RISKS | | |
| LIBOR Transition Risk | | |
| Country Risk | | |
| Russia | | |
| Ukraine | | |
| Argentina | | |
(1) For additional information regarding certain credit risk, market risk and other quantitative and qualitative information, refer to Citi’s Pillar 3 Basel III Advanced Approaches Disclosures, as required by the rules of the Federal Reserve Board, on Citi’s Investor Relations website.
MANAGING GLOBAL RISK
For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to monitor, evaluate and manage the principal risks it assumes in conducting its activities. Specifically, the activities that Citi engages in, and the risks those activities generate, must be consistent with Citi’s mission, strategy, value proposition, key guiding principles and risk appetite. For more information on managing global risk at Citi, see “Managing Global Risk” in Citi’s 2021 Form 10-K.
CREDIT RISK
For more information on credit risk, including Citi’s credit risk management, measurement and stress testing, and Citi’s consumer and corporate credit portfolios, see “Credit Risk” and “Risk Factors” in Citi’s 2020 Annual Report on2021 Form 10-K.
The following table details Citi’s corporate credit portfolio within ICG and the Mexico SBMM component of Legacy Franchises (excluding certain loans managed on a delinquency basis, loans carried at fair value and loans held-for-sale), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | September 30, 2022 | June 30, 2022 | December 31, 2021 |
| In billions of dollars | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure |
Direct outstandings (on-balance sheet)(1) | $ | 143 | | $ | 114 | | $ | 27 | | $ | 284 | | $ | 158 | | $ | 117 | | $ | 21 | | $ | 296 | | $ | 145 | | $ | 119 | | $ | 20 | | $ | 284 | |
Unfunded lending commitments (off-balance sheet)(2) | 133 | | 248 | | 10 | | 391 | | 141 | | 264 | | 9 | | 414 | | 147 | | 269 | | 13 | | 429 | |
| Total exposure | $ | 276 | | $ | 362 | | $ | 37 | | $ | 675 | | $ | 299 | | $ | 381 | | $ | 30 | | $ | 710 | | $ | 292 | | $ | 388 | | $ | 33 | | $ | 713 | |
(1) Includes drawn loans, overdrafts, bankers’ acceptances and leases.
(2) Includes unused commitments to lend, letters of credit and financial guarantees.
Portfolio Mix—Geography and Counterparty
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region based on Citi’s internal management geography:
| | | | | | | | | | | |
| September 30,
2022 | June 30, 2022 | December 31,
2021 |
| North America | 56 | % | 56 | % | 56 | % |
| EMEA | 25 | | 25 | | 25 | |
| Asia | 12 | | 12 | | 13 | |
| Latin America | 7 | | 7 | | 6 | |
| Total | 100 | % | 100 | % | 100 | % |
The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived by leveraging validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position, regulatory environment and commodity prices. Facility risk ratings are assigned that reflect the probability of default of the obligor and factors that affect the loss given default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are considered investment grade, while those below are considered non-investment grade.
The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:
| | | | | | | | | | | |
| | Total exposure |
| | September 30,
2022 | June 30,
2022 | December 31,
2021 |
| AAA/AA/A | 50 | % | 50 | % | 48 | % |
| BBB | 33 | | 33 | | 34 | |
| BB/B | 15 | | 15 | | 16 | |
| CCC or below | 2 | | 2 | | 2 | |
| Total | 100 | % | 100 | % | 100 | % |
Note: Total exposure includes direct outstandings and unfunded lending commitments.
In addition to the obligor and facility risk ratings assigned to all exposures, Citi may classify exposures in the corporate credit portfolio. These classifications are consistent with Citi’s interpretation of the U.S. banking regulators’ definition of criticized exposures, which may categorize exposures as special mention, substandard, doubtful or loss.
Risk ratings and classifications are reviewed regularly, and adjusted as appropriate. The credit review process incorporates quantitative and qualitative factors, including financial and non-financial disclosures or metrics, idiosyncratic events or changes to the competitive, regulatory or macroeconomic environment.
Citigroup believes the corporate credit portfolio to be appropriately rated and classified as of September 30, 2022. Citigroup has taken action to adjust internal ratings and classifications of exposures as both the macroeconomic environment and obligor-specific factors have changed, particularly where additional stress has been seen.
As obligor risk ratings are downgraded, the probability of default increases. Downgrades of obligor risk ratings tend to result in a higher provision for credit losses. In addition, downgrades may result in the purchase of additional credit derivatives or other risk mitigants to hedge the incremental credit risk, or may result in Citi’s seeking to reduce exposure to an obligor or an industry sector. Citi will continue to review exposures to ensure that the appropriate probability of default is incorporated into all risk assessments.
See Note 13 for additional information on Citi’s corporate credit portfolio.
Portfolio Mix—Industry
Citi’s corporate credit portfolio is diversified by industry. The following table details the allocation of Citi’s total corporate credit portfolio by industry:
| | | | | | | | | | | |
| | Total exposure |
| | September 30,
2022 | June 30,
2022 | December 31,
2021 |
| Transportation and industrials | 20 | % | 20 | % | 20 | % |
| Technology, media and telecom | 12 | | 12 | | 12 | |
| Consumer retail | 11 | | 11 | | 11 | |
| Real estate | 10 | | 10 | | 10 | |
| Power, chemicals, metals and mining | 9 | | 9 | | 9 | |
| Banks and finance companies | 9 | | 9 | | 8 | |
| Energy and commodities | 7 | | 7 | | 7 | |
| Asset managers and funds | 7 | | 7 | | 8 | |
| Health | 5 | | 5 | | 5 | |
| Insurance | 4 | | 4 | | 4 | |
| Public sector | 3 | | 3 | | 3 | |
| Financial markets infrastructure | 2 | | 2 | | 2 | |
| Securities firms | — | | — | | — | |
| Other industries | 1 | | 1 | | 1 | |
| Total | 100 | % | 100 | % | 100 | % |
The following table details Citi’s corporate credit portfolio by industry as of September 30, 2022:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing | Net credit losses (recoveries) | Credit derivative hedges(3) |
| Transportation and industrials | $ | 135,469 | | $ | 52,978 | | $ | 82,491 | | $ | 105,517 | | $ | 20,566 | | $ | 8,871 | | $ | 515 | | | $ | 330 | | $ | (37) | | $ | (8,136) | |
Autos(4) | 46,238 | | 19,221 | | 27,017 | | 38,257 | | 6,452 | | 1,390 | | 139 | | | 43 | | 1 | | (2,884) | |
| Transportation | 24,417 | | 11,163 | | 13,254 | | 18,094 | | 2,771 | | 3,371 | | 181 | | | 84 | | (41) | | (1,255) | |
| Industrials | 64,814 | | 22,594 | | 42,220 | | 49,166 | | 11,343 | | 4,110 | | 195 | | | 203 | | 3 | | (3,997) | |
| Technology, media and telecom | 80,793 | | 30,164 | | 50,629 | | 64,911 | | 12,015 | | 3,550 | | 317 | | | 209 | | 8 | | (5,970) | |
| Consumer retail | 75,757 | | 32,305 | | 43,452 | | 58,550 | | 13,718 | | 3,098 | | 391 | | | 241 | | 16 | | (4,884) | |
| Real estate | 67,330 | | 45,582 | | 21,748 | | 58,399 | | 5,683 | | 3,246 | | 2 | | | 134 | | 1 | | (625) | |
| Power, chemicals, metals and mining | 60,285 | | 18,611 | | 41,674 | | 48,794 | | 9,997 | | 1,294 | | 200 | | | 150 | | 15 | | (4,718) | |
| Power | 23,024 | | 4,703 | | 18,321 | | 19,712 | | 2,863 | | 394 | | 55 | | | 52 | | — | | (2,173) | |
| Chemicals | 23,614 | | 8,033 | | 15,581 | | 19,453 | | 3,552 | | 496 | | 113 | | | 59 | | 15 | | (1,933) | |
| Metals and mining | 13,647 | | 5,875 | | 7,772 | | 9,629 | | 3,582 | | 404 | | 32 | | | 39 | | — | | (612) | |
| Banks and finance companies | 60,503 | | 38,537 | | 21,966 | | 51,712 | | 6,043 | | 2,581 | | 167 | | | 108 | | 30 | | (845) | |
Energy and commodities(5) | 47,467 | | 14,628 | | 32,839 | | 39,050 | | 6,700 | | 1,561 | | 156 | | | 284 | | 11 | | (3,502) | |
| Asset managers and funds | 44,814 | | 20,988 | | 23,826 | | 42,592 | | 2,155 | | 67 | | — | | | 156 | | — | | (866) | |
| Health | 32,546 | | 8,865 | | 23,681 | | 27,691 | | 3,894 | | 862 | | 99 | | | 103 | | 1 | | (2,629) | |
| Insurance | 27,797 | | 3,350 | | 24,447 | | 26,918 | | 879 | | — | | — | | | 3 | | — | | (2,699) | |
| Public sector | 23,425 | | 12,982 | | 10,443 | | 19,758 | | 1,827 | | 1,683 | | 157 | | | 22 | | 3 | | (1,370) | |
| Financial markets infrastructure | 8,936 | | 57 | | 8,879 | | 8,865 | | 71 | | — | | — | | | — | | — | | (20) | |
| Securities firms | 1,590 | | 797 | | 793 | | 756 | | 657 | | 175 | | 2 | | | 8 | | — | | (3) | |
| Other industries | 8,193 | | 4,464 | | 3,729 | | 5,566 | | 2,314 | | 281 | | 32 | | | 37 | | 12 | | (247) | |
| Total | $ | 674,905 | | $ | 284,308 | | $ | 390,597 | | $ | 559,079 | | $ | 86,519 | | $ | 27,269 | | $ | 2,038 | | | $ | 1,785 | | $ | 60 | | $ | (36,514) | |
(1) Excludes $0.4 billion and $0.1 billion of funded and unfunded exposure at September 30, 2022, respectively, primarily related to the delinquency-managed loans and unearned income. Funded balance also excludes loans carried at fair value of $3.6 billion at September 30, 2022.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $36.5 billion of purchased credit protection, $33.2 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $16.9 billion ($7.6 billion in funded, with 100% rated investment grade) as of September 30, 2022.
(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of September 30, 2022, Citi’s total exposure to these energy-related entities was approximately $5.1 billion, of which approximately $2.5 billion consisted of direct outstanding funded loans.
The following table details Citi’s corporate credit portfolio by industry as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing | Net credit losses (recoveries) | Credit derivative hedges(3) |
| Transportation and industrials | $ | 143,445 | | $ | 51,502 | | $ | 91,943 | | $ | 110,047 | | $ | 19,051 | | $ | 13,196 | | $ | 1,151 | | | $ | 384 | | $ | 127 | | $ | (8,791) | |
Autos(4) | 48,210 | | 18,662 | | 29,548 | | 39,824 | | 5,365 | | 2,906 | | 115 | | | 49 | | 2 | | (3,228) | |
| Transportation | 26,897 | | 12,085 | | 14,812 | | 19,233 | | 2,344 | | 4,447 | | 873 | | | 105 | | 104 | | (1,334) | |
| Industrials | 68,338 | | 20,755 | | 47,583 | | 50,990 | | 11,342 | | 5,843 | | 163 | | | 230 | | 21 | | (4,229) | |
| Technology, media and telecom | 84,333 | | 28,542 | | 55,791 | | 64,676 | | 15,873 | | 3,587 | | 197 | | | 156 | | 11 | | (6,875) | |
| Consumer retail | 78,994 | | 32,894 | | 46,100 | | 60,686 | | 13,590 | | 4,311 | | 407 | | | 224 | | 100 | | (5,115) | |
| Real estate | 69,808 | | 46,220 | | 23,588 | | 58,089 | | 6,761 | | 4,923 | | 35 | | | 116 | | 50 | | (798) | |
Power, chemicals, metals
and mining | 65,641 | | 20,224 | | 45,417 | | 53,575 | | 10,708 | | 1,241 | | 117 | | | 292 | | 22 | | (5,808) | |
| Power | 26,199 | | 5,610 | | 20,589 | | 22,860 | | 2,832 | | 420 | | 87 | | | 100 | | 17 | | (3,032) | |
| Chemicals | 25,550 | | 8,525 | | 17,025 | | 20,788 | | 4,224 | | 528 | | 10 | | | 88 | | 6 | | (2,141) | |
| Metals and mining | 13,892 | | 6,089 | | 7,803 | | 9,927 | | 3,652 | | 293 | | 20 | | | 104 | | (1) | | (635) | |
| Banks and finance companies | 58,252 | | 36,804 | | 21,448 | | 49,465 | | 4,892 | | 3,890 | | 5 | | | 150 | | (5) | | (680) | |
Energy and commodities(5) | 48,973 | | 13,485 | | 35,488 | | 38,972 | | 7,517 | | 2,220 | | 264 | | | 224 | | 78 | | (3,679) | |
| Asset managers and funds | 55,517 | | 26,879 | | 28,638 | | 54,119 | | 1,019 | | 377 | | 2 | | | 211 | | — | | (869) | |
| Health | 33,393 | | 8,826 | | 24,567 | | 27,600 | | 4,702 | | 942 | | 149 | | | 95 | | — | | (2,465) | |
| Insurance | 28,495 | | 3,162 | | 25,333 | | 27,447 | | 987 | | 61 | | — | | | 2 | | 1 | | (2,711) | |
| Public sector | 23,842 | | 12,464 | | 11,378 | | 21,035 | | 1,527 | | 1,275 | | 5 | | | 37 | | (3) | | (1,282) | |
| Financial markets infrastructure | 14,341 | | 109 | | 14,232 | | 14,323 | | 18 | | — | | — | | | — | | — | | (22) | |
| Securities firms | 1,472 | | 613 | | 859 | | 605 | | 816 | | 51 | | — | | | 4 | | — | | (5) | |
| Other industries | 6,591 | | 2,803 | | 3,788 | | 4,151 | | 1,890 | | 489 | | 61 | | | — | | 5 | | (169) | |
| Total | $ | 713,097 | | $ | 284,527 | | $ | 428,570 | | $ | 584,790 | | $ | 89,351 | | $ | 36,563 | | $ | 2,393 | | | $ | 1,895 | | $ | 386 | | $ | (39,269) | |
(1) Excludes $0.6 billion and $0.1 billion of funded and unfunded exposure at December 31, 2021, respectively, primarily related to the delinquency-managed loans and unearned income. Funded balance also excludes loans carried at fair value of $6.1 billion at December 31, 2021.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $39.3 billion of purchased credit protection, $36.0 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.9 billion ($6.5 billion in funded, with more than 99% rated investment grade) as of December 31, 2021.
(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2021, Citi’s total exposure to these energy-related entities was approximately $5.1 billion, of which approximately $2.6 billion consisted of direct outstanding funded loans.
Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. Citi may enter into partial-term hedges as well as full-term hedges. In advance of the expiration of partial-term hedges, Citi will determine, among other factors, the economic feasibility of hedging the remaining life of the instrument. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Principal transactions in the Consolidated Statement of Income.
At September 30, 2022, June 30, 2022 and December 31, 2021, ICG had economic hedges on the corporate credit portfolio of $36.5 billion, $36.8 billion and $39.3 billion, respectively. Citigroup’s expected credit loss model used in the calculation of its ACL does not include the favorable impact of credit derivatives and other mitigants that are marked-to-market. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. The credit protection was economically hedging underlying ICG corporate credit portfolio exposures with the following risk rating distribution:
Rating of Hedged Exposure
| | | | | | | | | | | |
| September 30,
2022 | June 30,
2022 | December 31,
2021 |
| AAA/AA/A | 38 | % | 37 | % | 35 | % |
| BBB | 45 | | 44 | | 49 | |
| BB/B | 13 | | 14 | | 13 | |
| CCC or below | 4 | | 5 | | 3 | |
| Total | 100 | % | 100 | % | 100 | % |
Consumer Credit Portfolio
The following table shows Citi’s quarterly end-of-period consumer loans:loans(1):
| | | | | | | | | | | | | | | | | | |
| In billions of dollars | 3Q’20 | 4Q’20 | 1Q’21 | 2Q’21 | 3Q’21(2) | |
| Retail banking: | | | | | | |
| Mortgages | $ | 87.5 | | $ | 88.9 | | $ | 86.7 | | $ | 86.3 | | $ | 79.8 | | |
| Personal, small business and other | 38.3 | | 40.1 | | 39.1 | | 39.0 | | 37.0 | | |
| Total retail banking | $ | 125.8 | | $ | 129.0 | | $ | 125.8 | | $ | 125.3 | | $ | 116.8 | | |
| Cards: | | | | | | |
| Citi-branded cards | $ | 102.2 | | $ | 106.7 | | $ | 99.6 | | $ | 102.9 | | $ | 100.6 | | |
| Citi retail services | 44.4 | | 46.4 | | 42.5 | | 42.7 | | 42.7 | | |
| Total cards | $ | 146.6 | | $ | 153.1 | | $ | 142.1 | | $ | 145.6 | | $ | 143.3 | | |
Total GCB | $ | 272.4 | | $ | 282.1 | | $ | 267.9 | | $ | 270.9 | | $ | 260.1 | | |
GCB regional distribution: | | | | | | |
| North America | 66 | % | 65 | % | 64 | % | 64 | % | 67 | % | |
| Latin America | 5 | | 5 | | 5 | | 5 | | 5 | | |
Asia(3) | 29 | | 30 | | 31 | | 31 | | 28 | | |
Total GCB | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Corporate/Other(4) | $ | 7.6 | | $ | 6.7 | | $ | 6.1 | | $ | 5.0 | | $ | 4.2 | | |
| Total consumer loans | $ | 280.0 | | $ | 288.8 | | $ | 274.0 | | $ | 275.9 | | $ | 264.3 | | |
| | | | | | | | | | | | | | | | | | |
| In billions of dollars | 3Q21(2) | 4Q21(2) | 1Q22(2) | 2Q22(2) | 3Q22(2) | |
| Personal Banking and Wealth Management | | | | | | |
| U.S. Personal Banking | | | | | | |
| Cards | | | | | | |
| Branded cards | $ | 82.8 | | $ | 87.9 | | $ | 85.9 | | $ | 91.6 | | $ | 93.7 | | |
| Retail services | 42.7 | | 46.0 | | 44.1 | | 45.8 | | 46.7 | | |
| Retail banking | | | | | | |
Mortgages(5) | 30.5 | | 30.2 | | 30.5 | | 32.3 | | 32.3 | | |
| Personal, small business and other | 2.9 | | 2.8 | | 2.8 | | 3.1 | | 3.5 | | |
Global Wealth(3)(4) | | | | | | |
| Cards | 3.7 | | 4.0 | | 3.8 | | 4.0 | | 4.0 | | |
Mortgages(5) | 73.9 | | 74.6 | | 75.4 | | 77.8 | | 82.0 | | |
Personal, small business and other(6) | 72.7 | | 72.7 | | 71.0 | | 67.0 | | 65.1 | | |
| Total | $ | 309.2 | | $ | 318.2 | | $ | 313.5 | | $ | 321.6 | | $ | 327.3 | | |
| Legacy Franchises | | | | | | |
Asia Consumer(7) | $ | 42.9 | | $ | 41.1 | | $ | 19.5 | | $ | 17.3 | | $ | 13.4 | | |
| Mexico Consumer (excludes Mexico SBMM) | 13.0 | | 13.3 | | 13.6 | | 13.5 | | 13.7 | | |
Legacy Holdings Assets(8) | 4.2 | | 3.9 | | 3.7 | | 3.2 | | 3.2 | | |
| Total | $ | 60.1 | | $ | 58.3 | | $ | 36.8 | | $ | 34.0 | | $ | 30.3 | | |
| Total consumer loans | $ | 369.3 | | $ | 376.5 | | $ | 350.3 | | $ | 355.6 | | $ | 357.6 | | |
(1)End-of-period loans include interest and fees on credit cards.
(2)AsLegacy Franchises—3Q22 Asia Consumer loan balances exclude approximately $17 billion of loans ($12 billion of retail banking loans and $5 billion of credit card loan balances) reclassified to held-for-sale (HFS) (Other assets on the Consolidated Balance Sheet) as a result of Citi’s entry into an agreementsigned agreements to sell its consumer banking businessbusinesses in seven countries (see Legacy Franchises above and Note 2 for additional information). Indonesia, Malaysia, Thailand, Vietnam, Taiwan, India and Bahrain consumer banking businesses were reclassified to HFS starting 1Q22. In addition, the Australia theconsumer banking business was reclassified as held-for-saleto HFS from 3Q21 until the closing of its sale on June 1, 2022; and the Philippines consumer banking business was reclassified to HFS from 4Q21 until the closing of its assets and liabilities were included in Other assets and Other liabilities,respectively,sale on Citi’s Consolidated Balance Sheet andAugust 1, 2022. Accordingly, loans from these sold businesses are excluded from the assetsAsia Consumer loan balances as of the end of such periods.
(3)Consists of $99.3 billion, $94.6 billion, $94.1 billion, $92.7 billion and liabilities, including related credit measures,$92.0 billion of GCBloans in North America as of September 30, 2022, June 30, 2022, March 31, 2022, December 31, 2021 and Asia GCB beginning in the third quarter of 2021.September 30, 2021, respectively. For additional information on the credit quality of the Global Wealth portfolio, see Note 2 to the Consolidated Financial Statements.13.
(3)(4)Consists of $51.8 billion, $54.2 billion, $56.1 billion, $58.6 billion and $58.3 billion of loans outside North America as of September 30, 2022, June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021, respectively.
(5)See Note 13 for details on loan-to-value ratios for the portfolios and FICO scores for the U.S. portfolio.
(6)At September 30, 2022, includes approximately $53 billion of classifiably managed loans. Over 90% of these loans are fully collateralized (consisting primarily of marketable investment securities, commercial real estate and limited partner capital commitments in private equity) and have experienced very low historical NCLs. As discussed below, approximately 95% of the classifiably managed portion of these loans are investment grade. See “Consumer Loan Delinquencies Amounts and Ratios” below for details on the delinquency-managed portfolio.
(7)Asia Consumer also includes loans and leases in certain EMEA countries for all periods presented.
(4)(8)Primarily consists of legacy assets, principally certain North America consumer mortgages.
For information on changes to Citi’s consumer loans, see “Liquidity Risk—Loans” below.
Overall Consumer Credit Trends
Personal Banking and Wealth Management (PBWM)
| | |
Global ConsumerPersonal Banking and Wealth Management |
As shown in the chartindicated above, GCB’s net credit loss rate decreased quarter-over-quarter and year-over-year for the third quarter of 2021, primarily reflecting the continued impact of government stimulus, unemployment benefits and consumer relief programs in North America GCB, and a decline following the peak charge-offs in AsiaPBWM GCBconsists of U.S. Personal Banking and Latin America GCB in recent quartersGlobal Wealth Management (Global Wealth).
GCB’s 90+ days past due delinquency rate decreased quarter-over-quarter U.S. Personal Banking provides cards products through Branded cards and year-over-year, primarily due to the continued impacts of government stimulus, unemployment benefitsRetail services, and consumer relief programs in North America GCB, as well as lower delinquencies in Asia GCBmortgages andLatin 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 consumer loans through Citi’s retailRetail banking network and card products through Citi-branded cards and Citi retail services businesses.network. The retailRetail bank is concentrated in six major metropolitan citiesareas in the U.S. (for additional information onGlobal Wealth provides cards, mortgages and personal, small business and other consumer loans through the U.S. retailPrivate bank, see “North America GCB” above).Citigold and Wealth at Work.
As of September 30, 2021,2022, approximately 72%40% of North America GCBPBWM consumer loans consisted of Citi-brandedBranded cards and Citi retailRetail services cards,card loans, which generally drives the overall credit performance of North America GCBPBWM, (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 and 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 the continued impact of high payment rates in cards, driven by government stimulus. Year-over-year, the payment rates were also impacted by 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 third quarter of 2021 decreased quarter-over-quarter and year-over-year. The impact of charge-offs of delinquent loans in prior quarters resulted in lower delinquencies that led to loweras U.S. Cards net credit losses in the current quarter.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year. The impactrepresent approximately 90% of charge-offs of delinquent loans in prior quarters resulted in a lower 90+ day delinquency rate in the current quarter.
(1)total AsiaPBWM includes GCB activities in certain EMEA countries for all periods presented.
Asia GCB operates in 17 countries and jurisdictions in Asia and EMEA and provides credit cards, consumer mortgages and small business and personal loans.losses.
As shown in the chart above, the third quarter of 20212022 net credit loss rate in Asia GCBPBWM decreasedwas unchanged quarter-over-quarter and increased year-over-year, driven by the charge-off of peak delinquenciesan increase in recent quarters. Year-over-year, the net credit loss rate decreased, as elevated losses during the prior year return to pre-pandemicflow rates, primarily reflecting ongoing normalization from historically low levels and due to a shift in product mix toward secured product.U.S. Cards.
ThePBWM’s 90+ days past due delinquency rate decreasedincreased quarter-over-quarter and year-over-year, also driven by an increase in net flow rates, primarily reflecting the charge-off of peak delinquenciesongoing normalization in recent quarters. Year-over-year, the 90+ days past due delinquency rate decreased, 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
| | |
North America Citi-BrandedBranded Cards |
North America GCB
’s Citi-branded
U.S. Personal Banking’s Branded cards portfolio issuesincludes proprietary and co-branded cards.
As shown in the chart above, the third quarter of 2022 net credit loss rate in North America Citi-brandedBranded cards for the third quarter of 2021 decreasedwas unchanged quarter-over-quarter and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by lasting effects of government stimulus. Year-over-year, the payment rates were also impacted bystimulus, unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate decreasedincreased quarter-over-quarter and year-over-year,year-over year, driven by a modest increase in net flow rates, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.ongoing normalization.
| | |
North America Citi Retail Services |
Citi retailU.S. Personal Banking’s Retail services partners directly with more than 20 retailers and dealers to offer private label and co-branded cards. Citi retailRetail services’ target market focuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel.
Citi retail 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 third quarter of 2022 net credit loss rate in Citi retailRetail services for the third quarter of 2021 decreasedincreased quarter-over-quarter and year-over-year, driven by an increase in net flow rates, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.ongoing normalization from historically low levels.
The 90+ days past due delinquency rate decreasedincreased quarter-over-quarter and year-over-year, also driven by an increase in net flow rates, primarily reflecting the continued impact of high payment rates, driven by government stimulus. Year-over-year, the payment rates were also impacted by unemployment benefits and consumer relief programs.
| | |
Latin America Citi-Branded Cards |
Latin America GCB issues proprietary and co-branded cards.
As shown in the chart above, the third quarter of 2021 net credit loss rate in Latin America Citi-branded cards decreased quarter-over-quarter and year-over-year. The impact of charge-offs of delinquent loans in prior quarters resulted in lower delinquencies that led to lower net credit losses in the current quarter.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year. The impact of charge-offs of delinquent loans in prior quarters 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 third quarter of 2021 decreased quarter-over-quarter, driven by the charge-off of peak delinquencies related to customers exiting the pandemic-related consumer relief programs in recent quarters, and decreased year-over-year as elevated losses during the prior year return to pre-pandemic levels.
The 90+ days past due delinquency rate decreasedquarter-over-quarter, driven by the charge-off of peak delinquencies in recent quarters, and decreased year-over-year, as elevated delinquencies during the prior year return to pre-pandemic levels.ongoing normalization.
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.
U.S. Personal Banking’s Retail banking portfolio consists primarily of consumer mortgages and other unsecured lending products, such as small business loans and personal loans. The portfolio is generally delinquency managed, where Citi evaluates credit risk based on FICO scores, delinquencies and the value of underlying collateral. The consumer mortgages in this portfolio have historically been extended to high credit quality customers, generally with loan-to-value ratios that are less than 80% on first and second mortgages. For additional information, see “Loan-to-Value (LTV) Ratios” in Note 13.
As shown in the chart above, the net credit loss rate in Retail banking for the third quarter of 2022 decreased quarter-over-quarter, due to industry-wide episodic overdraft losses in the first half of the year, but increased year-over-year, primarily driven by the lingering impact of the episodic losses.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, primarily driven by U.S. mortgages, which reflected the lasting effects of government stimulus, unemployment benefits and consumer relief programs.
As discussed above, the Global Wealth credit portfolio primarily consists of consumer mortgages, cards and other lending products extended to customer segments that range from the affluent to ultra-high-net-worth through the Private bank, Citigold and Wealth at Work. These customer segments represent a target market that is characterized by historically low default rates and delinquencies.
As of September 30, 2022, approximately $53 billion, or 35%, of the portfolio was classifiably managed and primarily consisted of margin lending, commercial real estate, subscription credit finance and other lending programs. These classifiably managed loans are primarily evaluated for credit
risk based on their internal risk rating, of which 95% is rated investment grade. While the delinquency rate in the chart above is calculated only for the delinquency-managed portfolio, the net credit loss rate is calculated using net credit losses for both the delinquency and classifiably managed portfolios.
As shown in the chart above, the net credit loss rate and 90+ days past due delinquency rate for the third quarter of 2022 were broadly stable quarter-over-quarter and year-over-year, reflecting the strong credit profiles of the portfolios.
Legacy Franchises
Legacy Franchises provides traditional retail banking and branded card products to retail and small business customers in Asia Consumer and Mexico Consumer.
(1)Asia Consumer includes Legacy Franchises activities in certain EMEA countries for all periods presented.
As of September 30, 2022, Asia Consumer operated in the remaining 11 countries in Asia and EMEA (Australia and the Philippines were included until sold on June 1, 2022 and August 1, 2022, respectively) and provides credit cards, consumer mortgages and small business and personal loans.
As shown in the chart above, the net credit loss rate in Asia Consumer for the third quarter of 2022 increased quarter-over-quarter, primarily driven by lower average loans in Korea (decline of $2.6 billion) due to the continued wind-down of the business. The net credit loss rate decreased year-over-year, primarily driven by the impact of the charge-off of peak delinquent loans in early 2021, which resulted in lower delinquencies, leading to lower net credit losses in the current quarter. The year-over-year decrease was also driven by the reclassification of loans to held-for-sale during the third quarter of 2021 or thereafter (including approximately $12 billion of retail banking loans and $5 billion of credit card loan balances for the third quarter of 2022), as a result of Citi’s signing of sale agreements for the Philippines, Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam consumer banking businesses.
The 90+ days past due delinquency rate increased quarter-over-quarter, primarily driven by lower end-of-period loans in Korea (decline of $3.3 billion) due to the continued wind-down of the business, and decreased year-over-year, mainly driven by the impact of the Asia held-for-sale reclassification and the charge-off of peak delinquencies.
The performance of Asia Consumer’s portfolios continues to reflect the strong credit profiles in the region’s target customer segments. Regulatory changes in many markets in
Asia over the past few years have also resulted in improved credit quality.
Mexico Consumer operates in Mexico through Citibanamex and provides credit cards, consumer mortgages and small business and personal loans. Mexico Consumer serves a more mass-market segment in Mexico and focuses on developing multiproduct relationships with customers.
As shown in the chart above, the third quarter of 2022 net credit loss rate in Mexico Consumer increased quarter-over-quarter, largely driven by higher episodic mortgage recoveries in the second quarter of 2022, and decreased year-over-year, primarily driven by the impact of the charge-off of peak delinquencies in early 2021, which resulted in lower delinquencies, leading to lower net credit losses in the current quarter.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, primarily driven by the impact of the charge-off of peak delinquencies and higher payment rates.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see PBWM and Legacy Franchises results of operations above and Note 13.
U.S. Cards FICO Distribution
The following tables show the current FICO score distributions for Citi’s North AmericaBranded cards and Retail services portfolios based on end-of-period receivables. FICO scores are updated monthly for substantially all of the portfolio and on a quarterly basis for the remaining portfolio.
Citi-BrandedBranded Cards
| | | | | | | | | | | |
FICO distribution(1) | September 30, 2021 | June 30, 2021 | September 30, 2020 |
| > 760 | 48 | % | 49 | % | 43 | % |
| 680–760 | 39 | | 39 | | 41 | |
| < 680 | 13 | | 12 | | 16 | |
| Total | 100 | % | 100 | % | 100 | % |
| | | | | | | | | | | |
FICO distribution(1) | September 30, 2022 | June 30, 2022 | September 30, 2021 |
| > 760 | 48 | % | 49 | % | 48 | % |
| 680–760 | 38 | | 38 | | 39 | |
| < 680 | 14 | | 13 | | 13 | |
| Total | 100 | % | 100 | % | 100 | % |
Citi Retail Services
| | | | | | | | | | | |
FICO distribution(1) | September 30, 2021 | June 30, 2021 | September 30, 2020 |
| > 760 | 27 | % | 28 | % | 26 | % |
| 680–760 | 45 | | 45 | | 44 | |
| < 680 | 28 | | 27 | | 30 | |
| Total | 100 | % | 100 | % | 100 | % |
| | | | | | | | | | | |
FICO distribution(1) | September 30, 2022 | June 30, 2022 | September 30, 2021 |
| > 760 | 27 | % | 28 | % | 27 | % |
| 680–760 | 43 | | 43 | | 45 | |
| < 680 | 30 | | 29 | | 28 | |
| Total | 100 | % | 100 | % | 100 | % |
(1) The FICO bands in the tables are consistent with general industry peer presentations.
The FICO distribution of both cards portfolios remained largely stable compared tounchanged from the prior quarter and improved compared to the prior year, demonstratingyear. The FICO distribution continues to reflect strong underlying credit quality and a benefit from the continued impacts of government stimulus, unemployment benefits and customer relief programs, as well as lower credit utilization. Forutilization primarily by customers with lower FICO scores. See Note 13 for additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.scores.
Additional Consumer Credit Details
Consumer Loan Delinquencies Amounts and Ratios
(1)
| | | | EOP loans(2) | 90+ days past due(3) | 30–89 days past due(3) | | EOP loans(1) | 90+ days past due(2) | 30–89 days past due(2) |
In millions of dollars,
except EOP loan amounts in billions | In millions of dollars,
except EOP loan amounts in billions | September 30,
2021 | September 30,
2021 | June 30,
2021 | September 30,
2020 | September 30,
2021 | June 30,
2021 | September 30,
2020 | In millions of dollars,
except EOP loan amounts in billions | September 30,
2022 | September 30,
2022 | June 30,
2022 | September 30,
2021 | September 30,
2022 | June 30,
2022 | September 30,
2021 |
Global Consumer Banking(4)(5) | | | | | | |
Personal Banking and Wealth Management(3)(4)(5) | | Personal Banking and Wealth Management(3)(4)(5) | | | | | |
| Total | Total | $ | 260.1 | | $ | 1,488 | | $ | 1,790 | | $ | 1,976 | | $ | 1,668 | | $ | 1,761 | | $ | 2,398 | | Total | $ | 327.3 | | $ | 1,557 | | $ | 1,383 | | $ | 1,205 | | $ | 1,778 | | $ | 1,435 | | $ | 1,355 | |
| Ratio | Ratio | | 0.57 | % | 0.66 | % | 0.73 | % | 0.64 | % | 0.65 | % | 0.88 | % | Ratio | | 0.57 | % | 0.52 | % | 0.49 | % | 0.65 | % | 0.54 | % | 0.55 | % |
| Retail banking | | | | | | |
| U.S. Personal Banking | | U.S. Personal Banking | | | | | |
| Total | Total | $ | 116.8 | | $ | 479 | | $ | 560 | | $ | 497 | | $ | 589 | | $ | 687 | | $ | 786 | | Total | $ | 176.2 | | $ | 1,286 | | $ | 1,128 | | $ | 974 | | $ | 1,474 | | $ | 1,201 | | $ | 1,063 | |
| Ratio | Ratio | | 0.41 | % | 0.45 | % | 0.40 | % | 0.51 | % | 0.55 | % | 0.63 | % | Ratio | | 0.73 | % | 0.66 | % | 0.62 | % | 0.84 | % | 0.70 | % | 0.68 | % |
| North America | 48.8 | | 221 | | 236 | | 211 | | 250 | | 268 | | 378 | | |
| Ratio | | 0.46 | % | 0.48 | % | 0.40 | % | 0.52 | % | 0.55 | % | 0.72 | % | |
| Latin America | 8.7 | | 117 | | 127 | | 105 | | 122 | | 134 | | 136 | | |
| Ratio | | 1.34 | % | 1.40 | % | 1.14 | % | 1.40 | % | 1.47 | % | 1.48 | % | |
Asia(6)(7) | 59.3 | | 141 | | 197 | | 181 | | 217 | | 285 | | 272 | | |
| Ratio | | 0.24 | % | 0.30 | % | 0.29 | % | 0.37 | % | 0.43 | % | 0.43 | % | |
| Cards | | | | | | |
Cards(4) | | Cards(4) | | | | | |
| Total | Total | $ | 143.3 | | $ | 1,009 | | $ | 1,230 | | $ | 1,479 | | $ | 1,079 | | $ | 1,074 | | $ | 1,612 | | Total | 140.4 | | 1,105 | | 949 | | 783 | | 1,269 | | 1,009 | | 846 | |
| Ratio | Ratio | | 0.70 | % | 0.84 | % | 1.01 | % | 0.75 | % | 0.74 | % | 1.10 | % | Ratio | | 0.79 | % | 0.69 | % | 0.62 | % | 0.90 | % | 0.73 | % | 0.67 | % |
North America—Citi-branded | 82.8 | | 362 | | 457 | | 574 | | 375 | | 355 | | 624 | | |
| Branded cards | | Branded cards | 93.7 | | 474 | | 420 | | 362 | | 554 | | 428 | | 375 | |
| Ratio | Ratio | | 0.44 | % | 0.56 | % | 0.71 | % | 0.45 | % | 0.43 | % | 0.77 | % | Ratio | | 0.51 | % | 0.46 | % | 0.44 | % | 0.59 | % | 0.47 | % | 0.45 | % |
North America—Citi retail services | 42.7 | | 421 | | 463 | | 557 | | 471 | | 415 | | 610 | | |
| Retail services | | Retail services | 46.7 | | 631 | | 529 | | 421 | | 715 | | 581 | | 471 | |
| Ratio | Ratio | | 0.99 | % | 1.08 | % | 1.25 | % | 1.10 | % | 0.97 | % | 1.37 | % | Ratio | | 1.35 | % | 1.16 | % | 0.99 | % | 1.53 | % | 1.27 | % | 1.10 | % |
| Latin America | 4.3 | | 81 | | 122 | | 106 | | 68 | | 82 | | 89 | | |
Retail banking(3) | | Retail banking(3) | 35.8 | | 181 | | 179 | | 191 | | 205 | | 192 | | 217 | |
| Ratio | Ratio | | 1.88 | % | 2.77 | % | 2.47 | % | 1.58 | % | 1.86 | % | 2.07 | % | Ratio | | 0.51 | % | 0.52 | % | 0.60 | % | 0.58 | % | 0.55 | % | 0.68 | % |
Asia(6)(7) | 13.5 | | 145 | | 188 | | 242 | | 165 | | 222 | | 289 | | |
Global Wealth delinquency-managed loans(5) | | Global Wealth delinquency-managed loans(5) | $ | 97.8 | | $ | 271 | | $ | 255 | | $ | 231 | | $ | 304 | | $ | 234 | | $ | 292 | |
| Ratio | Ratio | | 1.07 | % | 1.15 | % | 1.44 | % | 1.22 | % | 1.35 | % | 1.72 | % | Ratio | | 0.28 | % | 0.27 | % | 0.26 | % | 0.31 | % | 0.25 | % | 0.32 | % |
Corporate/Other—Consumer(8) | | | | | | |
Global Wealth classifiably managed loans(6) | | Global Wealth classifiably managed loans(6) | $ | 53.3 | | N/A | N/A | N/A | N/A |
| Legacy Franchises | | Legacy Franchises | | | | | |
| Total | Total | $ | 4.2 | | $ | 221 | | $ | 259 | | $ | 278 | | $ | 99 | | $ | 111 | | $ | 198 | | Total | $ | 30.3 | | $ | 375 | | $ | 393 | | $ | 677 | | $ | 299 | | $ | 293 | | $ | 633 | |
| Ratio | Ratio | | 5.67 | % | 5.51 | % | 3.86 | % | 2.54 | % | 2.36 | % | 2.75 | % | Ratio | | 1.25 | % | 1.16 | % | 1.13 | % | 1.00 | % | 0.87 | % | 1.06 | % |
| Total Citigroup | $ | 264.3 | | $ | 1,709 | | $ | 2,049 | | $ | 2,254 | | $ | 1,767 | | $ | 1,872 | | $ | 2,596 | | |
Asia Consumer(7)(8) | | Asia Consumer(7)(8) | 13.4 | | 47 | | 51 | | 257 | | 63 | | 70 | | 344 | |
| Ratio | Ratio | | 0.65 | % | 0.75 | % | 0.81 | % | 0.67 | % | 0.68 | % | 0.93 | % | Ratio | | 0.35 | % | 0.29 | % | 0.60 | % | 0.47 | % | 0.40 | % | 0.80 | % |
| Mexico Consumer | | Mexico Consumer | 13.7 | | 173 | | 174 | | 198 | | 169 | | 159 | | 190 | |
| Ratio | | Ratio | | 1.26 | % | 1.29 | % | 1.52 | % | 1.23 | % | 1.18 | % | 1.46 | % |
Legacy Holdings Assets (consumer)(9) | | Legacy Holdings Assets (consumer)(9) | 3.2 | | 155 | | 168 | | 222 | | 67 | | 64 | | 99 | |
| Ratio | | Ratio | | 5.34 | % | 5.60 | % | 5.84 | % | 2.31 | % | 2.13 | % | 2.61 | % |
| Total Citigroup consumer | | Total Citigroup consumer | $ | 357.6 | | $ | 1,932 | | $ | 1,776 | | $ | 1,882 | | $ | 2,077 | | $ | 1,728 | | $ | 1,988 | |
| Ratio | | Ratio | | 0.64 | % | 0.59 | % | 0.61 | % | 0.68 | % | 0.58 | % | 0.65 | % |
(1)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification (which have various durations, and certain of which may be renewed by the customer). Consumer relief programs in Asia and Mexico largely expired during the fourth quarter of 2020.
(2)End-of-period (EOP) loans include interest and fees on credit cards.
(3)(2)The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(4)The 90+ days past due balances for North America—Citi-brandedand North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(5)(3)The 90+ days past due and 30–89 days past due and related ratios for North America GCB Retail banking exclude loans that are primarily related to U.S. mortgages guaranteed by U.S. government-sponsored agencies since the potential risk of loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $146$96 million ($0.6 billion), $150$119 million ($0.7 billion) and $148$146 million ($0.61.5 billion) as ofat September 30, 2022, June 30, 2022 and September 30, 2021, June 30, 2021 and September 30, 2020, respectively. The amounts excluded for loans 30–89 days past due and (EOP(the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $67 million, $72 million and $78 million ($0.6 billion), $80 million ($0.7 billion)at September 30, 2022, June 30, 2022 and $88 million ($0.6 billion) asSeptember 30, 2021, respectively. The EOP loans in the table include the guaranteed loans.
(4)The 90+ days past due balances for Branded cards and Retail services are generally still accruing interest. Citi’s policy is generally to accrue interest on credit card loans until 180 days past due, unless a notification of bankruptcy filing has been received earlier.
(5)Excludes EOP classifiably managed Private bank loans. These loans are not included in the delinquency numerator, denominator and ratios.
(6)These loans are evaluated for non-accrual status and write-off primarily based on their internal risk classification and not solely on their delinquency status, and therefore delinquency metrics are excluded from this table. As of September 30, 2021,2022, June 30, 20212022 and September 30, 2020, respectively.2021, 95%, 94% and 93% of Global Wealth classifiably managed loans were rated investment grade. For additional information on the credit quality of the Global Wealth portfolio, including classifiably managed portfolios, see “Consumer Credit Trends” above.
(6)(7)Asia Consumer includes delinquencies and loans in certain EMEA countries for all periods presented.
(8)During the third quarter of 2021, Citi’s AustraliaCiti recently entered into agreements to sell certain Asia consumer banking business was classified as held-for-sale (HFS) pursuant to Citi’s agreement to sell the business.businesses. Accordingly, the Australian consumer loans are recordedof these businesses have been reclassified as HFS in Other assets on the Consolidated Balance Sheet, and hence the loans and related delinquencies and ratios are not included in this table. The reclassifications commenced as follows: Australia (3Q21, and closed on June 1, 2022), the Philippines (4Q21, and closed on August 1, 2022) and Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (1Q22). See Note 2 to the Consolidated Financial Statements for additional information.
(8)(9)The loans 90+ days past due and 30–89 days past due and related ratios exclude U.S. mortgage loans that are primarily related to U.S. mortgages guaranteed by U.S. government-sponsored agencies since the potential risk of loss predominantly resides with the U.S. agencies. The amounts excluded for 90+ days past due and (EOP loans) for each period were $95 million ($0.3 billion), $84 million ($0.2 billion) and $138 million ($0.4 billion), $125 million ($0.3 billion) and $172 million ($0.5 billion) as of at September 30, 2021,2022, June 30, 20212022 and September 30, 2020,2021, respectively. The amounts excluded for loans 30–89 days past due and (EOP(the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) for each period were $31 million, $27 million and $42 million ($0.4 billion), $48 million ($0.3 billion)at September 30, 2022, June 30, 2022 and $66 million ($0.5 billion) as of September 30, 2021, June 30, 2021 and September 30, 2020, respectively. The EOP loans in the table include the guaranteed loans.
CORPORATE CREDIT
The following table details Citi’s corporate credit portfolio within ICG and the Mexico SBMM component of Legacy Franchises (excluding certain loans managed on a delinquency basis, loans carried at fair value and loans held-for-sale), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | September 30, 2022 | June 30, 2022 | December 31, 2021 |
| In billions of dollars | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure |
Direct outstandings (on-balance sheet)(1) | $ | 143 | | $ | 114 | | $ | 27 | | $ | 284 | | $ | 158 | | $ | 117 | | $ | 21 | | $ | 296 | | $ | 145 | | $ | 119 | | $ | 20 | | $ | 284 | |
Unfunded lending commitments (off-balance sheet)(2) | 133 | | 248 | | 10 | | 391 | | 141 | | 264 | | 9 | | 414 | | 147 | | 269 | | 13 | | 429 | |
| Total exposure | $ | 276 | | $ | 362 | | $ | 37 | | $ | 675 | | $ | 299 | | $ | 381 | | $ | 30 | | $ | 710 | | $ | 292 | | $ | 388 | | $ | 33 | | $ | 713 | |
(1) Includes drawn loans, overdrafts, bankers’ acceptances and leases.
(2) Includes unused commitments to lend, letters of credit and financial guarantees.
Portfolio Mix—Geography and Counterparty
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region based on Citi’s internal management geography:
| | | | | | | | | | | |
| September 30,
2022 | June 30, 2022 | December 31,
2021 |
| North America | 56 | % | 56 | % | 56 | % |
| EMEA | 25 | | 25 | | 25 | |
| Asia | 12 | | 12 | | 13 | |
| Latin America | 7 | | 7 | | 6 | |
| Total | 100 | % | 100 | % | 100 | % |
The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived by leveraging validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position, regulatory environment and commodity prices. Facility risk ratings are assigned that reflect the probability of default of the obligor and factors that affect the loss given default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are considered investment grade, while those below are considered non-investment grade.
The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:
| | | | | | | | | | | |
| | Total exposure |
| | September 30,
2022 | June 30,
2022 | December 31,
2021 |
| AAA/AA/A | 50 | % | 50 | % | 48 | % |
| BBB | 33 | | 33 | | 34 | |
| BB/B | 15 | | 15 | | 16 | |
| CCC or below | 2 | | 2 | | 2 | |
| Total | 100 | % | 100 | % | 100 | % |
Note: Total exposure includes direct outstandings and unfunded lending commitments.
In addition to the obligor and facility risk ratings assigned to all exposures, Citi may classify exposures in the corporate credit portfolio. These classifications are consistent with Citi’s interpretation of the U.S. banking regulators’ definition of criticized exposures, which may categorize exposures as special mention, substandard, doubtful or loss.
Risk ratings and classifications are reviewed regularly, and adjusted as appropriate. The credit review process incorporates quantitative and qualitative factors, including financial and non-financial disclosures or metrics, idiosyncratic events or changes to the competitive, regulatory or macroeconomic environment.
Citigroup believes the corporate credit portfolio to be appropriately rated and classified as of September 30, 2022. Citigroup has taken action to adjust internal ratings and classifications of exposures as both the macroeconomic environment and obligor-specific factors have changed, particularly where additional stress has been seen.
As obligor risk ratings are downgraded, the probability of default increases. Downgrades of obligor risk ratings tend to result in a higher provision for credit losses. In addition, downgrades may result in the purchase of additional credit derivatives or other risk mitigants to hedge the incremental credit risk, or may result in Citi’s seeking to reduce exposure to an obligor or an industry sector. Citi will continue to review exposures to ensure that the appropriate probability of default is incorporated into all risk assessments.
See Note 13 for additional information on Citi’s corporate credit portfolio.
Portfolio Mix—Industry
Citi’s corporate credit portfolio is diversified by industry. The following table details the allocation of Citi’s total corporate credit portfolio by industry:
| | | | | | | | | | | |
| | Total exposure |
| | September 30,
2022 | June 30,
2022 | December 31,
2021 |
| Transportation and industrials | 20 | % | 20 | % | 20 | % |
| Technology, media and telecom | 12 | | 12 | | 12 | |
| Consumer retail | 11 | | 11 | | 11 | |
| Real estate | 10 | | 10 | | 10 | |
| Power, chemicals, metals and mining | 9 | | 9 | | 9 | |
| Banks and finance companies | 9 | | 9 | | 8 | |
| Energy and commodities | 7 | | 7 | | 7 | |
| Asset managers and funds | 7 | | 7 | | 8 | |
| Health | 5 | | 5 | | 5 | |
| Insurance | 4 | | 4 | | 4 | |
| Public sector | 3 | | 3 | | 3 | |
| Financial markets infrastructure | 2 | | 2 | | 2 | |
| Securities firms | — | | — | | — | |
| Other industries | 1 | | 1 | | 1 | |
| Total | 100 | % | 100 | % | 100 | % |
The following table details Citi’s corporate credit portfolio by industry as of September 30, 2022:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing | Net credit losses (recoveries) | Credit derivative hedges(3) |
| Transportation and industrials | $ | 135,469 | | $ | 52,978 | | $ | 82,491 | | $ | 105,517 | | $ | 20,566 | | $ | 8,871 | | $ | 515 | | | $ | 330 | | $ | (37) | | $ | (8,136) | |
Autos(4) | 46,238 | | 19,221 | | 27,017 | | 38,257 | | 6,452 | | 1,390 | | 139 | | | 43 | | 1 | | (2,884) | |
| Transportation | 24,417 | | 11,163 | | 13,254 | | 18,094 | | 2,771 | | 3,371 | | 181 | | | 84 | | (41) | | (1,255) | |
| Industrials | 64,814 | | 22,594 | | 42,220 | | 49,166 | | 11,343 | | 4,110 | | 195 | | | 203 | | 3 | | (3,997) | |
| Technology, media and telecom | 80,793 | | 30,164 | | 50,629 | | 64,911 | | 12,015 | | 3,550 | | 317 | | | 209 | | 8 | | (5,970) | |
| Consumer retail | 75,757 | | 32,305 | | 43,452 | | 58,550 | | 13,718 | | 3,098 | | 391 | | | 241 | | 16 | | (4,884) | |
| Real estate | 67,330 | | 45,582 | | 21,748 | | 58,399 | | 5,683 | | 3,246 | | 2 | | | 134 | | 1 | | (625) | |
| Power, chemicals, metals and mining | 60,285 | | 18,611 | | 41,674 | | 48,794 | | 9,997 | | 1,294 | | 200 | | | 150 | | 15 | | (4,718) | |
| Power | 23,024 | | 4,703 | | 18,321 | | 19,712 | | 2,863 | | 394 | | 55 | | | 52 | | — | | (2,173) | |
| Chemicals | 23,614 | | 8,033 | | 15,581 | | 19,453 | | 3,552 | | 496 | | 113 | | | 59 | | 15 | | (1,933) | |
| Metals and mining | 13,647 | | 5,875 | | 7,772 | | 9,629 | | 3,582 | | 404 | | 32 | | | 39 | | — | | (612) | |
| Banks and finance companies | 60,503 | | 38,537 | | 21,966 | | 51,712 | | 6,043 | | 2,581 | | 167 | | | 108 | | 30 | | (845) | |
Energy and commodities(5) | 47,467 | | 14,628 | | 32,839 | | 39,050 | | 6,700 | | 1,561 | | 156 | | | 284 | | 11 | | (3,502) | |
| Asset managers and funds | 44,814 | | 20,988 | | 23,826 | | 42,592 | | 2,155 | | 67 | | — | | | 156 | | — | | (866) | |
| Health | 32,546 | | 8,865 | | 23,681 | | 27,691 | | 3,894 | | 862 | | 99 | | | 103 | | 1 | | (2,629) | |
| Insurance | 27,797 | | 3,350 | | 24,447 | | 26,918 | | 879 | | — | | — | | | 3 | | — | | (2,699) | |
| Public sector | 23,425 | | 12,982 | | 10,443 | | 19,758 | | 1,827 | | 1,683 | | 157 | | | 22 | | 3 | | (1,370) | |
| Financial markets infrastructure | 8,936 | | 57 | | 8,879 | | 8,865 | | 71 | | — | | — | | | — | | — | | (20) | |
| Securities firms | 1,590 | | 797 | | 793 | | 756 | | 657 | | 175 | | 2 | | | 8 | | — | | (3) | |
| Other industries | 8,193 | | 4,464 | | 3,729 | | 5,566 | | 2,314 | | 281 | | 32 | | | 37 | | 12 | | (247) | |
| Total | $ | 674,905 | | $ | 284,308 | | $ | 390,597 | | $ | 559,079 | | $ | 86,519 | | $ | 27,269 | | $ | 2,038 | | | $ | 1,785 | | $ | 60 | | $ | (36,514) | |
(1) Excludes $0.4 billion and $0.1 billion of funded and unfunded exposure at September 30, 2022, respectively, primarily related to the delinquency-managed loans and unearned income. Funded balance also excludes loans carried at fair value of $3.6 billion at September 30, 2022.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $36.5 billion of purchased credit protection, $33.2 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $16.9 billion ($7.6 billion in funded, with 100% rated investment grade) as of September 30, 2022.
(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of September 30, 2022, Citi’s total exposure to these energy-related entities was approximately $5.1 billion, of which approximately $2.5 billion consisted of direct outstanding funded loans.
The following table details Citi’s corporate credit portfolio by industry as of December 31, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing | Net credit losses (recoveries) | Credit derivative hedges(3) |
| Transportation and industrials | $ | 143,445 | | $ | 51,502 | | $ | 91,943 | | $ | 110,047 | | $ | 19,051 | | $ | 13,196 | | $ | 1,151 | | | $ | 384 | | $ | 127 | | $ | (8,791) | |
Autos(4) | 48,210 | | 18,662 | | 29,548 | | 39,824 | | 5,365 | | 2,906 | | 115 | | | 49 | | 2 | | (3,228) | |
| Transportation | 26,897 | | 12,085 | | 14,812 | | 19,233 | | 2,344 | | 4,447 | | 873 | | | 105 | | 104 | | (1,334) | |
| Industrials | 68,338 | | 20,755 | | 47,583 | | 50,990 | | 11,342 | | 5,843 | | 163 | | | 230 | | 21 | | (4,229) | |
| Technology, media and telecom | 84,333 | | 28,542 | | 55,791 | | 64,676 | | 15,873 | | 3,587 | | 197 | | | 156 | | 11 | | (6,875) | |
| Consumer retail | 78,994 | | 32,894 | | 46,100 | | 60,686 | | 13,590 | | 4,311 | | 407 | | | 224 | | 100 | | (5,115) | |
| Real estate | 69,808 | | 46,220 | | 23,588 | | 58,089 | | 6,761 | | 4,923 | | 35 | | | 116 | | 50 | | (798) | |
Power, chemicals, metals
and mining | 65,641 | | 20,224 | | 45,417 | | 53,575 | | 10,708 | | 1,241 | | 117 | | | 292 | | 22 | | (5,808) | |
| Power | 26,199 | | 5,610 | | 20,589 | | 22,860 | | 2,832 | | 420 | | 87 | | | 100 | | 17 | | (3,032) | |
| Chemicals | 25,550 | | 8,525 | | 17,025 | | 20,788 | | 4,224 | | 528 | | 10 | | | 88 | | 6 | | (2,141) | |
| Metals and mining | 13,892 | | 6,089 | | 7,803 | | 9,927 | | 3,652 | | 293 | | 20 | | | 104 | | (1) | | (635) | |
| Banks and finance companies | 58,252 | | 36,804 | | 21,448 | | 49,465 | | 4,892 | | 3,890 | | 5 | | | 150 | | (5) | | (680) | |
Energy and commodities(5) | 48,973 | | 13,485 | | 35,488 | | 38,972 | | 7,517 | | 2,220 | | 264 | | | 224 | | 78 | | (3,679) | |
| Asset managers and funds | 55,517 | | 26,879 | | 28,638 | | 54,119 | | 1,019 | | 377 | | 2 | | | 211 | | — | | (869) | |
| Health | 33,393 | | 8,826 | | 24,567 | | 27,600 | | 4,702 | | 942 | | 149 | | | 95 | | — | | (2,465) | |
| Insurance | 28,495 | | 3,162 | | 25,333 | | 27,447 | | 987 | | 61 | | — | | | 2 | | 1 | | (2,711) | |
| Public sector | 23,842 | | 12,464 | | 11,378 | | 21,035 | | 1,527 | | 1,275 | | 5 | | | 37 | | (3) | | (1,282) | |
| Financial markets infrastructure | 14,341 | | 109 | | 14,232 | | 14,323 | | 18 | | — | | — | | | — | | — | | (22) | |
| Securities firms | 1,472 | | 613 | | 859 | | 605 | | 816 | | 51 | | — | | | 4 | | — | | (5) | |
| Other industries | 6,591 | | 2,803 | | 3,788 | | 4,151 | | 1,890 | | 489 | | 61 | | | — | | 5 | | (169) | |
| Total | $ | 713,097 | | $ | 284,527 | | $ | 428,570 | | $ | 584,790 | | $ | 89,351 | | $ | 36,563 | | $ | 2,393 | | | $ | 1,895 | | $ | 386 | | $ | (39,269) | |
(1) Excludes $0.6 billion and $0.1 billion of funded and unfunded exposure at December 31, 2021, respectively, primarily related to the delinquency-managed loans and unearned income. Funded balance also excludes loans carried at fair value of $6.1 billion at December 31, 2021.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $39.3 billion of purchased credit protection, $36.0 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.9 billion ($6.5 billion in funded, with more than 99% rated investment grade) as of December 31, 2021.
(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2021, Citi’s total exposure to these energy-related entities was approximately $5.1 billion, of which approximately $2.6 billion consisted of direct outstanding funded loans.
Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. Citi may enter into partial-term hedges as well as full-term hedges. In advance of the expiration of partial-term hedges, Citi will determine, among other factors, the economic feasibility of hedging the remaining life of the instrument. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Principal transactions in the Consolidated Statement of Income.
At September 30, 2022, June 30, 2022 and December 31, 2021, ICG had economic hedges on the corporate credit portfolio of $36.5 billion, $36.8 billion and $39.3 billion, respectively. Citigroup’s expected credit loss model used in the calculation of its ACL does not include the favorable impact of credit derivatives and other mitigants that are marked-to-market. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. The credit protection was economically hedging underlying ICG corporate credit portfolio exposures with the following risk rating distribution:
Rating of Hedged Exposure
| | | | | | | | | | | |
| September 30,
2022 | June 30,
2022 | December 31,
2021 |
| AAA/AA/A | 38 | % | 37 | % | 35 | % |
| BBB | 45 | | 44 | | 49 | |
| BB/B | 13 | | 14 | | 13 | |
| CCC or below | 4 | | 5 | | 3 | |
| Total | 100 | % | 100 | % | 100 | % |
Consumer Credit Portfolio
The following table shows Citi’s quarterly end-of-period consumer loans(1):
| | | | | | | | | | | | | | | | | | |
| In billions of dollars | 3Q21(2) | 4Q21(2) | 1Q22(2) | 2Q22(2) | 3Q22(2) | |
| Personal Banking and Wealth Management | | | | | | |
| U.S. Personal Banking | | | | | | |
| Cards | | | | | | |
| Branded cards | $ | 82.8 | | $ | 87.9 | | $ | 85.9 | | $ | 91.6 | | $ | 93.7 | | |
| Retail services | 42.7 | | 46.0 | | 44.1 | | 45.8 | | 46.7 | | |
| Retail banking | | | | | | |
Mortgages(5) | 30.5 | | 30.2 | | 30.5 | | 32.3 | | 32.3 | | |
| Personal, small business and other | 2.9 | | 2.8 | | 2.8 | | 3.1 | | 3.5 | | |
Global Wealth(3)(4) | | | | | | |
| Cards | 3.7 | | 4.0 | | 3.8 | | 4.0 | | 4.0 | | |
Mortgages(5) | 73.9 | | 74.6 | | 75.4 | | 77.8 | | 82.0 | | |
Personal, small business and other(6) | 72.7 | | 72.7 | | 71.0 | | 67.0 | | 65.1 | | |
| Total | $ | 309.2 | | $ | 318.2 | | $ | 313.5 | | $ | 321.6 | | $ | 327.3 | | |
| Legacy Franchises | | | | | | |
Asia Consumer(7) | $ | 42.9 | | $ | 41.1 | | $ | 19.5 | | $ | 17.3 | | $ | 13.4 | | |
| Mexico Consumer (excludes Mexico SBMM) | 13.0 | | 13.3 | | 13.6 | | 13.5 | | 13.7 | | |
Legacy Holdings Assets(8) | 4.2 | | 3.9 | | 3.7 | | 3.2 | | 3.2 | | |
| Total | $ | 60.1 | | $ | 58.3 | | $ | 36.8 | | $ | 34.0 | | $ | 30.3 | | |
| Total consumer loans | $ | 369.3 | | $ | 376.5 | | $ | 350.3 | | $ | 355.6 | | $ | 357.6 | | |
(1)End-of-period loans include interest and fees on credit cards.
(2)Legacy Franchises—3Q22 Asia Consumer loan balances exclude approximately $17 billion of loans ($12 billion of retail banking loans and $5 billion of credit card loan balances) reclassified to held-for-sale (HFS) (Other assets on the Consolidated Balance Sheet) as a result of Citi’s signed agreements to sell its consumer banking businesses in seven countries (see Legacy Franchises above and Note 2 for additional information). Indonesia, Malaysia, Thailand, Vietnam, Taiwan, India and Bahrain consumer banking businesses were reclassified to HFS starting 1Q22. In addition, the Australia consumer banking business was reclassified to HFS from 3Q21 until the closing of its sale on June 1, 2022; and the Philippines consumer banking business was reclassified to HFS from 4Q21 until the closing of its sale on August 1, 2022. Accordingly, loans from these sold businesses are excluded from the Asia Consumer loan balances as of the end of such periods.
(3)Consists of $99.3 billion, $94.6 billion, $94.1 billion, $92.7 billion and $92.0 billion of loans in North America as of September 30, 2022, June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021, respectively. For additional information on the credit quality of the Global Wealth portfolio, see Note 13.
(4)Consists of $51.8 billion, $54.2 billion, $56.1 billion, $58.6 billion and $58.3 billion of loans outside North America as of September 30, 2022, June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021, respectively.
(5)See Note 13 for details on loan-to-value ratios for the portfolios and FICO scores for the U.S. portfolio.
(6)At September 30, 2022, includes approximately $53 billion of classifiably managed loans. Over 90% of these loans are fully collateralized (consisting primarily of marketable investment securities, commercial real estate and limited partner capital commitments in private equity) and have experienced very low historical NCLs. As discussed below, approximately 95% of the classifiably managed portion of these loans are investment grade. See “Consumer Loan Delinquencies Amounts and Ratios” below for details on the delinquency-managed portfolio.
(7)Asia Consumer also includes loans and leases in certain EMEA countries for all periods presented.
(8)Primarily consists of certain North America consumer mortgages.
For information on changes to Citi’s consumer loans, see “Liquidity Risk—Loans” below.
Consumer Credit Trends
Personal Banking and Wealth Management (PBWM)
| | |
| Personal Banking and Wealth Management |
As indicated above, PBWM consists of U.S. Personal Banking and Global Wealth Management (Global Wealth). U.S. Personal Banking provides cards products through Branded cards and Retail services, and mortgages and home equity, small business and personal consumer loans through Citi’s Retail banking network. The Retail bank is concentrated in six major metropolitan areas in the U.S. Global Wealth provides cards, mortgages and personal, small business and other consumer loans through the Private bank, Citigold and Wealth at Work.
As of September 30, 2022, approximately 40% of PBWM consumer loans consisted of Branded cards and Retail services card loans, which generally drives the overall credit performance of PBWM,as U.S. Cards net credit losses represent approximately 90% of total PBWM losses.
As shown in the chart above, the third quarter of 2022 net credit loss rate in PBWM was unchanged quarter-over-quarter and increased year-over-year, driven by an increase in net flow rates, primarily reflecting ongoing normalization from historically low levels in U.S. Cards.
PBWM’s 90+ days past due delinquency rate increased quarter-over-quarter and year-over-year, also driven by an increase in net flow rates, primarily reflecting the ongoing normalization in U.S. Cards.
U.S. Personal Banking’s Branded cards portfolio includes proprietary and co-branded cards.
As shown in the chart above, the third quarter of 2022 net credit loss rate in Branded cards was unchanged quarter-over-quarter and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by lasting effects of government stimulus, unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate increased quarter-over-quarter and year-over year, driven by a modest increase in net flow rates, primarily reflecting the ongoing normalization.
U.S. Personal Banking’s Retail services partners directly with more than 20 retailers and dealers to offer private label and co-branded cards. Retail services’ target market focuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel. Retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
As shown in the chart above, the third quarter of 2022 net credit loss rate in Retail services increased quarter-over-quarter and year-over-year, driven by an increase in net flow rates, primarily reflecting the ongoing normalization from historically low levels.
The 90+ days past due delinquency rate increased quarter-over-quarter and year-over-year, also driven by an increase in net flow rates, primarily reflecting the ongoing normalization.
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.
U.S. Personal Banking’s Retail banking portfolio consists primarily of consumer mortgages and other unsecured lending products, such as small business loans and personal loans. The portfolio is generally delinquency managed, where Citi evaluates credit risk based on FICO scores, delinquencies and the value of underlying collateral. The consumer mortgages in this portfolio have historically been extended to high credit quality customers, generally with loan-to-value ratios that are less than 80% on first and second mortgages. For additional information, see “Loan-to-Value (LTV) Ratios” in Note 13.
As shown in the chart above, the net credit loss rate in Retail banking for the third quarter of 2022 decreased quarter-over-quarter, due to industry-wide episodic overdraft losses in the first half of the year, but increased year-over-year, primarily driven by the lingering impact of the episodic losses.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, primarily driven by U.S. mortgages, which reflected the lasting effects of government stimulus, unemployment benefits and consumer relief programs.
As discussed above, the Global Wealth credit portfolio primarily consists of consumer mortgages, cards and other lending products extended to customer segments that range from the affluent to ultra-high-net-worth through the Private bank, Citigold and Wealth at Work. These customer segments represent a target market that is characterized by historically low default rates and delinquencies.
As of September 30, 2022, approximately $53 billion, or 35%, of the portfolio was classifiably managed and primarily consisted of margin lending, commercial real estate, subscription credit finance and other lending programs. These classifiably managed loans are primarily evaluated for credit
risk based on their internal risk rating, of which 95% is rated investment grade. While the delinquency rate in the chart above is calculated only for the delinquency-managed portfolio, the net credit loss rate is calculated using net credit losses for both the delinquency and classifiably managed portfolios.
As shown in the chart above, the net credit loss rate and 90+ days past due delinquency rate for the third quarter of 2022 were broadly stable quarter-over-quarter and year-over-year, reflecting the strong credit profiles of the portfolios.
Legacy Franchises
Legacy Franchises provides traditional retail banking and branded card products to retail and small business customers in Asia Consumer and Mexico Consumer.
(1)Asia Consumer includes Legacy Franchises activities in certain EMEA countries for all periods presented.
As of September 30, 2022, Asia Consumer operated in the remaining 11 countries in Asia and EMEA (Australia and the Philippines were included until sold on June 1, 2022 and August 1, 2022, respectively) and provides credit cards, consumer mortgages and small business and personal loans.
As shown in the chart above, the net credit loss rate in Asia Consumer for the third quarter of 2022 increased quarter-over-quarter, primarily driven by lower average loans in Korea (decline of $2.6 billion) due to the continued wind-down of the business. The net credit loss rate decreased year-over-year, primarily driven by the impact of the charge-off of peak delinquent loans in early 2021, which resulted in lower delinquencies, leading to lower net credit losses in the current quarter. The year-over-year decrease was also driven by the reclassification of loans to held-for-sale during the third quarter of 2021 or thereafter (including approximately $12 billion of retail banking loans and $5 billion of credit card loan balances for the third quarter of 2022), as a result of Citi’s signing of sale agreements for the Philippines, Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam consumer banking businesses.
The 90+ days past due delinquency rate increased quarter-over-quarter, primarily driven by lower end-of-period loans in Korea (decline of $3.3 billion) due to the continued wind-down of the business, and decreased year-over-year, mainly driven by the impact of the Asia held-for-sale reclassification and the charge-off of peak delinquencies.
The performance of Asia Consumer’s portfolios continues to reflect the strong credit profiles in the region’s target customer segments. Regulatory changes in many markets in
Asia over the past few years have also resulted in improved credit quality.
Mexico Consumer operates in Mexico through Citibanamex and provides credit cards, consumer mortgages and small business and personal loans. Mexico Consumer serves a more mass-market segment in Mexico and focuses on developing multiproduct relationships with customers.
As shown in the chart above, the third quarter of 2022 net credit loss rate in Mexico Consumer increased quarter-over-quarter, largely driven by higher episodic mortgage recoveries in the second quarter of 2022, and decreased year-over-year, primarily driven by the impact of the charge-off of peak delinquencies in early 2021, which resulted in lower delinquencies, leading to lower net credit losses in the current quarter.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, primarily driven by the impact of the charge-off of peak delinquencies and higher payment rates.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see PBWM and Legacy Franchises results of operations above and Note 13.
U.S. Cards FICO Distribution
The following tables show the current FICO score distributions for Citi’s Branded cards and Retail services portfolios based on end-of-period receivables. FICO scores are updated monthly for substantially all of the portfolio and on a quarterly basis for the remaining portfolio.
Branded Cards
| | | | | | | | | | | |
FICO distribution(1) | September 30, 2022 | June 30, 2022 | September 30, 2021 |
| > 760 | 48 | % | 49 | % | 48 | % |
| 680–760 | 38 | | 38 | | 39 | |
| < 680 | 14 | | 13 | | 13 | |
| Total | 100 | % | 100 | % | 100 | % |
Retail Services
| | | | | | | | | | | |
FICO distribution(1) | September 30, 2022 | June 30, 2022 | September 30, 2021 |
| > 760 | 27 | % | 28 | % | 27 | % |
| 680–760 | 43 | | 43 | | 45 | |
| < 680 | 30 | | 29 | | 28 | |
| Total | 100 | % | 100 | % | 100 | % |
(1) The FICO bands in the tables are consistent with general industry peer presentations.
The FICO distribution of both cards portfolios remained largely unchanged from the prior quarter and the prior year. The FICO distribution continues to reflect strong underlying credit quality and a benefit from the continued impacts of government stimulus, unemployment benefits and customer relief programs, as well as lower credit utilization primarily by customers with lower FICO scores. See Note 13 for additional information on FICO scores.
Additional Consumer Credit Details
Consumer Loan Net Credit LossesDelinquencies Amounts and Ratios
| | | | Average loans(1) | Net credit losses(2) | | EOP loans(1) | 90+ days past due(2) | 30–89 days past due(2) |
| In millions of dollars, except average loan amounts in billions | 3Q21 | 2Q21 | 3Q20 | |
| Global Consumer Banking | | | | |
In millions of dollars,
except EOP loan amounts in billions | | In millions of dollars,
except EOP loan amounts in billions | September 30,
2022 | September 30,
2022 | June 30,
2022 | September 30,
2021 | September 30,
2022 | June 30,
2022 | September 30,
2021 |
Personal Banking and Wealth Management(3)(4)(5) | | Personal Banking and Wealth Management(3)(4)(5) | | | | | |
| Total | Total | $ | 262.9 | | $ | 944 | | $ | 1,253 | | $ | 1,598 | | Total | $ | 327.3 | | $ | 1,557 | | $ | 1,383 | | $ | 1,205 | | $ | 1,778 | | $ | 1,435 | | $ | 1,355 | |
| Ratio | Ratio | | 1.42 | % | 1.87 | % | 2.33 | % | Ratio | | 0.57 | % | 0.52 | % | 0.49 | % | 0.65 | % | 0.54 | % | 0.55 | % |
| Retail banking | | | | |
| U.S. Personal Banking | | U.S. Personal Banking | | | | | |
| Total | Total | $ | 120.0 | | $ | 161 | | $ | 193 | | $ | 190 | | Total | $ | 176.2 | | $ | 1,286 | | $ | 1,128 | | $ | 974 | | $ | 1,474 | | $ | 1,201 | | $ | 1,063 | |
| Ratio | Ratio | | 0.53 | % | 0.61 | % | 0.60 | % | Ratio | | 0.73 | % | 0.66 | % | 0.62 | % | 0.84 | % | 0.70 | % | 0.68 | % |
| 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 | | | | |
Cards(4) | | Cards(4) | | | | | |
| Total | Total | $ | 142.9 | | $ | 783 | | $ | 1,060 | | $ | 1,408 | | Total | 140.4 | | 1,105 | | 949 | | 783 | | 1,269 | | 1,009 | | 846 | |
| Ratio | Ratio | | 2.17 | % | 2.98 | % | 3.82 | % | Ratio | | 0.79 | % | 0.69 | % | 0.62 | % | 0.90 | % | 0.73 | % | 0.67 | % |
North America—Citi-branded | 81.9 | | 357 | | 467 | | 647 | | |
| Branded cards | | Branded cards | 93.7 | | 474 | | 420 | | 362 | | 554 | | 428 | | 375 | |
| Ratio | Ratio | | 1.73 | % | 2.36 | % | 3.17 | % | Ratio | | 0.51 | % | 0.46 | % | 0.44 | % | 0.59 | % | 0.47 | % | 0.45 | % |
North America—Citi retail services | 42.4 | | 238 | | 326 | | 504 | | |
| Retail services | | Retail services | 46.7 | | 631 | | 529 | | 421 | | 715 | | 581 | | 471 | |
| Ratio | Ratio | | 2.23 | % | 3.09 | % | 4.51 | % | Ratio | | 1.35 | % | 1.16 | % | 0.99 | % | 1.53 | % | 1.27 | % | 1.10 | % |
| Latin America | 4.3 | | 98 | | 151 | | 138 | | |
Retail banking(3) | | Retail banking(3) | 35.8 | | 181 | | 179 | | 191 | | 205 | | 192 | | 217 | |
| Ratio | Ratio | | 9.04 | % | 14.09 | % | 12.77 | % | Ratio | | 0.51 | % | 0.52 | % | 0.60 | % | 0.58 | % | 0.55 | % | 0.68 | % |
Asia(3)(4) | 14.3 | | 90 | | 116 | | 119 | | |
Global Wealth delinquency-managed loans(5) | | Global Wealth delinquency-managed loans(5) | $ | 97.8 | | $ | 271 | | $ | 255 | | $ | 231 | | $ | 304 | | $ | 234 | | $ | 292 | |
| Ratio | Ratio | | 2.50 | % | 2.80 | % | 2.82 | % | Ratio | | 0.28 | % | 0.27 | % | 0.26 | % | 0.31 | % | 0.25 | % | 0.32 | % |
Corporate/Other—Consumer | | | | |
Global Wealth classifiably managed loans(6) | | Global Wealth classifiably managed loans(6) | $ | 53.3 | | N/A | N/A | N/A | N/A |
| Legacy Franchises | | Legacy Franchises | | | | | |
| Total | Total | $ | 4.7 | | $ | (22) | | $ | (22) | | $ | (4) | | Total | $ | 30.3 | | $ | 375 | | $ | 393 | | $ | 677 | | $ | 299 | | $ | 293 | | $ | 633 | |
| Ratio | Ratio | | (1.86) | % | (1.52) | % | (0.19) | % | Ratio | | 1.25 | % | 1.16 | % | 1.13 | % | 1.00 | % | 0.87 | % | 1.06 | % |
| | Total Citigroup | $ | 267.6 | | $ | 922 | | $ | 1,231 | | $ | 1,594 | | |
Asia Consumer(7)(8) | | Asia Consumer(7)(8) | 13.4 | | 47 | | 51 | | 257 | | 63 | | 70 | | 344 | |
| Ratio | Ratio | | 1.37 | % | 1.80 | % | 2.26 | % | Ratio | | 0.35 | % | 0.29 | % | 0.60 | % | 0.47 | % | 0.40 | % | 0.80 | % |
| Mexico Consumer | | Mexico Consumer | 13.7 | | 173 | | 174 | | 198 | | 169 | | 159 | | 190 | |
| Ratio | | Ratio | | 1.26 | % | 1.29 | % | 1.52 | % | 1.23 | % | 1.18 | % | 1.46 | % |
Legacy Holdings Assets (consumer)(9) | | Legacy Holdings Assets (consumer)(9) | 3.2 | | 155 | | 168 | | 222 | | 67 | | 64 | | 99 | |
| Ratio | | Ratio | | 5.34 | % | 5.60 | % | 5.84 | % | 2.31 | % | 2.13 | % | 2.61 | % |
| Total Citigroup consumer | | Total Citigroup consumer | $ | 357.6 | | $ | 1,932 | | $ | 1,776 | | $ | 1,882 | | $ | 2,077 | | $ | 1,728 | | $ | 1,988 | |
| Ratio | | Ratio | | 0.64 | % | 0.59 | % | 0.61 | % | 0.68 | % | 0.58 | % | 0.65 | % |
(1)AverageEnd-of-period (EOP) loans include interest and fees on credit cards.
(2)The ratios of net credit losses90+ days past due and 30–89 days past due are calculated based on averageEOP loans, net of unearned income.
(3)The 90+ days past due and 30–89 days past due and related ratios forRetail banking exclude loans guaranteed by U.S. government-sponsored agencies since the potential risk of loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $96 million ($0.6 billion), $119 million ($0.7 billion) and $146 million ($1.5 billion) at September 30, 2022, June 30, 2022 and September 30, 2021, respectively. The amounts excluded for loans 30–89 days past due (the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $67 million, $72 million and $78 million at September 30, 2022, June 30, 2022 and September 30, 2021, respectively. The EOP loans in the table include the guaranteed loans.
(4)The 90+ days past due balances for Branded cards and Retail services are generally still accruing interest. Citi’s policy is generally to accrue interest on credit card loans until 180 days past due, unless a notification of bankruptcy filing has been received earlier.
(5)Excludes EOP classifiably managed Private bank loans. These loans are not included in the delinquency numerator, denominator and ratios.
(6)These loans are evaluated for non-accrual status and write-off primarily based on their internal risk classification and not solely on their delinquency status, and therefore delinquency metrics are excluded from this table. As of September 30, 2022, June 30, 2022 and September 30, 2021, 95%, 94% and 93% of Global Wealth classifiably managed loans were rated investment grade. For additional information on the credit quality of the Global Wealth portfolio, including classifiably managed portfolios, see “Consumer Credit Trends” above.
(7)Asia Consumer includes NCLsdelinquencies and average loans in certain EMEAEMEA countries for all periods presented.
(8)As a result of Citi’s agreementCiti recently entered into agreements to sell itscertain Asia consumer banking business in Australia (Australia consumer) duringbusinesses. Accordingly, the third quarterloans of 2021, Australia consumer was classifiedthese businesses have been reclassified 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.Sheet, and hence the loans and related delinquencies and ratios are not included in this table. The reclassifications commenced as follows: Australia (3Q21, and closed on June 1, 2022), the Philippines (4Q21, and closed on August 1, 2022) and Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (1Q22). See Note 2 to the Consolidated Financial Statements for additional information.
N/A Not applicable
The following table details Citi’s corporate credit portfolio within ICG (excludingand the Mexico SBMM component of Legacy Franchises (excluding certain loans in the private bank, which are managed on a delinquency basis)basis, loans carried at fair value and loans held-for-sale), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:
| | | | September 30, 2021 | June 30, 2021 | December 31, 2020 | | September 30, 2022 | June 30, 2022 | December 31, 2021 |
| 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) | $ | 195 | | $ | 136 | | $ | 21 | | $ | 352 | | $ | 192 | | $ | 141 | | $ | 22 | | $ | 355 | | $ | 177 | | $ | 142 | | $ | 25 | | $ | 344 | | Direct outstandings (on-balance sheet)(1) | $ | 143 | | $ | 114 | | $ | 27 | | $ | 284 | | $ | 158 | | $ | 117 | | $ | 21 | | $ | 296 | | $ | 145 | | $ | 119 | | $ | 20 | | $ | 284 | |
Unfunded lending commitments (off-balance sheet)(2) | Unfunded lending commitments (off-balance sheet)(2) | 164 | | 286 | | 10 | | 460 | | 166 | | 281 | | 11 | | 458 | | 158 | | 272 | | 11 | | 441 | | Unfunded lending commitments (off-balance sheet)(2) | 133 | | 248 | | 10 | | 391 | | 141 | | 264 | | 9 | | 414 | | 147 | | 269 | | 13 | | 429 | |
| Total exposure | Total exposure | $ | 359 | | $ | 422 | | $ | 31 | | $ | 812 | | $ | 358 | | $ | 422 | | $ | 33 | | $ | 813 | | $ | 335 | | $ | 414 | | $ | 36 | | $ | 785 | | Total exposure | $ | 276 | | $ | 362 | | $ | 37 | | $ | 675 | | $ | 299 | | $ | 381 | | $ | 30 | | $ | 710 | | $ | 292 | | $ | 388 | | $ | 33 | | $ | 713 | |
(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:
| | | | | | | | | | | |
| September 30,
2021 | June 30, 2021 | December 31,
2020 |
| North America | 57 | % | 57 | % | 56 | % |
| EMEA | 25 | | 25 | | 25 | |
| Asia | 13 | | 13 | | 13 | |
| Latin America | 5 | | 5 | | 6 | |
| Total | 100 | % | 100 | % | 100 | % |
| | | | | | | | | | | |
| September 30,
2022 | June 30, 2022 | December 31,
2021 |
| North America | 56 | % | 56 | % | 56 | % |
| EMEA | 25 | | 25 | | 25 | |
| Asia | 12 | | 12 | | 13 | |
| Latin America | 7 | | 7 | | 6 | |
| Total | 100 | % | 100 | % | 100 | % |
The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived by leveraging validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position, regulatory environment and commodity prices. Facility risk ratings are assigned that reflect the probability of default of the obligor and factors that affect the loss given default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are considered investment grade, while those below are considered non-investment grade.
The following table presents the corporate credit portfolio (excluding the delinquency-managed private bank portfolio) by facility risk rating as a percentage of the total corporate credit portfolio:
| | | | Total exposure | | Total exposure |
| | | September 30,
2021 | June 30,
2021 | December 31,
2020 | | September 30,
2022 | June 30,
2022 | December 31,
2021 |
| AAA/AA/A | AAA/AA/A | 49 | % | 49 | % | 49 | % | AAA/AA/A | 50 | % | 50 | % | 48 | % |
| BBB | BBB | 32 | | 32 | | 31 | | BBB | 33 | | 33 | | 34 | |
| BB/B | BB/B | 16 | | 16 | | 17 | | BB/B | 15 | | 15 | | 16 | |
| CCC or below | CCC or below | 3 | | 3 | | 3 | | CCC or below | 2 | | 2 | | 2 | |
| 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 September 30, 2021. Since the onset of the COVID-19 pandemic,2022. Citigroup has taken action to adjust internal ratings and classifications of exposures as both the macroeconomic environment and obligor-specific factors have changed, particularly where additional stress has been seen.
As obligor risk ratings are downgraded, the probability of default increases. Downgrades of obligor risk ratings tend to
result in a higher provision for credit losses. In addition, downgrades may result in the purchase of additional credit derivatives or other risk mitigants to hedge the incremental credit risk, or may result in Citi’s seeking to reduce exposure to an obligor or an industry sector. Citi will continue to review exposures to ensure that the appropriate probability of default is incorporated into all risk assessments.
ForSee Note 13 for additional information on Citi’s corporate credit portfolio, see Note 13 to the Consolidated Financial Statements.portfolio.
Portfolio Mix—Industry
Citi’s corporate credit portfolio is diversified by industry. The following table details the allocation of Citi’s total corporate credit portfolio by industry (excluding the delinquency-managed private bank portfolio):industry:
| | | | | | | | | | | |
| | Total exposure |
| | September 30,
2021 | June 30,
2021 | December 31,
2020 |
| Transportation and industrials | 19 | % | 18 | % | 19 | % |
| Private bank | 14 | | 14 | | 14 | |
| Consumer retail | 10 | | 10 | | 10 | |
| Technology, media and telecom | 10 | | 11 | | 11 | |
| Real estate | 9 | | 9 | | 8 | |
| Power, chemicals, metals and mining | 8 | | 8 | | 8 | |
| Banks and finance companies | 7 | | 7 | | 7 | |
| Energy and commodities | 6 | | 6 | | 6 | |
| Health | 5 | | 5 | | 5 | |
| Public sector | 3 | | 3 | | 3 | |
| Insurance | 3 | | 3 | | 3 | |
| Asset managers and funds | 3 | | 3 | | 3 | |
| Financial markets infrastructure | 2 | | 2 | | 2 | |
| Other industries | 1 | | 1 | | 1 | |
| Total | 100 | % | 100 | % | 100 | % |
| | | | | | | | | | | |
| | Total exposure |
| | September 30,
2022 | June 30,
2022 | December 31,
2021 |
| Transportation and industrials | 20 | % | 20 | % | 20 | % |
| Technology, media and telecom | 12 | | 12 | | 12 | |
| Consumer retail | 11 | | 11 | | 11 | |
| Real estate | 10 | | 10 | | 10 | |
| Power, chemicals, metals and mining | 9 | | 9 | | 9 | |
| Banks and finance companies | 9 | | 9 | | 8 | |
| Energy and commodities | 7 | | 7 | | 7 | |
| Asset managers and funds | 7 | | 7 | | 8 | |
| Health | 5 | | 5 | | 5 | |
| Insurance | 4 | | 4 | | 4 | |
| Public sector | 3 | | 3 | | 3 | |
| Financial markets infrastructure | 2 | | 2 | | 2 | |
| Securities firms | — | | — | | — | |
| Other industries | 1 | | 1 | | 1 | |
| Total | 100 | % | 100 | % | 100 | % |
The following table details Citi’s corporate credit portfolio by industry as of September 30, 2021:2022:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing(3) | Net charge-offs (recoveries)(4) | Credit derivative hedges(5) |
| Transportation and industrials | $ | 155,722 | | $ | 55,345 | | $ | 100,377 | | $ | 118,945 | | $ | 20,622 | | $ | 14,798 | | $ | 1,357 | | | $ | 192 | | $ | 84 | | $ | (8,706) | |
Autos(6) | 51,520 | | 21,050 | | 30,470 | | 42,920 | | 4,699 | | 3,783 | | 118 | | | 41 | | 1 | | (3,167) | |
| Transportation | 31,507 | | 12,513 | | 18,994 | | 22,353 | | 3,431 | | 4,648 | | 1,075 | | | 36 | | 63 | | (1,322) | |
| Industrials | 72,695 | | 21,782 | | 50,913 | | 53,672 | | 12,492 | | 6,367 | | 164 | | | 115 | | 20 | | (4,217) | |
| Private bank | 113,674 | | 78,185 | | 35,489 | | 109,139 | | 2,645 | | 1,798 | | 92 | | | 717 | | 11 | | (1,080) | |
| Consumer retail | 81,309 | | 35,716 | | 45,593 | | 63,393 | | 12,511 | | 4,961 | | 444 | | | 138 | | 78 | | (5,031) | |
| Technology, media and telecom | 83,716 | | 31,192 | | 52,524 | | 64,569 | | 15,744 | | 3,107 | | 296 | | | 141 | | 11 | | (6,691) | |
| Real estate | 70,438 | | 46,576 | | 23,862 | | 57,454 | | 8,157 | | 4,786 | | 41 | | | 69 | | 13 | | (662) | |
| Power, chemicals, metals and mining | 63,845 | | 20,059 | | 43,786 | | 50,216 | | 11,293 | | 2,188 | | 148 | | | 160 | | 34 | | (5,508) | |
| Power | 25,950 | | 5,326 | | 20,624 | | 22,541 | | 2,774 | | 563 | | 72 | | | 45 | | 31 | | (2,823) | |
| Chemicals | 23,171 | | 8,247 | | 14,924 | | 17,604 | | 4,496 | | 1,033 | | 38 | | | 48 | | 4 | | (2,049) | |
| Metals and mining | 14,724 | | 6,486 | | 8,238 | | 10,071 | | 4,023 | | 592 | | 38 | | | 67 | | (1) | | (636) | |
| Banks and finance companies | 58,478 | | 34,894 | | 23,584 | | 48,056 | | 5,934 | | 4,459 | | 29 | | | 82 | | (1) | | (698) | |
Energy and commodities(7) | 49,108 | | 14,455 | | 34,653 | | 35,577 | | 8,634 | | 4,388 | | 509 | | | 148 | | 80 | | (3,471) | |
| Health | 36,012 | | 7,943 | | 28,069 | | 29,127 | | 5,567 | | 1,162 | | 156 | | | 66 | | — | | (2,211) | |
| Public sector | 26,256 | | 14,665 | | 11,591 | | 21,471 | | 2,026 | | 2,753 | | 6 | | | 27 | | (3) | | (1,277) | |
| Insurance | 27,189 | | 2,482 | | 24,707 | | 26,251 | | 876 | | 62 | | — | | | 11 | | 1 | | (2,560) | |
| Asset managers and funds | 22,105 | | 6,519 | | 15,586 | | 20,919 | | 1,085 | | 101 | | — | | | 30 | | — | | (97) | |
| Financial markets infrastructure | 14,294 | | 236 | | 14,058 | | 14,265 | | 28 | | — | | 1 | | | — | | — | | (13) | |
| Securities firms | 3,021 | | 701 | | 2,320 | | 585 | | 2,389 | | 39 | | 8 | | | — | | — | | (1) | |
| Other industries | 7,242 | | 2,929 | | 4,313 | | 3,905 | | 2,783 | | 447 | | 107 | | | 64 | | 5 | | (104) | |
| Total | $ | 812,409 | | $ | 351,897 | | $ | 460,512 | | $ | 663,872 | | $ | 100,294 | | $ | 45,049 | | $ | 3,194 | | | $ | 1,845 | | $ | 313 | | $ | (38,110) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing | Net credit losses (recoveries) | Credit derivative hedges(3) |
| Transportation and industrials | $ | 135,469 | | $ | 52,978 | | $ | 82,491 | | $ | 105,517 | | $ | 20,566 | | $ | 8,871 | | $ | 515 | | | $ | 330 | | $ | (37) | | $ | (8,136) | |
Autos(4) | 46,238 | | 19,221 | | 27,017 | | 38,257 | | 6,452 | | 1,390 | | 139 | | | 43 | | 1 | | (2,884) | |
| Transportation | 24,417 | | 11,163 | | 13,254 | | 18,094 | | 2,771 | | 3,371 | | 181 | | | 84 | | (41) | | (1,255) | |
| Industrials | 64,814 | | 22,594 | | 42,220 | | 49,166 | | 11,343 | | 4,110 | | 195 | | | 203 | | 3 | | (3,997) | |
| Technology, media and telecom | 80,793 | | 30,164 | | 50,629 | | 64,911 | | 12,015 | | 3,550 | | 317 | | | 209 | | 8 | | (5,970) | |
| Consumer retail | 75,757 | | 32,305 | | 43,452 | | 58,550 | | 13,718 | | 3,098 | | 391 | | | 241 | | 16 | | (4,884) | |
| Real estate | 67,330 | | 45,582 | | 21,748 | | 58,399 | | 5,683 | | 3,246 | | 2 | | | 134 | | 1 | | (625) | |
| Power, chemicals, metals and mining | 60,285 | | 18,611 | | 41,674 | | 48,794 | | 9,997 | | 1,294 | | 200 | | | 150 | | 15 | | (4,718) | |
| Power | 23,024 | | 4,703 | | 18,321 | | 19,712 | | 2,863 | | 394 | | 55 | | | 52 | | — | | (2,173) | |
| Chemicals | 23,614 | | 8,033 | | 15,581 | | 19,453 | | 3,552 | | 496 | | 113 | | | 59 | | 15 | | (1,933) | |
| Metals and mining | 13,647 | | 5,875 | | 7,772 | | 9,629 | | 3,582 | | 404 | | 32 | | | 39 | | — | | (612) | |
| Banks and finance companies | 60,503 | | 38,537 | | 21,966 | | 51,712 | | 6,043 | | 2,581 | | 167 | | | 108 | | 30 | | (845) | |
Energy and commodities(5) | 47,467 | | 14,628 | | 32,839 | | 39,050 | | 6,700 | | 1,561 | | 156 | | | 284 | | 11 | | (3,502) | |
| Asset managers and funds | 44,814 | | 20,988 | | 23,826 | | 42,592 | | 2,155 | | 67 | | — | | | 156 | | — | | (866) | |
| Health | 32,546 | | 8,865 | | 23,681 | | 27,691 | | 3,894 | | 862 | | 99 | | | 103 | | 1 | | (2,629) | |
| Insurance | 27,797 | | 3,350 | | 24,447 | | 26,918 | | 879 | | — | | — | | | 3 | | — | | (2,699) | |
| Public sector | 23,425 | | 12,982 | | 10,443 | | 19,758 | | 1,827 | | 1,683 | | 157 | | | 22 | | 3 | | (1,370) | |
| Financial markets infrastructure | 8,936 | | 57 | | 8,879 | | 8,865 | | 71 | | — | | — | | | — | | — | | (20) | |
| Securities firms | 1,590 | | 797 | | 793 | | 756 | | 657 | | 175 | | 2 | | | 8 | | — | | (3) | |
| Other industries | 8,193 | | 4,464 | | 3,729 | | 5,566 | | 2,314 | | 281 | | 32 | | | 37 | | 12 | | (247) | |
| Total | $ | 674,905 | | $ | 284,308 | | $ | 390,597 | | $ | 559,079 | | $ | 86,519 | | $ | 27,269 | | $ | 2,038 | | | $ | 1,785 | | $ | 60 | | $ | (36,514) | |
(1) Excludes $48.6$0.4 billion and $1.5$0.1 billion of funded and unfunded exposure at September 30, 2021,2022, respectively, primarily related to the delinquency-managed private bank portfolio.loans and unearned income. Funded balance also excludes loans carried at fair value of $3.6 billion at September 30, 2022.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Excludes $111 million of past due loans primarily related to the delinquency-managed private bank portfolio.
(4) Net charge-offs (recoveries) are for the nine months ended September 30, 2021 and exclude delinquency-managed private bank charge-offs of $1 million.
(5) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $38.1$36.5 billion of purchased credit protection, $35.5$33.2 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.6$3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $20.8$28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(6)(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $18.7$16.9 billion ($6.77.6 billion in funded, with more than 99%100% rated investment grade) as of September 30, 2021.2022.
(7)(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrialindustrials sector (e.g., off-shore drilling entities) included in the table above. As of September 30, 2021,2022, Citi’s total exposure to these energy-related entities was approximately $6.7$5.1 billion, of which approximately $3.5$2.5 billion consisted of direct outstanding funded loans.
Exposure to Commercial Real Estate
As of September 30, 2021, ICG’s total corporate credit exposure to commercial real estate (CRE) was $67 billion, with $45 billion consisting of direct outstanding funded loans (mainly included in the real estate and private bank categories in the above table), or 7% of Citi’s total outstanding loans. In addition, as of September 30, 2021, more than 70% of ICG’s total corporate CRE exposure was to borrowers in the U.S. Also, as of September 30, 2021, approximately 74% of ICG’s total corporate CRE exposure was rated investment grade.
As of September 30, 2021, the ACLL was 0.9% of funded CRE exposure, including 2.4% of funded non-investment-grade exposure.
Of the total CRE exposure:
•$20 billion ($13 billion of direct outstanding funded loans) relates to Community Reinvestment Act-related lending provided pursuant to Citi’s regulatory requirements to meet the credit needs of borrowers in low and moderate income neighborhoods.
•$20 billion ($16 billion of direct outstanding funded loans) relates to exposure secured by mortgages on underlying properties or in well-rated securitization exposures.
•$16 billion ($5 billion of direct outstanding funded loans) relates to unsecured loans to large REITs, with nearly 74% of the exposure rated investment grade.
•$11 billion ($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 September 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, 2020:2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing(3) | Net charge-offs (recoveries)(4) | Credit derivative hedges(5) |
| Transportation and industrials | $ | 147,218 | | $ | 60,122 | | $ | 87,096 | | $ | 106,041 | | $ | 17,452 | | $ | 21,927 | | $ | 1,798 | | | $ | 136 | | $ | 239 | | $ | (8,110) | |
Autos(6) | 53,874 | | 25,310 | | 28,564 | | 43,059 | | 4,374 | | 6,167 | | 274 | | | 8 | | 45 | | (3,220) | |
| Transportation | 27,693 | | 14,107 | | 13,586 | | 16,410 | | 2,993 | | 6,872 | | 1,418 | | | 17 | | 144 | | (1,166) | |
| Industrials | 65,651 | | 20,705 | | 44,946 | | 46,572 | | 10,085 | | 8,888 | | 106 | | | 111 | | 50 | | (3,724) | |
| Private bank | 109,397 | | 75,693 | | 33,704 | | 104,244 | | 2,395 | | 2,510 | | 248 | | | 963 | | 78 | | (1,080) | |
| Consumer retail | 82,129 | | 34,809 | | 47,320 | | 60,741 | | 11,653 | | 9,418 | | 317 | | | 146 | | 64 | | (5,493) | |
| Technology, media and telecom | 82,657 | | 30,880 | | 51,777 | | 61,296 | | 15,924 | | 5,214 | | 223 | | | 107 | | 74 | | (7,237) | |
| Real estate | 65,392 | | 43,285 | | 22,107 | | 54,413 | | 5,342 | | 5,453 | | 184 | | | 334 | | 18 | | (642) | |
| Power, chemicals, metals and mining | 63,926 | | 20,810 | | 43,116 | | 47,923 | | 11,554 | | 4,257 | | 192 | | | 59 | | 70 | | (5,341) | |
| Power | 26,916 | | 6,379 | | 20,537 | | 22,665 | | 3,336 | | 761 | | 154 | | | 14 | | 57 | | (2,637) | |
| Chemicals | 22,356 | | 7,969 | | 14,387 | | 16,665 | | 3,804 | | 1,882 | | 5 | | | 32 | | 8 | | (2,102) | |
| Metals and mining | 14,654 | | 6,462 | | 8,192 | | 8,593 | | 4,414 | | 1,614 | | 33 | | | 13 | | 5 | | (602) | |
| Banks and finance companies | 52,925 | | 29,856 | | 23,069 | | 43,831 | | 4,648 | | 4,387 | | 59 | | | 27 | | 79 | | (765) | |
Energy and commodities(7) | 49,524 | | 15,086 | | 34,438 | | 34,636 | | 7,345 | | 6,546 | | 997 | | | 70 | | 285 | | (4,199) | |
| Health | 35,504 | | 8,658 | | 26,846 | | 29,164 | | 4,354 | | 1,749 | | 237 | | | 17 | | 17 | | (1,964) | |
| Public sector | 26,887 | | 13,599 | | 13,288 | | 22,276 | | 1,887 | | 2,708 | | 16 | | | 45 | | 9 | | (1,089) | |
| Insurance | 26,576 | | 1,925 | | 24,651 | | 25,864 | | 575 | | 136 | | 1 | | | 27 | | 1 | | (2,682) | |
| Asset managers and funds | 19,745 | | 4,491 | | 15,254 | | 18,528 | | 1,013 | | 191 | | 13 | | | 41 | | (1) | | (84) | |
| Financial markets infrastructure | 12,610 | | 229 | | 12,381 | | 12,590 | | 20 | | — | | — | | | — | | — | | (9) | |
| Securities firms | 976 | | 430 | | 546 | | 573 | | 298 | | 97 | | 8 | | | — | | — | | (6) | |
| Other industries | 9,307 | | 4,545 | | 4,762 | | 4,980 | | 2,702 | | 1,442 | | 183 | | | 10 | | 43 | | (138) | |
| Total | $ | 784,773 | | $ | 344,418 | | $ | 440,355 | | $ | 627,100 | | $ | 87,162 | | $ | 66,035 | | $ | 4,476 | | | $ | 1,982 | | $ | 976 | | $ | (38,839) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | Selected metrics |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 30 days or more past due and accruing | Net credit losses (recoveries) | Credit derivative hedges(3) |
| Transportation and industrials | $ | 143,445 | | $ | 51,502 | | $ | 91,943 | | $ | 110,047 | | $ | 19,051 | | $ | 13,196 | | $ | 1,151 | | | $ | 384 | | $ | 127 | | $ | (8,791) | |
Autos(4) | 48,210 | | 18,662 | | 29,548 | | 39,824 | | 5,365 | | 2,906 | | 115 | | | 49 | | 2 | | (3,228) | |
| Transportation | 26,897 | | 12,085 | | 14,812 | | 19,233 | | 2,344 | | 4,447 | | 873 | | | 105 | | 104 | | (1,334) | |
| Industrials | 68,338 | | 20,755 | | 47,583 | | 50,990 | | 11,342 | | 5,843 | | 163 | | | 230 | | 21 | | (4,229) | |
| Technology, media and telecom | 84,333 | | 28,542 | | 55,791 | | 64,676 | | 15,873 | | 3,587 | | 197 | | | 156 | | 11 | | (6,875) | |
| Consumer retail | 78,994 | | 32,894 | | 46,100 | | 60,686 | | 13,590 | | 4,311 | | 407 | | | 224 | | 100 | | (5,115) | |
| Real estate | 69,808 | | 46,220 | | 23,588 | | 58,089 | | 6,761 | | 4,923 | | 35 | | | 116 | | 50 | | (798) | |
Power, chemicals, metals
and mining | 65,641 | | 20,224 | | 45,417 | | 53,575 | | 10,708 | | 1,241 | | 117 | | | 292 | | 22 | | (5,808) | |
| Power | 26,199 | | 5,610 | | 20,589 | | 22,860 | | 2,832 | | 420 | | 87 | | | 100 | | 17 | | (3,032) | |
| Chemicals | 25,550 | | 8,525 | | 17,025 | | 20,788 | | 4,224 | | 528 | | 10 | | | 88 | | 6 | | (2,141) | |
| Metals and mining | 13,892 | | 6,089 | | 7,803 | | 9,927 | | 3,652 | | 293 | | 20 | | | 104 | | (1) | | (635) | |
| Banks and finance companies | 58,252 | | 36,804 | | 21,448 | | 49,465 | | 4,892 | | 3,890 | | 5 | | | 150 | | (5) | | (680) | |
Energy and commodities(5) | 48,973 | | 13,485 | | 35,488 | | 38,972 | | 7,517 | | 2,220 | | 264 | | | 224 | | 78 | | (3,679) | |
| Asset managers and funds | 55,517 | | 26,879 | | 28,638 | | 54,119 | | 1,019 | | 377 | | 2 | | | 211 | | — | | (869) | |
| Health | 33,393 | | 8,826 | | 24,567 | | 27,600 | | 4,702 | | 942 | | 149 | | | 95 | | — | | (2,465) | |
| Insurance | 28,495 | | 3,162 | | 25,333 | | 27,447 | | 987 | | 61 | | — | | | 2 | | 1 | | (2,711) | |
| Public sector | 23,842 | | 12,464 | | 11,378 | | 21,035 | | 1,527 | | 1,275 | | 5 | | | 37 | | (3) | | (1,282) | |
| Financial markets infrastructure | 14,341 | | 109 | | 14,232 | | 14,323 | | 18 | | — | | — | | | — | | — | | (22) | |
| Securities firms | 1,472 | | 613 | | 859 | | 605 | | 816 | | 51 | | — | | | 4 | | — | | (5) | |
| Other industries | 6,591 | | 2,803 | | 3,788 | | 4,151 | | 1,890 | | 489 | | 61 | | | — | | 5 | | (169) | |
| Total | $ | 713,097 | | $ | 284,527 | | $ | 428,570 | | $ | 584,790 | | $ | 89,351 | | $ | 36,563 | | $ | 2,393 | | | $ | 1,895 | | $ | 386 | | $ | (39,269) | |
(1) Excludes $42.6$0.6 billion and $4.4$0.1 billion of funded and unfunded exposure at December 31, 2020,2021, respectively, primarily related to the delinquency-managed private bank portfolio.loans and unearned income. Funded balance also excludes loans carried at fair value of $6.1 billion at December 31, 2021.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Excludes $162 million of past due loans primarily related to the delinquency-managed private bank portfolio.
(4) Net charge-offs (recoveries) are for the year ended December 31, 2020 and exclude delinquency-managed private bank charge-offs of $10 million.
(5) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $38.8$39.3 billion of purchased credit protection, $36.8$36.0 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.0$3.3 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.1$28.4 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(6)(4) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $20.2$17.9 billion ($10.36.5 billion in funded, with more than 99% rated investment grade) as of December 31, 2020.2021.
(7)(5) In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2020,2021, Citi’s total exposure to these energy-related entities was approximately $7.0$5.1 billion, of which approximately $3.8$2.6 billion consisted of direct outstanding funded loans.
Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. Citi may enter into partial-term hedges as well as full-term hedges. In advance of the expiration of partial-term hedges, Citi will determine, among other factors, the economic feasibility of hedging the remaining life of the instrument. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Principal transactions in the Consolidated Statement of Income.
At September 30, 2021,2022, June 30, 20212022 and December 31, 2020,2021, ICG (excluding the delinquency-managed private bank portfolio) had economic hedges on the corporate credit portfolio of $38.1$36.5 billion, $37.2$36.8 billion and $38.8$39.3 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.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
| | | | | | | | | | | |
| September 30,
2021 | June 30,
2021 | December 31,
2020 |
| AAA/AA/A | 32 | % | 34 | % | 30 | % |
| BBB | 47 | | 46 | | 48 | |
| BB/B | 17 | | 17 | | 19 | |
| CCC or below | 4 | | 3 | | 3 | |
| Total | 100 | % | 100 | % | 100 | % |
| | | | | | | | | | | |
| September 30,
2022 | June 30,
2022 | December 31,
2021 |
| AAA/AA/A | 38 | % | 37 | % | 35 | % |
| BBB | 45 | | 44 | | 49 | |
| BB/B | 13 | | 14 | | 13 | |
| CCC or below | 4 | | 5 | | 3 | |
| Total | 100 | % | 100 | % | 100 | % |
Consumer Credit Portfolio
The following table shows Citi’s quarterly end-of-period consumer loans(1):
| | | | | | | | | | | | | | | | | | |
| In billions of dollars | 3Q21(2) | 4Q21(2) | 1Q22(2) | 2Q22(2) | 3Q22(2) | |
| Personal Banking and Wealth Management | | | | | | |
| U.S. Personal Banking | | | | | | |
| Cards | | | | | | |
| Branded cards | $ | 82.8 | | $ | 87.9 | | $ | 85.9 | | $ | 91.6 | | $ | 93.7 | | |
| Retail services | 42.7 | | 46.0 | | 44.1 | | 45.8 | | 46.7 | | |
| Retail banking | | | | | | |
Mortgages(5) | 30.5 | | 30.2 | | 30.5 | | 32.3 | | 32.3 | | |
| Personal, small business and other | 2.9 | | 2.8 | | 2.8 | | 3.1 | | 3.5 | | |
Global Wealth(3)(4) | | | | | | |
| Cards | 3.7 | | 4.0 | | 3.8 | | 4.0 | | 4.0 | | |
Mortgages(5) | 73.9 | | 74.6 | | 75.4 | | 77.8 | | 82.0 | | |
Personal, small business and other(6) | 72.7 | | 72.7 | | 71.0 | | 67.0 | | 65.1 | | |
| Total | $ | 309.2 | | $ | 318.2 | | $ | 313.5 | | $ | 321.6 | | $ | 327.3 | | |
| Legacy Franchises | | | | | | |
Asia Consumer(7) | $ | 42.9 | | $ | 41.1 | | $ | 19.5 | | $ | 17.3 | | $ | 13.4 | | |
| Mexico Consumer (excludes Mexico SBMM) | 13.0 | | 13.3 | | 13.6 | | 13.5 | | 13.7 | | |
Legacy Holdings Assets(8) | 4.2 | | 3.9 | | 3.7 | | 3.2 | | 3.2 | | |
| Total | $ | 60.1 | | $ | 58.3 | | $ | 36.8 | | $ | 34.0 | | $ | 30.3 | | |
| Total consumer loans | $ | 369.3 | | $ | 376.5 | | $ | 350.3 | | $ | 355.6 | | $ | 357.6 | | |
(1)End-of-period loans include interest and fees on credit cards.
(2)Legacy Franchises—3Q22 Asia Consumer loan balances exclude approximately $17 billion of loans ($12 billion of retail banking loans and $5 billion of credit card loan balances) reclassified to held-for-sale (HFS) (Other assets on the Consolidated Balance Sheet) as a result of Citi’s signed agreements to sell its consumer banking businesses in seven countries (see Legacy Franchises above and Note 2 for additional information). Indonesia, Malaysia, Thailand, Vietnam, Taiwan, India and Bahrain consumer banking businesses were reclassified to HFS starting 1Q22. In addition, the Australia consumer banking business was reclassified to HFS from 3Q21 until the closing of its sale on June 1, 2022; and the Philippines consumer banking business was reclassified to HFS from 4Q21 until the closing of its sale on August 1, 2022. Accordingly, loans from these sold businesses are excluded from the Asia Consumer loan balances as of the end of such periods.
(3)Consists of $99.3 billion, $94.6 billion, $94.1 billion, $92.7 billion and $92.0 billion of loans in North America as of September 30, 2022, June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021, respectively. For additional information on the credit quality of the Global Wealth portfolio, see Note 13.
(4)Consists of $51.8 billion, $54.2 billion, $56.1 billion, $58.6 billion and $58.3 billion of loans outside North America as of September 30, 2022, June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021, respectively.
(5)See Note 13 for details on loan-to-value ratios for the portfolios and FICO scores for the U.S. portfolio.
(6)At September 30, 2022, includes approximately $53 billion of classifiably managed loans. Over 90% of these loans are fully collateralized (consisting primarily of marketable investment securities, commercial real estate and limited partner capital commitments in private equity) and have experienced very low historical NCLs. As discussed below, approximately 95% of the classifiably managed portion of these loans are investment grade. See “Consumer Loan Delinquencies Amounts and Ratios” below for details on the delinquency-managed portfolio.
(7)Asia Consumer also includes loans and leases in certain EMEA countries for all periods presented.
(8)Primarily consists of certain North America consumer mortgages.
For information on changes to Citi’s consumer loans, see “Liquidity Risk—Loans” below.
Consumer Credit Trends
Personal Banking and Wealth Management (PBWM)
| | |
| Personal Banking and Wealth Management |
As indicated above, PBWM consists of U.S. Personal Banking and Global Wealth Management (Global Wealth). U.S. Personal Banking provides cards products through Branded cards and Retail services, and mortgages and home equity, small business and personal consumer loans through Citi’s Retail banking network. The Retail bank is concentrated in six major metropolitan areas in the U.S. Global Wealth provides cards, mortgages and personal, small business and other consumer loans through the Private bank, Citigold and Wealth at Work.
As of September 30, 2022, approximately 40% of PBWM consumer loans consisted of Branded cards and Retail services card loans, which generally drives the overall credit performance of PBWM,as U.S. Cards net credit losses represent approximately 90% of total PBWM losses.
As shown in the chart above, the third quarter of 2022 net credit loss rate in PBWM was unchanged quarter-over-quarter and increased year-over-year, driven by an increase in net flow rates, primarily reflecting ongoing normalization from historically low levels in U.S. Cards.
PBWM’s 90+ days past due delinquency rate increased quarter-over-quarter and year-over-year, also driven by an increase in net flow rates, primarily reflecting the ongoing normalization in U.S. Cards.
U.S. Personal Banking’s Branded cards portfolio includes proprietary and co-branded cards.
As shown in the chart above, the third quarter of 2022 net credit loss rate in Branded cards was unchanged quarter-over-quarter and decreased year-over-year, primarily reflecting the continued impact of high payment rates, driven by lasting effects of government stimulus, unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate increased quarter-over-quarter and year-over year, driven by a modest increase in net flow rates, primarily reflecting the ongoing normalization.
U.S. Personal Banking’s Retail services partners directly with more than 20 retailers and dealers to offer private label and co-branded cards. Retail services’ target market focuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel. Retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
As shown in the chart above, the third quarter of 2022 net credit loss rate in Retail services increased quarter-over-quarter and year-over-year, driven by an increase in net flow rates, primarily reflecting the ongoing normalization from historically low levels.
The 90+ days past due delinquency rate increased quarter-over-quarter and year-over-year, also driven by an increase in net flow rates, primarily reflecting the ongoing normalization.
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.
U.S. Personal Banking’s Retail banking portfolio consists primarily of consumer mortgages and other unsecured lending products, such as small business loans and personal loans. The portfolio is generally delinquency managed, where Citi evaluates credit risk based on FICO scores, delinquencies and the value of underlying collateral. The consumer mortgages in this portfolio have historically been extended to high credit quality customers, generally with loan-to-value ratios that are less than 80% on first and second mortgages. For additional information, see “Loan-to-Value (LTV) Ratios” in Note 13.
As shown in the chart above, the net credit loss rate in Retail banking for the third quarter of 2022 decreased quarter-over-quarter, due to industry-wide episodic overdraft losses in the first half of the year, but increased year-over-year, primarily driven by the lingering impact of the episodic losses.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, primarily driven by U.S. mortgages, which reflected the lasting effects of government stimulus, unemployment benefits and consumer relief programs.
As discussed above, the Global Wealth credit portfolio primarily consists of consumer mortgages, cards and other lending products extended to customer segments that range from the affluent to ultra-high-net-worth through the Private bank, Citigold and Wealth at Work. These customer segments represent a target market that is characterized by historically low default rates and delinquencies.
As of September 30, 2022, approximately $53 billion, or 35%, of the portfolio was classifiably managed and primarily consisted of margin lending, commercial real estate, subscription credit finance and other lending programs. These classifiably managed loans are primarily evaluated for credit
risk based on their internal risk rating, of which 95% is rated investment grade. While the delinquency rate in the chart above is calculated only for the delinquency-managed portfolio, the net credit loss rate is calculated using net credit losses for both the delinquency and classifiably managed portfolios.
As shown in the chart above, the net credit loss rate and 90+ days past due delinquency rate for the third quarter of 2022 were broadly stable quarter-over-quarter and year-over-year, reflecting the strong credit profiles of the portfolios.
Legacy Franchises
Legacy Franchises provides traditional retail banking and branded card products to retail and small business customers in Asia Consumer and Mexico Consumer.
(1)Asia Consumer includes Legacy Franchises activities in certain EMEA countries for all periods presented.
As of September 30, 2022, Asia Consumer operated in the remaining 11 countries in Asia and EMEA (Australia and the Philippines were included until sold on June 1, 2022 and August 1, 2022, respectively) and provides credit cards, consumer mortgages and small business and personal loans.
As shown in the chart above, the net credit loss rate in Asia Consumer for the third quarter of 2022 increased quarter-over-quarter, primarily driven by lower average loans in Korea (decline of $2.6 billion) due to the continued wind-down of the business. The net credit loss rate decreased year-over-year, primarily driven by the impact of the charge-off of peak delinquent loans in early 2021, which resulted in lower delinquencies, leading to lower net credit losses in the current quarter. The year-over-year decrease was also driven by the reclassification of loans to held-for-sale during the third quarter of 2021 or thereafter (including approximately $12 billion of retail banking loans and $5 billion of credit card loan balances for the third quarter of 2022), as a result of Citi’s signing of sale agreements for the Philippines, Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam consumer banking businesses.
The 90+ days past due delinquency rate increased quarter-over-quarter, primarily driven by lower end-of-period loans in Korea (decline of $3.3 billion) due to the continued wind-down of the business, and decreased year-over-year, mainly driven by the impact of the Asia held-for-sale reclassification and the charge-off of peak delinquencies.
The performance of Asia Consumer’s portfolios continues to reflect the strong credit profiles in the region’s target customer segments. Regulatory changes in many markets in
Asia over the past few years have also resulted in improved credit quality.
Mexico Consumer operates in Mexico through Citibanamex and provides credit cards, consumer mortgages and small business and personal loans. Mexico Consumer serves a more mass-market segment in Mexico and focuses on developing multiproduct relationships with customers.
As shown in the chart above, the third quarter of 2022 net credit loss rate in Mexico Consumer increased quarter-over-quarter, largely driven by higher episodic mortgage recoveries in the second quarter of 2022, and decreased year-over-year, primarily driven by the impact of the charge-off of peak delinquencies in early 2021, which resulted in lower delinquencies, leading to lower net credit losses in the current quarter.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, primarily driven by the impact of the charge-off of peak delinquencies and higher payment rates.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see PBWM and Legacy Franchises results of operations above and Note 13.
U.S. Cards FICO Distribution
The following tables show the current FICO score distributions for Citi’s Branded cards and Retail services portfolios based on end-of-period receivables. FICO scores are updated monthly for substantially all of the portfolio and on a quarterly basis for the remaining portfolio.
Branded Cards
| | | | | | | | | | | |
FICO distribution(1) | September 30, 2022 | June 30, 2022 | September 30, 2021 |
| > 760 | 48 | % | 49 | % | 48 | % |
| 680–760 | 38 | | 38 | | 39 | |
| < 680 | 14 | | 13 | | 13 | |
| Total | 100 | % | 100 | % | 100 | % |
Retail Services
| | | | | | | | | | | |
FICO distribution(1) | September 30, 2022 | June 30, 2022 | September 30, 2021 |
| > 760 | 27 | % | 28 | % | 27 | % |
| 680–760 | 43 | | 43 | | 45 | |
| < 680 | 30 | | 29 | | 28 | |
| Total | 100 | % | 100 | % | 100 | % |
(1) The FICO bands in the tables are consistent with general industry peer presentations.
The FICO distribution of both cards portfolios remained largely unchanged from the prior quarter and the prior year. The FICO distribution continues to reflect strong underlying credit quality and a benefit from the continued impacts of government stimulus, unemployment benefits and customer relief programs, as well as lower credit utilization primarily by customers with lower FICO scores. See Note 13 for additional information on FICO scores.
Additional Consumer Credit Details
Consumer Loan Delinquencies Amounts and Ratios
| | | | | | | | | | | | | | | | | | | | | | | |
| | EOP loans(1) | 90+ days past due(2) | 30–89 days past due(2) |
In millions of dollars,
except EOP loan amounts in billions | September 30,
2022 | September 30,
2022 | June 30,
2022 | September 30,
2021 | September 30,
2022 | June 30,
2022 | September 30,
2021 |
Personal Banking and Wealth Management(3)(4)(5) | | | | | | | |
| Total | $ | 327.3 | | $ | 1,557 | | $ | 1,383 | | $ | 1,205 | | $ | 1,778 | | $ | 1,435 | | $ | 1,355 | |
| Ratio | | 0.57 | % | 0.52 | % | 0.49 | % | 0.65 | % | 0.54 | % | 0.55 | % |
| U.S. Personal Banking | | | | | | | |
| Total | $ | 176.2 | | $ | 1,286 | | $ | 1,128 | | $ | 974 | | $ | 1,474 | | $ | 1,201 | | $ | 1,063 | |
| Ratio | | 0.73 | % | 0.66 | % | 0.62 | % | 0.84 | % | 0.70 | % | 0.68 | % |
Cards(4) | | | | | | | |
| Total | 140.4 | | 1,105 | | 949 | | 783 | | 1,269 | | 1,009 | | 846 | |
| Ratio | | 0.79 | % | 0.69 | % | 0.62 | % | 0.90 | % | 0.73 | % | 0.67 | % |
| Branded cards | 93.7 | | 474 | | 420 | | 362 | | 554 | | 428 | | 375 | |
| Ratio | | 0.51 | % | 0.46 | % | 0.44 | % | 0.59 | % | 0.47 | % | 0.45 | % |
| Retail services | 46.7 | | 631 | | 529 | | 421 | | 715 | | 581 | | 471 | |
| Ratio | | 1.35 | % | 1.16 | % | 0.99 | % | 1.53 | % | 1.27 | % | 1.10 | % |
Retail banking(3) | 35.8 | | 181 | | 179 | | 191 | | 205 | | 192 | | 217 | |
| Ratio | | 0.51 | % | 0.52 | % | 0.60 | % | 0.58 | % | 0.55 | % | 0.68 | % |
Global Wealth delinquency-managed loans(5) | $ | 97.8 | | $ | 271 | | $ | 255 | | $ | 231 | | $ | 304 | | $ | 234 | | $ | 292 | |
| Ratio | | 0.28 | % | 0.27 | % | 0.26 | % | 0.31 | % | 0.25 | % | 0.32 | % |
Global Wealth classifiably managed loans(6) | $ | 53.3 | | N/A | N/A | N/A | N/A | N/A | N/A |
| Legacy Franchises | | | | | | | |
| Total | $ | 30.3 | | $ | 375 | | $ | 393 | | $ | 677 | | $ | 299 | | $ | 293 | | $ | 633 | |
| Ratio | | 1.25 | % | 1.16 | % | 1.13 | % | 1.00 | % | 0.87 | % | 1.06 | % |
Asia Consumer(7)(8) | 13.4 | | 47 | | 51 | | 257 | | 63 | | 70 | | 344 | |
| Ratio | | 0.35 | % | 0.29 | % | 0.60 | % | 0.47 | % | 0.40 | % | 0.80 | % |
| Mexico Consumer | 13.7 | | 173 | | 174 | | 198 | | 169 | | 159 | | 190 | |
| Ratio | | 1.26 | % | 1.29 | % | 1.52 | % | 1.23 | % | 1.18 | % | 1.46 | % |
Legacy Holdings Assets (consumer)(9) | 3.2 | | 155 | | 168 | | 222 | | 67 | | 64 | | 99 | |
| Ratio | | 5.34 | % | 5.60 | % | 5.84 | % | 2.31 | % | 2.13 | % | 2.61 | % |
| Total Citigroup consumer | $ | 357.6 | | $ | 1,932 | | $ | 1,776 | | $ | 1,882 | | $ | 2,077 | | $ | 1,728 | | $ | 1,988 | |
| Ratio | | 0.64 | % | 0.59 | % | 0.61 | % | 0.68 | % | 0.58 | % | 0.65 | % |
(1)End-of-period (EOP) loans include interest and fees on credit cards.
(2)The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(3)The 90+ days past due and 30–89 days past due and related ratios forRetail banking exclude loans guaranteed by U.S. government-sponsored agencies since the potential risk of loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $96 million ($0.6 billion), $119 million ($0.7 billion) and $146 million ($1.5 billion) at September 30, 2022, June 30, 2022 and September 30, 2021, respectively. The amounts excluded for loans 30–89 days past due (the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $67 million, $72 million and $78 million at September 30, 2022, June 30, 2022 and September 30, 2021, respectively. The EOP loans in the table include the guaranteed loans.
(4)The 90+ days past due balances for Branded cards and Retail services are generally still accruing interest. Citi’s policy is generally to accrue interest on credit card loans until 180 days past due, unless a notification of bankruptcy filing has been received earlier.
(5)Excludes EOP classifiably managed Private bank loans. These loans are not included in the delinquency numerator, denominator and ratios.
(6)These loans are evaluated for non-accrual status and write-off primarily based on their internal risk classification and not solely on their delinquency status, and therefore delinquency metrics are excluded from this table. As of September 30, 2022, June 30, 2022 and September 30, 2021, 95%, 94% and 93% of Global Wealth classifiably managed loans were rated investment grade. For additional information on the credit quality of the Global Wealth portfolio, including classifiably managed portfolios, see “Consumer Credit Trends” above.
(7)Asia Consumer includes delinquencies and loans in certain EMEAcountries for all periods presented.
(8)Citi recently entered into agreements to sell certain Asia consumer banking businesses. Accordingly, the loans of these businesses have been reclassified as HFS in Other assets on the Consolidated Balance Sheet, and hence the loans and related delinquencies and ratios are not included in this table. The reclassifications commenced as follows: Australia (3Q21, and closed on June 1, 2022), the Philippines (4Q21, and closed on August 1, 2022) and Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (1Q22). See Note 2 for additional information.
(9)The 90+ days past due and 30–89 days past due and related ratios exclude U.S. mortgage loans that are primarily related to U.S. mortgages guaranteed by U.S. government-sponsored agencies since the potential risk of loss predominantly resides with the U.S. agencies. The amounts excluded for 90+ days past due and (EOP loans) were $95 million ($0.3 billion), $84 million ($0.2 billion) and $138 million ($0.4 billion) at September 30, 2022, June 30, 2022 and September 30, 2021, respectively. The amounts excluded for loans 30–89 days past due (the 30–89 days past due EOP loans have the same adjustments as the 90+ days past due EOP loans) were $31 million, $27 million and $42 million at September 30, 2022, June 30, 2022 and September 30, 2021, respectively. The EOP loans in the table include the guaranteed loans.
N/A Not applicable
Consumer Loan Net Credit Losses and Ratios
| | | | | | | | | | | | | | | | | | |
| | Average loans(1) | Net credit losses(2) | | | | |
| In millions of dollars, except average loan amounts in billions | 3Q22 | 3Q22 | 2Q22 | 3Q21 | | | | |
Personal Banking and Wealth Management(2) | | | | | | | | |
| Total | $ | 324.6 | | $ | 723 | | $ | 699 | | $ | 641 | | | | | |
| Ratio | | 0.88 | % | 0.88 | % | 0.82 | % | | | | |
| U.S. Personal Banking | | | | | | | | |
| Total | $ | 174.0 | | $ | 706 | | $ | 679 | | $ | 617 | | | | | |
| Ratio | | 1.61 | % | 1.63 | % | 1.55 | % | | | | |
| Cards | | | | | | | | |
| Total | 137.9 | | 663 | | 619 | | 595 | | | | | |
| Ratio | | 1.91 | % | 1.87 | % | 1.90 | % | | | | |
| Branded cards | 91.8 | | 348 | | 329 | | 357 | | | | | |
| Ratio | | 1.50 | % | 1.50 | % | 1.73 | % | | | | |
| Retail services | 46.1 | | 315 | | 290 | | 238 | | | | | |
| Ratio | | 2.71 | % | 2.60 | % | 2.23 | % | | | | |
| Retail banking | 36.1 | | 43 | | 60 | | 22 | | | | | |
| Ratio | | 0.47 | % | 0.70 | % | 0.26 | % | | | | |
| Global Wealth | $ | 150.6 | | $ | 17 | | $ | 20 | | $ | 24 | | | | | |
| Ratio | | 0.04 | % | 0.05 | % | 0.06 | % | | | | |
| Legacy Franchises | | | | | | | | |
| Total | $ | 31.8 | | $ | 158 | | $ | 128 | | $ | 281 | | | | | |
| Ratio | | 1.97 | % | 1.45 | % | 1.73 | % | | | | |
Asia Consumer(3)(4) | 15.2 | | 39 | | 35 | | 129 | | | | | |
| Ratio | | 1.02 | % | 0.77 | % | 1.10 | % | | | | |
| Mexico Consumer | 13.5 | | 130 | | 105 | | 175 | | | | | |
| Ratio | | 3.82 | % | 3.12 | % | 5.26 | % | | | | |
| Legacy Holdings Assets (consumer) | 3.1 | | (11) | | (12) | | (23) | | | | | |
| Ratio | | (1.41) | % | (1.34) | % | (1.94) | % | | | | |
| Total Citigroup | $ | 356.4 | | $ | 881 | | $ | 827 | | $ | 922 | | | | | |
| Ratio | | 0.98 | % | 0.94 | % | 0.98 | % | | | | |
(1)Average loans include interest and fees on credit cards.
(2)The ratios of net credit losses are calculated based on average loans, net of unearned income.
(3)Asia Consumer includes NCLs and average loans in certain EMEA countries (Russia, Poland and Bahrain) for all periods presented.
(4)Citi recently entered into agreements to sell certain Asia consumer banking businesses, which have been reclassified as HFS in Other assets and Other liabilities on the Consolidated Balance Sheet. As a result, approximately $34 million, $50 million and $5 million in related net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) in 3Q22, 2Q22 and 3Q21, respectively. Accordingly, these NCLs are not included in this table. The reclassifications commenced as follows: Australia (3Q21, and closed on June 1, 2022), the Philippines (4Q21, and closed on August 1, 2022) and Bahrain, India, Indonesia, Malaysia, Taiwan, Thailand and Vietnam (1Q22). See Note 2 for additional information.
ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS
Loans Outstanding
| | | 3rd Qtr. | 2nd Qtr. | 1st Qtr. | 4th Qtr. | 3rd 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 | 2022 | 2022 | 2021 |
| Consumer loans | Consumer loans | | Consumer loans | |
In North America offices(1) | In North America offices(1) | | In North America offices(1) | |
Residential first mortgages(2) | Residential first mortgages(2) | $ | 44,345 | | $ | 44,835 | | $ | 45,739 | | $ | 47,778 | | $ | 48,370 | | Residential first mortgages(2) | $ | 93,381 | | $ | 88,662 | | $ | 84,569 | | $ | 83,361 | | $ | 83,593 | |
Home equity loans(2) | Home equity loans(2) | 5,485 | | 6,168 | | 6,638 | | 7,128 | | 7,625 | | Home equity loans(2) | 4,794 | | 5,074 | | 5,328 | | 5,745 | | 6,194 | |
| Credit cards | Credit cards | 125,526 | | 124,823 | | 121,048 | | 130,385 | | 125,485 | | Credit cards | 140,404 | | 137,412 | | 129,989 | | 133,868 | | 125,526 | |
| Personal, small business and other | Personal, small business and other | 3,179 | | 3,676 | | 4,600 | | 4,509 | | 4,689 | | Personal, small business and other | 40,110 | | 39,436 | | 41,297 | | 40,713 | | 39,909 | |
| Total | Total | $ | 178,535 | | $ | 179,502 | | $ | 178,025 | | $ | 189,800 | | $ | 186,169 | | Total | $ | 278,689 | | $ | 270,584 | | $ | 261,183 | | $ | 263,687 | | $ | 255,222 | |
In offices outside North America(1) | In offices outside North America(1) | | In offices outside North America(1) | |
Residential first mortgages(2) | $ | 34,339 | | $ | 40,344 | | $ | 39,833 | | $ | 39,969 | | $ | 38,507 | | |
Residential mortgages(2) | | Residential mortgages(2) | $ | 27,281 | | $ | 28,129 | | $ | 29,017 | | $ | 37,889 | | $ | 46,920 | |
| Credit cards | Credit cards | 17,763 | | 20,776 | | 21,137 | | 22,692 | | 21,108 | | Credit cards | 11,764 | | 11,858 | | 11,546 | | 17,808 | | 17,763 | |
| Personal, small business and other | Personal, small business and other | 33,613 | | 35,273 | | 35,039 | | 36,378 | | 34,241 | | Personal, small business and other | 39,849 | | 45,034 | | 48,582 | | 57,150 | | 49,387 | |
| Total | Total | $ | 85,715 | | $ | 96,393 | | $ | 96,009 | | $ | 99,039 | | $ | 93,856 | | Total | $ | 78,894 | | $ | 85,021 | | $ | 89,145 | | $ | 112,847 | | $ | 114,070 | |
Consumer loans, net of unearned income(3) | Consumer loans, net of unearned income(3) | $ | 264,250 | | $ | 275,895 | | $ | 274,034 | | $ | 288,839 | | $ | 280,025 | | Consumer loans, net of unearned income(3) | $ | 357,583 | | $ | 355,605 | | $ | 350,328 | | $ | 376,534 | | $ | 369,292 | |
| 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 | $ | 56,496 | | $ | 53,549 | | $ | 55,497 | | $ | 57,731 | | $ | 59,921 | | Commercial and industrial | $ | 52,990 | | $ | 55,823 | | $ | 54,063 | | $ | 48,364 | | $ | 52,988 | |
| Financial institutions | Financial institutions | 62,818 | | 65,494 | | 57,009 | | 55,809 | | 52,884 | | Financial institutions | 43,667 | | 46,088 | | 47,930 | | 49,804 | | 44,172 | |
Mortgage and real estate(2) | Mortgage and real estate(2) | 63,584 | | 62,162 | | 60,976 | | 60,675 | | 59,340 | | Mortgage and real estate(2) | 17,762 | | 17,359 | | 17,536 | | 15,965 | | 16,422 | |
| Installment and other | Installment and other | 26,922 | | 26,757 | | 29,186 | | 26,744 | | 26,858 | | Installment and other | 21,222 | | 20,466 | | 18,812 | | 20,143 | | 16,944 | |
| Lease financing | Lease financing | 425 | | 547 | | 539 | | 673 | | 704 | | Lease financing | 383 | | 379 | | 379 | | 415 | | 425 | |
| Total | Total | $ | 210,245 | | $ | 208,509 | | $ | 203,207 | | $ | 201,632 | | $ | 199,707 | | Total | $ | 136,024 | | $ | 140,115 | | $ | 138,720 | | $ | 134,691 | | $ | 130,951 | |
In offices outside North America(1) | In offices outside North America(1) | | In offices outside North America(1) | |
| Commercial and industrial | Commercial and industrial | $ | 105,671 | | $ | 105,486 | | $ | 102,666 | | $ | 104,072 | | $ | 108,551 | | Commercial and industrial | $ | 100,570 | | $ | 108,274 | | $ | 112,732 | | $ | 102,735 | | $ | 105,124 | |
| Financial institutions | Financial institutions | 33,501 | | 35,713 | | 34,729 | | 32,334 | | 32,583 | | Financial institutions | 23,604 | | 24,654 | | 27,657 | | 22,158 | | 25,013 | |
Mortgage and real estate(2) | Mortgage and real estate(2) | 10,685 | | 10,995 | | 11,166 | | 11,371 | | 10,424 | | Mortgage and real estate(2) | 4,005 | | 4,455 | | 4,705 | | 4,374 | | 4,749 | |
| Installment and other | Installment and other | 36,054 | | 35,787 | | 35,347 | | 33,759 | | 32,323 | | Installment and other | 19,653 | | 19,862 | | 21,275 | | 22,812 | | 25,277 | |
| Lease financing | Lease financing | 47 | | 54 | | 56 | | 65 | | 63 | | Lease financing | 48 | | 53 | | 47 | | 40 | | 47 | |
| Governments and official institutions | Governments and official institutions | 4,311 | | 4,395 | | 4,783 | | 3,811 | | 3,235 | | Governments and official institutions | 4,473 | | 4,315 | | 4,205 | | 4,423 | | 4,311 | |
| Total | Total | $ | 190,269 | | $ | 192,430 | | $ | 188,747 | | $ | 185,412 | | $ | 187,179 | | Total | $ | 152,353 | | $ | 161,613 | | $ | 170,621 | | $ | 156,542 | | $ | 164,521 | |
Corporate loans, net of unearned income(4) | Corporate loans, net of unearned income(4) | $ | 400,514 | | $ | 400,939 | | $ | 391,954 | | $ | 387,044 | | $ | 386,886 | | Corporate loans, net of unearned income(4) | $ | 288,377 | | $ | 301,728 | | $ | 309,341 | | $ | 291,233 | | $ | 295,472 | |
| Total loans—net of unearned income | Total loans—net of unearned income | $ | 664,764 | | $ | 676,834 | | $ | 665,988 | | $ | 675,883 | | $ | 666,911 | | Total loans—net of unearned income | $ | 645,960 | | $ | 657,333 | | $ | 659,669 | | $ | 667,767 | | $ | 664,764 | |
| Allowance for credit losses on loans (ACLL) | Allowance for credit losses on loans (ACLL) | (17,715) | | (19,238) | | (21,638) | | (24,956) | | (26,426) | | Allowance for credit losses on loans (ACLL) | (16,309) | | (15,952) | | (15,393) | | (16,455) | | (17,715) | |
| Total loans—net of unearned income and ACLL | Total loans—net of unearned income and ACLL | $ | 647,049 | | $ | 657,596 | | $ | 644,350 | | $ | 650,927 | | $ | 640,485 | | Total loans—net of unearned income and ACLL | $ | 629,651 | | $ | 641,381 | | $ | 644,276 | | $ | 651,312 | | $ | 647,049 | |
ACLL as a percentage of total loans—
net of unearned income(5) | ACLL as a percentage of total loans—
net of unearned income(5) | 2.69 | % | 2.88 | % | 3.29 | % | 3.73 | % | 4.00 | % | ACLL as a percentage of total loans—
net of unearned income(5) | 2.54 | % | 2.44 | % | 2.35 | % | 2.49 | % | 2.69 | % |
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) | 5.55 | % | 5.84 | % | 6.41 | % | 6.77 | % | 6.96 | % | ACLL for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5) | 3.74 | % | 3.65 | % | 3.53 | % | 3.73 | % | 4.09 | % |
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) | 0.77 | % | 0.80 | % | 1.06 | % | 1.42 | % | 1.82 | % | ACLL for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5) | 1.04 | % | 1.00 | % | 1.00 | % | 0.85 | % | 0.91 | % |
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.America. The classification of corporate loans between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Consumer loans are net of unearned income of $650$671 million, $676$631 million, $700$591 million, $749$629 million and $739$616 million at September 30, 2021,2022, June 30, 2021,2022, March 31, 2021,2022, December 31, 20202021 and September 30, 2020,2021, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(4)Corporate loans include private bankMexico SBMM loans and are net of unearned income of $(831)$(750) million, $(841)$(759) million, $(844)$(766) million, $(844)$(770) million and $(857)$(798) million at September 30, 2021,2022, June 30, 2021,2022, March 31, 2021,2022, December 31, 20202021 and September 30, 2020,2021, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
(5)Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.
Details of Credit Loss Experience
| | | 3rd Qtr. | 2nd Qtr. | 1st Qtr. | 4th Qtr. | 3rd 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 | 2022 | 2022 | 2021 |
| Allowance for credit losses on loans (ACLL) at beginning of period | Allowance for credit losses on loans (ACLL) at beginning of period | $ | 19,238 | | $ | 21,638 | | $ | 24,956 | | $ | 26,426 | | $ | 26,298 | | Allowance for credit losses on loans (ACLL) at beginning of period | $ | 15,952 | | $ | 15,393 | | $ | 16,455 | | $ | 17,715 | | $ | 19,238 | |
| | 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) | $ | (162) | | $ | (265) | | $ | (354) | | $ | 1,034 | | $ | 1,500 | | Consumer(1) | $ | 1,281 | | $ | 1,440 | | $ | (372) | | $ | (202) | | $ | (180) | |
| Corporate | Corporate | (26) | | (861) | | (1,125) | | (1,410) | | 431 | | Corporate | 47 | | (56) | | 632 | | (108) | | (8) | |
| Total | Total | $ | (188) | | $ | (1,126) | | $ | (1,479) | | $ | (376) | | $ | 1,931 | | Total | $ | 1,328 | | $ | 1,384 | | $ | 260 | | $ | (310) | | $ | (188) | |
| 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 | $ | 891 | | $ | 1,117 | | $ | 1,247 | | $ | 1,130 | | $ | 1,479 | | In U.S. offices | $ | 946 | | $ | 934 | | $ | 947 | | $ | 802 | | $ | 893 | |
| In offices outside the U.S. | In offices outside the U.S. | 449 | | 576 | | 758 | | 524 | | 537 | | In offices outside the U.S. | 248 | | 221 | | 245 | | 360 | | 449 | |
| Corporate | Corporate | | Corporate | |
| In U.S. offices | In U.S. offices | 20 | | 56 | | 156 | | 159 | | 194 | | In U.S. offices | 8 | | 21 | | 29 | | 27 | | 17 | |
| In offices outside the U.S. | In offices outside the U.S. | 29 | | 95 | | 47 | | 76 | | 157 | | In offices outside the U.S. | 35 | | 36 | | 19 | | 90 | | 30 | |
| Total | Total | $ | 1,389 | | $ | 1,844 | | $ | 2,208 | | $ | 1,889 | | $ | 2,367 | | Total | $ | 1,237 | | $ | 1,212 | | $ | 1,240 | | $ | 1,279 | | $ | 1,389 | |
Credit recoveries on loans(1) | | |
| Gross recoveries on loans | | Gross recoveries on loans | |
| Consumer | Consumer | | Consumer | |
| In U.S. offices | In U.S. offices | $ | 297 | | $ | 323 | | $ | 316 | | $ | 270 | | $ | 304 | | In U.S. offices | $ | 252 | | $ | 265 | | $ | 293 | | $ | 273 | | $ | 299 | |
| In offices outside the U.S. | In offices outside the U.S. | 121 | | 139 | | 127 | | 122 | | 118 | | In offices outside the U.S. | 61 | | 63 | | 58 | | 108 | | 121 | |
| Corporate | Corporate | | Corporate | |
| In U.S. offices | In U.S. offices | 7 | | 40 | | 10 | | 16 | | 8 | | In U.S. offices | 34 | | 2 | | 13 | | 8 | | 5 | |
| In offices outside the U.S. | In offices outside the U.S. | 3 | | 22 | | 7 | | 9 | | 18 | | In offices outside the U.S. | 3 | | 32 | | 4 | | 24 | | 3 | |
| Total | Total | $ | 428 | | $ | 524 | | $ | 460 | | $ | 417 | | $ | 448 | | Total | $ | 350 | | $ | 362 | | $ | 368 | | $ | 413 | | $ | 428 | |
| 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 | $ | 607 | | $ | 810 | | $ | 1,077 | | $ | 1,003 | | $ | 1,361 | | In U.S. offices | $ | 668 | | $ | 688 | | $ | 670 | | $ | 548 | | $ | 606 | |
| In offices outside the U.S. | In offices outside the U.S. | 354 | | 510 | | 671 | | 469 | | 558 | | In offices outside the U.S. | 219 | | 162 | | 202 | | 318 | | 355 | |
| Total | Total | $ | 961 | | $ | 1,320 | | $ | 1,748 | | $ | 1,472 | | $ | 1,919 | | Total | $ | 887 | | $ | 850 | | $ | 872 | | $ | 866 | | $ | 961 | |
Other—net(7)(6) | Other—net(7)(6) | $ | (374) | | $ | 46 | | $ | (91) | | $ | 378 | | $ | 116 | | Other—net(7)(6) | $ | (84) | | $ | 25 | | $ | (450) | | $ | (84) | | $ | (374) | |
| Allowance for credit losses on loans (ACLL) at end of period | Allowance for credit losses on loans (ACLL) at end of period | $ | 17,715 | | $ | 19,238 | | $ | 21,638 | | $ | 24,956 | | $ | 26,426 | | Allowance for credit losses on loans (ACLL) at end of period | $ | 16,309 | | $ | 15,952 | | $ | 15,393 | | $ | 16,455 | | $ | 17,715 | |
ACLL as a percentage of EOP loans(8)(7) | ACLL as a percentage of EOP loans(8)(7) | 2.69 | % | 2.88 | % | 3.29 | % | 3.73 | % | 4.00 | % | ACLL as a percentage of EOP loans(8)(7) | 2.54 | % | 2.44 | % | 2.35 | % | 2.49 | % | 2.69 | % |
Allowance for credit losses on unfunded lending commitments (ACLUC)(9)(10) | $ | 2,063 | | $ | 2,073 | | $ | 2,012 | | $ | 2,655 | | $ | 2,299 | | |
Allowance for credit losses on unfunded lending commitments (ACLUC)(8) | | Allowance for credit losses on unfunded lending commitments (ACLUC)(8) | $ | 2,089 | | $ | 2,193 | | $ | 2,343 | | $ | 1,871 | | $ | 2,063 | |
| Total ACLL and ACLUC | Total ACLL and ACLUC | $ | 19,778 | | $ | 21,311 | | $ | 23,650 | | $ | 27,611 | | $ | 28,725 | | Total ACLL and ACLUC | $ | 18,398 | | $ | 18,145 | | $ | 17,736 | | $ | 18,326 | | $ | 19,778 | |
| Net consumer credit losses on loans | Net consumer credit losses on loans | $ | 922 | | $ | 1,231 | | $ | 1,562 | | $ | 1,262 | | $ | 1,594 | | Net consumer credit losses on loans | $ | 881 | | $ | 827 | | $ | 841 | | $ | 781 | | $ | 922 | |
| As a percentage of average consumer loans | As a percentage of average consumer loans | 1.37 | % | 1.80 | % | 2.28 | % | 1.77 | % | 2.26 | % | As a percentage of average consumer loans | 0.98 | % | 0.94 | % | 0.97 | % | 0.83 | % | 0.98 | % |
| Net corporate credit losses on loans | Net corporate credit losses on loans | $ | 39 | | $ | 89 | | $ | 186 | | $ | 210 | | $ | 325 | | Net corporate credit losses on loans | $ | 6 | | $ | 23 | | $ | 31 | | $ | 85 | | $ | 39 | |
| As a percentage of average corporate loans | As a percentage of average corporate loans | 0.04 | % | 0.09 | % | 0.20 | % | 0.22 | % | 0.33 | % | As a percentage of average corporate loans | 0.01 | % | 0.03 | % | 0.04 | % | 0.11 | % | 0.05 | % |
ACLL by type at end of period(11) | | |
ACLL by type at end of period(9) | | ACLL by type at end of period(9) | |
| Consumer | Consumer | $ | 14,668 | | $ | 16,111 | | $ | 17,554 | | $ | 19,554 | | $ | 19,488 | | Consumer | $ | 13,361 | | $ | 12,983 | | $ | 12,368 | | $ | 14,040 | | $ | 15,105 | |
| Corporate | Corporate | 3,047 | | 3,127 | | 4,084 | | 5,402 | | 6,938 | | Corporate | 2,948 | | 2,969 | | 3,025 | | 2,415 | | 2,610 | |
| Total | Total | $ | 17,715 | | $ | 19,238 | | $ | 21,638 | | $ | 24,956 | | $ | 26,426 | | Total | $ | 16,309 | | $ | 15,952 | | $ | 15,393 | | $ | 16,455 | | $ | 17,715 | |
(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.
(2)The third quarter of 2022 includes a decrease of approximately $84 million related to FX translation.
(3)The second quarter of 2022 includes an increase of approximately $25 million related to FX translation.
(4)The first quarter of 2022 includes an approximate $350 million reclass related to the announced sales of Citi’s consumer banking businesses in Thailand, India, Malaysia, Taiwan, Indonesia, Bahrain and Vietnam. The ACLL was reclassified to Other assets during 1Q22. 1Q22 consumer also includes a decrease of approximately $100 million related to FX translation.
(5)The fourth quarter of 2021 includes an approximate $90 million reclass related to the announced sale of Citi’s consumer banking operations in the Philippines. The ACLL was reclassified to Other assets during 4Q21. 4Q21 consumer also includes a decrease of approximately $6 million related to FX translation.
(6)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.
(5)The first quarter of 2021 includes a decrease of approximately $108 million related to FX translation.
(6)The fourth quarter of 2020 includes an increase of approximately $376 million related to FX translation.
(7)The third quarter of 2020 includes an increase of approximately $116$80 million related to FX translation.
(8)(7)September 30, 2021,2022, June 30, 2021,2022, March 31, 2021,2022, December 31, 20202021 and September 30, 20202021 exclude $7.2$3.9 billion, $7.7$4.5 billion, $7.5$5.7 billion, $6.9$6.1 billion and $5.5$7.2 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)(8)Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(11)(9)See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements.below. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.
Allowance for Credit Losses on Loans (ACLL)
The following tables detail information on Citi’s ACLL, loans and coverage ratios:
| | | | September 30, 2021 | | September 30, 2022 |
| 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) |
| Consumer | | Consumer | |
North America cards(2) | North America cards(2) | $ | 11.8 | | $ | 125.5 | | 9.4 | % | North America cards(2) | $ | 10.6 | | $ | 140.4 | | 7.5 | % |
North America mortgages(3) | North America mortgages(3) | 0.3 | | 49.8 | | 0.6 | | North America mortgages(3) | 0.2 | | 97.9 | | 0.2 | |
North America other | 0.2 | | 3.2 | | 6.3 | | |
North America other(3) | | North America other(3) | 0.8 | | 40.1 | | 2.0 | |
| International cards | International cards | 1.3 | | 17.8 | | 7.3 | | International cards | 0.9 | | 11.8 | | 7.6 | |
International other(4) | 1.1 | | 68.0 | | 1.6 | | |
| Total consumer | $ | 14.7 | | $ | 264.3 | | 5.6 | % | |
| Total corporate | 3.0 | | 400.5 | | 0.8 | | |
International other(3) | | International other(3) | 0.9 | | 67.2 | | 1.3 | |
Total(1) | | Total(1) | $ | 13.4 | | $ | 357.4 | | 3.7 | % |
| Corporate | | Corporate | |
| Commercial and industrial | | Commercial and industrial | $ | 2.0 | | $ | 151.6 | | 1.3 | % |
| Financial institutions | | Financial institutions | 0.3 | | 66.9 | | 0.4 | |
| Mortgage and real estate | | Mortgage and real estate | 0.4 | | 21.7 | | 1.8 | |
| Installment and other | | Installment and other | 0.2 | | 44.5 | | 0.4 | |
Total(1) | | Total(1) | $ | 2.9 | | $ | 284.7 | | 1.0 | % |
Loans at fair value(1) | | Loans at fair value(1) | N/A | $ | 3.9 | | N/A |
| Total Citigroup | Total Citigroup | $ | 17.7 | | $ | 664.8 | | 2.7 | % | Total Citigroup | $ | 16.3 | | $ | 646.0 | | 2.5 | % |
| | | | | | | | | | | |
| | December 31, 2021 |
| In billions of dollars | ACLL | EOP loans, net of
unearned income | ACLL as a percentage of EOP loans(1) |
| Consumer | | | |
North America cards(2) | $ | 10.8 | | $ | 133.9 | | 8.1 | % |
North America mortgages(3) | 0.5 | | 89.1 | | 0.6 | |
North America other(3) | 0.4 | | 40.7 | | 1.0 | |
| International cards | 1.2 | | 17.8 | | 6.7 | |
International other(3) | 1.2 | | 95.0 | | 1.3 | |
Total(1) | $ | 14.1 | | $ | 376.5 | | 3.7 | % |
| Corporate | | | |
| Commercial and industrial | $ | 1.6 | | $ | 147.0 | | 1.1 | % |
| Financial institutions | 0.3 | | 71.8 | | 0.4 | |
| Mortgage and real estate | 0.3 | | 20.3 | | 1.5 | |
| Installment and other | 0.2 | | 46.1 | | 0.4 | |
Total(1) | $ | 2.4 | | $ | 285.2 | | 0.8 | % |
Loans at fair value(1) | N/A | $ | 6.1 | | N/A |
| Total Citigroup | $ | 16.5 | | $ | 667.8 | | 2.5 | % |
(1)LoansExcludes loans carried at fair value, since they do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)Includes both Citi-brandedBranded cards and Citi retailRetail services. The $11.8As of September 30, 2022, the $10.6 billion of loan loss reservesACLL represented approximately 6048 months of coincident net credit loss coverage. As of September 30, 2021, North America Citi-branded2022, Branded cards ACLL as a percentage of EOP loans was 8.3%6.2% and North America Citi retailRetail services ACLL as a percentage of EOP loans was 11.5%10.1%.
(3)Of As of December 31, 2021, the $0.3 billion, approximately $0.1 billion was allocated to North America mortgages in Corporate/Other, including approximately $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 $49.8 billion in loans, approximately $48.4 billion and $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 |
| In billions of dollars | ACLL | EOP loans, net of
unearned income | ACLL as a percentage of EOP loans(1) |
North America cards(2) | $ | 14.7 | | $ | 130.4 | | 11.3 | % |
North America mortgages(3) | 0.7 | | 54.9 | | 1.3 | |
North America other | 0.3 | | 4.5 | | 6.7 | |
| International cards | 2.1 | | $ | 22.7 | | 9.3 | |
International other(4) | 1.8 | | 76.3 | | 2.4 | |
| Total consumer | $ | 19.6 | | $ | 288.8 | | 6.8 | % |
| Total corporate | 5.4 | | 387.1 | | 1.4 | |
| Total Citigroup | $ | 25.0 | | $ | 675.9 | | 3.7 | % |
(1)Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)Includes both Citi-branded cards and Citi retail services. The $14.7$10.8 billion of loan loss reserves represented approximately 5363 months of coincident net credit loss coverage. The decrease in the coincident coverage ratio at September 30, 2022 was primarily due to the relatively higher levels of NCLs during the third quarter of 2022. As of December 31, 2020, North America Citi-branded2021, Branded cards ACLL as a percentage of EOP loans was 10.0%7.1% and North America Citi retailRetail services ACLL as a percentage of EOP loans was 13.6%10.0%.
(3)Of the $0.7 billion, approximately $0.3 billion was allocated to North AmericaIncludes residential mortgages, in Corporate/Other, including approximately $0.5 billionretail loans 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 mortgagespersonal, small business and other retail loans.loans, including those extended through the Private bank network.
The following table details Citi’s corporate credit allowance for credit losses on loans (ACLL)ACLL by industry exposure:
| | | | | | | | | | | |
| September 30, 2021 |
| In millions of dollars, except percentages | Funded exposure(1) | ACLL(2)(3) | ACLL as a % of funded exposure |
| Transportation and industrials | $ | 53,232 | | $ | 732 | | 1.4 | % |
| Private bank | 78,185 | | 148 | | 0.2 | |
| Consumer retail | 35,713 | | 301 | | 0.8 | |
| Technology, media and telecom | 30,311 | | 179 | | 0.6 | |
| Real estate | 45,850 | | 554 | | 1.2 | |
| Power, chemicals, metals and mining | 19,927 | | 146 | | 0.7 | |
| Banks and finance companies | 34,497 | | 160 | | 0.5 | |
| Energy and commodities | 14,455 | | 250 | | 1.7 | |
| Health | 7,888 | | 90 | | 1.1 | |
| Public sector | 14,368 | | 95 | | 0.7 | |
| Insurance | 2,482 | | 8 | | 0.3 | |
| Asset managers and funds | 6,500 | | 30 | | 0.5 | |
| Financial markets infrastructure | 236 | | — | | — | |
| Securities firms | 701 | | 16 | | 2.3 | |
| Other industries | 2,929 | | 41 | | 1.4 | |
| Total | $ | 347,274 | | $ | 2,750 | | 0.8 | % |
| | | | | | | | | | | |
| September 30, 2022 |
| In millions of dollars, except percentages | Funded exposure(1) | ACLL | ACLL as a % of funded exposure |
| Transportation and industrials | $ | 52,978 | | $ | 734 | | 1.4 | % |
| Technology, media and telecom | 30,164 | | 354 | | 1.2 | |
| Consumer retail | 32,305 | | 327 | | 1.0 | |
| Real estate | 45,582 | | 493 | | 1.1 | |
| Power, chemicals, metals and mining | 18,611 | | 366 | | 2.0 | |
| Banks and finance companies | 38,537 | | 248 | | 0.6 | |
| Energy and commodities | 14,628 | | 186 | | 1.3 | |
| Asset managers and funds | 20,988 | | 28 | | 0.1 | |
| Health | 8,865 | | 73 | | 0.8 | |
| Insurance | 3,350 | | 10 | | 0.3 | |
| Public sector | 12,982 | | 52 | | 0.4 | |
| Financial markets infrastructure | 57 | | — | | — | |
| Securities firms | 797 | | 21 | | 2.6 | |
| Other industries | 4,464 | | 48 | | 1.1 | |
Total classifiably managed loans(2) | $ | 284,308 | | $ | 2,940 | | 1.0 | % |
Loans managed on a delinquency basis(3) | $ | 431 | | $ | 7 | | 1.6 | % |
| Total | $ | 284,739 | | $ | 2,947 | | 1.0 | % |
(1) Funded exposure excludes approximately $48.6 billion, primarily related to the delinquency-managed credit portfolio of the private bank, with an associated ACLL of approximately $297 million and loans carried at fair value of $3.6 billion that are not subject to ACLL under the CECL standard.
(2) As of September 30, 2021,2022, the ACLL shown above reflects coverage of 0.4% of funded investment-grade exposure and 2.3%3.2% of funded non-investment-grade exposure.
(3) Excludes approximately $297 million of ACLL primarilyPrimarily associated with delinquency-managed private bank exposuresloans including commercial credit cards and other loans, and unearned income at September 30, 2021. Including those reserves and exposures,2022.
The following table details Citi’s corporate credit ACLL by industry exposure:
| | | | | | | | | | | |
| |
| December 31, 2021 |
| In millions of dollars, except percentages | Funded exposure(1) | ACLL | ACLL as a % of funded exposure |
| Transportation and industrials | $ | 51,502 | | $ | 597 | | 1.2 | % |
| Technology, media and telecom | 28,542 | | 170 | | 0.6 | |
| Consumer retail | 32,894 | | 288 | | 0.9 | |
| Real estate | 46,220 | | 509 | | 1.1 | |
| Power, chemicals, metals and mining | 20,224 | | 151 | | 0.7 | |
| Banks and finance companies | 36,804 | | 197 | | 0.5 | |
| Energy and commodities | 13,485 | | 268 | | 2.0 | |
| Asset managers and funds | 26,879 | | 34 | | 0.1 | |
| Health | 8,826 | | 73 | | 0.8 | |
| Insurance | 3,162 | | 8 | | 0.3 | |
| Public sector | 12,464 | | 74 | | 0.6 | |
| Financial markets infrastructure | 109 | | — | | — | |
| Securities firms | 613 | | 10 | | 1.6 | |
| Other industries | 2,803 | | 28 | | 1.0 | |
Total classifiably managed loans(2) | $ | 284,527 | | $ | 2,407 | | 0.8 | % |
Loans managed on a delinquency basis(3) | $ | 636 | | $ | 8 | | 1.3 | % |
| Total | $ | 285,163 | | $ | 2,415 | | 0.8 | % |
(1) Funded exposure excludes loans carried at fair value of $6.1 billion that are not subject to ACLL under the totalCECL standard.
(2) As of December 31, 2021, the ACLL is 0.8%shown above reflects coverage of total funded exposure, including 0.4%0.7% of funded investment-grade exposure and 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 on2021 Form 10-K.
Non-Accrual Loans
The table below summarizes Citigroup’s non-accrual loans as of the periods indicated. Non-accrual loans may still be current on interest payments. In situations where Citi reasonably expects that only a portion of the principal owed will ultimately be collected, all payments received are reflected as a reduction of principal and not as interest income. For all other non-accrual loans, cash interest receipts are generally recorded as revenue.
| | | Sept. 30, | Jun. 30, | Mar. 31, | Dec. 31, | Sept. 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 | 2022 | 2022 | 2021 |
Corporate non-accrual loans(1)(2) | | |
Corporate non-accrual loans by region(1)(2)(3) | | Corporate non-accrual loans by region(1)(2)(3) | |
| North America | North America | $ | 1,166 | | $ | 1,154 | | $ | 1,566 | | $ | 1,928 | | $ | 2,018 | | North America | $ | 276 | | $ | 304 | | $ | 462 | | $ | 510 | | $ | 923 | |
| EMEA | EMEA | 444 | | 480 | | 591 | | 661 | | 720 | | EMEA | 598 | | 712 | | 688 | | 367 | | 407 | |
| Latin America | Latin America | 679 | | 767 | | 739 | | 719 | | 609 | | Latin America | 555 | | 563 | | 631 | | 568 | | 679 | |
| Asia | Asia | 111 | | 175 | | 210 | | 219 | | 237 | | Asia | 56 | | 76 | | 85 | | 108 | | 110 | |
| Total corporate non-accrual loans | $ | 2,400 | | $ | 2,576 | | $ | 3,106 | | $ | 3,527 | | $ | 3,584 | | |
| Consumer non-accrual loans | | |
| North America | $ | 772 | | $ | 879 | | $ | 961 | | $ | 1,059 | | $ | 934 | | |
| Latin America | 549 | | 612 | | 720 | | 774 | | 493 | | |
Asia(3) | 268 | | 315 | | 303 | | 308 | | 263 | | |
| Total consumer non-accrual loans | $ | 1,589 | | $ | 1,806 | | $ | 1,984 | | $ | 2,141 | | $ | 1,690 | | |
| Total | | Total | $ | 1,485 | | $ | 1,655 | | $ | 1,866 | | $ | 1,553 | | $ | 2,119 | |
Corporate non-accrual loans(1)(2)(3) | | Corporate non-accrual loans(1)(2)(3) | |
| Banking | | Banking | $ | 1,085 | | $ | 1,015 | | $ | 1,323 | | $ | 1,239 | | $ | 1,739 | |
| Services | | Services | 185 | | 353 | | 297 | | 70 | | 74 | |
| Markets | | Markets | — | | 11 | | 13 | | 12 | | 13 | |
| Mexico SBMM | | Mexico SBMM | 215 | | 276 | | 233 | | 232 | | 293 | |
| Total | | Total | $ | 1,485 | | $ | 1,655 | | $ | 1,866 | | $ | 1,553 | | $ | 2,119 | |
Consumer non-accrual loans(1) | | Consumer non-accrual loans(1) | |
| U.S. Personal Banking and Global Wealth | | U.S. Personal Banking and Global Wealth | $ | 585 | | $ | 536 | | $ | 586 | | $ | 680 | | $ | 637 | |
Asia Consumer(4) | | Asia Consumer(4) | 30 | | 34 | | 38 | | 209 | | 259 | |
| Mexico Consumer | | Mexico Consumer | 486 | | 493 | | 512 | | 524 | | 549 | |
| Legacy Holdings Assets—Consumer | | Legacy Holdings Assets—Consumer | 300 | | 317 | | 381 | | 413 | | 425 | |
| Total | | Total | $ | 1,401 | | $ | 1,380 | | $ | 1,517 | | $ | 1,826 | | $ | 1,870 | |
| Total non-accrual loans | Total non-accrual loans | $ | 3,989 | | $ | 4,382 | | $ | 5,090 | | $ | 5,668 | | $ | 5,274 | | Total non-accrual loans | $ | 2,886 | | $ | 3,035 | | $ | 3,383 | | $ | 3,379 | | $ | 3,989 | |
(1)Corporate loans are placed on non-accrual status based upon a review by Citigroup’s risk officers. Corporate non-accrual loans may still be current on interest payments. With limited exceptions, the following practices are applied for consumer loans: consumer loans, excluding credit cards and mortgages, are placed on non-accrual status at 90 days past due and are charged off at 120 days past due; residential mortgage loans are placed on non-accrual status at 90 days past due and written down to net realizable value at 180 days past due. Consistent with industry conventions, Citigroup generally accrues interest on credit card loans until such loans are charged off, which typically occurs at 180 days contractual delinquency. As such, the non-accrual loan disclosures do not include credit card loans. The balances above represent non-accrual loans within Corporate loans and Consumer loans on the Consolidated Balance Sheet.
(2)Approximately 56%68%, 52%, 51%66%, 59%56% and 58% of Citi’s corporate non-accrual loans were performing at September 30, 2021,2022, June 30, 2021,2022, March 31, 2021,2022, December 31, 20202021 and September 30, 2020, respectively.2021, respectively.
(2)(3)The September 30, 20212022 total corporate non-accrual loans represented 0.60%0.51% of total corporate loans.
(3) (4) Asia GCBConsumer includes balances in certain EMEAEMEA countries for all periods presented.
The changes in Citigroup’s non-accrual loans were as follows:
| | | Three Months Ended | Three Months Ended | | Three Months Ended | Three Months Ended |
| | September 30, 2021 | September 30, 2020 | | September 30, 2022 | September 30, 2021 |
| In millions of dollars | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Non-accrual loans at beginning of quarter | Non-accrual loans at beginning of quarter | $ | 2,576 | | $ | 1,806 | | $ | 4,382 | | $ | 4,016 | | $ | 1,829 | | $ | 5,845 | | Non-accrual loans at beginning of quarter | $ | 1,655 | | $ | 1,380 | | $ | 3,035 | | $ | 2,250 | | $ | 2,132 | | $ | 4,382 | |
| Additions | Additions | 349 | | 470 | | 819 | | 832 | | 403 | | 1,235 | | Additions | 372 | | 417 | | 789 | | 318 | | 501 | | 819 | |
| Sales and transfers to HFS | Sales and transfers to HFS | (26) | | (56) | | (82) | | — | | (42) | | (42) | | Sales and transfers to HFS | (15) | | (4) | | (19) | | (26) | | (55) | | (81) | |
| Returned to performing | Returned to performing | (43) | | (166) | | (209) | | (12) | | (76) | | (88) | | Returned to performing | (41) | | (68) | | (109) | | (13) | | (195) | | (208) | |
| Paydowns/settlements | Paydowns/settlements | (386) | | (212) | | (598) | | (1,037) | | (150) | | (1,187) | | Paydowns/settlements | (442) | | (130) | | (572) | | (344) | | (254) | | (598) | |
| Charge-offs | Charge-offs | (47) | | (227) | | (274) | | (158) | | (303) | | (461) | | Charge-offs | (43) | | (168) | | (211) | | (45) | | (229) | | (274) | |
| Other | Other | (23) | | (26) | | (49) | | (57) | | 29 | | (28) | | Other | (1) | | (26) | | (27) | | (21) | | (30) | | (51) | |
| Ending balance | Ending balance | $ | 2,400 | | $ | 1,589 | | $ | 3,989 | | $ | 3,584 | | $ | 1,690 | | $ | 5,274 | | Ending balance | $ | 1,485 | | $ | 1,401 | | $ | 2,886 | | $ | 2,119 | | $ | 1,870 | | $ | 3,989 | |
| | Nine Months Ended | Nine Months Ended | | Nine Months Ended | Nine Months Ended |
| | September 30, 2021 | September 30, 2020 | | September 30, 2022 | September 30, 2021 |
| In millions of dollars | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| 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 | $ | 1,553 | | $ | 1,826 | | $ | 3,379 | | $ | 3,046 | | $ | 2,622 | | $ | 5,668 | |
| Additions | Additions | 1,342 | | 1,678 | | 3,020 | | 4,062 | | 1,993 | | 6,055 | | Additions | 1,913 | | 1,060 | | 2,973 | | 1,222 | | 1,798 | | 3,020 | |
| Sales and transfers to HFS | Sales and transfers to HFS | (402) | | (138) | | (540) | | (1) | | (73) | | (74) | | Sales and transfers to HFS | (21) | | (228) | | (249) | | (521) | | (248) | | (769) | |
| Returned to performing | Returned to performing | (101) | | (518) | | (619) | | (129) | | (280) | | (409) | | Returned to performing | (294) | | (324) | | (618) | | (125) | | (605) | | (730) | |
| Paydowns/settlements | Paydowns/settlements | (1,761) | | (532) | | (2,293) | | (2,193) | | (583) | | (2,776) | | Paydowns/settlements | (1,511) | | (425) | | (1,936) | | (1,122) | | (630) | | (1,752) | |
| Charge-offs | Charge-offs | (180) | | (1,006) | | (1,186) | | (290) | | (908) | | (1,198) | | Charge-offs | (148) | | (463) | | (611) | | (362) | | (1,026) | | (1,388) | |
| Other | Other | (25) | | (36) | | (61) | | (53) | | (275) | | (328) | | Other | (7) | | (45) | | (52) | | (19) | | (41) | | (60) | |
| Ending balance | Ending balance | $ | 2,400 | | $ | 1,589 | | $ | 3,989 | | $ | 3,584 | | $ | 1,690 | | $ | 5,274 | | Ending balance | $ | 1,485 | | $ | 1,401 | | $ | 2,886 | | $ | 2,119 | | $ | 1,870 | | $ | 3,989 | |
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:
| | | Sept. 30, | Jun. 30, | Mar. 31, | Dec. 31, | Sept. 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 | 2022 | 2022 | 2021 |
| OREO | OREO | | OREO | |
| North America | North America | $ | 10 | | $ | 12 | | $ | 14 | | $ | 19 | | $ | 22 | | North America | $ | 9 | | $ | 7 | | $ | 14 | | $ | 15 | | $ | 10 | |
| EMEA | EMEA | — | | — | | — | | — | | — | | EMEA | — | | — | | — | | — | | — | |
| Latin America | Latin America | 10 | | 11 | | 10 | | 7 | | 8 | | Latin America | 5 | | 5 | | 7 | | 8 | | 10 | |
| Asia | Asia | 1 | | 10 | | 19 | | 17 | | 12 | | Asia | 2 | | 1 | | 5 | | 4 | | 1 | |
| Total OREO | Total OREO | $ | 21 | | $ | 33 | | $ | 43 | | $ | 43 | | $ | 42 | | Total OREO | $ | 16 | | $ | 13 | | $ | 26 | | $ | 27 | | $ | 21 | |
| | Non-accrual assets | Non-accrual assets | | Non-accrual assets | |
| Corporate non-accrual loans | Corporate non-accrual loans | $ | 2,400 | | $ | 2,576 | | $ | 3,106 | | $ | 3,527 | | $ | 3,584 | | Corporate non-accrual loans | $ | 1,485 | | $ | 1,655 | | $ | 1,866 | | $ | 1,553 | | $ | 2,119 | |
| Consumer non-accrual loans | Consumer non-accrual loans | 1,589 | | 1,806 | | 1,984 | | 2,141 | | 1,690 | | Consumer non-accrual loans | 1,401 | | 1,380 | | 1,517 | | 1,826 | | 1,870 | |
| Non-accrual loans (NAL) | Non-accrual loans (NAL) | $ | 3,989 | | $ | 4,382 | | $ | 5,090 | | $ | 5,668 | | $ | 5,274 | | Non-accrual loans (NAL) | $ | 2,886 | | $ | 3,035 | | $ | 3,383 | | $ | 3,379 | | $ | 3,989 | |
| OREO | OREO | $ | 21 | | $ | 33 | | $ | 43 | | $ | 43 | | $ | 42 | | OREO | $ | 16 | | $ | 13 | | $ | 26 | | $ | 27 | | $ | 21 | |
| Non-accrual assets (NAA) | Non-accrual assets (NAA) | $ | 4,010 | | $ | 4,415 | | $ | 5,133 | | $ | 5,711 | | $ | 5,316 | | Non-accrual assets (NAA) | $ | 2,902 | | $ | 3,048 | | $ | 3,409 | | $ | 3,406 | | $ | 4,010 | |
| NAL as a percentage of total loans | NAL as a percentage of total loans | 0.60 | % | 0.65 | % | 0.76 | % | 0.84 | % | 0.79 | % | NAL as a percentage of total loans | 0.45 | % | 0.46 | % | 0.51 | % | 0.51 | % | 0.60 | % |
| NAA as a percentage of total assets | NAA as a percentage of total assets | 0.17 | | 0.19 | | 0.22 | | 0.25 | | 0.24 | | NAA as a percentage of total assets | 0.12 | | 0.13 | | 0.14 | | 0.15 | | 0.17 | |
ACLL as a percentage of NAL(1) | ACLL as a percentage of NAL(1) | 444 | % | 439 | % | 425 | % | 440 | % | 501 | % | ACLL as a percentage of NAL(1) | 565 | % | 526 | % | 455 | % | 487 | % | 444 | % |
(1)The ACLL includes the allowance for Citi’s credit card portfolios and purchased credit-distressedcredit-deteriorated loans, while the non-accrual loans exclude credit card balances (with the exception of certain international portfolios).
Renegotiated Loans
The following table presents Citi’s loans modified in TDRs:
| | In millions of dollars | In millions of dollars | Sept. 30, 2021 | Dec. 31, 2020 | In millions of dollars | Sept. 30, 2022 | Dec. 31, 2021 |
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) | $ | 114 | | $ | 193 | | Commercial and industrial(2) | $ | 69 | | $ | 103 | |
| Mortgage and real estate | Mortgage and real estate | 53 | | 60 | | Mortgage and real estate | 2 | | 2 | |
| Financial institutions | Financial institutions | — | | — | | Financial institutions | — | | — | |
| Other | Other | 31 | | 30 | | Other | 13 | | 20 | |
| Total | Total | $ | 198 | | $ | 283 | | Total | $ | 84 | | $ | 125 | |
| 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) | $ | 138 | | $ | 132 | | Commercial and industrial(2) | $ | 45 | | $ | 133 | |
| Mortgage and real estate | Mortgage and real estate | 12 | | 32 | | Mortgage and real estate | 12 | | 18 | |
| Financial institutions | Financial institutions | — | | — | | Financial institutions | — | | — | |
| Other | Other | 20 | | 3 | | Other | 9 | | 8 | |
| Total | Total | $ | 170 | | $ | 167 | | Total | $ | 66 | | $ | 159 | |
| Total corporate renegotiated loans | Total corporate renegotiated loans | $ | 368 | | $ | 450 | | Total corporate renegotiated loans | $ | 150 | | $ | 284 | |
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 | $ | 1,455 | | $ | 1,904 | | Mortgage and real estate | $ | 1,345 | | $ | 1,485 | |
| Cards | Cards | 1,340 | | 1,449 | | Cards | 1,143 | | 1,269 | |
| Installment and other | Installment and other | 30 | | 33 | | Installment and other | 20 | | 26 | |
| Total | Total | $ | 2,825 | | $ | 3,386 | | Total | $ | 2,508 | | $ | 2,780 | |
| 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 | $ | 229 | | $ | 361 | | Mortgage and real estate | $ | 147 | | $ | 227 | |
| Cards | Cards | 361 | | 533 | | Cards | 69 | | 313 | |
| Installment and other | Installment and other | 437 | | 519 | | Installment and other | 94 | | 428 | |
| Total | Total | $ | 1,027 | | $ | 1,413 | | Total | $ | 310 | | $ | 968 | |
| Total consumer renegotiated loans | Total consumer renegotiated loans | $ | 3,852 | | $ | 4,799 | | Total consumer renegotiated loans | $ | 2,818 | | $ | 3,748 | |
(1)Includes $337$150 million and $415$284 million of non-accrual loans included in the non-accrual loans table above at September 30, 20212022 and December 31, 2020,2021, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at September 30, 20212022 and December 31, 2020,2021, 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. Thesemay have modifications that were not considered TDRs because the modifications did not involve a concession or because the modificationsthey qualified for exemptions from TDR accounting provided by the CARES Act or the interagency guidance.
(3)Includes $714$555 million and $873$664 million of non-accrual loans included in the non-accrual loans table above at September 30, 20212022 and December 31, 2020,2021, respectively. The remaining loans were accruing interest.
LIQUIDITY RISK
For additional information on funding and liquidity at Citigroup,Citi, including its objectives, management and measurement, see “Liquidity Risk” and “Risk Factors—Liquidity Risks” in Citi’s 2020 Annual Report on2021 Form 10-K.
High-Quality Liquid Assets (HQLA)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Citibank | Citi non-bank and other entities | Total |
| In billions of dollars | 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 | $ | 255.1 | | $ | 259.3 | | $ | 279.3 | | $ | 3.5 | | $ | 2.8 | | $ | 2.0 | | $ | 258.5 | | $ | 262.2 | | $ | 281.3 | |
| 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 | 45.3 | | 41.5 | | 34.6 | | 6.0 | | 5.2 | | 5.8 | | 51.3 | | 46.7 | | 40.4 | |
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 | 1.8 | | 1.5 | | 1.5 | | 0.3 | | 0.3 | | 0.7 | | 2.1 | | 1.9 | | 2.2 | |
| Total HQLA (AVG) | $ | 461.2 | | $ | 440.7 | | $ | 440.5 | | $ | 85.3 | | $ | 81.8 | | $ | 81.5 | | $ | 546.5 | | $ | 522.6 | | $ | 522.0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Citibank | Citi non-bank and other entities | Total |
| In billions of dollars | Sept. 30, 2022 | Jun. 30, 2022 | Sept. 30, 2021 | Sept. 30, 2022 | Jun. 30, 2022 | Sept. 30, 2021 | Sept. 30, 2022 | Jun. 30, 2022 | Sept. 30, 2021 |
| Available cash | $ | 202.2 | | $ | 188.1 | | $ | 255.1 | | $ | 2.1 | | $ | 1.7 | | $ | 3.5 | | $ | 204.3 | | $ | 189.8 | | $ | 258.6 | |
| U.S. sovereign | 144.6 | | 149.4 | | 108.9 | | 69.4 | | 55.4 | | 64.3 | | 214.0 | | 204.8 | | 173.2 | |
| U.S. agency/agency MBS | 52.5 | | 54.4 | | 45.3 | | 4.7 | | 4.6 | | 6.0 | | 57.2 | | 59.0 | | 51.3 | |
Foreign government debt(1) | 63.3 | | 60.4 | | 50.2 | | 15.7 | | 13.9 | | 11.2 | | 79.0 | | 74.3 | | 61.4 | |
| Other investment grade | 2.0 | | 2.0 | | 1.7 | | 0.6 | | 1.3 | | 0.3 | | 2.6 | | 3.3 | | 2.0 | |
| Total HQLA (AVG) | $ | 464.6 | | $ | 454.3 | | $ | 461.2 | | $ | 92.5 | | $ | 76.9 | | $ | 85.3 | | $ | 557.1 | | $ | 531.2 | | $ | 546.5 | |
Note: The amounts set forthshown 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, SouthSingapore, Korea and India.Hong Kong.
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 andas well as any amounts in excess of these minimums that are assumedavailable to be transferabletransferred to other entities within Citigroup. Citigroup’s average HQLA for the third quarter of 2022 increased quarter-over-quarter, primarily reflecting growthdriven by an increase in deposits.unsecured wholesale funding.
As of September 30, 2021,2022, Citigroup had approximately $994$967 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 | Sept. 30, 2021 | Jun. 30, 2021 | Sept. 30, 2020 | In billions of dollars | Sept. 30, 2022 | Jun. 30, 2022 | Sept. 30, 2021 |
| HQLA | HQLA | $ | 546.5 | | $ | 522.6 | | $ | 522.0 | | HQLA | $ | 557.1 | | $ | 531.2 | | $ | 546.5 | |
| Net outflows | Net outflows | 474.8 | | 461.7 | | 442.6 | | Net outflows | 477.0 | | 460.2 | | 474.8 | |
| LCR | LCR | 115 | % | 113 | % | 118 | % | LCR | 117 | % | 115 | % | 115 | % |
| HQLA in excess of net outflows | HQLA in excess of net outflows | $ | 71.7 | | $ | 60.9 | | $ | 79.4 | | HQLA in excess of net outflows | $ | 80.1 | | $ | 71.0 | | $ | 71.7 | |
Note: The amounts are presented on an average basis.
As of September 30, 2021,2022, Citigroup’s average LCR increased from the quarter ended June 30, 2021.2022. The increase was primarily driven by lower funding needsan increase in broker-dealer subsidiaries along with debt issuanceaverage HQLA, partially offset by an increase 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.
The final rule became effective beginningon 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 the third quarter of 2021.September 30, 2022.
Loans
The table below details the average loans, by business and/or segment, and the total Citigroup end-of-period loans for each of the periods indicated:
| | | | | | | | | | | |
| In billions of dollars | Sept. 30, 2021 | Jun. 30, 2021 | Sept. 30, 2020 |
| Global Consumer Banking | | | |
| North America | $ | 173.8 | | $ | 171.9 | | $ | 179.1 | |
| Latin America | 13.2 | | 13.5 | | 13.6 | |
Asia(1) | 75.9 | | 83.2 | | 79.7 | |
| Total | $ | 262.9 | | $ | 268.6 | | $ | 272.4 | |
| Institutional Clients Group | | | |
| Corporate lending | $ | 129.2 | | $ | 134.4 | | $ | 166.1 | |
| Treasury and trade solutions (TTS) | 73.7 | | 71.6 | | 67.1 | |
| Private bank | 125.9 | | 123.9 | | 110.3 | |
Markets and securities services and other | 72.0 | | 65.8 | | 53.1 | |
| Total | $ | 400.8 | | $ | 395.8 | | $ | 396.6 | |
Total Corporate/Other | $ | 4.7 | | $ | 5.8 | | $ | 8.2 | |
| Total Citigroup loans (AVG) | $ | 668.5 | | $ | 670.3 | | $ | 677.2 | |
| Total Citigroup loans (EOP) | $ | 664.8 | | $ | 676.8 | | $ | 666.9 | |
| | | | | | | | | | | |
| In billions of dollars | 3Q22 | 2Q22 | 3Q21 |
| Personal Banking and Wealth Management | | | |
| U.S. Retail banking | $ | 36 | | $ | 34 | | $ | 34 | |
| U.S. Cards | 138 | | 133 | | 124 | |
| Global Wealth | 151 | | 150 | | 151 | |
| Total | $ | 325 | | $ | 317 | | $ | 309 | |
| Institutional Clients Group | | | |
| Services | $ | 82 | | $ | 85 | | $ | 76 | |
| Banking | 197 | | 199 | | 196 | |
| Markets | 12 | | 13 | | 17 | |
| Total | $ | 291 | | $ | 297 | | $ | 289 | |
Total Legacy Franchises(1) | $ | 39 | | $ | 43 | | $ | 71 | |
| Total Citigroup loans (AVG) | $ | 655 | | $ | 657 | | $ | 669 | |
| Total Citigroup loans (EOP) | $ | 646 | | $ | 657 | | $ | 665 | |
(1)Includes loansSee footnote 2 to the table in certain EMEA countries for all periods presented.“Credit Risk—Consumer Credit—Consumer Credit Portfolio” above.
End-of-period loans weredecreased 3% year-over-year, largely unchanged year-over-yeardriven by the impact of foreign exchange translation and lower balances in Legacy Franchises. End-of-period loans declined 2% quarter-over-quarter.sequentially.
On an average basis, loans declined 1% year-over-year and were largely unchanged sequentially. Excluding the impact of FX translation, average loans declined 2% year-over-year and were largely unchanged sequentially. On this basis, averageThe year-over-year decline was primarily due to the impact of foreign exchange translation and lower balances in GCBLegacy Franchises, which more than offset growth in loans declined 4% year-over-year,both PBWM and ICG. The decline in Legacy Franchises primarily reflectingreflected the reclassification of loans to Other assets to reflect held-for-sale accounting as a result of Citi’s agreement to sell itsthe signing of sale agreements for consumer banking businessfranchises in Australia.
ExcludingAsia and EMEA, as well as the impact of FX translation,the Korea wind-down. PBWM average loans increased 5% year-over-year, primarily driven by Branded cards and Retail services. ICG loans were largely unchanged year-over-year. Loans in corporate lending declined 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 14%,1% year-over-year, largely driven by increased secured lending to high-net-worth clients. Markets and securities services loans increased 35%, reflecting an increasetrade finance in securitization financing. TTS loans increased 9%, reflecting an increase in trade flows and originations.TTS.
Average Corporate/Other loans continued to decline (down 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 Citigroup end-of-period deposits for each of the periods indicated:
| | In billions of dollars | In billions of dollars | Sept. 30, 2021 | Jun. 30, 2021 | Sept. 30, 2020 | In billions of dollars | 3Q22 | 2Q22 | 3Q21 |
Global Consumer Banking(1) | | |
| North America | $ | 208.4 | | $ | 204.2 | | $ | 182.1 | | |
| Latin America | 24.2 | | 24.1 | | 22.5 | | |
Asia(2) | 120.7 | | 124.6 | | 115.2 | | |
| Personal Banking and Wealth Management | | Personal Banking and Wealth Management | |
| U.S. Personal Banking | | U.S. Personal Banking | $ | 115 | | $ | 116 | | $ | 114 | |
| Global Wealth | | Global Wealth | 313 | | 319 | | 310 | |
| Total | Total | $ | 353.3 | | $ | 352.9 | | $ | 319.8 | | Total | $ | 428 | | $ | 435 | | $ | 424 | |
| Institutional Clients Group | Institutional Clients Group | | Institutional Clients Group | |
| Treasury and trade solutions (TTS) | $ | 674.8 | | $ | 659.3 | | $ | 678.6 | | |
Banking ex-TTS | 179.5 | | 172.3 | | 150.1 | | |
| Markets and securities services | 127.2 | | 127.6 | | 107.9 | | |
| TTS | | TTS | $ | 664 | | $ | 665 | | $ | 668 | |
| Securities services | | Securities services | 131 | | 137 | | 135 | |
| Markets | | Markets | 22 | | 28 | | 28 | |
| Total | Total | $ | 981.6 | | $ | 959.2 | | $ | 936.6 | | Total | $ | 817 | | $ | 830 | | $ | 831 | |
Legacy Franchises(1) | | Legacy Franchises(1) | $ | 50 | | $ | 51 | | $ | 80 | |
| Corporate/Other | Corporate/Other | $ | 8.2 | | $ | 9.1 | | $ | 11.4 | | Corporate/Other | $ | 21 | | $ | 7 | | $ | 8 | |
| Total Citigroup deposits (AVG) | Total Citigroup deposits (AVG) | $ | 1,343.0 | | $ | 1,321.3 | | $ | 1,267.8 | | Total Citigroup deposits (AVG) | $ | 1,316 | | $ | 1,323 | | $ | 1,343 | |
| Total Citigroup deposits (EOP) | Total Citigroup deposits (EOP) | $ | 1,347.5 | | $ | 1,310.3 | | $ | 1,262.6 | | Total Citigroup deposits (EOP) | $ | 1,306 | | $ | 1,322 | | $ | 1,348 | |
(1)Reflects deposits within retail banking.
(2)Includes depositsSee footnote 2 to the table in certain EMEA countriesfor all periods presented.“Credit Risk—Consumer Credit—Consumer Credit Portfolio” above.
End-of-period deposits increased 7%decreased 3% year-over-year, largely driven by the impact of foreign exchange translation and 3%lower balances in Legacy Franchises. End-of-period deposits decreased 1% sequentially.
On an average basis, deposits increased 6%declined 2% year-over-year and 2%were largely unchanged sequentially. ExcludingThe year-over-year decline primarily reflected the impact of FXforeign exchange translation average deposits grew 5% from the prior-year period and 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 depositsa decline in GCBLegacy Franchises increased 9%, with strongpartially offset by growth in North AmericaCorporate/Other. The decline in
ExcludingLegacy Franchises was due to the impact of FX translation, average depositsheld-for-sale accounting as a result of the signing of sale agreements for consumer franchises in Asia and EMEA. ICG grew 4%average deposits declined 2% year-over-year, with strongdriven by decreases in TTS, Securities services and Markets, largely reflecting the impact of foreign exchange translation. PBWM average deposits increased 1% year-over-year, driven by modest growth in both U.S. Personal Banking and Global Wealth. Corporate/Other average deposits increased $13 billion year-over-year due to the private bank and securities 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 8.67.8 years as of September 30, 2021,2022, compared to 8.6 years as of the prior year and 8.88.0 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 forthpresents Citi’s end-of-period total long-term debt outstanding for each of the dates indicated:
| | In billions of dollars | In billions of dollars | Sept. 30, 2021 | Jun. 30, 2021 | Sept. 30, 2020 | In billions of dollars | Sept. 30, 2022 | Jun. 30, 2022 | Sept. 30, 2021 |
Non-bank(1) | Non-bank(1) | | Non-bank(1) | |
| Benchmark debt: | Benchmark debt: | | Benchmark debt: | |
| Senior debt | Senior debt | $ | 123.9 | | $ | 127.8 | | $ | 126.3 | | Senior debt | $ | 112.7 | | $ | 120.3 | | $ | 123.9 | |
| Subordinated debt | Subordinated debt | 26.0 | | 26.2 | | 27.4 | | Subordinated debt | 22.4 | | 24.0 | | 26.0 | |
| Trust preferred | Trust preferred | 1.7 | | 1.7 | | 1.7 | | Trust preferred | 1.6 | | 1.6 | | 1.7 | |
| Customer-related debt | Customer-related debt | 74.7 | | 73.9 | | 61.0 | | Customer-related debt | 86.9 | | 84.9 | | 74.7 | |
Local country and other(2) | Local country and other(2) | 7.2 | | 6.3 | | 8.1 | | Local country and other(2) | 7.0 | | 7.8 | | 7.2 | |
| Total non-bank | Total non-bank | $ | 233.6 | | $ | 235.9 | | $ | 224.5 | | Total non-bank | $ | 230.6 | | $ | 238.6 | | $ | 233.5 | |
| Bank | Bank | | Bank | |
| FHLB borrowings | FHLB borrowings | $ | 5.8 | | $ | 9.5 | | $ | 14.7 | | FHLB borrowings | $ | 7.3 | | $ | 2.3 | | $ | 5.8 | |
Securitizations(3) | Securitizations(3) | 11.0 | | 11.6 | | 16.4 | | Securitizations(3) | 8.4 | | 9.5 | | 11.0 | |
| Citibank benchmark senior debt | Citibank benchmark senior debt | 3.6 | | 3.7 | | 14.2 | | Citibank benchmark senior debt | 2.5 | | 2.6 | | 3.6 | |
Local country and other(2) | Local country and other(2) | 4.3 | | 3.9 | | 3.5 | | Local country and other(2) | 4.3 | | 4.4 | | 4.3 | |
| Total bank | Total bank | $ | 24.7 | | $ | 28.7 | | $ | 48.8 | | Total bank | $ | 22.5 | | $ | 18.8 | | $ | 24.7 | |
| Total long-term debt | Total long-term debt | $ | 258.3 | | $ | 264.6 | | $ | 273.3 | | Total long-term debt | $ | 253.1 | | $ | 257.4 | | $ | 258.2 | |
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 September 30, 2021,2022, non-bank included $63.5$71.4 billion of long-term debt issued by Citi’s broker-dealer and other subsidiaries as well as certainthat are consolidated into Citigroup. Certain Citigroup consolidated hedging activities.activities are also included in this line.
(2)Local country and other includes debt issued by Citi’s affiliates in support of their local operations. Within non-bank, certain secured financing is also included.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit cardBranded cards receivables.
Citi’s total long-term debt outstanding decreaseddeclined 2% year-over-year, primarily driven byas declines in unsecured benchmark senior debt FHLB borrowingsat both the bank and non-banking entities, as well as securitizations at the bank, were partially offset by the issuance of customer-related debt at the non-bank entities. Sequentially, long-term debt outstanding decreased,declined 2%, largely driven primarily by decreasesa decline in senior debt at the non-bank entities, partially offset by an increase in FHLB borrowings at the bank and unsecured benchmark senior debt at the non-bank entities.bank.
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 third quarter of 2021,2022, Citi redeemed or repurchased an aggregate of approximately $5.9$9.8 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:
| | | | 3Q21 | 2Q21 | 3Q20 | | 3Q22 | 2Q22 | 3Q21 |
| 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 | $ | 2.8 | | $ | 0.3 | | $ | 1.8 | | $ | 8.7 | | $ | 1.4 | | $ | — | | Senior debt | $ | 7.4 | | $ | 4.7 | | $ | 3.5 | | $ | 6.0 | | $ | 2.8 | | $ | 0.3 | |
| Subordinated debt | Subordinated debt | — | | — | | — | | — | | — | | — | | Subordinated debt | 0.9 | | — | | — | | — | | — | | — | |
| Trust preferred | Trust preferred | — | | — | | — | | — | | — | | — | | Trust preferred | — | | — | | — | | — | | — | | — | |
| Customer-related debt | Customer-related debt | 6.9 | | 9.8 | | 8.5 | | 15.4 | | 6.6 | | 6.2 | | Customer-related debt | 7.5 | | 14.5 | | 5.0 | | 21.8 | | 6.9 | | 9.8 | |
| Local country and other | Local country and other | 0.6 | | 1.3 | | 1.0 | | 1.5 | | 0.1 | | 0.4 | | Local country and other | 1.4 | | 0.8 | | 0.3 | | 0.4 | | 0.6 | | 1.3 | |
| Total non-bank | Total non-bank | $ | 10.3 | | $ | 11.4 | | $ | 11.3 | | $ | 25.6 | | $ | 8.1 | | $ | 6.6 | | Total non-bank | $ | 17.2 | | $ | 20.0 | | $ | 8.8 | | $ | 28.2 | | $ | 10.3 | | $ | 11.4 | |
| Bank | Bank | | | | | | Bank | | | | | |
| FHLB borrowings | FHLB borrowings | $ | 3.8 | | $ | — | | $ | 1.4 | | $ | — | | $ | 0.3 | | $ | — | | FHLB borrowings | $ | — | | $ | 5.0 | | $ | 1.0 | | $ | 2.3 | | $ | 3.8 | | $ | — | |
| Securitizations | Securitizations | — | | — | | 1.2 | | — | | 1.2 | | — | | Securitizations | 1.1 | | — | | — | | — | | — | | — | |
| Citibank benchmark senior debt | Citibank benchmark senior debt | — | | — | | 5.5 | | — | | 2.1 | | — | | Citibank benchmark senior debt | — | | — | | 0.9 | | — | | — | | — | |
| Local country and other | Local country and other | 0.5 | | 1.1 | | 0.1 | | 0.4 | | 3.5 | | 0.4 | | Local country and other | 0.3 | | 0.1 | | 0.6 | | 0.1 | | 0.5 | | 1.0 | |
| Total bank | Total bank | $ | 4.3 | | $ | 1.1 | | $ | 8.2 | | $ | 0.4 | | $ | 7.1 | | $ | 0.4 | | Total bank | $ | 1.4 | | $ | 5.1 | | $ | 2.5 | | $ | 2.4 | | $ | 4.3 | | $ | 1.0 | |
| Total | Total | $ | 14.6 | | $ | 12.4 | | $ | 19.5 | | $ | 26.0 | | $ | 15.2 | | $ | 7.0 | | Total | $ | 18.6 | | $ | 25.1 | | $ | 11.3 | | $ | 30.6 | | $ | 14.6 | | $ | 12.4 | |
The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2021,2022, as well as its aggregate expected remaining long-term debt maturities by year as of September 30, 2021:2022:
| | | | 2021 YTD | Maturities | | 2022 YTD | Maturities |
| In billions of dollars | In billions of dollars | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 | Thereafter | Total | In billions of dollars | 2022 | 2023 | 2024 | 2025 | 2026 | 2027 | Thereafter | Total |
| Non-bank | Non-bank | | | | | Non-bank | | | | |
| Benchmark debt: | Benchmark debt: | | | | | Benchmark debt: | | | | |
| Senior debt | Senior debt | $ | 8.9 | | $ | 5.6 | | $ | 11.4 | | $ | 12.7 | | $ | 11.1 | | $ | 9.9 | | $ | 18.5 | | $ | 54.8 | | $ | 123.9 | | Senior debt | $ | 15.3 | | $ | — | | $ | 4.6 | | $ | 10.3 | | $ | 11.7 | | $ | 22.9 | | $ | 6.7 | | $ | 56.5 | | $ | 112.7 | |
| Subordinated debt | Subordinated debt | — | | — | | 0.8 | | 1.3 | | 1.0 | | 5.2 | | 2.6 | | 15.0 | | 26.0 | | Subordinated debt | 0.9 | | — | | 1.2 | | 0.9 | | 4.8 | | 2.3 | | 3.6 | | 9.6 | | 22.4 | |
| Trust preferred | Trust preferred | — | | — | | — | | — | | — | | — | | — | | 1.7 | | 1.7 | | Trust preferred | 0.1 | | — | | — | | — | | — | | — | | — | | 1.6 | | 1.6 | |
| Customer-related debt | Customer-related debt | 24.0 | | 1.7 | | 11.2 | | 8.7 | | 8.0 | | 4.8 | | 4.5 | | 35.8 | | 74.7 | | Customer-related debt | 20.0 | | 2.8 | | 16.2 | | 13.1 | | 11.8 | | 5.3 | | 7.4 | | 30.3 | | 86.9 | |
| Local country and other | Local country and other | 3.0 | | 0.6 | | 1.9 | | 2.2 | | — | | — | | 0.7 | | 1.8 | | 7.2 | | Local country and other | 2.1 | | 0.3 | | 2.9 | | — | | — | | 0.7 | | — | | 3.1 | | 7.0 | |
| Total non-bank | Total non-bank | $ | 35.9 | | $ | 7.9 | | $ | 25.2 | | $ | 24.9 | | $ | 20.2 | | $ | 20.0 | | $ | 26.3 | | $ | 109.1 | | $ | 233.6 | | Total non-bank | $ | 38.4 | | $ | 3.1 | | $ | 24.9 | | $ | 24.3 | | $ | 28.3 | | $ | 31.2 | | $ | 17.7 | | $ | 101.1 | | $ | 230.6 | |
| Bank | Bank | | | | | Bank | | | | |
| FHLB borrowings | FHLB borrowings | $ | 5.2 | | $ | 0.5 | | $ | 5.3 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 5.8 | | FHLB borrowings | $ | 5.3 | | $ | — | | $ | 4.3 | | $ | 3.0 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 7.3 | |
| Securitizations | Securitizations | 4.8 | | 1.3 | | 2.1 | | 3.4 | | 1.2 | | 0.4 | | — | | 2.6 | | 11.0 | | Securitizations | 1.1 | | 0.8 | | 3.4 | | 1.3 | | 0.4 | | — | | 0.8 | | 1.7 | | 8.4 | |
| Citibank benchmark senior debt | Citibank benchmark senior debt | 9.8 | | — | | 0.9 | | — | | 2.7 | | — | | — | | — | | 3.6 | | Citibank benchmark senior debt | 0.9 | | — | | — | | 2.5 | | — | | — | | — | | — | | 2.5 | |
| Local country and other | Local country and other | 0.8 | | 0.7 | | 1.4 | | 0.6 | | 1.0 | | 0.1 | | — | | 0.5 | | 4.3 | | Local country and other | 1.3 | | 0.9 | | 0.6 | | 1.2 | | 0.2 | | 0.1 | | — | | 1.3 | | 4.3 | |
| Total bank | Total bank | $ | 20.5 | | $ | 2.5 | | $ | 9.7 | | $ | 4.0 | | $ | 4.9 | | $ | 0.5 | | $ | — | | $ | 3.1 | | $ | 24.7 | | Total bank | $ | 8.6 | | $ | 1.7 | | $ | 8.3 | | $ | 8.0 | | $ | 0.6 | | $ | 0.1 | | $ | 0.8 | | $ | 3.0 | | $ | 22.5 | |
| Total long-term debt | Total long-term debt | $ | 56.5 | | $ | 10.4 | | $ | 34.9 | | $ | 28.9 | | $ | 25.1 | | $ | 20.5 | | $ | 26.3 | | $ | 112.2 | | $ | 258.3 | | Total long-term debt | $ | 47.0 | | $ | 4.8 | | $ | 33.2 | | $ | 32.3 | | $ | 28.9 | | $ | 31.3 | | $ | 18.5 | | $ | 104.1 | | $ | 253.1 | |
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 $209$203 billion as of September 30, 2021 increased 1%2022 decreased 3% from the prior-year period and decreased 6% sequentially. Excluding the impact of FX translation, secured funding was largely unchanged from the prior-year period and decreased 4%increased 2% sequentially, driven by normal business activity. The average balance for secured funding was approximately $229$207 billion for the quarter ended September 30, 2021.2022.
The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less liquid securities, including equity securities, corporate bonds and asset-backed securities, the tenor of which is generally equal to or longer than the tenor of the corresponding matched book assets.
The remainder of the secured funding activity in the broker-dealer subsidiaries serves to fund securities inventory held in the context of market making and customer activities. To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral and establishing minimum required funding tenors. The weighted average maturity of Citi’s secured funding of less liquid securities inventory was greater than 110 days as of September 30, 2021.2022.
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenor, haircut, collateral profile and client actions. In addition, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.
Short-Term Borrowings
Citi’s short-term borrowings of $30$47 billion decreased 21%increased 60% year-over-year and 18% sequentially, reflecting a declinean increase in FHLB advances and 6% sequentially, driven by a decline in FHLB advances and unsecured commercial paper partially offset by increases in asset-backed commercial paper and structured notesissuance, as Citi continues to diversify its funding profile (see Note 16 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).
Credit Ratings
While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were BBB+/A-2A/A-1 at Standard & Poor’sS&P Global Ratings and A+/F1 at Fitch as of September 30, 2021.2022.
Ratings as of September 30, 20212022
| | | | | | | | | | | | | | | | | | | | |
| 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’sS&P Global Ratings (S&P) | BBB+ | A-2 | Stable | A+ | A-1 | Stable |
Potential Impacts of Ratings Downgrades
Ratings downgrades by Moody’s, Fitch or S&P could negatively impact Citigroup’s and/or Citibank’s funding and liquidity due to reduced funding capacity, including derivative triggers, which could take the form of cash obligations and collateral requirements.
The following information is provided for the purpose of analyzing the potential funding and liquidity impact to Citigroup and Citibank of a hypothetical simultaneous
ratings downgrade across all three major rating agencies. This analysis is subject to certain estimates, estimation methodologies, judgments and uncertainties. Uncertainties include potential ratings limitations that certain entities may have with respect to permissible counterparties, as well as general subjective counterparty behavior. For example, certain corporate customers and markets counterparties could re-evaluate their business relationships with Citi and limit transactions in certain contracts or market instruments with Citi. Changes in counterparty behavior could impact Citi’s funding and liquidity, as well as the results of operations of certain of its businesses. The actual impact to Citigroup or Citibank is unpredictable and may differ materially from the potential funding and liquidity impacts described below. For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors—Liquidity Risks” and “Credit Ratings” in Citi’s 2020 Annual Report on2021 Form 10-K.
Citigroup Inc. and Citibank—Potential Derivative Triggers
As of September 30, 2021,2022, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $1.1$0.6 billion, compared to $1.0$0.5 billion as of June 30, 2021.2022. 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 September 30, 2021,2022, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity due to derivative triggers by approximately $0.5$0.8 billion, unchanged fromcompared to $0.7 billion as of June 30, 2021.2022. 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 September 30, 2021,2022, Citi estimates that a one-notch downgrade of Citigroup Inc. and Citibank across all three major rating agencies could result in increased aggregate cash obligations and collateral requirements of approximately $1.6$1.4 billion, compared to $1.4$1.2 billion as of June 30, 20212022 (see also Note 19 to the Consolidated Financial Statements)19). As detailed under “High-Quality Liquid Assets”Assets (HQLA)” above, Citigroup has various liquidity resources available to its bank and non-bank entities in part as a contingency for the potential events described above.
In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending and adjusting the size of select trading books and collateralized borrowings at certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising additional deposits or borrowing from the FHLB or central banks. Citi believes these mitigating actions could substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.
Citibank—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential downgrade of Citibank’s senior debt/long-term rating across any of the three major rating agencies could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of September 30, 2021,2022, Citibank had liquidity commitments of approximately $10.0$11.0 billion to consolidated asset-backed commercial paper conduits, compared to $9.0 billion as of June 30, 2021 (for additional information, see2022 (see Note 18 to the Consolidated Financial Statements)for additional information).
In addition to the above-referenced liquidity resources of certain Citibank entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients’clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.
MARKET RISK
Market risk emanatesarises from both Citi’s trading and non-trading
portfolios. For additional information on market risk and
market risk management at Citi, see “Market Risk”Risk—Overview” and “Risk Factors” in Citi’s 2020 Annual Report on2021 Form 10-K.
Market Risk of Non-Trading Portfolios
Market risk from non-trading portfolios stems predominantly from the potential impact of changes in interest rates and foreign exchange rates on Citi’s net interest income and on Citi’s Accumulatedother comprehensive income (loss) (AOCI) from its investment securities portfolios. Market risk from non-trading portfolios also includes the potential impact of changes in foreign exchange rates on Citi’s capital invested in foreign currencies.
Banking Book Interest Rate Risk
For interest rate risk purposes, Citi’s non-trading portfolios are referred to as the Banking Book. Management of interest rate risk in the Banking Book is governed by Citi’s Non-Trading Market Risk Policy. Management’s Asset & Liability Committee (ALCO) establishes Citi’s risk appetite and related limits for interest rate risk in the Banking Book, which are subject to approval by Citigroup’s Board of Directors. Corporate Treasury is responsible for the day-to-day management of Citi’s Banking Book interest rate risk as well as periodically reviewing it with the ALCO. Citi’s Banking Book interest rate risk management is also subject to independent oversight from Treasury Risk Management, a second line of defense team reporting to the Treasury Chief Risk Officer.
Changes in interest rates impact Citi’s net income, AOCI and CET1. These changes primarily affect Citi’s Banking Book through net interest income, due to a variety of risk factors, including:
•Differences in timing and amounts of the maturity or repricing of assets, liabilities and off-balance sheet instruments;
•Changes in level and/or shape of interest rate curves;
•Client behavior in response to changes in interest rate (e.g., mortgage prepayments, deposit betas); and
•Changes in maturity of instruments resulting from changes in interest rate environment.
As part of their ongoing activities, Citi’s businesses generate interest rate-sensitive positions from their client-facing products, such as loans and deposits. The component of this interest rate risk that can be hedged is transferred via Citi’s funds transfer pricing process to Corporate Treasury. Corporate Treasury uses various tools to manage the total interest rate risk position within the established risk appetite and target Citi’s desired risk profile, including its investment securities portfolio, company-issued debt and interest rate derivatives.
In addition, Citi uses multiple metrics to measure its Banking Book interest rate risk. Interest Rate Exposure (IRE)
is a key metric that analyzes the impact of a range of scenarios on Citi’s Banking Book net interest income and certain other interest rate-sensitive income versus a base case. IRE does not represent a forecast of Citi’s net interest income.
The scenarios, methodologies and assumptions used in this analysis are periodically evaluated and enhanced in response to changes in the market environment, changes in Citi’s balance sheet composition, enhancements in Citi’s modelling and other factors.
During the third quarter of 2022, Citi transitioned its IRE analysis, employing enhanced methodologies and changes to certain assumptions. The changes included, among other things, assumptions around the projected balance sheet and revisions to the treatment of certain business contributions (notably accrual positions in ICG’sMarketsbusinesses). These changes resulted in a higher impact to Citi’s net interest income over a 12-month period (see the table below for details).
Under the enhanced methodology, Citi utilizes the most recent quarter-end balance sheet, assuming no changes to its composition and size over the forecasted horizon (holding the balance sheet static). The forecasts incorporate expectations and assumptions of deposit pricing, loan spreads and mortgage prepayment behavior implied by the interest rate curves in each scenario. The base case scenario reflects the market implied forward interest rates, and sensitivity scenarios assume instantaneous shocks to the base case. The forecasts do not assume Citi takes any risk-mitigating actions in response to changes in the interest rate environment. Certain interest rates are subject to flooring assumptions in downward rate scenarios. Deposit pricing sensitivities, (i.e., deposit betas), are informed by historical and expected behavior. Actual deposit pricing could differ from the assumptions used in these forecasts.
Citi’s IRE analysis primarily reflects the impacts from the following Banking Book assets and liabilities: loans, client deposits, Citi’s deposits with other banks, investment securities, long-term debt, any related interest rate hedges and the funds transfer pricing of positions in total trading and credit portfolio VAR. It excludes impacts from any positions which are included in total trading and credit portfolio VAR.
Citi also measures the potential impacts of changes in interest rates on the value of its AOCI, which can in turn impact Citi’s common equity and tangible common equity. This will impact Citi’s Common Equity Tier 1 and other regulatory capital ratios. Citi seeks to manage its exposure to changes in the market level of interest rates, while limiting the potential impact on its AOCI and regulatory capital position.
AOCI at risk is managed as part of the Company-wide interest rate risk position. AOCI at risk considers potential changes in AOCI (and the corresponding impact on the Common Equity Tier 1 Capital ratio) relative to Citi’s capital generation capacity.
Market Risk of Non-Trading Portfolios
The following table sets forthpresents the 12-month estimated impact to Citi’s net interest revenue,income, 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 | Sept. 30, 2021 | Jun. 30, 2021 | Sept. 30, 2020 | In millions of dollars, except as otherwise noted | Sept. 30, 2022 | Jun. 30, 2022 | Sept. 30, 2021 |
| Estimated annualized impact to net interest revenue | | |
U.S. dollar(1) | $ | 151 | | $ | 156 | | $ | 65 | | |
| Parallel interest rate shock +100 bps | | Parallel interest rate shock +100 bps | |
Interest rate exposure(1)(2) | | Interest rate exposure(1)(2) | |
| U.S. dollar | | U.S. dollar | $ | 677 | | $ | 122 | | $ | 827 | |
| All other currencies | All other currencies | 586 | | 624 | | 702 | | All other currencies | 1,483 | | 1,946 | | 1,623 | |
| Total | Total | $ | 737 | | $ | 780 | | $ | 767 | | Total | $ | 2,160 | | $ | 2,068 | | $ | 2,450 | |
| As a percentage of average interest-earning assets | As a percentage of average interest-earning assets | 0.03 | % | 0.04 | % | 0.04 | % | As a percentage of average interest-earning assets | 0.10 | % | 0.10 | % | 0.11 | % |
Estimated initial negative impact to AOCI (after-tax)(2) | $ | (4,914) | | $ | (4,953) | | $ | (5,757) | | |
Estimated initial negative impact to AOCI (after-tax)(1) | | Estimated initial negative impact to AOCI (after-tax)(1) | $ | (969) | | $ | (2,522) | | $ | (4,914) | |
| Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) | Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) | (30) | | (30) | | (36) | | Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) | (9) | | (10) | | (30) | |
(1)Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded fromExcludes trading book and fair value option banking book portfolios and replaces them with the associated transfer pricing.
(2)The estimated impact to Citi’s net interest revenue inincome under 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 businessesprior IRE methodology was $(70)$931 million, $1,025 million and $737 million for a 100 bps instantaneous increase in interest rates as of September 30, 2021.2022, June 30, 2022 and September 30, 2021, respectively.
(2)(3)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
Citi’s balance sheet is asset sensitive (assets reprice faster than liabilities), resulting in higher net interest income in increasing interest rate scenarios. The estimated impact to Citi’s net interest income in a 100 bps upward rate shock scenario as of the third quarter of 2022 increased modestly quarter-over-quarter and decreased year-over-year, primarily reflecting the net impact of lower expected gains due to U.S. dollar interest rate moves that have already been realized and changes in Citi’s balance sheet. At progressively higher interest rate levels, the marginal net interest income benefit is lower, as Citi assumes it will pass on a larger share of rate changes to depositors (i.e., higher betas), further reducing Citi’s IRE sensitivity. Currency-specific interest rate changes and balance sheet factors may drive quarter-to-quarter volatility in Citi’s estimated IRE.
In a 100 bps upward rate shock scenario, Citi expects that the $969 million initial negative impact to AOCI could potentially be offset in shareholders’ equity through the
expected recovery of the impact on AOCI through accretion of Citi’s investment portfolio and expected net interest income benefit over a period of approximately three months.
Scenario Analysis
The sequential decline infollowing table presents the estimated impact to Citi’s net interest revenue was driven by a decline in non-U.S. dollar exposure due to an increase in non-U.S. interest rates.
The modest sequential decline in the estimated impact toincome, 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 September 30, 2021, Citi expects that the $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 scenarios of changes in interest rate scenarios for the U.S. dollar and Citi’sall other currencies.currencies in which Citi has invested capital as of September 30, 2022. 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 | | |
Interest rate exposure(1) | | Interest rate exposure(1) | |
| U.S. dollar | U.S. dollar | $ | 151 | | $ | 206 | | $ | 77 | | $ | (282) | | $ | (442) | | U.S. dollar | $ | 677 | | $ | 443 | | $ | 211 | | $ | (304) | | $ | (824) | |
| All other currencies | All other currencies | 586 | | 620 | | 38 | | (38) | | (323) | | All other currencies | 1,483 | | 1,280 | | 228 | | (205) | | (1,304) | |
| Total | Total | $ | 737 | | $ | 826 | | $ | 115 | | $ | (320) | | $ | (765) | | Total | $ | 2,160 | | $ | 1,723 | | $ | 439 | | $ | (509) | | $ | (2,128) | |
Estimated initial impact to AOCI (after-tax)(1)(2) | Estimated initial impact to AOCI (after-tax)(1)(2) | $ | (4,914) | | $ | (3,191) | | $ | (2,019) | | $ | 1,532 | | $ | 3,076 | | Estimated initial impact to AOCI (after-tax)(1)(2) | $ | (969) | | $ | (862) | | $ | (175) | | $ | 99 | | $ | 927 | |
| 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) | | 10 | | 16 | | Estimated initial impact to Common Equity Tier 1 Capital ratio (bps) | (9) | | (8) | | (2) | | 1 | | 9 | |
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)The estimated impact to Citi’s net interest income under the previous IRE measure is $931 million, $961 million, $63 million, $(59) million and $(1,016) million for Scenarios 1 through 5, respectively.
(2)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
As shown in the table above, the magnitude of theestimated impact to Citi’s net interest revenueincome remains larger under Scenario 2 than Scenario 3, as Citi’s Banking Book has relatively higher interest rate exposure to the short end of the yield curve. For U.S. dollars, exposure to downward rate shocks is larger in magnitude than to upward rate shocks. This is because of the lower benefit to net interest income from Citi’s deposit base at higher rate levels, as well as the prepayment effects on mortgage loans and mortgage-backed securities. For other currencies, exposure to downward rate shocks is smaller in magnitude as a result of Citi’s flooring assumption given low rate levels for certain non-U.S. dollar currencies.
The magnitude of the impact to 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 September 30, 2021,2022, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.5$1.6 billion, or 0.9%0.97%, 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, Singapore dollar 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 quarterly changes in foreign exchange rates, and the quarterly impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio, are shown in the table below. ForSee Note 17 for additional information on the changes in AOCI, see Note 17 to the Consolidated Financial Statements..
| | | For the quarter ended | | For the quarter ended |
| In millions of dollars, except as otherwise noted | In millions of dollars, except as otherwise noted | Sept. 30, 2021 | Jun. 30, 2021 | Sept. 30, 2020 | In millions of dollars, except as otherwise noted | Sept. 30, 2022 | Jun. 30, 2022 | Sept. 30, 2021 |
Change in FX spot rate(1) | Change in FX spot rate(1) | (2.7) | % | 1.1 | % | 2.6 | % | Change in FX spot rate(1) | (4.5) | % | (4.9) | % | (2.7) | % |
| Change in TCE due to FX translation, net of hedges | Change in TCE due to FX translation, net of hedges | $ | (1,042) | | $ | 364 | | $ | 655 | | Change in TCE due to FX translation, net of hedges | $ | (2,121) | | $ | (1,335) | | $ | (1,042) | |
| As a percentage of TCE | As a percentage of TCE | (0.7) | % | 0.2 | % | 0.4 | % | As a percentage of TCE | (1.4) | % | (0.9) | % | (0.7) | % |
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis)
due to changes in FX translation, net of hedges (bps) | 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) | | Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis)
due to changes in FX translation, net of hedges (bps) | (2) | | 5 | | (1) | |
(1) FX spot rate change is a weighted average based on Citi’s quarterly average GAAP capital exposure to foreign countries.
Interest Revenue/Expense and Net Interest Margin (NIM)
| | | 3rd Qtr. | | 2nd Qtr. | | 3rd 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 | | 3Q21 vs. 3Q20 | In millions of dollars, except as otherwise noted | 2022 | | 2022 | | 2021 | | 3Q22 vs. 3Q21 |
Interest revenue(1) | Interest revenue(1) | $ | 12,696 | | | $ | 12,514 | | | $ | 13,373 | | | (5) | % | | Interest revenue(1) | $ | 19,965 | | | $ | 15,674 | | | $ | 12,696 | | | 57 | % | |
Interest expense(2) | Interest expense(2) | 2,252 | | | 2,264 | | | 2,821 | | | (20) | | | Interest expense(2) | 7,356 | | | 3,666 | | | 1,959 | | | 275 | | |
Net interest revenue, taxable equivalent basis(1) | $ | 10,444 | | | $ | 10,250 | | | $ | 10,552 | | | (1) | % | | |
Net interest income, taxable equivalent basis(1) | | Net interest income, taxable equivalent basis(1) | $ | 12,609 | | | $ | 12,008 | | | $ | 10,737 | | | 17 | % | |
Interest revenue—average rate(3) | Interest revenue—average rate(3) | 2.35 | % | | 2.34 | % | | 2.57 | % | | (22) | | bps | Interest revenue—average rate(3) | 3.65 | % | | 2.92 | % | | 2.35 | % | | 130 | | bps |
| Interest expense—average rate | Interest expense—average rate | 0.52 | | | 0.53 | | | 0.67 | | | (15) | | bps | Interest expense—average rate | 1.68 | | | 0.85 | | | 0.45 | | | 123 | | bps |
Net interest margin(3)(4) | Net interest margin(3)(4) | 1.93 | | | 1.92 | | | 2.03 | | | (10) | | bps | Net interest margin(3)(4) | 2.31 | | | 2.24 | | | 1.99 | | | 32 | | 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 | 0.23 | % | | 0.17 | % | | 0.14 | % | | 9 | | bps | Two-year U.S. Treasury note—average rate | 3.38 | % | | 2.72 | % | | 0.23 | % | | 315 | | bps |
| 10-year U.S. Treasury note—average rate | 10-year U.S. Treasury note—average rate | 1.32 | | | 1.59 | | | 0.65 | | | 67 | | bps | 10-year U.S. Treasury note—average rate | 3.10 | | | 2.93 | | | 1.32 | | | 178 | | bps |
| 10-year vs. two-year spread | 10-year vs. two-year spread | 109 | | bps | 142 | | bps | 51 | | bps | | 10-year vs. two-year spread | (28) | | bps | 21 | | bps | 109 | | bps | |
Note: All interest expense amounts include FDIC, as well as other similar deposit insurance assessments outside of the U.S.
(1)Interest revenue and Net interest revenueincome 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$44 million and $59$46 million for the three months ended September 30, 2021,2022, June 30, 20212022 and September 30, 2020,2021, respectively.
(2)Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated Statement of Income and is therefore not reflected in Interest expense in the table above.
(3)The average rate on interest revenue and net interest margin reflects the taxable equivalent gross-up adjustment. See footnote 1 above.
(4)Citi’s net interest margin (NIM)NIM is calculated by dividing net interest revenueincome by average interest-earning assets.
Non-ICG MarketsMarkets Net Interest RevenueIncome
| | | | | | | | | | | | | | |
| 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | Change |
| In millions of dollars | 2021 | 2021 | 2020 | 3Q21 vs. 3Q20 |
Net interest revenue (NIR)—taxable equivalent basis(1) per above | $ | 10,444 | | $ | 10,250 | | $ | 10,552 | | (1) | % |
ICG Markets NIR—taxable equivalent basis(1) | 1,331 | | 1,453 | | 1,413 | | (6) | |
Non-ICG Markets NIR—taxable equivalent basis(1) | $ | 9,113 | | $ | 8,797 | | $ | 9,139 | | — | % |
| | | | | | | | | | | | | | |
| 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | Change |
| In millions of dollars | 2022 | 2022 | 2021 | 3Q22 vs. 3Q21 |
Net interest income (NII)—taxable equivalent basis(1) per above | $ | 12,609 | | $ | 12,008 | | $ | 10,737 | | 17 | % |
ICG Markets NII—taxable equivalent basis(1) | 1,230 | | 1,386 | | 1,266 | | (3) | |
Non-ICG Markets NII—taxable equivalent basis(1) | $ | 11,379 | | $ | 10,622 | | $ | 9,471 | | 20 | % |
(1)Interest revenue and Net interest revenueincome include the taxable equivalent adjustments discussed in the table above.
Citi’s net interest revenue (NIR)income in the third quarter of 2021 decreased 1%2022 increased 18% to $10.4$12.6 billion versus the prior-year period. As set forthpresented in the table above, Citi’s NIRnet interest income on a taxable equivalent basis also decreased 1%increased 17% year-over-year, or approximately $100 million,$1.9 billion, driven by modest declineshigher net interest income in both non-ICG Markets, NIR andwhile net interest income in ICG Markets (fixed(Fixed income markets and equityEquity markets) NIR.declined 3%. The decreaseincrease in non-ICG Markets NIRnet interest income primarily reflected lower loanhigher interest rates, growth in interest-earning balances from cards, improved deposit spreads in Services and the impact of lower deposit spreads.higher income from Citi’s investment portfolio. The decreasedecline in ICG Markets NIRnet interest income largely reflected a change in the mix of trading positions in support of client activity.
Citi’s NIMnet interest margin was 1.93%2.31% on a taxable equivalent basis in the third quarter of 2021,2022, an increase of 17 basis pointpoints from the prior quarter, primarily reflectingdriven by the impact of higher cards NIRinterest rates and improved deposit spreads in North America GCB due to higher fees and higher loans, partially offset by growth in the balance sheet due to higher deposits and a decrease in ICG Markets NIR.
Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3)
Taxable Equivalent Basis
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| Quarterly—Assets | Average volume | Interest revenue | % Average rate |
| 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. |
| In millions of dollars, except rates | 2021 | 2021 | 2020 | 2021 | 2021 | 2020 | 2021 | 2021 | 2020 |
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) | | | | | | | | | |
| 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) | 146,257 | | 148,253 | | 141,436 | | 194 | | 120 | | 199 | | 0.53 | | 0.32 | | 0.56 | |
| Total | $ | 323,183 | | $ | 319,821 | | $ | 294,949 | | $ | 264 | | $ | 205 | | $ | 352 | | 0.32 | % | 0.26 | % | 0.47 | % |
Trading account assets(6)(7) | | | | | | | | | |
| 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) | 154,993 | | 159,670 | | 140,765 | | 620 | | 893 | | 597 | | 1.59 | | 2.24 | | 1.69 | |
| Total | $ | 288,642 | | $ | 302,141 | | $ | 285,033 | | $ | 1,285 | | $ | 1,472 | | $ | 1,458 | | 1.77 | % | 1.95 | % | 2.03 | % |
| Investments | | | | | | | | | |
| In U.S. offices | | | | | | | | | |
| Taxable | $ | 332,337 | | $ | 320,206 | | $ | 282,024 | | $ | 935 | | $ | 867 | | $ | 877 | | 1.12 | % | 1.09 | % | 1.24 | % |
| 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) | 153,802 | | 151,419 | | 142,596 | | 873 | | 863 | | 899 | | 2.25 | | 2.29 | | 2.51 | |
| 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) | | | | | | | | | |
| 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) | 280,072 | | 287,572 | | 287,369 | | 2,862 | | 2,956 | | 3,130 | | 4.05 | | 4.12 | | 4.33 | |
| Total | $ | 668,487 | | $ | 670,280 | | $ | 677,200 | | $ | 8,897 | | $ | 8,756 | | $ | 9,446 | | 5.28 | % | 5.24 | % | 5.55 | % |
Other interest-earning assets(9) | $ | 71,193 | | $ | 69,691 | | $ | 63,577 | | $ | 196 | | $ | 111 | | $ | 99 | | 1.09 | % | 0.64 | % | 0.62 | % |
| 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) | $ | 202,248 | | $ | 199,194 | | $ | 192,082 | | | | | | | |
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| Total assets | $ | 2,346,025 | | $ | 2,341,810 | | $ | 2,259,472 | | | | | | | |
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| Quarterly—Assets | Average volume | Interest revenue | % Average rate |
| 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. |
| In millions of dollars, except rates | 2022 | 2022 | 2021 | 2022 | 2022 | 2021 | 2022 | 2022 | 2021 |
Deposits with banks(4) | $ | 256,444 | | $ | 227,377 | | $ | 294,160 | | $ | 1,218 | | $ | 658 | | $ | 147 | | 1.88 | % | 1.16 | % | 0.20 | % |
Securities borrowed and purchased under agreements to resell(5) | | | | | | | | | |
| In U.S. offices | $ | 200,951 | | $ | 190,065 | | $ | 176,926 | | $ | 1,285 | | $ | 458 | | $ | 70 | | 2.54 | % | 0.97 | % | 0.16 | % |
In offices outside the U.S.(4) | 160,768 | | 159,455 | | 146,257 | | 891 | | 347 | | 194 | | 2.20 | | 0.87 | | 0.53 | |
| Total | $ | 361,719 | | $ | 349,520 | | $ | 323,183 | | $ | 2,176 | | $ | 805 | | $ | 264 | | 2.39 | % | 0.92 | % | 0.32 | % |
Trading account assets(6)(7) | | | | | | | | | |
| In U.S. offices | $ | 143,102 | | $ | 139,087 | | $ | 133,649 | | $ | 1,196 | | $ | 632 | | $ | 665 | | 3.32 | % | 1.82 | % | 1.97 | % |
In offices outside the U.S.(4) | 129,894 | | 136,850 | | 154,993 | | 795 | | 1,030 | | 620 | | 2.43 | | 3.02 | | 1.59 | |
| Total | $ | 272,996 | | $ | 275,937 | | $ | 288,642 | | $ | 1,991 | | $ | 1,662 | | $ | 1,285 | | 2.89 | % | 2.42 | % | 1.77 | % |
| Investments | | | | | | | | | |
| In U.S. offices | | | | | | | | | |
| Taxable | $ | 355,293 | | $ | 357,249 | | $ | 332,337 | | $ | 1,521 | | $ | 1,132 | | $ | 935 | | 1.70 | % | 1.27 | % | 1.12 | % |
| Exempt from U.S. income tax | 11,809 | | 11,898 | | 11,973 | | 110 | | 108 | | 99 | | 3.70 | | 3.64 | | 3.28 | |
In offices outside the U.S.(4) | 146,312 | | 150,435 | | 153,802 | | 1,379 | | 1,147 | | 873 | | 3.74 | | 3.06 | | 2.25 | |
| Total | $ | 513,414 | | $ | 519,582 | | $ | 498,112 | | $ | 3,010 | | $ | 2,387 | | $ | 1,907 | | 2.33 | % | 1.84 | % | 1.52 | % |
Consumer loans(8) | | | | | | | | | |
| In U.S. offices | $ | 273,324 | | $ | 264,240 | | $ | 254,052 | | $ | 6,064 | | $ | 5,348 | | $ | 4,964 | | 8.80 | % | 8.12 | % | 7.75 | % |
In offices outside the U.S.(4) | 83,023 | | 88,291 | | 119,164 | | 1,316 | | 1,253 | | 1,603 | | 6.29 | | 5.69 | | 5.34 | |
| Total | $ | 356,347 | | $ | 352,531 | | $ | 373,216 | | $ | 7,380 | | $ | 6,601 | | $ | 6,567 | | 8.22 | % | 7.51 | % | 6.98 | % |
Corporate loans(8) | | | | | | | | | |
| In U.S. offices | $ | 141,539 | | $ | 142,180 | | $ | 134,363 | | $ | 1,449 | | $ | 1,285 | | $ | 1,071 | | 4.06 | % | 3.63 | % | 3.16 | % |
In offices outside the U.S.(4) | 156,832 | | 162,776 | | 160,908 | | 1,981 | | 1,632 | | 1,259 | | 5.01 | | 4.02 | | 3.10 | |
| Total | $ | 298,371 | | $ | 304,956 | | $ | 295,271 | | $ | 3,430 | | $ | 2,917 | | $ | 2,330 | | 4.56 | % | 3.84 | % | 3.13 | % |
Total loans(8) | | | | | | | | | |
| In U.S. offices | $ | 414,863 | | $ | 406,420 | | $ | 388,415 | | $ | 7,513 | | $ | 6,633 | | $ | 6,035 | | 7.18 | % | 6.55 | % | 6.16 | % |
In offices outside the U.S.(4) | 239,855 | | 251,067 | | 280,072 | | 3,297 | | 2,885 | | 2,862 | | 5.45 | | 4.61 | | 4.05 | |
| Total | $ | 654,718 | | $ | 657,487 | | $ | 668,487 | | $ | 10,810 | | $ | 9,518 | | $ | 8,897 | | 6.55 | % | 5.81 | % | 5.28 | % |
Other interest-earning assets(9) | $ | 110,619 | | $ | 121,629 | | $ | 71,193 | | $ | 760 | | $ | 644 | | $ | 196 | | 2.73 | % | 2.12 | % | 1.09 | % |
| Total interest-earning assets | $ | 2,169,910 | | $ | 2,151,532 | | $ | 2,143,777 | | $ | 19,965 | | $ | 15,674 | | $ | 12,696 | | 3.65 | % | 2.92 | % | 2.35 | % |
Non-interest-earning assets(6) | $ | 229,536 | | $ | 228,521 | | $ | 202,248 | | | | | | | |
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| Total assets | $ | 2,399,446 | | $ | 2,380,053 | | $ | 2,346,025 | | | | | | | |
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| | Nine Months—Assets | Nine Months—Assets | Average volume | Interest revenue | % Average rate | Nine Months—Assets | Average volume | Interest revenue | % Average rate |
| | Nine Months | | Nine Months | Nine Months | | Nine Months | Nine Months | | Nine 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 | 2022 | | 2021 | 2022 | | 2021 | 2022 | | 2021 |
Deposits with banks(4) | Deposits with banks(4) | $ | 299,315 | | | $ | 273,487 | | $ | 418 | | | $ | 802 | | 0.19 | % | | 0.39 | % | Deposits with banks(4) | $ | 248,119 | | | $ | 299,315 | | $ | 2,172 | | | $ | 418 | | 1.17 | % | | 0.19 | % |
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 | $ | 170,761 | | | $ | 146,098 | | $ | 272 | | | $ | 1,076 | | 0.21 | % | | 0.98 | % | In U.S. offices | $ | 189,671 | | | $ | 170,761 | | $ | 1,852 | | | $ | 272 | | 1.31 | % | | 0.21 | % |
In offices outside the U.S.(4) | In offices outside the U.S.(4) | 145,700 | | | 137,222 | | 491 | | | 885 | | 0.45 | | | 0.86 | | In offices outside the U.S.(4) | 161,954 | | | 145,700 | | 1,523 | | | 491 | | 1.26 | | | 0.45 | |
| Total | Total | $ | 316,461 | | | $ | 283,320 | | $ | 763 | | | $ | 1,961 | | 0.32 | % | | 0.92 | % | Total | $ | 351,625 | | | $ | 316,461 | | $ | 3,375 | | | $ | 763 | | 1.28 | % | | 0.32 | % |
Trading account assets(6)(7) | Trading account assets(6)(7) | | | | | | Trading account assets(6)(7) | | | | | |
| In U.S. offices | In U.S. offices | $ | 143,639 | | | $ | 143,148 | | $ | 1,996 | | | $ | 2,789 | | 1.86 | % | | 2.60 | % | In U.S. offices | $ | 139,682 | | | $ | 143,639 | | $ | 2,420 | | | $ | 1,996 | | 2.32 | % | | 1.86 | % |
In offices outside the U.S.(4) | In offices outside the U.S.(4) | 155,894 | | | 129,331 | | 2,099 | | | 1,938 | | 1.80 | | | 2.00 | | In offices outside the U.S.(4) | 133,449 | | | 155,894 | | 2,381 | | | 2,099 | | 2.39 | | | 1.80 | |
| Total | Total | $ | 299,533 | | | $ | 272,479 | | $ | 4,095 | | | $ | 4,727 | | 1.83 | % | | 2.32 | % | Total | $ | 273,131 | | | $ | 299,533 | | $ | 4,801 | | | $ | 4,095 | | 2.35 | % | | 1.83 | % |
| Investments | Investments | | | | | | Investments | | | | | |
| In U.S. offices | In U.S. offices | | | | | | In U.S. offices | | | | | |
| Taxable | Taxable | $ | 316,038 | | | $ | 260,161 | | $ | 2,608 | | | $ | 3,059 | | 1.10 | % | | 1.57 | % | Taxable | $ | 355,483 | | | $ | 316,038 | | $ | 3,674 | | | $ | 2,608 | | 1.38 | % | | 1.10 | % |
| Exempt from U.S. income tax | Exempt from U.S. income tax | 12,496 | | | 14,345 | | 331 | | | 361 | | 3.54 | | | 3.36 | | Exempt from U.S. income tax | 11,773 | | | 12,496 | | 313 | | | 331 | | 3.55 | | | 3.54 | |
In offices outside the U.S.(4) | In offices outside the U.S.(4) | 151,566 | | | 137,127 | | 2,592 | | | 2,908 | | 2.29 | | | 2.83 | | In offices outside the U.S.(4) | 150,016 | | | 151,566 | | 3,477 | | | 2,592 | | 3.10 | | | 2.29 | |
| Total | Total | $ | 480,100 | | | $ | 411,633 | | $ | 5,531 | | | $ | 6,328 | | 1.54 | % | | 2.05 | % | Total | $ | 517,272 | | | $ | 480,100 | | $ | 7,464 | | | $ | 5,531 | | 1.93 | % | | 1.54 | % |
Loans (net of unearned income)(8) | | | | | | |
Consumer loans(8) | | Consumer loans(8) | | | | | |
| In U.S. offices | | In U.S. offices | $ | 264,941 | | | $ | 252,032 | | $ | 16,457 | | | $ | 14,740 | | 8.30 | % | | 7.82 | % |
In offices outside the U.S.(4) | | In offices outside the U.S.(4) | 88,762 | | | 124,112 | | 3,786 | | | 5,050 | | 5.70 | | | 5.44 | |
| Total | | Total | $ | 353,703 | | | $ | 376,144 | | $ | 20,243 | | | $ | 19,790 | | 7.65 | % | | 7.03 | % |
Corporate loans(8) | | Corporate loans(8) | | | | | |
| In U.S. offices | | In U.S. offices | $ | 140,198 | | | $ | 131,661 | | $ | 3,846 | | | $ | 3,137 | | 3.67 | % | | 3.19 | % |
In offices outside the U.S.(4) | | In offices outside the U.S.(4) | 159,693 | | | 160,441 | | 4,978 | | | 3,659 | | 4.17 | | | 3.05 | |
| Total | | Total | $ | 299,891 | | | $ | 292,102 | | $ | 8,824 | | | $ | 6,796 | | 3.93 | % | | 3.11 | % |
Total loans(8) | | Total loans(8) | | | | | |
| In U.S. offices | In U.S. offices | $ | 383,693 | | | $ | 401,253 | | $ | 17,877 | | | $ | 20,366 | | 6.23 | % | | 6.78 | % | In U.S. offices | $ | 405,139 | | | $ | 383,693 | | $ | 20,303 | | | $ | 17,877 | | 6.70 | % | | 6.23 | % |
In offices outside the U.S.(4) | In offices outside the U.S.(4) | 284,553 | | | 290,303 | | 8,709 | | | 10,514 | | 4.09 | | | 4.84 | | In offices outside the U.S.(4) | 248,455 | | | 284,553 | | 8,764 | | | 8,709 | | 4.72 | | | 4.09 | |
| Total | Total | $ | 668,246 | | | $ | 691,556 | | $ | 26,586 | | | $ | 30,880 | | 5.32 | % | | 5.96 | % | Total | $ | 653,594 | | | $ | 668,246 | | $ | 29,067 | | | $ | 26,586 | | 5.95 | % | | 5.32 | % |
Other interest-earning assets(9) | Other interest-earning assets(9) | $ | 72,325 | | | $ | 69,200 | | $ | 404 | | | $ | 492 | | 0.75 | % | | 0.95 | % | Other interest-earning assets(9) | $ | 117,354 | | | $ | 72,325 | | $ | 1,953 | | | $ | 404 | | 2.23 | % | | 0.75 | % |
| Total interest-earning assets | Total interest-earning assets | $ | 2,135,980 | | | $ | 2,001,675 | | $ | 37,797 | | | $ | 45,190 | | 2.37 | % | | 3.02 | % | Total interest-earning assets | $ | 2,161,095 | | | $ | 2,135,980 | | $ | 48,832 | | | $ | 37,797 | | 3.02 | % | | 2.37 | % |
Non-interest-earning assets(6) | Non-interest-earning assets(6) | $ | 198,896 | | | $ | 200,457 | | | | | | Non-interest-earning assets(6) | $ | 223,418 | | | $ | 198,896 | | | | | |
| | Total assets | Total assets | $ | 2,334,876 | | | $ | 2,202,132 | | | | | | Total assets | $ | 2,384,513 | | | $ | 2,334,876 | | | | | |
(1)Interest revenue and Net interest revenueincome 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$132 million and $59 million for the three months ended September 30, 2021, June 30, 2021 and September 30, 2020, respectively, and $150 million and $148 million for the nine months ended September 30, 20212022 and 2020,September 30, 2021, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.
(6)The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(7)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(8)Net of unearned income. Includes cash-basis loans.
(9)Includes assets from businesses held-for-sale (see Note 2) and Brokerage receivables.
Average Balances and Interest Rates—Liabilities and Equity, and Net Interest RevenueIncome(1)(2)(3)
Taxable Equivalent Basis
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| Quarterly—Liabilities | Average volume | Interest expense | % Average rate |
| 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. |
| In millions of dollars, except rates | 2021 | 2021 | 2020 | 2021 | 2021 | 2020 | 2021 | 2021 | 2020 |
| Deposits | | | | | | | | | |
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) | 538,800 | | 578,880 | | 553,673 | | 547 | | 499 | | 602 | | 0.40 | | 0.35 | | 0.43 | |
| 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) | | | | | | | | | |
| 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) | 96,137 | | 95,931 | | 83,835 | | 92 | | 90 | | 124 | | 0.38 | | 0.38 | | 0.59 | |
| Total | $ | 228,947 | | $ | 236,639 | | $ | 216,556 | | $ | 287 | | $ | 260 | | $ | 292 | | 0.50 | % | 0.44 | % | 0.54 | % |
Trading account liabilities(7)(8) | | | | | | | | | |
| 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) | 64,963 | | 73,705 | | 51,557 | | 78 | | 120 | | 84 | | 0.48 | | 0.65 | | 0.65 | |
| 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) | | | | | | | | | |
| 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) | 27,132 | | 23,738 | | 18,654 | | 27 | | 48 | | 31 | | 0.39 | | 0.81 | | 0.66 | |
| Total | $ | 92,716 | | $ | 93,682 | | $ | 95,471 | | $ | 8 | | $ | 31 | | $ | 88 | | 0.03 | % | 0.13 | % | 0.37 | % |
Long-term debt(10) | | | | | | | | | |
| 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) | 4,061 | | 4,355 | | 3,827 | | 26 | | 16 | | 2 | | 2.54 | | 1.47 | | 0.21 | |
| Total | $ | 185,784 | | $ | 195,364 | | $ | 226,233 | | $ | 828 | | $ | 868 | | $ | 1,025 | | 1.77 | % | 1.78 | % | 1.80 | % |
| 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 | $ | 122,731 | | $ | 78,665 | | $ | 32,208 | | | | | | | |
Other non-interest-bearing liabilities(7) | 307,078 | | 337,136 | | 347,525 | | | | | | | |
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| Total liabilities | $ | 2,143,749 | | $ | 2,138,754 | | $ | 2,065,890 | | | | | | | |
| Citigroup stockholders’ equity | $ | 201,608 | | $ | 202,368 | | $ | 192,923 | | | | | | | |
| Noncontrolling interests | 668 | | 688 | | 659 | | | | | | | |
| Total equity | $ | 202,276 | | $ | 203,056 | | $ | 193,582 | | | | | | | |
| 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) | | | | | | | | | |
| 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) | 897,189 | | 907,603 | | 852,374 | | 3,959 | | 4,168 | | 4,073 | | 1.75 | | 1.84 | | 1.90 | |
| Total | $ | 2,143,777 | | $ | 2,142,616 | | $ | 2,067,390 | | $ | 10,444 | | $ | 10,250 | | $ | 10,552 | | 1.93 | % | 1.92 | % | 2.03 | % |
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| Quarterly—Liabilities | Average volume | Interest expense | % Average rate |
| 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. |
| In millions of dollars, except rates | 2022 | 2022 | 2021 | 2022 | 2022 | 2021 | 2022 | 2022 | 2021 |
| Deposits | | | | | | | | | |
In U.S. offices(4) | $ | 569,903 | | $ | 554,182 | | $ | 558,990 | | $ | 1,743 | | $ | 545 | | $ | 275 | | 1.21 | % | 0.39 | % | 0.20 | % |
In offices outside the U.S.(5) | 505,456 | | 513,820 | | 538,800 | | 1,527 | | 875 | | 455 | | 1.20 | | 0.68 | | 0.34 | |
| Total | $ | 1,075,359 | | $ | 1,068,002 | | $ | 1,097,790 | | $ | 3,270 | | $ | 1,420 | | $ | 730 | | 1.21 | % | 0.53 | % | 0.26 | % |
Securities loaned and sold under agreements to repurchase(6) | | | | | | | | | |
| In U.S. offices | $ | 111,513 | | $ | 112,011 | | $ | 132,810 | | $ | 864 | | $ | 391 | | $ | 195 | | 3.07 | % | 1.40 | % | 0.58 | % |
In offices outside the U.S.(5) | 95,677 | | 96,388 | | 96,137 | | 387 | | 264 | | 92 | | 1.60 | | 1.10 | | 0.38 | |
| Total | $ | 207,190 | | $ | 208,399 | | $ | 228,947 | | $ | 1,251 | | $ | 655 | | $ | 287 | | 2.40 | % | 1.26 | % | 0.50 | % |
Trading account liabilities(7)(8) | | | | | | | | | |
| In U.S. offices | $ | 56,447 | | $ | 52,714 | | $ | 43,740 | | $ | 255 | | $ | 24 | | $ | 28 | | 1.79 | % | 0.18 | % | 0.25 | % |
In offices outside the U.S.(5) | 72,078 | | 72,096 | | 64,963 | | 217 | | 113 | | 78 | | 1.19 | | 0.63 | | 0.48 | |
| Total | $ | 128,525 | | $ | 124,810 | | $ | 108,703 | | $ | 472 | | $ | 137 | | $ | 106 | | 1.46 | % | 0.44 | % | 0.39 | % |
Short-term borrowings and other interest-bearing liabilities(9) | | | | | | | | | |
| In U.S. offices | $ | 103,375 | | $ | 94,028 | | $ | 65,584 | | $ | 654 | | $ | 217 | | $ | (19) | | 2.51 | % | 0.93 | % | (0.11) | % |
In offices outside the U.S.(5) | 50,947 | | 60,211 | | 27,132 | | 91 | | 51 | | 27 | | 0.71 | | 0.34 | | 0.39 | |
| Total | $ | 154,322 | | $ | 154,239 | | $ | 92,716 | | $ | 745 | | $ | 268 | | $ | 8 | | 1.92 | % | 0.70 | % | 0.03 | % |
Long-term debt(10) | | | | | | | | | |
| In U.S. offices | $ | 165,834 | | $ | 164,832 | | $ | 181,723 | | $ | 1,572 | | $ | 1,143 | | $ | 802 | | 3.76 | % | 2.78 | % | 1.75 | % |
In offices outside the U.S.(5) | 3,495 | | 3,892 | | 4,061 | | 46 | | 43 | | 26 | | 5.22 | | 4.43 | | 2.54 | |
| Total | $ | 169,329 | | $ | 168,724 | | $ | 185,784 | | $ | 1,618 | | $ | 1,186 | | $ | 828 | | 3.79 | % | 2.82 | % | 1.77 | % |
| Total interest-bearing liabilities | $ | 1,734,725 | | $ | 1,724,174 | | $ | 1,713,940 | | $ | 7,356 | | $ | 3,666 | | $ | 1,959 | | 1.68 | % | 0.85 | % | 0.45 | % |
| Demand deposits in U.S. offices | $ | 140,271 | | $ | 143,426 | | $ | 122,731 | | | | | | | |
Other non-interest-bearing liabilities(7) | 325,283 | | 313,926 | | 307,078 | | | | | | | |
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| Total liabilities | $ | 2,200,279 | | $ | 2,181,526 | | $ | 2,143,749 | | | | | | | |
| Citigroup stockholders’ equity | $ | 198,694 | | $ | 197,976 | | $ | 201,608 | | | | | | | |
| Noncontrolling interests | 473 | | 551 | | 668 | | | | | | | |
| Total equity | $ | 199,167 | | $ | 198,527 | | $ | 202,276 | | | | | | | |
| Total liabilities and stockholders’ equity | $ | 2,399,446 | | $ | 2,380,053 | | $ | 2,346,025 | | | | | | | |
Net interest income as a percentage of average interest-earning assets(11) | | | | | | | | | |
| In U.S. offices | $ | 1,278,682 | | $ | 1,247,713 | | $ | 1,246,588 | | $ | 7,458 | | $ | 7,070 | | $ | 6,686 | | 2.31 | % | 2.27 | % | 2.13 | % |
In offices outside the U.S.(6) | 891,228 | | 903,819 | | 897,189 | | 5,151 | | 4,938 | | 4,051 | | 2.29 | | 2.19 | | 1.79 | |
| Total | $ | 2,169,910 | | $ | 2,151,532 | | $ | 2,143,777 | | $ | 12,609 | | $ | 12,008 | | $ | 10,737 | | 2.31 | % | 2.24 | % | 1.99 | % |
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| | Nine Months—Liabilities | Nine Months—Liabilities | Average volume | Interest expense | % Average rate | Nine Months—Liabilities | Average volume | Interest expense | % Average rate |
| | Nine Months | | Nine Months | Nine Months | | Nine Months | Nine Months | | Nine 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 | 2022 | | 2021 | 2022 | | 2021 | 2022 | | 2021 |
| Deposits | Deposits | | | | | | Deposits | | | | | |
In U.S. offices(4) | In U.S. offices(4) | $ | 520,311 | | | $ | 475,516 | | $ | 1,463 | | | $ | 2,778 | | 0.38 | % | | 0.78 | % | In U.S. offices(4) | $ | 561,368 | | | $ | 520,311 | | $ | 2,525 | | | $ | 827 | | 0.60 | % | | 0.21 | % |
In offices outside the U.S.(5) | In offices outside the U.S.(5) | 561,938 | | | 533,649 | | 1,567 | | | 2,598 | | 0.37 | | | 0.65 | | In offices outside the U.S.(5) | 513,121 | | | 561,938 | | 3,036 | | | 1,291 | | 0.79 | | | 0.31 | |
| Total | Total | $ | 1,082,249 | | | $ | 1,009,165 | | $ | 3,030 | | | $ | 5,376 | | 0.37 | % | | 0.71 | % | Total | $ | 1,074,489 | | | $ | 1,082,249 | | $ | 5,561 | | | $ | 2,118 | | 0.69 | % | | 0.26 | % |
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 | $ | 140,153 | | | $ | 137,091 | | $ | 536 | | | $ | 1,126 | | 0.51 | % | | 1.10 | % | In U.S. offices | $ | 113,772 | | | $ | 140,153 | | $ | 1,416 | | | $ | 536 | | 1.66 | % | | 0.51 | % |
In offices outside the U.S.(5) | In offices outside the U.S.(5) | 93,463 | | | 76,189 | | 264 | | | 704 | | 0.38 | | | 1.23 | | In offices outside the U.S.(5) | 94,791 | | | 93,463 | | 772 | | | 264 | | 1.09 | | | 0.38 | |
| Total | Total | $ | 233,616 | | | $ | 213,280 | | $ | 800 | | | $ | 1,830 | | 0.46 | % | | 1.15 | % | Total | $ | 208,563 | | | $ | 233,616 | | $ | 2,188 | | | $ | 800 | | 1.40 | % | | 0.46 | % |
Trading account liabilities(7)(8) | Trading account liabilities(7)(8) | | | | | | Trading account liabilities(7)(8) | | | | | |
| In U.S. offices | In U.S. offices | $ | 47,990 | | | $ | 37,321 | | $ | 80 | | | $ | 239 | | 0.22 | % | | 0.86 | % | In U.S. offices | $ | 52,584 | | | $ | 47,990 | | $ | 315 | | | $ | 80 | | 0.80 | % | | 0.22 | % |
In offices outside the U.S.(5) | In offices outside the U.S.(5) | 68,078 | | | 51,333 | | 290 | | | 267 | | 0.57 | | | 0.69 | | In offices outside the U.S.(5) | 69,965 | | | 68,078 | | 441 | | | 290 | | 0.84 | | | 0.57 | |
| Total | Total | $ | 116,068 | | | $ | 88,654 | | $ | 370 | | | $ | 506 | | 0.43 | % | | 0.76 | % | Total | $ | 122,549 | | | $ | 116,068 | | $ | 756 | | | $ | 370 | | 0.82 | % | | 0.43 | % |
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 | $ | 69,314 | | | $ | 86,555 | | $ | (36) | | | $ | 487 | | (0.07) | % | | 0.75 | % | In U.S. offices | $ | 92,022 | | | $ | 69,314 | | $ | 884 | | | $ | (36) | | 1.28 | % | | (0.07) | % |
In offices outside the U.S.(5) | In offices outside the U.S.(5) | 23,933 | | | 20,481 | | 106 | | | 125 | | 0.59 | | | 0.82 | | In offices outside the U.S.(5) | 57,119 | | | 23,933 | | 184 | | | 106 | | 0.43 | | | 0.59 | |
| Total | Total | $ | 93,247 | | | $ | 107,036 | | $ | 70 | | | $ | 612 | | 0.10 | % | | 0.76 | % | Total | $ | 149,141 | | | $ | 93,247 | | $ | 1,068 | | | $ | 70 | | 0.96 | % | | 0.10 | % |
Long-term debt(10) | Long-term debt(10) | | | | | | Long-term debt(10) | | | | | |
| In U.S. offices | In U.S. offices | $ | 191,408 | | | $ | 212,696 | | $ | 2,559 | | | $ | 3,639 | | 1.79 | % | | 2.29 | % | In U.S. offices | $ | 165,880 | | | $ | 191,408 | | $ | 3,604 | | | $ | 2,559 | | 2.90 | % | | 1.79 | % |
In offices outside the U.S.(5) | In offices outside the U.S.(5) | 4,396 | | | 3,954 | | 55 | | | 14 | | 1.67 | | | 0.47 | | In offices outside the U.S.(5) | 3,780 | | | 4,396 | | 125 | | | 55 | | 4.42 | | | 1.67 | |
| Total | Total | $ | 195,804 | | | $ | 216,650 | | $ | 2,614 | | | $ | 3,653 | | 1.78 | % | | 2.25 | % | Total | $ | 169,660 | | | $ | 195,804 | | $ | 3,729 | | | $ | 2,614 | | 2.94 | % | | 1.78 | % |
| Total interest-bearing liabilities | Total interest-bearing liabilities | $ | 1,720,984 | | | $ | 1,634,785 | | $ | 6,884 | | | $ | 11,977 | | 0.53 | % | | 0.98 | % | Total interest-bearing liabilities | $ | 1,724,402 | | | $ | 1,720,984 | | $ | 13,302 | | | $ | 5,972 | | 1.03 | % | | 0.46 | % |
| Demand deposits in U.S. offices | Demand deposits in U.S. offices | $ | 86,009 | | | $ | 29,921 | | | | | | Demand deposits in U.S. offices | $ | 137,682 | | | $ | 86,009 | | | | | |
Other non-interest-bearing liabilities(7) | Other non-interest-bearing liabilities(7) | 325,777 | | | 343,620 | | | | | | Other non-interest-bearing liabilities(7) | 322,927 | | | 325,777 | | | | | |
| | Total liabilities | Total liabilities | $ | 2,132,770 | | | $ | 2,008,327 | | | | | | Total liabilities | $ | 2,185,011 | | | $ | 2,132,770 | | | | | |
| Citigroup stockholders’ equity | Citigroup stockholders’ equity | $ | 201,426 | | | $ | 193,164 | | | | | | Citigroup stockholders’ equity | $ | 198,945 | | | $ | 201,426 | | | | | |
| Noncontrolling interests | Noncontrolling interests | 680 | | | 641 | | | | | | Noncontrolling interests | 557 | | | 680 | | | | | |
| Total equity | Total equity | $ | 202,106 | | | $ | 193,805 | | | | | | Total equity | $ | 199,502 | | | $ | 202,106 | | | | | |
| Total liabilities and stockholders’ equity | Total liabilities and stockholders’ equity | $ | 2,334,876 | | | $ | 2,202,132 | | | | | | Total liabilities and stockholders’ equity | $ | 2,384,513 | | | $ | 2,334,876 | | | | | |
Net interest revenue as a percentage of average interest-earning assets(11) | | | | | | |
Net interest income as a percentage of average interest-earning assets(11) | | Net interest income as a percentage of average interest-earning assets(11) | | | | | |
| In U.S. offices | In U.S. offices | $ | 1,237,799 | | | $ | 1,172,136 | | $ | 18,902 | | | $ | 20,184 | | 2.04 | % | | 2.30 | % | In U.S. offices | $ | 1,257,817 | | | $ | 1,237,799 | | $ | 21,386 | | | $ | 19,539 | | 2.27 | % | | 2.11 | % |
In offices outside the U.S.(6) | In offices outside the U.S.(6) | 898,182 | | | 829,539 | | 12,011 | | | 13,029 | | 1.79 | | | 2.10 | | In offices outside the U.S.(6) | 903,278 | | | 898,182 | | 14,144 | | | 12,286 | | 2.09 | | | 1.83 | |
| Total | Total | $ | 2,135,981 | | | $ | 2,001,675 | | $ | 30,913 | | | $ | 33,213 | | 1.93 | % | | 2.22 | % | Total | $ | 2,161,095 | | | $ | 2,135,981 | | $ | 35,530 | | | $ | 31,825 | | 2.20 | % | | 1.99 | % |
(1)Interest revenue and Net interest revenueincome 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)
| | | | 3Q21 vs. 2Q21 | 3Q21 vs. 3Q20 | | 3Q22 vs. 2Q22 | 3Q22 vs. 3Q21 |
| | | 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) | $ | (1) | | $ | 22 | | $ | 21 | | $ | (5) | | $ | 36 | | $ | 31 | | Deposits with banks(3) | $ | 93 | | $ | 467 | | $ | 560 | | $ | (21) | | $ | 1,092 | | $ | 1,071 | |
| 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 | $ | 3 | | $ | (18) | | $ | (15) | | $ | 20 | | $ | (103) | | $ | (83) | | In U.S. offices | $ | 28 | | $ | 799 | | $ | 827 | | $ | 11 | | $ | 1,204 | | $ | 1,215 | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | (2) | | 76 | | 74 | | 7 | | (12) | | (5) | | In offices outside the U.S.(3) | 3 | | 541 | | 544 | | 21 | | 676 | | 697 | |
| Total | Total | $ | 1 | | $ | 58 | | $ | 59 | | $ | 27 | | $ | (115) | | $ | (88) | | Total | $ | 31 | | $ | 1,340 | | $ | 1,371 | | $ | 32 | | $ | 1,880 | | $ | 1,912 | |
Trading account assets(4) | Trading account assets(4) | | | | | | Trading account assets(4) | | | | | |
| In U.S. offices | In U.S. offices | $ | (38) | | $ | 124 | | $ | 86 | | $ | (60) | | $ | (136) | | $ | (196) | | In U.S. offices | $ | 18 | | $ | 546 | | $ | 564 | | $ | 50 | | $ | 481 | | $ | 531 | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | (25) | | (248) | | (273) | | 58 | | (35) | | 23 | | In offices outside the U.S.(3) | (50) | | (185) | | (235) | | (113) | | 288 | | 175 | |
| Total | Total | $ | (63) | | $ | (124) | | $ | (187) | | $ | (2) | | $ | (171) | | $ | (173) | | Total | $ | (32) | | $ | 361 | | $ | 329 | | $ | (63) | | $ | 769 | | $ | 706 | |
Investments(1) | Investments(1) | | | | | | Investments(1) | | | | | |
| In U.S. offices | In U.S. offices | $ | 34 | | $ | 19 | | $ | 53 | | $ | 152 | | $ | (121) | | $ | 31 | | In U.S. offices | $ | (7) | | $ | 398 | | $ | 391 | | $ | 72 | | $ | 525 | | $ | 597 | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 14 | | (4) | | 10 | | 68 | | (94) | | (26) | | In offices outside the U.S.(3) | (32) | | 264 | | 232 | | (44) | | 550 | | 506 | |
| Total | Total | $ | 48 | | $ | 15 | | $ | 63 | | $ | 220 | | $ | (215) | | $ | 5 | | Total | $ | (39) | | $ | 662 | | $ | 623 | | $ | 28 | | $ | 1,075 | | $ | 1,103 | |
Consumer loans (net of unearned income)(5) | | Consumer loans (net of unearned income)(5) | | | | | |
| In U.S. offices | | In U.S. offices | $ | 189 | | $ | 527 | | $ | 716 | | $ | 395 | | $ | 705 | | $ | 1,100 | |
In offices outside the U.S.(3) | | In offices outside the U.S.(3) | (78) | | 141 | | 63 | | (541) | | 254 | | (287) | |
| Total | | Total | $ | 111 | | $ | 668 | | $ | 779 | | $ | (146) | | $ | 959 | | $ | 813 | |
Corporate loans (net of unearned income)(5) | | Corporate loans (net of unearned income)(5) | | | | | |
| In U.S. offices | | In U.S. offices | $ | (5) | | $ | 169 | | $ | 164 | | $ | 60 | | $ | 318 | | $ | 378 | |
In offices outside the U.S.(3) | | In offices outside the U.S.(3) | (62) | | 411 | | 349 | | (33) | | 755 | | 722 | |
| Total | | Total | $ | (67) | | $ | 580 | | $ | 513 | | $ | 27 | | $ | 1,073 | | $ | 1,100 | |
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 | $ | 88 | | $ | 147 | | $ | 235 | | $ | (23) | | $ | (258) | | $ | (281) | | In U.S. offices | $ | 184 | | $ | 696 | | $ | 880 | | $ | 455 | | $ | 1,023 | | $ | 1,478 | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | (77) | | (17) | | (94) | | (78) | | (190) | | (268) | | In offices outside the U.S.(3) | (140) | | 552 | | 412 | | (574) | | 1,009 | | 435 | |
| Total | Total | $ | 11 | | $ | 130 | | $ | 141 | | $ | (101) | | $ | (448) | | $ | (549) | | Total | $ | 44 | | $ | 1,248 | | $ | 1,292 | | $ | (119) | | $ | 2,032 | | $ | 1,913 | |
Other interest-earning assets(6) | Other interest-earning assets(6) | $ | 2 | | $ | 83 | | $ | 85 | | $ | 13 | | $ | 84 | | $ | 97 | | Other interest-earning assets(6) | $ | (62) | | $ | 178 | | $ | 116 | | $ | 152 | | $ | 412 | | $ | 564 | |
| Total interest revenue | Total interest revenue | $ | (2) | | $ | 184 | | $ | 182 | | $ | 152 | | $ | (829) | | $ | (677) | | Total interest revenue | $ | 35 | | $ | 4,256 | | $ | 4,291 | | $ | 9 | | $ | 7,260 | | $ | 7,269 | |
(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)
| | | | | | | | | | | | | | | | | | | | |
| | 3Q21 vs. 2Q21 | 3Q21 vs. 3Q20 |
| | Increase (decrease)
due to change in: | Increase (decrease)
due to change in: |
| In millions of dollars | Average
volume | Average
rate | Net
change | Average
volume | Average
rate | Net
change |
| Deposits | | | | | | |
| In U.S. offices | $ | 55 | | $ | (35) | | $ | 20 | | $ | 67 | | $ | (282) | | $ | (215) | |
In offices outside the U.S.(3) | (36) | | 84 | | 48 | | (16) | | (39) | | (55) | |
| Total | $ | 19 | | $ | 49 | | $ | 68 | | $ | 51 | | $ | (321) | | $ | (270) | |
| Securities loaned and sold under agreements to repurchase | | | | | | |
| In U.S. offices | $ | (10) | | $ | 35 | | $ | 25 | | $ | — | | $ | 27 | | $ | 27 | |
In offices outside the U.S.(3) | — | | 2 | | 2 | | 16 | | (48) | | (32) | |
| Total | $ | (10) | | $ | 37 | | $ | 27 | | $ | 16 | | $ | (21) | | $ | (5) | |
Trading account liabilities(4) | | | | | | |
| In U.S. offices | $ | (3) | | $ | 1 | | $ | (2) | | $ | 6 | | $ | (17) | | $ | (11) | |
In offices outside the U.S.(3) | (13) | | (29) | | (42) | | 19 | | (25) | | (6) | |
| Total | $ | (16) | | $ | (28) | | $ | (44) | | $ | 25 | | $ | (42) | | $ | (17) | |
Short-term borrowings and other interest-bearing liabilities(5) | | | | | | |
| In U.S. offices | $ | 1 | | $ | (3) | | $ | (2) | | $ | (7) | | $ | (69) | | $ | (76) | |
In offices outside the U.S.(3) | 6 | | (27) | | (21) | | 11 | | (15) | | (4) | |
| Total | $ | 7 | | $ | (30) | | $ | (23) | | $ | 4 | | $ | (84) | | $ | (80) | |
| Long-term debt | | | | | | |
| In U.S. offices | $ | (41) | | $ | (9) | | $ | (50) | | $ | (181) | | $ | (40) | | $ | (221) | |
In offices outside the U.S.(3) | (1) | | 11 | | 10 | | — | | 24 | | 24 | |
| Total | $ | (42) | | $ | 2 | | $ | (40) | | $ | (181) | | $ | (16) | | $ | (197) | |
| Total interest expense | $ | (42) | | $ | 30 | | $ | (12) | | $ | (85) | | $ | (484) | | $ | (569) | |
| 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)
| | | | | | | | | | | |
| | Nine Months 2021 vs. Nine Months 2020 |
| | Increase (decrease)
due to change in: |
| In millions of dollars | Average
volume | Average
rate | Net
change |
Deposits with banks(3) | $ | 70 | | $ | (454) | | $ | (384) | |
| Securities borrowed and purchased under agreements to resell | | | |
| In U.S. offices | $ | 156 | | $ | (960) | | $ | (804) | |
In offices outside the U.S.(3) | 52 | | (446) | | (394) | |
| Total | $ | 208 | | $ | (1,406) | | $ | (1,198) | |
Trading account assets(4) | | | |
| In U.S. offices | $ | 10 | | $ | (803) | | $ | (793) | |
In offices outside the U.S.(3) | 371 | | (210) | | 161 | |
| Total | $ | 381 | | $ | (1,013) | | $ | (632) | |
Investments(1) | | | |
| In U.S. offices | $ | 595 | | $ | (1,076) | | $ | (481) | |
In offices outside the U.S.(3) | 285 | | (601) | | (316) | |
| Total | $ | 880 | | $ | (1,677) | | $ | (797) | |
Loans (net of unearned income)(5) | | | |
| In U.S. offices | $ | (866) | | $ | (1,623) | | $ | (2,489) | |
In offices outside the U.S.(3) | (204) | | (1,601) | | (1,805) | |
| Total | $ | (1,070) | | $ | (3,224) | | $ | (4,294) | |
Other interest-earning assets(6) | $ | 21 | | $ | (109) | | $ | (88) | |
| Total interest revenue | $ | 490 | | $ | (7,883) | | $ | (7,393) | |
(1)Interest revenue and Net interest revenueincome 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 RevenueIncome(1)(2)(3)
| | | | Nine Months 2021 vs. Nine Months 2020 | | 3Q22 vs. 2Q22 | 3Q22 vs. 3Q21 |
| | | 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 | 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 | $ | 241 | | $ | (1,556) | | $ | (1,315) | | In U.S. offices | $ | 15 | | $ | 1,183 | | $ | 1,198 | | $ | 6 | | $ | 1,462 | | $ | 1,468 | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 131 | | (1,162) | | (1,031) | | In offices outside the U.S.(3) | (14) | | 666 | | 652 | | (30) | | 1,102 | | 1,072 | |
| Total | Total | $ | 372 | | $ | (2,718) | | $ | (2,346) | | Total | $ | 1 | | $ | 1,849 | | $ | 1,850 | | $ | (24) | | $ | 2,564 | | $ | 2,540 | |
| 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 | $ | 25 | | $ | (615) | | $ | (590) | | In U.S. offices | $ | (2) | | $ | 475 | | $ | 473 | | $ | (37) | | $ | 706 | | $ | 669 | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 132 | | (572) | | (440) | | In offices outside the U.S.(3) | (2) | | 125 | | 123 | | — | | 295 | | 295 | |
| Total | Total | $ | 157 | | $ | (1,187) | | $ | (1,030) | | Total | $ | (4) | | $ | 600 | | $ | 596 | | $ | (37) | | $ | 1,001 | | $ | 964 | |
Trading account liabilities(4) | Trading account liabilities(4) | | | Trading account liabilities(4) | | | | | |
| In U.S. offices | In U.S. offices | $ | 54 | | $ | (213) | | $ | (159) | | In U.S. offices | $ | 2 | | $ | 229 | | $ | 231 | | $ | 11 | | $ | 216 | | $ | 227 | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 77 | | (54) | | 23 | | In offices outside the U.S.(3) | — | | 104 | | 104 | | 9 | | 130 | | 139 | |
| Total | Total | $ | 131 | | $ | (267) | | $ | (136) | | Total | $ | 2 | | $ | 333 | | $ | 335 | | $ | 20 | | $ | 346 | | $ | 366 | |
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 | $ | (81) | | $ | (442) | | $ | (523) | | In U.S. offices | $ | 24 | | $ | 413 | | $ | 437 | | $ | (5) | | $ | 678 | | $ | 673 | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 19 | | (38) | | (19) | | In offices outside the U.S.(3) | (9) | | 49 | | 40 | | 34 | | 30 | | 64 | |
| Total | Total | $ | (62) | | $ | (480) | | $ | (542) | | Total | $ | 15 | | $ | 462 | | $ | 477 | | $ | 29 | | $ | 708 | | $ | 737 | |
| Long-term debt | Long-term debt | | | Long-term debt | | | | | |
| In U.S. offices | In U.S. offices | $ | (340) | | $ | (740) | | $ | (1,080) | | In U.S. offices | $ | 7 | | $ | 422 | | $ | 429 | | $ | (76) | | $ | 846 | | $ | 770 | |
In offices outside the U.S.(3) | In offices outside the U.S.(3) | 2 | | 39 | | 41 | | In offices outside the U.S.(3) | (5) | | 8 | | 3 | | (4) | | 24 | | 20 | |
| Total | Total | $ | (338) | | $ | (701) | | $ | (1,039) | | Total | $ | 2 | | $ | 430 | | $ | 432 | | $ | (80) | | $ | 870 | | $ | 790 | |
| Total interest expense | Total interest expense | $ | 260 | | $ | (5,353) | | $ | (5,093) | | Total interest expense | $ | 16 | | $ | 3,674 | | $ | 3,690 | | $ | (92) | | $ | 5,489 | | $ | 5,397 | |
| Net interest revenue | $ | 230 | | $ | (2,530) | | $ | (2,300) | | |
| Net interest income | | Net interest income | $ | 18 | | $ | 583 | | $ | 601 | | $ | 102 | | $ | 1,770 | | $ | 1,872 | |
(1)Interest revenue and Net interest revenueincome 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)
| | | | | | | | | | | |
| | Nine Months 2022 vs. Nine Months 2021 |
| | Increase (decrease)
due to change in: |
| In millions of dollars | Average
volume | Average
rate | Net
change |
Deposits with banks(3) | $ | (83) | | $ | 1,837 | | $ | 1,754 | |
| Securities borrowed and purchased under agreements to resell | | | |
| In U.S. offices | $ | 33 | | $ | 1,547 | | $ | 1,580 | |
In offices outside the U.S.(3) | 61 | | 971 | | 1,032 | |
| Total | $ | 94 | | $ | 2,518 | | $ | 2,612 | |
Trading account assets(4) | | | |
| In U.S. offices | $ | (57) | | $ | 481 | | $ | 424 | |
In offices outside the U.S.(3) | (332) | | 614 | | 282 | |
| Total | $ | (389) | | $ | 1,095 | | $ | 706 | |
Investments(1) | | | |
| In U.S. offices | $ | 373 | | $ | 675 | | $ | 1,048 | |
In offices outside the U.S.(3) | (27) | | 912 | | 885 | |
| Total | $ | 346 | | $ | 1,587 | | $ | 1,933 | |
Consumer loans (net of unearned income)(5) | | | |
| In U.S. offices | $ | 776 | | $ | 941 | | $ | 1,717 | |
In offices outside the U.S.(3) | (1,498) | | 234 | | (1,264) | |
| Total | $ | (722) | | $ | 1,175 | | $ | 453 | |
Corporate loans (net of unearned income)(5) | | | |
| In U.S. offices | $ | 213 | | $ | 496 | | $ | 709 | |
In offices outside the U.S.(3) | (17) | | 1,336 | | 1,319 | |
| Total | $ | 196 | | $ | 1,832 | | $ | 2,028 | |
Total loans(5) | | | |
| In U.S. offices | $ | 989 | | $ | 1,437 | | $ | 2,426 | |
In offices outside the U.S.(3) | (1,515) | | 1,570 | | 55 | |
| Total | $ | (526) | | $ | 3,007 | | $ | 2,481 | |
Other interest-earning assets(6) | $ | 371 | | $ | 1,178 | | $ | 1,549 | |
| Total interest revenue | $ | (187) | | $ | 11,222 | | $ | 11,035 | |
(1)Interest revenue and Net interest income 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 Income(1)(2)(3)
| | | | | | | | | | | |
| | Nine Months 2022 vs. Nine Months 2021 |
| | Increase (decrease)
due to change in: |
| In millions of dollars | Average
volume | Average
rate | Net
change |
| Deposits | | | |
| In U.S. offices | $ | 70 | | $ | 1,628 | | $ | 1,698 | |
In offices outside the U.S.(3) | (121) | | 1,866 | | 1,745 | |
| Total | $ | (51) | | $ | 3,494 | | $ | 3,443 | |
| Securities loaned and sold under agreements to repurchase | | | |
| In U.S. offices | $ | (119) | | $ | 999 | | $ | 880 | |
In offices outside the U.S.(3) | 4 | | 504 | | 508 | |
| Total | $ | (115) | | $ | 1,503 | | $ | 1,388 | |
Trading account liabilities(4) | | | |
| In U.S. offices | $ | 9 | | $ | 226 | | $ | 235 | |
In offices outside the U.S.(3) | 8 | | 143 | | 151 | |
| Total | $ | 17 | | $ | 369 | | $ | 386 | |
Short-term borrowings and other interest bearing liabilities(5) | | | |
| In U.S. offices | $ | (8) | | $ | 928 | | $ | 920 | |
In offices outside the U.S.(3) | 113 | | (35) | | 78 | |
| Total | $ | 105 | | $ | 893 | | $ | 998 | |
| Long-term debt | | | |
| In U.S. offices | $ | (379) | | $ | 1,424 | | $ | 1,045 | |
In offices outside the U.S.(3) | (9) | | 79 | | 70 | |
| Total | $ | (388) | | $ | 1,503 | | $ | 1,115 | |
| Total interest expense | $ | (432) | | $ | 7,762 | | $ | 7,330 | |
| Net interest income | $ | 245 | | $ | 3,460 | | $ | 3,705 | |
(1)Interest revenue and Net interest income 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 September 30, 2021,2022, Citi estimates that the conservative features of the VAR calibration contribute an approximate 31%40% add-on to what would be a VAR estimated under the assumption of stable and perfectly, normally distributed markets. As of June 30, 2021,2022, the add-on was 35%53%.
As set forthpresented in the table below, Citi’s average trading VAR decreasedfor the third quarter of 2022 increased quarter-over-quarter, mainly due to a reductionhigher market volatilities of interest rates in interest rate short hedges as well as a general reduction in interest rate risk, both inthe ICG Markets businesses. Citi’s average trading and credit portfolio VAR increased quarter-over-quarter, largely driven by increased credit hedging activity.
Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
| | | Third Quarter | | Second Quarter | | Third Quarter | | Third Quarter | | Second Quarter | | Third Quarter |
| In millions of dollars | In millions of dollars | September 30, 2021 | 2021 Average | June 30, 2021 | 2021 Average | September 30, 2020 | 2020 Average | In millions of dollars | September 30, 2022 | 2022 Average | June 30, 2022 | 2022 Average | September 30, 2021 | 2021 Average |
| Interest rate | Interest rate | $ | 65 | | $ | 61 | | $ | 62 | | $ | 76 | | $ | 69 | | $ | 82 | | Interest rate | $ | 109 | | $ | 113 | | $ | 122 | | $ | 94 | | $ | 65 | | $ | 61 | |
| Credit spread | Credit spread | 62 | | 73 | | 77 | | 73 | | 67 | | 79 | | Credit spread | 60 | | 80 | | 69 | | 70 | | 62 | | 73 | |
Covariance adjustment(1) | Covariance adjustment(1) | (43) | | (42) | | (35) | | (44) | | (47) | | (55) | | Covariance adjustment(1) | (39) | | (59) | | (45) | | (45) | | (43) | | (42) | |
Fully diversified interest rate and credit spread(2) | Fully diversified interest rate and credit spread(2) | $ | 84 | | $ | 92 | | $ | 104 | | $ | 105 | | $ | 89 | | $ | 106 | | Fully diversified interest rate and credit spread(2) | $ | 130 | | $ | 134 | | $ | 146 | | $ | 119 | | $ | 84 | | $ | 92 | |
| Foreign exchange | Foreign exchange | 42 | | 42 | | 35 | | 42 | | 27 | | 23 | | Foreign exchange | 14 | | 28 | | 35 | | 36 | | 42 | | 42 | |
| Equity | Equity | 36 | | 36 | | 23 | | 31 | | 29 | | 26 | | Equity | 32 | | 26 | | 25 | | 24 | | 36 | | 36 | |
| Commodity | Commodity | 36 | | 36 | | 48 | | 35 | | 21 | | 25 | | Commodity | 36 | | 37 | | 38 | | 45 | | 36 | | 36 | |
Covariance adjustment(1) | Covariance adjustment(1) | (103) | | (105) | | (107) | | (104) | | (77) | | (76) | | Covariance adjustment(1) | (92) | | (94) | | (96) | | (106) | | (103) | | (105) | |
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) | $ | 95 | | $ | 101 | | $ | 103 | | $ | 109 | | $ | 89 | | $ | 104 | | Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2) | $ | 120 | | $ | 131 | | $ | 148 | | $ | 118 | | $ | 95 | | $ | 101 | |
Specific risk-only component(3) | Specific risk-only component(3) | $ | (2) | | $ | 3 | | $ | (4) | | $ | (3) | | $ | (2) | | $ | (10) | | Specific risk-only component(3) | $ | (2) | | $ | — | | $ | 4 | | $ | (2) | | $ | (2) | | $ | 3 | |
| Total trading VAR—general market risk factors only (excluding credit portfolios) | Total trading VAR—general market risk factors only (excluding credit portfolios) | $ | 97 | | $ | 98 | | $ | 107 | | $ | 112 | | $ | 91 | | $ | 114 | | Total trading VAR—general market risk factors only (excluding credit portfolios) | $ | 122 | | $ | 131 | | $ | 144 | | $ | 120 | | $ | 97 | | $ | 98 | |
Incremental impact of the credit portfolio(4) | Incremental impact of the credit portfolio(4) | $ | 33 | | $ | 38 | | $ | 27 | | $ | 25 | | $ | 35 | | $ | 26 | | Incremental impact of the credit portfolio(4) | $ | 23 | | $ | 28 | | $ | 7 | | $ | 17 | | $ | 33 | | $ | 38 | |
| Total trading and credit portfolio VAR | Total trading and credit portfolio VAR | $ | 128 | | $ | 139 | | $ | 130 | | $ | 134 | | $ | 124 | | $ | 130 | | Total trading and credit portfolio VAR | $ | 143 | | $ | 159 | | $ | 155 | | $ | 135 | | $ | 128 | | $ | 139 | |
(1) Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each risk type. The benefit reflects the fact that the risks within individual and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes.
(2) The total trading VAR includes mark-to-market and certain fair value option trading positions in ICG, with the exception of hedges to the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.
(3) The specific risk-only component represents the level of equity and fixed income issuer-specific risk embedded in VAR.
(4) The credit portfolio is composed of mark-to-market positions associated with non-trading business units, including Citi Treasury, the CVA relating to derivative counterparties and all associated CVA hedges. FVA and DVA are not included. The credit portfolio also includes hedges to the loan portfolio, fair value option loans and hedges to the leveraged finance pipeline within capital markets origination in ICG.
The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:
| | | | Third Quarter | Second Quarter | Third Quarter | | Third Quarter | Second Quarter | Third Quarter |
| | 2021 | 2021 | 2020 | | 2022 | 2022 | 2021 |
| 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 | $ | 51 | | $ | 76 | | $ | 57 | | $ | 96 | | $ | 61 | | $ | 111 | | Interest rate | $ | 91 | | $ | 137 | | $ | 79 | | $ | 123 | | $ | 51 | | $ | 76 | |
| Credit spread | Credit spread | 62 | | 96 | | 65 | | 86 | | 67 | | 95 | | Credit spread | 60 | | 99 | | 65 | | 78 | | 62 | | 96 | |
| | Fully diversified interest rate and credit spread | Fully diversified interest rate and credit spread | $ | 77 | | $ | 115 | | $ | 90 | | $ | 123 | | $ | 83 | | $ | 128 | | Fully diversified interest rate and credit spread | $ | 118 | | $ | 151 | | $ | 105 | | $ | 147 | | $ | 77 | | $ | 115 | |
| Foreign exchange | Foreign exchange | 38 | | 46 | | 34 | | 48 | | 15 | | 31 | | Foreign exchange | 13 | | 43 | | 32 | | 40 | | 38 | | 46 | |
| Equity | Equity | 24 | | 50 | | 23 | | 43 | | 22 | | 33 | | Equity | 21 | | 33 | | 17 | | 40 | | 24 | | 50 | |
| Commodity | Commodity | 27 | | 55 | | 26 | | 50 | | 21 | | 32 | | Commodity | 33 | | 41 | | 33 | | 65 | | 27 | | 55 | |
| | Total trading | Total trading | $ | 86 | | $ | 120 | | $ | 90 | | $ | 130 | | $ | 87 | | $ | 128 | | Total trading | $ | 113 | | $ | 149 | | $ | 102 | | $ | 148 | | $ | 86 | | $ | 120 | |
| Total trading and credit portfolio | Total trading and credit portfolio | 114 | | 166 | | 116 | | 159 | | 113 | | 150 | | Total trading and credit portfolio | 134 | | 173 | | 119 | | 155 | | 114 | | 166 | |
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 | September 30, 20212022 |
Total—all market risk factors, including
general and specific risk | |
| Average—during quarter | $ | 102130 | |
| High—during quarter | 121154 | |
| Low—during quarter | 87110 | |
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 September 30, 2021,2022, there were notwo back-testing exceptions observed for Citi’s Regulatory VAR forin the priorlast 12 months.
OTHER RISKS
For additional information regarding other risks, including Citi’s management of other risks, see “Managing Global Risk—Other Risks” in Citi’s 2021 Form 10-K.
LIBOR Transition Risk
The Adjustable Interest Rate (LIBOR) Act (the LIBOR Act), enacted earlier this year, provides for the use of a statutory replacement for the overnight, one-month, three-month, six month and 12-month tenors of USD LIBOR in all contracts governed by U.S. law that lack adequate fallback provisions. On July 28, 2022, the Federal Reserve Board published in the Federal Register its proposed rulemaking that would implement the LIBOR Act. The proposal contains the Federal Reserve Board’s recommendation of benchmark replacements for various product types. As required by the LIBOR Act, each proposed replacement rate is based on the Secured Overnight Financing Rate (SOFR).
Citi continues to review the effect of the LIBOR Act and the Federal Reserve Board’s proposal and monitor its ongoing rulemaking process, which is expected to facilitate the transition to replacement rates for Citi’s USD LIBOR-linked securities, loans and contracts without fallbacks or fallbacks based on USD LIBOR that are governed by U.S. law and yet to be remediated.
For additional information about Citi’s actions to address a transition away from and discontinuance of LIBOR, see “Managing Global Risk—Other Risks—LIBOR Transition Risk” in Citi’s 2021 Form 10-K. For information about Citi’s LIBOR transition risks, see “Risk Factors—Other Risks” in the 2021 Form 10-K.
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 September 30, 2021.2022. (Including the U.S,U.S., the total exposure as of September 30, 20212022 to the top 25 countries would represent approximately 96%97% of Citi’s exposure to all countries.)
For purposes of the table, loan amounts are reflected in the country where the loan is booked, which is generally based on the domicile of the borrower. For example, a loan to a
Chinese subsidiary of a Switzerland-based corporation will generally be categorized as a loan in China. In addition, Citi has developed regional booking centers in certain countries,
most significantly in the United Kingdom (U.K.) and Ireland, in order to more efficiently serve its corporate customers. As an example, with respect to the U.K., only 32%38% of corporate loans presented in the table below are to U.K. domiciled entities (32%(40% for unfunded commitments), with the balance of the loans predominately to European domiciled counterparties. Approximately 84%88% of the total U.K. funded loans and 84%89% of the total U.K. unfunded commitments were investment grade as of September 30, 2021.2022.
Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.
| | In billions of dollars | In billions of dollars | ICG loans(1) | GCB loans | Other funded(2) | Unfunded(3) | Net MTM on derivatives/repos(4) | Total hedges (on loans and CVA) | Investment securities(5) | Trading account assets(6) | Total
as of
3Q21 | Total
as of
2Q21 | Total
as of
3Q20 | Total as a % of Citi as of 3Q21 | In billions of dollars | ICG
loans | PBWM loans(1) | Legacy Franchises loans | Loans transferred to HFS(7) | 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
3Q22 | Total
as of
2Q22 | Total
as of
3Q21 | Total
as a %
of Citi
as of
3Q22 |
| United Kingdom | 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 | % | United Kingdom | $ | 33.9 | | $ | 5.3 | | $ | — | | $ | — | | $ | 2.6 | | $ | 38.1 | | $ | 16.0 | | $ | (5.3) | | $ | 3.2 | | $ | (0.8) | | $ | 93.0 | | $ | 95.3 | | $ | 111.6 | | 5.3 | % |
| Mexico | 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 | | Mexico | 7.7 | | 0.1 | | 20.7 | | | 0.3 | | 7.9 | | 1.5 | | (1.6) | | 17.4 | | 2.3 | | 56.3 | | 57.3 | | 60.0 | | 3.2 | |
| Ireland | | Ireland | 14.9 | | — | | — | | — | | 3.9 | | 30.5 | | 0.5 | | (0.2) | | — | | 0.7 | | 50.3 | | 50.4 | | 45.3 | | 2.8 | |
| Hong Kong | 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 | | Hong Kong | 10.8 | | 20.1 | | — | | — | | 0.5 | | 7.0 | | 2.1 | | (1.7) | | 10.3 | | 1.1 | | 50.2 | | 49.1 | | 52.8 | | 2.8 | |
| 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 | | Singapore | 8.8 | | 18.5 | | — | | — | | 0.3 | | 5.8 | | 1.1 | | (0.7) | | 8.8 | | 1.9 | | 44.5 | | 47.6 | | 46.0 | | 2.5 | |
| Ireland | 14.7 | | — | | 1.4 | | 28.4 | | 0.6 | | (0.2) | | — | | 0.4 | | 45.3 | | 43.8 | | 41.2 | | 2.5 | | |
| Brazil | | Brazil | 11.6 | | — | | — | | — | | 0.1 | | 3.3 | | 6.5 | | (0.9) | | 5.7 | | 3.5 | | 29.8 | | 28.5 | | 24.4 | | 1.7 | |
| India | | India | 7.1 | | — | | — | | 3.4 | | 0.7 | | 4.7 | | 1.1 | | (1.0) | | 8.6 | | 1.0 | | 25.6 | | 27.7 | | 30.3 | | 1.4 | |
| South Korea | 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 | | South Korea | 3.6 | | — | | 8.4 | | — | | 0.2 | | 1.5 | | 1.4 | | (0.8) | | 8.2 | | 0.3 | | 22.8 | | 25.5 | | 34.2 | | 1.3 | |
| 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 | 10.5 | | — | | — | | 2.9 | | 5.6 | | (0.7) | | 5.1 | | 1.0 | | 24.4 | | 26.1 | | 25.1 | | 1.4 | | |
| Germany | | Germany | 0.4 | | — | | — | | — | | 0.2 | | 5.9 | | 7.0 | | (3.7) | | 7.6 | | 3.0 | | 20.4 | | 21.9 | | 14.4 | | 1.2 | |
| China | 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 | | China | 5.8 | | — | | 3.0 | | — | | 0.8 | | 1.7 | | 1.5 | | (1.0) | | 6.5 | | 0.8 | | 19.1 | | 18.8 | | 20.2 | | 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 | | Japan | 1.6 | | — | | — | | — | | — | | 3.7 | | 5.5 | | (2.7) | | 4.2 | | 5.6 | | 17.9 | | 12.1 | | 19.3 | | 1.0 | |
Australia(7) | 4.6 | | — | | — | | 9.0 | | 1.7 | | (0.5) | | 1.3 | | 1.6 | | 17.7 | | 24.9 | | 21.2 | | 1.0 | | |
| Jersey | | Jersey | 2.5 | | 3.5 | | — | | — | | — | | 10.1 | | 0.2 | | (0.2) | | — | | — | | 16.1 | | 16.8 | | 14.9 | | 0.9 | |
| United Arab Emirates | | United Arab Emirates | 7.3 | | 1.5 | | — | | — | | 0.7 | | 4.0 | | 0.3 | | (0.4) | | 2.4 | | — | | 15.8 | | 15.9 | | 16.6 | | 0.9 | |
| Canada | | Canada | 1.6 | | 1.5 | | — | | — | | 0.1 | | 6.3 | | 1.9 | | (1.7) | | 3.6 | | 2.5 | | 15.8 | | 16.1 | | 16.9 | | 0.9 | |
Australia(8) | | Australia(8) | 6.9 | | 0.4 | | — | | — | | — | | 4.9 | | 1.8 | | (0.9) | | 0.8 | | 0.6 | | 14.5 | | 15.2 | | 17.7 | | 0.8 | |
| 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 | | Taiwan | 4.6 | | — | | — | | 7.5 | | 0.1 | | 1.1 | | 0.9 | | (0.1) | | 0.1 | | 0.2 | | 14.4 | | 14.9 | | 17.0 | | 0.8 | |
| 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 | 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 | 7.0 | | — | | 0.2 | | 7.8 | | 0.1 | | (0.2) | | — | | — | | 14.9 | | 15.0 | | 13.3 | | 0.8 | | |
| Germany | 0.2 | | — | | 0.1 | | 6.0 | | 4.5 | | (3.6) | | 6.8 | | 0.4 | | 14.4 | | 19.4 | | 27.1 | | 0.8 | | |
| Poland | Poland | 3.1 | | 1.8 | | — | | 2.7 | | 0.2 | | (0.1) | | 3.4 | | 0.1 | | 11.2 | | 11.5 | | 15.1 | | 0.6 | | Poland | 2.8 | | — | | 1.3 | | | — | | 2.2 | | 1.4 | | (0.1) | | 4.8 | | 0.1 | | 12.5 | | 13.3 | | 11.2 | | 0.7 | |
| Malaysia | Malaysia | 1.4 | | 3.3 | | 0.2 | | 0.9 | | 0.2 | | — | | 2.1 | | 0.1 | | 8.2 | | 8.3 | | 8.4 | | 0.5 | | Malaysia | 1.3 | | — | | — | | 2.8 | | 0.1 | | 0.8 | | 0.2 | | (0.1) | | 3.0 | | (0.1) | | 8.0 | | 8.1 | | 8.2 | | 0.5 | |
| Thailand | Thailand | 1.0 | | 2.5 | | — | | 2.1 | | 0.1 | | — | | 2.0 | | 0.3 | | 8.0 | | 7.5 | | 7.9 | | 0.4 | | Thailand | 1.2 | | — | | — | | 2.4 | | — | | 1.8 | | 0.1 | | — | | 1.9 | | — | | 7.4 | | 7.6 | | 8.0 | | 0.4 | |
| Indonesia | Indonesia | 2.2 | | 0.6 | | — | | 1.3 | | 0.1 | | (0.1) | | 1.5 | | 0.2 | | 5.8 | | 6.0 | | 6.0 | | 0.3 | | Indonesia | 1.9 | | — | | — | | 0.5 | | — | | 1.2 | | 1.0 | | (0.1) | | 1.0 | | 0.1 | | 5.6 | | 5.5 | | 5.8 | | 0.3 | |
| Russia | 2.3 | | 0.7 | | — | | 0.8 | | 0.1 | | (0.1) | | 1.6 | | 0.1 | | 5.5 | | 5.4 | | 4.6 | | 0.3 | | |
Philippines(9) | | Philippines(9) | 0.7 | | — | | — | | — | | 0.1 | | 0.2 | | 2.7 | | — | | 1.6 | | — | | 5.3 | | 5.3 | | 4.0 | | 0.3 | |
Russia(10) | | Russia(10) | 0.9 | | — | | 0.7 | | — | | — | | 0.2 | | 1.4 | | (0.1) | | 1.4 | | 0.1 | | 4.6 | | 5.5 | | 5.5 | | 0.3 | |
| Luxembourg | Luxembourg | 1.0 | | — | | — | | — | | 0.3 | | (0.8) | | 4.8 | | — | | 5.3 | | 5.9 | | 6.7 | | 0.3 | | Luxembourg | — | | 0.9 | | — | | — | | — | | — | | 0.4 | | (0.4) | | 3.5 | | — | | 4.4 | | 4.2 | | 5.3 | | 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 | | — | | 0.1 | | 0.6 | | 0.3 | | (0.1) | | 1.6 | | (0.2) | | 3.8 | | 3.7 | | 3.5 | | 0.2 | | South Africa | 1.4 | | — | | — | | — | | — | | 0.5 | | 0.2 | | (0.2) | | 2.3 | | 0.1 | | 4.3 | | 3.4 | | 3.8 | | 0.2 | |
| Czech Republic | 0.8 | — | | — | | 0.7 | 1.4 | — | | 0.5 | 0.1 | 3.5 | 3.6 | 3.8 | 0.2 | | |
| Italy | | Italy | 0.3 | | — | | — | | — | | — | | 1.5 | | 1.1 | | (1.9) | | — | | 2.9 | | 3.9 | | 2.7 | | 2.0 | | 0.2 | |
| Total as a % of Citi’s total exposure | Total as a % of Citi’s total exposure | | 33.4 | % | Total as a % of Citi’s total exposure | | 31.8 | % |
| Total as a % of Citi’s non-U.S. total exposure | Total as a % of Citi’s non-U.S. total exposure | | 90.7 | % | Total as a % of Citi’s non-U.S. total exposure | | 91.4 | % |
(1) ICGPBWM loans reflect funded corporate loans, and privateincluding those related to the Private bank, loans, net of unearned income. As of September 30, 2021, private2022, Private bank loans in the table above totaled $32.4$21.3 billion, concentrated in Hong KongSingapore ($9.25.4 billion), the U.K. ($8.65.1 billion) and SingaporeHong Kong ($7.54.9 billion).
(2) Other funded includes other direct exposures such as accounts receivable loans HFS, other loans in Corporate/Otherand 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 (MTM) counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. IncludesAlso 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 excludes2022 and June 30, 2022 include GCBLegacy Franchises loans reclassified to held-for-saleHFS as a result of Citi’s agreement to sell its consumer banking business in Australia.each applicable country. For additional information, see “Asia GCBLegacy Franchises” above and Note 2 to the Consolidated Financial Statements.2.
(9) June 30, 2022 includes Legacy Franchises loans reclassified to HFS as a result of Citi’s agreement to sell its consumer banking business in the Philippines, which closed on August 1, 2022. For additional information, see “Legacy Franchises” above and Note 2.
(10) September 30, 2022 includes approximately $250 million of Russian government securities pledged as collateral to clearing houses. Given the geopolitical uncertainty in Russia, it is no longer possible to conclude, with a well-founded basis, the collectability of such pledged collateral in the Russian legal system in the event of a clearing house default.
Russia
Introduction
In Russia, Citi has operated through both its ICG and Legacy Franchises segments. Citi continues to monitor the war in Ukraine, related sanctions and economic conditions and continues to mitigate its Russia exposures and risks as appropriate.
As previously disclosed, Citi intends to wind down nearly all of its consumer, local commercial and institutional banking businesses in the country. As a result, Citi has ceased soliciting any new business or new clients in Russia. Citi will continue to manage its existing legal and regulatory commitments and obligations, as well as support its
employees, during this period. For additional information, see “Citi’s Wind-Down of Its Russia Businesses” below.
For additional information about Citi’s risks related to its Russia exposures, see “Forward-Looking Statements” below and “Risk Factors—Market-Related Risk,” “—Operational Risks” and “—Other Risks” in Citi’s 2021 Form 10-K.
Impact of Russia’s Invasion of Ukraine on Citi’s Businesses
Russia-related Balance Sheet Exposures
Citi’s domestic operations in Russia are conducted through a subsidiary of Citibank, AO Citibank, which uses the Russian ruble as its functional currency.
The following table summarizes Citi’s exposures related to its Russia operations:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| In billions of U.S. dollars | September 30, 2022 | June 30, 2022 | December 31, 2021 | Change 3Q22 vs. 2Q22 | | | | | |
| Loans | $ | 1.6 | | $ | 2.5 | | $ | 2.9 | | $ | (0.9) | | | | | | |
Investment securities(1) | 1.4 | | 1.5 | | 1.5 | | (0.1) | | | | | | |
Net MTM on derivatives/repos(2) | 1.4 | | 1.3 | | 0.4 | | 0.1 | | | | | | |
| Total hedges (on loans and CVA) | (0.1) | | (0.2) | | (0.1) | | 0.1 | | | | | | |
Unfunded(3) | 0.2 | | 0.3 | | 0.7 | | (0.1) | | | | | | |
| Trading accounts assets | 0.1 | | 0.1 | | — | | — | | | | | | |
Country risk exposure (included in Top 25 Country Exposures) | $ | 4.6 | | $ | 5.5 | | $ | 5.4 | | $ | (0.9) | | | | | | |
Cash on deposit and placements(4) | 3.0 | | 2.5 | | 1.0 | | 0.5 | | | | | | |
Reverse repurchase agreements(2) | — | | — | | 1.8 | | — | | | | | | |
Total third-party exposure(5) | $ | 7.6 | | $ | 8.0 | | $ | 8.2 | | $ | (0.4) | | | | | | |
Additional exposures to Russian counterparties that are not held by the Russian subsidiary | 0.3 | | 0.4 | | 1.6 | | (0.1) | | | | | | |
Total Russia exposure(6) | $ | 7.9 | | $ | 8.4 | | $ | 9.8 | | $ | (0.5) | | | | | | |
(1) Investment securities include debt securities available-for-sale (AFS), recorded at fair market value, primarily local government debt securities. There were no impairment losses recognized during the second and third quarters of 2022.
(2) Net mark-to-market (MTM) on OTC derivatives and securities lending/borrowing transactions (repos). Effective from 2Q22, reverse repurchase agreements have been shown gross of collateral and reclassified to net MTM on derivatives/repos in the table above, as netting of collateral for Russia-related reverse repurchase agreements was removed. This removal was due to the inability to conclude, with a well-founded basis, the enforceability of contractual rights in the Russian legal system in the event of a counterparty default, given the geopolitical uncertainty caused by the war in Ukraine. As this exposure was already included in Total third-party exposure, the Total Russia exposure was not impacted by this reclassification.
(3) Unfunded exposure consists of unfunded corporate lending commitments, letters of credit and other contingencies.
(4) Cash on deposit and placements are primarily with the Central Bank of Russia and have increased primarily due to borrower paydowns as risk mitigation activities have reduced AO Citibank’s loan portfolio.
(5) The majority of AO Citibank’s third-party exposures was funded with domestic deposit liabilities from both corporate and personal banking clients.
(6) Citigroup’s currency translation adjustment (CTA) loss included in its Accumulated other comprehensive income (AOCI) related to its indirect subsidiary, AO Citibank, is excluded from the above table, because the CTA loss is not held in AO Citibank and would be recognized in Citigroup’s earnings upon either the substantial liquidation or a loss of control of AO Citibank. Citi has separately described these risks in “Deconsolidation Risk” below.
During the third quarter of 2022, Citi continued to reduce its operations in Russia and Russia-related exposures, resulting in a net decrease in Total Russia exposure of $0.5 billion, shown in the table above, as well as a change in composition of exposure as mitigation efforts have reduced Citi’s third-party credit risk. Depreciation of the ruble against the U.S. dollar resulted in a decrease in exposure of $0.7 billion, partially offset by a $0.2 billion increase in exposure in local currency terms, driven by earnings plus ongoing portfolio reductions, net proceeds of which are deposited with the Central Bank of Russia.
Citi’s continued risk mitigation efforts include ICG borrower paydowns and limiting extensions of new credit. ICG’s credit exposure also reflected a shift to a higher proportion of stronger credit names, including a higher proportion of subsidiaries of multinational companies that are headquartered outside of Russia, primarily in the U.S. and Europe. The decline in overall exposure was also driven by a reduction in exposures to Russian counterparties not held by AO Citibank.
Citi’s net investment in Russia was approximately $1.3 billion as of September 30, 2022 (compared to $1.2 billion as of June 30, 2022). The increase was primarily driven by earnings generated by AO Citibank during the quarter, partially offset by depreciation of the ruble against the U.S. dollar. A portion of Citi’s net investment was hedged for foreign currency depreciation as of September 30, 2022, using forward foreign exchange contracts executed with international peer banks. Going forward, Citi may record devaluations on its net ruble-denominated assets in earnings, without the benefit from a change in the fair value of derivative positions used to economically hedge the exposures. In the event of a loss of control of AO Citibank, Citi would be required to write off its net investment of approximately $1.3 billion (compared to $1.2 billion as of June 30, 2022), recognize a pretax CTA loss of approximately $1.0 billion through earnings (compared to $0.9 billion as of June 30, 2022), and recognize a loss of $0.3 billion (compared to $0.4 billion as of June 30, 2022) on intercompany liabilities owed by AO Citibank to other Citi entities outside Russia (see “Deconsolidation Risk” below).
3Q22 Earnings and Other Impacts on Citi’s Businesses
Citi’s ICG, PBWM and Legacy Franchises segments and Corporate/Other were impacted by various macroeconomic factors and volatilities, including Russia’s invasion of Ukraine and its direct and indirect impact on the European and global economy. For a broader discussion of these factors and volatilities on Citi’s businesses, see “Executive Summary” and each business’s results of operations above.
As of September 30, 2022, Citigroup’s ACL included a $1.2 billion remaining credit reserve for Citi’s direct and indirect Russian exposure (down from $1.6 billion at June 30, 2022), consisting of approximately $0.5 billion (compared to $0.8 billion at June 30, 2022) related to Citi’s direct exposures to Russian counterparties and approximately $0.7 billion (compared to $0.8 billion at June 30, 2022) related to the impact of the war in Ukraine on the broader global macroeconomic environment.
Citi’s Wind-Down of Its Russia Operations
In August 2022, Citi disclosed its decision to wind down its Russia consumer and local commercial banking businesses, including actively pursuing portfolio sales. In connection with the wind-down plan, Citi expects to incur approximately $170 million in costs (excluding the impact from any portfolio sales), primarily over the next 18 months, largely driven by restructuring, vendor termination fees and other related charges.
On October 28, 2022, Citi entered into an agreement to sell a portfolio of ruble-denominated personal installment loans, totaling approximately $345 million in outstanding loan balances as of the third quarter of 2022, to Uralsib, a Russian commercial bank. Citi expects to incur a loss of approximately $35 million as a result of the sale, which is expected to close in the fourth quarter of 2022. In connection with the portfolio sale, Citi also entered into a referral agreement to transfer to Uralsib a portfolio of ruble-denominated credit card loans, subject to customer consents. The outstanding card loans balance was approximately $320 million as of the third quarter of 2022. Citi will refer credit card customers, who at the customers’ sole discretion will be eligible to refinance their outstanding card loan balances with Uralsib.
Moreover, Citi will be ending nearly all of the institutional banking services it offers in Russia by the end of the first quarter of 2023. Going forward, Citi’s only operations in Russia will be those necessary to fulfill its remaining legal and regulatory obligations. At this time, Citi expects to incur estimated costs of approximately $100 million in connection with this action. The wind-down of the institutional banking business could accelerate the substantial liquidation of AO Citibank, and therefore impact the timing of the release of the related CTA loss into earnings.
Deconsolidation Risk
Citi’s operations in Russia subject it to various risks, including, among others, foreign currency volatility, including appreciations or devaluations; business restrictions; sanctions or asset freezes; or other deconsolidation events (for additional information, see “Risk Factors—Other Risks” in Citi’s 2021 Form 10-K). Examples of triggers that may result in deconsolidation of AO Citibank include voluntary or forced sale of ownership or loss of control due to actions of relevant governmental authorities, including expropriation (i.e., the entity becomes subject to the complete control of a government, court, administrator, trustee or regulator); revocation of banking license; and loss of ability to elect a board of directors or appoint members of senior management. As of September 30, 2022, Citi continued to consolidate AO Citibank because none of the deconsolidation factors were triggered.
As discussed above, in the event of a loss of control of AO Citibank, Citi would be required to write off its net investment of approximately $1.3 billion (compared to $1.2 billion as of June 30, 2022), recognize a CTA loss of approximately $1.0 billion through earnings (compared to $0.9 billion as of June 30, 2022), and recognize a loss of $0.3 billion (compared to $0.4 billion as of June 30, 2022) on intercompany liabilities owed by AO Citibank to other Citi entities outside Russia. In the sole event of a substantial
liquidation, as opposed to a loss of control, Citi would be required to recognize the CTA loss of approximately $1.0 billion through earnings and would evaluate its remaining net investment as circumstances evolve.
Citi as Paying Agent for Russian-related Clients
Citi serves or served as paying agent on bonds issued by various entities in Russia, including Russian corporate clients. Citi’s role as paying agent is administrative. In its role as paying agent, Citi acts as an agent of its client, the bond issuer, receiving interest and principal payments from the bond issuer and then making payments to international central securities depositories (e.g., Depository Trust Company, Euroclear, Clearstream). The international central securities depositories (ICSDs) make payments to those participants or account holders (e.g., broker/dealers) that have clients who are investors in the applicable bonds (i.e., bondholders). As a paying agent, Citi generally does not have information about the identity of the bondholders. Citi may be exposed to risks due to its responsibilities for receiving and processing payments on behalf of its clients as a result of sanctions or other governmental requirements and prohibitions. To mitigate operational and sanctions risks, Citi has established policies, procedures and controls for client relationships and payment processing to help ensure compliance with U.S., U.K., EU and other jurisdictions’ sanctions laws.
These processes may require Citi to delay or withhold the processing of payments as a result of sanctions on the bond issuer. Citi is also prevented from making payments to accounts on behalf of bondholders should the ICSDs disclose to Citi the presence of sanctioned bondholders. In both instances, Citi is generally required to segregate, restrict or block the funds until applicable sanctions are lifted or the payment is otherwise authorized under applicable law.
Reputational Risks
Citi has continued its efforts to enhance and protect its reputation with its colleagues, clients, customers, investors, regulators and the public. Citi’s response to the war in Ukraine, including any action or inaction, may have a negative impact on Citi’s reputation with some or all of these parties.
For example, Citi is exposed to reputational risk as a result of its current presence in Russia and association with Russian individuals or entities, whether subject to sanctions or not, including Citi’s inability to support its global clients in Russia, which could adversely affect its broader client relationships and businesses; current involvement in transactions or supporting activities involving Russian assets or interests; failure to correctly interpret and apply laws and regulations, including those related to sanctions; perceived misalignment of Citi’s actions to its stated strategy in Russia; and the reputational impact from Citi’s activity and engagement with Ukraine or with non-Russian clients exiting their Russia businesses. Citi has considered the potential for reputation risk and taken actions to mitigate such risks. Citi established a Russia Special Review Process with management’s Reputation Risk Committee with oversight for significant Russia-related reputation risks and completed a number of reputation risk reviews of matters with a Russian nexus.
While Citi announced its intention to wind down its businesses in Russia, Citi will continue to manage those operations during the wind-down process and will be required to maintain certain limited operations to fulfill its remaining legal and regulatory obligations. Also, sanctions and sanctions compliance are highly complex and may change over time and result in increased operational risk. Failure to fully comply with relevant sanctions or the application of sanctions where they should not be applied may negatively impact Citi’s reputation. In addition, Citi currently performs services for, conducts business with or deals in non-sanctioned Russian-owned businesses and Russian assets. This has attracted, and will likely continue to attract, negative attention, despite the previously disclosed plan to wind down nearly all its activities in the country, cessation of new business and client originations, and reduction of other exposures.
Citi’s continued presence or divestiture of businesses in Russia could also increase its susceptibility to cyberattacks that could negatively impact its relationships with clients and customers, harm its reputation, increase its compliance costs and adversely affect its business operations and results of operations. For additional information on operational and cyber risks, see “Risk Factors—Operational Risk” in Citi’s 2021 Form 10-K.
Board’s Role in Overseeing Related Risks
The Citi Board of Directors (Board) and the Board’s Risk Management Committee (RMC) and its other Committees have received and continue to receive regular reports from senior management regarding the war in Ukraine and its impact on Citi’s operations in Russia, Ukraine and elsewhere, as well as the war’s broader geopolitical, macroeconomic and reputational impacts. In addition to receiving regular briefings from management, the full Board has routinely been invited to attend portions of the RMC meetings for discussions related to the war in Ukraine, including with respect to Citi’s risk exposures and stress testing. The reports to the Board and its Committees from senior management who represent the impacted businesses and the EMEA region, Independent Risk Management, Finance, Independent Compliance Risk Management, including those individuals responsible for sanctions compliance, and Human Resources, have included detailed information regarding financial impacts, impacts on capital, cybersecurity, strategic considerations, sanctions compliance, employee assistance and reputational risks, enabling the Board and its Committees to properly exercise their oversight responsibilities. In addition, senior management has also provided updates to Citi’s Executive Management Team and the Board, outside of formal meetings, regarding Citi’s Russia-related risks, including with respect to cybersecurity matters.
Ukraine
Citi has continued to operate in Ukraine throughout the war through its ICG businesses, serving the local subsidiaries of multinationals, along with local financial institutions and the public sector. Citi employs approximately 230 people in Ukraine and their safety is Citi’s top priority.
All of Citi’s domestic operations in Ukraine are conducted through a subsidiary of Citibank, which uses the Ukrainian hryvnia as its functional currency. Citi’s exposures in Ukraine are not significant enough to be included in the “Top 25 Country Exposures” table above. As of September 30, 2022, these exposures amounted to $1.0 billion, unchanged from June 30, 2022, and were exclusively composed of third-party assets held on the Citi Ukraine subsidiary.
Argentina
Citi operates in Argentina through its ICG businesses. As of September 30, 2021,2022, Citi’s net investment in its Argentine operations was approximately $1.3$1.7 billion. Citi uses the U.S. dollar as the functional currency for its operations in countries that are deemed 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, 2021,2022, the official Argentine peso exchange rate against the U.S. dollar was 98.74.147.34.
As previously disclosed, the Central Bank of Argentina has continued to maintain certain capital and currency controls that restrict Citi’s ability to access U.S. dollars in Argentina and remit earnings from its Argentine operations. As a result, Citi’s net investment in its Argentine operations is likely to continue to increase as Citi generates net income in its Argentine franchise and its earnings cannot 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. However, if Argentina’s official exchange rate converges with the approximate rate implied by the indirect foreign exchange mechanisms, Citi could incur a loss on its capital in Argentina. 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 September 30, 2021,2022, the international NDF market had very limited liquidity, resulting in Citi being unable to economically hedge nearly all of its Argentine peso exposure. As a result,Accordingly, and to the extent that Citi does not execute NDF contracts for this unhedged exposure in the future, Citi would record devaluations on its net Argentine peso‐denominated assets in earnings, without any benefit from a change in the fair value
of derivative positions used to economically hedge the exposure.
Citi continually evaluates its economic exposure to its Argentine counterparties and reserves for changes in credit risk and sovereign riskrecords mark-to-market adjustments for relevant market risks associated with its Argentine assets. Citi believes it has established appropriate allowances for credit lossesACL on its Argentine loans, and appropriate fair value adjustments on Argentine assets and liabilities measured at fair value, for suchcredit and sovereign risks under U.S. GAAP as of September 30, 2021.2022. However, U.S. regulatory agencies may require Citi to record additional reserves in the future, increasing ICG’s cost of credit, based on the perceived country risk associated with its Argentine exposures. For additional information on emerging markets risks, see “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on2021 Form 10-K.
SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES
This section contains a summary of Citi’s most significant accounting policies. Note 1 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report onCiti’s 2021 Form 10-K contains a summary of all of Citigroup’s significant accounting policies. These policies, as well as estimates made by management, are integral to the presentation of Citi’s results of operations and financial condition. While all of these policies require a certain level of management judgment and estimates, this section highlights and discusses the significant accounting policies that require management to make highly difficult, complex or subjective judgments and estimates at times regarding matters that are inherently uncertain and susceptible to change (see also “Risk Factors—Operational Risks” in Citigroup’s 2020 Annual Report onCiti’s 2021 Form 10-K). Management has discussed each of these significant accounting policies, the related estimates and its judgments with the Audit Committee of the Citigroup Board of Directors.
Valuations of Financial Instruments
Citigroup holds debt and equity securities, derivatives, retained interests in securitizations, investments in private equity and other financial instruments. A substantial portion of these assets and liabilities is reflected at fair value on Citi’s Consolidated Balance Sheet as Trading account assets, Available-for-sale securities and Trading account liabilities.
Citi purchases securities under agreements to resell (reverse repos or resale agreements) and sells securities under agreements to repurchase (repos), a substantial portion of which is carried at fair value. In addition, certain loans, short-term borrowings, long-term debt and deposits, as well as certain securities borrowed and loaned positions that are collateralized with cash, are carried at fair value. Citigroup holds its investments, trading assets and liabilities, and resale and repurchase agreements on Citi’s Consolidated Balance Sheet to meet customer needs and to manage liquidity needs, interest rate risks and private equity investing.
When available, Citi generally uses quoted market prices to determine fair value and classifies such items within Level 1 of the fair value hierarchy established under ASC 820-10, Fair Value Measurement. If quoted market prices are not available, fair value is based upon internally developed valuation models that use, where possible, current market-based or independently sourced market parameters, such as interest rates, currency rates and option volatilities. Such models are often based on a discounted cash flow analysis. In addition, items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified under the fair value hierarchy as Level 3 even though there may be some significant inputs that are readily observable.
Citi is required to exercise subjective judgments relating to the applicability and functionality of internal valuation models, the significance of inputs or value drivers to the valuation of an instrument and the degree of illiquidity and subsequent lack of observability in certain markets. The fair value of these instruments is reported on Citi’s Consolidated
Balance Sheet with the changes in fair value 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 prior to recovery, 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, theany portion of the loss relatedthat is attributable 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.AOCI. Such losses are capped at the difference between the fair value and amortized cost of the security.
For equity securities carried at cost or under the measurement alternative, decreases in fair value below the carrying value are recognized as impairment in the Consolidated Statement of Income. Moreover, for certain equity method investments, decreases in fair value are only recognized in earnings in the Consolidated Statement of Income if such decreases are judged to be an other-than-temporary impairment (OTTI). Adjudicating the temporary nature of fair value impairments is also inherently judgmental.
The fair value of financial instruments incorporates the effects of Citi’s own credit risk and the market view of counterparty credit risk, the quantification of which is also complex and judgmental. For additional information on Citi’s fair value analysis, see Notes 6, 20 and 21 to the Consolidated Financial Statements in this Form 10-Q and Note 1 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
Citi’s Allowance for Credit Losses (ACL)
The table below shows Citi’s ACL as of the third quarter of 2021.2022. For information on the drivers of Citi’s ACL releasebuild in the third quarter, see “3Q22 Changes in the ACL” below. For
information on refinement in the ACL estimation approach to
introduce multiple macroeconomic scenarios to the
quantitative component of the ACL, see Note 1. For additional information on Citi’s accounting policy on accounting for credit losses under ASC Topic 326, Financial Instruments—Credit losses; Current Expected Credit Losses (CECL), see Note 1 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | ACL |
| In millions of dollars | Balance Dec. 31, 2020 | 1Q21
build
(release) | 1Q21 FX/Other | Balance Mar. 31, 2021 | 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) | $ | 16,805 | | $ | (1,523) | | $ | (42) | | $ | 15,240 | | $ | (1,106) | | $ | 25 | | $ | 14,159 | | $ | (906) | | $ | (229) | | $ | 13,024 | | 9.09 | % |
All other GCB | 2,419 | | (283) | | (42) | | 2,094 | | (292) | | 28 | | 1,830 | | (125) | | (129) | | 1,576 | | |
| 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 | 5,402 | | (1,312) | | (6) | | 4,084 | | (949) | | (8) | | 3,127 | | (65) | | (15) | | 3,047 | | 0.77 | |
| Corporate/Other | 330 | | (109) | | (1) | | 220 | | (99) | | 1 | | 122 | | (53) | | (1) | | 68 | | |
| 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) | 2,655 | | (626) | | (17) | | 2,012 | | 44 | | 17 | | 2,073 | | (13) | | 3 | | 2,063 | | |
| Other | 146 | | 1 | | (1) | | 146 | | 1 | | 1 | | 148 | | (13) | | 2 | | 137 | | |
| Total ACL | $ | 27,757 | | $ | (3,852) | | $ | (109) | | $ | 23,796 | | $ | (2,401) | | $ | 64 | | $ | 21,459 | | $ | (1,175) | | $ | (369) | | $ | 19,915 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| ACL |
| In millions of dollars | Balance Dec. 31, 2021 | 1Q22
build
(release) | 1Q22
FX/
Other | Balance Mar. 31, 2022 | 2Q22
build
(release) | 2Q22
FX/
Other | Balance Jun. 30, 2022 | 3Q22 build (release) | 3Q22 FX/Other | Balance Sept. 30, 2022 | ACLL/EOP loans Sept. 30, 2022(1) |
| ICG | $ | 2,241 | | $ | 596 | | $ | 5 | | $ | 2,842 | | $ | (76) | | $ | 25 | | $ | 2,791 | | $ | 75 | | $ | (61) | | $ | 2,805 | | |
Legacy Franchises corporate (Mexico SBMM) | 174 | | 5 | | 4 | | 183 | | (3) | | (2) | | 178 | | (34) | | (1) | | 143 | | |
| Total corporate ACLL | $ | 2,415 | | $ | 601 | | $ | 9 | | $ | 3,025 | | $ | (79) | | $ | 23 | | $ | 2,969 | | $ | 41 | | $ | (62) | | $ | 2,948 | | 1.04 | % |
U.S. Cards(1) | $ | 10,840 | | $ | (1,009) | | $ | — | | $ | 9,831 | | $ | 447 | | $ | — | | $ | 10,278 | | $ | 303 | | $ | (2) | | $ | 10,579 | | 7.53 | % |
| Retail banking and Global Wealth | 1,181 | | (53) | | (5) | | 1,123 | | 191 | | (1) | | 1,313 | | $ | 57 | | $ | (1) | | $ | 1,369 | | |
Total PBWM | $ | 12,021 | | $ | (1,062) | | $ | (5) | | $ | 10,954 | | $ | 638 | | $ | (1) | | $ | 11,591 | | $ | 360 | | $ | (3) | | $ | 11,948 | | |
Legacy Franchises consumer | 2,019 | | (151) | | (454) | | 1,414 | | (25) | | 3 | | 1,392 | | 40 | | (19) | | 1,413 | | |
| Total consumer ACLL | $ | 14,040 | | $ | (1,213) | | $ | (459) | | $ | 12,368 | | $ | 613 | | $ | 2 | | $ | 12,983 | | $ | 400 | | $ | (22) | | $ | 13,361 | | 3.74 | % |
| Total ACLL | $ | 16,455 | | $ | (612) | | $ | (450) | | $ | 15,393 | | $ | 534 | | $ | 25 | | $ | 15,952 | | $ | 441 | | $ | (84) | | $ | 16,309 | | 2.54 | % |
| Allowance for credit losses on unfunded lending commitments (ACLUC) | $ | 1,871 | | $ | 474 | | $ | (2) | | $ | 2,343 | | $ | (159) | | $ | 9 | | $ | 2,193 | | $ | (71) | | $ | (33) | | $ | 2,089 | | |
| Total ACLL and ACLUC | $ | 18,326 | | $ | (138) | | $ | (452) | | $ | 17,736 | | $ | 375 | | $ | 34 | | $ | 18,145 | | $ | 370 | | $ | (117) | | $ | 18,398 | | |
Other(2) | 148 | | (6) | | (6) | | 136 | | 27 | | 16 | | 179 | | 83 | | (6) | | 256 | | |
| Total ACL | $ | 18,474 | | $ | (144) | | $ | (458) | | $ | 17,872 | | $ | 402 | | $ | 50 | | $ | 18,324 | | $ | 453 | | $ | (123) | | $ | 18,654 | | |
(1) As of September 30, 2021,2022, in North America GCB, Citi-brandedU.S. Personal Banking, Branded cards ACLL/EOP loans was 8.3%6.2% and Citi retailRetail services ACLL/EOP loans was 11.5%10.1%.
(2) Includes ACL on HTM securities and Other assets.
Citi’s reserves for expected credit losses on funded loans and for 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 (for 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. Citi’s ability to estimate expected credit losses over the reasonable and supportable (R&S) period is based on the
ability to forecast economic activity over an R&S timeframe. The R&S forecast period for consumer and corporate loans is eight quarters.
The ACL is composed of quantitative and qualitative management adjustment components. The quantitative component uses athree forward-looking macroeconomic forecast scenarios—base, macroeconomic forecast.upside and downside. 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.component. 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 forecastforecasts 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 estimatedwar in Ukraine and potential global recession, considering macroeconomic and market factors, including inflation, interest rates and commodity prices. The impact of these factors to industries and sectors that are more vulnerable was considered. Qualitative reserves also include 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 conclusionpotential for normalization in portfolio performance and consumer behavior, after record low losses as a result 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.liquidity.
3Q21 Changes in the AllowanceScenario Probability Weighting
In the third quarter of 2021, Citi released $1.1 billionCiti’s ACL is estimated using three probability-weighted macroeconomic scenarios—base, upside and downside. The weights are calculated using a statistical model, which, among other factors, takes into consideration key macroeconomic drivers of the ACL, for its consumer portfolios and $0.1 billionseverity of the ACL for its corporate portfolios, forscenario and other macroeconomic uncertainties and risks. Citi evaluates scenario weights on a total release of $1.2 billion. The releasequarterly basis. Changes in these factors in future quarters will impact the consumer ACL was driven primarily by continued improvementsweights assigned in portfolio credit quality, as well asthose quarters.
Citi’s downside scenario incorporates more adverse macroeconomic assumptions than the continued improvement in the macroeconomic outlook. The release in the corporate ACL was also driven primarily by improvements in portfolio credit quality. The overall qualitative management adjustments declined 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 environment as of September 30, 2021.base scenario assumptions.
Macroeconomic Variables
Citi considers a multitude of macroeconomic variables for both the base, upside and downside macroeconomic scenario 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 the base macroeconomic forecast for Citi’s ACL for each quarterly reporting period from 3Q203Q21 to 3Q21:3Q22:
| | | | | | | | | | | | | | |
| 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 | |
| | | | | | | | | | | | | | |
| Quarterly average | |
| U.S. unemployment | 4Q22 | 2Q23 | 4Q23 | 8-quarter average(1) |
| Citi forecast at 3Q21 | 3.9 | % | 3.8 | % | 3.8 | % | 4.0 | % |
| Citi forecast at 4Q21 | 3.8 | | 3.7 | | 3.7 | | 3.8 | |
| Citi forecast at 1Q22 | 3.5 | | 3.5 | | 3.5 | | 3.6 | |
| Citi forecast at 2Q22 | 3.6 | | 3.7 | | 3.9 | | 3.7 | |
| Citi forecast at 3Q22 | 3.7 | | 4.0 | | 4.3 | | 4.0 | |
(1) Represents the average unemployment rate for the rolling, forward-looking 13eight quarters in the forecast horizon.
| | | | | | | | | | | |
| Year-over-year growth rate(1) |
| Full year |
| U.S. Real GDP | 2021 | 2022 | 2023 |
| Citi forecast at 3Q20 | 3.3 | % | 2.8 | % | 2.6 | % |
| Citi forecast at 4Q20 | 3.7 | | 2.7 | | 2.6 | |
| Citi forecast at 1Q21 | 6.2 | | 4.1 | | 1.9 | |
| Citi forecast at 2Q21 | 6.2 | | 3.7 | | 1.9 | |
| Citi forecast at 3Q21 | 5.9 | | 3.9 | | 2.1 | |
| | | | | | | | | | | |
| Year-over-year growth rate(1) |
| Full year |
| U.S. Real GDP | 2022 | 2023 | 2024 |
| Citi forecast at 3Q21 | 3.9 | % | 2.1 | % | 1.8 | % |
| Citi forecast at 4Q21 | 4.0 | | 2.2 | | 1.8 | |
| Citi forecast at 1Q22 | 3.3 | | 2.4 | | 2.1 | |
| Citi forecast at 2Q22 | 2.6 | | 1.8 | | 2.0 | |
| Citi forecast at 3Q22 | 1.6 | | 0.6 | | 1.9 | |
(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 3Q21,3Q22, U.S. Real GDP growth is lower than the 2Q22 forecast, however it is expected to remain strong during the remainder of 2021 and2022 but decline in 2022,2023, and the unemployment rate is expected to continueincrease modestly over the forecast horizon, broadly returning to improve as the U.S. moves past the peak of the pandemic-related health and economic crisis.pre-pandemic levels.
Consumer3Q22 Changes in the ACL
As further discussed above, Citi’s total consumer ACL release (including Corporate/Other) of $1.1 billionbelow, in the third quarter of 2021 reduced2022, Citi had a build of $0.4 billion for the ACL balance to $14.7for its consumer portfolios and a build of $0.1 billion or 5.55%for its corporate portfolios, for a net ACL build of total consumer loans at September 30, 2021.$0.5 billion. The releasebuild was primarily driven by loan growth in consumer portfolios and a deterioration in macroeconomic forecasts primarily impacting the continued improvements incorporate portfolio, credit quality, as well as the continued improvement in the macroeconomic outlook. Citi’s consumer ACL is largely drivenpartially offset by the cards businesses.
For cards, including Citi’s international businesses, the level of reserves relative to EOP loans decreased to 9.09% at September 30, 2021, compared to 9.72% at June 30, 2021, primarily driven by improvements in portfolio credit quality, as well as the continued improvement in the macroeconomic
outlook.release of COVID-19–related uncertainty reserves and reductions in Russia exposures. Based on its latest macroeconomic forecast, Citi believes its analysis of the ACL reflects the forward view of the economic environment as of September 30, 2022. See Note 14 for additional information.
Consumer
Citi’s consumer ACLL is largely driven by U.S. Cards in U.S. Personal Banking. As discussed above, Citi had a build of $0.4 billion in the ACLL for its consumer portfolios in the third quarter of 2022, primarily driven by U.S. Cards loan growth, which increased the ACLL balance to $13.4 billion, or 3.74% of total consumer loans.
For U.S. Cards, the level of reserves as a percentage of EOP loans increased to 7.53% at September 30, 2022, compared to 7.48% at June 30, 2022. For the remaining consumer exposures, the level of reserves relative to EOP loans decreased to 1.4%was 1.3% at September 30, 2021,2022, compared to 1.5%1.2% at June 30, 2021.2022.
Corporate
Citi’sCiti had a corporate ACLL build of $41 million in the third quarter of 2022. The build was primarily driven by a deterioration in macroeconomic forecasts, partially offset by the release of a COVID-19–related uncertainty reserve and reductions in Russia exposures. Including FX/Other, the ACLL reserve balance decreased by $21 million to $2.9 billion, or 1.04% of total corporate funded loans.
ACLUC
Citi had an ACLUC release of $0.1 billion in the third quarter of 20212022, which reduced the ACLL reserve balance to $3.0 billion, or 0.77% of total funded loans, and was primarily driven by improvements in portfolio credit quality.
The Allowance for credit losses on unfunded lending commitments (ACLUC) release of $14 million in the third quarter of 2021 decreased the total ACLUC reserve balance, included in Other liabilities, to $2.1 billion at September 30, 2021.billion. The release was primarily driven by reductions in Russia exposures, partially offset by a build for a deterioration in macroeconomic forecasts primarily impacting the corporate portfolio.
ACL on Other Financial Assets
Citi had an ACL build on other financial assets carried at amortized cost of $0.1 billion in the third quarter of 2022, which increased the ACL reserve balance included in Other assets to $0.3 billion. The build was primarily driven by a deterioration in macroeconomic forecasts primarily impacting the corporate portfolio. See Note 14 for additional information.
ACLL and Non-accrual Ratios
At September 30, 2021,2022, the ratio of the allowance for credit lossesACLL to total funded loans was 2.69% (5.55%2.54% (3.74% for consumer loans and 0.77%1.04% for corporate loans), compared to 2.88%2.44% at June 30, 2021 (5.84%2022 (3.65% for consumer loans and 0.80%1.00% for corporate loans).
Citi’s total non-accrual loans were $4.0$2.9 billion at September 30, 2021,2022, down $393$149 million from June 30, 2021.2022. Consumer non-accrual loans decreased $217 million to $1.6of $1.4 billion at September 30, 20212022 were unchanged from $1.8June 30, 2022. Corporate non-accrual loans decreased $170 million to $1.5 billion at September 30, 2022, compared to $1.7 billion at June 30, 2021, while corporate non-accrual loans decreased $176 million to $2.4 billion at September 30, 2021 from $2.6 billion at June 30, 2021.2022. In addition, the ratio of non-accrual loans to total corporate loans was 0.60%,0.51% and 0.60% of non-accrual0.39% for corporate and consumer loans, to total consumer loans,respectively, at September 30, 2021.2022.
Regulatory Capital Impact
Citi has elected to phase in the CECL impact for regulatory capital purposes. The transition provisions were recently modified to defer the phase-in. After two years with no impact on capital, the CECL transitionadoption impact willcommenced phase in over a three-year transition period with 25% of the impact (net of deferred taxes) recognized on January 1, 2022, with an additional 25% to be recognized on the first day of each subsequent year commencing January 1, 2022, and will be fully implemented onthrough January 1, 2025. In addition, 25% of the build (pretax) made in 2020 and 2021 will bewas deferred and is being amortized over the same timeframe.
ForSee Notes 1 and 14 for a further description of the ACL and related accounts, see Notes 1 and 14 to the Consolidated Financial Statements.
For a discussion of the adoption of the CECL accounting pronouncement, see Note 1 to the Consolidated Financial Statements.accounts.
Goodwill
Citi tests goodwill for impairment annually as of July 1 (the annual test) and throughconducts interim assessments between annual tests if an event occurs or circumstances change that would more-likely-than-not reduce the fair value of a reporting unit below its carrying amount, such asamount. These events or circumstances include, among other things, 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 declinesustained decrease in Citi’s stock price.
Citi had historically performed its annual goodwill impairment test as of July 1 2021.each year. During the quarter ended September 30, 2022, the Company voluntarily changed its annual impairment assessment date from July 1 to October 1. Based on interim impairment tests performed within the period between the previous annual test on July 1, 2021 and the annual test to be performed on October 1, 2022, no more than 12 months will have elapsed between goodwill impairment tests of any of Citi’s reporting units. The change in measurement date represents a change in method of applying an accounting principle. This change is preferable because it better aligns the Company’s goodwill impairment testing procedures with its annual planning process and with its fiscal year-end. Citi continues to monitor each reporting unit for triggering events for purposes of goodwill impairment testing. The change in accounting principle did not result in any, nor does Citi expect the change in accounting principle to result in any, delay, acceleration, or avoidance of an impairment charge.
During the first quarter of 2022, Citi performed an interim goodwill impairment test due to the previously disclosed changes in operating segments and reporting units during the quarter. The test resulted in an impairment of $535 million related to the Asia Consumer reporting unit within Legacy Franchises, due to the changes to Citi’s operating segments and reporting units during the quarter, as well as the timing of mutual execution of sale agreements for Asia consumer banking businesses.
During the second quarter of 2022, Citi’s Banking reporting unit within the ICG operating segment was negatively impacted by the industry-wide decline in investment banking activity and macroeconomic challenges and uncertainties. These conditions resulted in a corresponding decline in the operating results of the Banking reporting unit as of June 30, 2022, and qualitatively indicated that the Banking reporting unit’s fair value could be insufficient to support its carrying value, inclusive of goodwill.
Accordingly, Citi performed an interim goodwill impairment test for the Banking reporting unit as of June 30,
2022. This included completing an independent valuation of the Banking reporting unit as of June 30, 2022, which concluded that the fair value of the Banking reporting unit exceeded its book value, inclusive of goodwill. The results of the impairment test showed that the fair value of the Banking reporting unit as a percentage of its carrying value was 102%, with the carrying value including approximately $1.5 billion of goodwill. Therefore, no impairment charge was recorded during the quarter. No other events or circumstances were identified to indicate that the fair values of Citi’s other reporting units were more-likely-than-not reduced below their respective carrying amounts.
During the Company’sthird quarter of 2022, Citi’s Banking reporting unit within the ICG operating segment continued to be negatively impacted by the industry-wide decline in investment banking activity amid ongoing macroeconomic challenges and uncertainties as of September 30, 2022, qualitatively indicating that the Banking reporting unit’s fair value could be insufficient to support its carrying value, inclusive of goodwill.
Accordingly, Citi performed an interim goodwill impairment test for the Banking reporting unit as of September 30, 2022. This included completing an independent valuation of the Banking reporting unit as of September 30, 2022, which concluded that the fair value of the Banking reporting unit exceeded its book value, inclusive of goodwill. The results of the impairment test showed that the fair value of the Banking reporting unit as a percentage of its carrying value was 106%, with the carrying value including approximately $1.5 billion of goodwill. Therefore, no impairment charge was recorded during the quarter. No other events or circumstances were identified to indicate that the fair values of Citi’s other reporting units were more-likely-than-not reduced below their respective carrying amounts.
Also, during the third quarter of 2022, Citi performed an interim goodwill impairment test on the Mexico Consumer/SBMM reporting unit as of July 1, 2022 to satisfy the requirement that no more than 12 months elapse between the tests for all reporting units. Thetest resulted in no impairment as the fair value of the Mexico Consumer/SBMM reporting unit was greater than its carrying value.
Based on the interim impairment tests, the fair value of Citi’s reporting units as a percentage of their allocated carrying values ranged from approximately 125%106% to 153%267%, resulting in no impairment. further impairment recognized as of September 30, 2022.
While the inherent risk related to uncertainty is embedded in the key assumptions used in the valuations of the reporting units, the economic and business environmentenvironments continue to evolve as Citi’s management progresses onimplements its strategic refresh, including, among others, the exits of consumer businesses in 13 markets in Asia and EMEA.refresh. If management’s best estimatefuture estimates of future key economic and market assumptions were to differ from its current assumptions, 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.of goodwill, including key assumptions and related uncertainties that drive the fair value of the Banking reporting unit.
Litigation Accruals
See the discussion in Note 23 to the Consolidated Financial Statements24 for information regarding Citi’s policies on establishing accruals for litigation and regulatory contingencies.
INCOME TAXES
Deferred Tax Assets
For additional information on Citi’s deferred tax assets (DTAs), see “Capital Resources,” “Risk Factors—Strategic Risks,” “Significant Accounting Policies and Significant Estimates—Income Taxes” and Notes 1 and 9 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
At September 30, 2021, Citigroup had recorded net DTAs of approximately $24.5 billion, unchanged from June 30, 2021 and a decrease of $0.3 billion from December 31, 2020.
The table below summarizes Citi’s net DTAs balance:
| | | | | | | | | |
| Jurisdiction/Component | DTAs balance |
| In billions of dollars | September 30,
2021 | | December 31, 2020 |
| Total U.S. | $ | 21.7 | | | $ | 22.2 | |
| Total foreign | 2.8 | | | 2.6 | |
| Total | $ | 24.5 | | | $ | 24.8 | |
| | | | | | | | | |
| Jurisdiction/Component | DTAs balance |
| In billions of dollars | September 30,
2022 | | December 31, 2021 |
| Total U.S. | $ | 24.3 | | | $ | 22.1 | |
| Total foreign | 2.8 | | | 2.7 | |
| Total | $ | 27.1 | | | $ | 24.8 | |
Of Citi’s totalAt September 30, 2022, Citigroup had recorded net DTAs of $24.5approximately $27.1 billion, asan increase of $0.5 billion from June 30, 2022, and an increase of $2.3 billion from December 31, 2021. The increase from year-end 2021 was primarily a result of losses in Other comprehensive income.
Of Citi’s $27.1 billion of net DTAs at September 30, 2021, $9.22022, $11.7 billion wasof net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards, as well as $1.3 billion of DTAs from temporary differences that exceed 10%/15% limitations, were 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 net2022. DTAs arising from net operating losses,loss, foreign tax credit (FTC) and general business credit tax carry-forwards which decreased by $0.3 billion in the current quarter. The amount excluded was reduced by $1.7 billion of net DTLs, primarily associated with goodwill and certain other intangible assets, that are separatelyrequired to be entirely deducted from capital. NetCommon Equity Tier 1 Capital under the U.S. Basel III rules. DTAs arising from temporary differences are required to be deducted from regulatory capital only if in excess of thethese DTAs exceed 10%/15% limitations (see “Capital Resources” in Citi’s 2020 Annual Report on Form 10-K). Forunder the quarter ended September 30, 2021, Citi did not have any such DTAs. Accordingly, the remaining $15.3 billion of net DTAs as of September 30, 2021 was not deducted in calculating regulatory capital pursuant toU.S. 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$27.1 billion at September 30, 20212022 is more-likely-than-not, based on management’s expectations as toof future taxable income generation in the jurisdictions in which the DTAs arise, as well as consideration of available tax planning strategies (as defined in ASC Topic 740, Income Taxes).
In the third quarter of 2021, there was no change in Citi’s DTA valuation allowance (VA) requirements for foreign tax 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 third quarter of 20212022 was approximately 20%20.0%, largely unchanged fromcompared to the third quarter of 2020.2021 effective tax rate of 20.4%.
Tax Legislation
The Inflation Reduction Act, signed into law on August 16, 2022, had no impact on Citi’s third quarter results. The Act includes a new corporate alternative minimum tax (AMT) and a 1% excise tax on stock buybacks, both effective January 1,
2023. The corporate AMT is a 15% minimum tax on financial statement income after adjusting for foreign taxes paid. Corporate AMT paid in one year is creditable against regular corporate tax liability in future years. Citi does not expect to pay material amounts of corporate AMT given its profitability and tax profile.
The 1% excise tax is a non-deductible tax on the fair market value of stock repurchased in the taxable year, reduced by the fair market value of any stock issued in the same year.
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 September 30, 2021.2022. Based on that evaluation, the CEO and CFO have concluded that at that date Citigroup’s disclosure controls and procedures were effective.
DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT
Pursuant to Section 219 of the Iran Threat Reduction and Syria Human Rights Act of 2012 (Section 219), which added Section 13(r) to the Securities Exchange Act of 1934, as amended, Citi is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with certain individuals or entities that are the subject 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 onFirst Quarter of 2022 Form 10-Q, did not identify any reportable activities for the first quarter of 2021. Citi identified and reported certain activities pursuant to Section 219 for the secondfirst quarter of 2021.2022. Citi did not identify any reportable activities pursuant to Section 219 for the second and third quarterquarters of 2021.
SUPERVISION AND REGULATION2022.
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 took 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 also took 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 regulationsPrivate Securities Litigation Reform Act of the SEC.1995. 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 of operations and financial conditions including capital and other financial conditionsliquidity may differ materially from those included in these statements due to a variety of factors, including without limitation (i) the precautionary statements included within the “Executive Summary” and each individual business’s discussion and analysis of its results of operations above, in Citi’s SecondFirst Quarter of 20212022 Form 10-Q, in Citi’s FirstSecond Quarter of 2022 Form 10-Q, in Citi’s 2021 Form 10-Q10-K 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 on2021 Form 10-K; and (iii) the risks and uncertainties summarized below:
•rapidly evolving the potential impact to Citi from continued macroeconomic, geopolitical and other challenges, uncertainties and volatilities, including, among others, a continued elevated level of inflation and related financial impacts on consumers and clients and their sentiments; governmental fiscal and monetary actions or expected actions, including further increases in interest rates, reductions in central bank balance sheets, or other changes in interest rate or other monetary policies; the increasing potential of recession or significantly lower economic growth in Europe, the U.S. and other countries; economic and geopolitical challenges in China, including a slowing of the Chinese economy and related impacts or any policy actions, and rising tensions between China and Taiwan; significant disruptions and volatility in financial markets, including continued volatility in U.K. financial markets and adverse impacts to market liquidity and investor demand for certain assets; foreign currency volatility and devaluations and continued strength in the U.S. dollar; distress and volatility in emerging markets, including sovereign debt pricing; geopolitical tensions and conflicts, including the Russia–Ukraine war; protracted or widespread trade tensions; financial market, other economic and political disruption driven by populist movements and governments; natural disasters; additional pandemics; and election outcomes, including the U.S. midterm elections and effects of a potentially divided
government, such as with respect to raising the federal debt limit;
•impacts related to or resulting from the war in Ukraine, including further escalation of tensions between Russia and the U.S. and its allies; the potential adverse effects on Citi’s ability to wind down its activities in Russia, whether due to governmental or regulatory approvals, requirements or other actions, or otherwise; potential negative impacts on Citi’s businesses and customers in and related to Russia and Ukraine, including credit costs or other losses, charges or other negative financial or strategic impacts, including from any expropriation or other deconsolidation event; impacts from existing and future financial and economic sanctions and export controls against Russian organizations and/or individuals imposed by the U.S., the EU, the U.K. and other jurisdictions; rising food and energy insecurity, particularly in emerging markets; commodity and energy market disruptions; inflationary impacts; additional supply chain disruptions; the impact of cyber incidents; and the resulting negative impacts and uncertainties on regional and global financial markets and economic conditions;
•challenges and uncertainties related to any potential resurgence of 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, acceptanceimpactful, and effectiveness of vaccines; the public response, includingimpact on global financial markets and economic conditions, Citi’s consumer and business sentiment, spending patterns, employment trendscorporate borrowers, 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, 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,things: regulatory capital requirements, including adoption of the U.S. SA-CCR rule; annual recalibration of the Stress Capital Buffer;Buffer (most recently in June 2022), which is based upon the results of the CCAR process as well as supervisory stress tests; recalibration of the GSIB surcharge; Citi’s results of operations and financial condition; the capital impact related to Citi’s divestitures, which involve significant execution complexity, including the timing of transaction signings and closings, as well as achievement of the expected results from the divestitures; Citi’s DTA utilization; forecasts of macroeconomic conditions; regulatory evaluationsCiti’s implementation and maintenance of Citi’s ability to maintain an
effective capital management framework;planning framework, and Citi’s effectiveness in planning, managing and calculating its level of risk-weighted assets under both the AdvanceAdvanced Approaches and the Standardized Approach theand Supplementary Leverage Ratioratio; elevated levels of liquidity in the financial system related to the pandemic; the reduction of central bank balance sheets and the GSIB surcharge; whether dueimpact on liquidity in the financial system; changes in regulatory capital rules, requirements or interpretations, including adoption of the U.S. SA-CCR rule for purposes of future supervisory stress testing or otherwise; and changes to the impact ofU.S. regulatory capital framework, including among other things, revisions to the pandemic, the results of the CCAR process and regulatory stress tests or otherwise;U.S. Basel III rules;
•the ongoing regulatory and legislative uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, such as potential fiscal, monetary,
regulatory, corporate and other income tax, sanctions and other changes due to the differing priorities of the current U.S. presidential administration, changes in regulatory leadership or focus and actions of Congress or in response to the pandemic; raisingincluding as a result of the federal debt ceiling;U.S. midterm elections; potential changes to various aspects of the regulatory capital framework; the future legislative and regulatory framework resulting fromrequirements in the U.K.’s exit fromU.S. and globally relating to climate change, including any new disclosure requirements, such as those proposed by the European Union, including with respect to financial services;SEC and those by the EU; and the potential impact these uncertainties and changes could have on Citi’s businesses, results of operations, financial condition, business planning and compliance risks and costs;
•the additional disclosure and other requirements proposed by the SEC regarding special purpose acquisition companies (SPACs) that more closely align SPAC transaction requirements with those for an initial public offering with the objective of enhancing investor protection and expanding the responsibilities of underwriters; and the potential impact of these final requirements on the results of operations of ICG’s Banking reporting unit;
•Citi’s ability, as part of its overalltransformation initiatives and strategic priorities,refresh, to achieve its projected or expected results from its continued investments and efficiencyother initiatives, including to improve its data and other actions, such as its transformation oftechnology infrastructure, risk management and controls deepening ofand further strengthen safety and soundness, deepen client relationships enhancement ofand enhance client offerings and capabilities in order to simplify Citi and revenue and expense expectations,streamline its allocation of resources, including as a result of factors that Citi cannot control;control, such as macroeconomic uncertainties and challenges, a continued elevated level of inflation and the highly competitive environment for talent, which could make the initiatives more costly and more challenging to implement, and limit their effectiveness;
•Citi’s ability to achieve its objectives from its strategic refresh, including, among others, those related to its Global Wealth business and its continued pursuit of exits of remaining consumer banking businesses in 13 marketsAsia and EMEA and consumer, small business and middle-market banking operations in Asia Mexico, and EMEA,Citi’s wind-down of its activities in Russia, which involve significant execution complexity, may not be as productive, effective or timely as Citi expects, may impact the local businesses during the exit process, 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 itimpacts, which could have for market participants, including Citi;be material;
•Citi’s ability to utilize its DTAs (including the foreign tax credit component of its DTAs) and thus reduce the negative impact of the DTAs on Citi’s regulatory capital, including as a result of its ability to generate U.S. taxable income;
•the potential impact to Citi if its interpretation or application of the complex income and non-income based tax laws to which it is subject, such as the Tax Cuts and Jobs Act (Tax Reform), the Foreign Tax Credit guidelines that became effective in March 2022, and withholding, stamp, service and other non-income taxes, differs from
governmental taxing authorities, including as a result of litigation or examinations regarding non-income based tax matters;
•matters, and the various risks faced by Citi as a resultresulting payment of its presence in the emerging markets, including, among others, limitations of hedges on foreign investments; foreign currency volatility and devaluations; sovereign volatility; election outcomes; regulatory changes and political events; foreign exchange controls; limitations on foreign investment; sociopolitical instability (including from hyperinflation); fraud; nationalizationadditional taxes, penalties 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;interest;
•the potential impact from a deterioration in or failure to maintain Citi’s co-branding or private label credit card relationships, due to, among other things, the general economic environment, decliningenvironment; changes in consumer sentiment, spending patterns and credit card usage behaviors; a decline in sales and revenues, partner store closures, government-imposed restrictions, reduced air and business travel or other operational difficulties of the retailer or merchant,merchant; early termination of a particular relationship; or other factors, such as bankruptcies, liquidations, restructurings, consolidations or other similar events, whether due to the impact of the pandemic or otherwise;
•Citi’s ability in its resolution plan submissions to address any shortcomings or deficiencies identified or guidance provided by the Federal Reserve Board andor FDIC;
•the potential impact on Citi’s performance and the performance of its individual businesses, including its competitive position and ability to effectively manage its businesses and continue to execute its strategies, if Citi is unable to attract, retain and motivate highly qualified employees;employees, particularly given the highly competitive environment for talent;
•Citi’s ability to effectively compete within the U.S. and non-U.S.globally with both financial and non-financial services companies and others,firms, including as a result of certain competitors being subject to less stringent legal and regulatory requirements; emerging technologies;
• changes in the potential impact to Citi from climate change, including both physicalpayments space; growth of digital assets; and transition risks as well as higher regulatory,the increased operational, compliance and reputationalother risks resulting from the need to develop new or change or adapt existing products and costs;
•the potential impactservices to Citi’s businesses,attract and results of operations and financial condition, as well as its macroeconomic outlook, dueretain customers or clients or to macroeconomic, geopolitical and other challenges and uncertainties and volatilities, including, among others, slowing of the Chinese economy including negative economic impacts associatedcompete more effectively 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;competitors;
•the potential impact to Citi from a prior or future failure in or disruption of its operational processes or systems, including as a result of, among other things, human error, such as
manual transaction processing errors (e.g., a manual error by any Citi trader that causes system or market disruptions or losses for Citi or its clients), which can be exacerbated by staffing challenges and processing backlogs; fraud, theft or malice,malice; insufficient (or limited) straight-through processing between legacy systems leading to risk of errors and operating losses; accidental system or technological failure,failure; electrical or telecommunication outages oroutages; failure of or cyber incidents involving computer servers or infrastructureinfrastructure; or other similar losses or damage to Citi’s property or assets, orassets; failures by third parties, as well as disruptions in the operations of Citi’s businesses, clients, customers or other third parties; and the increased reputational, legal and compliance risks resulting from any such failure or disruption of its operational process or systems, including fines or legal or regulatory actions or proceedings;
•the increasing risk of continually evolving, sophisticated cybersecurity activities faced by financial institutions and others, including Citi and third parties with which it does business, that could result in, among other things, theft,
loss, misuse or disclosure of confidential client customer or corporatecustomer information or assets and a disruption of computer, software or network systems; and the potential impact from such risks, including reputational damage, regulatory penalties, loss of revenues, additional costs (including repair, remediation and other costs), exposure to litigation and other financial losses;
•the potential impact of changes to, or the application of incorrect, assumptions, judgments or estimates in Citi’s financial statements, including the assessment of goodwill or other assets for impairment; 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;liabilities;
•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 or any other deconsolidation event of any foreign entity, such as those related to any of Citi’s 13Legacy Franchises segment or exit markets or legacy businesses, whether due to Citi’s strategic refresh or otherwise;
•the potential impact of settlement charges under any of Citi’s pension plans, whether due to plan settlements (including lump sum payments) for a year exceeding the service plus interest costs or due to more than 10% of the plan’s projected benefit obligation being settled;
•the impact of changes to financial accounting and reporting standards or interpretations on how Citi records and reports its financial condition and results of operations;
•the potential impact to Citi’s results of operations and/or regulatory capital and capital ratios if Citi’s risk management and mitigation processes, strategies or models, including those related to its comprehensive stress testing initiatives or ability to manage and aggregate data, are deficient or ineffective, or Citi’s Basel III regulatory capital models require refinement, modification or enhancement, or any related action is taken by Citi’s U.S. banking regulators;
•the potential impact of credit risk and concentrations of risk on Citi’s results of operations, whether due to a default of or deterioration involving consumer, corporate or public sector borrowers or other counterparties in the U.S. or in various countries and jurisdictions globally, including from indemnification obligations in connection with various transactions, such as hedging or reinsurance arrangements related to those obligations, whether dueor Citi being unable to liquidate or realize the pandemicfair value of its collateral, which risks can be heightened for vulnerable industries or otherwise;sectors impacted by the continued macroeconomic, geopolitical, market and other challenges and uncertainties and volatilities;
•the potential impact on Citi’s liquidity and/or costs of funding as a result of externalvarious 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
collateral requirements and the inability to monetize available liquidity resources, whether due to the pandemic or otherwise;competitive environment for deposits, changes in Citi’s credit spreads, higher interest rates and changes in currency exchange rates;
•the impact of a ratings downgrade of Citi or one or more of its more significant subsidiaries or issuing entities on Citi’s funding and liquidity as well as operations of certain of its businesses;
•the potential impact to Citi of ongoing interpretation and implementation of regulatory and legislative requirements and changes in the U.S. and globally, as well as heightened regulatory scrutiny and expectations for large financial institutions and their employees and agents, with respect to among other things, governance, infrastructure, data and risk management practices and controls, customer and client protection, market practices, anti-money laundering and sanctions, including the impact on Citi’s compliance, regulatory and other risks and costs, such as increased regulatory oversight and restrictions, enforcement proceedings, penalties and fines; and
•the potential outcomes of the extensive legal and regulatory proceedings, examinations, investigations, consent orders and related compliance efforts and other inquiries, to which Citi is or may be subject at any given time, such as the previously disclosed October 2020 FRB and OCC consent orders, particularly given the increased focus by regulators on 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 effortsCiti’s ability to remediate deficiencies on a timely and sufficient basis, and increased expensesincluding the resulting significant investments required for such remediation efforts, together withefforts; the heightened scrutiny and expectations generally from regulators, and the severity of the remedies sought by regulators, such as civil moneysignificant monetary penalties, supervisory or enforcement orders, business restrictions, limitations on dividends and changes to directors and/or officers and potential collateral consequences to Citi arising from such outcomes.outcomes;
•the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, limitations, cost or unavailability of hedges on foreign investments; foreign currency volatility and devaluations; sovereign volatility; election outcomes; regulatory changes and political events; foreign exchange controls, including inability to access indirect foreign exchange mechanisms; macroeconomic volatility and disruptions, including with respect to commodity prices as well as repricing of assets and resulting impacts; the impacts of inflation and food and energy insecurity; limitations on foreign investment; sociopolitical instability (including from hyperinflation); fraud; nationalization or loss of licenses; business restrictions; sanctions or asset freezes; potential criminal charges; closure of branches or subsidiaries; confiscation of assets, whether related to geopolitical conflicts or otherwise; U.S. regulators or the ICERC imposing mandatory loan loss or other reserve requirements on Citi; and increased compliance and regulatory risks and costs;
•the potential impact to Citi from climate change and the transition to a low-carbon economy, including both physical risks, such as increased frequency and/or severity of adverse weather events as consequences of chronic climate changes, and transition risks, such as those arising from changes in regulations or market preferences toward a low-carbon economy, as well as higher regulatory, compliance and reputational risks and costs and data-related challenges, including as a result of any new SEC rules related to climate change disclosures, such as those proposed by the SEC, and an increased focus by banking regulators and others on the issue of climate change at financial institutions directly and with respect to their clients; and
•the transition away from and discontinuance of LIBOR and any other interest rate benchmark and the adverse consequences it could have for market participants, including Citi.
Any forward-looking statements made by or on behalf of Citigroup speak only as to the date they are made, and Citi does not undertake to update forward-looking statements to reflect the impact of circumstances or events that arise after the forward-looking statements were made.
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FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
| | | | | |
| CONSOLIDATED FINANCIAL STATEMENTS | |
Consolidated Statement of Income (Unaudited)—
For the Three and Nine Months Ended September 30, 2021
2022 and 20202021 | |
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three and Nine Months Ended September 30, 20212022 and 20202021 | |
Consolidated Balance Sheet—September 30, 20212022 (Unaudited) and December 31, 20202021 | |
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three and Nine Months Ended September 30, 20212022 and 20202021 | |
Consolidated Statement of Cash Flows (Unaudited)—
For the Nine Months Ended September 30, 20212022 and 20202021 | |
| | | | | |
| NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) | |
Note 1—Basis of Presentation, Updated Accounting Policies
and Accounting Changes | |
Note 2—Discontinued Operations, Significant Disposals
and Other Business Exits | |
Note 3—BusinessOperating Segments | |
| Note 4—Interest Revenue and Expense | |
Note 5—Commissions and Fees; Administration and Other
Fiduciary Fees | |
| Note 6—Principal Transactions | |
| Note 7—Incentive Plans | |
| Note 8—Retirement Benefits | |
| Note 9—Earnings per Share | |
Note 10—Securities Borrowed, Loaned and
Subject to Repurchase Agreements | |
| Note 11—Brokerage Receivables and Brokerage Payables | |
| Note 12—Investments | |
| | | | | |
| |
| Note 13—Loans | |
| Note 14—Allowance for Credit Losses | |
| Note 15—Goodwill and Intangible Assets | |
| Note 16—Debt | |
Note 17—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI) | |
| Note 18—Securitizations and Variable Interest Entities | |
| Note 19—Derivatives | |
| Note 20—Fair Value Measurement | |
| Note 21—Fair Value Elections | |
Note 22—Guarantees Leases and Commitments | |
Note 23—ContingenciesLeases | |
| Note 24—Contingencies | |
| Note 25—Condensed Consolidating Financial Statements | |
CONSOLIDATED FINANCIAL STATEMENTS
| | | | | | | | |
| CONSOLIDATED STATEMENT OF INCOME (UNAUDITED) | | Citigroup Inc. and Subsidiaries |
| | | | Three Months Ended September 30, | Nine Months Ended September 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 | 2022 | 2021 | 2022 | 2021 |
| Revenues | Revenues | | | | Revenues | | | |
| Interest revenue | Interest revenue | $ | 12,650 | | $ | 13,314 | | $ | 37,647 | | $ | 45,042 | | Interest revenue | $ | 19,919 | | $ | 12,650 | | $ | 48,700 | | $ | 37,647 | |
| Interest expense | Interest expense | 2,252 | | 2,821 | | 6,884 | | 11,977 | | Interest expense | 7,356 | | 1,959 | | 13,302 | | 5,972 | |
| Net interest revenue | $ | 10,398 | | $ | 10,493 | | $ | 30,763 | | $ | 33,065 | | |
| Net interest income | | Net interest income | $ | 12,563 | | $ | 10,691 | | $ | 35,398 | | $ | 31,675 | |
| Commissions and fees | Commissions and fees | $ | 3,399 | | $ | 2,753 | | $ | 10,443 | | $ | 8,707 | | Commissions and fees | $ | 2,139 | | $ | 3,399 | | $ | 7,159 | | $ | 10,443 | |
| Principal transactions | Principal transactions | 2,233 | | 2,508 | | 8,450 | | 11,926 | | Principal transactions | 2,625 | | 2,233 | | 11,740 | | 8,450 | |
| Administration and other fiduciary fees | Administration and other fiduciary fees | 1,007 | | 892 | | 2,990 | | 2,565 | | Administration and other fiduciary fees | 915 | | 1,007 | | 2,904 | | 2,990 | |
| Realized gains on sales of investments, net | 117 | | 304 | | 655 | | 1,484 | | |
| Realized gains (losses) on sales of investments, net | | Realized gains (losses) on sales of investments, net | 52 | | 117 | | 74 | | 655 | |
| 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 | (30) | | (30) | | (112) | | (154) | | Impairment losses on investments and other assets | (91) | | (30) | | (277) | | (112) | |
Provision for credit losses on AFS debt securities(1) | Provision for credit losses on AFS debt securities(1) | (1) | | 4 | | (1) | | (4) | | Provision for credit losses on AFS debt securities(1) | 5 | | (1) | | 7 | | (1) | |
| | Net impairment losses recognized in earnings | Net impairment losses recognized in earnings | $ | (31) | | $ | (26) | | $ | (113) | | $ | (158) | | Net impairment losses recognized in earnings | (86) | | (31) | | (270) | | (113) | |
| Other revenue | Other revenue | $ | 31 | | $ | 378 | | $ | 767 | | $ | 210 | | Other revenue | $ | 300 | | $ | 31 | | $ | 327 | | $ | 767 | |
| Total non-interest revenues | Total non-interest revenues | $ | 6,756 | | $ | 6,809 | | $ | 23,192 | | $ | 24,734 | | Total non-interest revenues | $ | 5,945 | | $ | 6,756 | | $ | 21,934 | | $ | 23,192 | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 17,154 | | $ | 17,302 | | $ | 53,955 | | $ | 57,799 | | Total revenues, net of interest expense | $ | 18,508 | | $ | 17,447 | | $ | 57,332 | | $ | 54,867 | |
| 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 | $ | (188) | | $ | 1,931 | | $ | (2,793) | | $ | 16,298 | | Provision for credit losses on loans | $ | 1,328 | | $ | (188) | | $ | 2,972 | | $ | (2,793) | |
| Provision for credit losses on held-to-maturity (HTM) debt securities | Provision for credit losses on held-to-maturity (HTM) debt securities | (10) | | (16) | | (17) | | 21 | | Provision for credit losses on held-to-maturity (HTM) debt securities | 10 | | (10) | | 28 | | (17) | |
| Provision for credit losses on other assets | Provision for credit losses on other assets | (3) | | (13) | | 3 | | 31 | | Provision for credit losses on other assets | 73 | | (3) | | 76 | | 3 | |
| Policyholder benefits and claims | Policyholder benefits and claims | 22 | | 58 | | 89 | | 97 | | Policyholder benefits and claims | 25 | | 22 | | 74 | | 89 | |
| Provision for credit losses on unfunded lending commitments | Provision for credit losses on unfunded lending commitments | (13) | | 424 | | (595) | | 1,094 | | Provision for credit losses on unfunded lending commitments | (71) | | (13) | | 244 | | (595) | |
Total provisions for credit losses and for benefits and claims(2) | Total provisions for credit losses and for benefits and claims(2) | $ | (192) | | $ | 2,384 | | $ | (3,313) | | $ | 17,541 | | Total provisions for credit losses and for benefits and claims(2) | $ | 1,365 | | $ | (192) | | $ | 3,394 | | $ | (3,313) | |
| Operating expenses | Operating expenses | | | | Operating expenses | | | |
| Compensation and benefits | Compensation and benefits | $ | 6,058 | | $ | 5,595 | | $ | 18,041 | | $ | 16,873 | | Compensation and benefits | $ | 6,745 | | $ | 6,058 | | $ | 20,037 | | $ | 18,041 | |
| Premises and equipment | Premises and equipment | 560 | | 575 | | 1,694 | | 1,702 | | Premises and equipment | 557 | | 560 | | 1,719 | | 1,694 | |
| Technology/communication | Technology/communication | 1,997 | | 1,891 | | 5,744 | | 5,355 | | Technology/communication | 2,145 | | 1,997 | | 6,229 | | 5,744 | |
| Advertising and marketing | Advertising and marketing | 402 | | 238 | | 1,012 | | 865 | | Advertising and marketing | 407 | | 402 | | 1,132 | | 1,012 | |
| Other operating | Other operating | 2,467 | | 2,665 | | 7,258 | | 7,272 | | Other operating | 2,895 | | 2,760 | | 9,190 | | 8,170 | |
| Total operating expenses | Total operating expenses | $ | 11,484 | | $ | 10,964 | | $ | 33,749 | | $ | 32,067 | | Total operating expenses | $ | 12,749 | | $ | 11,777 | | $ | 38,307 | | $ | 34,661 | |
| Income from continuing operations before income taxes | Income from continuing operations before income taxes | $ | 5,862 | | $ | 3,954 | | $ | 23,519 | | $ | 8,191 | | Income from continuing operations before income taxes | $ | 4,394 | | $ | 5,862 | | $ | 15,631 | | $ | 23,519 | |
| Provision for income taxes | Provision for income taxes | 1,193 | | 777 | | 4,680 | | 1,409 | | Provision for income taxes | 879 | | 1,193 | | 3,002 | | 4,680 | |
| Income from continuing operations | Income from continuing operations | $ | 4,669 | | $ | 3,177 | | $ | 18,839 | | $ | 6,782 | | Income from continuing operations | $ | 3,515 | | $ | 4,669 | | $ | 12,629 | | $ | 18,839 | |
| Discontinued operations | Discontinued operations | | | | Discontinued operations | | | |
| Income (loss) from discontinued operations | Income (loss) from discontinued operations | $ | (1) | | $ | (7) | | $ | 7 | | $ | (26) | | Income (loss) from discontinued operations | $ | (6) | | $ | (1) | | $ | (270) | | $ | 7 | |
| | Benefit for income taxes | Benefit for income taxes | — | | — | | — | | — | | Benefit for income taxes | — | | — | | (41) | | — | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | $ | (1) | | $ | (7) | | $ | 7 | | $ | (26) | | Income (loss) from discontinued operations, net of taxes | $ | (6) | | $ | (1) | | $ | (229) | | $ | 7 | |
| Net income before attribution of noncontrolling interests | $ | 4,668 | | $ | 3,170 | | $ | 18,846 | | $ | 6,756 | | |
| Net income before attribution to noncontrolling interests | | Net income before attribution to noncontrolling interests | $ | 3,509 | | $ | 4,668 | | $ | 12,400 | | $ | 18,846 | |
| Noncontrolling interests | Noncontrolling interests | 24 | | 24 | | 67 | | 18 | | Noncontrolling interests | 30 | | 24 | | 68 | | 67 | |
| Citigroup’s net income | Citigroup’s net income | $ | 4,644 | | $ | 3,146 | | $ | 18,779 | | $ | 6,738 | | Citigroup’s net income | $ | 3,479 | | $ | 4,644 | | $ | 12,332 | | $ | 18,779 | |
Basic earnings per share(3) | Basic earnings per share(3) | | | | Basic earnings per share(3) | | | |
| Income from continuing operations | Income from continuing operations | $ | 2.17 | | $ | 1.37 | | $ | 8.70 | | $ | 2.82 | | Income from continuing operations | $ | 1.64 | | $ | 2.17 | | $ | 5.99 | | $ | 8.70 | |
| Income from discontinued operations, net of taxes | Income from discontinued operations, net of taxes | — | | — | | — | | (0.01) | | Income from discontinued operations, net of taxes | — | | — | | (0.12) | | — | |
| Net income | Net income | $ | 2.17 | | $ | 1.37 | | $ | 8.70 | | $ | 2.81 | | Net income | $ | 1.64 | | $ | 2.17 | | $ | 5.87 | | $ | 8.70 | |
Weighted average common shares outstanding (in millions) | Weighted average common shares outstanding (in millions) | 2,009.3 | | 2,081.8 | | 2,049.3 | | 2,087.1 | | Weighted average common shares outstanding (in millions) | 1,936.8 | | 2,009.3 | | 1,950.0 | | 2,049.3 | |
Diluted earnings per share(3) | Diluted earnings per share(3) | | | | Diluted earnings per share(3) | | | |
| Income from continuing operations | Income from continuing operations | $ | 2.15 | | $ | 1.36 | | $ | 8.64 | | $ | 2.81 | | Income from continuing operations | $ | 1.63 | | $ | 2.15 | | $ | 5.95 | | $ | 8.64 | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | — | | — | | — | | (0.01) | | Income (loss) from discontinued operations, net of taxes | — | | — | | (0.12) | | — | |
| Net income | Net income | $ | 2.15 | | $ | 1.36 | | $ | 8.65 | | $ | 2.80 | | Net income | $ | 1.63 | | $ | 2.15 | | $ | 5.84 | | $ | 8.65 | |
Adjusted weighted average common shares outstanding (in millions) | 2,026.2 | | 2,094.3 | | 2,065.3 | | 2,100.1 | | |
Adjusted weighted average diluted common shares outstanding (in millions) | | Adjusted weighted average diluted common shares outstanding (in millions) | 1,955.1 | | 2,026.2 | | 1,967.1 | | 2,065.3 | |
(1) In accordance with ASC 326.326, which requires the provision for credit losses on AFS securities to be included in revenue.
(2) This total excludes the provision for credit losses on AFS securities, which is disclosed separately above.
(3) Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
| | | | | | | | |
| CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME | | Citigroup Inc. and Subsidiaries |
| (UNAUDITED) | | |
| | | | Three Months Ended September 30, | Nine Months Ended September 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 | 2022 | 2021 | 2022 | 2021 |
| Citigroup’s net income | Citigroup’s net income | $ | 4,644 | | $ | 3,146 | | $ | 18,779 | | $ | 6,738 | | Citigroup’s net income | $ | 3,479 | | $ | 4,644 | | $ | 12,332 | | $ | 18,779 | |
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) | $ | (279) | | $ | (282) | | $ | (2,538) | | $ | 3,683 | | Net change in unrealized gains and losses on debt securities, net of taxes(1) | $ | (580) | | $ | (279) | | $ | (6,358) | | $ | (2,538) | |
Net change in debt valuation adjustment (DVA), net of taxes(2) | Net change in debt valuation adjustment (DVA), net of taxes(2) | (82) | | (307) | | (186) | | 601 | | Net change in debt valuation adjustment (DVA), net of taxes(2) | 872 | | (82) | | 3,632 | | (186) | |
| Net change in cash flow hedges, net of taxes | Net change in cash flow hedges, net of taxes | (201) | | (235) | | (930) | | 1,736 | | Net change in cash flow hedges, net of taxes | (763) | | (201) | | (2,970) | | (930) | |
| Benefit plans liability adjustment, net of taxes | Benefit plans liability adjustment, net of taxes | 135 | | 246 | | 936 | | (117) | | Benefit plans liability adjustment, net of taxes | 37 | | 135 | | 119 | | 936 | |
| Net change in foreign currency translation adjustment, net of taxes and hedges | Net change in foreign currency translation adjustment, net of taxes and hedges | (1,312) | | 897 | | (2,063) | | (2,651) | | Net change in foreign currency translation adjustment, net of taxes and hedges | (2,399) | | (1,312) | | (4,043) | | (2,063) | |
| Net change in excluded component of fair value hedges, net of taxes | Net change in excluded component of fair value hedges, net of taxes | 8 | | (39) | | (12) | | 1 | | Net change in excluded component of fair value hedges, net of taxes | 30 | | 8 | | 87 | | (12) | |
| Citigroup’s total other comprehensive income (loss) | Citigroup’s total other comprehensive income (loss) | $ | (1,731) | | $ | 280 | | $ | (4,793) | | $ | 3,253 | | Citigroup’s total other comprehensive income (loss) | $ | (2,803) | | $ | (1,731) | | $ | (9,533) | | $ | (4,793) | |
| Citigroup’s total comprehensive income | Citigroup’s total comprehensive income | $ | 2,913 | | $ | 3,426 | | $ | 13,986 | | $ | 9,991 | | Citigroup’s total comprehensive income | $ | 676 | | $ | 2,913 | | $ | 2,799 | | $ | 13,986 | |
Add: Other comprehensive loss attributable to
noncontrolling interests | $ | (31) | | $ | 19 | | $ | (71) | | $ | 7 | | |
Add: Other comprehensive income (loss) attributable to
noncontrolling interests | | Add: Other comprehensive income (loss) attributable to
noncontrolling interests | $ | (44) | | $ | (31) | | $ | (126) | | $ | (71) | |
| Add: Net income (loss) attributable to noncontrolling interests | Add: Net income (loss) attributable to noncontrolling interests | 24 | | 24 | | 67 | | 18 | | Add: Net income (loss) attributable to noncontrolling interests | 30 | | 24 | | 68 | | 67 | |
| Total comprehensive income | Total comprehensive income | $ | 2,906 | | $ | 3,469 | | $ | 13,982 | | $ | 10,016 | | Total comprehensive income | $ | 662 | | $ | 2,906 | | $ | 2,741 | | $ | 13,982 | |
(1)See Note 17 to the Consolidated Financial Statements.17.
(2)See Note 20 to the Consolidated Financial Statements.20.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
| | | | | | | | |
| CONSOLIDATED BALANCE SHEET | | Citigroup Inc. and Subsidiaries |
| | | September 30, | | | September 30, | |
| | 2021 | December 31, | | 2022 | December 31, |
| In millions of dollars | In millions of dollars | (Unaudited) | 2020 | In millions of dollars | (Unaudited) | 2021 |
| Assets | Assets | | Assets | |
| Cash and due from banks (including segregated cash and other deposits) | Cash and due from banks (including segregated cash and other deposits) | $ | 28,906 | | $ | 26,349 | | Cash and due from banks (including segregated cash and other deposits) | $ | 26,502 | | $ | 27,515 | |
| Deposits with banks, net of allowance | Deposits with banks, net of allowance | 294,902 | | 283,266 | | Deposits with banks, net of allowance | 273,105 | | 234,518 | |
| 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 | | |
| Securities borrowed and purchased under agreements to resell (including $229,019 and $216,466 as of September 30, 2022 and December 31, 2021, respectively, at fair value), net of allowance | | Securities borrowed and purchased under agreements to resell (including $229,019 and $216,466 as of September 30, 2022 and December 31, 2021, respectively, at fair value), net of allowance | 349,214 | | 327,288 | |
| Brokerage receivables, net of allowance | Brokerage receivables, net of allowance | 59,487 | | 44,806 | | Brokerage receivables, net of allowance | 79,696 | | 54,340 | |
| 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 | | |
| Trading account assets (including $132,928 and $133,828 pledged to creditors as of September 30, 2022 and December 31, 2021, respectively) | | Trading account assets (including $132,928 and $133,828 pledged to creditors as of September 30, 2022 and December 31, 2021, respectively) | 358,260 | | 331,945 | |
| Investments: | Investments: | | Investments: | |
| 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 | 198,056 | | 104,943 | | |
| Equity securities (including $918 and $1,066 at fair value as of September 30, 2021 and December 31, 2020, respectively) | 7,220 | | 7,332 | | |
| Available-for-sale debt securities (including $7,504 and $9,226 pledged to creditors as of September 30, 2022 and December 31, 2021, respectively), net of allowance | | Available-for-sale debt securities (including $7,504 and $9,226 pledged to creditors as of September 30, 2022 and December 31, 2021, respectively), net of allowance | 232,143 | | 288,522 | |
| Held-to-maturity debt securities (fair value of which is $239,807 and $216,038 as of September 30, 2022 and December 31, 2021, respectively) (includes $— and $1,460 pledged to creditors as of September 30, 2022 and December 31, 2021, respectively), net of allowance | | Held-to-maturity debt securities (fair value of which is $239,807 and $216,038 as of September 30, 2022 and December 31, 2021, respectively) (includes $— and $1,460 pledged to creditors as of September 30, 2022 and December 31, 2021, respectively), net of allowance | 267,864 | | 216,963 | |
| Equity securities (including $850 and $1,032 at fair value as of September 30, 2022 and December 31, 2021, respectively) | | Equity securities (including $850 and $1,032 at fair value as of September 30, 2022 and December 31, 2021, respectively) | 8,009 | | 7,337 | |
| Total investments | Total investments | $ | 500,849 | | $ | 447,359 | | Total investments | $ | 508,016 | | $ | 512,822 | |
| Loans: | Loans: | | Loans: | |
| 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) | 400,514 | | 387,044 | | |
| Consumer (including $241 and $12 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | | Consumer (including $241 and $12 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | 357,583 | | 376,534 | |
| Corporate (including $3,638 and $6,070 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | | Corporate (including $3,638 and $6,070 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | 288,377 | | 291,233 | |
| Loans, net of unearned income | Loans, net of unearned income | $ | 664,764 | | $ | 675,883 | | Loans, net of unearned income | $ | 645,960 | | $ | 667,767 | |
| Allowance for credit losses on loans (ACLL) | Allowance for credit losses on loans (ACLL) | (17,715) | | (24,956) | | Allowance for credit losses on loans (ACLL) | (16,309) | | (16,455) | |
| Total loans, net | Total loans, net | $ | 647,049 | | $ | 650,927 | | Total loans, net | $ | 629,651 | | $ | 651,312 | |
| Goodwill | Goodwill | 21,573 | | 22,162 | | Goodwill | 19,326 | | 21,299 | |
| 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 | 123,947 | | 110,683 | | |
| Intangible assets (including MSRs of $647 and $404 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | | Intangible assets (including MSRs of $647 and $404 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | 4,485 | | 4,495 | |
| Other assets (including $9,947 and $12,342 as of September 30, 2022 and December 31, 2021, respectively, at fair value), net of allowance | | Other assets (including $9,947 and $12,342 as of September 30, 2022 and December 31, 2021, respectively, at fair value), net of allowance | 132,809 | | 125,879 | |
| | Total assets | Total assets | $ | 2,361,876 | | $ | 2,260,090 | | Total assets | $ | 2,381,064 | | $ | 2,291,413 | |
The following table presents certain assets of consolidated variable interest entities (VIEs), which are included on the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. In addition, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
| | | | | | | | |
| September 30, | |
| 2021 | December 31, |
| In millions of dollars | (Unaudited) | 2020 |
| Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | | |
| Cash and due from banks | $ | 194 | | $ | 281 | |
| Trading account assets | 10,433 | | 8,104 | |
| Investments | 897 | | 837 | |
| Loans, net of unearned income | | |
| Consumer | 33,497 | | 37,561 | |
| Corporate | 12,760 | | 17,027 | |
| Loans, net of unearned income | $ | 46,257 | | $ | 54,588 | |
| Allowance for credit losses on loans (ACLL) | (2,998) | | (3,794) | |
| Total loans, net | $ | 43,259 | | $ | 50,794 | |
| Other assets | 1,186 | | 43 | |
| 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)
| | | September 30, | | | September 30, | |
| | 2021 | December 31, | | 2022 | December 31, |
| In millions of dollars, except shares and per share amounts | In millions of dollars, except shares and per share amounts | (Unaudited) | 2020 | In millions of dollars, except shares and per share amounts | (Unaudited) | 2021 |
| Liabilities | Liabilities | | Liabilities | |
| Non-interest-bearing deposits in U.S. offices | Non-interest-bearing deposits in U.S. offices | $ | 145,103 | | $ | 126,942 | | Non-interest-bearing deposits in U.S. offices | $ | 135,514 | | $ | 158,552 | |
| 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 | | |
| Interest-bearing deposits in U.S. offices (including $911 and $879 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | | Interest-bearing deposits in U.S. offices (including $911 and $879 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | 570,920 | | 543,283 | |
| Non-interest-bearing deposits in offices outside the U.S. | Non-interest-bearing deposits in offices outside the U.S. | 94,016 | | 100,543 | | Non-interest-bearing deposits in offices outside the U.S. | 98,904 | | 97,270 | |
| 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 | | |
| Interest-bearing deposits in offices outside the U.S. (including $1,529 and $787 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | | Interest-bearing deposits in offices outside the U.S. (including $1,529 and $787 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | 501,148 | | 518,125 | |
| Total deposits | Total deposits | $ | 1,347,528 | | $ | 1,280,671 | | Total deposits | $ | 1,306,486 | | $ | 1,317,230 | |
| 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) | 60,501 | | 50,484 | | |
| Securities loaned and sold under agreements to repurchase (including $73,107 and $56,694 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | | Securities loaned and sold under agreements to repurchase (including $73,107 and $56,694 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | 203,429 | | 191,285 | |
Brokerage payables (including $3,213 and $3,575 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | | Brokerage payables (including $3,213 and $3,575 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | 87,841 | | 61,430 | |
| Trading account liabilities | Trading account liabilities | 179,286 | | 168,027 | | Trading account liabilities | 196,479 | | 161,529 | |
| 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) | 258,274 | | 271,686 | | |
| Other liabilities, net of allowance | 75,810 | | 59,983 | | |
| Short-term borrowings (including $6,569 and $7,358 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | | Short-term borrowings (including $6,569 and $7,358 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | 47,368 | | 27,973 | |
| Long-term debt (including $91,825 and $82,609 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | | Long-term debt (including $91,825 and $82,609 as of September 30, 2022 and December 31, 2021, respectively, at fair value) | 253,068 | | 254,374 | |
| Other liabilities | | Other liabilities | 87,276 | | 74,920 | |
| | Total liabilities | Total liabilities | $ | 2,160,266 | | $ | 2,059,890 | | Total liabilities | $ | 2,181,947 | | $ | 2,088,741 | |
| Stockholders’ equity | Stockholders’ equity | | Stockholders’ equity | |
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 | 31 | | 31 | | |
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of September 30, 2022—759,800 and as of December 31, 2021—759,800, at aggregate liquidation value | | Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of September 30, 2022—759,800 and as of December 31, 2021—759,800, at aggregate liquidation value | $ | 18,995 | | $ | 18,995 | |
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of September 30, 2022—3,099,669,424 and as of December 31, 2021—3,099,651,835 | | Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of September 30, 2022—3,099,669,424 and as of December 31, 2021—3,099,651,835 | 31 | | 31 | |
| Additional paid-in capital | Additional paid-in capital | 107,922 | | 107,846 | | Additional paid-in capital | 108,347 | | 108,003 | |
| Retained earnings | Retained earnings | 183,024 | | 168,272 | | Retained earnings | 193,462 | | 184,948 | |
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) | | |
Treasury stock, at cost: September 30, 2022—1,162,816,560 shares and
December 31, 2021—1,115,296,641 shares | | Treasury stock, at cost: September 30, 2022—1,162,816,560 shares and
December 31, 2021—1,115,296,641 shares | (73,977) | | (71,240) | |
Accumulated other comprehensive income (loss) (AOCI) | Accumulated other comprehensive income (loss) (AOCI) | (36,851) | | (32,058) | | Accumulated other comprehensive income (loss) (AOCI) | (48,298) | | (38,765) | |
| Total Citigroup stockholders’ equity | Total Citigroup stockholders’ equity | $ | 200,875 | | $ | 199,442 | | Total Citigroup stockholders’ equity | $ | 198,560 | | $ | 201,972 | |
| Noncontrolling interests | Noncontrolling interests | 735 | | 758 | | Noncontrolling interests | 557 | | 700 | |
| Total equity | Total equity | $ | 201,610 | | $ | 200,200 | | Total equity | $ | 199,117 | | $ | 202,672 | |
| Total liabilities and equity | Total liabilities and equity | $ | 2,361,876 | | $ | 2,260,090 | | Total liabilities and equity | $ | 2,381,064 | | $ | 2,291,413 | |
The following table presents certain liabilities of consolidated VIEs, which are included on the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.
| | | | | | | | |
| September 30, | |
| 2021 | December 31, |
| In millions of dollars | (Unaudited) | 2020 |
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup | | |
| Short-term borrowings | $ | 9,472 | | $ | 9,278 | |
| Long-term debt | 13,917 | | 20,405 | |
| 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 | $ | 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 September 30, | Nine Months Ended September 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 | 2022 | 2021 | 2022 | 2021 |
| Preferred stock at aggregate liquidation value | Preferred stock at aggregate liquidation value | | | | Preferred stock at aggregate liquidation value | | | |
| Balance, beginning of period | Balance, beginning of period | $ | 17,995 | | $ | 17,980 | | $ | 19,480 | | $ | 17,980 | | Balance, beginning of period | $ | 18,995 | | $ | 17,995 | | $ | 18,995 | | $ | 19,480 | |
| Issuance of new preferred stock | Issuance of new preferred stock | — | | — | | 2,300 | | 1,500 | | Issuance of new preferred stock | — | | — | | — | | 2,300 | |
| Redemption of preferred stock | Redemption of preferred stock | — | | — | | (3,785) | | (1,500) | | Redemption of preferred stock | — | | — | | — | | (3,785) | |
| Balance, end of period | Balance, end of period | $ | 17,995 | | $ | 17,980 | | $ | 17,995 | | $ | 17,980 | | Balance, end of period | $ | 18,995 | | $ | 17,995 | | $ | 18,995 | | $ | 17,995 | |
| 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 | $ | 107,851 | | $ | 107,699 | | $ | 107,877 | | $ | 107,871 | | Balance, beginning of period | $ | 108,241 | | $ | 107,851 | | $ | 108,034 | | $ | 107,877 | |
| Employee benefit plans | Employee benefit plans | 60 | | 93 | | (3) | | (81) | | Employee benefit plans | 137 | | 60 | | 343 | | (3) | |
| 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) | — | | — | | 40 | | 2 | | Preferred stock issuance costs (new issuances, net of reclassifications to retained earnings for redemptions) | — | | — | | — | | 40 | |
| Other | Other | 42 | | 3 | | 39 | | 3 | | Other | — | | 42 | | 1 | | 39 | |
| Balance, end of period | Balance, end of period | $ | 107,953 | | $ | 107,795 | | $ | 107,953 | | $ | 107,795 | | Balance, end of period | $ | 108,378 | | $ | 107,953 | | $ | 108,378 | | $ | 107,953 | |
| Retained earnings | Retained earnings | | | | Retained earnings | | | |
| Balance, beginning of period | Balance, beginning of period | $ | 179,686 | | $ | 163,515 | | $ | 168,272 | | $ | 165,369 | | Balance, beginning of period | $ | 191,261 | | $ | 179,686 | | $ | 184,948 | | $ | 168,272 | |
Adjustments to opening balance, net of taxes(1) | | | | |
| Financial instruments—credit losses (CECL adoption) | — | | — | | — | | (3,076) | | |
| Variable post-charge-off third-party collection costs | — | | — | | — | | 330 | | |
| Adjusted balance, beginning of period | $ | 179,686 | | $ | 163,515 | | $ | 168,272 | | $ | 162,623 | | |
| | Citigroup’s net income | Citigroup’s net income | 4,644 | | 3,146 | | 18,779 | | 6,738 | | Citigroup’s net income | 3,479 | | 4,644 | | 12,332 | | 18,779 | |
Common dividends(2)(1) | Common dividends(2)(1) | (1,040) | | (1,074) | | (3,176) | | (3,226) | | Common dividends(2)(1) | (1,001) | | (1,040) | | (3,025) | | (3,176) | |
| Preferred dividends | Preferred dividends | (266) | | (284) | | (811) | | (828) | | Preferred dividends | (277) | | (266) | | (794) | | (811) | |
| Other (primarily reclassifications from APIC for preferred issuance costs on redemptions) | Other (primarily reclassifications from APIC for preferred issuance costs on redemptions) | — | | — | | (40) | | (4) | | Other (primarily reclassifications from APIC for preferred issuance costs on redemptions) | — | | — | | 1 | | (40) | |
| Balance, end of period | Balance, end of period | $ | 183,024 | | $ | 165,303 | | $ | 183,024 | | $ | 165,303 | | Balance, end of period | $ | 193,462 | | $ | 183,024 | | $ | 193,462 | | $ | 183,024 | |
| Treasury stock, at cost | Treasury stock, at cost | | | | | Treasury stock, at cost | | | | |
| Balance, beginning of period | Balance, beginning of period | $ | (68,253) | | $ | (64,143) | | $ | (64,129) | | $ | (61,660) | | Balance, beginning of period | $ | (73,988) | | $ | (68,253) | | $ | (71,240) | | $ | (64,129) | |
Employee benefit plans(3)(2) | Employee benefit plans(3)(2) | 7 | | 6 | | 483 | | 448 | | Employee benefit plans(3)(2) | 11 | | 7 | | 513 | | 483 | |
Treasury stock acquired(4)(3) | Treasury stock acquired(4)(3) | (3,000) | | — | | (7,600) | | (2,925) | | Treasury stock acquired(4)(3) | — | | (3,000) | | (3,250) | | (7,600) | |
| Balance, end of period | Balance, end of period | $ | (71,246) | | $ | (64,137) | | $ | (71,246) | | $ | (64,137) | | Balance, end of period | $ | (73,977) | | $ | (71,246) | | $ | (73,977) | | $ | (71,246) | |
| 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 | $ | (35,120) | | $ | (33,345) | | $ | (32,058) | | $ | (36,318) | | Balance, beginning of period | $ | (45,495) | | $ | (35,120) | | $ | (38,765) | | $ | (32,058) | |
| | Citigroup’s total other comprehensive income | Citigroup’s total other comprehensive income | (1,731) | | 280 | | (4,793) | | 3,253 | | Citigroup’s total other comprehensive income | (2,803) | | (1,731) | | (9,533) | | (4,793) | |
| Balance, end of period | Balance, end of period | $ | (36,851) | | $ | (33,065) | | $ | (36,851) | | $ | (33,065) | | Balance, end of period | $ | (48,298) | | $ | (36,851) | | $ | (48,298) | | $ | (36,851) | |
| Total Citigroup common stockholders’ equity | Total Citigroup common stockholders’ equity | $ | 182,880 | | $ | 175,896 | | $ | 182,880 | | $ | 175,896 | | Total Citigroup common stockholders’ equity | $ | 179,565 | | $ | 182,880 | | $ | 179,565 | | $ | 182,880 | |
| Total Citigroup stockholders’ equity | Total Citigroup stockholders’ equity | $ | 200,875 | | $ | 193,876 | | $ | 200,875 | | $ | 193,876 | | Total Citigroup stockholders’ equity | $ | 198,560 | | $ | 200,875 | | $ | 198,560 | | $ | 200,875 | |
| Noncontrolling interests | Noncontrolling interests | | | | | Noncontrolling interests | | | | |
| Balance, beginning of period | Balance, beginning of period | $ | 751 | | $ | 680 | | $ | 758 | | $ | 704 | | Balance, beginning of period | $ | 612 | | $ | 751 | | $ | 700 | | $ | 758 | |
| 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 | | — | | 2 | | (6) | | Transactions between Citigroup and the noncontrolling-interest shareholders | — | | 1 | | (34) | | 2 | |
| Net income attributable to noncontrolling-interest shareholders | Net income attributable to noncontrolling-interest shareholders | 24 | | 24 | | 67 | | 18 | | Net income attributable to noncontrolling-interest shareholders | 30 | | 24 | | 68 | | 67 | |
| Distributions paid to noncontrolling-interest shareholders | Distributions paid to noncontrolling-interest shareholders | — | | (2) | | — | | (2) | | Distributions paid to noncontrolling-interest shareholders | (39) | | — | | (51) | | — | |
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders | Other comprehensive income (loss) attributable to noncontrolling-interest shareholders | (31) | | 19 | | (71) | | 7 | | Other comprehensive income (loss) attributable to noncontrolling-interest shareholders | (44) | | (31) | | (126) | | (71) | |
| Other | Other | (10) | | (2) | | (21) | | (2) | | Other | (2) | | (10) | | — | | (21) | |
| Net change in noncontrolling interests | Net change in noncontrolling interests | $ | (16) | | $ | 39 | | $ | (23) | | $ | 15 | | Net change in noncontrolling interests | $ | (55) | | $ | (16) | | $ | (143) | | $ | (23) | |
| Balance, end of period | Balance, end of period | $ | 735 | | $ | 719 | | $ | 735 | | $ | 719 | | Balance, end of period | $ | 557 | | $ | 735 | | $ | 557 | | $ | 735 | |
| Total equity | Total equity | $ | 201,610 | | $ | 194,595 | | $ | 201,610 | | $ | 194,595 | | Total equity | $ | 199,117 | | $ | 201,610 | | $ | 199,117 | | $ | 201,610 | |
(1) See Note 1 to the Consolidated Financial Statements for additional details.
(2) Common dividends declared were $0.51 per share for each of the first, second and third quarters of 20212022 and 2020.2021.
(3)(2) Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements.
(4)(3) Primarily consists of open market purchases under Citi’s Board of Directors-approved common share repurchase program.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
| | | | | | | | |
| CONSOLIDATED STATEMENT OF CASH FLOWS | | Citigroup Inc. and Subsidiaries |
| (UNAUDITED) | | |
| | | | Nine Months Ended September 30, | | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | In millions of dollars | 2022 | 2021 |
| 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 | $ | 18,846 | | $ | 6,756 | | Net income before attribution of noncontrolling interests | $ | 12,400 | | $ | 18,846 | |
| Net income attributable to noncontrolling interests | Net income attributable to noncontrolling interests | 67 | | 18 | | Net income attributable to noncontrolling interests | 68 | | 67 | |
| Citigroup’s net income | Citigroup’s net income | $ | 18,779 | | $ | 6,738 | | Citigroup’s net income | $ | 12,332 | | $ | 18,779 | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | 7 | | (26) | | Income (loss) from discontinued operations, net of taxes | (229) | | 7 | |
| | Income from continuing operations—excluding noncontrolling interests | Income from continuing operations—excluding noncontrolling interests | $ | 18,772 | | $ | 6,764 | | Income from continuing operations—excluding noncontrolling interests | $ | 12,561 | | $ | 18,772 | |
| 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) | 680 | | — | | |
Net loss (gain) on sale of significant disposals(1) | | Net loss (gain) on sale of significant disposals(1) | (616) | | 680 | |
| | Depreciation and amortization | Depreciation and amortization | 2,979 | | 2,886 | | Depreciation and amortization | 3,154 | | 2,979 | |
| | Deferred income taxes | | Deferred income taxes | (576) | | 1,393 | |
| Provisions for credit losses on loans and unfunded lending commitments | Provisions for credit losses on loans and unfunded lending commitments | (3,388) | | 17,392 | | Provisions for credit losses on loans and unfunded lending commitments | 3,216 | | (3,388) | |
| Realized gains from sales of investments | Realized gains from sales of investments | (655) | | (1,484) | | Realized gains from sales of investments | (74) | | (655) | |
| Impairment losses on investments and other assets | Impairment losses on investments and other assets | 112 | | 154 | | Impairment losses on investments and other assets | 277 | | 112 | |
| Goodwill impairment | | Goodwill impairment | 535 | | — | |
| Change in trading account assets | Change in trading account assets | 32,111 | | (72,115) | | Change in trading account assets | (26,385) | | 32,111 | |
| Change in trading account liabilities | Change in trading account liabilities | 11,259 | | 27,096 | | Change in trading account liabilities | 34,950 | | 11,259 | |
| Change in brokerage receivables net of brokerage payables | Change in brokerage receivables net of brokerage payables | (4,664) | | (6,026) | | Change in brokerage receivables net of brokerage payables | 1,055 | | (4,664) | |
| Change in loans HFS | Change in loans HFS | (3,068) | | 1,288 | | Change in loans HFS | 3,499 | | (3,068) | |
| Change in other assets | Change in other assets | (1,781) | | (28) | | Change in other assets | (2,754) | | (3,174) | |
| Change in other liabilities | Change in other liabilities | 8,989 | | (1,070) | | Change in other liabilities | 1,303 | | 8,989 | |
| Other, net | Other, net | (2,161) | | 2,889 | | Other, net | (34,315) | | (2,161) | |
| Total adjustments | Total adjustments | $ | 40,413 | | $ | (29,018) | | Total adjustments | $ | (16,731) | | $ | 40,413 | |
| Net cash provided by (used in) operating activities of continuing operations | Net cash provided by (used in) operating activities of continuing operations | $ | 59,185 | | $ | (22,254) | | Net cash provided by (used in) operating activities of continuing operations | $ | (4,170) | | $ | 59,185 | |
| 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 | $ | (42,984) | | $ | (38,036) | | Change in securities borrowed and purchased under agreements to resell | $ | (21,926) | | $ | (42,984) | |
| Change in loans | Change in loans | 6,613 | | 23,488 | | Change in loans | (5,788) | | 6,613 | |
| | Proceeds from sales and securitizations of loans | Proceeds from sales and securitizations of loans | 1,134 | | 924 | | Proceeds from sales and securitizations of loans | 3,077 | | 1,134 | |
Proceeds from divestitures(1) | | Proceeds from divestitures(1) | 3,242 | | — | |
Available-for-sale debt securities(2): | | Available-for-sale debt securities(2): | |
| Purchases of investments | Purchases of investments | (277,874) | | (276,084) | | Purchases of investments | (177,306) | | (164,613) | |
| Proceeds from sales of investments | Proceeds from sales of investments | 96,203 | | 130,237 | | Proceeds from sales of investments | 86,454 | | 96,022 | |
| Proceeds from maturities of investments | Proceeds from maturities of investments | 107,361 | | 78,476 | | Proceeds from maturities of investments | 118,951 | | 90,415 | |
Held-to-maturity debt securities(2): | | Held-to-maturity debt securities(2): | |
| Purchases of investments | | Purchases of investments | (39,288) | | (112,883) | |
| Proceeds from maturities of investments | | Proceeds from maturities of investments | 9,913 | | 16,946 | |
| | | Capital expenditures on premises and equipment and capitalized software | Capital expenditures on premises and equipment and capitalized software | (2,811) | | (2,300) | | Capital expenditures on premises and equipment and capitalized software | (3,667) | | (2,811) | |
| 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 | 143 | | 25 | | Proceeds from sales of premises and equipment, subsidiaries and affiliates
and repossessed assets | 46 | | 143 | |
| | Other, net | Other, net | 146 | | 70 | | Other, net | (530) | | (51) | |
| Net cash used in investing activities of continuing operations | Net cash used in investing activities of continuing operations | $ | (112,069) | | $ | (83,200) | | Net cash used in investing activities of continuing operations | $ | (26,822) | | $ | (112,069) | |
| 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 | $ | (3,959) | | $ | (4,024) | | Dividends paid | $ | (3,777) | | $ | (3,959) | |
| Issuance of preferred stock | Issuance of preferred stock | 2,300 | | 1,500 | | Issuance of preferred stock | — | | 2,300 | |
| Redemption of preferred stock | Redemption of preferred stock | (3,785) | | (1,500) | | Redemption of preferred stock | — | | (3,785) | |
| Treasury stock acquired | (7,448) | | (2,925) | | |
| Stock tendered for payment of withholding taxes | (328) | | (408) | | |
| Change in securities loaned and sold under agreements to repurchase | 9,659 | | 40,888 | | |
| Issuance of long-term debt | 53,961 | | 65,599 | | |
| Payments and redemptions of long-term debt | (56,472) | | (47,521) | | |
| Change in deposits | 73,769 | | 192,033 | | |
| 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) | |
| | Nine Months Ended September 30, | | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | In millions of dollars | 2022 | 2021 |
| Treasury stock acquired | | Treasury stock acquired | $ | (3,250) | | $ | (7,448) | |
| Stock tendered for payment of withholding taxes | | Stock tendered for payment of withholding taxes | (339) | | (328) | |
| Change in securities loaned and sold under agreements to repurchase | | Change in securities loaned and sold under agreements to repurchase | 12,144 | | 9,659 | |
| Issuance of long-term debt | | Issuance of long-term debt | 85,459 | | 53,961 | |
| Payments and redemptions of long-term debt | | Payments and redemptions of long-term debt | (47,011) | | (56,472) | |
| Change in deposits | | Change in deposits | 8,947 | | 73,769 | |
| Change in short-term borrowings | | Change in short-term borrowings | 19,395 | | 169 | |
| Net cash provided by financing activities of continuing operations | Net cash provided by financing activities of continuing operations | $ | 67,866 | | $ | 236,032 | | Net cash provided by financing activities of continuing operations | $ | 71,568 | | $ | 67,866 | |
| Effect of exchange rate changes on cash and due from banks | Effect of exchange rate changes on cash and due from banks | $ | (789) | | $ | (802) | | Effect of exchange rate changes on cash and due from banks | $ | (3,002) | | $ | (789) | |
| | Change in cash, due from banks and deposits with banks | Change in cash, due from banks and deposits with banks | 14,193 | | 129,776 | | Change in cash, due from banks and deposits with banks | 37,574 | | 14,193 | |
| Cash, due from banks and deposits with banks at beginning of period | Cash, due from banks and deposits with banks at beginning of period | 309,615 | | 193,919 | | Cash, due from banks and deposits with banks at beginning of period | 262,033 | | 309,615 | |
| Cash, due from banks and deposits with banks at end of period | Cash, due from banks and deposits with banks at end of period | $ | 323,808 | | $ | 323,695 | | Cash, due from banks and deposits with banks at end of period | $ | 299,607 | | $ | 323,808 | |
| Cash and due from banks (including segregated cash and other deposits) | Cash and due from banks (including segregated cash and other deposits) | $ | 28,906 | | $ | 25,308 | | Cash and due from banks (including segregated cash and other deposits) | $ | 26,502 | | $ | 28,906 | |
| Deposits with banks, net of allowance | Deposits with banks, net of allowance | 294,902 | | 298,387 | | Deposits with banks, net of allowance | 273,105 | | 294,902 | |
| Cash, due from banks and deposits with banks at end of period | Cash, due from banks and deposits with banks at end of period | $ | 323,808 | | $ | 323,695 | | Cash, due from banks and deposits with banks at end of period | $ | 299,607 | | $ | 323,808 | |
| 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 | $ | 3,063 | | $ | 3,837 | | Cash paid during the period for income taxes | $ | 2,684 | | $ | 3,063 | |
| Cash paid during the period for interest | Cash paid during the period for interest | 6,894 | | 11,502 | | Cash paid during the period for interest | 12,557 | | 5,983 | |
Non-cash investing activities(1)(2) | | | |
Non-cash investing activities(1)(3) | | Non-cash investing activities(1)(3) | | |
| | Decrease in net loans associated with significant disposals reclassified to HFS | $ | 8,291 | | $ | — | | |
| Transfer of investment securities from AFS to HTM | | Transfer of investment securities from AFS to HTM | $ | 21,688 | | $ | — | |
| Decrease in net loans associated with divestitures reclassified to HFS | | Decrease in net loans associated with divestitures reclassified to HFS | 16,956 | | 8,291 | |
| | Decrease in goodwill associated with divestitures reclassified to HFS | | Decrease in goodwill associated with divestitures reclassified to HFS | 876 | | — | |
| Transfers to loans HFS (Other assets) from loans | Transfers to loans HFS (Other assets) from loans | 5,329 | | 2,122 | | Transfers to loans HFS (Other assets) from loans | 4,037 | | 5,329 | |
| Non-cash financing activities(1) | Non-cash financing activities(1) | | Non-cash financing activities(1) | |
| Decrease in long-term debt associated with significant disposals reclassified to HFS | $ | 521 | | $ | — | | |
| Decrease in deposits associated with significant disposals reclassified to HFS | 6,912 | | — | | |
| Decrease in deposits associated with divestitures reclassified to HFS | | Decrease in deposits associated with divestitures reclassified to HFS | $ | 19,691 | | $ | 6,912 | |
| Decrease in long-term debt associated with divestitures reclassified to HFS | | Decrease in long-term debt associated with divestitures reclassified to HFS | — | | 521 | |
|
(1) See Note 2 for further information on significant disposals.
(2) Citi has revised the Consolidated Statement of Cash Flows to present purchases of investments, sales of investments and proceeds from maturities of investments separately between available-for-sale debt securities and held-to-maturity debt securities. Citi had no sales of held-to-maturity debt securities during the periods presented.
(3) Operating and finance lease right-of-use assets and lease liabilities represent non-cash investing and financing activities, respectively, and are not included in the non-cash investing activities presented here. See Note 22 to the Consolidated Financial Statements23 for more information and balances as of September 30, 2021.2022.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION, UPDATED ACCOUNTING POLICIES AND ACCOUNTING CHANGES
Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of September 30, 20212022 and for the three- and nine-month periods ended September 30, 20212022 and 20202021 include the accounts of Citigroup Inc. and its consolidated subsidiaries.
In the opinion of management, all adjustments, consisting of normal recurring adjustments, necessary for a fair presentation have been reflected. The accompanying unaudited Consolidated Financial Statements should be read in conjunction with the Consolidated Financial Statements and related notes included inwithin Citigroup’s Annual Report on Form 10-K for the fiscal year ended December 31, 2020 (20202021, Citigroup’s Current Report on Form 8-K dated May 10, 2022 (as amended by a Current Report on Form 8-K/A dated May 10, 2022) with Historical Consolidated Financial Statements and Notes conformed to reflect changes in Citigroup’s reportable segments from those contained in Citi’s 2021 Annual Report on Form 10-K included as an exhibit thereto (such Current Report on Form 8-K together with Citigroup’s 2021 Annual Report on Form 10-K, collectively referred to as the 2021 Form 10-K) and, Citigroup’s Quarterly ReportsReport on Form 10-Q for the quarter ended March 31, 20212022 (First Quarter of 20212022 Form 10-Q), and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended June 30, 20212022 (Second Quarter of 20212022 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 on2021 Form 10-K for a summary of all of Citigroup’s significant accounting policies.
ACCOUNTING CHANGES
AccountingVoluntary Change in Goodwill Impairment Assessment Date
During the third quarter of 2022, the Company voluntarily changed its annual goodwill impairment assessment date from July 1 to October 1. See Note 15 for Financial Instruments—Credit Lossesadditional information.
OverviewMultiple Macroeconomic Scenarios-Based ACL Approach
In June 2016,During the Financial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326). The ASU introduced a new credit losssecond quarter of 2022, Citi refined its ACL 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 Allowanceto utilize multiple macroeconomic scenarios to estimate its 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 credit losses. The CECL methodology representsACL was previously estimated using 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 cyclecombination of a loan or other financial asset, the methodology generally results in an earlier recognitionsingle base-case forecast scenario as part 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’sits 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 likelihoodfrom downside macroeconomic scenarios. As a result of this change, Citi now explicitly incorporates multiple macroeconomic scenarios—base, upside, and severity of downside scenarios downside—and certain portfolio characteristics not capturedassociated probabilities in the quantitative component such as concentrations, collateral coverage, model limitations, idiosyncratic events and other factors as required by banking supervisory guidance for thewhen estimating its 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 fromThis refinement represents a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to January 1, 2020 opening retained earnings, rather than 2020 net income. As a result, Citi’s full-year and quarterly results for 2020 were revised to reflect this change as if it were effective as of January 1, 2020, as follows:
•An increase to beginning retained earnings on January 1, 2020 of $330 million and a decrease of $443 million in the allowance for credit losses on loans, as well as a $113 million decrease in other assets related to income taxes.
•A decrease of $18 million to provisions for credit losses on loans in the first quarter and increases of $339 million and $122 million to provisions for credit losses on loans in the second and third quarters, respectively.
•Increases in operating expenses of $49 million and $45 million with a corresponding decrease in net credit losses, in the first and second quarters, respectively.
In making these revisions, Citi considered the guidance inestimate” under ASC Topic 250, Accounting Changes and Error Corrections; ASC Topic 270, Interim Reporting; ASC Topic 250-S99-1, Assessing Materiality;, with prospective application beginning in the period of change. This change in accounting estimate resulted in a decrease of approximately $0.3 billion in the allowance for credit losses in the second quarter of 2022, partially offsetting an increase of $0.8 billion in the allowance for credit losses due to the increased macroeconomic uncertainty and ASC Topic 250-S99-23, Accounting Changes Not Retroactively Applied Due to Immateriality, Consideringother factors in the Effectssecond quarter 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.2022.
Reference Rate ReformAccounting for Deposit Insurance Expenses
In March 2020,During the FASB issued ASU No. 2020-04, Reference Rate Reform (Topic 848): Facilitationfourth quarter of 2021, Citi changed its presentation of the Effects of Reference Rate Reform on Financial Reportingdeposit insurance costs paid to the Federal Deposit Insurance Corporation (FDIC) and similar foreign regulators. These costs were previously presented within , 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 maintainedInterest expense 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 tothis change, are now presented within Other operating expenses. Citi concluded that this presentation was preferable in Citi’s circumstances, as it better reflected the “discounting transition”). The amendmentsnature of these deposit insurance costs in that these costs do not applydirectly represent interest payments to contract modifications made after December 31, 2022, new hedging relationships entered into after December 31, 2022creditors, but are similar in nature to other payments to regulatory agencies that are accounted for as operating expenses.
This change in income statement presentation represents a “change in accounting principle” under ASC Topic 250, Accounting Changes and existing hedging relationships evaluatedError Corrections, with retrospective application to the earliest period presented. This change in accounting principle resulted in a reclassification of $293 million and $912 million of deposit insurance expenses from Interest expense to Other operating expenses, 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 throughquarter and nine months ended September 30, 2021. This change had no impact on Citi’s net income or the end of the hedging relationship. The ASU was adoptedtotal deposit insurance expense incurred by Citi on a full retrospective basis upon issuance and did not impact financial results in 2020.Citi.
FUTURE ACCOUNTING CHANGES
Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions
In June 2022, FASB issued Accounting Standards Update (ASU) 2022-3, Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions. The ASU was issued to address diversity in practice whereby certain entities included the impact of contractual restrictions when valuing equity securities, and it clarifies that a contractual restriction on the sale of an equity security should not be considered part of the unit of account of the equity security and, therefore, should not be considered in measuring fair value. The ASU also includes requirements for entities to disclose the fair value of equity securities subject to contractual sale restrictions, the nature and remaining duration of the restrictions and the circumstances that could cause a lapse in the restrictions.
The ASU is to be adopted on a prospective basis and will be effective for Citigroup on January 1, 2024, although early adoption is permitted. Adoption of the accounting standard is not expected to have an impact on Citi’s operating results or financial position, as the Company excludes such restrictions when valuing equity securities.
Troubled Debt Restructurings and Vintage Disclosures
In March 2022, the FASB issued ASU No. 2022-02, Financial Instruments—Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures. Citi will adopt the ASU on its effective date, January 1, 2023 (early adoption is permitted). The ASU eliminates the requirement to measure the ACLL for TDRs using a discounted cash flow (DCF) approach. Citi expects to discontinue the use of a DCF approach for consumer loans upon adoption, which will result in an adjustment to the opening balances of the ACLL and retained earnings. The ASU will not affect the measurement of the ACLL for corporate loans. Citi is currently evaluating the potential impact on its Consolidated Financial Statements. The ASU also enhances disclosure of modifications of loans made to borrowers experiencing financial difficulty and requires that an entity disclose current-period gross write-offs by year of loan origination in credit quality disclosures. The amendments related to disclosures are required to be applied prospectively beginning as of the date of adoption.
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 or financial condition as a result of adopting the standard.
2. DISCONTINUED OPERATIONS, 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 September 30, | Nine Months Ended September 30, | | | | |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 | | | | |
| Total revenues, net of interest expense | $ | — | | $ | — | | $ | — | | $ | — | | | | | |
Income (loss) from discontinued operations(1) | $ | (1) | | $ | (7) | | $ | 7 | | $ | (26) | | | | | |
| | | | | | | | |
| Benefit for income taxes | — | | — | | — | | — | | | | | |
Income (loss) from discontinued operations,
net of taxes | $ | (1) | | $ | (7) | | $ | 7 | | $ | (26) | | | | | |
| | | | | | | | | | | | | | | | | | |
| Three Months Ended September 30, | Nine Months Ended September 30, | | | | |
| In millions of dollars | 2022 | 2021 | 2022 | 2021 | | | | |
| Total revenues, net of interest expense | $ | — | | $ | — | | $ | — | | $ | — | | | | | |
Income (loss) from discontinued operations(1) | $ | (6) | | $ | (1) | | $ | (270) | | $ | 7 | | | | | |
| | | | | | | | |
| Benefit for income taxes | — | | — | | (41) | | — | | | | | |
Income (loss) from discontinued operations,
net of taxes | $ | (6) | | $ | (1) | | $ | (229) | | $ | 7 | | | | | |
(1)Amounts in each period relate to the sale of the Egg Banking business in 2011.
During the second quarter of 2022, the Company finalized the settlement of certain liabilities related to its legacy consumer operation in the U.K. (the legacy operation), including an indemnification liability related to its sale of the Egg Banking business in 2011, which led to the substantial liquidation of the legacy operation. As a result, a CTA loss (net of hedges) in AOCI of approximately $400 million pretax ($345 million after-tax) related to the legacy operation was released to earnings in the second quarter of 2022. Out of the total CTA release, a $260 million pretax loss ($221 million after-tax loss) was attributable to the Egg Banking business noted above, reported in Discontinued operations, and therefore the corresponding CTA release was also reported in Discontinued operations during the second quarter of 2022. The remaining CTA release of a $140 million pretax loss ($124 million after-tax loss) related to Legacy Holdings Assets was reported as part of Continuing operations within Legacy Franchises.
While the legacy operation was divested in multiple sales over the years, each transaction did not result in substantial liquidation given that Citi retained certain liabilities noted above, which were gradually settled over time until reaching the point of substantial liquidation during the second quarter of 2022, triggering the release of the CTA loss to earnings.
Cash flows from Discontinued operations were not material for the periods presented.
Significant Disposals
The following transactions were identified as significant disposalsAs of September 30, 2022, Citi has entered into sale agreements for nine consumer banking businesses that are recorded within the Global Consumer Banking segment,Citi intends to exit, including the sales of the Australia and Philippines businesses, which closed in the second and third quarters of 2022, respectively. The sale agreements have resulted in a transfer to HFS over time of approximately $26 billion in assets, including approximately $17 billion of loans (net of allowance of $292 million) and approximately $20 billion in liabilities, including approximately $20 billion in deposits. As a result, these assets and liabilities thatheld by each business were reclassified to held-for-saleHFS within Other assets and Other liabilities,respectively, on the Consolidated Balance Sheet andSheet. The following five sale transactions were identified as significant disposals within the Income (loss) before taxes (benefits)Legacy Franchises relatedsegment. All sale transactions that have yet 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 isclose in the table below are subject to regulatory approvals and other customary closing conditions, is expected to closeconditions.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | September 30, 2022 |
| In millions of dollars | | Assets | | Liabilities | |
| Consumer banking business in | Sale agreement date | Expected close | Cash and deposits with banks | Loans(1) | Goodwill(2) | Other assets, advances to/from subsidiaries | Other assets | Total assets | Deposits | Long-term debt | Other liabilities | Total liabilities |
Australia(3) | 8/9/21 | closed 6/1/2022 | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
Philippines(4) | 12/23/21 | closed 8/1/2022 | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
Thailand(5) | 1/14/22 | closed 11/1/2022 | $ | 16 | | $ | 2,374 | | $ | 145 | | $ | 199 | | $ | 81 | | $ | 2,815 | | $ | 865 | | $ | — | | $ | 135 | | $ | 1,000 | |
Taiwan(5) | 1/28/22 | second half 2023 | 96 | | 7,455 | | 192 | | 4,727 | | 190 | | 12,660 | | 9,851 | | — | | 214 | | 10,065 | |
India(5) | 3/30/22 | first half 2023 | 24 | | 3,431 | | 313 | | 2,134 | | 99 | | 6,001 | | 5,472 | | — | | 191 | | 5,663 | |
| | | | | | | | | | | | | | |
| Income (loss) before taxes(6) |
| Three Months Ended
September 30, | Nine Months Ended
September 30, |
| In millions of dollars | 2022 | 2021 | 2022 | 2021 |
Australia(3) | $ | — | | $ | 95 | | $ | 193 | | $ | 236 | |
Philippines(4) | 7 | | 47 | | 72 | | 114 | |
| Thailand | 28 | | 17 | | 106 | | 108 | |
| Taiwan | 15 | | 71 | | 111 | | 221 | |
| India | 37 | | 59 | | 161 | | 157 | |
(1) Loans, net of allowance as of September 30, 2022: Thailand $67 million, Taiwan $56 million and India $44 million.
(2) For Thailand, includes intangible assets.
(3) On June 1, 2022, Citi completed the sale of its Australia consumer banking business, which was part of Legacy Franchises. The Australia consumer banking business had approximately $9.4 billion in the first halfassets, including $9.3 billion of 2022. Asloans (net of the third quarterallowance of 2021, Citi reported the business as held-for-sale, resulting$140 million) and excluding goodwill. The total amount of liabilities was $7.3 billion including $6.8 billion in deposits. The transaction generated a pretax loss on sale of approximately $680$780 million ($650 million after-tax), subject to closing adjustments, recorded in Other revenue ($580 million after-tax), subject to closing adjustments.. The loss on sale primarily reflectsreflected the impact of aan approximate pretax $625$620 million currency translation adjustment (CTA) loss (net of hedges) ($475470 million after-tax) already reflected in the Accumulated other comprehensive income (AOCI(AOCI)) component of equity. Upon closing,The sale closed on June 1, 2022, and the CTA-related balance would bewas removed from the AOCI component of equity, resulting in a neutral CTA impact to Citi’s Common Equity Tier 1 Capital. The income before taxes shown in the above table for Australia reflects Citi’s ownership through June 1, 2022.
(4) On August 1, 2022, Citi completed the sale of its Philippines consumer banking business, which was part of Legacy Franchises. The Philippines consumer banking business had approximately $1.8 billion in assets, including $1.2 billion of loans (net of allowance of $80 million) and excluding goodwill. The total amount of liabilities was $1.3 billion, including $1.2 billion in deposits. The sale resulted in a pretax gain on sale of approximately $616 million ($290 million after-tax), subject to closing adjustments, recorded in Other revenue. The income before taxes shown in the above table for the Philippines reflects Citi’s ownership through August 1, 2022.
(5) These sales are expected to result in an after-tax gain upon closing.
(6) Income before taxes excludingfor the period in which the individually significant component was classified as HFS for all prior periods presented. For Australia, excludes the pretax loss on sale, forsale. For the Australia consumer banking business is as follows:Philippines, excludes the pretax gain on sale.
| | | | | | | | | | | | | | |
| 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 September 30, 2021.2022. As of November 8, 2021,4, 2022, Citi had not entered into anysale agreements for its two other definitive sales agreements relatedconsumer banking businesses to its recently announced intention to pursue exits of its consumer franchisesbe sold in 13 markets across Asia and EMEA.
EMEA.
For a description of the Company’s significant disposal transactions in prior periods and financial impact, see Note 2 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
Other Business Exits
Wind-Down of Korea Consumer Banking Business
On October 25, 2021, Citi announceddisclosed its decision to wind down and close its Korea consumer banking business.business, which is reported in the Legacy Franchises operating segment. In connection with the announcement, Citibank Korea Inc. (CKI) has commenced a voluntary early termination program.program (Korea VERP). Due to the voluntary nature of this termination program, no liabilities for termination benefits are recorded until CKI makes formal offers to employees that are then irrevocably accepted by those employees. Related charges are recorded as Compensation and benefits.
During the employees.first quarter of 2022, Citi recorded an additional pretax charge of $31 million, composed of gross charges connected to the Korea VERP.
The following table summarizes the reserve charges related to the Korea VERP and other initiatives reported in the Legacy Franchises operating segment and Corporate/Other:
| | | | | |
| In millions of dollars | Employee termination costs |
| Total Citigroup (pretax) | |
| Original charges | $ | 1,052 | |
| Utilization | (1) | |
| Foreign exchange | 3 | |
| Balance at December 31, 2021 | $ | 1,054 | |
| Additional charges | $ | 31 | |
| Utilization | (347) | |
| Foreign exchange | (24) | |
| Balance at March 31, 2022 | $ | 714 | |
| Additional charges (releases) | $ | (3) | |
| Utilization | (670) | |
| Foreign exchange | (41) | |
| Balance at June 30, 2022 | $ | — | |
| Additional charges (releases) | $ | — | |
| Utilization | — | |
| Foreign exchange | — | |
| Balance at September 30, 2022 | $ | — | |
The total estimated cash charges for the wind-down are $1.1 billion, most of which were recognized in 2021.
See Note 8 for details on the pension impact of the Korea wind-down.
Wind-Down of Russia Consumer and Institutional Banking Businesses
On August 25, 2022, Citi disclosed its decision to wind down its consumer banking and local commercial banking operations in Russia. As part of the wind-down, Citi is also actively pursuing sales of certain Russian consumer banking portfolios.
In connection with the wind-down plan, Citi expects to incur total estimated cash charges ranging from approximately $1.2 billion$170 million in costs, primarily over the next 18 months, largely driven by restructuring, vendor termination fees and other related charges. These costs do not include the impact of any potential portfolio sales, should such sales be executed. During the third quarter of 2022, Citi recorded a pretax charge of approximately $10 million, composed of severance costs reported in the Legacy Franchises operating segment.
On October 14, 2022, Citi disclosed that it will be ending nearly all of the institutional banking services it offers in Russia by the end of the first quarter of 2023. Going forward, Citi’s only operations in Russia will be those necessary to $1.5 billion, relatedfulfill its remaining legal and regulatory obligations.
On October 28, 2022, Citi entered into an agreement to voluntary termination benefits and related costs.sell a portfolio of ruble-denominated personal installment loans, totaling approximately $345 million in outstanding loan balances as of the third quarter of 2022, to Uralsib, a Russian commercial bank. Citi does not expectexpects to recognize these charges allincur a loss of approximately $35 million as a result of the sale, which is expected to close in the fourth quarter of 2022. In connection with the portfolio sale, Citi also entered into a referral agreement to transfer to Uralsib a portfolio of ruble-denominated credit card loans, subject to customer consents. The outstanding card loans balance was approximately $320 million as of the third quarter of 2022. Citi will refer credit card customers, who at once, but over time through the remainder of 2021 and 2022, as voluntary retirements are phased and irrevocably accepted in ordercustomers’ sole discretion will be eligible to minimize business and operational impacts.refinance their outstanding card loan balances with Uralsib.
3. BUSINESSOPERATING SEGMENTS
Citigroup’s activities are conducted through 2 business
Effective January 1, 2022, Citi changed its management structure resulting in changes in its operating segments and reporting units to reflect how the CEO, who is the chief operating decision maker, intends to manage the Company, allocate resources and measure performance. Citi reorganized its reporting into three operating segments:Global Consumer Banking (GCB) and Institutional Clients Group (ICG)(, ICG),Personal Banking and Wealth Management (PBWM) and Legacy Franchises, with the remaining operations in Corporate/Other,which includes including activities not assigned to a specific businessoperating 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.operations. The prior-period reportable operating segment results have been revisedbalances reflect reclassifications to conform the presentation for allin those periods to reflect this revised allocation methodology.the current operating segment structure. Citi’s consolidated results were not impacted by the changes discussed above and remain unchanged for all periods presented as a resultpresented.
The operating segments are determined based on how management allocates resources and measures financial performance to make business decisions, and are reflective of the changes discussed above.types of customers served and the products and services provided.
ICG consists of Services, Markets and Banking, providing corporate, institutional and public sector clients around the world with a full range of wholesale banking products and services.
For additional information regarding Citigroup’sPBWM consists of U.S. Personal Banking and Global Wealth Management (Global Wealth), providing traditional banking services and credit cards to retail and small business segments, see Note 3customers in the U.S., and financial services to the Consolidated Financial Statementsentire continuum of wealth clients—from affluent to ultra-high-net-worth—through banking, lending, mortgages, investment, custody and trust product offerings in Citi’s 2020 Annual Report on Form 10-K.20 countries, including the U.S., Mexico and the four wealth management centers: Singapore, Hong Kong, the UAE and London.
Legacy Franchises consists of Asia Consumer and Mexico Consumer/SBMM businesses that Citi intends to exit, and its remaining Legacy Holdings Assets.
Corporate/Other includes activities not assigned to the operating segments, including certain unallocated costs of global functions, other corporate expenses and net treasury results, offsets to certain line-item reclassifications and eliminations, and unallocated taxes, as well as discontinued operations.
The following tables present certain information regarding the Company’s continuing operations by operating segment and Corporate/Other:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended September 30, |
| In millions of dollars, except identifiable assets, average loans and average deposits in billions | ICG | PBWM | Legacy Franchises | Corporate/Other | Total Citi |
| 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 |
| Net interest income | $ | 4,570 | | $ | 3,738 | | $ | 5,836 | | $ | 5,174 | | $ | 1,385 | | $ | 1,532 | | $ | 772 | | $ | 247 | | $ | 12,563 | | $ | 10,691 | |
| Non-interest revenue | 4,898 | | 6,253 | | 351 | | 678 | | 1,169 | | 4 | | (473) | | (179) | | 5,945 | | 6,756 | |
| Total revenues, net of interest expense | $ | 9,468 | | $ | 9,991 | | $ | 6,187 | | $ | 5,852 | | $ | 2,554 | | $ | 1,536 | | $ | 299 | | $ | 68 | | $ | 18,508 | | $ | 17,447 | |
| Operating expense | 6,541 | | 5,963 | | 4,077 | | 3,624 | | 1,845 | | 1,748 | | 286 | | 442 | | 12,749 | | 11,777 | |
| Provisions for credit losses | 86 | | 24 | | 1,109 | | (201) | | 167 | | (14) | | 3 | | (1) | | 1,365 | | (192) | |
| Income (loss) from continuing operations before taxes | $ | 2,841 | | $ | 4,004 | | $ | 1,001 | | $ | 2,429 | | $ | 542 | | $ | (198) | | $ | 10 | | $ | (373) | | $ | 4,394 | | $ | 5,862 | |
| Provision (benefits) for income taxes | 655 | | 889 | | 209 | | 533 | | 226 | | 3 | | (211) | | (232) | | 879 | | 1,193 | |
| Income (loss) from continuing operations | $ | 2,186 | | $ | 3,115 | | $ | 792 | | $ | 1,896 | | $ | 316 | | $ | (201) | | $ | 221 | | $ | (141) | | $ | 3,515 | | $ | 4,669 | |
| Identifiable assets (September 30, 2022 and December 31, 2021) | $ | 1,706 | | $ | 1,613 | | $ | 479 | | $ | 464 | | $ | 100 | | $ | 125 | | $ | 96 | | $ | 89 | | $ | 2,381 | | $ | 2,291 | |
| Average loans | 291 | | 289 | | 325 | | 309 | | 39 | | 71 | | — | | — | | 655 | | 669 | |
| Average deposits | 817 | | 831 | | 428 | | 424 | | 50 | | 80 | | 21 | | 8 | | 1,316 | | 1,343 | |
| | | | | | | | | | |
| Nine Months Ended September 30, |
| In millions of dollars, except average loans and average deposits in billions | ICG | PBWM | Legacy Franchises | Corporate/Other | Total Citi |
| 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 |
| Net interest income | $ | 12,874 | | $ | 11,231 | | $ | 16,790 | | $ | 15,324 | | $ | 4,367 | | $ | 4,716 | | $ | 1,367 | | $ | 404 | | $ | 35,398 | | $ | 31,675 | |
| Non-interest revenue | 19,173 | | 19,697 | | 1,331 | | 2,218 | | 2,053 | | 1,342 | | (623) | | (65) | | 21,934 | | 23,192 | |
| Total revenues, net of interest expense | $ | 32,047 | | $ | 30,928 | | $ | 18,121 | | $ | 17,542 | | $ | 6,420 | | $ | 6,058 | | $ | 744 | | $ | 339 | | $ | 57,332 | | $ | 54,867 | |
| Operating expense | 19,698 | | 17,724 | | 11,951 | | 10,593 | | 5,952 | | 5,288 | | 706 | | 1,056 | | 38,307 | | 34,661 | |
| Provisions for credit losses | 855 | | (2,209) | | 2,088 | | (928) | | 448 | | (174) | | 3 | | (2) | | 3,394 | | (3,313) | |
| Income (loss) from continuing operations before taxes | $ | 11,494 | | $ | 15,413 | | $ | 4,082 | | $ | 7,877 | | $ | 20 | | $ | 944 | | $ | 35 | | $ | (715) | | $ | 15,631 | | $ | 23,519 | |
| Provision (benefits) for income taxes | 2,672 | | 3,435 | | 877 | | 1,756 | | 104 | | 333 | | (651) | | (844) | | 3,002 | | 4,680 | |
| Income (loss) from continuing operations | $ | 8,822 | | $ | 11,978 | | $ | 3,205 | | $ | 6,121 | | $ | (84) | | $ | 611 | | $ | 686 | | $ | 129 | | $ | 12,629 | | $ | 18,839 | |
| Average loans | $ | 292 | | $ | 286 | | $ | 318 | | $ | 305 | | $ | 44 | | $ | 77 | | $ | — | | $ | — | | $ | 654 | | $ | 668 | |
| Average deposits | 824 | | 819 | | 437 | | 410 | | 52 | | 85 | | 11 | | 9 | | 1,324 | | 1,323 | |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended September 30, | | |
| Revenues,
net of interest expense(1) | Provision (benefits)
for income taxes | Income (loss) from
continuing operations(2) | Identifiable assets |
| In millions of dollars, except identifiable assets in billions | 2021 | 2020 | 2021 | 2020 | 2021 | 2020 | September 30,
2021 | December 31, 2020 |
| Global Consumer Banking | $ | 6,260 | | $ | 7,173 | | $ | 424 | | $ | 284 | | $ | 1,334 | | $ | 920 | | $ | 442 | | $ | 434 | |
| Institutional Clients Group | 10,786 | | 10,353 | | 991 | | 800 | | 3,443 | | 2,857 | | 1,819 | | 1,730 | |
| Corporate/Other | 108 | | (224) | | (222) | | (307) | | (108) | | (600) | | 101 | | 96 | |
| Total | $ | 17,154 | | $ | 17,302 | | $ | 1,193 | | $ | 777 | | $ | 4,669 | | $ | 3,177 | | $ | 2,362 | | $ | 2,260 | |
| | | | | | | | |
| Nine Months Ended September 30, | | |
| Revenues,
net of interest expense(3) | Provision (benefits)
for income taxes | Income (loss) from
continuing operations(4) | |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 | 2021 | 2020 | | |
| Global Consumer Banking | $ | 20,117 | | $ | 22,686 | | $ | 1,654 | | $ | (254) | | $ | 5,337 | | $ | (569) | | | |
| Institutional Clients Group | 33,393 | | 34,974 | | 3,821 | | 2,284 | | 13,210 | | 8,253 | | | |
| Corporate/Other | 445 | | 139 | | (795) | | (621) | | 292 | | (902) | | | |
| 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 $8.5 billion and $8.4 billion; in EMEA of $3.1 billion and $3.1 billion; in Latin America of $2.3 billion and $2.2 billion; and in Asia of $3.2 billion and $3.8 billion for the three months ended September 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 $1.7 billion; in the ICG results of $0.0 billion and $0.8 billion; and in the Corporate/Other results of $(0.1) billion and $(0.1) billion for the three months ended September 30, 2021 and 2020, respectively.
(3) Includes total revenues, net of interest expense, in North America of $25.7 billion and $28.3 billion; in EMEA of $10.1 billion and $9.9 billion; in Latin America of $6.7 billion and $7.0 billion; and in Asia of $11.1 billion and $12.3 billion for the nine months ended September 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 $(0.4) billion and $10.6 billion; in the ICG results of $(2.6) billion and $6.7 billion; and in the Corporate/Other results of $(0.3) billion and $0.2 billion for the nine months ended September 30, 2021 and 2020, respectively.
4. INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
| | | Three Months Ended September 30, | Nine Months Ended September 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 | 2022 | 2021 | 2022 | 2021 | |
| Interest revenue | Interest revenue | | | | | Interest revenue | | | | |
| Consumer loans | | Consumer loans | $ | 7,380 | | $ | 6,567 | | $ | 20,243 | | $ | 19,790 | | |
| Corporate loans | | Corporate loans | 3,403 | | 2,307 | | 8,750 | | 6,726 | | |
| Loan interest, including fees | Loan interest, including fees | $ | 8,874 | | $ | 9,421 | | $ | 26,516 | | $ | 30,820 | | | Loan interest, including fees | $ | 10,783 | | $ | 8,874 | | $ | 28,993 | | $ | 26,516 | | |
| Deposits with banks | Deposits with banks | 147 | | 116 | | 418 | | 802 | | | Deposits with banks | 1,218 | | 147 | | 2,172 | | 418 | | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | 264 | | 352 | | 763 | | 1,961 | | | Securities borrowed and purchased under agreements to resell | 2,176 | | 264 | | 3,375 | | 763 | | |
| Investments, including dividends | Investments, including dividends | 1,885 | | 1,870 | | 5,455 | | 6,248 | | | Investments, including dividends | 2,993 | | 1,885 | | 7,413 | | 5,455 | | |
Trading account assets(1) | Trading account assets(1) | 1,284 | | 1,457 | | 4,091 | | 4,720 | | | Trading account assets(1) | 1,989 | | 1,284 | | 4,794 | | 4,091 | | |
| Other interest-bearing assets | 196 | | 98 | | 404 | | 491 | | | |
Other interest-earning assets(2) | | Other interest-earning assets(2) | 760 | | 196 | | 1,953 | | 404 | | |
| Total interest revenue | Total interest revenue | $ | 12,650 | | $ | 13,314 | | $ | 37,647 | | $ | 45,042 | | | Total interest revenue | $ | 19,919 | | $ | 12,650 | | $ | 48,700 | | $ | 37,647 | | |
| Interest expense | Interest expense | | | | | Interest expense | | | | |
Deposits(2) | $ | 1,023 | | $ | 1,293 | | $ | 3,030 | | $ | 5,376 | | | |
| Deposits | | Deposits | $ | 3,270 | | $ | 730 | | $ | 5,561 | | $ | 2,118 | | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 287 | | 292 | | 800 | | 1,830 | | | Securities loaned and sold under agreements to repurchase | 1,251 | | 287 | | 2,188 | | 800 | | |
Trading account liabilities(1) | Trading account liabilities(1) | 106 | | 123 | | 370 | | 506 | | | Trading account liabilities(1) | 472 | | 106 | | 756 | | 370 | | |
| Short-term borrowings and other interest-bearing liabilities | 8 | | 88 | | 70 | | 612 | | | |
Short-term borrowings and other interest-bearing liabilities(3) | | Short-term borrowings and other interest-bearing liabilities(3) | 745 | | 8 | | 1,068 | | 70 | | |
| Long-term debt | Long-term debt | 828 | | 1,025 | | 2,614 | | 3,653 | | | Long-term debt | 1,618 | | 828 | | 3,729 | | 2,614 | | |
| Total interest expense | Total interest expense | $ | 2,252 | | $ | 2,821 | | $ | 6,884 | | $ | 11,977 | | | Total interest expense | $ | 7,356 | | $ | 1,959 | | $ | 13,302 | | $ | 5,972 | | |
| Net interest revenue | $ | 10,398 | | $ | 10,493 | | $ | 30,763 | | $ | 33,065 | | | |
| Net interest income | | Net interest income | $ | 12,563 | | $ | 10,691 | | $ | 35,398 | | $ | 31,675 | | |
| Provision (benefit) for credit losses on loans | Provision (benefit) for credit losses on loans | (188) | | 1,931 | | (2,793) | | 16,298 | | | Provision (benefit) for credit losses on loans | 1,328 | | (188) | | 2,972 | | (2,793) | | |
| Net interest revenue after provision for credit losses on loans | $ | 10,586 | | $ | 8,562 | | $ | 33,556 | | $ | 16,767 | | | |
| Net interest income after provision for credit losses on loans | | Net interest income after provision for credit losses on loans | $ | 11,235 | | $ | 10,879 | | $ | 32,426 | | $ | 34,468 | | |
(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 feesassets from businesses held-for-sale (see Note 2) and charges of $293 millionBrokerage receivables.
(3)Includes liabilities from businesses held-for-sale (see Note 2) and $375 million for the three months ended September 30, 2021 and 2020, respectively, and $912 million and $870 million for the nine months ended September 30, 2021 and 2020, respectively.Brokerage payables.
5. COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES
For additional information on Citi’s commissions and fees, and administration and other fiduciary fees, see Note 5 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
The following tables present Commissions and fees revenue:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended September 30, 2021 | Nine Months Ended September 30, 2021 |
| In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total |
| Investment banking | $ | 1,493 | | $ | — | | $ | — | | $ | 1,493 | | $ | 4,503 | | $ | — | | $ | — | | $ | 4,503 | |
| Brokerage commissions | 483 | | 290 | | — | | 773 | | 1,626 | | 910 | | — | | 2,536 | |
| Credit- and bank-card income | | | | | | | | |
| Interchange fees | 225 | | 2,317 | | — | | 2,542 | | 580 | | 6,496 | | — | | 7,076 | |
| Card-related loan fees | 7 | | 164 | | — | | 171 | | 19 | | 511 | | — | | 530 | |
Card rewards and partner payments(1) | (119) | | (2,541) | | — | | (2,660) | | (298) | | (7,048) | | — | | (7,346) | |
Deposit-related fees(2) | 270 | | 69 | | — | | 339 | | 774 | | 219 | | — | | 993 | |
| Transactional service fees | 257 | | 24 | | — | | 281 | | 749 | | 74 | | — | | 823 | |
Corporate finance(3) | 214 | | — | | — | | 214 | | 552 | | — | | — | | 552 | |
| Insurance distribution revenue | 3 | | 114 | | — | | 117 | | 9 | | 356 | | — | | 365 | |
| Insurance premiums | — | | 25 | | — | | 25 | | — | | 75 | | — | | 75 | |
| Loan servicing | 10 | | 11 | | 3 | | 24 | | 32 | | 28 | | 11 | | 71 | |
| Other | 19 | | 61 | | — | | 80 | | 87 | | 175 | | 3 | | 265 | |
Total commissions and fees(4) | $ | 2,862 | | $ | 534 | | $ | 3 | | $ | 3,399 | | $ | 8,633 | | $ | 1,796 | | $ | 14 | | $ | 10,443 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended September 30, 2022 | Nine Months Ended September 30, 2022 |
| In millions of dollars | ICG | PBWM | Legacy Franchises | | Total | ICG | PBWM | Legacy Franchises | | Total |
| Investment banking | $ | 725 | | $ | — | | $ | — | | | $ | 725 | | $ | 2,477 | | $ | — | | $ | — | | | $ | 2,477 | |
| Brokerage commissions | 356 | | 167 | | 48 | | | 571 | | 1,209 | | 621 | | 169 | | | 1,999 | |
| Credit and bank card income | | | | | | | | | | |
| Interchange fees | 330 | | 2,420 | | 199 | | | 2,949 | | 891 | | 6,954 | | 647 | | | 8,492 | |
| Card-related loan fees | 12 | | 64 | | 66 | | | 142 | | 32 | | 201 | | 226 | | | 459 | |
Card rewards and partner payments(1) | (175) | | (2,852) | | (134) | | | (3,161) | | (458) | | (8,223) | | (466) | | | (9,147) | |
Deposit-related fees(2) | 262 | | 25 | | 13 | | | 300 | | 807 | | 128 | | 49 | | | 984 | |
| Transactional service fees | 270 | | 5 | | 20 | | | 295 | | 791 | | 14 | | 72 | | | 877 | |
Corporate finance(3) | 87 | | — | | — | | | 87 | | 339 | | 3 | | — | | | 342 | |
| Insurance distribution revenue | — | | 57 | | 33 | | | 90 | | — | | 165 | | 102 | | | 267 | |
| Insurance premiums | — | | 1 | | 22 | | | 23 | | — | | 3 | | 69 | | | 72 | |
| Loan servicing | 13 | | 14 | | 4 | | | 31 | | 32 | | 36 | | 11 | | | 79 | |
| Other | 6 | | 44 | | 37 | | | 87 | | 9 | | 141 | | 107 | | | 258 | |
Total commissions and fees(4) | $ | 1,886 | | $ | (55) | | $ | 308 | | | $ | 2,139 | | $ | 6,129 | | $ | 43 | | $ | 986 | | | $ | 7,159 | |
| | | Three Months Ended September 30, 2020 | Nine Months Ended September 30, 2020 | | 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 | PBWM | Legacy Franchises | | Total | ICG | PBWM | Legacy Franchises | | Total |
| Investment banking | Investment banking | $ | 1,076 | | $ | — | | $ | — | | $ | 1,076 | | $ | 3,474 | | $ | — | | $ | — | | $ | 3,474 | | Investment banking | $ | 1,493 | | $ | — | | $ | — | | | $ | 1,493 | | $ | 4,503 | | $ | — | | $ | — | | | $ | 4,503 | |
| Brokerage commissions | Brokerage commissions | 486 | | 260 | | — | | 746 | | 1,545 | | 713 | | — | | 2,258 | | Brokerage commissions | 412 | | 248 | | 113 | | | 773 | | 1,380 | | 814 | | 342 | | | 2,536 | |
| Credit- and bank-card income | | | | | | |
| Credit and bank card income | | Credit and bank card income | | | | | | | |
| Interchange fees | Interchange fees | 158 | | 1,842 | | — | | 2,000 | | 542 | | 5,264 | | — | | 5,806 | | Interchange fees | 225 | | 2,107 | | 210 | | | 2,542 | | 580 | | 5,861 | | 635 | | | 7,076 | |
| Card-related loan fees | Card-related loan fees | 4 | | 157 | | — | | 161 | | 18 | | 455 | | — | | 473 | | Card-related loan fees | 7 | | 72 | | 92 | | | 171 | | 18 | | 223 | | 289 | | | 530 | |
Card rewards and partner payments(1) | Card rewards and partner payments(1) | (73) | | (2,073) | | — | | (2,146) | | (292) | | (5,911) | | — | | (6,203) | | Card rewards and partner payments(1) | (119) | | (2,415) | | (126) | | | (2,660) | | (298) | | (6,673) | | (375) | | | (7,346) | |
Deposit-related fees(2) | Deposit-related fees(2) | 246 | | 79 | | — | | 325 | | 699 | | 279 | | — | | 978 | | Deposit-related fees(2) | 267 | | 49 | | 23 | | | 339 | | 766 | | 145 | | 82 | | | 993 | |
| Transactional service fees | Transactional service fees | 217 | | 20 | | — | | 237 | | 659 | | 64 | | — | | 723 | | Transactional service fees | 249 | | 6 | | 26 | | | 281 | | 723 | | 18 | | 82 | | | 823 | |
Corporate finance(3) | Corporate finance(3) | 77 | | — | | — | | 77 | | 372 | | — | | — | | 372 | | Corporate finance(3) | 213 | | — | | — | | | 214 | | 548 | | 4 | | — | | | 552 | |
| Insurance distribution revenue | Insurance distribution revenue | 4 | | 129 | | — | | 133 | | 9 | | 367 | | — | | 376 | | Insurance distribution revenue | — | | 77 | | 40 | | | 117 | | — | | 237 | | 128 | | | 365 | |
| Insurance premiums | Insurance premiums | — | | 25 | | — | | 25 | | — | | 99 | | — | | 99 | | Insurance premiums | — | | 1 | | 24 | | | 25 | | — | | 9 | | 66 | | | 75 | |
| Loan servicing | Loan servicing | 16 | | 4 | | 10 | | 30 | | 54 | | 26 | | 20 | | 100 | | Loan servicing | 9 | | 11 | | 4 | | | 24 | | 31 | | 27 | | 13 | | | 71 | |
| Other | Other | 34 | | 55 | | — | | 89 | | 91 | | 157 | | 3 | | 251 | | Other | (2) | | 46 | | 36 | | | 80 | | 15 | | 145 | | 105 | | | 265 | |
Total commissions and fees(4) | Total commissions and fees(4) | $ | 2,245 | | $ | 498 | | $ | 10 | | $ | 2,753 | | $ | 7,171 | | $ | 1,513 | | $ | 23 | | $ | 8,707 | | Total commissions and fees(4) | $ | 2,755 | | $ | 202 | | $ | 442 | | | $ | 3,399 | | $ | 8,266 | | $ | 810 | | $ | 1,367 | | | $ | 10,443 | |
(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 increasea decrease in net credit losses reduces Citi’s liability for the partners’ share for a given program year, would generally result in lowerhigher 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 $28 million$0 and $23$28 million for the three months ended September 30, 20212022 and 2020,2021, respectively, and $75$59 million and $74$75 million for the nine months ended September 30, 20212022 and 2020,2021, respectively. Overdraft fees are accounted for under ASC 310. Citi eliminated overdraft fees, returned-item fees and overdraft protection beginning in June 2022.
(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 include $(2,208)$(2,872) million and $(1,816)$(2,208) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended September 30, 20212022 and 2020,2021, respectively, and $(6,031)$(8,115) million and $(5,044)$(6,031) million for the nine months ended September 30, 20212022 and 2020,2021, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.
The following tables present Administration and other fiduciary fees revenue:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended September 30, 2021 | Nine Months Ended September 30, 2021 |
| In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total |
| Custody fees | $ | 471 | | $ | 7 | | $ | 1 | | $ | 479 | | $ | 1,419 | | $ | 19 | | $ | 1 | | $ | 1,439 | |
| Fiduciary fees | 204 | | 175 | | 3 | | 382 | | 596 | | 511 | | 6 | | 1,113 | |
| Guarantee fees | 144 | | 1 | | 1 | | 146 | | 429 | | 5 | | 4 | | 438 | |
Total administration and other fiduciary fees(1) | $ | 819 | | $ | 183 | | $ | 5 | | $ | 1,007 | | $ | 2,444 | | $ | 535 | | $ | 11 | | $ | 2,990 | |
| | | Three Months Ended September 30, 2020 | Nine Months Ended September 30, 2020 | | Three Months Ended September 30, 2022 | Nine Months Ended September 30, 2022 |
| In millions of dollars | In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total | In millions of dollars | ICG | PBWM | Legacy Franchises | | Total | ICG | PBWM | Legacy Franchises | | Total |
| Custody fees | Custody fees | $ | 427 | | $ | 8 | | $ | 2 | | $ | 437 | | $ | 1,165 | | $ | 22 | | $ | 38 | | $ | 1,225 | | Custody fees | $ | 422 | | $ | 21 | | $ | 2 | | | $ | 445 | | $ | 1,375 | | $ | 67 | | $ | 7 | | | $ | 1,449 | |
| Fiduciary fees | Fiduciary fees | 167 | | 153 | | — | | 320 | | 497 | | 441 | | — | | 938 | | Fiduciary fees | 78 | | 179 | | 77 | | | 334 | | 210 | | 580 | | 236 | | | 1,026 | |
| Guarantee fees | Guarantee fees | 132 | | 2 | | 1 | | 135 | | 393 | | 5 | | 4 | | 402 | | Guarantee fees | 124 | | 10 | | 2 | | | 136 | | 391 | | 34 | | 4 | | | 429 | |
Total administration and other fiduciary fees(1) | Total administration and other fiduciary fees(1) | $ | 726 | | $ | 163 | | $ | 3 | | $ | 892 | | $ | 2,055 | | $ | 468 | | $ | 42 | | $ | 2,565 | | Total administration and other fiduciary fees(1) | $ | 624 | | $ | 210 | | $ | 81 | | | $ | 915 | | $ | 1,976 | | $ | 681 | | $ | 247 | | | $ | 2,904 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended September 30, 2021 | Nine Months Ended September 30, 2021 |
| In millions of dollars | ICG | PBWM | Legacy Franchises | | Total | ICG | PBWM | Legacy Franchises | | Total |
| Custody fees | $ | 451 | | $ | 23 | | $ | 5 | | | $ | 479 | | $ | 1,359 | | $ | 68 | | $ | 12 | | | $ | 1,439 | |
| Fiduciary fees | 64 | | 206 | | 112 | | | 382 | | 186 | | 598 | | 329 | | | 1,113 | |
| Guarantee fees | 132 | | 12 | | 2 | | | 146 | | 398 | | 34 | | 6 | | | 438 | |
Total administration and other fiduciary fees(1) | $ | 647 | | $ | 241 | | $ | 119 | | | $ | 1,007 | | $ | 1,943 | | $ | 700 | | $ | 347 | | | $ | 2,990 | |
(1) Administration and other fiduciary fees include $146$136 million and $135$146 million for the three months ended September 30, 20212022 and 2020,2021, respectively, and $438$429 million and $402$438 million for the nine months ended September 30, 20212022 and 2020,2021, 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 revenueincome related to trading activities, which is an integral part of trading activities’ profitability. See Note 4 to the Consolidated Financial Statements for information about net interest revenueincome related to trading activities. Principal transactions include CVA (credit valuation adjustments) and FVA (funding valuation adjustments) on over-the-counter derivatives, and gains (losses) on certain economic hedges on loans in ICG. These adjustments are discussed further in Note 20 to the Consolidated Financial Statements.20.
In certain transactions, Citi incurs fees and presents these fees paid to third parties in operating expenses.
The following table presents Principal transactions revenue:
| | | Three Months Ended September 30, | Nine Months Ended September 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 | 2022 | 2021 | 2022 | 2021 |
Interest rate risks(1) | Interest rate risks(1) | $ | 461 | | $ | 993 | | $ | 2,424 | | $ | 4,751 | | Interest rate risks(1) | $ | 460 | | $ | 461 | | $ | 3,381 | | $ | 2,424 | |
Foreign exchange risks(2) | Foreign exchange risks(2) | 924 | | 960 | | 2,851 | | 3,069 | | Foreign exchange risks(2) | 1,554 | | 924 | | 4,740 | | 2,851 | |
Equity risks(3) | Equity risks(3) | 666 | | 157 | | 1,869 | | 1,078 | | Equity risks(3) | 411 | | 666 | | 1,687 | | 1,869 | |
Commodity and other risks(4) | Commodity and other risks(4) | 252 | | 248 | | 844 | | 1,007 | | Commodity and other risks(4) | 403 | | 252 | | 1,466 | | 844 | |
Credit products and risks(5) | Credit products and risks(5) | (70) | | 150 | | 462 | | 2,021 | | Credit products and risks(5) | (203) | | (70) | | 466 | | 462 | |
| Total | Total | $ | 2,233 | | $ | 2,508 | | $ | 8,450 | | $ | 11,926 | | Total | $ | 2,625 | | $ | 2,233 | | $ | 11,740 | | $ | 8,450 | |
(1) Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities.
(2) Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
(3) Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.
(4) Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(5) Includes revenues from structured credit products.
7. INCENTIVE PLANS
For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
8. RETIREMENT BENEFITS
For additional information on Citi’s retirement benefits, see Note 8 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
Net (Benefit) Expense
The following 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:Plans. Benefits earned during the period are reported in Compensation and benefits expenses and all other components of the net period benefit cost are reported in Other operating expenses in the Consolidated Statement of Income:
| | | Three Months Ended September 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 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 |
| | Benefits earned during the period | Benefits earned during the period | $ | — | | $ | — | | | $ | 36 | | $ | 38 | | | $ | — | | $ | — | | | $ | 2 | | $ | 2 | | Benefits earned during the period | $ | — | | $ | — | | $ | 26 | | $ | 36 | | $ | — | | $ | — | | $ | 1 | | $ | 2 | |
| Interest cost on benefit obligation | Interest cost on benefit obligation | 87 | | 87 | | | 67 | | 59 | | | 3 | | 4 | | | 25 | | 22 | | Interest cost on benefit obligation | 120 | | 87 | | 91 | | 67 | | 4 | | 3 | | 21 | | 25 | |
| Expected return on assets | Expected return on assets | (173) | | (205) | | | (65) | | (62) | | | (3) | | (4) | | | (22) | | (18) | | Expected return on assets | (153) | | (173) | | (64) | | (65) | | (3) | | (3) | | (16) | | (22) | |
| Amortization of unrecognized: | Amortization of unrecognized: | | | | | | | | | | | Amortization of unrecognized: | | | | | | | |
| Prior service benefit | Prior service benefit | — | | — | | | (1) | | (1) | | | (3) | | — | | | (2) | | (3) | | Prior service benefit | — | | — | | (2) | | (1) | | (2) | | (3) | | (2) | | (2) | |
| Net actuarial loss | 57 | | 62 | | | 16 | | 17 | | | — | | — | | | 4 | | 5 | | |
| Net actuarial loss (gain) | | Net actuarial loss (gain) | 36 | | 57 | | 16 | | 16 | | (2) | | — | | 2 | | 4 | |
| Settlement loss (gain)(1) | — | | — | | | 1 | | (6) | | | — | | — | | | — | | — | | |
Settlement loss(1) | | Settlement loss(1) | — | | — | | — | | 1 | | — | | — | | — | | — | |
| | Total net (benefit) expense | Total net (benefit) expense | $ | (29) | | $ | (56) | | | $ | 54 | | $ | 45 | | | $ | (3) | | $ | — | | | $ | 7 | | $ | 8 | | Total net (benefit) expense | $ | 3 | | $ | (29) | | $ | 67 | | $ | 54 | | $ | (3) | | $ | (3) | | $ | 6 | | $ | 7 | |
(1) Losses (gains)(Gains) losses due to settlement relate to repositioning and divestiture activities.
| | | Nine Months Ended September 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 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 |
| | Benefits earned during the period | Benefits earned during the period | $ | — | | $ | — | | | $ | 113 | | $ | 109 | | | $ | — | | $ | — | | | $ | 6 | | $ | 6 | | | Benefits earned during the period | $ | — | | $ | — | | $ | 90 | | $ | 113 | | $ | — | | $ | — | | $ | 2 | | $ | 6 | |
| Interest cost on benefit obligation | Interest cost on benefit obligation | 264 | | 294 | | | 199 | | 184 | | | 9 | | 14 | | | 74 | | 68 | | | Interest cost on benefit obligation | 311 | | 264 | | 243 | | 199 | | 11 | | 9 | | 67 | | 74 | |
| Expected return on assets | (529) | | (619) | | | (189) | | (183) | | | (10) | | (13) | | | (65) | | (56) | | | |
| Expected return on plan assets | | Expected return on plan assets | (461) | | (529) | | (196) | | (189) | | (9) | | (10) | | (54) | | (65) | |
| Amortization of unrecognized: | Amortization of unrecognized: | | | | | | | | | | | | Amortization of unrecognized: | | | | | | | |
| Prior service cost (benefit) | Prior service cost (benefit) | 1 | | 1 | | | (4) | | (4) | | | (7) | | — | | | (7) | | (7) | | | Prior service cost (benefit) | 1 | | 1 | | (5) | | (4) | | (7) | | (7) | | (6) | | (7) | |
| Net actuarial loss (gain) | Net actuarial loss (gain) | 173 | | 171 | | | 48 | | 51 | | | (1) | | — | | | 12 | | 15 | | | Net actuarial loss (gain) | 136 | | 173 | | 43 | | 48 | | (5) | | (1) | | 4 | | 12 | |
| Settlement loss (gain)(1) | — | | — | | | 5 | | (3) | | | — | | — | | | — | | — | | | |
Curtailment (gain)(1) | | Curtailment (gain)(1) | — | | — | | (23) | | — | | — | | — | | — | | — | |
Settlement (gain) loss(1) | | Settlement (gain) loss(1) | — | | — | | (10) | | 5 | | — | | — | | — | | — | |
| | Total net (benefit) expense | Total net (benefit) expense | $ | (91) | | $ | (153) | | | $ | 172 | | $ | 154 | | | $ | (9) | | $ | 1 | | | $ | 20 | | $ | 26 | | | Total net (benefit) expense | $ | (13) | | $ | (91) | | $ | 142 | | $ | 172 | | $ | (10) | | $ | (9) | | $ | 13 | | $ | 20 | |
(1) Losses (gains)(Gains) losses due to curtailment and settlement relate to repositioning and divestiture activities. Total net expense for non-U.S. plans includes a $36 million net benefit related to the wind-down of Citi’s consumer banking business in Korea.
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:
| | | | | | | | | | | | | | |
| | | | |
| Nine Months Ended September 30, 2021 |
| | Pension plans | Postretirement benefit plans |
| In millions of dollars | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| | | | |
| Change in projected benefit obligation | | | | |
| | | | |
| Projected benefit obligation at beginning of year | $ | 13,815 | | $ | 8,629 | | $ | 559 | | $ | 1,390 | |
| Plans measured annually | (25) | | (2,248) | | — | | (277) | |
| Projected benefit obligation at beginning of year—Significant Plans | $ | 13,790 | | $ | 6,381 | | $ | 559 | | $ | 1,113 | |
| First quarter activity | (983) | | (572) | | (37) | | (146) | |
| Second quarter activity | 265 | | 138 | | (6) | | 53 | |
| | | | |
| Projected benefit obligation at June 30, 2021—Significant Plans | $ | 13,072 | | $ | 5,947 | | $ | 516 | | $ | 1,020 | |
| | | | |
| Benefits earned during the period | — | | 20 | | — | | 1 | |
| Interest cost on benefit obligation | 87 | | 58 | | 3 | | 23 | |
| Actuarial gain | (63) | | (65) | | (4) | | (29) | |
| Benefits paid, net of participants’ contributions and government subsidy | (249) | | (87) | | (12) | | (15) | |
| | | | |
| | | | |
Settlement gain(1) | — | | (8) | | — | | — | |
Curtailment gain(1) | — | | (14) | | — | | — | |
| | | | |
| Foreign exchange impact and other | — | | (147) | | — | | (32) | |
| | | | |
| | | | |
| Projected benefit obligation at period end—Significant Plans | $ | 12,847 | | $ | 5,704 | | $ | 503 | | $ | 968 | |
| Change in plan assets | | | | |
| | | | |
| Plan assets at fair value at beginning of year | $ | 13,309 | | $ | 7,831 | | $ | 331 | | $ | 1,146 | |
| Plans measured annually | — | | (1,500) | | — | | (8) | |
| Plan assets at fair value at beginning of year—Significant Plans | $ | 13,309 | | $ | 6,331 | | $ | 331 | | $ | 1,138 | |
| First quarter activity | (435) | | (404) | | (8) | | (44) | |
| Second quarter activity | 320 | | 213 | | 5 | | 35 | |
| Plan assets at fair value at June 30, 2021—Significant Plans | $ | 13,194 | | $ | 6,140 | | $ | 328 | | $ | 1,129 | |
| | | | |
| Actual return on plan assets | 86 | | 32 | | 1 | | 18 | |
| Company contributions, net of reimbursements | 13 | | 16 | | 10 | | — | |
| | | | |
| Benefits paid, net of participants’ contributions and government subsidy | (249) | | (87) | | (12) | | (15) | |
| | | | |
Settlements gain(1) | — | | (8) | | — | | — | |
| | | | |
| Foreign exchange impact and other | — | | (130) | | — | | (36) | |
| | | | |
| | | | |
| Plan assets at fair value at period end—Significant Plans | $ | 13,044 | | $ | 5,963 | | $ | 327 | | $ | 1,096 | |
| | | | |
Qualified plans(2) | $ | 865 | | $ | 259 | | $ | (176) | | $ | 128 | |
Nonqualified plans(3) | (668) | | — | | — | | — | |
| Funded status of the plans at period end—Significant Plans | $ | 197 | | $ | 259 | | $ | (176) | | $ | 128 | |
| Net amount recognized at period end | | | | |
| Benefit asset | $ | 865 | | $ | 808 | | $ | — | | $ | 128 | |
| Benefit liability | (668) | | (549) | | (176) | | — | |
| Net amount recognized on the balance sheet—Significant Plans | $ | 197 | | $ | 259 | | $ | (176) | | $ | 128 | |
Amounts recognized in AOCI at period end | | | |
| | | | |
| Prior service benefit | $ | — | | $ | (1) | | $ | 94 | | $ | 51 | |
| Net actuarial (loss) gain | (6,580) | | (884) | | 86 | | (207) | |
| Net amount recognized in equity (pretax)—Significant Plans | $ | (6,580) | | $ | (885) | | $ | 180 | | $ | (156) | |
| Accumulated benefit obligation at period end—Significant Plans | $ | 12,845 | | $ | 5,425 | | $ | 503 | | $ | 968 | |
| | | | | | | | | | | | | | |
| | | | |
| Nine Months Ended September 30, 2022 |
| | Pension plans | Postretirement benefit plans |
| In millions of dollars | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| | | | |
| Change in projected benefit obligation | | | | |
| | | | |
| Projected benefit obligation at beginning of year | $ | 12,766 | | $ | 8,001 | | $ | 501 | | $ | 1,169 | |
| Plans measured annually | (23) | | (2,071) | | — | | (298) | |
| Projected benefit obligation at beginning of year—Significant Plans | $ | 12,743 | | $ | 5,930 | | $ | 501 | | $ | 871 | |
| First quarter activity | (1,234) | | (285) | | (50) | | (71) | |
| Second quarter activity | (1,051) | | (907) | | (45) | | (49) | |
| | | | |
| Projected benefit obligation at June 30, 2022—Significant Plans | $ | 10,458 | | $ | 4,738 | | $ | 406 | | $ | 751 | |
| | | | |
| Benefits earned during the period | — | | 12 | | — | | — | |
| Interest cost on benefit obligation | 120 | | 70 | | 4 | | 19 | |
Actuarial (gain)(1) | (642) | | (278) | | (24) | | (33) | |
| Benefits paid, net of participants’ contributions and government subsidy | (230) | | (79) | | (12) | | (14) | |
| | | | |
| | | | |
Settlement (gain)(2) | — | | (2) | | — | | — | |
| | | | |
| | | | |
| Foreign exchange impact and other | — | | (83) | | — | | — | |
| | | | |
| | | | |
| Projected benefit obligation at period end—Significant Plans | $ | 9,706 | | $ | 4,378 | | $ | 374 | | $ | 723 | |
| Change in plan assets | | | | |
| | | | |
| Plan assets at fair value at beginning of year | $ | 12,977 | | $ | 7,614 | | $ | 319 | | $ | 1,043 | |
| Plans measured annually | — | | (1,419) | | — | | (7) | |
| Plan assets at fair value at beginning of year—Significant Plans | $ | 12,977 | | $ | 6,195 | | $ | 319 | | $ | 1,036 | |
| First quarter activity | (1,030) | | (226) | | (19) | | (135) | |
| Second quarter activity | (1,108) | | (762) | | (34) | | (73) | |
| Plan assets at fair value at June 30, 2022—Significant Plans | $ | 10,839 | | $ | 5,207 | | $ | 266 | | $ | 828 | |
| | | | |
| Actual return on plan assets | (497) | | (310) | | (10) | | (42) | |
| Company contributions, net of reimbursements | 13 | | 12 | | 6 | | — | |
| | | | |
| Benefits paid, net of participants’ contributions and government subsidy | (230) | | (79) | | (12) | | (14) | |
| | | | |
Settlement (gain)(2) | — | | (2) | | — | | — | |
| | | | |
| Foreign exchange impact and other | — | | (86) | | — | | — | |
| | | | |
| | | | |
| Plan assets at fair value at period end—Significant Plans | $ | 10,125 | | $ | 4,742 | | $ | 250 | | $ | 772 | |
| | | | |
Qualified plans(3) | $ | 941 | | $ | 364 | | $ | (124) | | $ | 49 | |
Nonqualified plans(4) | (522) | | — | | — | | — | |
| Funded status of the plans at period end—Significant Plans | $ | 419 | | $ | 364 | | $ | (124) | | $ | 49 | |
| Net amount recognized at period end | | | | |
| Benefit asset | $ | 941 | | $ | 793 | | $ | — | | $ | 49 | |
| Benefit liability | (522) | | (429) | | (124) | | — | |
| Net amount recognized on the balance sheet—Significant Plans | $ | 419 | | $ | 364 | | $ | (124) | | $ | 49 | |
Amounts recognized in AOCI at period end(5) | | | |
| | | | |
| Prior service (expense) benefit | $ | — | | $ | (1) | | $ | 85 | | $ | 35 | |
| Net actuarial (loss) gain | (6,438) | | (1,060) | | 127 | | (236) | |
| Net amount recognized in equity (pretax)—Significant Plans | $ | (6,438) | | $ | (1,061) | | $ | 212 | | $ | (201) | |
| Accumulated benefit obligation at period end—Significant Plans | $ | 9,705 | | $ | 4,205 | | $ | 374 | | $ | 723 | |
(1)During 2022, the actuarial gain is primarily due to the increase in global discount rates.
(2)Gains due to settlement and curtailment relate to repositioning and divestiture activities.
(2)(3)The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 20212022 and no minimum required funding is expected for 2021.2022.
(3)(4)The nonqualified plans of the Company are unfunded.
(5)The framework for the Company’s pension oversight process includes monitoring of potential settlement charges for all plans. Settlement accounting is triggered when either the sum of all settlements (including lump sum payments) for the year is greater than service plus interest costs or if more than 10% of the plan’s projected benefit obligation will be settled. Because some of Citi’s significant plans are frozen and have no material service cost, settlement accounting may apply in the future.
The following table shows the change in AOCI related to the Company’s pension, postretirement and post employment plans:
| | | | | | | | | | | |
| 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) | $ | (6,063) | | $ | (6,864) | | |
| | | |
| | | |
| Actuarial assumptions changes and plan experience | 175 | | 1,125 | | |
| Net asset loss due to difference between actual and expected returns | (116) | | (325) | | |
| Net amortization | 69 | | 216 | | |
| | | |
Curtailment/settlement gain (loss)(3) | 1 | | (3) | | |
| Foreign exchange impact and other | 46 | | 153 | | |
| Change in deferred taxes, net | (40) | | (230) | | |
| Change, net of tax | $ | 135 | | $ | 936 | | |
End of period balance, net of tax(1)(2) | $ | (5,928) | | $ | (5,928) | | |
| | | | | | | | | | |
| In millions of dollars | Three Months Ended
September 30, 2022 | Nine Months Ended
September 30, 2022 | | |
| | | | |
Beginning of period balance, net of tax(1)(2) | $ | (5,770) | | $ | (5,852) | | | |
| | | | |
| | | | |
| Actuarial assumptions changes and plan experience | 977 | | 4,001 | | | |
| Net asset (loss) due to difference between actual and expected returns | (1,084) | | (4,221) | | | |
| Net amortization | 43 | | 159 | | | |
| | | | |
Curtailment/settlement (gain)(3) | — | | (32) | | | |
| Foreign exchange impact and other | 60 | | 193 | | | |
| Change in deferred taxes, net | 41 | | 19 | | | |
| Change, net of tax | $ | 37 | | $ | 119 | | | |
End of period balance, net of tax(1)(2) | $ | (5,733) | | $ | (5,733) | | | |
(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 |
| Sept. 30, 2021 | | Sept. 30, 2020 | Net (benefit) expense assumed discount rates during the period | Sept. 30, 2022 | | Sept. 30, 2021 |
| U.S. plans | U.S. plans | | | | | | |
| Qualified pension | Qualified pension | 2.75 | % | | 2.60 | % | Qualified pension | 4.80 | % | | 2.75 | % |
| Nonqualified pension | Nonqualified pension | 2.70 | | | 2.55 | | Nonqualified pension | 4.80 | | | 2.70 | |
| Postretirement | Postretirement | 2.60 | | | 2.45 | | Postretirement | 4.75 | | | 2.60 | |
| Non-U.S. plans | Non-U.S. plans | | | | Non-U.S. plans | | | |
| Pension | Pension | 0.25–9.25 | | 0.20–8.40 | Pension | 2.00–10.75 | | 0.25–9.25 |
| Weighted average | Weighted average | 4.23 | | | 3.68 | | Weighted average | 6.68 | | | 4.23 | |
| Postretirement | Postretirement | 9.50 | | | 8.80 | | Postretirement | 10.75 | | | 9.50 | |
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 | Sept. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | |
| U.S. plans | | | | |
| Qualified pension | 2.80 | % | 2.75 | % | 3.10 | % | |
| Nonqualified pension | 2.75 | | 2.70 | | 3.00 | | |
| Postretirement | 2.65 | | 2.60 | | 2.85 | | |
| Non-U.S. plans | | | | |
| Pension | 0.30–9.55 | 0.25–9.25 | 0.25–9.30 | |
| Weighted average | 4.37 | | 4.23 | | 4.26 | | |
| Postretirement | 9.80 | | 9.50 | | 9.70 | | |
| | | | | | | | | | | | |
| Plan obligations assumed discount rates at period ended | Sept. 30, 2022 | Jun. 30, 2022 | Mar. 31, 2022 | |
| U.S. plans | | | | |
| Qualified pension | 5.65 | % | 4.80 | % | 3.80 | % | |
| Nonqualified pension | 5.60 | | 4.80 | | 3.85 | | |
| Postretirement | 5.65 | | 4.75 | | 3.85 | | |
| Non-U.S. plans | | | | |
| Pension | 2.10–11.30 | 2.00–10.75 | 1.10–10.00 | |
| Weighted average | 7.64 | | 6.68 | | 5.55 | | |
| Postretirement | 11.25 | | 10.75 | | 10.10 | | |
Sensitivities of Certain Key Assumptions
The following table summarizes the estimated effect on the Company’s Significant Plans quarterly expense of a one-percentage-point change in the discount rate:
| | | | | | | | | | |
| Three Months Ended September 30, 2021 |
| In millions of dollars | One-percentage-point increase | | | One-percentage-point decrease |
| Pension | | | | |
| U.S. plans | $ | 9 | | | | $ | (12) | |
| Non-U.S. plans | 1 | | | | 3 | |
| Postretirement | | | | |
| U.S. plans | — | | | | (1) | |
| Non-U.S. plans | (2) | | | | 2 | |
| | | | | | | | | | |
| Three Months Ended September 30, 2022 |
| In millions of dollars | One-percentage-point increase | | | One-percentage-point decrease |
| Pension | | | | |
| U.S. plans | $ | 6 | | | | $ | (7) | |
| Non-U.S. plans | — | | | | 2 | |
| Postretirement | | | | |
| | | | |
| Non-U.S. plans | (1) | | | | 1 | |
For the U.S. pension plans, there were no required minimum cash contributions during the first nine months of 2021.2022.
The following table summarizes the Company’s actual contributions for the nine months ended September 30, 20212022 and 2020,2021, as well as expected Company contributions for the remainder of 20212022 and the actual contributions made in 2020:2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Pension plans | Postretirement plans |
| | U.S. plans(1) | | Non-U.S. plans | | U.S. plans | | Non-U.S. plans | |
| In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | |
Company contributions(2) for the nine months ended September 30 | $ | 41 | | $ | 42 | | | $ | 116 | | $ | 111 | | | $ | 19 | | $ | — | | | $ | 6 | | $ | 6 | | |
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 | 16 | | — | | | 36 | | — | | | 2 | | — | | | 2 | | — | | |
| | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Pension plans | Postretirement plans |
| | U.S. plans(1) | | Non-U.S. plans | | U.S. plans | | Non-U.S. plans | |
| In millions of dollars | 2022 | 2021 | | 2022 | 2021 | | 2022 | 2021 | | 2022 | 2021 | |
Company contributions (reimbursements)(2)(3) for the nine months ended September 30 | $ | 41 | | $ | 41 | | | $ | 417 | | $ | 116 | | | $ | 5 | | $ | 19 | | | $ | 7 | | $ | 6 | | |
| Company contributions made during the remainder of the year | — | | 15 | | | — | | 39 | | | — | | 3 | | | — | | 2 | | |
Company contributions expected to be made during the remainder of the year(3) | 16 | | | | 26 | | | | 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.
(3)2022 benefit payments have increased due to the wind-down of Citi’s consumer banking business in Korea, as it is expected that employees who elected the VERP will be withdrawing their pension plan assets.
Defined Contribution Plans
The following table summarizes the Company’s contributions for the defined contribution plans:
| | | | | | | | | | | | | | |
| Three Months Ended September 30, | Nine Months
Ended September 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| U.S. plans | $ | 113 | | $ | 101 | | $ | 324 | | $ | 304 | |
| Non-U.S. plans | 87 | | 73 | | 270 | | 223 | |
| | | | | | | | | | | | | | |
| Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2022 | 2021 | 2022 | 2021 |
| U.S. plans | $ | 119 | | $ | 113 | | $ | 356 | | $ | 324 | |
| Non-U.S. plans | 98 | | 87 | | 303 | | 270 | |
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 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 | |
| | | | | | | | | | | | | | |
| Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2022 | 2021 | 2022 | 2021 |
| Service-related expense | | | | |
| | | | |
| | | | |
| Amortization of unrecognized: | | | | |
| | | | |
| Net actuarial loss | $ | 1 | | $ | 1 | | $ | 2 | | $ | 2 | |
| | | | |
| Total service-related expense | $ | 1 | | $ | 1 | | $ | 2 | | $ | 2 | |
| Non-service-related expense | $ | 2 | | $ | 3 | | $ | 8 | | $ | 7 | |
| Total net expense | $ | 3 | | $ | 4 | | $ | 10 | | $ | 9 | |
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 September 30, | Nine Months Ended September 30, |
| In millions of dollars, except per share amounts | 2021 | 2020 | 2021 | 2020 |
| Earnings per common share | | | | |
| Income from continuing operations before attribution of noncontrolling interests | $ | 4,669 | | $ | 3,177 | | $ | 18,839 | | $ | 6,782 | |
| Less: Noncontrolling interests from continuing operations | 24 | | 24 | | 67 | | 18 | |
| Net income from continuing operations (for EPS purposes) | $ | 4,645 | | $ | 3,153 | | $ | 18,772 | | $ | 6,764 | |
| Income (loss) from discontinued operations, net of taxes | (1) | | (7) | | 7 | | (26) | |
| Citigroup’s net income | $ | 4,644 | | $ | 3,146 | | $ | 18,779 | | $ | 6,738 | |
Less: Preferred dividends(1) | 266 | | 284 | | 811 | | 828 | |
| 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 | 26 | | 18 | | 134 | | 50 | |
| 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) | 2,009.3 | | 2,081.8 | | 2,049.3 | | 2,087.1 | |
Basic earnings per share(2) | | | | |
| Income from continuing operations | $ | 2.17 | | $ | 1.37 | | $ | 8.70 | | $ | 2.82 | |
| Discontinued operations | — | | — | | — | | (0.01) | |
| Net income per share—basic | $ | 2.17 | | $ | 1.37 | | $ | 8.70 | | $ | 2.81 | |
| Diluted earnings per share | | | | |
| 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 | 8 | | 7 | | 23 | | 22 | |
| 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) | 2,009.3 | | 2,081.8 | | 2,049.3 | | 2,087.1 | |
| Effect of dilutive securities | | | | |
Options(3) | — | | — | | — | | — | |
| Other employee plans | 16.9 | | 12.5 | | 16.0 | | 13.0 | |
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) | | | | |
| Income from continuing operations | $ | 2.15 | | $ | 1.36 | | $ | 8.64 | | $ | 2.81 | |
| Discontinued operations | — | | — | | — | | (0.01) | |
| Net income per share—diluted | $ | 2.15 | | $ | 1.36 | | $ | 8.65 | | $ | 2.80 | |
| | | | | | | | | | | | | | |
| Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars, except per share amounts | 2022 | 2021 | 2022 | 2021 |
| Earnings per common share | | | | |
| Income from continuing operations before attribution to noncontrolling interests | $ | 3,515 | | $ | 4,669 | | $ | 12,629 | | $ | 18,839 | |
| Less: Noncontrolling interests from continuing operations | 30 | | 24 | | 68 | | 67 | |
| Net income from continuing operations (for EPS purposes) | $ | 3,485 | | $ | 4,645 | | $ | 12,561 | | $ | 18,772 | |
| Income (loss) from discontinued operations, net of taxes | (6) | | (1) | | (229) | | 7 | |
| Citigroup’s net income | $ | 3,479 | | $ | 4,644 | | $ | 12,332 | | $ | 18,779 | |
| Less: Preferred dividends | 277 | | 266 | | 794 | | 811 | |
| Net income available to common shareholders | $ | 3,202 | | $ | 4,378 | | $ | 11,538 | | $ | 17,968 | |
| Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS | 28 | | 26 | | 89 | | 134 | |
| Net income allocated to common shareholders for basic EPS | $ | 3,174 | | $ | 4,352 | | $ | 11,449 | | $ | 17,834 | |
Weighted-average common shares outstanding applicable to basic EPS (in millions) | 1,936.8 | | 2,009.3 | | 1,950.0 | | 2,049.3 | |
Basic earnings per share(1) | | | | |
| Income from continuing operations | $ | 1.64 | | $ | 2.17 | | $ | 5.99 | | $ | 8.70 | |
| Discontinued operations | — | | — | | (0.12) | | — | |
| Net income per share—basic | $ | 1.64 | | $ | 2.17 | | $ | 5.87 | | $ | 8.70 | |
| Diluted earnings per share | | | | |
| Net income allocated to common shareholders for basic EPS | $ | 3,174 | | $ | 4,352 | | $ | 11,449 | | $ | 17,834 | |
| Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable | 11 | | 8 | | 30 | | 23 | |
| Net income allocated to common shareholders for diluted EPS | $ | 3,185 | | $ | 4,360 | | $ | 11,479 | | $ | 17,857 | |
Weighted-average common shares outstanding applicable to basic EPS (in millions) | 1,936.8 | | 2,009.3 | | 1,950.0 | | 2,049.3 | |
| Effect of dilutive securities | | | | |
Options(2) | — | | — | | — | | — | |
| Other employee plans | 18.3 | | 16.9 | | 17.1 | | 16.0 | |
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(3) | 1,955.1 | | 2,026.2 | | 1,967.1 | | 2,065.3 | |
Diluted earnings per share(1) | | | | |
| Income from continuing operations | $ | 1.63 | | $ | 2.15 | | $ | 5.95 | | $ | 8.64 | |
| Discontinued operations | — | | — | | (0.12) | | — | |
| Net income per share—diluted | $ | 1.63 | | $ | 2.15 | | $ | 5.84 | | $ | 8.65 | |
(1)On October 21, 2021, Citi declared preferred dividends of approximately $228 million for the fourth 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.
(2)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
(3)(2) During the first, second and third quarters of 20212022 and 2020,2021, no significant options to purchase shares of common stock were outstanding.
(4)(3) Due to rounding, weighted-average common shares outstanding applicable to basic EPS and the effect of dilutive securities may not sum to weighted-average common shares outstanding applicable to diluted EPS.
10. SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS
For additional information on the Company’s resale and repurchase agreements and securities borrowing and lending agreements, see Note 11 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
Securities borrowed and purchased under agreements to resell, at their respective carrying values, consisted of the following:
| | In millions of dollars | In millions of dollars | September 30,
2021 | December 31, 2020 | In millions of dollars | September 30,
2022 | December 31, 2021 |
| Securities purchased under agreements to resell | Securities purchased under agreements to resell | $ | 234,191 | | $ | 204,655 | | Securities purchased under agreements to resell | $ | 268,471 | | $ | 236,252 | |
| Deposits paid for securities borrowed | Deposits paid for securities borrowed | 103,514 | | 90,067 | | Deposits paid for securities borrowed | 80,812 | | 91,042 | |
Total, net(1) | Total, net(1) | $ | 337,705 | | $ | 294,722 | | Total, net(1) | $ | 349,283 | | $ | 327,294 | |
Allowance for credit losses on securities purchased and borrowed(2) | Allowance for credit losses on securities purchased and borrowed(2) | (9) | | (10) | | Allowance for credit losses on securities purchased and borrowed(2) | (69) | | (6) | |
| Total, net of allowance | Total, net of allowance | $ | 337,696 | | $ | 294,712 | | Total, net of allowance | $ | 349,214 | | $ | 327,288 | |
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 | September 30,
2021 | December 31, 2020 | In millions of dollars | September 30,
2022 | December 31, 2021 |
| Securities sold under agreements to repurchase | Securities sold under agreements to repurchase | $ | 188,998 | | $ | 181,194 | | Securities sold under agreements to repurchase | $ | 186,055 | | $ | 174,255 | |
| Deposits received for securities loaned | Deposits received for securities loaned | 20,186 | | 18,331 | | Deposits received for securities loaned | 17,374 | | 17,030 | |
Total, net(1) | Total, net(1) | $ | 209,184 | | $ | 199,525 | | Total, net(1) | $ | 203,429 | | $ | 191,285 | |
(1) The above tables do not include securities-for-securities lending transactions of $3.4$3.2 billion and $6.8$3.6 billion at September 30, 20212022 and December 31, 2020,2021, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.
(2) See Note 14 to the Consolidated Financial Statements for further information.
It is the Company’s policy to take possession of the underlying collateral, monitor its market value relative to the amounts due under the agreements and, when necessary, require prompt transfer of additional collateral in order to maintain contractual margin protection. For resale and repurchase agreements, when necessary, the Company posts additional collateral in order to maintain contractual margin protection.
A substantial portion of the resale and repurchase agreements is recorded at fair value as the Company elected the fair value option, as described in Notes 20 and 21 to the Consolidated Financial Statements.21. The remaining portion is carried at the amount of cash initially advanced or received, plus accrued interest, as specified in the respective agreements.
A substantial portion of securities borrowing and lending agreements is recorded at the amount of cash advanced or received. The remaining portion is recorded at fair value as the Company elected the fair value option for certain securities borrowed and loaned portfolios, as described in Note 21 to the Consolidated Financial Statements.21. With respect to securities loaned, the Company receives cash collateral in an amount generally in excess of the market value of the securities loaned. The Company monitors the market value of securities borrowed and securities loaned on a daily basis and posts or obtains 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 September 30, 2021 | | As of September 30, 2022 |
| 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 | $ | 355,702 | | $ | 121,511 | | $ | 234,191 | | $ | 178,517 | | $ | 55,674 | | Securities purchased under agreements to resell | $ | 368,675 | | $ | 100,204 | | $ | 268,471 | | $ | 188,620 | | $ | 79,851 | |
| Deposits paid for securities borrowed | Deposits paid for securities borrowed | 120,159 | | 16,645 | | 103,514 | | 22,145 | | 81,369 | | Deposits paid for securities borrowed | 89,452 | | 8,640 | | 80,812 | | 12,272 | | 68,540 | |
| Total | Total | $ | 475,861 | | $ | 138,156 | | $ | 337,705 | | $ | 200,662 | | $ | 137,043 | | Total | $ | 458,127 | | $ | 108,844 | | $ | 349,283 | | $ | 200,892 | | $ | 148,391 | |
| | 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 | $ | 310,509 | | $ | 121,511 | | $ | 188,998 | | $ | 87,606 | | $ | 101,392 | | Securities sold under agreements to repurchase | $ | 286,259 | | $ | 100,204 | | $ | 186,055 | | $ | 74,279 | | $ | 111,776 | |
| Deposits received for securities loaned | Deposits received for securities loaned | 36,831 | | 16,645 | | 20,186 | | 3,587 | | 16,599 | | Deposits received for securities loaned | 26,014 | | 8,640 | | 17,374 | | 1,302 | | 16,072 | |
| Total | Total | $ | 347,340 | | $ | 138,156 | | $ | 209,184 | | $ | 91,193 | | $ | 117,991 | | Total | $ | 312,273 | | $ | 108,844 | | $ | 203,429 | | $ | 75,581 | | $ | 127,848 | |
| | | | As of December 31, 2020 | | | As of December 31, 2021 | |
| In millions of dollars | In millions of dollars | Gross amounts
of recognized
assets | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
assets included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) | | In millions of dollars | Gross amounts
of recognized
assets | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
assets included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) | |
| Securities purchased under agreements to resell | Securities purchased under agreements to resell | $ | 362,025 | | $ | 157,370 | | $ | 204,655 | | $ | 159,232 | | $ | 45,423 | | | Securities purchased under agreements to resell | $ | 367,594 | | $ | 131,342 | | $ | 236,252 | | $ | 205,349 | | $ | 30,903 | | |
| Deposits paid for securities borrowed | Deposits paid for securities borrowed | 96,425 | | 6,358 | | 90,067 | | 13,474 | | 76,593 | | | Deposits paid for securities borrowed | 107,041 | | 15,999 | | 91,042 | | 17,326 | | 73,716 | | |
| Total | Total | $ | 458,450 | | $ | 163,728 | | $ | 294,722 | | $ | 172,706 | | $ | 122,016 | | | Total | $ | 474,635 | | $ | 147,341 | | $ | 327,294 | | $ | 222,675 | | $ | 104,619 | | |
| | In millions of dollars | In millions of dollars | Gross amounts
of recognized
liabilities | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
liabilities included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) | In millions of dollars | Gross amounts
of recognized
liabilities | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
liabilities included on
the Consolidated
Balance Sheet | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) |
| Securities sold under agreements to repurchase | Securities sold under agreements to repurchase | $ | 338,564 | | $ | 157,370 | | $ | 181,194 | | $ | 95,563 | | $ | 85,631 | | Securities sold under agreements to repurchase | $ | 305,597 | | $ | 131,342 | | $ | 174,255 | | $ | 85,184 | | $ | 89,071 | |
| Deposits received for securities loaned | Deposits received for securities loaned | 24,689 | | 6,358 | | 18,331 | | 7,982 | | 10,349 | | Deposits received for securities loaned | 33,029 | | 15,999 | | 17,030 | | 2,868 | | 14,162 | |
| Total | Total | $ | 363,253 | | $ | 163,728 | | $ | 199,525 | | $ | 103,545 | | $ | 95,980 | | Total | $ | 338,626 | | $ | 147,341 | | $ | 191,285 | | $ | 88,052 | | $ | 103,233 | |
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(2)Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.
(3)Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.
The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by remaining contractual maturity:
| | | | | | | | | | | | | | | | | |
| As of September 30, 2021 |
| In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total |
| Securities sold under agreements to repurchase | $ | 137,111 | | $ | 87,435 | | $ | 33,974 | | $ | 51,989 | | $ | 310,509 | |
| Deposits received for securities loaned | 26,931 | | 42 | | 2,088 | | 7,770 | | 36,831 | |
| Total | $ | 164,042 | | $ | 87,477 | | $ | 36,062 | | $ | 59,759 | | $ | 347,340 | |
| | | | | | | | | | | | | | | | | |
| As of September 30, 2022 |
| In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total |
| Securities sold under agreements to repurchase | $ | 138,287 | | $ | 77,589 | | $ | 27,855 | | $ | 42,528 | | $ | 286,259 | |
| Deposits received for securities loaned | 19,746 | | 325 | | 458 | | 5,485 | | 26,014 | |
| Total | $ | 158,033 | | $ | 77,914 | | $ | 28,313 | | $ | 48,013 | | $ | 312,273 | |
| | | As of December 31, 2020 | | As of December 31, 2021 |
| In millions of dollars | In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total | In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total |
| Securities sold under agreements to repurchase | Securities sold under agreements to repurchase | $ | 160,754 | | $ | 98,226 | | $ | 41,679 | | $ | 37,905 | | $ | 338,564 | | Securities sold under agreements to repurchase | $ | 127,679 | | $ | 93,257 | | $ | 32,908 | | $ | 51,753 | | $ | 305,597 | |
| Deposits received for securities loaned | Deposits received for securities loaned | 17,038 | | 3 | | 2,770 | | 4,878 | | 24,689 | | Deposits received for securities loaned | 23,387 | | 6 | | 1,392 | | 8,244 | | 33,029 | |
| Total | Total | $ | 177,792 | | $ | 98,229 | | $ | 44,449 | | $ | 42,783 | | $ | 363,253 | | Total | $ | 151,066 | | $ | 93,263 | | $ | 34,300 | | $ | 59,997 | | $ | 338,626 | |
The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by class of underlying collateral:
| | | | | | | | | | | |
| As of September 30, 2021 |
| In millions of dollars | Repurchase agreements | Securities lending agreements | Total |
| U.S. Treasury and federal agency securities | $ | 108,346 | | $ | 2 | | $ | 108,348 | |
| State and municipal securities | 996 | | — | | 996 | |
| Foreign government securities | 134,204 | | 200 | | 134,404 | |
| Corporate bonds | 22,914 | | 297 | | 23,211 | |
| Equity securities | 22,025 | | 36,202 | | 58,227 | |
| Mortgage-backed securities | 16,576 | | — | | 16,576 | |
| Asset-backed securities | 1,571 | | — | | 1,571 | |
| Other | 3,877 | | 130 | | 4,007 | |
| Total | $ | 310,509 | | $ | 36,831 | | $ | 347,340 | |
| | | | | | | | | | | |
| As of September 30, 2022 |
| In millions of dollars | Repurchase agreements | Securities lending agreements | Total |
| U.S. Treasury and federal agency securities | $ | 105,681 | | $ | 119 | | $ | 105,800 | |
| State and municipal securities | 1,141 | | — | | 1,141 | |
| Foreign government securities | 120,050 | | 110 | | 120,160 | |
| Corporate bonds | 15,176 | | 67 | | 15,243 | |
| Equity securities | 10,263 | | 25,541 | | 35,804 | |
| Mortgage-backed securities | 24,007 | | — | | 24,007 | |
| Asset-backed securities | 1,749 | | — | | 1,749 | |
| Other | 8,192 | | 177 | | 8,369 | |
| Total | $ | 286,259 | | $ | 26,014 | | $ | 312,273 | |
| | | As of December 31, 2020 | | As of December 31, 2021 |
| In millions of dollars | In millions of dollars | Repurchase agreements | Securities lending agreements | Total | In millions of dollars | Repurchase agreements | Securities lending agreements | Total |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | $ | 112,437 | | $ | — | | $ | 112,437 | | U.S. Treasury and federal agency securities | $ | 85,861 | | $ | 90 | | $ | 85,951 | |
| State and municipal securities | State and municipal securities | 664 | | 2 | | 666 | | State and municipal securities | 1,053 | | — | | 1,053 | |
| Foreign government securities | Foreign government securities | 130,017 | | 194 | | 130,211 | | Foreign government securities | 133,352 | | 212 | | 133,564 | |
| Corporate bonds | Corporate bonds | 20,149 | | 78 | | 20,227 | | Corporate bonds | 20,398 | | 152 | | 20,550 | |
| Equity securities | Equity securities | 21,497 | | 24,149 | | 45,646 | | Equity securities | 25,653 | | 32,517 | | 58,170 | |
| Mortgage-backed securities | Mortgage-backed securities | 45,566 | | — | | 45,566 | | Mortgage-backed securities | 33,573 | | — | | 33,573 | |
| Asset-backed securities | Asset-backed securities | 3,307 | | — | | 3,307 | | Asset-backed securities | 1,681 | | — | | 1,681 | |
| Other | Other | 4,927 | | 266 | | 5,193 | | Other | 4,026 | | 58 | | 4,084 | |
| Total | Total | $ | 338,564 | | $ | 24,689 | | $ | 363,253 | | Total | $ | 305,597 | | $ | 33,029 | | $ | 338,626 | |
11. BROKERAGE RECEIVABLES AND BROKERAGE PAYABLES
The Company has receivables and payables for financial instruments sold to and purchased from brokers, dealers and customers, which arise in the ordinary course of business.
For additional information on these receivables and payables, see Note 12 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
| | | | | | | | |
| In millions of dollars | September 30,
2021 | December 31, 2020 |
| Receivables from customers | $ | 21,833 | | $ | 18,097 | |
| Receivables from brokers, dealers and clearing organizations | 37,654 | | 26,709 | |
Total brokerage receivables(1) | $ | 59,487 | | $ | 44,806 | |
| Payables to customers | $ | 48,300 | | $ | 39,319 | |
| Payables to brokers, dealers and clearing organizations | 12,201 | | 11,165 | |
Total brokerage payables(1) | $ | 60,501 | | $ | 50,484 | |
| | | | | | | | |
| In millions of dollars | September 30,
2022 | December 31, 2021 |
| Receivables from customers | $ | 26,670 | | $ | 26,403 | |
| Receivables from brokers, dealers and clearing organizations | 53,026 | | 27,937 | |
Total brokerage receivables(1) | $ | 79,696 | | $ | 54,340 | |
| Payables to customers | $ | 69,531 | | $ | 52,158 | |
| Payables to brokers, dealers and clearing organizations | 18,310 | | 9,272 | |
Total brokerage payables(1) | $ | 87,841 | | $ | 61,430 | |
(1) Includes brokerage receivables and payables recorded by Citi broker-dealer entities that are accounted for in accordance with the AICPA Accounting Guide for Brokers and Dealers in Securities as codified in ASC 940-320.
12. INVESTMENTS
For additional information regarding Citi’s investment portfolios, including evaluating investments for impairment, see Note 13 to the Consolidated Financial Statements
in Citi’s 2020 Annual Report on2021 Form 10-K.
The following table presents Citi’s investments by category:
| | In millions of dollars | In millions of dollars | September 30,
2021 | December 31, 2020 | | In millions of dollars | September 30,
2022 | December 31, 2021 | |
| In millions of dollars | September 30,
2022 | December 31, 2021 | |
| Debt securities available-for-sale (AFS) | Debt securities available-for-sale (AFS) | $ | 295,573 | | $ | 335,084 | | | Debt securities available-for-sale (AFS) | $ | 232,143 | | $ | 288,522 | | |
Debt securities held-to-maturity (HTM)(1) | Debt securities held-to-maturity (HTM)(1) | 198,056 | | 104,943 | | | Debt securities held-to-maturity (HTM)(1) | 267,864 | | 216,963 | | |
Marketable equity securities carried at fair value(2) | Marketable equity securities carried at fair value(2) | 379 | | 515 | | | Marketable equity securities carried at fair value(2) | 431 | | 543 | | |
Non-marketable equity securities carried at fair value(2)(5) | Non-marketable equity securities carried at fair value(2)(5) | 539 | | 551 | | | Non-marketable equity securities carried at fair value(2)(5) | 419 | | 489 | | |
Non-marketable equity securities measured using the measurement alternative(3) | Non-marketable equity securities measured using the measurement alternative(3) | 1,392 | | 962 | | | Non-marketable equity securities measured using the measurement alternative(3) | 1,690 | | 1,413 | | |
Non-marketable equity securities carried at cost(4) | Non-marketable equity securities carried at cost(4) | 4,910 | | 5,304 | | | Non-marketable equity securities carried at cost(4) | 5,469 | | 4,892 | | |
| Total investments | Total investments | $ | 500,849 | | $ | 447,359 | | | Total investments | $ | 508,016 | | $ | 512,822 | | |
(1)Carried at adjusted amortized cost basis, net of any ACL.
(2)Unrealized gains and losses are recognized in earnings.
(3)Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings. See “Non-Marketable 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.
(5) Includes $26 million and $145 million of investments in funds for which the fair values are estimated using the net asset value of the Company’s ownership interest in the funds at September 30, 2022 and December 31, 2021, respectively.
The following table presents interest and dividend income on investments:
| | | Three Months Ended September 30, | Nine Months Ended September 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 | 2022 | 2021 | 2022 | 2021 |
| Taxable interest | Taxable interest | $ | 1,777 | | $ | 1,752 | | $ | 5,152 | | $ | 5,915 | | Taxable interest | $ | 2,714 | | $ | 1,777 | | $ | 7,001 | | $ | 5,152 | |
| Interest exempt from U.S. federal income tax | Interest exempt from U.S. federal income tax | 73 | | 85 | | 196 | | 231 | | Interest exempt from U.S. federal income tax | 220 | | 73 | | 263 | | 196 | |
| Dividend income | Dividend income | 35 | | 33 | | 107 | | 102 | | Dividend income | 59 | | 35 | | 149 | | 107 | |
| Total interest and dividend income on investments | Total interest and dividend income on investments | $ | 1,885 | | $ | 1,870 | | $ | 5,455 | | $ | 6,248 | | Total interest and dividend income on investments | $ | 2,993 | | $ | 1,885 | | $ | 7,413 | | $ | 5,455 | |
The following table presents realized gains and losses on the sales of investments, which exclude impairment losses:
| | | Three Months Ended September 30, | Nine Months Ended September 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 | 2022 | 2021 | 2022 | 2021 |
| Gross realized investment gains | Gross realized investment gains | $ | 142 | | $ | 381 | | $ | 757 | | $ | 1,619 | | Gross realized investment gains | $ | 102 | | $ | 142 | | $ | 282 | | $ | 757 | |
| Gross realized investment losses | Gross realized investment losses | (25) | | (77) | | (102) | | (135) | | Gross realized investment losses | (50) | | (25) | | (208) | | (102) | |
| Net realized gains on sales of investments | $ | 117 | | $ | 304 | | $ | 655 | | $ | 1,484 | | |
| Net realized gains (losses) on sales of investments | | Net realized gains (losses) on sales of investments | $ | 52 | | $ | 117 | | $ | 74 | | $ | 655 | |
Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
| | | | September 30, 2021 | December 31, 2020 | | September 30, 2022 | December 31, 2021 |
| 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 | $ | 36,127 | | $ | 743 | | $ | 201 | | $ | — | | $ | 36,669 | | $ | 42,836 | | $ | 1,134 | | $ | 52 | | $ | — | | $ | 43,918 | | U.S. government-sponsored agency guaranteed | $ | 12,214 | | $ | 7 | | $ | 890 | | $ | — | | $ | 11,331 | | $ | 33,064 | | $ | 453 | | $ | 301 | | $ | — | | $ | 33,216 | |
| | Non-U.S. residential | 362 | | 1 | | — | | — | | 363 | | 568 | | 3 | | — | | — | | 571 | | |
| Residential | | Residential | 479 | | — | | 3 | | — | | 476 | | 380 | | 1 | | 1 | | — | | 380 | |
| Commercial | Commercial | 34 | | — | | — | | — | | 34 | | 49 | | 1 | | — | | — | | 50 | | Commercial | 4 | | — | | — | | — | | 4 | | 25 | | — | | — | | — | | 25 | |
| Total mortgage-backed securities | Total mortgage-backed securities | $ | 36,523 | | $ | 744 | | $ | 201 | | $ | — | | $ | 37,066 | | $ | 43,453 | | $ | 1,138 | | $ | 52 | | $ | — | | $ | 44,539 | | Total mortgage-backed securities | $ | 12,697 | | $ | 7 | | $ | 893 | | $ | — | | $ | 11,811 | | $ | 33,469 | | $ | 454 | | $ | 302 | | $ | — | | $ | 33,621 | |
| 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 | $ | 122,491 | | $ | 1,119 | | $ | 436 | | $ | — | | $ | 123,174 | | $ | 144,094 | | $ | 2,108 | | $ | 49 | | $ | — | | $ | 146,153 | | U.S. Treasury | $ | 92,595 | | $ | 41 | | $ | 2,973 | | $ | — | | $ | 89,663 | | $ | 122,669 | | $ | 615 | | $ | 844 | | $ | — | | $ | 122,440 | |
| Agency obligations | Agency obligations | — | | — | | — | | — | | — | | 50 | | 1 | | — | | — | | 51 | | Agency obligations | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Total U.S. Treasury and federal agency securities | Total U.S. Treasury and federal agency securities | $ | 122,491 | | $ | 1,119 | | $ | 436 | | $ | — | | $ | 123,174 | | $ | 144,144 | | $ | 2,109 | | $ | 49 | | $ | — | | $ | 146,204 | | Total U.S. Treasury and federal agency securities | $ | 92,595 | | $ | 41 | | $ | 2,973 | | $ | — | | $ | 89,663 | | $ | 122,669 | | $ | 615 | | $ | 844 | | $ | — | | $ | 122,440 | |
State and municipal | State and municipal | $ | 2,710 | | $ | 85 | | $ | 111 | | $ | — | | $ | 2,684 | | $ | 3,753 | | $ | 123 | | $ | 157 | | $ | — | | $ | 3,719 | | State and municipal | $ | 2,368 | | $ | 8 | | $ | 223 | | $ | — | | $ | 2,153 | | $ | 2,643 | | $ | 79 | | $ | 101 | | $ | — | | $ | 2,621 | |
| Foreign government | Foreign government | 120,322 | | 496 | | 624 | | — | | 120,194 | | 123,467 | | 1,623 | | 122 | | — | | 124,968 | | Foreign government | 121,815 | | 400 | | 3,244 | | — | | 118,971 | | 119,426 | | 337 | | 1,023 | | — | | 118,740 | |
| Corporate | Corporate | 6,929 | | 70 | | 65 | | 8 | | 6,926 | | 10,444 | | 152 | | 91 | | 5 | | 10,500 | | Corporate | 5,773 | | 37 | | 296 | | 1 | | 5,513 | | 5,972 | | 33 | | 77 | | 8 | | 5,920 | |
Asset-backed securities(1) | Asset-backed securities(1) | 263 | | 1 | | — | | — | | 264 | | 277 | | 5 | | 4 | | — | | 278 | | Asset-backed securities(1) | 277 | | 1 | | 2 | | — | | 276 | | 304 | | — | | 1 | | — | | 303 | |
| Other debt securities | Other debt securities | 5,265 | | 1 | | 1 | | — | | 5,265 | | 4,871 | | 5 | | — | | — | | 4,876 | | Other debt securities | 3,764 | | — | | 8 | | — | | 3,756 | | 4,880 | | 1 | | 4 | | — | | 4,877 | |
| | Total debt securities AFS | Total debt securities AFS | $ | 294,503 | | $ | 2,516 | | $ | 1,438 | | $ | 8 | | $ | 295,573 | | $ | 330,409 | | $ | 5,155 | | $ | 475 | | $ | 5 | | $ | 335,084 | | Total debt securities AFS | $ | 239,289 | | $ | 494 | | $ | 7,639 | | $ | 1 | | $ | 232,143 | | $ | 289,363 | | $ | 1,519 | | $ | 2,352 | | $ | 8 | | $ | 288,522 | |
(1)The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. ForSee Note 18 for mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18involvement.
(2)In June 2022, Citibank transferred $21.5 billion of agency residential mortgage-backed securities from AFS classification to HTM classification in accordance with ASC 320. At the Consolidated Financial Statements.time of transfer, the securities were in an unrealized loss position of $2.3 billion. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities.
(3) In September 2022, Citibank transferred $165 million of municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the bonds were in an unrealized loss position of $12 million. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities.
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 |
| September 30, 2021 | | | | | | |
| September 30, 2022 | | September 30, 2022 | | | | | |
| 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 | $ | 10,965 | | $ | 182 | | $ | 197 | | $ | 19 | | $ | 11,162 | | $ | 201 | | U.S. government-sponsored agency guaranteed | $ | 9,471 | | $ | 615 | | $ | 1,922 | | $ | 275 | | $ | 11,393 | | $ | 890 | |
| | Non-U.S. residential | 58 | | — | | — | | — | | 58 | | — | | |
| Residential | | Residential | 46 | | 3 | | — | | — | | 46 | | 3 | |
| Commercial | Commercial | 2 | | — | | — | | — | | 2 | | — | | Commercial | 3 | | — | | 1 | | — | | 4 | | — | |
| Total mortgage-backed securities | Total mortgage-backed securities | $ | 11,025 | | $ | 182 | | $ | 197 | | $ | 19 | | $ | 11,222 | | $ | 201 | | Total mortgage-backed securities | $ | 9,520 | | $ | 618 | | $ | 1,923 | | $ | 275 | | $ | 11,443 | | $ | 893 | |
| | U.S. Treasury | U.S. Treasury | $ | 38,146 | | $ | 122 | | $ | 19,579 | | $ | 314 | | $ | 57,725 | | $ | 436 | | U.S. Treasury | $ | 44,899 | | $ | 1,300 | | $ | 33,305 | | $ | 1,673 | | $ | 78,204 | | $ | 2,973 | |
| | State and municipal | State and municipal | 198 | | 5 | | 1,182 | | 106 | | 1,380 | | 111 | | State and municipal | 488 | | 40 | | 1,308 | | 183 | | 1,796 | | 223 | |
| Foreign government | Foreign government | 54,437 | | 494 | | 9,452 | | 130 | | 63,889 | | 624 | | Foreign government | 79,279 | | 2,514 | | 13,266 | | 730 | | 92,545 | | 3,244 | |
| Corporate | Corporate | 1,994 | | 65 | | 21 | | — | | 2,015 | | 65 | | Corporate | 4,068 | | 270 | | 394 | | 26 | | 4,462 | | 296 | |
| Asset-backed securities | Asset-backed securities | 3 | | — | | — | | — | | 3 | | — | | Asset-backed securities | 159 | | 2 | | — | | — | | 159 | | 2 | |
| Other debt securities | Other debt securities | 2,787 | | 1 | | — | | — | | 2,787 | | 1 | | Other debt securities | 2,271 | | 8 | | — | | — | | 2,271 | | 8 | |
| Total debt securities AFS | Total debt securities AFS | $ | 108,590 | | $ | 869 | | $ | 30,431 | | $ | 569 | | $ | 139,021 | | $ | 1,438 | | Total debt securities AFS | $ | 140,684 | | $ | 4,752 | | $ | 50,196 | | $ | 2,887 | | $ | 190,880 | | $ | 7,639 | |
| December 31, 2020 | | | | | | |
| December 31, 2021 | | December 31, 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 | $ | 3,588 | | $ | 30 | | $ | 298 | | $ | 22 | | $ | 3,886 | | $ | 52 | | U.S. government-sponsored agency guaranteed | $ | 17,039 | | $ | 270 | | $ | 698 | | $ | 31 | | $ | 17,737 | | $ | 301 | |
| | Non-U.S. residential | Non-U.S. residential | 1 | | — | | — | | — | | 1 | | — | | Non-U.S. residential | 96 | | 1 | | 1 | | — | | 97 | | 1 | |
| Commercial | Commercial | 7 | | — | | 4 | | — | | 11 | | — | | Commercial | — | | — | | — | | — | | — | | — | |
| Total mortgage-backed securities | Total mortgage-backed securities | $ | 3,596 | | $ | 30 | | $ | 302 | | $ | 22 | | $ | 3,898 | | $ | 52 | | Total mortgage-backed securities | $ | 17,135 | | $ | 271 | | $ | 699 | | $ | 31 | | $ | 17,834 | | $ | 302 | |
| 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 | | $ | — | | $ | — | | $ | 25,031 | | $ | 49 | | U.S. Treasury | $ | 56,448 | | $ | 713 | | $ | 6,310 | | $ | 131 | | $ | 62,758 | | $ | 844 | |
| Agency obligations | Agency obligations | 50 | | — | | — | | — | | 50 | | — | | Agency obligations | — | | — | | — | | — | | — | | — | |
| Total U.S. Treasury and federal agency securities | Total U.S. Treasury and federal agency securities | $ | 25,081 | | $ | 49 | | $ | — | | $ | — | | $ | 25,081 | | $ | 49 | | Total U.S. Treasury and federal agency securities | $ | 56,448 | | $ | 713 | | $ | 6,310 | | $ | 131 | | $ | 62,758 | | $ | 844 | |
| State and municipal | State and municipal | $ | 836 | | $ | 34 | | $ | 893 | | $ | 123 | | $ | 1,729 | | $ | 157 | | State and municipal | $ | 229 | | $ | 3 | | $ | 874 | | $ | 98 | | $ | 1,103 | | $ | 101 | |
| Foreign government | Foreign government | 29,344 | | 61 | | 3,502 | | 61 | | 32,846 | | 122 | | Foreign government | 64,319 | | 826 | | 9,924 | | 197 | | 74,243 | | 1,023 | |
| Corporate | Corporate | 1,083 | | 90 | | 24 | | 1 | | 1,107 | | 91 | | Corporate | 2,655 | | 77 | | 22 | | — | | 2,677 | | 77 | |
| Asset-backed securities | Asset-backed securities | 194 | | 3 | | 39 | | 1 | | 233 | | 4 | | Asset-backed securities | 108 | | 1 | | — | | — | | 108 | | 1 | |
| Other debt securities | Other debt securities | 182 | | — | | — | | — | | 182 | | — | | Other debt securities | 3,439 | | 4 | | — | | — | | 3,439 | | 4 | |
| Total debt securities AFS | Total debt securities AFS | $ | 60,316 | | $ | 267 | | $ | 4,760 | | $ | 208 | | $ | 65,076 | | $ | 475 | | Total debt securities AFS | $ | 144,333 | | $ | 1,895 | | $ | 17,829 | | $ | 457 | | $ | 162,162 | | $ | 2,352 | |
The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
| | | | | September 30, 2021 | December 31, 2020 | | September 30, 2022 | December 31, 2021 |
| In millions of dollars | In millions of dollars | Amortized
cost | Fair
value | Amortized
cost | Fair
value | In millions of dollars | Amortized
cost | Fair
value | Amortized
cost | Fair
value |
Mortgage-backed securities(1) | Mortgage-backed securities(1) | | | | Mortgage-backed securities(1) | | | |
| Due within 1 year | Due within 1 year | $ | 200 | | $ | 200 | | $ | 27 | | $ | 27 | | Due within 1 year | $ | 42 | | $ | 42 | | $ | 188 | | $ | 189 | |
| After 1 but within 5 years | After 1 but within 5 years | 187 | | 188 | | 567 | | 571 | | After 1 but within 5 years | 514 | | 502 | | 211 | | 211 | |
| After 5 but within 10 years | After 5 but within 10 years | 726 | | 776 | | 688 | | 757 | | After 5 but within 10 years | 365 | | 337 | | 523 | | 559 | |
After 10 years(2) | 35,410 | | 35,902 | | 42,171 | | 43,184 | | |
| After 10 years | | After 10 years | 11,776 | | 10,930 | | 32,547 | | 32,662 | |
| Total | Total | $ | 36,523 | | $ | 37,066 | | $ | 43,453 | | $ | 44,539 | | Total | $ | 12,697 | | $ | 11,811 | | $ | 33,469 | | $ | 33,621 | |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | | | | U.S. Treasury and federal agency securities | | | |
| Due within 1 year | Due within 1 year | $ | 27,539 | | $ | 27,614 | | $ | 34,834 | | $ | 34,951 | | Due within 1 year | $ | 16,839 | | $ | 16,737 | | $ | 34,321 | | $ | 34,448 | |
| After 1 but within 5 years | After 1 but within 5 years | 94,520 | | 95,132 | | 108,160 | | 110,091 | | After 1 but within 5 years | 75,414 | | 72,631 | | 87,987 | | 87,633 | |
| After 5 but within 10 years | After 5 but within 10 years | 432 | | 428 | | 1,150 | | 1,162 | | After 5 but within 10 years | 342 | | 295 | | 361 | | 359 | |
After 10 years(2) | — | | — | | — | | — | | |
| After 10 years | | After 10 years | — | | — | | — | | — | |
| Total | Total | $ | 122,491 | | $ | 123,174 | | $ | 144,144 | | $ | 146,204 | | Total | $ | 92,595 | | $ | 89,663 | | $ | 122,669 | | $ | 122,440 | |
| State and municipal | State and municipal | | | | State and municipal | | | |
| Due within 1 year | Due within 1 year | $ | 45 | | $ | 45 | | $ | 427 | | $ | 428 | | Due within 1 year | $ | 18 | | $ | 19 | | $ | 40 | | $ | 40 | |
| After 1 but within 5 years | After 1 but within 5 years | 137 | | 140 | | 189 | | 198 | | After 1 but within 5 years | 101 | | 99 | | 121 | | 124 | |
| After 5 but within 10 years | After 5 but within 10 years | 160 | | 168 | | 276 | | 267 | | After 5 but within 10 years | 263 | | 247 | | 156 | | 161 | |
After 10 years(2) | 2,368 | | 2,331 | | 2,861 | | 2,826 | | |
| After 10 years | | After 10 years | 1,986 | | 1,788 | | 2,326 | | 2,296 | |
| Total | Total | $ | 2,710 | | $ | 2,684 | | $ | 3,753 | | $ | 3,719 | | Total | $ | 2,368 | | $ | 2,153 | | $ | 2,643 | | $ | 2,621 | |
| Foreign government | Foreign government | | | | Foreign government | | | |
| Due within 1 year | Due within 1 year | $ | 47,441 | | $ | 47,492 | | $ | 48,133 | | $ | 48,258 | | Due within 1 year | $ | 55,925 | | $ | 55,735 | | $ | 49,263 | | $ | 49,223 | |
| After 1 but within 5 years | After 1 but within 5 years | 65,523 | | 65,370 | | 67,365 | | 68,586 | | After 1 but within 5 years | 62,444 | | 60,195 | | 64,555 | | 63,961 | |
| After 5 but within 10 years | After 5 but within 10 years | 5,560 | | 5,514 | | 5,908 | | 6,011 | | After 5 but within 10 years | 2,564 | | 2,239 | | 3,736 | | 3,656 | |
After 10 years(2) | 1,798 | | 1,818 | | 2,061 | | 2,113 | | |
| After 10 years | | After 10 years | 882 | | 802 | | 1,872 | | 1,900 | |
| Total | Total | $ | 120,322 | | $ | 120,194 | | $ | 123,467 | | $ | 124,968 | | Total | $ | 121,815 | | $ | 118,971 | | $ | 119,426 | | $ | 118,740 | |
All other(3)(2) | All other(3)(2) | | | | All other(3)(2) | | | |
| Due within 1 year | Due within 1 year | $ | 6,108 | | $ | 6,112 | | $ | 6,661 | | $ | 6,665 | | Due within 1 year | $ | 4,396 | | $ | 4,378 | | $ | 5,175 | | $ | 5,180 | |
| After 1 but within 5 years | After 1 but within 5 years | 5,434 | | 5,464 | | 7,814 | | 7,891 | | After 1 but within 5 years | 4,592 | | 4,420 | | 5,177 | | 5,149 | |
| After 5 but within 10 years | After 5 but within 10 years | 853 | | 846 | | 1,018 | | 1,034 | | After 5 but within 10 years | 770 | | 743 | | 750 | | 750 | |
After 10 years(2) | 62 | | 33 | | 99 | | 64 | | |
| After 10 years | | After 10 years | 56 | | 4 | | 54 | | 21 | |
| Total | Total | $ | 12,457 | | $ | 12,455 | | $ | 15,592 | | $ | 15,654 | | Total | $ | 9,814 | | $ | 9,545 | | $ | 11,156 | | $ | 11,100 | |
| Total debt securities AFS | Total debt securities AFS | $ | 294,503 | | $ | 295,573 | | $ | 330,409 | | $ | 335,084 | | Total debt securities AFS | $ | 239,289 | | $ | 232,143 | | $ | 289,363 | | $ | 288,522 | |
(1)Includes mortgage-backed securities of U.S. government-sponsored agencies. The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions.
(2)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate, asset-backed and other debt securities.
Debt Securities Held-to-Maturity
The carrying value and fair value of debt securities HTM were as follows:
| | In millions of dollars | 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 |
| September 30, 2021 | | | | |
| September 30, 2022 | | September 30, 2022 | | | |
| 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 | | $ | 67,517 | | $ | 1,490 | | $ | 533 | | $ | 68,474 | | |
U.S. government-sponsored agency guaranteed(3) | | U.S. government-sponsored agency guaranteed(3) | | $ | 89,020 | | $ | 2 | | $ | 11,160 | | $ | 77,862 | |
| | Non-U.S. residential | Non-U.S. residential | | 739 | | 1 | | — | | 740 | | Non-U.S. residential | | 467 | | — | | — | | 467 | |
| Commercial | Commercial | | 957 | | 3 | | 2 | | 958 | | Commercial | | 1,100 | | 4 | | 1 | | 1,103 | |
| Total mortgage-backed securities | Total mortgage-backed securities | | $ | 69,213 | | $ | 1,494 | | $ | 535 | | $ | 70,172 | | Total mortgage-backed securities | | $ | 90,587 | | $ | 6 | | $ | 11,161 | | $ | 79,432 | |
| U.S. Treasury securities | U.S. Treasury securities | | $ | 88,270 | | $ | 26 | | $ | 850 | | $ | 87,446 | | U.S. Treasury securities | | $ | 134,969 | | $ | — | | $ | 14,672 | | $ | 120,297 | |
State and municipal(3)(4) | State and municipal(3)(4) | | 8,952 | | 575 | | 18 | | 9,509 | | State and municipal(3)(4) | | 9,215 | | 18 | | 1,111 | | 8,122 | |
| Foreign government | Foreign government | | 1,694 | | 10 | | 16 | | 1,688 | | Foreign government | | 2,014 | | — | | 115 | | 1,899 | |
Asset-backed securities(2) | Asset-backed securities(2) | | 29,927 | | 9 | | 27 | | 29,909 | | Asset-backed securities(2) | | 31,079 | | 4 | | 1,026 | | 30,057 | |
| | Total debt securities HTM, net | Total debt securities HTM, net | | $ | 198,056 | | $ | 2,114 | | $ | 1,446 | | $ | 198,724 | | Total debt securities HTM, net | | $ | 267,864 | | $ | 28 | | $ | 28,085 | | $ | 239,807 | |
| December 31, 2020 | | | | |
| December 31, 2021 | | December 31, 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 | | $ | 49,004 | | $ | 2,162 | | $ | 15 | | $ | 51,151 | | U.S. government-sponsored agency guaranteed | | $ | 63,885 | | $ | 1,076 | | $ | 925 | | $ | 64,036 | |
| | Non-U.S. residential | Non-U.S. residential | | 1,124 | | 3 | | 1 | | 1,126 | | Non-U.S. residential | | 736 | | 3 | | — | | 739 | |
| Commercial | Commercial | | 825 | | 1 | | 1 | | 825 | | Commercial | | 1,070 | | 4 | | 2 | | 1,072 | |
| Total mortgage-backed securities | Total mortgage-backed securities | | $ | 50,953 | | $ | 2,166 | | $ | 17 | | $ | 53,102 | | Total mortgage-backed securities | | $ | 65,691 | | $ | 1,083 | | $ | 927 | | $ | 65,847 | |
U.S. Treasury securities(4) | | $ | 21,293 | | $ | 4 | | $ | 55 | | $ | 21,242 | | |
| U.S. Treasury securities | | U.S. Treasury securities | | $ | 111,819 | | $ | 30 | | $ | 1,632 | | $ | 110,217 | |
State and municipal | State and municipal | | 9,185 | | 755 | | 11 | | 9,929 | | State and municipal | | 8,923 | | 589 | | 12 | | 9,500 | |
| Foreign government | Foreign government | | 1,931 | | 91 | | — | | 2,022 | | Foreign government | | 1,651 | | 4 | | 36 | | 1,619 | |
Asset-backed securities(2) | Asset-backed securities(2) | | 21,581 | | 6 | | 92 | | 21,495 | | Asset-backed securities(2) | | 28,879 | | 8 | | 32 | | 28,855 | |
| Total debt securities HTM, net | Total debt securities HTM, net | | $ | 104,943 | | $ | 3,022 | | $ | 175 | | $ | 107,790 | | Total debt securities HTM, net | | $ | 216,963 | | $ | 1,714 | | $ | 2,639 | | $ | 216,038 | |
(1)Amortized cost is reported net of ACL of $73$115 million and $86$87 million at September 30, 20212022 and December 31, 2020,2021, respectively.
(2)The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. ForSee Note 18 for mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.involvement.
(3)In June 2022, Citibank transferred $21.5 billion of agency residential mortgage-backed securities from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized loss position of $2.3 billion. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities.
(4)In September 2022, Citibank transferred $165 million of municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the bonds were in an unrealized loss position of $12 million. The loss amounts will remain in AOCI and will be amortized over the remaining life of the securities.
(5)In February 2021, the 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, the 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:
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| | September 30, 2021 | December 31, 2020 |
| In millions of dollars | Amortized cost(1) | Fair value | Amortized cost(1) | Fair value |
| Mortgage-backed securities | | | | |
| Due within 1 year | $ | 160 | | $ | 160 | | $ | 81 | | $ | 81 | |
| After 1 but within 5 years | 737 | | 792 | | 463 | | 477 | |
| After 5 but within 10 years | 1,637 | | 1,736 | | 1,699 | | 1,873 | |
After 10 years(2) | 66,679 | | 67,484 | | 48,710 | | 50,671 | |
| Total | $ | 69,213 | | $ | 70,172 | | $ | 50,953 | | $ | 53,102 | |
| U.S. Treasury securities | | | | |
| Due within 1 year | $ | — | | $ | — | | $ | — | | $ | — | |
| After 1 but within 5 years | 42,783 | | 42,287 | | 18,955 | | 19,127 | |
| After 5 but within 10 years | 45,487 | | 45,159 | | 2,338 | | 2,115 | |
After 10 years(2) | — | | — | | — | | — | |
| Total | $ | 88,270 | | $ | 87,446 | | $ | 21,293 | | $ | 21,242 | |
| State and municipal | | | | |
| Due within 1 year | $ | 54 | | $ | 54 | | $ | 6 | | $ | 6 | |
| After 1 but within 5 years | 168 | | 172 | | 139 | | 142 | |
| After 5 but within 10 years | 838 | | 881 | | 818 | | 869 | |
After 10 years(2) | 7,892 | | 8,402 | | 8,222 | | 8,912 | |
| Total | $ | 8,952 | | $ | 9,509 | | $ | 9,185 | | $ | 9,929 | |
| Foreign government | | | | |
| Due within 1 year | $ | 334 | | $ | 335 | | $ | 361 | | $ | 360 | |
| After 1 but within 5 years | 1,360 | | 1,353 | | 1,570 | | 1,662 | |
| After 5 but within 10 years | — | | — | | — | | — | |
After 10 years(2) | — | | — | | — | | — | |
| Total | $ | 1,694 | | $ | 1,688 | | $ | 1,931 | | $ | 2,022 | |
All other(3) | | | | |
| Due within 1 year | $ | — | | $ | — | | $ | — | | $ | — | |
| After 1 but within 5 years | — | | — | | — | | — | |
| After 5 but within 10 years | 11,299 | | 11,297 | | 11,795 | | 15,020 | |
After 10 years(2) | 18,628 | | 18,612 | | 9,786 | | 6,475 | |
| Total | $ | 29,927 | | $ | 29,909 | | $ | 21,581 | | $ | 21,495 | |
| Total debt securities HTM | $ | 198,056 | | $ | 198,724 | | $ | 104,943 | | $ | 107,790 | |
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| | September 30, 2022 | December 31, 2021 |
| In millions of dollars | Amortized cost(1) | Fair value | | Amortized cost(1) | Fair value | |
| Mortgage-backed securities | | | | | | |
| Due within 1 year | $ | 32 | | $ | 32 | | | $ | 152 | | $ | 151 | | |
| After 1 but within 5 years | 683 | | 663 | | | 684 | | 725 | | |
| After 5 but within 10 years | 1,520 | | 1,386 | | | 1,655 | | 1,739 | | |
| After 10 years | 88,352 | | 77,351 | | | 63,200 | | 63,232 | | |
| Total | $ | 90,587 | | $ | 79,432 | | | $ | 65,691 | | $ | 65,847 | | |
| U.S. Treasury securities | | | | | | |
| Due within 1 year | $ | — | | $ | — | | | $ | — | | $ | — | | |
| After 1 but within 5 years | 89,774 | | 81,540 | | | 65,498 | | 64,516 | | |
| After 5 but within 10 years | 45,195 | | 38,757 | | | 46,321 | | 45,701 | | |
| After 10 years | — | | — | | | — | | — | | |
| Total | $ | 134,969 | | $ | 120,297 | | | $ | 111,819 | | $ | 110,217 | | |
| State and municipal | | | | | | |
| Due within 1 year | $ | 41 | | $ | 41 | | | $ | 51 | | $ | 50 | | |
| After 1 but within 5 years | 121 | | 120 | | | 166 | | 170 | | |
| After 5 but within 10 years | 935 | | 880 | | | 908 | | 951 | | |
| After 10 years | 8,118 | | 7,081 | | | 7,798 | | 8,329 | | |
| Total | $ | 9,215 | | $ | 8,122 | | | $ | 8,923 | | $ | 9,500 | | |
| Foreign government | | | | | | |
| Due within 1 year | $ | — | | $ | — | | | $ | 292 | | $ | 291 | | |
| After 1 but within 5 years | 2,014 | | 1,899 | | | 1,359 | | 1,328 | | |
| After 5 but within 10 years | — | | — | | | — | | — | | |
| After 10 years | — | | — | | | — | | — | | |
| Total | $ | 2,014 | | $ | 1,899 | | | $ | 1,651 | | $ | 1,619 | | |
All other(2) | | | | | | |
| Due within 1 year | $ | — | | $ | — | | | $ | — | | $ | — | | |
| After 1 but within 5 years | — | | — | | | — | | — | | |
| After 5 but within 10 years | 11,857 | | 11,603 | | | 11,520 | | 11,515 | | |
| After 10 years | 19,222 | | 18,454 | | | 17,359 | | 17,340 | | |
| Total | $ | 31,079 | | $ | 30,057 | | | $ | 28,879 | | $ | 28,855 | | |
| Total debt securities HTM | $ | 267,864 | | $ | 239,807 | | | $ | 216,963 | | $ | 216,038 | | |
(1)Amortized cost is reported net of ACL of $73$115 million and $86$87 million at September 30, 20212022 and December 31, 2020,2021, respectively.
(2)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate and asset-backed securities.
HTM Debt Securities Delinquency and Non-Accrual Details
Citi did not have any HTM securities that were delinquent or on non-accrual status at September 30, 2021 and2022 or December 31, 2020.2021.
There were no purchased credit-deteriorated HTM debt securities held by the Company as of September 30, 2021 and2022 or December 31, 2020.2021.
Evaluating Investments for Impairment
AFS Debt Securities
Overview—AFS Debt Securities
The Company conducts periodic reviews of all AFS debt securities with unrealized losses to evaluate whether the impairment resulted from expected credit losses or from other factors and to evaluate the Company’s intent to sell such securities.
An AFS debt security is impaired when the current fair value of an individual AFS debt security is less than its amortized cost basis.
The Company recognizes the entire difference between amortized cost basis and fair value in earningsFor more information on evaluating investments 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 limitedsee Note 13 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 recognizedConsolidated Financial Statements in earnings.Citi’s 2021 Form 10-K.
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 September 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:
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| Three Months Ended
September 30, 2021 | Three Months Ended
September 30, 2020 |
| In millions of dollars | AFS | Other
assets | Total | AFS | | Other assets | Total |
| Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | |
| Total impairment losses recognized during the period | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | |
Less: portion of impairment loss recognized in AOCI (before taxes) | — | | — | | — | | — | | | — | | — | |
| Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | |
| Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise | 21 | | — | | 21 | | 30 | | | — | | 30 | |
| Total impairment losses recognized in earnings | $ | 21 | | $ | — | | $ | 21 | | $ | 30 | | | $ | — | | $ | 30 | |
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| Nine Months Ended
September 30, 2021 | Nine Months Ended
September 30, 2020 |
| In millions of dollars | AFS | Other
assets | Total | AFS | | Other assets | Total |
| Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | |
| Total impairment losses recognized during the period | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | |
Less: portion of impairment loss recognized in AOCI (before taxes) | — | | — | | — | | — | | | — | | — | |
| Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | |
| Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise | 99 | | — | | 99 | | 101 | | | — | | 101 | |
| Total impairment losses recognized in earnings | $ | 99 | | $ | — | | $ | 99 | | $ | 101 | | | $ | — | | $ | 101 | |
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| Three Months Ended
September 30, 2022 | Three Months Ended
September 30, 2021 |
| In millions of dollars | AFS | Other
assets | Total | AFS | | Other assets | Total |
| Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | |
| Total impairment losses recognized during the period | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | |
Less: portion of impairment loss recognized in AOCI (before taxes) | — | | — | | — | | — | | | — | | — | |
| Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | |
| Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise | 74 | | — | | 74 | | 21 | | | — | | 21 | |
| Total impairment losses recognized in earnings | $ | 74 | | $ | — | | $ | 74 | | $ | 21 | | | $ | — | | $ | 21 | |
| Nine Months Ended
September 30, 2022 | Nine Months Ended
September 30, 2021 |
| In millions of dollars | AFS | Other
assets | Total | AFS | | Other assets | Total |
| Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | |
| Total impairment losses recognized during the period | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | |
Less: portion of impairment loss recognized in AOCI (before taxes) | — | | — | | — | | — | | | — | | — | |
| Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell | $ | — | | $ | — | | $ | — | | $ | — | | | $ | — | | $ | — | |
| Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise | 254 | | — | | 254 | | 99 | | | — | | 99 | |
| Total impairment losses recognized in earnings | $ | 254 | | $ | — | | $ | 254 | | $ | 99 | | | $ | — | | $ | 99 | |
Allowance for Credit Losses on AFS Debt Securities
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| Three Months Ended September 30, 2021 |
| In millions of dollars | Mortgage-backed | U.S. Treasury and federal agency | State and municipal | Foreign government | | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | 5 | | $ | 5 | |
| Less: Write-offs | — | | — | | — | | — | | | | — | | — | |
| Recoveries of amounts written-off | — | | — | | — | | — | | | | — | | — | |
| Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | — | | $ | — | |
| NCLs | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | — | | $ | — | |
| Credit losses on securities without previous credit losses | — | | — | | — | | — | | | | 1 | | 1 | |
| Net reserve builds (releases) on securities with previous credit losses | — | | — | | — | | — | | | | — | | — | |
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| Total provision for credit losses | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | 1 | | $ | 1 | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | — | | — | | — | | — | | | | — | | — | |
| Allowance for credit losses at end of period | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | 6 | | $ | 6 | |
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| | | | | | Three Months Ended September 30, 2022 | | | | | | |
| In millions of dollars | | | | | | Corporate | Total AFS | | | | | | |
| Allowance for credit losses at beginning of period | | | | | | $ | 6 | | $ | 6 | | | | | | | |
| Gross write-offs | | | | | | — | | — | | | | | | | |
| Gross recoveries | | | | | | 5 | | 5 | | | | | | | |
| Net credit losses (NCLs) | | | | | | $ | 5 | | $ | 5 | | | | | | | |
| NCLs | | | | | | $ | (5) | | $ | (5) | | | | | | | |
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| Total provision for credit losses | | | | | | $ | (5) | | $ | (5) | | | | | | | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | | | | | | — | | — | | | | | | | |
| Allowance for credit losses at end of period | | | | | | $ | 1 | | $ | 1 | | | | | | | |
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| | | | | | Nine Months Ended September 30, 2022 | | | | | | |
| In millions of dollars | | | | | | Corporate | Total AFS | | | | | | |
| Allowance for credit losses at beginning of period | | | | | | $ | 8 | | $ | 8 | | | | | | | |
| Gross write-offs | | | | | | — | | — | | | | | | | |
| Gross recoveries | | | | | | 5 | | 5 | | | | | | | |
| Net credit losses (NCLs) | | | | | | $ | 5 | | $ | 5 | | | | | | | |
| NCLs | | | | | | $ | (5) | | $ | (5) | | | | | | | |
| Credit losses on securities without previous credit losses | | | | | | — | | — | | | | | | | |
| Net reserve builds (releases) on securities with previous credit losses | | | | | | (2) | | (2) | | | | | | | |
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| Total provision for credit losses | | | | | | $ | (7) | | $ | (7) | | | | | | | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | | | | | | — | | — | | | | | | | |
| Allowance for credit losses at end of period | | | | | | $ | 1 | | $ | 1 | | | | | | | |
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| Nine Months Ended September 30, 2021 |
| In millions of dollars | Mortgage-backed | U.S. Treasury and federal agency | State and municipal | Foreign government | | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | 5 | | $ | 5 | |
| Less: Write-offs | — | | — | | — | | — | | | | — | | — | |
| Recoveries of amounts written-off | — | | — | | — | | — | | | | — | | — | |
| Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | — | | $ | — | |
| NCLs | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | — | | $ | — | |
| Credit losses on securities without previous credit losses | — | | — | | — | | — | | | | 1 | | 1 | |
| Net reserve builds (releases) on securities with previous credit losses | — | | — | | — | | — | | | | — | | — | |
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| Total provision for credit losses | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | 1 | | $ | 1 | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | — | | — | | — | | — | | | | — | | — | |
| Allowance for credit losses at end of period | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | 6 | | $ | 6 | |
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| | | | | Three Months Ended September 30, 2021 |
| In millions of dollars | | | | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | | | | | $ | 5 | | $ | 5 | |
| Gross write-offs | | | | | — | | — | |
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| Net credit losses (NCLs) | | | | | $ | — | | $ | — | |
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| Credit losses on securities without previous credit losses | | | | | 1 | | 1 | |
| Net reserve builds (releases) on securities with previous credit losses | | | | | — | | — | |
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| Initial allowance on newly purchased credit-deteriorated securities during the period | | | | | — | | — | |
| Allowance for credit losses at end of period | | | | | $ | 6 | | $ | 6 | |
| | | | | Nine Months Ended September 30, 2021 |
| In millions of dollars | | | | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | | | | | $ | 5 | | $ | 5 | |
| | | | | | |
| Gross write-offs | | | | | — | | — | |
| Gross recoveries | | | | | — | | — | |
| Net credit losses (NCLs) | | | | | $ | — | | $ | — | |
| NCLs | | | | | $ | — | | $ | — | |
| Credit losses on securities without previous credit losses | | | | | 1 | | 1 | |
| Net reserve builds (releases) on securities with previous credit losses | | | | | — | | — | |
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| Total provision for credit losses | | | | | $ | 1 | | $ | 1 | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | | | | | — | | — | |
| Allowance for credit losses at end of period | | | | | $ | 6 | | $ | 6 | |
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| Three Months Ended September 30, 2020 |
| In millions of dollars | Mortgage-backed | U.S. Treasury and federal agency | State and municipal | Foreign government | | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | $ | — | | $ | — | | $ | — | | $ | 3 | | | | $ | 5 | | $ | 8 | |
| Less: Write-offs | — | | — | | — | | — | | | | — | | — | |
| Recoveries of amounts written-off | — | | — | | — | | — | | | | 1 | | 1 | |
| Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | 1 | | $ | 1 | |
| NCLs | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | (1) | | $ | (1) | |
| Credit losses on securities without previous credit losses | — | | — | | — | | — | | | | — | | — | |
| Net reserve builds (releases) on securities with previous credit losses | — | | — | | — | | (3) | | | | — | | (3) | |
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| Total provision for credit losses | $ | — | | $ | — | | $ | — | | $ | (3) | | | | $ | (1) | | $ | (4) | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | — | | — | | — | | — | | | | — | | — | |
| Allowance for credit losses at end of period | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | 5 | | $ | 5 | |
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| 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 | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | — | | $ | — | |
| Less: Write-offs | — | | — | | — | | — | | | | — | | — | |
| Recoveries of amounts written-off | — | | — | | — | | — | | | | 1 | | 1 | |
| Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | 1 | | $ | 1 | |
| NCLs | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | (1) | | $ | (1) | |
| Credit losses on securities without previous credit losses | — | | — | | — | | 3 | | | | 5 | | 8 | |
| Net reserve builds (releases) on securities with previous credit losses | — | | — | | — | | (3) | | | | — | | (3) | |
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| Total provision for credit losses | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | 4 | | $ | 4 | |
| Initial allowance on newly purchased credit-deteriorated securities during the period | — | | — | | — | | — | | | | — | | — | |
| Allowance for credit losses at end of period | $ | — | | $ | — | | $ | — | | $ | — | | | | $ | 5 | | $ | 5 | |
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Non-Marketable Equity Securities Not Carried at Fair Value
Non-marketable equity securities are required to be measured at fair value with changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost.
The election to measure a non-marketable equity security using the measurement alternative is made on an instrument-by-instrument basis. Under the measurement alternative, an equity security is carried at cost plus or minus changes resulting from observable prices in orderly transactions for the identical or a similar investment of the same issuer. The carrying value of the equity security is adjusted to fair value on the date of an observed transaction. Fair value may differ from the observed transaction price due to a number of factors, including marketability adjustments and differences in rights and obligations when the observed transaction is not for the identical investment held by Citi.
Equity securities under the measurement alternative are also assessed for impairment. On a quarterly basis, management qualitatively assesses whether each equity security under the measurement alternative is impaired. ImpairmentFor details on impairment indicators that are considered, include, but are not limitedsee Note 13 to the following:
•a significant deteriorationConsolidated Financial Statements in the earnings performance, credit rating, asset quality or business prospects of the investee;
•a significant adverse change in the regulatory, economic or technological environment of the investee;
•a significant adverse change in the general market condition of either the geographical area or the industry in which the investee operates;
•a bona fide offer to purchase, an offer by the investee to sell or a completed auction process for the same or similar investment for an amount less than the carrying amount of that investment; and
•factors that raise significant concerns about the investee’s ability to continue as a going concern, such as negative cash flows from operations, working capital deficiencies or noncompliance with statutory capital requirements or debt covenants.
When the qualitative assessment indicates that impairment exists, the investment is written down to fair value, with the full difference between the fair value of the investment and its carrying amount recognized in earnings.
Below is the carrying value of non-marketable equity securities measured using the measurement alternative at September 30, 20212022 and December 31, 2020:2021:
| | In millions of dollars | In millions of dollars | September 30, 2021 | December 31, 2020 | In millions of dollars | September 30, 2022 | December 31, 2021 |
| Measurement alternative: | Measurement alternative: | | Measurement alternative: | |
| Carrying value | Carrying value | $ | 1,392 | | $ | 962 | | Carrying value | $ | 1,690 | | $ | 1,413 | |
Below are amounts recognized in earnings and life-to-date amounts for non-marketable equity securities measured using the measurement alternative:
| | | Three Months Ended September 30, | Nine Months Ended September 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 | 2022 | 2021 | 2022 | 2021 |
Measurement alternative:(1) | Measurement alternative:(1) | | | | Measurement alternative:(1) | | | |
| Impairment losses | Impairment losses | $ | 9 | | $ | 2 | | $ | 13 | | $ | 55 | | Impairment losses | $ | 17 | | $ | 9 | | $ | 23 | | $ | 13 | |
| Downward changes for observable prices | Downward changes for observable prices | — | | — | | — | | 19 | | Downward changes for observable prices | — | | — | | — | | — | |
| Upward changes for observable prices | Upward changes for observable prices | 86 | | 40 | | 382 | | 82 | | Upward changes for observable prices | 7 | | 86 | | 141 | | 382 | |
(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 | September 30, 20212022 |
| Measurement alternative: | |
| Impairment losses | $ | 76103 | |
| Downward changes for observable prices | 533 | |
| Upward changes for observable prices | 861831 | |
A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three and nine months ended September 30, 20212022 and 2020,2021, there was no impairment loss recognized in earnings for non-marketable equity securities carried at cost.
Investments in Alternative Investment Funds That Calculate Net Asset Value
The Company holds investments in certain alternative investment funds that calculate net asset value (NAV), or its equivalent, including 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 |
| In millions of dollars | September 30,
2021 | December 31, 2020 | September 30,
2021 | December 31, 2020 | | |
| | | | | | |
Private equity funds(1)(2) | $ | 123 | | $ | 123 | | $ | 60 | | $ | 62 | | — | — |
Real estate funds(2)(3) | 2 | | 9 | | 1 | | 20 | | — | — |
| Mutual/collective investment funds | 20 | | 20 | | — | | — | | — | — |
| 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 2two categories: consumercorporate and corporate.consumer. These categories are classified primarily according to the operating segment and subsegmentcomponent that manage the loans.loans in addition to the nature of the obligor, with corporate loans generally made for corporate institutional and public sector clients around the world and consumer loans to retail and small business customers. For additional information regarding Citi’s consumercorporate and corporateconsumer loans, including related accounting policies, see Note 1 to the Consolidated Financial Statements and Notes 1 and 14 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
Corporate Loans
Corporate loans represent loans and leases managed by ICG and the Mexico SBMM component of Legacy Franchises. The following table presents information by corporate loan type:
| | | | | | | | |
| In millions of dollars | September 30,
2022 | December 31,
2021 |
In North America offices(1) | | |
| Commercial and industrial | $ | 52,990 | | $ | 48,364 | |
| Financial institutions | 43,667 | | 49,804 | |
Mortgage and real estate(2) | 17,762 | | 15,965 | |
| Installment and other | 21,222 | | 20,143 | |
| Lease financing | 383 | | 415 | |
| Total | $ | 136,024 | | $ | 134,691 | |
In offices outside North America(1) | | |
| Commercial and industrial | $ | 100,570 | | $ | 102,735 | |
| Financial institutions | 23,604 | | 22,158 | |
Mortgage and real estate(2) | 4,005 | | 4,374 | |
| Installment and other | 19,653 | | 22,812 | |
| Lease financing | 48 | | 40 | |
| Governments and official institutions | 4,473 | | 4,423 | |
| Total | $ | 152,353 | | $ | 156,542 | |
Corporate loans, net of unearned income(3) | $ | 288,377 | | $ | 291,233 | |
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Corporate loans are net of unearned income of ($750) million and ($770) million at September 30, 2022 and December 31, 2021, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
The Company sold and/or reclassified to held-for-sale $2.2 billion and $3.7 billion of corporate loans during the three and nine months ended September 30, 2022, respectively, and $1.0 billion and $4.1 billion of corporate loans during the three and nine months ended September 30, 2021, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and nine months ended September 30, 2022 or 2021.
Corporate Loan Delinquencies and Non-Accrual Details at September 30, 2022
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | 30–89 days past due and accruing(1) | ≥ 90 days past due and accruing(1) | Total past due
and accruing | Total non-accrual(2) | Total current(3) | Total loans(4) |
| Commercial and industrial | $ | 598 | | $ | 691 | | $ | 1,289 | | $ | 1,085 | | $ | 149,236 | | $ | 151,610 | |
| Financial institutions | 147 | | 140 | | 287 | | 178 | | 66,439 | | 66,904 | |
| Mortgage and real estate | 22 | | 15 | | 37 | | 110 | | 21,573 | | 21,720 | |
| Lease financing | — | | — | | — | | 10 | | 421 | | 431 | |
| Other | 46 | | 126 | | 172 | | 102 | | 43,800 | | 44,074 | |
| Loans at fair value | | | | | | 3,638 | |
| | | | | | |
| Total | $ | 813 | | $ | 972 | | $ | 1,785 | | $ | 1,485 | | $ | 281,469 | | $ | 288,377 | |
Corporate Loan Delinquencies and Non-Accrual Details at December 31, 2021
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | 30–89 days past due and accruing(1) | ≥ 90 days past due and accruing(1) | Total past due
and accruing | Total non-accrual(2) | Total current(3) | Total loans(4) |
| Commercial and industrial | $ | 1,072 | | $ | 239 | | $ | 1,311 | | $ | 1,263 | | $ | 144,430 | | $ | 147,004 | |
| Financial institutions | 320 | | 166 | | 486 | | 2 | | 71,279 | | 71,767 | |
| Mortgage and real estate | 1 | | 1 | | 2 | | 136 | | 20,153 | | 20,291 | |
| Lease financing | — | | — | | — | | 14 | | 441 | | 455 | |
| Other | 77 | | 19 | | 96 | | 138 | | 45,412 | | 45,646 | |
| Loans at fair value | | | | | | 6,070 | |
| | | | | | |
| Total | $ | 1,470 | | $ | 425 | | $ | 1,895 | | $ | 1,553 | | $ | 281,715 | | $ | 291,233 | |
(1)Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2)Non-accrual loans generally include those loans that are 90 days or more past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest and/or principal is doubtful.
(3)Loans less than 30 days past due are presented as current.
(4)Total loans include loans at fair value, which are not included in the various delinquency columns.
Corporate Loans Credit Quality Indicators
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Recorded investment in loans(1) |
| Term loans by year of origination | Revolving line of credit arrangements(2) | | September 30, 2022 | |
| In millions of dollars | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | |
Investment grade(3) | | | | | | | | | | |
Commercial and industrial(4) | $ | 40,874 | | $ | 6,736 | | $ | 3,544 | | $ | 3,550 | | $ | 2,771 | | $ | 7,943 | | $ | 38,771 | | | $ | 104,189 | | |
Financial institutions(4) | 10,942 | | 4,787 | | 1,053 | | 1,104 | | 764 | | 1,722 | | 37,679 | | | 58,051 | | |
| Mortgage and real estate | 3,376 | | 2,997 | | 3,858 | | 2,779 | | 1,393 | | 2,083 | | 174 | | | 16,660 | | |
Other(5) | 6,583 | | 2,113 | | 1,689 | | 829 | | 2,216 | | 4,221 | | 22,732 | | | 40,383 | | |
| Total investment grade | $ | 61,775 | | $ | 16,633 | | $ | 10,144 | | $ | 8,262 | | $ | 7,144 | | $ | 15,969 | | $ | 99,356 | | | $ | 219,283 | | |
Non-investment grade(3) | | | | | | | | | | |
| Accrual | | | | | | | | | | |
Commercial and industrial(4) | $ | 16,582 | | $ | 4,509 | | $ | 1,858 | | $ | 1,275 | | $ | 1,134 | | $ | 4,267 | | $ | 16,711 | | | $ | 46,336 | | |
Financial institutions(4) | 4,674 | | 1,006 | | 217 | | 232 | | 53 | | 423 | | 2,070 | | | 8,675 | | |
| Mortgage and real estate | 532 | | 761 | | 513 | | 782 | | 1,049 | | 865 | | 448 | | | 4,950 | | |
Other(5) | 929 | | 615 | | 493 | | 394 | | 121 | | 306 | | 1,152 | | | 4,010 | | |
| Non-accrual | | | | | | | | | | |
Commercial and industrial(4) | 157 | | 107 | | 111 | | 81 | | 71 | | 147 | | 411 | | | 1,085 | | |
| Financial institutions | 41 | | 35 | | — | | — | | — | | — | | 102 | | | 178 | | |
| Mortgage and real estate | — | | 31 | | 28 | | — | | — | | 15 | | 36 | | | 110 | | |
Other(5) | 13 | | 1 | | 8 | | 38 | | 10 | | 13 | | 29 | | | 112 | | |
| Total non-investment grade | $ | 22,928 | | $ | 7,065 | | $ | 3,228 | | $ | 2,802 | | $ | 2,438 | | $ | 6,036 | | $ | 20,959 | | | $ | 65,456 | | |
Loans at fair value(6) | | | | | | | | | $ | 3,638 | | |
| Corporate loans, net of unearned income | $ | 84,703 | | $ | 23,698 | | $ | 13,372 | | $ | 11,064 | | $ | 9,582 | | $ | 22,005 | | $ | 120,315 | | | $ | 288,377 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Recorded investment in loans(1) |
| Term loans by year of origination | Revolving line of credit arrangements(2) | | December 31, 2021 | |
| In millions of dollars | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | |
Investment grade(3) | | | | | | | | | | |
Commercial and industrial(4) | $ | 42,422 | | $ | 5,529 | | $ | 4,642 | | $ | 3,757 | | $ | 2,911 | | $ | 8,392 | | $ | 30,588 | | | $ | 98,241 | | |
Financial institutions(4) | 12,862 | | 1,678 | | 1,183 | | 1,038 | | 419 | | 1,354 | | 43,630 | | | 62,164 | | |
| Mortgage and real estate | 2,423 | | 3,660 | | 3,332 | | 2,015 | | 1,212 | | 1,288 | | 141 | | | 14,071 | | |
Other(5) | 9,037 | | 3,099 | | 1,160 | | 2,789 | | 330 | | 4,601 | | 18,727 | | | 39,743 | | |
| Total investment grade | $ | 66,744 | | $ | 13,966 | | $ | 10,317 | | $ | 9,599 | | $ | 4,872 | | $ | 15,635 | | $ | 93,086 | | | $ | 214,219 | | |
Non-investment grade(3) | | | | | | | | | | |
| Accrual | | | | | | | | | | |
Commercial and industrial(4) | $ | 16,783 | | $ | 2,281 | | $ | 2,343 | | $ | 2,024 | | $ | 1,412 | | $ | 3,981 | | $ | 18,676 | | | $ | 47,500 | | |
Financial institutions(4) | 4,325 | | 347 | | 567 | | 101 | | 71 | | 511 | | 3,679 | | | 9,601 | | |
| Mortgage and real estate | 1,275 | | 869 | | 1,228 | | 1,018 | | 493 | | 586 | | 615 | | | 6,084 | | |
Other(5) | 1,339 | | 349 | | 554 | | 364 | | 119 | | 245 | | 3,236 | | | 6,206 | | |
| Non-accrual | | | | | | | | | | |
Commercial and industrial(4) | 53 | | 119 | | 64 | | 104 | | 94 | | 117 | | 712 | | | 1,263 | | |
| Financial institutions | — | | — | | — | | — | | — | | — | | 2 | | | 2 | | |
| Mortgage and real estate | 11 | | 8 | | 2 | | 49 | | 10 | | 25 | | 31 | | | 136 | | |
Other(5) | 19 | | 5 | | 19 | | 19 | | — | | 90 | | — | | | 152 | | |
| Total non-investment grade | $ | 23,805 | | $ | 3,978 | | $ | 4,777 | | $ | 3,679 | | $ | 2,199 | | $ | 5,555 | | $ | 26,951 | | | $ | 70,944 | | |
Loans at fair value(6) | | | | | | | | | $ | 6,070 | | |
| Corporate loans, net of unearned income | $ | 90,549 | | $ | 17,944 | | $ | 15,094 | | $ | 13,278 | | $ | 7,071 | | $ | 21,190 | | $ | 120,037 | | | $ | 291,233 | | |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)There were no significant revolving line of credit arrangements that converted to term loans during the quarter.
(3)Held-for-investment loans are accounted for on an amortized cost basis.
(4)Includes certain short-term loans with less than one year in tenor.
(5)Other includes installment and other, lease financing and loans to government and official institutions.
(6)Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.
Non-Accrual Corporate Loans
The following tables present non-accrual loan information by corporate loan type and interest income recognized on non-accrual corporate loans:
| | | | | | | | | | | | | | | | | | | | |
| | September 30, 2022 | Three Months Ended
September 30, 2022 | Nine Months Ended September 30, 2022 |
| In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | Interest income recognized | Interest income recognized(3) |
| Non-accrual corporate loans | | | | | | |
| Commercial and industrial | $ | 1,085 | | $ | 1,837 | | $ | 368 | | $ | 1,047 | | $ | 10 | | $ | 28 | |
| Financial institutions | 178 | | 236 | | 51 | | 33 | | — | | — | |
| Mortgage and real estate | 110 | | 110 | | 1 | | 83 | | — | | 2 | |
| Lease financing | 10 | | 10 | | — | | 10 | | — | | — | |
| Other | 102 | | 186 | | 6 | | 95 | | — | | 3 | |
| Total non-accrual corporate loans | $ | 1,485 | | $ | 2,379 | | $ | 426 | | $ | 1,268 | | $ | 10 | | $ | 33 | |
| | | | | | | | | | | | | | | | |
| December 31, 2021 | |
| In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | | |
| Non-accrual corporate loans | | | | | | |
| Commercial and industrial | $ | 1,263 | | $ | 1,858 | | $ | 198 | | $ | 1,839 | | | |
| Financial institutions | 2 | | 55 | | — | | 4 | | | |
| Mortgage and real estate | 136 | | 285 | | 10 | | 163 | | | |
| Lease financing | 14 | | 14 | | — | | 21 | | | |
| Other | 138 | | 165 | | 4 | | 134 | | | |
| Total non-accrual corporate loans | $ | 1,553 | | $ | 2,377 | | $ | 212 | | $ | 2,161 | | | |
| | | | | | | | | | | | | | |
| | September 30, 2022 | December 31, 2021 |
| In millions of dollars | Recorded investment(1) | Related specific
allowance | Recorded investment(1) | Related specific
allowance |
| Non-accrual corporate loans with specific allowances | | | | |
| Commercial and industrial | $ | 723 | | $ | 368 | | $ | 637 | | $ | 198 | |
| Financial institutions | 176 | | 51 | | — | | — | |
| Mortgage and real estate | 57 | | 1 | | 29 | | 10 | |
| | | | |
| Other | 49 | | 6 | | 37 | | 4 | |
| Total non-accrual corporate loans with specific allowances | $ | 1,005 | | $ | 426 | | $ | 703 | | $ | 212 | |
| Non-accrual corporate loans without specific allowances | | | | |
| Commercial and industrial | $ | 362 | | N/A | $ | 626 | | N/A |
| Financial institutions | 2 | | N/A | 2 | | N/A |
| Mortgage and real estate | 53 | | N/A | 107 | | N/A |
| Lease financing | 10 | | N/A | 14 | | N/A |
| Other | 53 | | N/A | 101 | | N/A |
| Total non-accrual corporate loans without specific allowances | $ | 480 | | N/A | $ | 850 | | N/A |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Average carrying value represents the average recorded investment balance and does not include related specific allowances.
(3)Interest income recognized for the three and nine months ended September 30, 2021 was $8 million and $39 million, respectively.
N/A Not applicable
Corporate Troubled Debt Restructurings(1)
For the Three and Nine Months Ended September 30, 2022
| | | | | | | | | | | | | | | | |
| In millions of dollars | Carrying value of TDRs modified during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | | |
| Three Months Ended September 30, 2022 | | | | | | |
| Commercial and industrial | $ | 11 | | $ | — | | $ | — | | $ | 11 | | | |
| | | | | | |
| | | | | | |
| Mortgage and real estate | 1 | | 1 | | — | | — | | | |
| | | | | | |
| Other | 7 | | — | | — | | 7 | | | |
| Total | $ | 19 | | $ | 1 | | $ | — | | $ | 18 | | | |
| Nine Months Ended September 30, 2022 | | | | | | |
| Commercial and industrial | $ | 26 | | $ | — | | $ | — | | $ | 26 | | | |
| | | | | | |
| Mortgage and real estate | 1 | | 1 | | — | | — | | | |
| Other | 30 | | — | | — | | 30 | | | |
| Total | $ | 57 | | $ | 1 | | $ | — | | $ | 56 | | | |
For the Three and Nine Months Ended September 30, 2021
| | | | | | | | | | | | | | | | |
| In millions of dollars | Carrying value of TDRs modified during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | | |
| Three Months Ended September 30, 2021 | | | | | | |
| Commercial and industrial | $ | 2 | | $ | — | | $ | — | | $ | 2 | | | |
| | | | | | |
| | | | | | |
| Mortgage and real estate | — | | — | | — | | — | | | |
| | | | | | |
| Other | 4 | | — | | — | | 4 | | | |
| Total | $ | 6 | | $ | — | | $ | — | | $ | 6 | | | |
| Nine Months Ended September 30, 2021 | | | | | | |
| Commercial and industrial | $ | 75 | | $ | — | | $ | — | | $ | 75 | | | |
| | | | | | |
| Mortgage and real estate | 4 | | — | | — | | 4 | | | |
| Other | 4 | | — | | — | | 4 | | | |
| Total | $ | 83 | | $ | — | | $ | — | | $ | 83 | | | |
(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 |
| In millions of dollars | TDR balances at September 30, 2022 | Three Months Ended September 30, 2022 | Nine Months Ended September 30, 2022 | TDR balances at September 30, 2021 | Three Months Ended September 30, 2021 | Nine Months Ended September 30, 2021 |
| Commercial and industrial | $ | 114 | | $ | — | | $ | — | | $ | 249 | | $ | — | | $ | — | |
| | | | | | |
| Mortgage and real estate | 14 | | — | | — | | 19 | | — | | — | |
| | | | | | |
| Other | 22 | | — | | — | | 36 | | — | | — | |
Total(1) | $ | 150 | | $ | — | | $ | — | | $ | 304 | | $ | — | | $ | — | |
(1)The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.
ConsumerCorporate Loans Credit Quality Indicators
Consumer loans represent loans and leases managed primarily by GCB and Corporate/Other.
Consumer Loans, Delinquencies and Non-Accrual Status at September 30, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Total current(1)(2) | 30–89 days past due(3)(4) | ≥ 90 days past due(3)(4) | Past due government guaranteed(5) | Total loans | Non-accrual loans for which there is no ACLL | Non-accrual loans for which there is an ACLL | Total
non-accrual | 90 days
past due
and accruing |
In North America offices(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 43,388 | | $ | 289 | | $ | 275 | | $ | 393 | | $ | 44,345 | | $ | 133 | | $ | 347 | | $ | 480 | | $ | 267 | |
Home equity loans(8)(9) | 5,276 | | 48 | | 161 | | — | | 5,485 | | 65 | | 210 | | 275 | | — | |
| Credit cards | 123,897 | | 846 | | 783 | | — | | 125,526 | | — | | — | | — | | 783 | |
| Personal, small business and other | 3,150 | | 12 | | 6 | | 11 | | 3,179 | | — | | 17 | | 17 | | — | |
| Total | $ | 175,711 | | $ | 1,195 | | $ | 1,225 | | $ | 404 | | $ | 178,535 | | $ | 198 | | $ | 574 | | $ | 772 | | $ | 1,050 | |
In offices outside North America(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 33,993 | | $ | 177 | | $ | 169 | | $ | — | | $ | 34,339 | | $ | — | | $ | 419 | | $ | 419 | | $ | — | |
| Credit cards | 17,304 | | 233 | | 226 | | — | | 17,763 | | — | | 187 | | 187 | | 146 | |
| Personal, small business and other | 33,362 | | 162 | | 89 | | — | | 33,613 | | — | | 211 | | 211 | | 26 | |
| Total | $ | 84,659 | | $ | 572 | | $ | 484 | | $ | — | | $ | 85,715 | | $ | — | | $ | 817 | | $ | 817 | | $ | 172 | |
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 $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 loans that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and 90 days or more past due of $0.3 billion.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(8)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Consumer loans are net of unearned income of $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 | 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) | | | | |
| Residential first mortgages | $ | 3 | | $ | 4 | | $ | 9 | | $ | 11 | |
| Home equity loans | 2 | | 2 | | 6 | | 6 | |
| Credit cards | — | | — | | — | | — | |
| Personal, small business and other | — | | — | | — | | — | |
| Total | $ | 5 | | $ | 6 | | $ | 15 | | $ | 17 | |
In offices outside North America(1) | | | | |
| Residential first mortgages | $ | — | | $ | — | | $ | — | | $ | — | |
| Credit cards | — | | — | | — | | — | |
| Personal, small business and other | — | | — | | — | | — | |
| Total | $ | — | | $ | — | | $ | — | | $ | — | |
| 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 | Total current(1)(2) | 30–89 days past due(3)(4) | ≥ 90 days past due(3)(4) | Past due government guaranteed(5) | Total
loans | Non-accrual loans for which there is no ACLL | Non-accrual loans for which there is an ACLL | Total
non-accrual | 90 days
past due
and accruing |
In North America offices(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 46,471 | | $ | 402 | | $ | 381 | | $ | 524 | | $ | 47,778 | | $ | 136 | | $ | 509 | | $ | 645 | | $ | 332 | |
Home equity loans(8)(9) | 6,829 | | 78 | | 221 | | — | | 7,128 | | 72 | | 307 | | 379 | | — | |
| Credit cards | 127,827 | | 1,228 | | 1,330 | | — | | 130,385 | | — | | — | | — | | 1,330 | |
| Personal, small business and other | 4,472 | | 27 | | 10 | | — | | 4,509 | | 2 | | 33 | | 35 | | — | |
| Total | $ | 185,599 | | $ | 1,735 | | $ | 1,942 | | $ | 524 | | $ | 189,800 | | $ | 210 | | $ | 849 | | $ | 1,059 | | $ | 1,662 | |
In offices outside North America(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 39,557 | | $ | 213 | | $ | 199 | | $ | — | | $ | 39,969 | | $ | — | | $ | 486 | | $ | 486 | | $ | — | |
| Credit cards | 21,718 | | 429 | | 545 | | — | | 22,692 | | — | | 384 | | 384 | | 324 | |
| Personal, small business and other | 35,925 | | 319 | | 134 | | — | | 36,378 | | — | | 212 | | 212 | | 52 | |
| Total | $ | 97,200 | | $ | 961 | | $ | 878 | | $ | — | | $ | 99,039 | | $ | — | | $ | 1,082 | | $ | 1,082 | | $ | 376 | |
Total Citigroup(10) | $ | 282,799 | | $ | 2,696 | | $ | 2,820 | | $ | 524 | | $ | 288,839 | | $ | 210 | | $ | 1,931 | | $ | 2,141 | | $ | 2,038 | |
(1)Loans less than 30 days past due are presented as current.
(2)Includes $14 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies.
(4)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification, and thus almost all would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer).
(5)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.2 billion and 90 days or more past due of $0.3 billion.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(8)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Consumer loans are net of unearned income of $749 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
During the three and nine months ended September 30, 2021, the Company sold and/or reclassified to HFS $346 million and $1,178 million of consumer loans, respectively. During the three and nine months ended September 30, 2020, the Company sold and/or reclassified to HFS $386 million and $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) | 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) | December 31, 2020 |
| In millions of dollars | Less than
680 | 680
to 760 | Greater
than 760 | FICO not available | Total
loans |
| Residential first mortgages | | | | | |
| 2020 | $ | 187 | | $ | 3,741 | | $ | 9,052 | | | |
| 2019 | 150 | 1,857 | 5,384 | | |
| 2018 | 246 | 655 | 1,227 | | |
| 2017 | 298 | 846 | 1,829 | | |
| 2016 | 323 | 1,368 | 3,799 | | |
| Prior | 1,708 | 4,133 | 9,105 | | |
| Total residential first mortgages | $ | 2,912 | | $ | 12,600 | | $ | 30,396 | | $ | 1,870 | | $ | 47,778 | |
| Home equity loans (pre-reset) | $ | 292 | | $ | 1,014 | | $ | 1,657 | | | |
| Home equity loans (post-reset) | 1,055 | | 1,569 | | 1,524 | | | |
| Total home equity loans | $ | 1,347 | | $ | 2,583 | | $ | 3,181 | | $ | 17 | | $ | 7,128 | |
Credit cards(3) | $ | 26,227 | | $ | 52,778 | | $ | 49,767 | | $ | 1,041 | | $ | 129,813 | |
| Personal, small business and other | | | | | |
| 2020 | $ | 23 | | $ | 58 | | $ | 95 | | | |
| 2019 | 79 | | 106 | | 134 | | | |
| 2018 | 82 | | 80 | | 84 | | | |
| 2017 | 26 | | 27 | | 30 | | | |
| 2016 | 10 | | 9 | | 8 | | | |
| Prior | 214 | | 393 | | 529 | | | |
| Total personal, small business and other | $ | 434 | | $ | 673 | | $ | 880 | | $ | 2,522 | | $ | 4,509 | |
| Total | $ | 30,920 | | $ | 68,634 | | $ | 84,224 | | $ | 5,450 | | $ | 189,228 | |
(1)The FICO bands in the tables are consistent with general industry peer presentations.
(2)FICO scores are updated on either a monthly or quarterly basis. For updates that are made only quarterly, certain current-period loans by year of origination are greater than those disclosed in the prior periods. Loans that did not have FICO scores as of the prior period have been updated with FICO scores as they become available.
(3)Excludes $525 million and $572 million of balances related to Canada for September 30, 2021 and December 31, 2020, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Recorded investment in loans(1) |
| Term loans by year of origination | Revolving line of credit arrangements(2) | | September 30, 2022 | |
| In millions of dollars | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | |
Investment grade(3) | | | | | | | | | | |
Commercial and industrial(4) | $ | 40,874 | | $ | 6,736 | | $ | 3,544 | | $ | 3,550 | | $ | 2,771 | | $ | 7,943 | | $ | 38,771 | | | $ | 104,189 | | |
Financial institutions(4) | 10,942 | | 4,787 | | 1,053 | | 1,104 | | 764 | | 1,722 | | 37,679 | | | 58,051 | | |
| Mortgage and real estate | 3,376 | | 2,997 | | 3,858 | | 2,779 | | 1,393 | | 2,083 | | 174 | | | 16,660 | | |
Other(5) | 6,583 | | 2,113 | | 1,689 | | 829 | | 2,216 | | 4,221 | | 22,732 | | | 40,383 | | |
| Total investment grade | $ | 61,775 | | $ | 16,633 | | $ | 10,144 | | $ | 8,262 | | $ | 7,144 | | $ | 15,969 | | $ | 99,356 | | | $ | 219,283 | | |
Non-investment grade(3) | | | | | | | | | | |
| Accrual | | | | | | | | | | |
Commercial and industrial(4) | $ | 16,582 | | $ | 4,509 | | $ | 1,858 | | $ | 1,275 | | $ | 1,134 | | $ | 4,267 | | $ | 16,711 | | | $ | 46,336 | | |
Financial institutions(4) | 4,674 | | 1,006 | | 217 | | 232 | | 53 | | 423 | | 2,070 | | | 8,675 | | |
| Mortgage and real estate | 532 | | 761 | | 513 | | 782 | | 1,049 | | 865 | | 448 | | | 4,950 | | |
Other(5) | 929 | | 615 | | 493 | | 394 | | 121 | | 306 | | 1,152 | | | 4,010 | | |
| Non-accrual | | | | | | | | | | |
Commercial and industrial(4) | 157 | | 107 | | 111 | | 81 | | 71 | | 147 | | 411 | | | 1,085 | | |
| Financial institutions | 41 | | 35 | | — | | — | | — | | — | | 102 | | | 178 | | |
| Mortgage and real estate | — | | 31 | | 28 | | — | | — | | 15 | | 36 | | | 110 | | |
Other(5) | 13 | | 1 | | 8 | | 38 | | 10 | | 13 | | 29 | | | 112 | | |
| Total non-investment grade | $ | 22,928 | | $ | 7,065 | | $ | 3,228 | | $ | 2,802 | | $ | 2,438 | | $ | 6,036 | | $ | 20,959 | | | $ | 65,456 | | |
Loans at fair value(6) | | | | | | | | | $ | 3,638 | | |
| Corporate loans, net of unearned income | $ | 84,703 | | $ | 23,698 | | $ | 13,372 | | $ | 11,064 | | $ | 9,582 | | $ | 22,005 | | $ | 120,315 | | | $ | 288,377 | | |
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 | September 30, 2021 | | |
| In millions of dollars | Less than
or equal
to 80% | > 80% but less
than or equal to 100% | Greater
than
100% | LTV not available | Total |
| Residential first mortgages | | | | | |
| 2021 | $ | 7,875 | | $ | 355 | | $ | — | | | |
| 2020 | 11,049 | | 137 | | — | | | |
| 2019 | 4,913 | | 96 | | 1 | | | |
| 2018 | 1,378 | | 117 | | 6 | | | |
| 2017 | 2,117 | | 56 | | 2 | | | |
| Prior | 14,556 | | 44 | | 10 | | | |
| Total residential first mortgages | $ | 41,888 | | $ | 805 | | $ | 19 | | $ | 1,633 | | $ | 44,345 | |
| Home equity loans (pre-reset) | $ | 2,441 | | $ | 34 | | $ | 10 | | | |
| Home equity loans (post-reset) | 2,839 | | 69 | | 28 | | | |
| Total home equity loans | $ | 5,280 | | $ | 103 | | $ | 38 | | $ | 64 | | $ | 5,485 | |
| Total | $ | 47,168 | | $ | 908 | | $ | 57 | | $ | 1,697 | | $ | 49,830 | |
| | | | | | | | | | | | | | | | | |
| LTV distribution in U.S. portfolio | December 31, 2020 | | |
| In millions of dollars | Less than
or equal
to 80% | > 80% but less
than or equal to 100% | Greater
than
100% | LTV not available | Total |
| Residential first mortgages | | | | | |
| 2020 | $ | 11,447 | | $ | 1,543 | | $ | — | | | |
| 2019 | 7,029 | | 376 | | 2 | | | |
| 2018 | 1,617 | | 507 | | 11 | | | |
| 2017 | 2,711 | | 269 | | 4 | | | |
| 2016 | 5,423 | | 84 | | 2 | | | |
| Prior | 14,966 | | 66 | | 16 | | | |
| Total residential first mortgages | $ | 43,193 | | $ | 2,845 | | $ | 35 | | $ | 1,705 | | $ | 47,778 | |
| Home equity loans (pre-reset) | $ | 2,876 | | $ | 50 | | $ | 16 | | | |
| Home equity loans (post-reset) | 3,782 | | 290 | | 58 | | | |
| Total home equity loans | $ | 6,658 | | $ | 340 | | $ | 74 | | $ | 56 | | $ | 7,128 | |
| Total | $ | 49,851 | | $ | 3,185 | | $ | 109 | | $ | 1,761 | | $ | 54,906 | |
Impaired Consumer Loans
The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Three Months Ended
September 30, | Nine Months Ended
September 30, |
| | Balance at September 30, 2021 | 2021 | 2020 | 2021 | 2020 |
| In millions of dollars | Recorded investment(1)(2) | Unpaid
principal balance | Related specific allowance(3) | Average carrying value(4) | Interest income
recognized(5) | Interest income
recognized(5) | Interest income
recognized(5) | Interest income
recognized(5) |
| Mortgage and real estate | | | | | | | | |
| Residential first mortgages | $ | 1,422 | | $ | 1,566 | | $ | 103 | | $ | 1,632 | | $ | 23 | | $ | 16 | | $ | 65 | | $ | 44 | |
| Home equity loans | 262 | | 355 | | 4 | | 408 | | 2 | | 3 | | 8 | | 10 | |
| Credit cards | 1,701 | | 1,702 | | 661 | | 1,895 | | 24 | | 26 | | 92 | | 77 | |
| Personal, small business and other | 467 | | 787 | | 123 | | 529 | | 14 | | 18 | | 41 | | 50 | |
| 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 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Recorded investment in loans(1) |
| Term loans by year of origination | Revolving line of credit arrangements(2) | | December 31, 2021 | |
| In millions of dollars | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | |
Investment grade(3) | | | | | | | | | | |
Commercial and industrial(4) | $ | 42,422 | | $ | 5,529 | | $ | 4,642 | | $ | 3,757 | | $ | 2,911 | | $ | 8,392 | | $ | 30,588 | | | $ | 98,241 | | |
Financial institutions(4) | 12,862 | | 1,678 | | 1,183 | | 1,038 | | 419 | | 1,354 | | 43,630 | | | 62,164 | | |
| Mortgage and real estate | 2,423 | | 3,660 | | 3,332 | | 2,015 | | 1,212 | | 1,288 | | 141 | | | 14,071 | | |
Other(5) | 9,037 | | 3,099 | | 1,160 | | 2,789 | | 330 | | 4,601 | | 18,727 | | | 39,743 | | |
| Total investment grade | $ | 66,744 | | $ | 13,966 | | $ | 10,317 | | $ | 9,599 | | $ | 4,872 | | $ | 15,635 | | $ | 93,086 | | | $ | 214,219 | | |
Non-investment grade(3) | | | | | | | | | | |
| Accrual | | | | | | | | | | |
Commercial and industrial(4) | $ | 16,783 | | $ | 2,281 | | $ | 2,343 | | $ | 2,024 | | $ | 1,412 | | $ | 3,981 | | $ | 18,676 | | | $ | 47,500 | | |
Financial institutions(4) | 4,325 | | 347 | | 567 | | 101 | | 71 | | 511 | | 3,679 | | | 9,601 | | |
| Mortgage and real estate | 1,275 | | 869 | | 1,228 | | 1,018 | | 493 | | 586 | | 615 | | | 6,084 | | |
Other(5) | 1,339 | | 349 | | 554 | | 364 | | 119 | | 245 | | 3,236 | | | 6,206 | | |
| Non-accrual | | | | | | | | | | |
Commercial and industrial(4) | 53 | | 119 | | 64 | | 104 | | 94 | | 117 | | 712 | | | 1,263 | | |
| Financial institutions | — | | — | | — | | — | | — | | — | | 2 | | | 2 | | |
| Mortgage and real estate | 11 | | 8 | | 2 | | 49 | | 10 | | 25 | | 31 | | | 136 | | |
Other(5) | 19 | | 5 | | 19 | | 19 | | — | | 90 | | — | | | 152 | | |
| Total non-investment grade | $ | 23,805 | | $ | 3,978 | | $ | 4,777 | | $ | 3,679 | | $ | 2,199 | | $ | 5,555 | | $ | 26,951 | | | $ | 70,944 | | |
Loans at fair value(6) | | | | | | | | | $ | 6,070 | | |
| Corporate loans, net of unearned income | $ | 90,549 | | $ | 17,944 | | $ | 15,094 | | $ | 13,278 | | $ | 7,071 | | $ | 21,190 | | $ | 120,037 | | | $ | 291,233 | | |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, andless any direct write-downs and includes accrued interest only on credit card loans.write-downs.
(2)For September 30, 2021, $191 millionThere were no significant revolving line of residential first mortgages and $119 million of home equitycredit arrangements that converted to term loans do not have a specific allowance. For December 31, 2020, $211 million of residential first mortgages and $147 million of home equity loans do not have a specific allowance.during the quarter.
(3)Included in the AllowanceHeld-for-investment loans are accounted for credit losses on loans.an amortized cost basis.
(4)Includes certain short-term loans with less than one year in tenor.
(5)Other includes installment and other, lease financing and loans to government and official institutions.
(6)Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.
Non-Accrual Corporate Loans
The following tables present non-accrual loan information by corporate loan type and interest income recognized on non-accrual corporate loans:
| | | | | | | | | | | | | | | | | | | | |
| | September 30, 2022 | Three Months Ended
September 30, 2022 | Nine Months Ended September 30, 2022 |
| In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | Interest income recognized | Interest income recognized(3) |
| Non-accrual corporate loans | | | | | | |
| Commercial and industrial | $ | 1,085 | | $ | 1,837 | | $ | 368 | | $ | 1,047 | | $ | 10 | | $ | 28 | |
| Financial institutions | 178 | | 236 | | 51 | | 33 | | — | | — | |
| Mortgage and real estate | 110 | | 110 | | 1 | | 83 | | — | | 2 | |
| Lease financing | 10 | | 10 | | — | | 10 | | — | | — | |
| Other | 102 | | 186 | | 6 | | 95 | | — | | 3 | |
| Total non-accrual corporate loans | $ | 1,485 | | $ | 2,379 | | $ | 426 | | $ | 1,268 | | $ | 10 | | $ | 33 | |
| | | | | | | | | | | | | | | | |
| December 31, 2021 | |
| In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | | |
| Non-accrual corporate loans | | | | | | |
| Commercial and industrial | $ | 1,263 | | $ | 1,858 | | $ | 198 | | $ | 1,839 | | | |
| Financial institutions | 2 | | 55 | | — | | 4 | | | |
| Mortgage and real estate | 136 | | 285 | | 10 | | 163 | | | |
| Lease financing | 14 | | 14 | | — | | 21 | | | |
| Other | 138 | | 165 | | 4 | | 134 | | | |
| Total non-accrual corporate loans | $ | 1,553 | | $ | 2,377 | | $ | 212 | | $ | 2,161 | | | |
| | | | | | | | | | | | | | |
| | September 30, 2022 | December 31, 2021 |
| In millions of dollars | Recorded investment(1) | Related specific
allowance | Recorded investment(1) | Related specific
allowance |
| Non-accrual corporate loans with specific allowances | | | | |
| Commercial and industrial | $ | 723 | | $ | 368 | | $ | 637 | | $ | 198 | |
| Financial institutions | 176 | | 51 | | — | | — | |
| Mortgage and real estate | 57 | | 1 | | 29 | | 10 | |
| | | | |
| Other | 49 | | 6 | | 37 | | 4 | |
| Total non-accrual corporate loans with specific allowances | $ | 1,005 | | $ | 426 | | $ | 703 | | $ | 212 | |
| Non-accrual corporate loans without specific allowances | | | | |
| Commercial and industrial | $ | 362 | | N/A | $ | 626 | | N/A |
| Financial institutions | 2 | | N/A | 2 | | N/A |
| Mortgage and real estate | 53 | | N/A | 107 | | N/A |
| Lease financing | 10 | | N/A | 14 | | N/A |
| Other | 53 | | N/A | 101 | | N/A |
| Total non-accrual corporate loans without specific allowances | $ | 480 | | N/A | $ | 850 | | N/A |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Average carrying value represents the average recorded investment ending balance for the last 4 quarters and does not include the related specific allowance.allowances.
(5)(3)Includes amountsInterest income recognized on both accrualfor the three and cash basis.nine months ended September 30, 2021 was $8 million and $39 million, respectively.
ConsumerCorporate Troubled Debt Restructurings(1)
| | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended September 30, 2021 |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post-
modification
recorded
investment(2)(3) | Deferred
principal(4) | Contingent
principal
forgiveness(5) | Principal
forgiveness(6) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 281 | | $ | 48 | | $ | — | | $ | — | | $ | — | | 1 | % |
| Home equity loans | 31 | | 1 | | — | | — | | — | | 1 | |
| Credit cards | 33,746 | | 159 | | — | | — | | — | | 18 | |
| Personal, small business and other | 169 | | 1 | | — | | — | | — | | 4 | |
Total(7) | 34,227 | | $ | 209 | | $ | — | | $ | — | | $ | — | | |
| International | | | | | | |
| Residential first mortgages | 451 | | $ | 22 | | $ | — | | $ | — | | $ | — | | — | % |
| Credit cards | 16,082 | | 71 | | — | | — | | 2 | | 15 | |
| Personal, small business and other | 7,336 | | 49 | | — | | — | | 2 | | 9 | |
Total(7) | 23,869 | | $ | 142 | | $ | — | | $ | — | | $ | 4 | | |
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| | For the Three Months Ended September 30, 2020 |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post- modification recorded investment(2)(8) | Deferred principal(4) | Contingent principal forgiveness(5) | Principal forgiveness(6) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 237 | | $ | 42 | | $ | — | | $ | — | | $ | — | | — | % |
| Home equity loans | 62 | | 5 | | — | | — | | — | | — | |
| Credit cards | 48,909 | | 261 | | — | | — | | — | | 17 | |
| Personal, small business and other | 1,040 | | 12 | | — | | — | | — | | 6 | |
Total(7) | 50,248 | | $ | 320 | | $ | — | | $ | — | | $ | — | | |
| International | | | | | | |
| Residential first mortgages | 696 | | $ | 21 | | $ | — | | $ | — | | $ | — | | 1 | % |
| Credit cards | 25,147 | | 122 | | — | | — | | 2 | | 14 | |
| Personal, small business and other | 12,652 | | 106 | | — | | — | | 2 | | 10 | |
Total(7) | 38,495 | | $ | 249 | | $ | — | | $ | — | | $ | 4 | | |
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| In millions of dollars | Carrying value of TDRs modified during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | | |
| Three Months Ended September 30, 2022 | | | | | | |
| Commercial and industrial | $ | 11 | | $ | — | | $ | — | | $ | 11 | | | |
| | | | | | |
| | | | | | |
| Mortgage and real estate | 1 | | 1 | | — | | — | | | |
| | | | | | |
| Other | 7 | | — | | — | | 7 | | | |
| Total | $ | 19 | | $ | 1 | | $ | — | | $ | 18 | | | |
| Nine Months Ended September 30, 2022 | | | | | | |
| Commercial and industrial | $ | 26 | | $ | — | | $ | — | | $ | 26 | | | |
| | | | | | |
| Mortgage and real estate | 1 | | 1 | | — | | — | | | |
| Other | 30 | | — | | — | | 30 | | | |
| Total | $ | 57 | | $ | 1 | | $ | — | | $ | 56 | | | |
For the Three and Nine Months Ended September 30, 2021
| | | | | | | | | | | | | | | | |
| In millions of dollars | Carrying value of TDRs modified during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | | |
| Three Months Ended September 30, 2021 | | | | | | |
| Commercial and industrial | $ | 2 | | $ | — | | $ | — | | $ | 2 | | | |
| | | | | | |
| | | | | | |
| Mortgage and real estate | — | | — | | — | | — | | | |
| | | | | | |
| Other | 4 | | — | | — | | 4 | | | |
| Total | $ | 6 | | $ | — | | $ | — | | $ | 6 | | | |
| Nine Months Ended September 30, 2021 | | | | | | |
| Commercial and industrial | $ | 75 | | $ | — | | $ | — | | $ | 75 | | | |
| | | | | | |
| Mortgage and real estate | 4 | | — | | — | | 4 | | | |
| Other | 4 | | — | | — | | 4 | | | |
| Total | $ | 83 | | $ | — | | $ | — | | $ | 83 | | | |
(1)The above tables do not include loan modifications that meet the TDR relief criteria in the Coronavirus Aid, Relief, and Economic SecurityCARES Act (CARES Act) or the interagency guidance.
(2)Post-modification balances include past-due amounts that are capitalized at the modification date.
(3)Post-modification balances in North America include $4 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcyTDRs involving changes in the three months ended September 30, 2021. These amounts include $2 millionamount or timing of residential first mortgages that were newly classified as TDRs in the three months ended September 30, 2021, based on previously received OCC guidance.
(4)Represents portionprincipal payments may involve principal forgiveness or deferral of contractual loanperiodic and/or final principal that is non-interest bearing, but still due from the borrower. Such deferredpayments. Because forgiveness of principal is charged offrare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectible may be recorded at the time of permanent modification to the extentrestructuring or may have already been recorded in prior periods such that the related loan balance exceeds the underlying collateral value.
(5)Represents portion of contractual loan principal thatno charge-off is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(6)Represents portion of contractual loan principal that was forgivenrequired at the time of permanentthe modification.
(7) The above tables reflect activity for restructured loans that were considered TDRs during the reporting period.
(8) Post-modification balances in North America include $2 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the three months ended September 30, 2020. These amounts include $1 million of residential first mortgages that were newly classified as TDRs in the three months ended September 30, 2020, based on previously received OCC guidance.
Consumer Troubled Debt Restructurings(1)
| | | | | | | | | | | | | | | | | | | | |
| | For the Nine Months Ended September 30, 2021 |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post-
modification
recorded
investment(2)(3) | Deferred
principal(4) | Contingent
principal
forgiveness(5) | Principal
forgiveness(6) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 942 | | $ | 163 | | $ | — | | $ | — | | $ | — | | — | % |
| Home equity loans | 138 | | 9 | | — | | — | | — | | — | |
| Credit cards | 129,129 | | 639 | | — | | — | | — | | 17 | |
| Personal, small business and other | 855 | | 12 | | — | | — | | — | | 3 | |
Total(7) | 131,064 | | $ | 823 | | $ | — | | $ | — | | $ | — | | |
| International | | | | | | |
| Residential first mortgages | 1,448 | | $ | 74 | | $ | — | | $ | — | | $ | — | | — | % |
| Credit cards | 58,978 | | 267 | | — | | — | | 10 | | 14 | |
| Personal, small business and other | 21,653 | | 162 | | — | | — | | 5 | | 9 | |
Total(7) | 82,079 | | $ | 503 | | $ | — | | $ | — | | $ | 15 | | |
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| | For the Nine Months Ended September 30, 2020 |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post- modification recorded investment(2)(8) | Deferred principal(4) | Contingent principal forgiveness(5) | Principal forgiveness(6) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 812 | | $ | 137 | | $ | — | | $ | — | | $ | — | | — | % |
| Home equity loans | 227 | | 22 | | — | | — | | — | | 1 | |
| Credit cards | 167,082 | | 786 | | — | | — | | — | | 13 | |
| Personal, small business and other | 1,816 | | 19 | | — | | — | | — | | 4 | |
Total(7) | 169,937 | | $ | 964 | | $ | — | | $ | — | | $ | — | | |
| International | | | | | | |
| Residential first mortgages | 1,874 | | $ | 80 | | $ | — | | $ | — | | $ | — | | 4 | % |
| Credit cards | 65,738 | | 289 | | — | | — | | 7 | | 16 | |
| Personal, small business and other | 31,590 | | 234 | | — | | — | | 6 | | 10 | |
Total(7) | 99,202 | | $ | 603 | | $ | — | | $ | — | | $ | 13 | | |
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(1)The above tables do not include loan modifications that meet the TDR relief criteria in the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) or the interagency guidance.
(2)Post-modification balances include past-due amounts that are capitalized at the modification date.
(3)Post-modification balances in North America include $11 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcyTDRs involving changes in the nine months ended September 30, 2021. These amounts include $4 millionamount or timing of residential first mortgages that were newly classified as TDRs in the nine months ended September 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 $10 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the nine months ended September 30, 2020. These amounts include $7 million of residential first mortgages that were newly classified as TDRs in the nine months ended September 30, 2020, based on previously received OCC guidance.interest payments may involve a below-market interest rate.
The following table presents consumertotal corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
| | | | | | | | | | | | | | |
| Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| North America | | | | |
| Residential first mortgages | $ | 10 | | $ | 24 | | $ | 43 | | $ | 59 | |
| Home equity loans | 1 | | 6 | | 8 | | 12 | |
| Credit cards | 60 | | 70 | | 196 | | 251 | |
| Personal, small business and other | 1 | | 1 | | 3 | | 3 | |
| Total | $ | 72 | | $ | 101 | | $ | 250 | | $ | 325 | |
| International | | | | |
| Residential first mortgages | $ | 9 | | $ | 6 | | $ | 31 | | $ | 17 | |
| Credit cards | 36 | | 47 | | 133 | | 118 | |
| Personal, small business and other | 29 | | 20 | | 87 | | 55 | |
| Total | $ | 74 | | $ | 73 | | $ | 251 | | $ | 190 | |
Purchased Credit-Deteriorated Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended September 30, 2021 | Three Months Ended December 31, 2020 | Three Months Ended September 30,
2020 |
| In millions of dollars | Credit
cards | Mortgages(1) | Installment
and other | Credit
cards | Mortgages(1) | Installment
and other | Credit
cards | Mortgages(1) | Installment
and other |
| Purchase price | $ | — | | $ | 6 | | $ | — | | $ | — | | $ | 12 | | $ | — | | $ | — | | $ | 25 | | $ | — | |
| Allowance for credit losses at acquisition date | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Discount or premium attributable to non-credit factors | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Par value (amortized cost basis) | $ | — | | $ | 6 | | $ | — | | $ | — | | $ | 12 | | $ | — | | $ | — | | $ | 25 | | $ | — | |
(1) Includes loans sold to agencies that were bought back at par due to repurchase agreements. | | | | | | | | | | | | | | | | | | | | |
| | TDR loans that re-defaulted within one year of modification during the | | TDR loans that re-defaulted within one year of modification during the |
| In millions of dollars | TDR balances at September 30, 2022 | Three Months Ended September 30, 2022 | Nine Months Ended September 30, 2022 | TDR balances at September 30, 2021 | Three Months Ended September 30, 2021 | Nine Months Ended September 30, 2021 |
| Commercial and industrial | $ | 114 | | $ | — | | $ | — | | $ | 249 | | $ | — | | $ | — | |
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| Mortgage and real estate | 14 | | — | | — | | 19 | | — | | — | |
| | | | | | |
| Other | 22 | | — | | — | | 36 | | — | | — | |
Total(1) | $ | 150 | | $ | — | | $ | — | | $ | 304 | | $ | — | | $ | — | |
Corporate Loans
Corporate loans represent loans and leases managed by ICG. The following table presents information by corporate loan type:
| | | | | | | | |
| In millions of dollars | September 30,
2021 | December 31,
2020 |
In North America offices(1) | | |
| Commercial and industrial | $ | 56,496 | | $ | 57,731 | |
| Financial institutions | 62,818 | | 55,809 | |
Mortgage and real estate(2) | 63,584 | | 60,675 | |
| Installment and other | 26,922 | | 26,744 | |
| Lease financing | 425 | | 673 | |
| Total | $ | 210,245 | | $ | 201,632 | |
In offices outside North America(1) | | |
| Commercial and industrial | $ | 105,671 | | $ | 104,072 | |
| Financial institutions | 33,501 | | 32,334 | |
Mortgage and real estate(2) | 10,685 | | 11,371 | |
| Installment and other | 36,054 | | 33,759 | |
| Lease financing | 47 | | 65 | |
| Governments and official institutions | 4,311 | | 3,811 | |
| Total | $ | 190,269 | | $ | 185,412 | |
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 ($831) million and ($844) million at September 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 $1.0 billion and $4.1 billion of corporate loans during the three and nine months ended September 30, 2021, respectively, and $0.6 billion and $1.7 billion of corporate loans during the three and nine months ended September 30, 2020, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and nine months ended September 30, 2021 or 2020.
Corporate Loan Delinquencies and Non-Accrual Details at September 30, 2021
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | 30–89 days past due and accruing(1) | ≥ 90 days past due and accruing(1) | Total past due
and accruing | Total non-accrual(2) | Total current(3) | Total loans(4) |
| Commercial and industrial | $ | 721 | | $ | 237 | | $ | 958 | | $ | 1,751 | | $ | 153,276 | | $ | 155,985 | |
| Financial institutions | 398 | | 174 | | 572 | | 53 | | 95,195 | | 95,820 | |
| Mortgage and real estate | 189 | | 14 | | 203 | | 418 | | 73,640 | | 74,261 | |
| Lease financing | — | | — | | — | | 18 | | 454 | | 472 | |
| Other | 168 | | 55 | | 223 | | 160 | | 66,447 | | 66,830 | |
| Loans at fair value | | | | | | 7,146 | |
| | | | | | |
| 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) | | September 30,
2021 | | | Term loans by year of origination | Revolving line of credit arrangements(2) | | September 30, 2022 | |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | | In millions of dollars | 2022 | 2021 | 2020 | 2019 | 2018 | Prior | Revolving line of credit arrangements(2) | September 30, 2022 |
Investment grade(3) | Investment grade(3) | | | | | Investment grade(3) | | | |
Commercial and industrial(4) | Commercial and industrial(4) | $ | 44,949 | | $ | 6,818 | | $ | 5,187 | | $ | 4,218 | | $ | 3,358 | | $ | 9,826 | | $ | 29,013 | | | $ | 103,369 | | | Commercial and industrial(4) | $ | 40,874 | | $ | 6,736 | | $ | 3,544 | | $ | 3,550 | | $ | 2,771 | | $ | 7,943 | | $ | 38,771 | | | $ | 104,189 | | |
Financial institutions(4) | Financial institutions(4) | 13,440 | | 3,115 | | 1,650 | | 1,147 | | 631 | | 2,439 | | 61,610 | | | 84,032 | | | Financial institutions(4) | 10,942 | | 4,787 | | 1,053 | | 1,104 | | 764 | | 1,722 | | 37,679 | | | 58,051 | | |
| Mortgage and real estate | Mortgage and real estate | 3,357 | | 5,754 | | 5,970 | | 3,759 | | 2,122 | | 3,312 | | 1,525 | | | 25,799 | | | Mortgage and real estate | 3,376 | | 2,997 | | 3,858 | | 2,779 | | 1,393 | | 2,083 | | 174 | | | 16,660 | | |
Other(5) | Other(5) | 11,488 | | 4,338 | | 1,830 | | 4,146 | | 553 | | 6,451 | | 31,957 | | | 60,763 | | | Other(5) | 6,583 | | 2,113 | | 1,689 | | 829 | | 2,216 | | 4,221 | | 22,732 | | | 40,383 | | |
| Total investment grade | Total investment grade | $ | 73,234 | | $ | 20,025 | | $ | 14,637 | | $ | 13,270 | | $ | 6,664 | | $ | 22,028 | | $ | 124,105 | | | $ | 273,963 | | | Total investment grade | $ | 61,775 | | $ | 16,633 | | $ | 10,144 | | $ | 8,262 | | $ | 7,144 | | $ | 15,969 | | $ | 99,356 | | | $ | 219,283 | | |
Non-investment grade(3) | Non-investment grade(3) | | | | | Non-investment grade(3) | | | | |
| Accrual | Accrual | | | | | Accrual | | | | |
Commercial and industrial(4) | Commercial and industrial(4) | $ | 15,208 | | $ | 3,298 | | $ | 3,073 | | $ | 2,883 | | $ | 1,670 | | $ | 4,009 | | $ | 20,724 | | | $ | 50,865 | | | Commercial and industrial(4) | $ | 16,582 | | $ | 4,509 | | $ | 1,858 | | $ | 1,275 | | $ | 1,134 | | $ | 4,267 | | $ | 16,711 | | | $ | 46,336 | | |
Financial institutions(4) | Financial institutions(4) | 6,467 | | 535 | | 507 | | 193 | | 91 | | 619 | | 3,325 | | | 11,737 | | | Financial institutions(4) | 4,674 | | 1,006 | | 217 | | 232 | | 53 | | 423 | | 2,070 | | | 8,675 | | |
| Mortgage and real estate | Mortgage and real estate | 1,661 | | 1,339 | | 2,009 | | 1,469 | | 857 | | 1,027 | | 610 | | | 8,972 | | | Mortgage and real estate | 532 | | 761 | | 513 | | 782 | | 1,049 | | 865 | | 448 | | | 4,950 | | |
Other(5) | Other(5) | 2,416 | | 434 | | 582 | | 433 | | 240 | | 460 | | 1,797 | | | 6,362 | | | Other(5) | 929 | | 615 | | 493 | | 394 | | 121 | | 306 | | 1,152 | | | 4,010 | | |
| Non-accrual | Non-accrual | | | | | Non-accrual | | | | |
Commercial and industrial(4) | Commercial and industrial(4) | 11 | | 142 | | 99 | | 104 | | 108 | | 167 | | 1,120 | | | 1,751 | | | Commercial and industrial(4) | 157 | | 107 | | 111 | | 81 | | 71 | | 147 | | 411 | | | 1,085 | | |
| Financial institutions | Financial institutions | — | | — | | — | | — | | — | | 5 | | 46 | | | 51 | | | Financial institutions | 41 | | 35 | | — | | — | | — | | — | | 102 | | | 178 | | |
| Mortgage and real estate | Mortgage and real estate | 16 | | 12 | | 4 | | 81 | | 11 | | 26 | | 267 | | | 417 | | | Mortgage and real estate | — | | 31 | | 28 | | — | | — | | 15 | | 36 | | | 110 | | |
Other(5) | Other(5) | 21 | | 11 | | 19 | | 19 | | 26 | | 20 | | 61 | | | 177 | | | Other(5) | 13 | | 1 | | 8 | | 38 | | 10 | | 13 | | 29 | | | 112 | | |
| Total non-investment grade | Total non-investment grade | $ | 25,800 | | $ | 5,771 | | $ | 6,293 | | $ | 5,182 | | $ | 3,003 | | $ | 6,333 | | $ | 27,950 | | | $ | 80,332 | | | Total non-investment grade | $ | 22,928 | | $ | 7,065 | | $ | 3,228 | | $ | 2,802 | | $ | 2,438 | | $ | 6,036 | | $ | 20,959 | | | $ | 65,456 | | |
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) | | | 7,146 | | | |
Loans at fair value(6) | | Loans at fair value(6) | | | $ | 3,638 | | |
| Corporate loans, net of unearned income | Corporate loans, net of unearned income | $ | 107,041 | | $ | 35,029 | | $ | 27,207 | | $ | 21,526 | | $ | 12,754 | | $ | 37,756 | | $ | 152,055 | | | $ | 400,514 | | | Corporate loans, net of unearned income | $ | 84,703 | | $ | 23,698 | | $ | 13,372 | | $ | 11,064 | | $ | 9,582 | | $ | 22,005 | | $ | 120,315 | | | $ | 288,377 | | |
| | | | Recorded investment in loans(1) | | Recorded investment in loans(1) |
| | Term loans by year of origination | Revolving line of credit arrangements(2) | | December 31, 2020 | | | Term loans by year of origination | Revolving line of credit arrangements(2) | | December 31, 2021 | |
| In millions of dollars | In millions of dollars | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | | In millions of dollars | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | Revolving line of credit arrangements(2) | December 31, 2021 |
Investment grade(3) | Investment grade(3) | | | | | Investment grade(3) | | | |
Commercial and industrial(4) | Commercial and industrial(4) | $ | 38,398 | | $ | 7,607 | | $ | 5,929 | | $ | 3,909 | | $ | 2,094 | | $ | 8,670 | | $ | 25,819 | | | $ | 92,426 | | | Commercial and industrial(4) | $ | 42,422 | | $ | 5,529 | | $ | 4,642 | | $ | 3,757 | | $ | 2,911 | | $ | 8,392 | | $ | 30,588 | | | $ | 98,241 | | |
Financial institutions(4) | Financial institutions(4) | 10,560 | | 2,964 | | 2,106 | | 782 | | 681 | | 2,030 | | 56,239 | | | 75,362 | | | Financial institutions(4) | 12,862 | | 1,678 | | 1,183 | | 1,038 | | 419 | | 1,354 | | 43,630 | | | 62,164 | | |
| Mortgage and real estate | Mortgage and real estate | 6,793 | | 6,714 | | 5,174 | | 2,568 | | 1,212 | | 1,719 | | 1,557 | | | 25,737 | | | Mortgage and real estate | 2,423 | | 3,660 | | 3,332 | | 2,015 | | 1,212 | | 1,288 | | 141 | | | 14,071 | | |
Other(5) | Other(5) | 10,874 | | 3,566 | | 4,597 | | 952 | | 780 | | 5,290 | | 31,696 | | | 57,755 | | | Other(5) | 9,037 | | 3,099 | | 1,160 | | 2,789 | | 330 | | 4,601 | | 18,727 | | | 39,743 | | |
| Total investment grade | Total investment grade | $ | 66,625 | | $ | 20,851 | | $ | 17,806 | | $ | 8,211 | | $ | 4,767 | | $ | 17,709 | | $ | 115,311 | | | $ | 251,280 | | | Total investment grade | $ | 66,744 | | $ | 13,966 | | $ | 10,317 | | $ | 9,599 | | $ | 4,872 | | $ | 15,635 | | $ | 93,086 | | | $ | 214,219 | | |
Non-investment grade(3) | Non-investment grade(3) | | | | | Non-investment grade(3) | | | | |
| Accrual | Accrual | | | | | Accrual | | | | |
Commercial and industrial(4) | Commercial and industrial(4) | $ | 19,683 | | $ | 4,794 | | $ | 4,645 | | $ | 2,883 | | $ | 1,182 | | $ | 4,533 | | $ | 23,400 | | | $ | 61,120 | | | Commercial and industrial(4) | $ | 16,783 | | $ | 2,281 | | $ | 2,343 | | $ | 2,024 | | $ | 1,412 | | $ | 3,981 | | $ | 18,676 | | | $ | 47,500 | | |
Financial institutions(4) | Financial institutions(4) | 7,413 | | 700 | | 654 | | 274 | | 141 | | 197 | | 2,855 | | | 12,234 | | | Financial institutions(4) | 4,325 | | 347 | | 567 | | 101 | | 71 | | 511 | | 3,679 | | | 9,601 | | |
| Mortgage and real estate | Mortgage and real estate | 1,882 | | 1,919 | | 2,058 | | 1,457 | | 697 | | 837 | | 551 | | | 9,401 | | | Mortgage and real estate | 1,275 | | 869 | | 1,228 | | 1,018 | | 493 | | 586 | | 615 | | | 6,084 | | |
Other(5) | Other(5) | 1,407 | | 918 | | 725 | | 370 | | 186 | | 657 | | 1,986 | | | 6,249 | | | Other(5) | 1,339 | | 349 | | 554 | | 364 | | 119 | | 245 | | 3,236 | | | 6,206 | | |
| Non-accrual | Non-accrual | | | | | Non-accrual | | | | |
Commercial and industrial(4) | Commercial and industrial(4) | 260 | | 203 | | 192 | | 143 | | 57 | | 223 | | 1,717 | | | 2,795 | | | Commercial and industrial(4) | 53 | | 119 | | 64 | | 104 | | 94 | | 117 | | 712 | | | 1,263 | | |
| Financial institutions | Financial institutions | 1 | | — | | — | | — | | — | | — | | 91 | | | 92 | | | Financial institutions | — | | — | | — | | — | | — | | — | | 2 | | | 2 | | |
| Mortgage and real estate | Mortgage and real estate | 13 | | 4 | | 3 | | 18 | | 8 | | 32 | | 427 | | | 505 | | | Mortgage and real estate | 11 | | 8 | | 2 | | 49 | | 10 | | 25 | | 31 | | | 136 | | |
Other(5) | Other(5) | 15 | | 3 | | 12 | | 29 | | 2 | | 65 | | 9 | | | 135 | | | Other(5) | 19 | | 5 | | 19 | | 19 | | — | | 90 | | — | | | 152 | | |
| Total non-investment grade | Total non-investment grade | $ | 30,674 | | $ | 8,541 | | $ | 8,289 | | $ | 5,174 | | $ | 2,273 | | $ | 6,544 | | $ | 31,036 | | | $ | 92,531 | | | Total non-investment grade | $ | 23,805 | | $ | 3,978 | | $ | 4,777 | | $ | 3,679 | | $ | 2,199 | | $ | 5,555 | | $ | 26,951 | | | $ | 70,944 | | |
Non-rated private bank loans managed on a delinquency basis(3)(6) | $ | 9,823 | | $ | 7,121 | | $ | 3,533 | | $ | 3,674 | | $ | 4,300 | | $ | 7,942 | | $ | — | | | $ | 36,393 | | | |
Loans at fair value(7) | | | 6,840 | | | |
Loans at fair value(6) | | Loans at fair value(6) | | | $ | 6,070 | | |
| Corporate loans, net of unearned income | Corporate loans, net of unearned income | $ | 107,122 | | $ | 36,513 | | $ | 29,628 | | $ | 17,059 | | $ | 11,340 | | $ | 32,195 | | $ | 146,347 | | | $ | 387,044 | | | Corporate loans, net of unearned income | $ | 90,549 | | $ | 17,944 | | $ | 15,094 | | $ | 13,278 | | $ | 7,071 | | $ | 21,190 | | $ | 120,037 | | | $ | 291,233 | | |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)There were no significant revolving line of credit arrangements that converted to term loans during the quarter.
(3)Held-for-investment loans are accounted for on an amortized cost basis.
(4)Includes certain short-term loans with less than one year in tenor.
(5)Other includes installment and other, lease financing and loans to government and official institutions.
(6)Non-rated private bank loans mainly include mortgage and real estate loans to private banking clients.
(7)Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.
Non-Accrual Corporate Loans
The following tables present non-accrual loan information by corporate loan type and interest income recognized on non-accrual corporate loans:
| | | | | | | | | | | | | | | | | | | | |
| | September 30, 2021 | Three Months Ended
September 30, 2021 | Nine Months Ended
September 30, 2021 |
| In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | Interest income recognized | Interest income recognized(3) |
| Non-accrual corporate loans | | | | | | |
| Commercial and industrial | $ | 1,751 | | $ | 2,331 | | $ | 293 | | $ | 2,222 | | $ | 6 | | $ | 31 | |
| Financial institutions | 53 | | 120 | | 4 | | 55 | | — | | — | |
| Mortgage and real estate | 418 | | 668 | | 16 | | 469 | | — | | — | |
| Lease financing | 18 | | 19 | | — | | 23 | | — | | — | |
| Other | 160 | | 251 | | 2 | | 133 | | 2 | | 8 | |
| Total non-accrual corporate loans | $ | 2,400 | | $ | 3,389 | | $ | 315 | | $ | 2,902 | | $ | 8 | | $ | 39 | |
| | | December 31, 2020 | | | September 30, 2022 | Three Months Ended
September 30, 2022 | Nine Months Ended September 30, 2022 |
| In millions of dollars | In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | | In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | Interest income recognized | Interest income recognized(3) |
| Non-accrual corporate loans | Non-accrual corporate loans | | | Non-accrual corporate loans | | | | |
| Commercial and industrial | Commercial and industrial | $ | 2,795 | | $ | 3,664 | | $ | 442 | | $ | 2,649 | | | Commercial and industrial | $ | 1,085 | | $ | 1,837 | | $ | 368 | | $ | 1,047 | | $ | 10 | | $ | 28 | |
| Financial institutions | Financial institutions | 92 | | 181 | | 17 | | 132 | | | Financial institutions | 178 | | 236 | | 51 | | 33 | | — | | — | |
| Mortgage and real estate | Mortgage and real estate | 505 | | 803 | | 38 | | 413 | | | Mortgage and real estate | 110 | | 110 | | 1 | | 83 | | — | | 2 | |
| Lease financing | Lease financing | 24 | | 24 | | — | | 34 | | | Lease financing | 10 | | 10 | | — | | 10 | | — | | — | |
| Other | Other | 111 | | 235 | | 18 | | 174 | | | Other | 102 | | 186 | | 6 | | 95 | | — | | 3 | |
| Total non-accrual corporate loans | Total non-accrual corporate loans | $ | 3,527 | | $ | 4,907 | | $ | 515 | | $ | 3,402 | | | Total non-accrual corporate loans | $ | 1,485 | | $ | 2,379 | | $ | 426 | | $ | 1,268 | | $ | 10 | | $ | 33 | |
| | | | September 30, 2021 | December 31, 2020 | | December 31, 2021 | |
| In millions of dollars | In millions of dollars | Recorded investment(1) | Related specific
allowance | Recorded investment(1) | Related specific
allowance | In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | |
| Non-accrual corporate loans with specific allowances | | | | |
| Commercial and industrial | $ | 801 | | $ | 293 | | $ | 1,523 | | $ | 442 | | |
| Financial institutions | 27 | | 4 | | 90 | | 17 | | |
| Mortgage and real estate | 229 | | 16 | | 246 | | 38 | | |
| | Other | 9 | | 2 | | 68 | | 18 | | |
| 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 | | Non-accrual corporate loans | | |
| Commercial and industrial | Commercial and industrial | $ | 950 | | | $ | 1,272 | | | Commercial and industrial | $ | 1,263 | | $ | 1,858 | | $ | 198 | | $ | 1,839 | | |
| Financial institutions | Financial institutions | 26 | | | 2 | | | Financial institutions | 2 | | 55 | | — | | 4 | | |
| Mortgage and real estate | Mortgage and real estate | 189 | | | 259 | | | Mortgage and real estate | 136 | | 285 | | 10 | | 163 | | |
| Lease financing | Lease financing | 18 | | | 24 | | | Lease financing | 14 | | 14 | | — | | 21 | | |
| Other | Other | 151 | | | 43 | | | Other | 138 | | 165 | | 4 | | 134 | | |
| Total non-accrual corporate loans without specific allowances | $ | 1,334 | | N/A | $ | 1,600 | | N/A | |
| Total non-accrual corporate loans | | Total non-accrual corporate loans | $ | 1,553 | | $ | 2,377 | | $ | 212 | | $ | 2,161 | | |
| | | | | | | | | | | | | | |
| | September 30, 2022 | December 31, 2021 |
| In millions of dollars | Recorded investment(1) | Related specific
allowance | Recorded investment(1) | Related specific
allowance |
| Non-accrual corporate loans with specific allowances | | | | |
| Commercial and industrial | $ | 723 | | $ | 368 | | $ | 637 | | $ | 198 | |
| Financial institutions | 176 | | 51 | | — | | — | |
| Mortgage and real estate | 57 | | 1 | | 29 | | 10 | |
| | | | |
| Other | 49 | | 6 | | 37 | | 4 | |
| Total non-accrual corporate loans with specific allowances | $ | 1,005 | | $ | 426 | | $ | 703 | | $ | 212 | |
| Non-accrual corporate loans without specific allowances | | | | |
| Commercial and industrial | $ | 362 | | N/A | $ | 626 | | N/A |
| Financial institutions | 2 | | N/A | 2 | | N/A |
| Mortgage and real estate | 53 | | N/A | 107 | | N/A |
| Lease financing | 10 | | N/A | 14 | | N/A |
| Other | 53 | | N/A | 101 | | N/A |
| Total non-accrual corporate loans without specific allowances | $ | 480 | | N/A | $ | 850 | | N/A |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Average carrying value represents the average recorded investment balance and does not include related specific allowances.
(3)Interest income recognized for the three and nine months ended September 30, 20202021 was $5$8 million and $24$39 million, respectively.
N/A Not applicable
Corporate Troubled Debt Restructurings(1)
For the Three and Nine Months Ended September 30, 2022
| | | | | | | | | | | | | | | | |
| In millions of dollars | Carrying value of TDRs modified during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | | |
| Three Months Ended September 30, 2022 | | | | | | |
| Commercial and industrial | $ | 11 | | $ | — | | $ | — | | $ | 11 | | | |
| | | | | | |
| | | | | | |
| Mortgage and real estate | 1 | | 1 | | — | | — | | | |
| | | | | | |
| Other | 7 | | — | | — | | 7 | | | |
| Total | $ | 19 | | $ | 1 | | $ | — | | $ | 18 | | | |
| Nine Months Ended September 30, 2022 | | | | | | |
| Commercial and industrial | $ | 26 | | $ | — | | $ | — | | $ | 26 | | | |
| | | | | | |
| Mortgage and real estate | 1 | | 1 | | — | | — | | | |
| Other | 30 | | — | | — | | 30 | | | |
| Total | $ | 57 | | $ | 1 | | $ | — | | $ | 56 | | | |
For the Three and Nine Months Ended September 30, 2021
| | | | | | | | | | | | | | | | |
| In millions of dollars | Carrying value of TDRs modified during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | | |
| Three Months Ended September 30, 2021 | | | | | | |
| Commercial and industrial | $ | 2 | | $ | — | | $ | — | | $ | 2 | | | |
| | | | | | |
| | | | | | |
| Mortgage and real estate | 1 | | — | | — | | 1 | | | |
| | | | | | |
| Other | 4 | | — | | — | | 4 | | | |
| Total | $ | 7 | | $ | — | | $ | — | | $ | 7 | | | |
| Nine Months Ended September 30, 2021 | | | | | | |
| Commercial and industrial | $ | 75 | | $ | — | | $ | — | | $ | 75 | | | |
| | | | | | |
| Mortgage and real estate | 7 | | — | | — | | 7 | | | |
| Other | 5 | | 1 | | — | | 4 | | | |
| Total | $ | 87 | | $ | 1 | | $ | — | | $ | 86 | | | |
Three and Nine Months Ended September 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 September 30, 2020 | | | | | |
| Three Months Ended September 30, 2021 | | Three Months Ended September 30, 2021 | | | | |
| Commercial and industrial | Commercial and industrial | $ | 52 | | $ | — | | $ | — | | $ | 52 | | | Commercial and industrial | $ | 2 | | $ | — | | $ | — | | $ | 2 | | |
| | | Mortgage and real estate | Mortgage and real estate | 8 | | — | | — | | 8 | | | Mortgage and real estate | — | | — | | — | | — | | |
| | Other | Other | 1 | | 1 | | — | | — | | | Other | 4 | | — | | — | | 4 | | |
| Total | | Total | $ | 6 | | $ | — | | $ | — | | $ | 6 | | |
| Nine Months Ended September 30, 2021 | | Nine Months Ended September 30, 2021 | | | | |
| Commercial and industrial | | Commercial and industrial | $ | 75 | | $ | — | | $ | — | | $ | 75 | | |
| | Total | $ | 61 | | $ | 1 | | $ | — | | $ | 60 | | | |
| Nine Months Ended September 30, 2020 | | | | | |
| Commercial and industrial | $ | 200 | | $ | — | | $ | — | | $ | 200 | | | |
| Mortgage and real estate | Mortgage and real estate | 16 | | — | | — | | 16 | | | Mortgage and real estate | 4 | | — | | — | | 4 | | |
| Other | Other | 5 | | 5 | | — | | — | | | Other | 4 | | — | | — | | 4 | | |
| | Total | Total | $ | 221 | | $ | 5 | | $ | — | | $ | 216 | | | Total | $ | 83 | | $ | — | | $ | — | | $ | 83 | | |
(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 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 | In millions of dollars | TDR balances at September 30, 2022 | Three Months Ended September 30, 2022 | Nine Months Ended September 30, 2022 | TDR balances at September 30, 2021 | Three Months Ended September 30, 2021 | Nine Months Ended September 30, 2021 |
| Commercial and industrial | Commercial and industrial | $ | 252 | | $ | — | | $ | — | | $ | 390 | | $ | — | | $ | — | | Commercial and industrial | $ | 114 | | $ | — | | $ | — | | $ | 249 | | $ | — | | $ | — | |
| | Mortgage and real estate | Mortgage and real estate | 65 | | — | | — | | 98 | | — | | — | | Mortgage and real estate | 14 | | — | | — | | 19 | | — | | — | |
| | Other | Other | 51 | | — | | — | | 22 | | — | | — | | Other | 22 | | — | | — | | 36 | | — | | — | |
Total(1) | Total(1) | $ | 368 | | $ | — | | $ | — | | $ | 510 | | $ | — | | $ | — | | Total(1) | $ | 150 | | $ | — | | $ | — | | $ | 304 | | $ | — | | $ | — | |
(1)The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.
Consumer Loans
Consumer loans represent loans and leases managed primarily by PBWM and Legacy Franchises (except Mexico SBMM). The tables below present details about these loans, including the following loan categories:
•Residential first mortgages and Home equity loans in North America offices primarily represent secured mortgage lending to customers of Retail banking and Global Wealth (primarily Private bank and Citigold).
•Credit cards in North America offices primarily represents unsecured credit card lending to customers of Branded cards and Retail services.
•Personal, small business and other loans in North America is primarily composed of classifiably managed loans to customers of Global Wealth (mostly within the Private bank) who are typically high credit quality borrowers that historically experienced minimal delinquencies and credit losses. Loans to these borrowers are generally well collateralized in the form of liquid securities and other forms of collateral.
•Residential first mortgages and Home equity loans in offices outside North America primarily represent secured mortgage lending to customers of Global Wealth (primarily Private bank and Citigold) as well as customers of Legacy Franchises.
•Credit cards in offices outside North America primarily represents unsecured credit card lending to customers of Legacy Franchises, primarily in Asia and Mexico.
•Personal, small business and other loans in offices outside North America is primarily composed of secured and unsecured loans to customers of PBWM and Legacy Franchises. A significant portion of PBWM loans are classifiably managed and represent loans to high credit quality Private bank customers who historically experienced minimal delinquencies and credit losses. Loans to these borrowers are generally well collateralized in the form of liquid securities and other forms of collateral.
Consumer Loans, Delinquencies and Non-Accrual Status
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| In millions of dollars at September 30, 2022 | Total current(1)(2) | 30–89 days past due(3)(4) | ≥ 90 days past due(3)(4) | Past due government guaranteed(5) | Total loans | Non-accrual loans for which there is no ACLL | Non-accrual loans for which there is an ACLL | Total
non-accrual | 90 days
past due
and accruing |
In North America offices(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 92,339 | | $ | 434 | | $ | 337 | | $ | 271 | | $ | 93,381 | | $ | 83 | | $ | 450 | | $ | 533 | | $ | 178 | |
Home equity loans(8)(9) | 4,629 | | 26 | | 139 | | — | | 4,794 | | 52 | | 167 | | 219 | | — | |
| Credit cards | 138,030 | | 1,269 | | 1,105 | | — | | 140,404 | | — | | — | | — | | 1,105 | |
Personal, small business and other(10) | 39,977 | | 55 | | 60 | | 18 | | 40,110 | | 2 | | 62 | | 64 | | 13 | |
| Total | $ | 274,975 | | $ | 1,784 | | $ | 1,641 | | $ | 289 | | $ | 278,689 | | $ | 137 | | $ | 679 | | $ | 816 | | $ | 1,296 | |
In offices outside North America(6) | | | | | | | | | |
Residential mortgages(7)(9) | $ | 27,144 | | $ | 51 | | $ | 86 | | $ | — | | $ | 27,281 | | $ | — | | $ | 295 | | $ | 295 | | $ | 10 | |
| Credit cards | 11,508 | | 131 | | 125 | | — | | 11,764 | | — | | 103 | | 103 | | 51 | |
Personal, small business and other(10) | 39,658 | | 111 | | 80 | | — | | 39,849 | | 3 | | 184 | | 187 | | — | |
| Total | $ | 78,310 | | $ | 293 | | $ | 291 | | $ | — | | $ | 78,894 | | $ | 3 | | $ | 582 | | $ | 585 | | $ | 61 | |
Total Citigroup(11) | $ | 353,285 | | $ | 2,077 | | $ | 1,932 | | $ | 289 | | $ | 357,583 | | $ | 140 | | $ | 1,261 | | $ | 1,401 | | $ | 1,357 | |
(1)Loans less than 30 days past due are presented as current.
(2)Includes $241 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies. Excludes delinquencies on $33.9 billion and $19.4 billion of classifiably managed Private bank loans in North America and outside North America, respectively.
(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).
(5)Consists of loans that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and 90 days or more past due of $0.2 billion.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion and $0.0 billion of residential first mortgage loans in process of foreclosure in North America and outside North America, respectively, and $19.3 billion of residential mortgages outside North America related to the Global Wealth business.
(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)Includes loans related to the Global Wealth business: $36.6 billion in North America, approximately $33.9 billion of which are classifiably managed, and as of September 30, 2022 approximately 96% were rated investment grade; and $28.5 billion outside North America, approximately $19.4 billion of which are classifiably managed, and as of September 30, 2022 approximately 94% were rated investment grade. The classifiably managed portion of these loans is shown as “current” because the delinquency status is not applicable, since these loans are primarily evaluated for credit risk based on their internal risk classification.
(11)Consumer loans are net of unearned income of $671 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
Consumer Loans, Delinquencies and Non-Accrual Status
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| In millions of dollars at December 31, 2021 | Total current(1)(2) | 30–89 days past due(3)(4)(5) | ≥ 90 days past due(3)(4)(5) | Past due government guaranteed(5)(6) | 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(7) | | | | | | | | | |
Residential first mortgages(8) | $ | 82,087 | | $ | 381 | | $ | 499 | | $ | 394 | | $ | 83,361 | | $ | 134 | | $ | 559 | | $ | 693 | | $ | 282 | |
Home equity loans(9)(10) | 5,546 | | 43 | | 156 | | — | | 5,745 | | 64 | | 221 | | 285 | | — | |
| Credit cards | 132,050 | | 947 | | 871 | | — | | 133,868 | | — | | — | | — | | 871 | |
Personal, small business and other(11) | 40,533 | | 126 | | 16 | | 38 | | 40,713 | | 2 | | 70 | | 72 | | 30 | |
| Total | $ | 260,216 | | $ | 1,497 | | $ | 1,542 | | $ | 432 | | $ | 263,687 | | $ | 200 | | $ | 850 | | $ | 1,050 | | $ | 1,183 | |
In offices outside North America(7) | | | | | | | | | |
Residential mortgages(8) | $ | 37,566 | | $ | 165 | | $ | 158 | | $ | — | | $ | 37,889 | | $ | — | | $ | 409 | | $ | 409 | | $ | 10 | |
| Credit cards | 17,428 | | 192 | | 188 | | — | | 17,808 | | — | | 140 | | 140 | | 133 | |
Personal, small business and other(11) | 56,930 | | 145 | | 75 | | — | | 57,150 | | — | | 227 | | 227 | | — | |
| Total | $ | 111,924 | | $ | 502 | | $ | 421 | | $ | — | | $ | 112,847 | | $ | — | | $ | 776 | | $ | 776 | | $ | 143 | |
Total Citigroup(12) | $ | 372,140 | | $ | 1,999 | | $ | 1,963 | | $ | 432 | | $ | 376,534 | | $ | 200 | | $ | 1,626 | | $ | 1,826 | | $ | 1,326 | |
(1)Loans less than 30 days past due are presented as current.
(2)Includes $12 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies. Excludes $35.3 billion and $24.5 billion of classifiably managed Private bank loans in North America and outside North America, respectively.
(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).
(5)Conformed to be consistent with the current period’s delineation between delinquency-managed and classifiably managed loans.
(6)Consists of loans that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and 90 days or more past due of $0.3 billion.
(7)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(8)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure, and $19.8 billion of residential mortgages outside North America related to the Global Wealth reporting unit.
(9)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(10)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(11)Includes loans related to the Global Wealth business: $37.9 billion in North America, approximately $35.3 billion of which are classifiably managed, and as of December 31, 2021 approximately 95% were rated investment grade; and $34.6 billion outside North America, approximately $24.5 billion of which are classifiably managed, and as of December 31, 2021 approximately 94% were rated investment grade. The classifiably managed portion of these loans is shown as “current” because the delinquency status is not applicable, since these loans are primarily evaluated for credit risk based on their internal risk classification.
(12)Consumer loans are net of unearned income of $629 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
Interest Income Recognized for Non-Accrual Consumer Loans
| | | | | | | | | | | | | | |
| In millions of dollars | Three Months Ended September 30, 2022 | Three Months Ended September 30, 2021 | Nine Months Ended September 30, 2022 | Nine Months Ended September 30, 2021 |
In North America offices(1) | | | | |
| Residential first mortgages | $ | 3 | | $ | 3 | | $ | 9 | | $ | 10 | |
| Home equity loans | 1 | | 2 | | 3 | | 6 | |
| Credit cards | — | | — | | — | | — | |
| Personal, small business and other | 1 | | — | | 2 | | — | |
| Total | $ | 5 | | $ | 5 | | $ | 14 | | $ | 16 | |
In offices outside North America(1) | | | | |
| Residential mortgages | $ | 2 | | $ | — | | $ | 2 | | $ | — | |
| Credit cards | — | | — | | — | | — | |
| Personal, small business and other | — | | — | | — | | — | |
| Total | $ | 2 | | $ | — | | $ | 2 | | $ | — | |
| Total Citigroup | $ | 7 | | $ | 5 | | $ | 16 | | $ | 16 | |
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
During the three and nine months ended September 30, 2022, the Company sold and/or reclassified to HFS $0 million and $337 million of consumer loans, respectively. During the three and nine months ended September 30, 2021, the Company sold and/or reclassified to HFS $346 million and $1,449 million of consumer loans, respectively. Loans held by a business for sale are not included in the above. The Company did not have significant purchases of consumer loans classified as held-for-investment for the three and nine months ended September 30, 2022 or 2021. See Note 2 for additional information regarding Citigroup’s businesses for sale.
Consumer Credit Scores (FICO)
The following tables provide details on the Fair Isaac Corporation (FICO) scores for Citi’s U.S. consumer loan portfolio based on end-of-period receivables by year of origination. FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio. For Citi’s $80.4 billion and $114.3 billion in the consumer loan portfolio outside of the U.S. as of September 30, 2022 and December 31, 2021, respectively, various country-specific or regional credit risk metrics and acquisition and behavior scoring models are leveraged as one of the factors to evaluate the credit quality of customers (for additional information on loans outside of the U.S., see “Consumer Loans and Ratios Outside of North America” below). As a result, details of relevant credit quality indicators for those loans are not comparable to the below FICO score distribution for the U.S. portfolio.
| | | | | | | | | | | | | | | | | | | | |
FICO score distribution—U.S. portfolio(1)(2) | September 30, 2022 |
| In millions of dollars | Less than
680 | 680
to 760 | Greater
than 760 | Classifiably managed(3) | FICO not available(4) | Total
loans |
| Residential first mortgages | | | | | | |
| 2022 | $ | 504 | | $ | 6,083 | | $ | 10,880 | | | | |
| 2021 | 628 | | 6,029 | | 12,782 | | | | |
| 2020 | 472 | | 4,806 | | 10,893 | | | | |
| 2019 | 302 | | 2,673 | | 5,424 | | | | |
| 2018 | 302 | | 1,110 | | 1,908 | | | | |
| Prior | 2,043 | | 6,754 | | 13,031 | | | | |
| Total residential first mortgages | $ | 4,251 | | $ | 27,455 | | $ | 54,918 | | $ | — | | $ | 6,757 | | $ | 93,381 | |
| Home equity loans (pre-reset) | $ | 237 | | $ | 913 | | $ | 1,280 | | | | |
| Home equity loans (post-reset) | 496 | | 890 | | 948 | | | | |
| Total home equity loans | $ | 733 | | $ | 1,803 | | $ | 2,228 | | $ | — | | $ | 30 | | $ | 4,794 | |
Credit cards(5) | $ | 26,172 | | $ | 55,368 | | $ | 56,529 | | $ | — | | $ | 1,787 | | $ | 139,856 | |
| | | | | | |
| Personal, small business and other | | | | | | |
| 2022 | $ | 162 | | $ | 397 | | $ | 594 | | | | |
| 2021 | 99 | | 194 | | 250 | | | | |
| 2020 | 17 | | 24 | | 36 | | | | |
| 2019 | 25 | | 29 | | 36 | | | | |
| 2018 | 15 | | 15 | | 15 | | | | |
| Prior | 124 | | 190 | | 145 | | | | |
Total personal, small business and other(6) | $ | 442 | | $ | 849 | | $ | 1,076 | | $ | 33,910 | | $ | 2,922 | | $ | 39,199 | |
| Total | $ | 31,598 | | $ | 85,475 | | $ | 114,751 | | $ | 33,910 | | $ | 11,496 | | $ | 277,230 | |
| | | | | | | | | | | | | | | | | | | | |
FICO score distribution—U.S. portfolio(1)(2) | December 31, 2021 |
| In millions of dollars | Less than
680 | 680
to 760 | Greater
than 760 | Classifiably managed(3) | FICO not available(4) | Total
loans |
| Residential first mortgages | | | | | | |
| 2021 | $ | 626 | | $ | 6,729 | | $ | 12,349 | | | | |
| 2020 | 508 | 5,102 | 12,153 | | | |
| 2019 | 373 | 3,074 | 6,167 | | | |
| 2018 | 394 | 1,180 | 2,216 | | | |
| 2017 | 343 | 1,455 | 2,568 | | | |
| Prior | 2,053 | 6,540 | 12,586 | | | |
| Total residential first mortgages | $ | 4,297 | | $ | 24,080 | | $ | 48,039 | | $ | — | | $ | 6,945 | | $ | 83,361 | |
| Home equity loans (pre-reset) | $ | 263 | | $ | 1,030 | | $ | 1,539 | | | | |
| Home equity loans (post-reset) | 639 | | 1,047 | | 1,160 | | | | |
| Total home equity loans | $ | 902 | | $ | 2,077 | | $ | 2,699 | | $ | — | | $ | 67 | | $ | 5,745 | |
Credit cards(5) | $ | 23,115 | | $ | 52,907 | | $ | 55,137 | | $ | — | | $ | 2,192 | | $ | 133,351 | |
| Personal, small business and other | | | | | | |
| 2021 | $ | 59 | | $ | 201 | | $ | 319 | | | | |
| 2020 | 22 | | 41 | | 64 | | | | |
| 2019 | 42 | | 53 | | 68 | | | | |
| 2018 | 34 | | 35 | | 37 | | | | |
| 2017 | 7 | | 8 | | 9 | | | | |
| Prior | 120 | | 179 | | 143 | | | | |
Total personal, small business and other(6) | $ | 284 | | $ | 517 | | $ | 640 | | $ | 35,324 | | $ | 3,041 | | $ | 39,806 | |
| Total | $ | 28,598 | | $ | 79,581 | | $ | 106,515 | | $ | 35,324 | | $ | 12,245 | | $ | 262,263 | |
(1) The FICO bands in the tables are consistent with general industry peer presentations.
(2) FICO scores are updated on either a monthly or quarterly basis. For updates that are made only quarterly, certain current-period loans by year of origination are greater than those disclosed in the prior periods. Loans that did not have FICO scores as of the prior period have been updated with FICO scores as they become available.
(3) These personal, small business and other loans without a FICO score available include $33.9 billion and $35.3 billion of Private bank loans as of September 30, 2022 and December 31, 2021, respectively, which are classifiably managed within Global Wealth and are primarily evaluated for credit risk based on their internal risk ratings. As of September 30, 2022 and December 31, 2021, approximately 96% and 95% of these loans, respectively, were rated investment grade.
(4) FICO scores not available related to loans guaranteed by government-sponsored enterprises for which FICO scores are generally not utilized.
(5) Excludes $548 million and $517 million of balances related to Canada for September 30, 2022 and December 31, 2021, respectively.
(6) Excludes $911 million and $907 million of balances related to Canada for September 30, 2022 and December 31, 2021, respectively.
Loan-to-Value (LTV) Ratios—U.S. Consumer Mortgages
The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolio 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—U.S. portfolio | September 30, 2022 | | |
| In millions of dollars | Less than
or equal
to 80% | > 80% but less
than or equal to 100% | Greater
than
100% | LTV not available(1) | Total |
| Residential first mortgages | | | | | |
| 2022 | $ | 14,631 | | $ | 3,653 | | $ | 3 | | | |
| 2021 | 19,790 | | 737 | | 31 | | | |
| 2020 | 17,274 | | 138 | | — | | | |
| 2019 | 8,948 | | 111 | | 26 | | | |
| 2018 | 3,667 | | 67 | | 8 | | | |
| Prior | 23,077 | | 130 | | 82 | | | |
| Total residential first mortgages | $ | 87,387 | | $ | 4,836 | | $ | 150 | | $ | 1,008 | | $ | 93,381 | |
| Home equity loans (pre-reset) | $ | 2,278 | | $ | 28 | | $ | 58 | | | |
| Home equity loans (post-reset) | 2,271 | | 22 | | 31 | | | |
| Total home equity loans | $ | 4,549 | | $ | 50 | | $ | 89 | | $ | 106 | | $ | 4,794 | |
| Total | $ | 91,936 | | $ | 4,886 | | $ | 239 | | $ | 1,114 | | $ | 98,175 | |
| | | | | | | | | | | | | | | | | |
LTV distribution—U.S. portfolio | December 31, 2021 | | |
| In millions of dollars | Less than
or equal
to 80% | > 80% but less
than or equal to 100% | Greater
than
100% | LTV not available(1) | Total |
| Residential first mortgages | | | | | |
| 2021 | $ | 18,107 | | $ | 2,723 | | $ | 34 | | | |
| 2020 | 18,715 | | 446 | | — | | | |
| 2019 | 10,047 | | 269 | | 29 | | | |
| 2018 | 4,117 | | 136 | | 11 | | | |
| 2017 | 4,804 | | 103 | | 4 | | | |
| Prior | 22,161 | | 128 | | 14 | | | |
| Total residential first mortgages | $ | 77,951 | | $ | 3,805 | | $ | 92 | | $ | 1,513 | | $ | 83,361 | |
| Home equity loans (pre-reset) | $ | 2,637 | | $ | 46 | | $ | 69 | | | |
| Home equity loans (post-reset) | 2,751 | | 52 | | 32 | | | |
| Total home equity loans | $ | 5,388 | | $ | 98 | | $ | 101 | | $ | 158 | | $ | 5,745 | |
| Total | $ | 83,339 | | $ | 3,903 | | $ | 193 | | $ | 1,671 | | $ | 89,106 | |
(1)Residential first mortgages with no LTV information available are primarily due to government-guaranteed loans that do not require LTV information for credit risk assessment and fair value loans.
Loan-to-Value (LTV) Ratios—Outside of U.S. Consumer Mortgages
The following tables provide details on the LTV ratios for Citi’s consumer mortgage portfolio outside of the U.S. by year of origination:
| | | | | | | | | | | | | | | | | |
LTV distribution—outside of U.S. portfolio(1) | September 30, 2022 | | |
| In millions of dollars | Less than
or equal
to 80% | > 80% but less
than or equal to 100% | Greater
than
100% | LTV not available | Total |
| Residential mortgages | | | | | |
| 2022 | $ | 2,347 | | $ | 865 | | $ | — | | | |
| 2021 | 4,316 | | 1,076 | | 3 | | | |
| 2020 | 3,653 | | 342 | | — | | | |
| 2019 | 3,243 | | 62 | | 1 | | | |
| 2018 | 2,193 | | 7 | | — | | | |
| Prior | 8,873 | | 34 | | 8 | | | |
| Total | $ | 24,625 | | $ | 2,386 | | $ | 12 | | $ | 258 | | $ | 27,281 | |
| | | | | | | | | | | | | | | | | |
LTV distribution—outside of U.S. portfolio(1) | December 31, 2021 | | |
| In millions of dollars | Less than
or equal
to 80% | > 80% but less
than or equal to 100% | Greater
than
100% | LTV not available | Total |
| Residential mortgages | | | | | |
| 2021 | $ | 6,334 | | $ | 989 | | $ | — | | | |
| 2020 | 5,996 | | 292 | | — | | | |
| 2019 | 5,293 | | 116 | | 1 | | | |
| 2018 | 3,729 | | 32 | | — | | | |
| 2017 | 2,739 | | 38 | | — | | | |
| Prior | 12,190 | | 102 | | 14 | | | |
| Total | $ | 36,281 | | $ | 1,569 | | $ | 15 | | $ | 24 | | $ | 37,889 | |
(1)Mortgage portfolios outside of the U.S. are primarily in Global Wealth. As of September 30, 2022 and December 31, 2021, mortgage portfolios outside of the U.S. have an average LTV of approximately 49% and 46%, respectively.
Consumer Loans and Ratios Outside of North America
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Delinquency-managed loans and ratios |
| In millions of dollars at September 30, 2022 | | | Total loans outside of North America(1) | Classifiably managed loans(2) | Delinquency-managed loans | 30–89
days past
due ratio | ≥ 90 days past due ratio | 3Q22 NCL ratio | 3Q21 NCL ratio |
Residential mortgages(3) | | | $ | 27,281 | | $ | — | | $ | 27,281 | | 0.19 | % | 0.32 | % | 0.18 | % | 0.10 | % |
| Credit cards | | | 11,764 | | — | | 11,764 | | 1.11 | | 1.06 | | 3.22 | | 3.99 | |
Personal, small business and other(4) | | | 39,849 | | 19,432 | | 20,417 | | 0.54 | | 0.39 | | 0.74 | | 0.92 | |
| Total | | | $ | 78,894 | | $ | 19,432 | | $ | 59,462 | | 0.49 | % | 0.49 | % | 0.91 | % | 1.10 | % |
| | | | | | | | | |
| | | | | Delinquency-managed loans and ratios | | |
| In millions of dollars at December 31, 2021 | | | Total loans outside of North America(1) | Classifiably managed loans(2) | Delinquency-managed loans | 30–89
days past
due ratio | ≥ 90 days past due ratio | | |
Residential mortgages(3) | | | $ | 37,889 | | $ | — | | $ | 37,889 | | 0.44 | % | 0.42 | % | | |
| Credit cards | | | 17,808 | | — | | 17,808 | | 1.08 | | 1.06 | | | |
Personal, small business and other(4) | | | 57,150 | | 24,482 | | 32,668 | | 0.44 | | 0.23 | | | |
| Total | | | $ | 112,847 | | $ | 24,482 | | $ | 88,365 | | 0.57 | % | 0.48 | % | | |
(1) Mexico is included in offices outside of North America.
(2) Classifiably managed loans are primarily evaluated for credit risk based on their internal risk classification. As of September 30, 2022 and December 31, 2021, approximately 94% and 94% of these loans, respectively, were rated investment grade.
(3) Includes $19.3 billion and $19.8 billion as of September 30, 2022 and December 31, 2021, respectively, of residential mortgages related to the Global Wealth business.
(4) Includes $28.5 billion and $34.6 billion as of September 30, 2022 and December 31, 2021, respectively, of loans related to the Global Wealth business.
Impaired Consumer Loans
The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Three Months Ended
September 30, | Nine Months Ended
September 30, |
| | Balance at September 30, 2022 | 2022 | 2021 | 2022 | 2021 |
| In millions of dollars | Recorded investment(1)(2) | Unpaid
principal balance | Related specific allowance(3)(4) | Average carrying value(5) | Interest income
recognized(6) | Interest income
recognized(6) | Interest income
recognized(6) | Interest income
recognized(6) |
| Mortgage and real estate | | | | | | | | |
| Residential first mortgages | $ | 1,242 | | $ | 1,361 | | $ | 49 | | $ | 1,337 | | $ | 23 | | $ | 23 | | $ | 94 | | $ | 67 | |
| Home equity loans | 250 | | 319 | | (7) | | 245 | | 2 | | 2 | | 7 | | 7 | |
| Credit cards | 1,212 | | 1,212 | | 461 | | 1,328 | | 14 | | 24 | | 47 | | 92 | |
| Personal, small business and other | 114 | | 114 | | 72 | | 207 | | 4 | | 14 | | 11 | | 41 | |
| Total | $ | 2,818 | | $ | 3,006 | | $ | 575 | | $ | 3,117 | | $ | 43 | | $ | 63 | | $ | 159 | | $ | 207 | |
| | | | | | | | | | | | | | | |
| | Balance at December 31, 2021 |
| In millions of dollars | Recorded investment(1)(2) | Unpaid
principal balance | Related specific allowance(3)(4) | Average carrying value(5) | |
| Mortgage and real estate | | | | | |
| Residential first mortgages | $ | 1,521 | | $ | 1,595 | | $ | 87 | | $ | 1,564 | | |
| Home equity loans | 191 | | 344 | | (1) | | 336 | | |
| Credit cards | 1,582 | | 1,609 | | 594 | | 1,795 | | |
| Personal, small business and other | 454 | | 461 | | 133 | | 505 | | |
| Total | $ | 3,748 | | $ | 4,009 | | $ | 813 | | $ | 4,200 | | |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.
(2)At September 30, 2022, $144 million of residential first mortgages and $75 million of home equity loans do not have a specific allowance. At December 31, 2021, $190 million of residential first mortgages and $94 million of home equity loans do not have a specific allowance because they are accounted for based on collateral value, and that value is in excess of the outstanding loan balance.
(3)Included in the Allowance for credit losses on loans.
(4)The negative allowance on home equity loans resulted from expected recoveries on previously written-off accounts.
(5)Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.
(6)Includes amounts recognized on both accrual and cash basis.
Consumer Troubled Debt Restructurings(1)
| | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended September 30, 2022 |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post-
modification
recorded
investment(2)(3) | Deferred
principal(4) | Contingent
principal
forgiveness(5) | Principal
forgiveness(6) | Average
interest rate
reduction |
In North America offices(7) | | | | | | |
| Residential first mortgages | 235 | | $ | 58 | | $ | — | | $ | — | | $ | — | | — | % |
| Home equity loans | 117 | | 14 | | — | | — | | — | | — | |
| Credit cards | 46,326 | | 203 | | — | | — | | — | | 18 | |
| Personal, small business and other | 132 | | 3 | | — | | — | | — | | 7 | |
Total(8) | 46,810 | | $ | 278 | | $ | — | | $ | — | | $ | — | | |
In offices outside North America(7) | | | | | | |
| Residential mortgages | 172 | | $ | 6 | | $ | — | | $ | — | | $ | — | | — | % |
| Credit cards | 3,519 | | 15 | | — | | — | | — | | 27 | |
| Personal, small business and other | 575 | | 6 | | — | | — | | 1 | | 8 | |
Total(8) | 4,266 | | $ | 27 | | $ | — | | $ | — | | $ | 1 | | |
| | For the Nine Months Ended September 30, 2022 |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post-
modification
recorded
investment(2)(9) | Deferred
principal(4) | Contingent
principal
forgiveness(5) | Principal
forgiveness(6) | Average
interest rate
reduction |
In North America offices(7) | | | | | | |
| Residential first mortgages | 860 | | $ | 195 | | $ | — | | $ | — | | $ | — | | — | % |
| Home equity loans | 324 | | 30 | | — | | — | | — | | — | |
| Credit cards | 123,886 | | 533 | | — | | — | | — | | 18 | |
| Personal, small business and other | 383 | | 5 | | — | | — | | — | | 5 | |
Total(8) | 125,453 | | $ | 763 | | $ | — | | $ | — | | $ | — | | |
In offices outside North America(7) | | | | | | |
| Residential mortgages | 465 | | $ | 16 | | $ | — | | $ | — | | $ | — | | — | % |
| Credit cards | 11,981 | | 50 | | — | | — | | 1 | | 24 | |
| Personal, small business and other | 1,842 | | 22 | | — | | — | | 1 | | 8 | |
Total(8) | 14,288 | | $ | 88 | | $ | — | | $ | — | | $ | 2 | | |
| | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended September 30, 2021 |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post- modification recorded investment(2)(3) | Deferred principal(4) | Contingent principal forgiveness(5) | Principal forgiveness(6) | Average
interest rate
reduction |
In North America offices(7) | | | | | | |
| Residential first mortgages | 285 | | $ | 49 | | $ | — | | $ | — | | $ | — | | 1 | % |
| Home equity loans | 33 | | 2 | | — | | — | | — | | — | |
| Credit cards | 33,746 | | 159 | | — | | — | | — | | 18 | |
| Personal, small business and other | 169 | | 1 | | — | | — | | — | | 5 | |
Total(8) | 34,233 | | $ | 211 | | $ | — | | $ | — | | $ | — | | |
In offices outside North America(7) | | | | | | |
| Residential mortgages | 451 | | $ | 22 | | $ | — | | $ | — | | $ | — | | — | % |
| Credit cards | 16,082 | | 71 | | — | | — | | 2 | | 15 | |
| Personal, small business and other | 7,336 | | 49 | | — | | — | | 2 | | 9 | |
Total(8) | 23,869 | | $ | 142 | | $ | — | | $ | — | | $ | 4 | | |
| | For the Nine Months Ended September 30, 2021 |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post- modification recorded investment(2)(9) | Deferred principal(4) | Contingent principal forgiveness(5) | Principal forgiveness(6) | Average
interest rate
reduction |
In North America offices(7) | | | | | | |
| Residential first mortgages | 955 | | $ | 169 | | $ | — | | $ | — | | $ | — | | — | % |
| Home equity loans | 145 | | 11 | | | — | | — | | — | |
| Credit cards | 129,129 | | 640 | | — | | — | | — | | 17 | |
| Personal, small business and other | 855 | | 11 | | — | | — | | — | | 3 | |
Total(8) | 131,084 | | $ | 831 | | $ | — | | $ | — | | $ | — | | |
In offices outside North America(7) | | | | | | |
| Residential mortgages | 1,448 | | $ | 74 | | $ | — | | $ | — | | $ | — | | — | % |
| Credit cards | 58,978 | | 267 | | — | | — | | 10 | | 14 | |
| Personal, small business and other | 21,654 | | 164 | | — | | — | | 6 | | 10 | |
Total(8) | 82,080 | | $ | 505 | | $ | — | | $ | — | | $ | 16 | | |
(1)The above tables do not include loan modifications that meet the TDR relief criteria in the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) or the interagency guidance.
(2)Post-modification balances include past-due amounts that are capitalized at the modification date.
(3)Post-modification balances in North America include $1.8 million and $3.8 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the three months ended September 30, 2022 and September 30, 2021, respectively. These amounts include $1.8 million and $1.6 million of residential first mortgages that were newly classified as TDRs in the three months ended September 30, 2022 and September 30, 2021, respectively, 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)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(8) The above tables reflect activity for restructured loans that were considered TDRs during the reporting period.
(9) Post-modification balances in North America include $3.7 million and $10.7 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the nine months ended September 30, 2022 and September 30, 2021, respectively. These amounts include $3.7 million and $4.1 million of residential first mortgages that were newly classified as TDRs in the nine months ended September 30, 2022 and September 30, 2021, respectively, 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 September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2022 | 2021 | 2022 | 2021 |
In North America offices(1) | | | | |
| Residential first mortgages | $ | 6 | | $ | 10 | | $ | 23 | | $ | 43 | |
| Home equity loans | 1 | | 1 | | 3 | | 8 | |
| Credit cards | 62 | | 60 | | 178 | | 196 | |
| Personal, small business and other | — | | 1 | | — | | 3 | |
| Total | $ | 69 | | $ | 72 | | $ | 204 | | $ | 250 | |
In offices outside North America(1) | | | | |
| Residential mortgages | $ | 2 | | $ | 9 | | $ | 9 | | $ | 31 | |
| Credit cards | 3 | | 36 | | 10 | | 133 | |
| Personal, small business and other | 1 | | 29 | | 3 | | 87 | |
| Total | $ | 6 | | $ | 74 | | $ | 22 | | $ | 251 | |
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
Purchased Credit-Deteriorated Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended
September 30, 2022 | Three Months Ended
December 31, 2021 | Three Months Ended
September 30, 2021 |
| In millions of dollars | Credit
cards | Mortgages(1) | Installment
and other | Credit
cards | Mortgages(1) | Installment
and other | Credit
cards | Mortgages(1) | Installment
and other |
| Purchase price | $ | — | | $ | 7 | | $ | — | | $ | — | | $ | 4 | | $ | — | | $ | — | | $ | 6 | | $ | — | |
| Allowance for credit losses at acquisition date | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Discount or premium attributable to non-credit factors | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Par value (amortized cost basis) | $ | — | | $ | 7 | | $ | — | | $ | — | | $ | 4 | | $ | — | | $ | — | | $ | 6 | | $ | — | |
(1) Includes loans sold to agencies that were bought back at par due to repurchase agreements.
14. ALLOWANCE FOR CREDIT LOSSES
| | | Three Months Ended September 30, | Nine Months Ended September 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 | 2022 | 2021 | 2022 | 2021 |
| Allowance for credit losses on loans (ACLL) at beginning of period | Allowance for credit losses on loans (ACLL) at beginning of period | $ | 19,238 | | $ | 26,298 | | $ | 24,956 | | $ | 12,783 | | Allowance for credit losses on loans (ACLL) at beginning of period | $ | 15,952 | | $ | 19,238 | | $ | 16,455 | | $ | 24,956 | |
Adjustments to opening balance:(1) | | | | |
Financial instruments—credit losses (CECL)(1) | — | | — | | — | | 4,201 | | |
Variable post-charge-off third-party collection costs(1) | — | | — | | — | | (443) | | |
| Adjusted ACLL at beginning of period | $ | 19,238 | | $ | 26,298 | | $ | 24,956 | | $ | 16,541 | | |
| | Gross credit losses on loans | Gross credit losses on loans | $ | (1,389) | | $ | (2,367) | | $ | (5,441) | | $ | (7,374) | | Gross credit losses on loans | $ | (1,237) | | $ | (1,389) | | $ | (3,689) | | $ | (5,441) | |
| Gross recoveries on loans | Gross recoveries on loans | 428 | | 448 | | 1,412 | | 1,235 | | Gross recoveries on loans | 350 | | 428 | | 1,080 | | 1,412 | |
| Net credit losses on loans (NCLs) | Net credit losses on loans (NCLs) | $ | (961) | | $ | (1,919) | | $ | (4,029) | | $ | (6,139) | | Net credit losses on loans (NCLs) | $ | (887) | | $ | (961) | | $ | (2,609) | | $ | (4,029) | |
| Replenishment of NCLs | Replenishment of NCLs | $ | 961 | | $ | 1,919 | | $ | 4,029 | | $ | 6,139 | | Replenishment of NCLs | $ | 887 | | $ | 961 | | $ | 2,609 | | $ | 4,029 | |
| Net reserve builds (releases) for loans | Net reserve builds (releases) for loans | (1,010) | | 164 | | (6,262) | | 9,453 | | Net reserve builds (releases) for loans | 519 | | (1,010) | | 259 | | (6,262) | |
| Net specific reserve builds (releases) for loans | Net specific reserve builds (releases) for loans | (139) | | (152) | | (560) | | 706 | | Net specific reserve builds (releases) for loans | (78) | | (139) | | 104 | | (560) | |
| Total provision for credit losses on loans (PCLL) | Total provision for credit losses on loans (PCLL) | $ | (188) | | $ | 1,931 | | $ | (2,793) | | $ | 16,298 | | Total provision for credit losses on loans (PCLL) | $ | 1,328 | | $ | (188) | | $ | 2,972 | | $ | (2,793) | |
| 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) | (374) | | 116 | | (419) | | (278) | | Other, net (see table below) | (84) | | (374) | | (509) | | (419) | |
| ACLL at end of period | ACLL at end of period | $ | 17,715 | | $ | 26,426 | | $ | 17,715 | | $ | 26,426 | | ACLL at end of period | $ | 16,309 | | $ | 17,715 | | $ | 16,309 | | $ | 17,715 | |
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2)(1) | Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2)(1) | $ | 2,073 | | $ | 1,859 | | $ | 2,655 | | $ | 1,456 | | Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2)(1) | $ | 2,193 | | $ | 2,073 | | $ | 1,871 | | $ | 2,655 | |
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 | (13) | | 424 | | (595) | | 1,094 | | Provision (release) for credit losses on unfunded lending commitments | (71) | | (13) | | 244 | | (595) | |
| Other, net | Other, net | 3 | | 16 | | 3 | | (57) | | Other, net | (33) | | 3 | | (26) | | 3 | |
ACLUC at end of period(2)(1) | ACLUC at end of period(2)(1) | $ | 2,063 | | $ | 2,299 | | $ | 2,063 | | $ | 2,299 | | ACLUC at end of period(2)(1) | $ | 2,089 | | $ | 2,063 | | $ | 2,089 | | $ | 2,063 | |
| Total allowance for credit losses on loans, leases and unfunded lending commitments | $ | 19,778 | | $ | 28,725 | | $ | 19,778 | | $ | 28,725 | | |
Total allowance for credit losses on loans, leases and unfunded lending commitments(2) | | Total allowance for credit losses on loans, leases and unfunded lending commitments(2) | $ | 18,398 | | $ | 19,778 | | $ | 18,398 | | $ | 19,778 | |
| | Other, net details | Other, net details | Three Months Ended September 30, | Nine Months Ended September 30, | Other, net details | 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 | 2022 | 2021 | 2022 | 2021 |
| | Sales or transfers of various consumer loan portfolios to HFS | $ | (278) | | $ | — | | $ | (278) | | $ | (4) | | |
| FX translation | (93) | | 116 | | (139) | | (279) | | |
| Other | (3) | | — | | (2) | | 5 | | |
Reclasses of consumer ACLL to HFS(3) | | Reclasses of consumer ACLL to HFS(3) | $ | — | | $ | (278) | | $ | (350) | | $ | (278) | |
| FX translation and other | | FX translation and other | (84) | | (96) | | (159) | | (141) | |
| Other, net | Other, net | $ | (374) | | $ | 116 | | $ | (419) | | $ | (278) | | Other, net | $ | (84) | | $ | (374) | | $ | (509) | | $ | (419) | |
(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.
(2) See below for ACL on HTM debt securities and Other assets.
(3) See Note 2.
Allowance for Credit Losses on Loans and End-of-Period Loans
| | | Three Months Ended | | | Three Months Ended | |
| | September 30, 2021 | September 30, 2020 | | | September 30, 2022 | September 30, 2021 | |
| In millions of dollars | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | |
| ACLL at beginning of period | ACLL at beginning of period | $ | 3,127 | | $ | 16,111 | | $ | 19,238 | | $ | 6,824 | | $ | 19,474 | | $ | 26,298 | | | ACLL at beginning of period | $ | 2,969 | | $ | 12,983 | | $ | 15,952 | | $ | 2,672 | | $ | 16,566 | | $ | 19,238 | | |
| | Charge-offs | Charge-offs | (49) | | (1,340) | | (1,389) | | (351) | | (2,016) | | (2,367) | | | Charge-offs | (43) | | (1,194) | | (1,237) | | (47) | | (1,342) | | (1,389) | | |
| Recoveries | Recoveries | 10 | | 418 | | 428 | | 26 | | 422 | | 448 | | | Recoveries | 37 | | 313 | | 350 | | 8 | | 420 | | 428 | | |
| Replenishment of NCLs | Replenishment of NCLs | 39 | | 922 | | 961 | | 325 | | 1,594 | | 1,919 | | | Replenishment of NCLs | 6 | | 881 | | 887 | | 39 | | 922 | | 961 | | |
| Net reserve builds (releases) | Net reserve builds (releases) | (44) | | (966) | | (1,010) | | 267 | | (103) | | 164 | | | Net reserve builds (releases) | 145 | | 374 | | 519 | | (26) | | (984) | | (1,010) | | |
| Net specific reserve builds (releases) | Net specific reserve builds (releases) | (21) | | (118) | | (139) | | (161) | | 9 | | (152) | | | Net specific reserve builds (releases) | (104) | | 26 | | (78) | | (21) | | (118) | | (139) | | |
| Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period | — | | — | | — | | — | | — | | — | | | |
| | Other | Other | (15) | | (359) | | (374) | | 8 | | 108 | | 116 | | | Other | (62) | | (22) | | (84) | | (15) | | (359) | | (374) | | |
| Ending balance | Ending balance | $ | 3,047 | | $ | 14,668 | | $ | 17,715 | | $ | 6,938 | | $ | 19,488 | | $ | 26,426 | | | Ending balance | $ | 2,948 | | $ | 13,361 | | $ | 16,309 | | $ | 2,610 | | $ | 15,105 | | $ | 17,715 | | |
| | Nine Months Ended | | | Nine Months Ended | |
| | September 30, 2021 | September 30, 2020 | | | September 30, 2022 | September 30, 2021 | |
| In millions of dollars | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | |
| 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 | $ | 2,415 | | $ | 14,040 | | $ | 16,455 | | $ | 4,776 | | $ | 20,180 | | $ | 24,956 | | |
| Adjustments to opening balance: | | | | | | | |
Financial instruments—credit losses (CECL adoption)(1) | — | | — | | — | | (721) | | 4,922 | | 4,201 | | | |
Variable post-charge-off third-party collection costs(1) | — | | — | | — | | — | | (443) | | (443) | | | |
| | Charge-offs | Charge-offs | (403) | | (5,038) | | (5,441) | | (837) | | (6,537) | | (7,374) | | | Charge-offs | (148) | | (3,541) | | (3,689) | | (383) | | (5,058) | | (5,441) | | |
| Recoveries | Recoveries | 89 | | 1,323 | | 1,412 | | 61 | | 1,174 | | 1,235 | | | Recoveries | 88 | | 992 | | 1,080 | | 82 | | 1,330 | | 1,412 | | |
| Replenishment of NCLs | Replenishment of NCLs | 314 | | 3,715 | | 4,029 | | 776 | | 5,363 | | 6,139 | | | Replenishment of NCLs | 60 | | 2,549 | | 2,609 | | 301 | | 3,728 | | 4,029 | | |
| Net reserve builds (releases) | Net reserve builds (releases) | (2,137) | | (4,125) | | (6,262) | | 4,418 | | 5,035 | | 9,453 | | | Net reserve builds (releases) | 394 | | (135) | | 259 | | (1,970) | | (4,292) | | (6,262) | | |
| Net specific reserve builds (releases) | Net specific reserve builds (releases) | (189) | | (371) | | (560) | | 373 | | 333 | | 706 | | | Net specific reserve builds (releases) | 169 | | (65) | | 104 | | (167) | | (393) | | (560) | | |
| Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period | — | | — | | — | | — | | 4 | | 4 | | | |
| | Other | Other | (29) | | (390) | | (419) | | (18) | | (260) | | (278) | | | Other | (30) | | (479) | | (509) | | (29) | | (390) | | (419) | | |
| Ending balance | Ending balance | $ | 3,047 | | $ | 14,668 | | $ | 17,715 | | $ | 6,938 | | $ | 19,488 | | $ | 26,426 | | | Ending balance | $ | 2,948 | | $ | 13,361 | | $ | 16,309 | | $ | 2,610 | | $ | 15,105 | | $ | 17,715 | | |
(1)See “Accounting Changes” in Note 1 to the Consolidated Financial Statements for additional details.
| | | September 30, 2021 | December 31, 2020 | | September 30, 2022 | December 31, 2021 |
| In millions of dollars | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| ACLL | ACLL | | | | | | ACLL | | | | | |
| Collectively evaluated | Collectively evaluated | $ | 2,732 | | $ | 13,777 | | $ | 16,509 | | $ | 4,887 | | $ | 18,207 | | $ | 23,094 | | Collectively evaluated | $ | 2,522 | | $ | 12,784 | | $ | 15,306 | | $ | 2,203 | | $ | 13,227 | | $ | 15,430 | |
| Individually evaluated | Individually evaluated | 315 | | 891 | | 1,206 | | 515 | | 1,345 | | 1,860 | | Individually evaluated | 426 | | 575 | | 1,001 | | 212 | | 813 | | 1,025 | |
| Purchased credit deteriorated | Purchased credit deteriorated | — | | — | | — | | — | | 2 | | 2 | | Purchased credit deteriorated | — | | 2 | | 2 | | — | | — | | — | |
| Total ACLL | Total ACLL | $ | 3,047 | | $ | 14,668 | | $ | 17,715 | | $ | 5,402 | | $ | 19,554 | | $ | 24,956 | | Total ACLL | $ | 2,948 | | $ | 13,361 | | $ | 16,309 | | $ | 2,415 | | $ | 14,040 | | $ | 16,455 | |
| Loans, net of unearned income | Loans, net of unearned income | | | | | | Loans, net of unearned income | | | | | |
| Collectively evaluated | Collectively evaluated | $ | 390,968 | | $ | 260,258 | | $ | 651,226 | | $ | 376,677 | | $ | 283,885 | | $ | 660,562 | | Collectively evaluated | $ | 283,254 | | $ | 354,414 | | $ | 637,668 | | $ | 283,610 | | $ | 372,655 | | $ | 656,265 | |
| Individually evaluated | Individually evaluated | 2,400 | | 3,852 | | 6,252 | | 3,527 | | 4,799 | | 8,326 | | Individually evaluated | 1,485 | | 2,818 | | 4,303 | | 1,553 | | 3,748 | | 5,301 | |
| Purchased credit deteriorated | Purchased credit deteriorated | — | | 127 | | 127 | | — | | 141 | | 141 | | Purchased credit deteriorated | — | | 110 | | 110 | | — | | 119 | | 119 | |
| Held at fair value | Held at fair value | 7,146 | | 13 | | 7,159 | | 6,840 | | 14 | | 6,854 | | Held at fair value | 3,638 | | 241 | | 3,879 | | 6,070 | | 12 | | 6,082 | |
| Total loans, net of unearned income | Total loans, net of unearned income | $ | 400,514 | | $ | 264,250 | | $ | 664,764 | | $ | 387,044 | | $ | 288,839 | | $ | 675,883 | | Total loans, net of unearned income | $ | 288,377 | | $ | 357,583 | | $ | 645,960 | | $ | 291,233 | | $ | 376,534 | | $ | 667,767 | |
Allowance for Credit Losses on HTM Debt Securities
| | | | | | | | | | | | | | | | | | | | |
| Three Months Ended September 30, 2021 |
| In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-backed | | Total HTM |
Allowance for credit losses on HTM debt securities at beginning
of quarter | $ | 5 | | | $ | 72 | | $ | 5 | | | $ | 1 | | | $ | 83 | |
| | | | | | | | |
| Gross credit losses | — | | | — | | — | | | — | | | — | |
| Gross recoveries | — | | | — | | — | | | — | | | — | |
| Net credit losses (NCLs) | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Replenishment of NCLs | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Net reserve builds (releases) | — | | | (5) | | (1) | | | — | | | (6) | |
| Net specific reserve builds (releases) | (4) | | | — | | — | | | — | | | (4) | |
| Total provision for credit losses on HTM debt securities | $ | (4) | | | $ | (5) | | $ | (1) | | | $ | — | | | $ | (10) | |
| Other, net | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| 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 | $ | 1 | | | $ | 67 | | $ | 4 | | | $ | 1 | | | $ | 73 | |
| | | | | | | | |
| Nine Months Ended September 30, 2021 |
| In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-backed | | Total HTM |
Allowance for credit losses on HTM debt securities at beginning
of year | $ | 3 | | | $ | 74 | | $ | 6 | | | $ | 3 | | | $ | 86 | |
| | | | | | | | |
| Gross credit losses | — | | | — | | — | | | — | | | — | |
| Gross recoveries | 3 | | | — | | — | | | — | | | 3 | |
| Net credit losses (NCLs) | $ | 3 | | | $ | — | | $ | — | | | $ | — | | | $ | 3 | |
| Replenishment of NCLs | $ | (3) | | | $ | — | | $ | — | | | $ | — | | | $ | (3) | |
| Net reserve builds (releases) | 2 | | | (7) | | (2) | | | (3) | | | (10) | |
| Net specific reserve builds (releases) | (4) | | | — | | — | | | — | | | (4) | |
| Total provision for credit losses on HTM debt securities | $ | (5) | | | $ | (7) | | $ | (2) | | | $ | (3) | | | $ | (17) | |
| Other, net | $ | — | | | $ | — | | $ | — | | | $ | 1 | | | $ | 1 | |
| 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 | $ | 1 | | | $ | 67 | | $ | 4 | | | $ | 1 | | | $ | 73 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| Three Months Ended September 30, 2022 |
| In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-backed | | Total HTM |
Allowance for credit losses on HTM debt securities
at beginning of quarter | $ | 2 | | | $ | 94 | | $ | 3 | | | $ | 6 | | | $ | 105 | |
| Gross credit losses | — | | | — | | — | | | — | | | — | |
| Gross recoveries | — | | | — | | — | | | — | | | — | |
| Net credit losses (NCLs) | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Replenishment of NCLs | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Net reserve builds (releases) | 1 | | | 15 | | — | | | (6) | | | 10 | |
| Net specific reserve builds (releases) | — | | | — | | — | | | — | | | — | |
| Total provision for credit losses on HTM debt securities | $ | 1 | | | $ | 15 | | $ | — | | | $ | (6) | | | $ | 10 | |
| | | | | | | | |
| | | | | | | | |
Allowance for credit losses on HTM debt securities
at end of quarter | $ | 3 | | | $ | 109 | | $ | 3 | | | $ | — | | | $ | 115 | |
| | | | | | | | |
| Nine Months Ended September 30, 2022 |
| In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-backed | | Total HTM |
Allowance for credit losses on HTM debt securities
at beginning of year | $ | 6 | | | $ | 76 | | $ | 3 | | | $ | 2 | | | $ | 87 | |
| Gross credit losses | — | | | — | | — | | | — | | | — | |
| Gross recoveries | — | | | — | | — | | | — | | | — | |
| Net credit losses (NCLs) | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Replenishment of NCLs | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Net reserve builds (releases) | (3) | | | 33 | | — | | | (2) | | | 28 | |
| Net specific reserve builds (releases) | — | | | — | | — | | | — | | | — | |
| Total provision for credit losses on HTM debt securities | $ | (3) | | | $ | 33 | | $ | — | | | $ | (2) | | | $ | 28 | |
| | | | | | | | |
| | | | | | | | |
Allowance for credit losses on HTM debt securities
at end of quarter | $ | 3 | | | $ | 109 | | $ | 3 | | | $ | — | | | $ | 115 | |
Allowance for Credit Losses on HTM Debt Securities
| | | | | | | | | | | | | | | | | | | | |
| Three Months Ended September 30, 2020 |
| In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-
backed | | Total HTM |
| Allowance for credit losses on HTM debt securities at beginning of quarter | $ | — | | | $ | 99 | | $ | 6 | | | $ | 2 | | | $ | 107 | |
| Adjustment to opening balance for CECL adoption | — | | | — | | — | | | — | | | — | |
| Gross credit losses | — | | | — | | — | | | — | | | — | |
| Gross recoveries | — | | | — | | — | | | — | | | — | |
| Net credit losses (NCLs) | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Replenishment of NCLs | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Net reserve builds (releases) | 3 | | | (19) | | (1) | | | 1 | | | (16) | |
| Net specific reserve builds (releases) | — | | | — | | — | | | — | | | — | |
| Total provision for credit losses on HTM debt securities | $ | 3 | | | $ | (19) | | $ | (1) | | | $ | 1 | | | $ | (16) | |
| Other, net | $ | 5 | | | $ | — | | $ | 2 | | | $ | — | | | $ | 7 | |
| 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 | $ | 8 | | | $ | 80 | | $ | 7 | | | $ | 3 | | | $ | 98 | |
| | | | | | | | |
| | | | | | | | |
| Nine Months Ended September 30, 2020 |
| In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-
backed | | Total HTM |
| Allowance for credit losses on HTM debt securities at beginning of year | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Adjustment to opening balance for CECL adoption | — | | | 61 | | 4 | | | 5 | | | 70 | |
| Gross credit losses | — | | | — | | — | | | — | | | — | |
| Gross recoveries | — | | | — | | — | | | — | | | — | |
| Net credit losses (NCLs) | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Replenishment of NCLs | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Net reserve builds | 3 | | | 16 | | 1 | | | 1 | | | 21 | |
| Net specific reserve builds (releases) | — | | | — | | — | | | — | | | — | |
| Total provision for credit losses on HTM debt securities | $ | 3 | | | $ | 16 | | $ | 1 | | | $ | 1 | | | $ | 21 | |
| Other, net | $ | 5 | | | $ | 3 | | $ | 2 | | | $ | (3) | | | $ | 7 | |
| 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 | $ | 8 | | | $ | 80 | | $ | 7 | | | $ | 3 | | | $ | 98 | |
| | | | | | | | | | | | | | | | | | | | |
| Three Months Ended September 30, 2021 |
| In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-backed | | Total HTM |
Allowance for credit losses on HTM debt securities
at beginning of quarter | $ | 5 | | | $ | 72 | | $ | 5 | | | $ | 1 | | | $ | 83 | |
| | | | | | | | |
| Gross credit losses | — | | | — | | — | | | — | | | — | |
| Gross recoveries | — | | | — | | — | | | — | | | — | |
| Net credit losses (NCLs) | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Replenishment of NCLs | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Net reserve builds (releases) | — | | | (5) | | (1) | | | — | | | (6) | |
| Net specific reserve builds (releases) | (4) | | | — | | — | | | — | | | (4) | |
| Total provision for credit losses on HTM debt securities | $ | (4) | | | $ | (5) | | $ | (1) | | | $ | — | | | $ | (10) | |
| Other, net | $ | — | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | |
Allowance for credit losses on HTM debt securities
at end of quarter | $ | 1 | | | $ | 67 | | $ | 4 | | | $ | 1 | | | $ | 73 | |
| | | | | | | | |
| Nine Months Ended September 30, 2021 |
| In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-
backed | | Total HTM |
Allowance for credit losses on HTM debt securities
at beginning of year | $ | 3 | | | $ | 74 | | $ | 6 | | | $ | 3 | | | $ | 86 | |
| | | | | | | | |
| Gross credit losses | — | | | — | | — | | | — | | | — | |
| Gross recoveries | 3 | | | — | | — | | | — | | | 3 | |
| Net credit losses (NCLs) | $ | 3 | | | $ | — | | $ | — | | | $ | — | | | $ | 3 | |
| Replenishment of NCLs | $ | (3) | | | $ | — | | $ | — | | | $ | — | | | $ | (3) | |
| Net reserve builds | 2 | | | (7) | | (2) | | | (3) | | | (10) | |
| Net specific reserve builds (releases) | (4) | | | — | | — | | | — | | | (4) | |
| Total provision for credit losses on HTM debt securities | $ | (5) | | | $ | (7) | | $ | (2) | | | $ | (3) | | | $ | (17) | |
| Other, net | $ | — | | | $ | — | | $ | — | | | $ | 1 | | | $ | 1 | |
| | | | | | | | |
Allowance for credit losses on HTM debt securities
at end of quarter | $ | 1 | | | $ | 67 | | $ | 4 | | | $ | 1 | | | $ | 73 | |
Allowance for Credit Losses on Other Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended September 30, 2021 | | | |
| In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total | | |
| Allowance for credit losses on other assets at beginning of quarter | $ | — | | $ | 24 | | $ | 8 | | $ | — | | $ | 28 | | $ | 60 | | | |
| | | | | | | | |
| Gross credit losses | — | | — | | — | | — | | — | | — | | | |
| Gross recoveries | — | | 0 | — | | — | | — | | — | | | |
| Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | | |
| Replenishment of NCLs | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | | |
| Net reserve builds (releases) | — | | — | | 1 | | — | | (4) | | (3) | | | |
| Total provision for credit losses | $ | — | | $ | — | | $ | 1 | | $ | — | | $ | (4) | | $ | (3) | | | |
| Other, net | $ | — | | $ | — | | $ | — | | $ | — | | $ | 1 | | $ | 1 | | | |
| Allowance for credit losses on other assets at end of quarter | $ | — | | $ | 24 | | $ | 9 | | $ | — | | $ | 25 | | $ | 58 | | | |
| | | | | | | | |
| Nine Months Ended September 30, 2021 | | | |
| In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total | | |
| Allowance for credit losses on other assets at beginning of year | $ | — | | $ | 20 | | $ | 10 | | $ | — | | $ | 25 | | $ | 55 | | | |
| | | | | | | | |
| Gross credit losses | — | | — | | — | | — | | — | | — | | | |
| Gross recoveries | — | | — | | — | | — | | — | | — | | | |
| Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | | |
| Replenishment of NCLs | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | | |
| Net reserve builds (releases) | — | | 5 | | (1) | | — | | (1) | | 3 | | | |
| Total provision for credit losses | $ | — | | $ | 5 | | $ | (1) | | $ | — | | $ | (1) | | $ | 3 | | | |
| Other, net | $ | — | | $ | (1) | | $ | — | | $ | — | | $ | 1 | | $ | — | | | |
| Allowance for credit losses on other assets at end of quarter | $ | — | | $ | 24 | | $ | 9 | | $ | — | | $ | 25 | | $ | 58 | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | Three Months Ended September 30, 2022 |
| In millions of dollars | | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total |
Allowance for credit losses on other assets
at beginning of quarter | | $ | 17 | | $ | 27 | | $ | — | | $ | 30 | | $ | 74 | |
| | | | | | |
| Gross credit losses | | — | | — | | — | | (4) | | (4) | |
| Gross recoveries | | — | | — | | — | | — | | — | |
| Net credit losses (NCLs) | | $ | — | | $ | — | | $ | — | | $ | (4) | | $ | (4) | |
| Replenishment of NCLs | | $ | — | | $ | — | | $ | — | | $ | 4 | | $ | 4 | |
| Net reserve builds (releases) | | 23 | | 45 | | — | | 1 | | 69 | |
| Total provision for credit losses | | $ | 23 | | $ | 45 | | $ | — | | $ | 5 | | $ | 73 | |
| Other, net | | $ | — | | $ | (3) | | $ | — | | $ | 1 | | $ | (2) | |
Allowance for credit losses on other assets
at end of quarter | | $ | 40 | | $ | 69 | | $ | — | | $ | 32 | | $ | 141 | |
| | | | | | |
| | Nine Months Ended September 30, 2022 |
| In millions of dollars | | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total |
Allowance for credit losses on other assets
at beginning of year | | $ | 21 | | $ | 6 | | $ | — | | $ | 26 | | $ | 53 | |
| | | | | | |
| Gross credit losses | | — | | — | | — | | (19) | | (19) | |
| Gross recoveries | | — | | — | | — | | 2 | | 2 | |
| Net credit losses (NCLs) | | $ | — | | $ | — | | $ | — | | $ | (17) | | $ | (17) | |
| Replenishment of NCLs | | $ | — | | $ | — | | $ | — | | $ | 17 | | $ | 17 | |
| Net reserve builds (releases) | | 19 | | 35 | | — | | 5 | | 59 | |
| Total provision for credit losses | | $ | 19 | | $ | 35 | | $ | — | | $ | 22 | | $ | 76 | |
Other, net(2) | | $ | — | | $ | 28 | | $ | — | | $ | 1 | | $ | 29 | |
Allowance for credit losses on other assets
at end of quarter | | $ | 40 | | $ | 69 | | $ | — | | $ | 32 | | $ | 141 | |
(1)Primarily accounts receivable.
Allowance for Credit Losses on Other Assets
| | | | | | | | | | | | | | | | | | | | |
| Three Months Ended September 30, 2020 |
| In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total |
| Allowance for credit losses at beginning of quarter | $ | — | | $ | 18 | | $ | 7 | | $ | — | | $ | 77 | | $ | 102 | |
| Adjustment to opening balance for CECL adoption | — | | — | | — | | — | | — | | — | |
| Gross credit losses | — | | — | | — | | — | | — | | — | |
| Gross recoveries | — | | — | | — | | — | | — | | — | |
| Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Replenishment of NCLs | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Net reserve builds (releases) | — | | 7 | | (3) | | — | | (17) | | (13) | |
| Total provision for credit losses | $ | — | | $ | 7 | | $ | (3) | | $ | — | | $ | (17) | | $ | (13) | |
| Other, net | $ | — | | $ | — | | $ | — | | $ | — | | $ | (10) | | $ | (10) | |
| Allowance for credit losses on other assets at end of quarter | $ | — | | $ | 25 | | $ | 4 | | $ | — | | $ | 50 | | $ | 79 | |
| | | | | | | |
| Nine Months Ended September 30, 2020 |
| In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total |
| Allowance for credit losses at beginning of year | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Adjustment to opening balance for CECL adoption | 6 | | 14 | | 2 | | 1 | | 3 | | 26 | |
| Gross credit losses | — | | — | | — | | — | | — | | — | |
| Gross recoveries | — | | — | | — | | — | | — | | — | |
| Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Replenishment of NCLs | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Net reserve builds (releases) | (6) | | 11 | | 2 | | (1) | | 25 | | 31 | |
| Total provision for credit losses | $ | (6) | | $ | 11 | | $ | 2 | | $ | (1) | | $ | 25 | | $ | 31 | |
| Other, net | $ | — | | $ | — | | $ | — | | $ | — | | $ | 22 | | $ | 22 | |
| Allowance for credit losses on other assets at end of year | $ | — | | $ | 25 | | $ | 4 | | $ | — | | $ | 50 | | $ | 79 | |
| | | | | | | | | | | | | | | | | | |
| | Three Months Ended September 30, 2021 |
| In millions of dollars | | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total |
Allowance for credit losses on other assets
at beginning of quarter | | $ | 24 | | $ | 8 | | $ | — | | $ | 28 | | $ | 60 | |
| | | | | | |
| Gross credit losses | | — | | — | | — | | — | | — | |
| Gross recoveries | | — | | — | | — | | — | | — | |
| Net credit losses (NCLs) | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Replenishment of NCLs | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Net reserve builds (releases) | | — | | 1 | | — | | (4) | | (3) | |
| Total provision for credit losses | | $ | — | | $ | 1 | | $ | — | | $ | (4) | | $ | (3) | |
| Other, net | | $ | — | | $ | — | | $ | — | | $ | 1 | | $ | 1 | |
Allowance for credit losses on other assets
at end of quarter | | $ | 24 | | $ | 9 | | $ | — | | $ | 25 | | $ | 58 | |
| | | | | | | |
| | Nine Months Ended September 30, 2021 |
| In millions of dollars | | Deposits with banks | Securities borrowed and purchased under agreements
to resell | Brokerage receivables | All other assets(1) | Total |
Allowance for credit losses on other assets
at beginning of year | | $ | 20 | | $ | 10 | | $ | — | | $ | 25 | | $ | 55 | |
| | | | | | |
| Gross credit losses | | — | | — | | — | | — | | — | |
| Gross recoveries | | — | | — | | — | | — | | — | |
| Net credit losses (NCLs) | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Replenishment of NCLs | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Net reserve builds (releases) | | 5 | | (1) | | — | | (1) | | 3 | |
| Total provision for credit losses | | $ | 5 | | $ | (1) | | $ | — | | $ | (1) | | $ | 3 | |
| Other, net | | $ | (1) | | $ | — | | $ | — | | $ | 1 | | $ | — | |
Allowance for credit losses on other assets
at end of quarter | | $ | 24 | | $ | 9 | | $ | — | | $ | 25 | | $ | 58 | |
(1) Primarily accounts receivable.
For ACL on AFS debt securities, see Note 12 to the Consolidated Financial Statements.12.
15. GOODWILL AND INTANGIBLE ASSETS
Goodwill
The changes in Goodwill were as follows:
| | | | | | | | | | | |
| In millions of dollars | Global Consumer Banking | Institutional Clients Group | Total |
| Balance at December 31, 2020 | $ | 12,142 | | $ | 10,020 | | $ | 22,162 | |
| Foreign currency translation | (68) | | (189) | | (257) | |
| Balance at March 31, 2021 | $ | 12,074 | | $ | 9,831 | | $ | 21,905 | |
| 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 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | | | | | | | | | | | | |
| In millions of dollars | Institutional Clients Group | Personal Banking and Wealth Management | Legacy Franchises | Total |
| | | | |
| | | | |
| | | | |
| | | | |
| Balance at December 31, 2021 | $ | 9,215 | | $ | 9,717 | | $ | 2,367 | | $ | 21,299 | |
Impairment(1) | — | | — | | (535) | | (535) | |
Divestitures(2) | — | | — | | (873) | | (873) | |
| Foreign currency translation | (44) | | 18 | | — | | (26) | |
| Balance at March 31, 2022 | $ | 9,171 | | $ | 9,735 | | $ | 959 | | $ | 19,865 | |
| Foreign currency translation | (223) | | (20) | | (25) | | (268) | |
| Balance at June 30, 2022 | $ | 8,948 | | $ | 9,715 | | $ | 934 | | $ | 19,597 | |
| Foreign currency translation | (272) | | — | | 1 | | (271) | |
| Balance at September 30, 2022 | $ | 8,676 | | $ | 9,715 | | $ | 935 | | $ | 19,326 | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
(1)Goodwill allocatedimpairment of $535 million (approximately $489 million after-tax) was incurred in the Asia Consumer reporting unit of Legacy Franchises in the first quarter of 2022, due to the Australiare-segmentation and change of reporting units as well as the sequence of the signing of sale agreements.
(2)Primarily relates to Citi’s agreements to sell its consumer banking business, which was classifiedbusinesses in Malaysia, Thailand, Indonesia, Vietnam, Taiwan, India and Bahrain within Asia Consumer, during the first quarter of 2022 and reclassified as HFS during the third quarteras of 2021.March 31, 2022. See Note 2.
The CompanyCiti had historically performed its annual goodwill impairment test as of July 1 each year. During the quarter ended September 30, 2022, the Company voluntarily changed its annual impairment assessment date from July 1 to October 1. Based on interim impairment tests performed within the period between the previous annual test on July 1, 2021 and the annual test to be performed on October 1, 2022, no more than 12 months will have elapsed between goodwill impairment tests of any of Citi’s reporting units. The change in measurement date represents a change in method of applying an accounting principle. This change is preferable because it better aligns the Company’s goodwill impairment testing procedures with its annual planning process and with its fiscal year-end. Citi continues to monitor each reporting unit for triggering events for purposes of goodwill impairment testing. The change in accounting principle did not result in any, nor does Citi expect the change in accounting principle to result in any, delay, acceleration or avoidance of an impairment charge.
As discussed in Note 3, effective January 1, 2022, as part of its strategic refresh, Citi made changes to its management structure, which resulted in changes in its operating segments and reporting units to reflect how the CEO, who is the chief operating decision maker, intends to manage the Company, allocate resources and measure performance. Goodwill balances were reallocated across the new reporting units based on their relative fair values using the valuation performed as of the effective date of the reorganization. Further, the goodwill balances associated with certain Asia Consumer businesses within the Legacy Franchises operating segment were reclassified to HFS as of March 31, 2022. See Note 2 for a discussion of Citi’s divestiture activities.
The reorganization of Citi’s reporting structure and the announced sales of businesses within a reporting unit were identified as triggering events for purposes of goodwill impairment testing. Consistent with the requirements of ASC
350, interim goodwill impairment tests were performed that resulted in an impairment of $535 million to the Asia Consumer reporting unit within the Legacy Franchises operating segment, due to the implementation of Citi’s revised operating segments and reporting units, as well as the timing of mutual execution of sale agreements for Asia consumer banking businesses. This impairment was recorded in the first quarter of 2022 as an operating expense. The interim goodwill impairment tests were performed using a combination of the income approach, market approach and bids from buyers, where available, to determine the fair value of the reporting units.
During the second quarter of 2022, Citi’s Banking reporting unit within the ICG operating segment was negatively impacted by the industry-wide decline in investment banking activity and macroeconomic challenges and uncertainties. These conditions resulted in a corresponding decline in the operating results of the Banking reporting unit as of June 30, 2022 and were identified as a triggering event for purposes of goodwill impairment testing. Consistent with the requirements of ASC 350, an interim goodwill impairment test was performed that resulted in no impairment of the Banking reporting unit within the ICG operating segment. The results of the impairment test showed that the fair value of the Banking reporting unit as a percentage of its carrying value was 102%, with the carrying value including approximately $1.5 billion of goodwill. No other events or circumstances were identified for any other reporting unit as a triggering event for purposes of goodwill impairment testing. The interim goodwill impairment test was performed using a combination of the income approach and market approach to determine the fair value of the reporting unit.
During the third quarter of 2022, Citi’s Banking reporting unit within the ICG operating segment continued to be negatively impacted by the industry-wide decline in investment banking activity amid ongoing macroeconomic
challenges and uncertainties. The presence of these conditions was identified as a triggering event for the purposes of goodwill impairment testing. Consistent with the requirements of ASC 350, an interim goodwill impairment test was performed that resulted in no impairment of the Banking reporting unit. The results of the impairment test showed that the fair value of the Banking reporting unit as a percentage of its carrying value was 106%, with the carrying value including approximately $1.5 billion of goodwill. No other events or circumstances were identified for any other reporting unit as a triggering event for purposes of goodwill impairment testing. The interim goodwill impairment test was performed using a combination of the income approach and market approach to determine the fair value of the reporting unit.
Also, during the third quarter of 2022, Citi performed an interim goodwill impairment test on the Mexico Consumer/SBMM reporting unit as of July 1, 2022 to satisfy the requirement that no more than 12 months elapse between the tests for all reporting units. The test resulted in no impairment as the fair value of the Mexico Consumer/SBMM reporting unit was greater than its carrying value. The interim goodwill impairment test was performed using the market approach to determine the fair value of the reporting unit.
For the interim impairment tests performed in 2022, the valuation of reporting units used either the market approach, income approach, or a combination of both. Under the market approach, Citi estimated fair value by comparing the business to similar businesses or guideline companies whose securities are actively traded in public markets. Under the income approach, Citi used a discounted cash flow (DCF) model in
which cash flows anticipated over several periods, plus a terminal value at the level below each business segment (referredend of that time horizon, are discounted to astheir present value using an appropriate rate that is commensurate with the risk inherent within the reporting unit.
The key assumptions used to determine the fair value of Citi’s reporting units consisted primarily of significant unobservable inputs (Level 3 fair value inputs), including discount rates, estimated cash flows, growth rates, earnings multiples and/or transaction multiples of similar businesses or guideline public companies, and bids from buyers. The DCF method employs a reporting unit). Thecapital asset pricing model in estimating the discount rate based on several factors, including market interest rates, and includes adjustments for market risk and company-specific risk. Estimated cash flows are based on internally developed estimates and the growth rates are based on industry knowledge and historical performance.
Based on the interim impairment tests, the fair values of the Company’sall of Citi’s other reporting units as a percentage of their allocated carrying values ranged from approximately 125%106% to 153%267%, resulting in no impairment. further impairment recognized as of September 30, 2022.
While the inherent risk related toof uncertainty is embedded in the key assumptions used in the valuations, the economic and business environmentenvironments continue to evolve as management progresses onimplements its strategic refresh, including, among others, the exits of consumer businesses in 13 markets in Asia and EMEA.refresh. If management’s bestfuture estimate of future key economic and market assumptions were to differ from its current assumptions, 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.
Intangible Assets
The components of intangible assets were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | September 30, 2021 | December 31, 2020 |
| In millions of dollars | Gross
carrying
amount | Accumulated
amortization | Net
carrying
amount | Gross
carrying
amount | Accumulated
amortization | Net
carrying
amount |
| Purchased credit card relationships | $ | 5,579 | | $ | 4,306 | | $ | 1,273 | | $ | 5,648 | | $ | 4,229 | | $ | 1,419 | |
Credit card contract-related intangibles(1) | 3,887 | | 1,337 | | 2,550 | | 3,929 | | 1,276 | | 2,653 | |
| Core deposit intangibles | 39 | | 39 | | — | | 45 | | 44 | | 1 | |
| Other customer relationships | 433 | | 307 | | 126 | | 455 | | 314 | | 141 | |
| Present value of future profits | 31 | | 29 | | 2 | | 32 | | 30 | | 2 | |
| Indefinite-lived intangible assets | 183 | | — | | 183 | | 190 | | — | | 190 | |
| Other | 76 | | 66 | | 10 | | 72 | | 67 | | 5 | |
| Intangible assets (excluding MSRs) | $ | 10,228 | | $ | 6,084 | | $ | 4,144 | | $ | 10,371 | | $ | 5,960 | | $ | 4,411 | |
Mortgage servicing rights (MSRs)(2) | 409 | | — | | 409 | | 336 | | — | | 336 | |
| Total intangible assets | $ | 10,637 | | $ | 6,084 | | $ | 4,553 | | $ | 10,707 | | $ | 5,960 | | $ | 4,747 | |
| | | | | | | | | | | | | | | | | | | | |
| | September 30, 2022 | December 31, 2021 |
| In millions of dollars | Gross
carrying
amount | Accumulated
amortization | Net
carrying
amount | Gross
carrying
amount | Accumulated
amortization | Net
carrying
amount |
| Purchased credit card relationships | $ | 5,513 | | $ | 4,391 | | $ | 1,122 | | $ | 5,579 | | $ | 4,348 | | $ | 1,231 | |
Credit card contract-related intangibles(1) | 3,902 | | 1,479 | | 2,423 | | 3,912 | | 1,372 | | 2,540 | |
| Core deposit intangibles | 35 | | 35 | | — | | 39 | | 39 | | — | |
| Other customer relationships | 345 | | 256 | | 89 | | 429 | | 305 | | 124 | |
| Present value of future profits | 32 | | 30 | | 2 | | 31 | | 29 | | 2 | |
| Indefinite-lived intangible assets | 186 | | — | | 186 | | 183 | | — | | 183 | |
| Other | 27 | | 11 | | 16 | | 37 | | 26 | | 11 | |
| Intangible assets (excluding MSRs) | $ | 10,040 | | $ | 6,202 | | $ | 3,838 | | $ | 10,210 | | $ | 6,119 | | $ | 4,091 | |
Mortgage servicing rights (MSRs)(2) | 647 | | — | | 647 | | 404 | | — | | 404 | |
| Total intangible assets | $ | 10,687 | | $ | 6,202 | | $ | 4,485 | | $ | 10,614 | | $ | 6,119 | | $ | 4,495 | |
(1)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represented 97% and 96% of the aggregate net carrying amount as of both September 30, 20212022 and December 31, 2020, respectively.2021.
(2)ForSee Note 18 for additional information on Citi’s MSRs, see Note 18 to the Consolidated Financial Statements.MSRs.
The changes in intangible assets were as follows:
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net carrying amount at December 31, 2020 | Acquisitions/renewals/
divestitures | Amortization | Impairments | FX translation and other | Net carrying amount at September 30, 2021 |
Purchased credit card relationships(1) | $ | 1,419 | | $ | (15) | | $ | (129) | | $ | — | | $ | (2) | | $ | 1,273 | |
Credit card contract-related intangibles(2) | 2,653 | | 4 | | (105) | | (1) | | (1) | | 2,550 | |
| Core deposit intangibles | 1 | | — | | (1) | | — | | — | | — | |
| Other customer relationships | 141 | | 12 | | (17) | | — | | (10) | | 126 | |
| Present value of future profits | 2 | | — | | — | | — | | — | | 2 | |
| Indefinite-lived intangible assets | 190 | | — | | — | | — | | (7) | | 183 | |
| Other | 5 | | 23 | | (19) | | — | | 1 | | 10 | |
| Intangible assets (excluding MSRs) | $ | 4,411 | | $ | 24 | | $ | (271) | | $ | (1) | | $ | (19) | | $ | 4,144 | |
Mortgage servicing rights (MSRs)(3) | 336 | | | | | | 409 | |
| Total intangible assets | $ | 4,747 | | | | | | $ | 4,553 | |
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net carrying amount at December 31, 2021 | Acquisitions/renewals/
divestitures | Amortization | Impairments | FX translation and other | Net carrying amount at September 30, 2022 |
Purchased credit card relationships(1) | $ | 1,231 | | $ | 3 | | $ | (105) | | $ | — | | $ | (7) | | $ | 1,122 | |
Credit card contract-related intangibles(2) | 2,540 | | — | | (116) | | — | | (1) | | 2,423 | |
| Core deposit intangibles | — | | — | | — | | — | | — | | — | |
| Other customer relationships | 124 | | 10 | | (18) | | — | | (27) | | 89 | |
| Present value of future profits | 2 | | — | | — | | — | | — | | 2 | |
| Indefinite-lived intangible assets | 183 | | — | | — | | — | | 3 | | 186 | |
| Other | 11 | | 33 | | (25) | | — | | (3) | | 16 | |
| Intangible assets (excluding MSRs) | $ | 4,091 | | $ | 46 | | $ | (264) | | $ | — | | $ | (35) | | $ | 3,838 | |
Mortgage servicing rights (MSRs)(3) | 404 | | | | | | 647 | |
| Total intangible assets | $ | 4,495 | | | | | | $ | 4,485 | |
(1)Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract-related intangibles, and includes 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 atas of both September 30, 20212022 and December 31, 2020, respectively.2021.
(3)ForSee Note 18 for additional information on Citi’s MSRs, including the rollforward for the three and nine months ended September 30, 2021, see Note 18 to the Consolidated Financial Statements.2022.
16. DEBT
For additional information regarding Citi’s short-term borrowings and long-term debt, see Note 17 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
Short-Term Borrowings
| | In millions of dollars | In millions of dollars | September 30,
2021 | December 31,
2020 | In millions of dollars | September 30,
2022 | December 31,
2021 |
| Commercial paper | Commercial paper | | | Commercial paper | |
Bank(1) | Bank(1) | $ | 10,017 | | $ | 10,022 | | | Bank(1) | $ | 11,113 | | $ | 9,026 | |
Broker-dealer and other(2) | Broker-dealer and other(2) | 6,995 | | 7,988 | | | Broker-dealer and other(2) | 14,465 | | 6,992 | |
| Total commercial paper | Total commercial paper | $ | 17,012 | | $ | 18,010 | | | Total commercial paper | $ | 25,578 | | $ | 16,018 | |
Other borrowings(3) | Other borrowings(3) | 12,671 | | 11,504 | | | Other borrowings(3) | 21,790 | | 11,955 | |
| Total | Total | $ | 29,683 | | $ | 29,514 | | | Total | $ | 47,368 | | $ | 27,973 | |
(1)Represents Citibank entities as well as other bank entities.
(2)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.
(3)Includes borrowings from Federal Home Loan Banks and other market participants. At September 30, 20212022 and December 31, 2020,2021, collateralized short-term advances from the Federal Home Loan Banks were $1 million$12.0 billion and $4$0.0 billion, respectively.
Long-Term Debt
| | | | | | | | |
| In millions of dollars | September 30,
2021 | December 31, 2020 |
Citigroup Inc.(1) | $ | 170,104 | | $ | 170,563 | |
Bank(2) | 24,715 | | 44,742 | |
Broker-dealer and other(3) | 63,455 | | 56,381 | |
| Total | $ | 258,274 | | $ | 271,686 | |
| | | | | | | | |
| In millions of dollars | September 30,
2022 | December 31, 2021 |
Citigroup Inc.(1) | $ | 159,251 | | $ | 164,945 | |
Bank(2) | 22,463 | | 23,567 | |
Broker-dealer and other(3) | 71,354 | | 65,862 | |
| Total | $ | 253,068 | | $ | 254,374 | |
(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At September 30, 20212022 and December 31, 2020,2021, collateralized long-term advances from the Federal Home Loan Banks were $5.8$7.3 billion and $10.9$5.3 billion, respectively.
(3)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company. Certain Citigroup consolidated hedging activities are also included in this line.
Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $1.6 billion and $1.7 billion at both September 30, 20212022 and December 31, 2020.2021, respectively.
The following table summarizes Citi’s outstanding trust preferred securities at September 30, 2021:2022:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Junior subordinated debentures owned by trust |
| Trust | Issuance
date | Securities
issued | Liquidation value(1) | Coupon rate(2) | Common
shares
issued
to parent | Amount | Maturity | Redeemable
by issuer
beginning |
| In millions of dollars, except securities and share amounts | | | | | | |
| Citigroup Capital III | Dec. 1996 | 194,053 | | $ | 194 | | 7.625 | % | 6,003 | | $ | 200 | | Dec. 1, 2036 | Not redeemable |
| Citigroup Capital XIII | Sept. 2010 | 89,840,000 | | 2,246 | | 3 mo. LIBOR + 637 bps | 1,000 | | 2,246 | | Oct. 30, 2040 | Oct. 30, 2015 |
| Citigroup Capital XVIII | Jun. 2007 | 99,901 | | 135 | | 3 mo. sterling LIBOR + 88.75 bps | 50 | | 135 | | Jun. 28, 2067 | Jun. 28, 2017 |
| Total obligated | | | $ | 2,575 | | | | $ | 2,581 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Junior subordinated debentures owned by trust |
| Trust | Issuance
date | Securities
issued | Liquidation value(1) | Coupon rate(2) | Common
shares
issued
to parent | Amount | Maturity | Redeemable
by issuer
beginning |
| In millions of dollars, except securities and share amounts | | | | | | |
| Citigroup Capital III | Dec. 1996 | 194,053 | | $ | 194 | | 7.625 | % | 6,003 | | $ | 200 | | Dec. 1, 2036 | Not redeemable |
| Citigroup Capital XIII | Oct. 2010 | 89,840,000 | | 2,246 | | 3 mo. LIBOR + 637 bps | 1,000 | | 2,246 | | Oct. 30, 2040 | Oct. 30, 2015 |
| | | | | | | | |
| Total obligated | | | $ | 2,440 | | | | $ | 2,446 | | | |
Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III and Citigroup Capital XVIII and quarterly for Citigroup Capital XIII.
(1)Represents the notional value received by outside investors from the trusts at the time of issuance. This differs from Citi’s balance sheet carrying value due primarily to unamortized discount and issuance costs.
(2)In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.
17. CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)
Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows:
Three and Nine Months Ended September 30, 20212022
| | In millions of dollars | In millions of dollars | Net
unrealized
gains (losses)
on debt securities | Debt valuation adjustment (DVA)(1) | Cash flow hedges(2) | Benefit plans(3) | Foreign
currency
translation
adjustment (CTA), net of hedges(4)(5) | 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 September 30, 2021 | | | |
| Balance, June 30, 2021 | $ | 1,061 | | $ | (1,523) | | $ | 864 | | $ | (6,063) | | $ | (29,392) | | $ | (67) | | $ | (35,120) | | |
| Three Months Ended September 30, 2022 | | Three Months Ended September 30, 2022 | | |
| Balance, June 30, 2022 | | Balance, June 30, 2022 | $ | (6,392) | | $ | 1,573 | | $ | (2,106) | | $ | (5,770) | | $ | (32,810) | | $ | 10 | | $ | (45,495) | |
| Other comprehensive income before
reclassifications | Other comprehensive income before
reclassifications | (204) | | (138) | | 2 | | 84 | | (1,325) | | 7 | | (1,574) | | Other comprehensive income before
reclassifications | (595) | | 874 | | (870) | | 5 | | (2,423) | | 31 | | (2,978) | |
Increase (decrease) due to amounts reclassified from AOCI | Increase (decrease) due to amounts reclassified from AOCI | (75) | | 56 | | (203) | | 51 | | 13 | | 1 | | (157) | | Increase (decrease) due to amounts reclassified from AOCI | 15 | | (2) | | 107 | | 32 | | 24 | | (1) | | 175 | |
Change, net of taxes | Change, net of taxes | $ | (279) | | $ | (82) | | $ | (201) | | $ | 135 | | $ | (1,312) | | $ | 8 | | $ | (1,731) | | Change, net of taxes | $ | (580) | | $ | 872 | | $ | (763) | | $ | 37 | | $ | (2,399) | | $ | 30 | | $ | (2,803) | |
| Balance at September 30, 2021 | $ | 782 | | $ | (1,605) | | $ | 663 | | $ | (5,928) | | $ | (30,704) | | $ | (59) | | $ | (36,851) | | |
| Nine Months Ended September 30, 2021 | | | |
| Balance, December 31, 2020 | $ | 3,320 | | $ | (1,419) | | $ | 1,593 | | $ | (6,864) | | $ | (28,641) | | $ | (47) | | $ | (32,058) | | |
| Balance at September 30, 2022 | | Balance at September 30, 2022 | $ | (6,972) | | $ | 2,445 | | $ | (2,869) | | $ | (5,733) | | $ | (35,209) | | $ | 40 | | $ | (48,298) | |
| Nine Months Ended September 30, 2022 | | Nine Months Ended September 30, 2022 | | |
| Balance, December 31, 2021 | | Balance, December 31, 2021 | $ | (614) | | $ | (1,187) | | $ | 101 | | $ | (5,852) | | $ | (31,166) | | $ | (47) | | $ | (38,765) | |
| Other comprehensive income before
reclassifications | Other comprehensive income before
reclassifications | (2,101) | | (295) | | (318) | | 773 | | (2,076) | | (14) | | (4,031) | | Other comprehensive income before
reclassifications | (6,490) | | 3,635 | | (2,709) | | 26 | | (4,412) | | 81 | | (9,869) | |
Increase (decrease) due to amounts reclassified from AOCI | Increase (decrease) due to amounts reclassified from AOCI | (437) | | 109 | | (612) | | 163 | | 13 | | 2 | | (762) | | Increase (decrease) due to amounts reclassified from AOCI | 132 | | (3) | | (261) | | 93 | | 369 | | 6 | | 336 | |
| Change, net of taxes | Change, net of taxes | $ | (2,538) | | $ | (186) | | $ | (930) | | $ | 936 | | $ | (2,063) | | $ | (12) | | $ | (4,793) | | Change, net of taxes | $ | (6,358) | | $ | 3,632 | | $ | (2,970) | | $ | 119 | | $ | (4,043) | | $ | 87 | | $ | (9,533) | |
| Balance at September 30, 2021 | $ | 782 | | $ | (1,605) | | $ | 663 | | $ | (5,928) | | $ | (30,704) | | $ | (59) | | $ | (36,851) | | |
| Balance at September 30, 2022 | | Balance at September 30, 2022 | $ | (6,972) | | $ | 2,445 | | $ | (2,869) | | $ | (5,733) | | $ | (35,209) | | $ | 40 | | $ | (48,298) | |
Footnotes to the table above appear on the following page.
Three and Nine Months Ended September 30, 20202021
| | 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 debt securities | Debt valuation adjustment (DVA)(1) | Cash flow hedges(2) | Benefit plans(3) | Foreign
currency
translation
adjustment (CTA), net of hedges(4) | Excluded component of fair value hedges | Accumulated
other
comprehensive income (loss) |
| Three Months Ended September 30, 2020 | | | |
| Balance, June 30, 2020 | $ | 3,700 | | $ | (36) | | $ | 2,094 | | $ | (7,172) | | $ | (31,939) | | $ | 8 | | $ | (33,345) | | |
| 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 | (72) | | (313) | | (41) | | 189 | | 897 | | (39) | | 621 | | 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 | (210) | | 6 | | (194) | | 57 | | — | | — | | (341) | | Increase (decrease) due to amounts reclassified from AOCI | (75) | | 56 | | (203) | | 51 | | 13 | | 1 | | (157) | |
Change, net of taxes | Change, net of taxes | $ | (282) | | $ | (307) | | $ | (235) | | $ | 246 | | $ | 897 | | $ | (39) | | $ | 280 | | Change, net of taxes | $ | (279) | | $ | (82) | | $ | (201) | | $ | 135 | | $ | (1,312) | | $ | 8 | | $ | (1,731) | |
| Balance at September 30, 2020 | $ | 3,418 | | $ | (343) | | $ | 1,859 | | $ | (6,926) | | $ | (31,042) | | $ | (31) | | $ | (33,065) | | |
| Nine Months Ended September 30, 2020 | | | |
| Balance, December 31, 2019 | $ | (265) | | $ | (944) | | $ | 123 | | $ | (6,809) | | $ | (28,391) | | $ | (32) | | $ | (36,318) | | |
| 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) | |
| Other comprehensive income before
reclassifications | Other comprehensive income before
reclassifications | 4,735 | | 599 | | 2,083 | | (287) | | (2,651) | | 1 | | 4,480 | | 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 | (1,052) | | 2 | | (347) | | 170 | | — | | — | | (1,227) | | Increase (decrease) due to amounts reclassified from AOCI | (437) | | 109 | | (612) | | 163 | | 13 | | 2 | | (762) | |
| Change, net of taxes | Change, net of taxes | $ | 3,683 | | $ | 601 | | $ | 1,736 | | $ | (117) | | $ | (2,651) | | $ | 1 | | $ | 3,253 | | Change, net of taxes | $ | (2,538) | | $ | (186) | | $ | (930) | | $ | 936 | | $ | (2,063) | | $ | (12) | | $ | (4,793) | |
| Balance at September 30, 2020 | $ | 3,418 | | $ | (343) | | $ | 1,859 | | $ | (6,926) | | $ | (31,042) | | $ | (31) | | $ | (33,065) | | |
| Balance at September 30, 2021 | | Balance at September 30, 2021 | $ | 782 | | $ | (1,605) | | $ | 663 | | $ | (5,928) | | $ | (30,704) | | $ | (59) | | $ | (36,851) | |
(1)Reflects the after-tax valuation of Citi’s fair value optionsoption liabilities. See “Market Valuation Adjustments” in Note 20 to the Consolidated Financial Statements.20.
(2)Primarily driven by Citigroup’sCiti’s pay fixed/floating/receive floatingfixed interest rate swap programs that hedge thecertain floating rates on liabilities.assets.
(3)Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.
(4)Primarily reflects the movements in (by order of impact) the South Korean won, Euro, Russian ruble, Mexican peso, Polish zloty and Japanese yen against the U.S. dollar and changes in related tax effects and hedges for the three months ended September 30, 2022. Primarily reflects the movements in (by order of impact) the South Korean won, Euro, Japanese yen, Indian rupee, Chinese yuan and British pound sterling against the U.S. dollar and changes in related tax effects and hedges for the nine months ended September 30, 2022. Primarily reflects the movements in (by order of impact) the Mexican peso, South Korean won, Euro, Chilean peso and Brazilian real against the U.S. dollar and changes in related tax effects and hedges for the three months ended September 30, 2021. Primarily reflects the movements in (by order of impact) the Mexican peso, South Korean won, Euro, Chilean peso and Japanese yen against the U.S. dollar and changes in related tax effects and hedges for the nine months ended September 30, 2021. Primarily reflects the movements in (by order of impact) the Mexican peso, Euro, South Korean won, Australian dollar and Chinese yuan against the U.S. dollar and changes in related tax effects and hedges for the three months ended September 30, 2020. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Indian rupee, Russian ruble and South African rand against the U.S. dollar and changes in related tax effects and hedges for the nine months ended September 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 $4752022 reflects a reduction of approximately $470 million (after-tax) ($620 million pretax) currency translation adjustment (CTA) loss (net of hedges) recorded in June 2022, associated with the closing of Citi’s sale of theits consumer banking business in Australia (see Note 2 to the Consolidated Financial Statements)2). 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 thereduction from AOCI component of equity. Upon closing, the CTA-related balance will be removed from the AOCI component of equity, resulting inhad a neutral impact from CTA toon 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 Nine Months Ended September 30, 20212022
| | | | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-tax |
| Three Months Ended September 30, 2021 | | | |
| Balance, June 30, 2021 | $ | (41,087) | | $ | 5,967 | | $ | (35,120) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | (374) | | 95 | | (279) | |
| Debt valuation adjustment (DVA) | (107) | | 25 | | (82) | |
| Cash flow hedges | (265) | | 64 | | (201) | |
| Benefit plans | 175 | | (40) | | 135 | |
| Foreign currency translation adjustment | (1,325) | | 13 | | (1,312) | |
| Excluded component of fair value hedges | 12 | | (4) | | 8 | |
| Change | $ | (1,884) | | $ | 153 | | $ | (1,731) | |
| Balance at September 30, 2021 | $ | (42,971) | | $ | 6,120 | | $ | (36,851) | |
| Nine Months Ended September 30, 2021 | | | |
| Balance, December 31, 2020 | $ | (36,992) | | $ | 4,934 | | $ | (32,058) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | (3,439) | | 901 | | (2,538) | |
| Debt valuation adjustment (DVA) | (256) | | 70 | | (186) | |
| Cash flow hedges | (1,219) | | 289 | | (930) | |
| Benefit plans | 1,166 | | (230) | | 936 | |
| Foreign currency translation adjustment | (2,217) | | 154 | | (2,063) | |
| Excluded component of fair value hedges | (14) | | 2 | | (12) | |
| Change | $ | (5,979) | | $ | 1,186 | | $ | (4,793) | |
| Balance at September 30, 2021 | $ | (42,971) | | $ | 6,120 | | $ | (36,851) | |
| | | | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-tax |
| Three Months Ended September 30, 2022 | | | |
| Balance, June 30, 2022 | $ | (53,566) | | $ | 8,071 | | $ | (45,495) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | (850) | | 270 | | (580) | |
| Debt valuation adjustment (DVA) | 1,159 | | (287) | | 872 | |
| Cash flow hedges | (1,025) | | 262 | | (763) | |
| Benefit plans | (4) | | 41 | | 37 | |
| Foreign currency translation adjustment | (2,238) | | (161) | | (2,399) | |
| Excluded component of fair value hedges | 40 | | (10) | | 30 | |
| Change | $ | (2,918) | | $ | 115 | | $ | (2,803) | |
| Balance at September 30, 2022 | $ | (56,484) | | $ | 8,186 | | $ | (48,298) | |
| Nine Months Ended September 30, 2022 | | | |
| Balance, December 31, 2021 | $ | (45,383) | | $ | 6,618 | | $ | (38,765) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | (8,464) | | 2,106 | | (6,358) | |
| Debt valuation adjustment (DVA) | 4,800 | | (1,168) | | 3,632 | |
| Cash flow hedges | (3,933) | | 963 | | (2,970) | |
| Benefit plans | 100 | | 19 | | 119 | |
| Foreign currency translation adjustment | (3,720) | | (323) | | (4,043) | |
| Excluded component of fair value hedges | 116 | | (29) | | 87 | |
| Change | $ | (11,101) | | $ | 1,568 | | $ | (9,533) | |
| Balance at September 30, 2022 | $ | (56,484) | | $ | 8,186 | | $ | (48,298) | |
Three and Nine Months Ended September 30, 20202021
| | | | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-tax |
| Three Months Ended September 30, 2020 | | | |
| Balance, June 30, 2020 | $ | (37,678) | | $ | 4,333 | | $ | (33,345) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | (393) | | 111 | | (282) | |
| Debt valuation adjustment (DVA) | (452) | | 145 | | (307) | |
| Cash flow hedges | (307) | | 72 | | (235) | |
| Benefit plans | 344 | | (98) | | 246 | |
| Foreign currency translation adjustment | 918 | | (21) | | 897 | |
| Excluded component of fair value hedges | (51) | | 12 | | (39) | |
| Change | $ | 59 | | $ | 221 | | $ | 280 | |
| Balance, September 30, 2020 | $ | (37,619) | | $ | 4,554 | | $ | (33,065) | |
| Nine Months Ended September 30, 2020 | | | |
| Balance, December 31, 2019 | $ | (42,772) | | $ | 6,454 | | $ | (36,318) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | 4,905 | | (1,222) | | 3,683 | |
| Debt valuation adjustment (DVA) | 801 | | (200) | | 601 | |
| Cash flow hedges | 2,267 | | (531) | | 1,736 | |
| Benefit plans | (166) | | 49 | | (117) | |
| Foreign currency translation adjustment | (2,652) | | 1 | | (2,651) | |
| Excluded component of fair value hedges | (2) | | 3 | | 1 | |
| Change | $ | 5,153 | | $ | (1,900) | | $ | 3,253 | |
| Balance, September 30, 2020 | $ | (37,619) | | $ | 4,554 | | $ | (33,065) | |
| | | | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-tax |
| Three Months Ended September 30, 2021 | | | |
| Balance, June 30, 2021 | $ | (41,087) | | $ | 5,967 | | $ | (35,120) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | (374) | | 95 | | (279) | |
| Debt valuation adjustment (DVA) | (107) | | 25 | | (82) | |
| Cash flow hedges | (265) | | 64 | | (201) | |
| Benefit plans | 175 | | (40) | | 135 | |
| Foreign currency translation adjustment | (1,325) | | 13 | | (1,312) | |
| Excluded component of fair value hedges | 12 | | (4) | | 8 | |
| Change | $ | (1,884) | | $ | 153 | | $ | (1,731) | |
| Balance, September 30, 2021 | $ | (42,971) | | $ | 6,120 | | $ | (36,851) | |
| Nine Months Ended September 30, 2021 | | | |
| Balance, December 31, 2020 | $ | (36,992) | | $ | 4,934 | | $ | (32,058) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | (3,439) | | 901 | | (2,538) | |
| Debt valuation adjustment (DVA) | (256) | | 70 | | (186) | |
| Cash flow hedges | (1,219) | | 289 | | (930) | |
| Benefit plans | 1,166 | | (230) | | 936 | |
| Foreign currency translation adjustment | (2,217) | | 154 | | (2,063) | |
| Excluded component of fair value hedges | (14) | | 2 | | (12) | |
| Change | $ | (5,979) | | $ | 1,186 | | $ | (4,793) | |
| Balance, September 30, 2021 | $ | (42,971) | | $ | 6,120 | | $ | (36,851) | |
The Company recognized pretax gains (losses)(gains) losses related to amounts in AOCI reclassified to the Consolidated Statement of Income as follows:
| | | Increase (decrease) in AOCI due to
amounts reclassified to
Consolidated Statement of Income | | Increase (decrease) in AOCI due to
amounts reclassified to
Consolidated Statement of Income |
| | Three Months Ended September 30, | Nine Months Ended September 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | In millions of dollars | 2022 | 2021 | 2022 | 2021 |
| Realized (gains) losses on sales of investments | Realized (gains) losses on sales of investments | $ | (117) | | $ | (304) | | $ | (655) | | $ | (1,484) | | Realized (gains) losses on sales of investments | $ | (52) | | $ | (117) | | $ | (74) | | $ | (655) | |
| Gross impairment losses | Gross impairment losses | 21 | | 30 | | 99 | | 101 | | Gross impairment losses | 74 | | 21 | | 254 | | 99 | |
| Subtotal, pretax | Subtotal, pretax | $ | (96) | | $ | (274) | | $ | (556) | | $ | (1,383) | | Subtotal, pretax | $ | 22 | | $ | (96) | | $ | 180 | | $ | (556) | |
| Tax effect | Tax effect | 21 | | 64 | | 119 | | 331 | | Tax effect | (7) | | 21 | | (48) | | 119 | |
Net realized (gains) losses on investments after-tax(1) | Net realized (gains) losses on investments after-tax(1) | $ | (75) | | $ | (210) | | $ | (437) | | $ | (1,052) | | Net realized (gains) losses on investments after-tax(1) | $ | 15 | | $ | (75) | | $ | 132 | | $ | (437) | |
| Realized DVA (gains) losses on fair value option liabilities, pretax | Realized DVA (gains) losses on fair value option liabilities, pretax | $ | 72 | | $ | 8 | | $ | 141 | | $ | 3 | | Realized DVA (gains) losses on fair value option liabilities, pretax | $ | (3) | | $ | 72 | | $ | (4) | | $ | 141 | |
| Tax effect | Tax effect | (16) | | (2) | | (32) | | (1) | | Tax effect | 1 | | (16) | | 1 | | (32) | |
| Net realized debt valuation adjustment, after-tax | $ | 56 | | $ | 6 | | $ | 109 | | $ | 2 | | |
| Net realized DVA, after-tax | | Net realized DVA, after-tax | $ | (2) | | $ | 56 | | $ | (3) | | $ | 109 | |
| Interest rate contracts | Interest rate contracts | $ | (269) | | $ | (256) | | $ | (809) | | $ | (459) | | Interest rate contracts | $ | 141 | | $ | (269) | | $ | (344) | | $ | (809) | |
| Foreign exchange contracts | Foreign exchange contracts | 1 | | 1 | | 3 | | 3 | | Foreign exchange contracts | 1 | | 1 | | 3 | | 3 | |
| Subtotal, pretax | Subtotal, pretax | $ | (268) | | $ | (255) | | $ | (806) | | $ | (456) | | Subtotal, pretax | $ | 142 | | $ | (268) | | $ | (341) | | $ | (806) | |
| Tax effect | Tax effect | 65 | | 61 | | 194 | | 109 | | Tax effect | (35) | | 65 | | 80 | | 194 | |
Amortization of cash flow hedges, after-tax(2) | Amortization of cash flow hedges, after-tax(2) | $ | (203) | | $ | (194) | | $ | (612) | | $ | (347) | | Amortization of cash flow hedges, after-tax(2) | $ | 107 | | $ | (203) | | $ | (261) | | $ | (612) | |
| Amortization of unrecognized: | Amortization of unrecognized: | | | | Amortization of unrecognized: | | | |
| Prior service cost (benefit) | Prior service cost (benefit) | $ | (5) | | $ | (4) | | $ | (17) | | $ | (10) | | Prior service cost (benefit) | $ | (6) | | $ | (5) | | $ | (17) | | $ | (17) | |
| Net actuarial loss | Net actuarial loss | 74 | | 85 | | 232 | | 239 | | Net actuarial loss | 49 | | 74 | | 177 | | 232 | |
Curtailment/settlement impact(3) | Curtailment/settlement impact(3) | 1 | | (5) | | 5 | | (2) | | Curtailment/settlement impact(3) | — | | 1 | | (33) | | 5 | |
| Subtotal, pretax | Subtotal, pretax | $ | 70 | | $ | 76 | | $ | 220 | | $ | 227 | | Subtotal, pretax | $ | 43 | | $ | 70 | | $ | 127 | | $ | 220 | |
| Tax effect | Tax effect | (19) | | (19) | | (57) | | (57) | | Tax effect | (11) | | (19) | | (34) | | (57) | |
Amortization of benefit plans, after-tax(3) | Amortization of benefit plans, after-tax(3) | $ | 51 | | $ | 57 | | $ | 163 | | $ | 170 | | Amortization of benefit plans, after-tax(3) | $ | 32 | | $ | 51 | | $ | 93 | | $ | 163 | |
| Excluded component of fair value hedges, pretax | Excluded component of fair value hedges, pretax | $ | 1 | | $ | — | | $ | 2 | | $ | — | | Excluded component of fair value hedges, pretax | $ | (1) | | $ | 1 | | $ | 9 | | $ | 2 | |
| Tax effect | Tax effect | — | | — | | — | | — | | Tax effect | — | | — | | (3) | | — | |
| Excluded component of fair value hedges, after-tax | Excluded component of fair value hedges, after-tax | $ | 1 | | $ | — | | $ | 2 | | $ | — | | Excluded component of fair value hedges, after-tax | $ | (1) | | $ | 1 | | $ | 6 | | $ | 2 | |
| Foreign currency translation adjustment, pretax | Foreign currency translation adjustment, pretax | $ | 20 | | $ | — | | $ | 20 | | $ | — | | Foreign currency translation adjustment, pretax | $ | 26 | | $ | 20 | | $ | 423 | | $ | 20 | |
| Tax effect | Tax effect | (7) | | — | | (7) | | — | | Tax effect | (2) | | (7) | | (54) | | (7) | |
| Foreign currency translation adjustment, after-tax | Foreign currency translation adjustment, after-tax | $ | 13 | | $ | — | | $ | 13 | | $ | — | | Foreign currency translation adjustment, after-tax | $ | 24 | | $ | 13 | | $ | 369 | | $ | 13 | |
Total amounts reclassified out of AOCI, pretax | Total amounts reclassified out of AOCI, pretax | $ | (201) | | $ | (445) | | $ | (979) | | $ | (1,609) | | Total amounts reclassified out of AOCI, pretax | $ | 229 | | $ | (201) | | $ | 394 | | $ | (979) | |
| Total tax effect | Total tax effect | 44 | | 104 | | 217 | | 382 | | Total tax effect | (54) | | 44 | | (58) | | 217 | |
Total amounts reclassified out of AOCI, after-tax | Total amounts reclassified out of AOCI, after-tax | $ | (157) | | $ | (341) | | $ | (762) | | $ | (1,227) | | Total amounts reclassified out of AOCI, after-tax | $ | 175 | | $ | (157) | | $ | 336 | | $ | (762) | |
(1)The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses in the Consolidated Statement of Income. See Note 12 to the Consolidated Financial Statements for additional details.
(2)See Note 19 to the Consolidated Financial Statements for additional details.
(3)See Note 8 to the Consolidated Financial Statements for additional details.
18. SECURITIZATIONS AND VARIABLE INTEREST ENTITIES
For additional information regarding Citi’s use of special purpose entities (SPEs) and variable interest entities (VIEs), see Note 21 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests or has continuing involvement through servicing a majority of the assets in a VIE is presented below:
| | | As of September 30, 2021 | | As of September 30, 2022 |
| | | Maximum exposure to loss in significant unconsolidated VIEs(1) | | | Maximum exposure to loss in significant unconsolidated VIEs(1) |
| | Funded exposures(2) | Unfunded exposures | | | Funded exposures(2) | Unfunded exposures | |
| In millions of dollars | In millions of dollars | Total
involvement
with SPE
assets | Consolidated
VIE/SPE assets | Significant unconsolidated VIE assets(3) | Debt
investments | Equity
investments | Funding
commitments | Guarantees
and
derivatives | Total | In millions of dollars | Total
involvement
with SPE
assets | Consolidated
VIE/SPE assets | Significant unconsolidated VIE assets(3) | Debt
investments | Equity
investments | Funding
commitments | Guarantees
and
derivatives | Total |
| Credit card securitizations | Credit card securitizations | $ | 30,343 | | $ | 30,343 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | Credit card securitizations | $ | 31,139 | | $ | 31,139 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
Mortgage securitizations(4) | Mortgage securitizations(4) | | | | | | | | | Mortgage securitizations(4) | | | | | | | | |
| U.S. agency-sponsored | U.S. agency-sponsored | 114,519 | | — | | 114,519 | | 1,537 | | — | | — | | 47 | | 1,584 | | U.S. agency-sponsored | 112,923 | | — | | 112,923 | | 2,019 | | — | | — | | 49 | | 2,068 | |
| Non-agency-sponsored | Non-agency-sponsored | 59,584 | | 677 | | 58,907 | | 2,327 | | — | | 1 | | — | | 2,328 | | Non-agency-sponsored | 59,730 | | — | | 59,730 | | 2,606 | | — | | 7 | | — | | 2,613 | |
| Citi-administered asset-backed commercial paper conduits | Citi-administered asset-backed commercial paper conduits | 12,460 | | 12,460 | | — | | — | | — | | — | | — | | — | | Citi-administered asset-backed commercial paper conduits | 15,583 | | 15,583 | | — | | — | | — | | — | | — | | — | |
| Collateralized loan obligations (CLOs) | Collateralized loan obligations (CLOs) | 10,094 | | — | | 10,094 | | 3,254 | | — | | — | | — | | 3,254 | | Collateralized loan obligations (CLOs) | 7,563 | | — | | 7,563 | | 2,580 | | — | | — | | — | | 2,580 | |
Asset-based financing(5) | Asset-based financing(5) | 279,044 | | 11,106 | | 267,938 | | 29,033 | | 1,283 | | 11,008 | | — | | 41,324 | | Asset-based financing(5) | 236,093 | | 8,929 | | 227,164 | | 36,588 | | 1,050 | | 11,421 | | — | | 49,059 | |
| Municipal securities tender option bond trusts (TOBs) | Municipal securities tender option bond trusts (TOBs) | 3,320 | | 909 | | 2,411 | | 16 | | — | | 1,529 | | — | | 1,545 | | Municipal securities tender option bond trusts (TOBs) | 2,521 | | 665 | | 1,856 | | 10 | | — | | 1,395 | | — | | 1,405 | |
| Municipal investments | Municipal investments | 21,078 | | 3 | | 21,075 | | 2,677 | | 3,706 | | 3,558 | | — | | 9,941 | | Municipal investments | 21,677 | | 3 | | 21,674 | | 2,738 | | 3,252 | | 3,810 | | — | | 9,800 | |
| Client intermediation | Client intermediation | 872 | | 280 | | 592 | | 75 | | — | | — | | 206 | | 281 | | Client intermediation | 696 | | 325 | | 371 | | 58 | | — | | — | | 13 | | 71 | |
| Investment funds | Investment funds | 523 | | 192 | | 331 | | 1 | | — | | 13 | | 5 | | 19 | | Investment funds | 492 | | 82 | | 410 | | 5 | | 5 | | 20 | | — | | 30 | |
| Other | Other | — | | — | | — | | — | | — | | — | | — | | — | | Other | — | | — | | — | | — | | — | | — | | — | | — | |
| Total | Total | $ | 531,837 | | $ | 55,970 | | $ | 475,867 | | $ | 38,920 | | $ | 4,989 | | $ | 16,109 | | $ | 258 | | $ | 60,276 | | Total | $ | 488,417 | | $ | 56,726 | | $ | 431,691 | | $ | 46,604 | | $ | 4,307 | | $ | 16,653 | | $ | 62 | | $ | 67,626 | |
| | | As of December 31, 2020 | | As of December 31, 2021 |
| | | Maximum exposure to loss in significant unconsolidated VIEs(1) | | | Maximum exposure to loss in significant unconsolidated VIEs(1) |
| | Funded exposures(2) | Unfunded exposures | | | Funded exposures(2) | Unfunded exposures | |
| In millions of dollars | In millions of dollars | Total
involvement
with SPE
assets | Consolidated
VIE/SPE assets | Significant unconsolidated VIE assets(3) | Debt
investments | Equity
investments | Funding
commitments | Guarantees
and
derivatives | Total | In millions of dollars | Total
involvement
with SPE
assets | Consolidated
VIE/SPE assets | Significant unconsolidated VIE assets(3) | Debt
investments | Equity
investments | Funding
commitments | Guarantees
and
derivatives | Total |
| Credit card securitizations | Credit card securitizations | $ | 32,420 | | $ | 32,420 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | Credit card securitizations | $ | 31,518 | | $ | 31,518 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
Mortgage securitizations(4) | Mortgage securitizations(4) | | | | | | | | | Mortgage securitizations(4) | | | | | | | | |
| U.S. agency-sponsored | U.S. agency-sponsored | 123,999 | | — | | 123,999 | | 1,948 | | — | | — | | 61 | | 2,009 | | U.S. agency-sponsored | 113,641 | | — | | 113,641 | | 1,582 | | — | | — | | 43 | | 1,625 | |
| Non-agency-sponsored | Non-agency-sponsored | 46,132 | | 939 | | 45,193 | | 2,550 | | — | | 2 | | 1 | | 2,553 | | Non-agency-sponsored | 60,851 | | 632 | | 60,219 | | 2,479 | | — | | 5 | | — | | 2,484 | |
| Citi-administered asset-backed commercial paper conduits | Citi-administered asset-backed commercial paper conduits | 16,730 | | 16,730 | | — | | — | | — | | — | | — | | — | | Citi-administered asset-backed commercial paper conduits | 14,018 | | 14,018 | | — | | — | | — | | — | | — | | — | |
| Collateralized loan obligations (CLOs) | Collateralized loan obligations (CLOs) | 18,332 | | — | | 18,332 | | 4,273 | | — | | — | | — | | 4,273 | | Collateralized loan obligations (CLOs) | 8,302 | | — | | 8,302 | | 2,636 | | — | | — | | — | | 2,636 | |
Asset-based financing(5) | Asset-based financing(5) | 222,274 | | 8,069 | | 214,205 | | 25,153 | | 1,587 | | 9,114 | | — | | 35,854 | | Asset-based financing(5) | 246,632 | | 11,085 | | 235,547 | | 32,242 | | 1,139 | | 12,189 | | — | | 45,570 | |
| Municipal securities tender option bond trusts (TOBs) | Municipal securities tender option bond trusts (TOBs) | 3,349 | | 835 | | 2,514 | | — | | — | | 1,611 | | — | | 1,611 | | Municipal securities tender option bond trusts (TOBs) | 3,251 | | 905 | | 2,346 | | 2 | | — | | 1,498 | | — | | 1,500 | |
| Municipal investments | Municipal investments | 20,335 | | — | | 20,335 | | 2,569 | | 4,056 | | 3,041 | | — | | 9,666 | | Municipal investments | 20,597 | | 3 | | 20,594 | | 2,512 | | 3,617 | | 3,562 | | — | | 9,691 | |
| Client intermediation | Client intermediation | 1,352 | | 910 | | 442 | | 88 | | — | | — | | 56 | | 144 | | Client intermediation | 904 | | 297 | | 607 | | 75 | | — | | — | | 224 | | 299 | |
| Investment funds | Investment funds | 488 | | 153 | | 335 | | — | | — | | 15 | | — | | 15 | | Investment funds | 498 | | 179 | | 319 | | — | | — | | 12 | | 1 | | 13 | |
| Other | Other | — | | — | | — | | — | | — | | — | | — | | — | | Other | — | | — | | — | | — | | — | | — | | — | | — | |
| Total | Total | $ | 485,411 | | $ | 60,056 | | $ | 425,355 | | $ | 36,581 | | $ | 5,643 | | $ | 13,783 | | $ | 118 | | $ | 56,125 | | Total | $ | 500,212 | | $ | 58,637 | | $ | 441,575 | | $ | 41,528 | | $ | 4,756 | | $ | 17,266 | | $ | 268 | | $ | 63,818 | |
(1) The definition of maximum exposure to loss is included in the text that follows this table.
(2) Included on Citigroup’s September 30, 20212022 and December 31, 20202021 Consolidated Balance Sheet.
(3) A significant unconsolidated VIE is an entity in which the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss.
(4) Citigroup mortgage securitizations also include agency and non-agency (private label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion.
(5) Included within this line are loans to third-party sponsoredthird-party-sponsored private equity funds, which represent $115$75 billion and $78$100 billion in unconsolidated VIE assets and $507$500 million and $425$497 million in maximum exposure to loss as of September 30, 20212022 and December 31, 2020,2021, respectively.
The previous tables do not include:
•certain venture capital investments made by some of the Company’s private equity subsidiaries, as the Company accounts for these investments in accordance with the Investment Company Audit Guide (codified in ASC 946);
•certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;
•certain third-party sponsoredthird-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 September 30, 20212022 and December 31, 2020,2021, the Company’s maximum exposure to loss related to these dealstransactions was $56.6$43.4 billion and $57.0$55.6 billion, respectively (for more information on these positions, see Note 13 to the Consolidated Financial Statements and Note 26 to the Consolidated Financial Statements in Citigroup’s 2020 Annual Report on2021 Form 10-K);
•certain VIEs structured by third parties in which the Company holds securities in inventory, as these investments are made on arm’s-length terms;
•certain positions in mortgage- and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, in which the Company has no other involvement with the related securitization entity deemed to be significant (for(see Notes 12 and 20 for more information on these positions, see Notes 12 and 20 to the Consolidated Financial Statements)positions);
•certain representations and warranties exposures in legacy ICG-sponsored mortgage- and asset-backed securitizations in which the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 in which the Company has no variable interest or continuing involvement as servicer was approximately $4.7 billion and $5.2 billion at September 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.
The following tables present certain assets and liabilities of consolidated variable interest entities (VIEs), which are included on Citi’s Consolidated Balance Sheet. 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. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.
| | | | | | | | |
| September 30, | |
| 2022 | December 31, |
| In millions of dollars | (Unaudited) | 2021 |
| Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | | |
| Cash and due from banks | $ | 63 | | $ | 260 | |
| Trading account assets | 8,274 | | 10,038 | |
| Investments | 616 | | 844 | |
| Loans, net of unearned income | | |
| Consumer | 34,333 | | 34,677 | |
| Corporate | 15,815 | | 14,312 | |
| Loans, net of unearned income | $ | 50,148 | | $ | 48,989 | |
| Allowance for credit losses on loans (ACLL) | (2,446) | | (2,668) | |
| Total loans, net | $ | 47,702 | | $ | 46,321 | |
| Other assets | 71 | | 1,174 | |
| Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | $ | 56,726 | | $ | 58,637 | |
| | | | | | | | |
| September 30, | |
| 2022 | December 31, |
| In millions of dollars | (Unaudited) | 2021 |
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup | | |
| Short-term borrowings | $ | 10,073 | | $ | 8,376 | |
| Long-term debt | 10,438 | | 12,579 | |
| Other liabilities | 266 | | 694 | |
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup | $ | 20,777 | | $ | 21,649 | |
Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments
The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above:
| | | September 30, 2021 | December 31, 2020 | | September 30, 2022 | December 31, 2021 |
| In millions of dollars | In millions of dollars | Liquidity
facilities | Loan/equity
commitments | Liquidity
facilities | Loan/equity
commitments | In millions of dollars | Liquidity
facilities | Loan/equity
commitments | Liquidity
facilities | Loan/equity
commitments |
| Non-agency-sponsored mortgage securitizations | Non-agency-sponsored mortgage securitizations | $ | — | | $ | 1 | | $ | — | | $ | 2 | | Non-agency-sponsored mortgage securitizations | $ | — | | $ | 7 | | $ | — | | $ | 5 | |
| Asset-based financing | Asset-based financing | — | | 11,008 | | — | | 9,114 | | Asset-based financing | — | | 11,421 | | — | | 12,189 | |
| Municipal securities tender option bond trusts (TOBs) | Municipal securities tender option bond trusts (TOBs) | 1,529 | | — | | 1,611 | | — | | Municipal securities tender option bond trusts (TOBs) | 1,395 | | — | | 1,498 | | — | |
| Municipal investments | Municipal investments | — | | 3,558 | | — | | 3,041 | | Municipal investments | — | | 3,810 | | — | | 3,562 | |
| Investment funds | Investment funds | — | | 13 | | — | | 15 | | Investment funds | — | | 20 | | — | | 12 | |
| Other | Other | — | | — | | — | | — | | Other | — | | — | | — | | — | |
| Total funding commitments | Total funding commitments | $ | 1,529 | | $ | 14,580 | | $ | 1,611 | | $ | 12,172 | | Total funding commitments | $ | 1,395 | | $ | 15,258 | | $ | 1,498 | | $ | 15,768 | |
Significant Interests in Unconsolidated VIEs—Balance Sheet Classification
The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs:
| | In billions of dollars | In billions of dollars | September 30, 2021 | December 31, 2020 | In billions of dollars | September 30, 2022 | December 31, 2021 |
| Cash | Cash | $ | — | | $ | — | | Cash | $ | — | | $ | — | |
| Trading account assets | Trading account assets | 1.4 | | 2.0 | | Trading account assets | 1.6 | | 1.4 | |
| Investments | Investments | 9.3 | | 10.6 | | Investments | 8.7 | | 8.8 | |
| Total loans, net of allowance | Total loans, net of allowance | 32.3 | | 29.3 | | Total loans, net of allowance | 40.0 | | 35.4 | |
| Other | Other | 0.9 | | 0.3 | | Other | 0.6 | | 0.8 | |
| Total assets | Total assets | $ | 43.9 | | $ | 42.2 | | Total assets | $ | 50.9 | | $ | 46.4 | |
Credit Card Securitizations
Substantially all of the Company’s credit card securitization activity is through 2two 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 | September 30, 2021 | December 31, 2020 | In billions of dollars | September 30, 2022 | December 31, 2021 |
Ownership interests in principal amount of trust credit card receivables | | Sold to investors via trust-issued securities | Sold to investors via trust-issued securities | $ | 11.0 | | $ | 15.7 | | Sold to investors via trust-issued securities | $ | 8.6 | | $ | 9.7 | |
| 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 | 6.5 | | 7.2 | |
| Retained by Citigroup via non-certificated interests | Retained by Citigroup via non-certificated interests | 13.9 | | 11.1 | | Retained by Citigroup via non-certificated interests | 17.8 | | 16.1 | |
| Total | Total | $ | 32.1 | | $ | 34.7 | | Total | $ | 32.9 | | $ | 33.0 | |
The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:
| | | Three Months Ended September 30, | Nine Months Ended September 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In billions of dollars | In billions of dollars | 2021 | 2020 | 2021 | 2020 | In billions of dollars | 2022 | 2021 | 2022 | 2021 |
| Proceeds from new securitizations | Proceeds from new securitizations | $ | — | | $ | — | | $ | — | | $ | — | | Proceeds from new securitizations | $ | — | | $ | — | | $ | — | | $ | — | |
| Pay down of maturing notes | Pay down of maturing notes | — | | (1.1) | | (4.7) | | (4.3) | | Pay down of maturing notes | (1.1) | | — | | (1.1) | | (4.7) | |
|
Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was 3.3 years as of September 30, 20212022 and 2.93.6 years as of December 31, 2020.2021.
| | In billions of dollars | In billions of dollars | Sept. 30, 2021 | Dec. 31, 2020 | In billions of dollars | Sept. 30, 2022 | Dec. 31, 2021 |
| Term notes issued to third parties | Term notes issued to third parties | $ | 9.7 | | $ | 13.9 | | Term notes issued to third parties | $ | 7.3 | | $ | 8.4 | |
| Term notes retained by Citigroup affiliates | Term notes retained by Citigroup affiliates | 2.2 | | 2.7 | | Term notes retained by Citigroup affiliates | 1.7 | | 2.2 | |
| Total Master Trust liabilities | Total Master Trust liabilities | $ | 11.9 | | $ | 16.6 | | Total Master Trust liabilities | $ | 9.0 | | $ | 10.6 | |
Omni Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Omni Trust was 1.90.7 years as of September 30, 20212022 and 1.11.6 years as of December 31, 2020.2021.
| | In billions of dollars | In billions of dollars | Sept. 30, 2021 | Dec. 31, 2020 | In billions of dollars | Sept. 30, 2022 | Dec. 31, 2021 |
| Term notes issued to third parties | Term notes issued to third parties | $ | 1.3 | | $ | 1.8 | | Term notes issued to third parties | $ | 1.3 | | $ | 1.3 | |
| Term notes retained by Citigroup affiliates | Term notes retained by Citigroup affiliates | 5.0 | | 5.2 | | Term notes retained by Citigroup affiliates | 4.8 | | 5.0 | |
| Total Omni Trust liabilities | Total Omni Trust liabilities | $ | 6.3 | | $ | 7.0 | | Total Omni Trust liabilities | $ | 6.1 | | $ | 6.3 | |
The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:
| | | | | | | | | | | | | | |
| Three Months Ended September 30, |
| 2021 | 2020 |
| In billions of dollars | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages |
| Principal securitized | $ | 0.5 | | $ | 1.7 | | $ | 2.7 | | $ | 2.9 | |
| Proceeds from new securitizations | 0.5 | | 1.9 | | 2.9 | | 4.5 | |
| Purchases of previously transferred financial assets | — | | — | | 0.2 | | — | |
| | | | |
| |
| | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | Nine Months Ended September 30, | | Three Months Ended September 30, |
| | 2021 | 2020 | | 2022 | 2021 |
| 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 | $ | 5.4 | | $ | 19.8 | | $ | 7.2 | | $ | 5.4 | | Principal securitized | $ | 1.4 | | $ | 1.1 | | $ | 0.5 | | $ | 1.7 | |
| Proceeds from new securitizations | Proceeds from new securitizations | 5.6 | | 19.7 | | 7.6 | | 7.9 | | Proceeds from new securitizations | 1.4 | | 1.0 | | 0.5 | | 1.9 | |
| Contractual servicing fees received | Contractual servicing fees received | 0.1 | | — | | 0.1 | | — | | Contractual servicing fees received | — | | — | | — | | — | |
| Cash flows received on retained interests and other new cash flows | | Cash flows received on retained interests and other new cash flows | — | | — | | — | | — | |
| Purchases of previously transferred financial assets | Purchases of previously transferred financial assets | 0.1 | | — | | 0.3 | | — | | Purchases of previously transferred financial assets | — | | — | | — | | — | |
| | | | Nine Months Ended September 30, |
| | | 2022 | 2021 |
| | 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 |
| Principal securitized | | Principal securitized | $ | 5.4 | | $ | 11.3 | | $ | 5.4 | | $ | 19.8 | |
| Proceeds from new securitizations | | Proceeds from new securitizations | 5.2 | | 11.0 | | 5.6 | | 19.7 | |
| Contractual servicing fees received | | Contractual servicing fees received | 0.1 | | — | | 0.1 | | — | |
| Cash flows received on retained interests and other new cash flows | | Cash flows received on retained interests and other new cash flows | — | | 0.1 | | — | | — | |
| Purchases of previously transferred financial assets | | Purchases of previously transferred financial assets | 0.1 | | — | | 0.1 | | — | |
Note: Excludes re-securitization transactions.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $1 million and $1 million for the three and nine months ended September 30, 2022, respectively. Gains recognized on the securitization of non-agency-sponsored mortgages were $21 million and $94 million for the three and nine months ended September 30, 2022, respectively.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $2 million and $3 million for the three and nine months ended September 30, 2021, respectively. For the three and nine months ended September 30, 2021, gainsGains recognized on the securitization of non-agency-sponsored mortgages were $121 million and $423 million respectively.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $83 million and $87 million for the three and nine months ended September 30, 2020, respectively. Gains recognized on the securitization of non-agency-sponsored mortgages were $51 million and $116 million for the three and nine months ended September 30, 2020,2021, respectively.
| | | September 30, 2021 | December 31, 2020 | | September 30, 2022 | December 31, 2021 |
| | | 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) | $ | 379 | | $ | 1,777 | | $ | 500 | | $ | 315 | | $ | 1,210 | | $ | 145 | | Carrying value of retained interests(3) | $ | 647 | | $ | 1,069 | | $ | 945 | | $ | 374 | | $ | 1,452 | | $ | 955 | |
(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2) Senior interests in non-agency-sponsored mortgages include $82$35 million related to personal loan securitizations at September 30, 2021.2022.
(3) Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 20 to the Consolidated Financial Statements for more information about fair value measurements.
Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:
| | | | | | | | | | | |
| Three Months Ended September 30, 2021 |
| |
| | Non-agency-sponsored mortgages(1) |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 8.6 | % | 2.2 | % | 2.4 | % |
| Weighted average constant prepayment rate | 5.9 | % | 4.3 | % | 13.3 | % |
Weighted average anticipated net credit losses(2) | NM | 0.8 | % | 0.2 | % |
| Weighted average life | 7.4 years | 3.2 years | 4.9 years |
| | | | | | | | | | | |
| Three Months Ended September 30, 2020 |
| |
| | Non-agency-sponsored mortgages(1) |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 3.5 | % | 1.8 | % | NM |
| Weighted average constant prepayment rate | 29.7 | % | 2.5 | % | NM |
Weighted average anticipated net credit losses(2) | NM | 0.2 | % | NM |
| Weighted average life | 4.2 years | 3.9 years | NM |
| | | | | | | | | | | |
| Nine Months Ended September 30, 2021 |
| |
| | Non-agency-sponsored mortgages(1) |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 8.8 | % | 2.2 | % | 2.8 | % |
| Weighted average constant prepayment rate | 5.3 | % | 6.3 | % | 10.6 | % |
Weighted average anticipated net credit losses(2) | NM | 1.4 | % | 1.0 | % |
| Weighted average life | 7.6 years | 3.4 years | 5.4 years |
| | | | Three Months Ended September 30, 2022 |
| | | | Non-agency-sponsored mortgages(1) |
| | | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | | Weighted average discount rate | 9.6 | % | NM | 5.7 | % |
| Weighted average constant prepayment rate | | Weighted average constant prepayment rate | 2.6 | % | NM | 9.1 | % |
Weighted average anticipated net credit losses(2) | | Weighted average anticipated net credit losses(2) | NM | 0.7 | % |
| Weighted average life | | Weighted average life | 9.4 years | NM | 5.3 years |
| | | | Nine Months Ended September 30, 2022 |
| | | | Non-agency-sponsored mortgages(1) |
| | | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | | Weighted average discount rate | 8.2 | % | 3.4 | % | 4.2 | % |
| Weighted average constant prepayment rate | | Weighted average constant prepayment rate | 2.6 | % | 5.9 | % | 11.7 | % |
Weighted average anticipated net credit losses(2) | | Weighted average anticipated net credit losses(2) | NM | 2.9 | % | 0.5 | % |
| Weighted average life | | Weighted average life | 9.2 years | 6.5 years | 5.7 years |
| | | Nine Months Ended September 30, 2020 | |
| | | 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 | 5.2 | % | 1.8 | % | 3.0 | % | Weighted average discount rate | 8.6 | % | 2.2 | % | 2.4 | % |
| Weighted average constant prepayment rate | Weighted average constant prepayment rate | 27.9 | % | 1.8 | % | 25.0 | % | 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 | 0.7 | % | 0.5 | % | Weighted average anticipated net credit losses(2) | NM | 0.8 | % | 0.2 | % |
| Weighted average life | Weighted average life | 4.5 years | 4.2 years | 2.3 years | Weighted average life | 7.4 years | 3.2 years | 4.9 years |
| | | | Nine Months Ended September 30, 2021 |
| | | | Non-agency-sponsored mortgages(1) |
| | | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | | Weighted average discount rate | 8.8 | % | 2.2 | % | 2.8 | % |
| Weighted average constant prepayment rate | | 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 | 1.4 | % | 1.0 | % |
| Weighted average life | | Weighted average life | 7.6 years | 3.4 years | 5.4 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:
| | | | | | | | | | | |
| September 30, 2021 |
| |
| | Non-agency-sponsored mortgages(1) |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 6.4 | % | 13.0 | % | 3.0 | % |
| Weighted average constant prepayment rate | 11.3 | % | 6.0 | % | 7.0 | % |
Weighted average anticipated net credit losses(2) | NM | NM | 1.5 | % |
| Weighted average life | 5.7 years | 12.6 years | 18.2 years |
| | | December 31, 2020 | | September 30, 2022 |
| | | | Non-agency-sponsored mortgages(1) | | | Non-agency-sponsored mortgages(1) |
| | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests | | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | Weighted average discount rate | 5.9 | % | 7.2 | % | 4.3 | % | Weighted average discount rate | 5.9 | % | 1.5 | % | NM |
| Weighted average constant prepayment rate | Weighted average constant prepayment rate | 22.7 | % | 5.3 | % | 4.7 | % | Weighted average constant prepayment rate | 4.8 | % | 15.0 | % | NM |
Weighted average anticipated net credit losses(2) | Weighted average anticipated net credit losses(2) | NM | 1.2 | % | 1.4 | % | Weighted average anticipated net credit losses(2) | NM | 1.0 | % | NM |
| Weighted average life | Weighted average life | 4.5 years | 5.3 years | 4.7 years | Weighted average life | 8.2 years | 1.5 years | NM |
| | | | | | | | | | | |
| December 31, 2021 |
| |
| | Non-agency-sponsored mortgages(1) |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 3.7 | % | 16.2 | % | 4.0 | % |
| Weighted average constant prepayment rate | 14.5 | % | 6.8 | % | 9.0 | % |
Weighted average anticipated net credit losses(2) | NM | 1.0 | % | 2.0 | % |
| Weighted average life | 5.1 years | 8.8 years | 18.0 years |
(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
The sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions is presented in the tables below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.
| | | | | | | | | | | |
| September 30, 2021 |
| | Non-agency-sponsored mortgages |
| In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Discount rate | | | |
| Adverse change of 10% | $ | (9) | | $ | — | | $ | — | |
| Adverse change of 20% | (18) | | (1) | | (1) | |
| Constant prepayment rate | | | |
| Adverse change of 10% | (18) | | — | | — | |
| Adverse change of 20% | (35) | | — | | — | |
| Anticipated net credit losses | | | |
| Adverse change of 10% | NM | — | | — | |
| Adverse change of 20% | NM | — | | — | |
| | | | | | | | | | | |
| September 30, 2022 |
| | Non-agency-sponsored mortgages |
| In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Discount rate | | | |
| Adverse change of 10% | $ | (21) | | $ | — | | $ | — | |
| Adverse change of 20% | (40) | | — | | — | |
| Constant prepayment rate | | | |
| Adverse change of 10% | (12) | | — | | — | |
| Adverse change of 20% | (24) | | — | | — | |
| Anticipated net credit losses | | | |
| Adverse change of 10% | NM | — | | — | |
| Adverse change of 20% | NM | — | | — | |
| | | December 31, 2020 | | December 31, 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% | $ | (8) | | $ | — | | $ | (1) | | Adverse change of 10% | $ | (6) | | $ | (1) | | $ | — | |
| Adverse change of 20% | Adverse change of 20% | (15) | | (1) | | (1) | | Adverse change of 20% | (11) | | (1) | | — | |
| Constant prepayment rate | Constant prepayment rate | | Constant prepayment rate | |
| Adverse change of 10% | Adverse change of 10% | (21) | | — | | — | | Adverse change of 10% | (19) | | — | | — | |
| Adverse change of 20% | Adverse change of 20% | (40) | | — | | — | | Adverse change of 20% | (37) | | — | | — | |
| Anticipated net credit losses | Anticipated net credit losses | | Anticipated net credit losses | |
| Adverse change of 10% | Adverse change of 10% | NM | — | | — | | Adverse change of 10% | NM | — | | — | |
| Adverse change of 20% | Adverse change of 20% | NM | — | | — | | Adverse change of 20% | NM | — | | — | |
NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities:
| | | Liquidation losses | | Liquidation losses | | |
| | Securitized assets | 90 days past due | Three Months Ended September 30, | Nine Months Ended September 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 | Sept. 30, 2021 | Dec. 31, 2020 | Sept. 30, 2021 | Dec. 31, 2020 | 2021 | 2020 | 2021 | 2020 | In billions of dollars, except liquidation losses in millions | Sept. 30, 2022 | Dec. 31, 2021 | Sept. 30, 2022 | Dec. 31, 2021 | 2022 | 2021 | 2022 | 2021 |
| Securitized assets | Securitized assets | | | | | | | | Securitized assets | | | | | | | |
Residential mortgages(1) | Residential mortgages(1) | $ | 28.5 | | $ | 16.9 | | $ | 0.3 | | $ | 0.5 | | $ | 2 | | $ | 5 | | $ | 8 | | $ | 23 | | Residential mortgages(1) | $ | 29.3 | | $ | 29.2 | | $ | 0.5 | | $ | 0.4 | | $ | 1 | | $ | 2 | | $ | 3 | | $ | 8 | |
| Commercial and other | Commercial and other | 25.6 | | 23.9 | | — | | — | | — | | — | | $ | — | | — | | Commercial and other | 28.8 | | 26.2 | | — | | — | | — | | — | | — | | — | |
| Total | Total | $ | 54.1 | | $ | 40.8 | | $ | 0.3 | | $ | 0.5 | | $ | 2 | | $ | 5 | | $ | 8 | | $ | 23 | | Total | $ | 58.1 | | $ | 55.4 | | $ | 0.5 | | $ | 0.4 | | $ | 1 | | $ | 2 | | $ | 3 | | $ | 8 | |
(1) Securitized assets include $0.2 billion of personal loan securitizations as of September 30, 2021.2022.
Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $409$647 million and $334$409 million at September 30, 20212022 and 2020,2021, respectively. The MSRs correspond to principal loan balances of $48 billion and $56$48 billion as of September 30, 20212022 and 2020,2021, respectively. The following table summarizes the changes in capitalized MSRs:
| | | Three Months Ended September 30, | Nine Months Ended
September 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 | 2022 | 2021 | 2022 | 2021 |
| Balance, beginning of period | Balance, beginning of period | $ | 419 | | $ | 345 | | $ | 336 | | $ | 495 | | Balance, beginning of period | $ | 600 | | $ | 419 | | $ | 404 | | $ | 336 | |
| Originations | Originations | 8 | | 31 | | 76 | | 87 | | Originations | 25 | | 8 | | 94 | | 76 | |
| 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 | (3) | | (22) | | 49 | | (191) | | Changes in fair value of MSRs due to changes in inputs and assumptions | 37 | | (3) | | 195 | | 49 | |
Other changes(1) | Other changes(1) | (15) | | (20) | | (52) | | (57) | | Other changes(1) | (15) | | (15) | | (46) | | (52) | |
| Sales of MSRs | Sales of MSRs | — | | — | | — | | — | | Sales of MSRs | — | | — | | — | | — | |
| Balance, as of September 30 | Balance, as of September 30 | $ | 409 | | $ | 334 | | $ | 409 | | $ | 334 | | Balance, as of September 30 | $ | 647 | | $ | 409 | | $ | 647 | | $ | 409 | |
(1) Represents changes due to customer payments and passage of time.
The fair value of the MSRs is primarily affected by changes in prepayments of mortgages that result from shifts in mortgage interest rates. Specifically, higher interest rates tend to lead to declining prepayments, which causes the fair value of the MSRs to increase. In managing this risk, Citigroup
economically hedges a significant portion of the value of its MSRs through the use of interest rate derivative contracts, forward purchase and sale commitments of mortgage-backed securities and purchased securities, all classified as Trading account assets.
The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:
| | | Three Months Ended September 30, | Nine Months Ended September 30, | | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | In millions of dollars | 2021 | 2020 | 2021 | 2020 | In millions of dollars | 2022 | 2021 | 2022 | 2021 |
| Servicing fees | Servicing fees | $ | 32 | | $ | 29 | | $ | 100 | | $ | 102 | | Servicing fees | $ | 31 | | $ | 32 | | $ | 90 | | $ | 100 | |
| Late fees | Late fees | 1 | | 1 | | 2 | | 4 | Late fees | 1 | | 1 | | 3 | | 2 |
| Ancillary fees | Ancillary fees | — | | — | | — | | — | Ancillary fees | — | | — | | — | | — |
| Total MSR fees | Total MSR fees | $ | 33 | | $ | 30 | | $ | 102 | | $ | 106 | | Total MSR fees | $ | 32 | | $ | 33 | | $ | 93 | | $ | 102 | |
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 September 30, 20212022 and 2020.2021. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of September 30, 20212022 and December 31, 2020,2021, Citi held no 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 nine months ended September 30, 2021,2022, Citi transferred agency securities with a fair value of approximately $12.6$5.3 billion and $37.1$20.3 billion, respectively, to re-securitization entities compared to approximately $11.5$12.6 billion and $31.8$37.1 billion for the three and nine months ended September 30, 2020,2021, respectively.
As of September 30, 2021,2022, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $1.2$1.4 billion (including $526$747 million related to re-securitization transactions executed in 2021) compared to $1.62022), an increase from $1.2 billion as of December 31, 20202021 (including $916$641 million related to re-securitization transactions executed in 2020)2021), which is recorded in Trading account assets. The original fair values of agency re-securitization transactions in which Citi holds a retained interest as of September 30, 20212022 and December 31, 20202021 were approximately $78$76.0 billion and $83.6$78.4 billion, respectively.
As of September 30, 20212022 and December 31, 2020,2021, the Company did not consolidate any private label or agency re-securitization entities.
Citi-Administered Asset-Backed Commercial Paper Conduits
At September 30, 20212022 and December 31, 2020,2021, the commercial paper conduits administered by Citi had approximately $12.5$15.6 billion and $16.7$14.0 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $20.5$17.0 billion and $17.1$18.3 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At September 30, 20212022 and December 31, 2020,2021, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 65 and 5470 days, respectively.
The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. Each asset purchased by the conduit is structured with transaction-specific credit enhancement features provided by the third-party client seller, including over-collateralization, cash and excess spread collateral accounts, direct recourse or third-party guarantees. These credit enhancements are sized with the objective of approximating a credit rating of A or above, based on Citi’s internal risk ratings. In addition to the transaction-specific credit enhancements, the conduits, other than the government-guaranteed loan conduit, have obtained letters of credit from the Company, which equal at least 8% to 10% of the conduit’s assets with a minimum of $200 million. The letters of credit provided by the Company to the conduits total approximately $1.1$1.6 billion and $1.5$1.3 billion as of September 30, 20212022 and December 31, 2020,2021, respectively. The net result across multi-sellermultiseller 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 September 30, 20212022 and December 31, 2020,2021, the Company owned $2.5$4.6 billion and $6.6$4.9 billion, respectively, of the commercial paper issued by its administered conduits. The Company’s investments were not driven by market illiquidity and the Company is not obligated under any agreement to purchase the commercial paper issued by the conduits.
Collateralized Loan Obligations (CLOs)
There were no new securitizations during the three and nine months ended September 30, 20212022 and 2020.2021. The following table summarizes selected retained interests related to Citigroup CLOs:
| | In millions of dollars | In millions of dollars | Sept. 30, 2021 | Dec. 31, 2020 | In millions of dollars | Sept. 30, 2022 | Dec. 31, 2021 |
| Carrying value of retained interests | Carrying value of retained interests | $ | 1,519 | | $ | 1,611 | | Carrying value of retained interests | $ | 681 | | $ | 921 | |
All of Citi’s retained interests were held-to-maturity securities as of September 30, 20212022 and December 31, 2020.2021.
Municipal Securities Tender Option Bond (TOB) Trusts
At September 30, 20212022 and December 31, 2020,2021, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At September 30, 20212022 and December 31, 2020,2021, liquidity agreements provided with respect to customer TOB trusts totaled $1.5$1.4 billion and $1.6$1.5 billion, respectively, of which $0.7$0.8 billion and $0.8$0.6 billion, respectively, were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the residual owned by the customer was at least 25% of the bond value at the inception of the transaction, no reimbursement agreement was executed.
The Company also provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled $2.2$1.4 billion and $3.6$2.0 billion as of September 30, 20212022 and December 31, 2020,2021, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.
Asset-Based Financing
The primary types of Citi’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement and Citi’s maximum exposure to loss are shown below. For Citi to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.
| | | September 30, 2021 | December 31, 2020 | | September 30, 2022 | December 31, 2021 |
| In millions of dollars | In millions of dollars | Total
unconsolidated
VIE assets | Maximum
exposure to
unconsolidated VIEs | Total
unconsolidated
VIE assets | Maximum
exposure to
unconsolidated VIEs | In millions of dollars | Total
unconsolidated
VIE assets | Maximum
exposure to
unconsolidated VIEs | Total
unconsolidated
VIE assets | Maximum
exposure to
unconsolidated VIEs |
| Type | Type | | | | Type | | | |
| Commercial and other real estate | Commercial and other real estate | $ | 33,741 | | $ | 6,841 | | $ | 34,570 | | $ | 7,758 | | Commercial and other real estate | $ | 39,681 | | $ | 7,767 | | $ | 32,932 | | $ | 7,461 | |
| Corporate loans | Corporate loans | 18,465 | | 11,363 | | 12,022 | | 7,654 | | Corporate loans | 24,486 | | 14,870 | | 18,257 | | 12,581 | |
| Other (including investment funds, airlines and shipping) | Other (including investment funds, airlines and shipping) | 215,732 | | 23,120 | | 167,613 | | 20,442 | | Other (including investment funds, airlines and shipping) | 162,997 | | 26,422 | | 184,358 | | 25,528 | |
| Total | Total | $ | 267,938 | | $ | 41,324 | | $ | 214,205 | | $ | 35,854 | | Total | $ | 227,164 | | $ | 49,059 | | $ | 235,547 | | $ | 45,570 | |
19. DERIVATIVES
In the ordinary course of business, Citigroup enters into various types of derivative transactions. All derivatives are recorded in Trading account assets/Trading account liabilities on the Consolidated Balance Sheet. For additional information regarding Citi’s use of and accounting for derivatives, see Note 22 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
Information pertaining to Citigroup’s derivatives activities, based on notional amounts, is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete measure of Citi’s exposure to derivative transactions. Citi’s derivative exposure arises primarily from
market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the transactions. Moreover, notional amounts do not reflect the netting of offsetting trades. For example, if Citi enters into a receive-fixed interest rate swap with $100 million notional, and offsets this risk with an identical but opposite pay-fixed position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimis overall market risk.
In addition, aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors.
Derivative Notionals
| | | | | | | | | | | | | | | | |
| | Hedging instruments under
ASC 815 | Trading derivative instruments |
| In millions of dollars | September 30,
2021 | December 31,
2020 | September 30,
2021 | December 31,
2020 | | |
| Interest rate contracts | | | | | | |
| Swaps | $ | 283,433 | | $ | 334,351 | | $ | 20,154,428 | | $ | 17,724,147 | | | |
| Futures and forwards | — | | — | | 3,485,545 | | 4,142,514 | | | |
| Written options | — | | — | | 1,619,341 | | 1,573,483 | | | |
| Purchased options | — | | — | | 1,470,167 | | 1,418,255 | | | |
| Total interest rate contracts | $ | 283,433 | | $ | 334,351 | | $ | 26,729,481 | | $ | 24,858,399 | | | |
| Foreign exchange contracts | | | | | | |
| Swaps | $ | 50,214 | | $ | 65,709 | | $ | 6,707,996 | | $ | 6,567,304 | | | |
| Futures, forwards and spot | 54,135 | | 37,080 | | 4,778,312 | | 3,945,391 | | | |
| Written options | — | | 47 | | 746,078 | | 907,338 | | | |
| Purchased options | — | | 53 | | 740,239 | | 900,626 | | | |
| Total foreign exchange contracts | $ | 104,349 | | $ | 102,889 | | $ | 12,972,625 | | $ | 12,320,659 | | | |
| Equity contracts | | | | | | |
| Swaps | $ | — | | $ | — | | $ | 313,557 | | $ | 274,098 | | | |
| Futures and forwards | — | | — | | 92,136 | | 67,025 | | | |
| Written options | — | | — | | 585,440 | | 441,003 | | | |
| Purchased options | — | | — | | 473,549 | | 328,202 | | | |
| Total equity contracts | $ | — | | $ | — | | $ | 1,464,682 | | $ | 1,110,328 | | | |
| Commodity and other contracts | | | | | | |
| Swaps | $ | — | | $ | — | | $ | 94,768 | | $ | 80,127 | | | |
| Futures and forwards | 2,342 | | 924 | | 176,408 | | 143,175 | | | |
| Written options | — | | — | | 63,308 | | 71,376 | | | |
| Purchased options | — | | — | | 58,947 | | 67,849 | | | |
| Total commodity and other contracts | $ | 2,342 | | $ | 924 | | $ | 393,431 | | $ | 362,527 | | | |
Credit derivatives(1) | | | | | | |
| Protection sold | $ | — | | $ | — | | $ | 634,497 | | $ | 543,607 | | | |
| Protection purchased | — | | — | | 705,590 | | 612,770 | | | |
| Total credit derivatives | $ | — | | $ | — | | $ | 1,340,087 | | $ | 1,156,377 | | | |
| Total derivative notionals | $ | 390,124 | | $ | 438,164 | | $ | 42,900,306 | | $ | 39,808,290 | | | |
| | | | | | | | | | | | | | | | |
| | Hedging instruments under ASC 815 | Trading derivative instruments |
| In millions of dollars | September 30,
2022 | December 31,
2021 | September 30,
2022 | December 31,
2021 | | |
| Interest rate contracts | | | | | | |
| Swaps | $ | 241,324 | | $ | 267,035 | | $ | 23,601,980 | | $ | 21,873,538 | | | |
| Futures and forwards | — | | — | | 2,646,937 | | 2,383,702 | | | |
| Written options | — | | — | | 1,804,687 | | 1,584,451 | | | |
| Purchased options | — | | — | | 1,722,756 | | 1,428,376 | | | |
| Total interest rate contracts | $ | 241,324 | | $ | 267,035 | | $ | 29,776,360 | | $ | 27,270,067 | | | |
| Foreign exchange contracts | | | | | | |
| Swaps | $ | 44,981 | | $ | 47,298 | | $ | 6,486,067 | | $ | 6,288,193 | | | |
| Futures, forwards and spot | 40,271 | | 50,926 | | 3,877,382 | | 4,316,242 | | | |
| Written options | — | | — | | 951,315 | | 664,942 | | | |
| Purchased options | — | | — | | 938,775 | | 651,958 | | | |
| Total foreign exchange contracts | $ | 85,252 | | $ | 98,224 | | $ | 12,253,539 | | $ | 11,921,335 | | | |
| Equity contracts | | | | | | |
| Swaps | $ | — | | $ | — | | $ | 257,136 | | $ | 269,062 | | | |
| Futures and forwards | — | | — | | 85,257 | | 71,363 | | | |
| Written options | — | | — | | 520,219 | | 492,433 | | | |
| Purchased options | — | | — | | 438,795 | | 398,129 | | | |
| Total equity contracts | $ | — | | $ | — | | $ | 1,301,407 | | $ | 1,230,987 | | | |
| Commodity and other contracts | | | | | | |
| Swaps | $ | — | | $ | — | | $ | 93,580 | | $ | 91,962 | | | |
| Futures and forwards | 1,381 | | 2,096 | | 173,404 | | 157,195 | | | |
| Written options | — | | — | | 55,264 | | 51,224 | | | |
| Purchased options | — | | — | | 52,101 | | 47,868 | | | |
| Total commodity and other contracts | $ | 1,381 | | $ | 2,096 | | $ | 374,349 | | $ | 348,249 | | | |
Credit derivatives(1) | | | | | | |
| Protection sold | $ | — | | $ | — | | $ | 662,018 | | $ | 572,486 | | | |
| Protection purchased | — | | — | | 698,039 | | 645,996 | | | |
| Total credit derivatives | $ | — | | $ | — | | $ | 1,360,057 | | $ | 1,218,482 | | | |
| Total derivative notionals | $ | 327,957 | | $ | 367,355 | | $ | 45,065,712 | | $ | 41,989,120 | | | |
(1)Credit derivatives are arrangements designed to allow one party (protection purchaser) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The Company enters into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk.
The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of September 30, 20212022 and December 31, 2020.2021. Gross positive fair values are offset against gross negative fair values by counterparty, pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount if a legal opinion supporting the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.
In addition, the following tables reflect rule changes adopted by clearing organizations that require or allow entities to treat certain derivative assets, liabilities and the related variation margin as settlement of the related derivative fair values for legal and accounting purposes, as opposed to presenting gross derivative assets and liabilities that are subject to collateral, whereby the counterparties would also record a related collateral payable or receivable. As a result, the tables reflect a reduction of approximately $290 billion and $280 billion as of September 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 September 30, 2021 | Derivatives classified in
Trading account assets/liabilities(1)(2) |
| Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities |
| Over-the-counter | $ | 1,964 | | $ | 30 | |
| Cleared | 244 | | 84 | |
| | |
| Interest rate contracts | $ | 2,208 | | $ | 114 | |
| Over-the-counter | $ | 1,146 | | $ | 1,482 | |
| Cleared | 6 | | — | |
| | |
| Foreign exchange contracts | $ | 1,152 | | $ | 1,482 | |
| | |
| | |
| | |
| | |
| Total derivatives instruments designated as ASC 815 hedges | $ | 3,360 | | $ | 1,596 | |
| Derivatives instruments not designated as ASC 815 hedges | | |
| Over-the-counter | $ | 159,004 | | $ | 146,083 | |
| Cleared | 12,129 | | 10,673 | |
| Exchange traded | 55 | | 29 | |
| Interest rate contracts | $ | 171,188 | | $ | 156,785 | |
| Over-the-counter | $ | 130,707 | | $ | 128,259 | |
| Cleared | 401 | | 249 | |
| | |
| Foreign exchange contracts | $ | 131,108 | | $ | 128,508 | |
| Over-the-counter | $ | 30,147 | | $ | 38,966 | |
| Cleared | 18 | | 24 | |
| Exchange traded | 23,516 | | 23,583 | |
| Equity contracts | $ | 53,681 | | $ | 62,573 | |
| Over-the-counter | $ | 43,833 | | $ | 43,394 | |
| | |
| Exchange traded | 3,302 | | 3,824 | |
| Commodity and other contracts | $ | 47,135 | | $ | 47,218 | |
| Over-the-counter | $ | 7,237 | | $ | 7,331 | |
| Cleared | 3,005 | | 3,318 | |
| | |
| Credit derivatives | $ | 10,242 | | $ | 10,649 | |
| Total derivatives instruments not designated as ASC 815 hedges | $ | 413,354 | | $ | 405,733 | |
| Total derivatives | $ | 416,714 | | $ | 407,329 | |
Cash collateral paid/received(3) | $ | 23,216 | | $ | 18,492 | |
Less: Netting agreements(4) | (313,526) | | (313,526) | |
Less: Netting cash collateral received/paid(5) | (48,391) | | (49,460) | |
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 | | |
| | |
| Less: Cash collateral received/paid | $ | (881) | | $ | (509) | |
| Less: Non-cash collateral received/paid | (5,726) | | (13,358) | |
Total net receivables/payables(6) | $ | 71,406 | | $ | 48,968 | |
| | | | | | | | |
| In millions of dollars at September 30, 2022 | Derivatives classified in
Trading account assets/liabilities(1)(2) |
| Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities |
| Over-the-counter | $ | 601 | | $ | — | |
| Cleared | 139 | | 68 | |
| | |
| Interest rate contracts | $ | 740 | | $ | 68 | |
| Over-the-counter | $ | 2,343 | | $ | 1,806 | |
| Cleared | 14 | | — | |
| | |
| Foreign exchange contracts | $ | 2,357 | | $ | 1,806 | |
| | |
| | |
| | |
| | |
| Total derivatives instruments designated as ASC 815 hedges | $ | 3,097 | | $ | 1,874 | |
| Derivatives instruments not designated as ASC 815 hedges | | |
| Over-the-counter | $ | 131,748 | | $ | 125,570 | |
| Cleared | 57,713 | | 57,704 | |
| Exchange traded | 382 | | 323 | |
| Interest rate contracts | $ | 189,843 | | $ | 183,597 | |
| Over-the-counter | $ | 250,015 | | $ | 246,503 | |
| Cleared | 954 | | 1,005 | |
| Exchange traded | — | | 4 | |
| Foreign exchange contracts | $ | 250,969 | | $ | 247,512 | |
| Over-the-counter | $ | 28,909 | | $ | 31,335 | |
| Cleared | 32 | | 3 | |
| Exchange traded | 31,915 | | 32,568 | |
| Equity contracts | $ | 60,856 | | $ | 63,906 | |
| Over-the-counter | $ | 47,061 | | $ | 39,429 | |
| | |
| Exchange traded | 2,334 | | 3,101 | |
| Commodity and other contracts | $ | 49,395 | | $ | 42,530 | |
| Over-the-counter | $ | 6,399 | | $ | 5,343 | |
| Cleared | 3,826 | | 3,999 | |
| | |
| Credit derivatives | $ | 10,225 | | $ | 9,342 | |
| Total derivatives instruments not designated as ASC 815 hedges | $ | 561,288 | | $ | 546,887 | |
| Total derivatives | $ | 564,385 | | $ | 548,761 | |
| | |
Less: Netting agreements(3) | $ | (431,992) | | $ | (431,992) | |
Less: Netting cash collateral received/paid(4) | (34,709) | | (44,172) | |
Net receivables/payables included on the Consolidated Balance Sheet(5) | $ | 97,684 | | $ | 72,597 | |
Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet | | |
| | |
| Less: Cash collateral received/paid | $ | (1,789) | | $ | (2,034) | |
| Less: Non-cash collateral received/paid | (5,216) | | (14,274) | |
Total net receivables/payables(5) | $ | 90,679 | | $ | 56,289 | |
(1)The derivativesderivative fair values are also presented in Note 20 to the Consolidated Financial Statements.20.
(2)Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(3)Reflects the net amount of the $72,676 million and $66,883 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $49,460 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $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 $278$353 billion, $12$46 billion and $23$33 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(5)(4)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)(5)The net receivables/payables include approximately $10$7 billion of derivative asset and $12$11 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
| | In millions of dollars at December 31, 2020 | Derivatives classified in
Trading account assets/liabilities(1)(2) | |
| In millions of dollars at December 31, 2021 | | In millions of dollars at December 31, 2021 | Derivatives classified in
Trading account assets/liabilities(1)(2) |
| Derivatives instruments designated as ASC 815 hedges | Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities | Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities |
| Over-the-counter | Over-the-counter | $ | 1,781 | | $ | 161 | | Over-the-counter | $ | 1,167 | | $ | 6 | |
| Cleared | Cleared | 74 | | 319 | | Cleared | 122 | | 89 | |
| | Interest rate contracts | Interest rate contracts | $ | 1,855 | | $ | 480 | | Interest rate contracts | $ | 1,289 | | $ | 95 | |
| Over-the-counter | Over-the-counter | $ | 2,037 | | $ | 2,042 | | Over-the-counter | $ | 1,338 | | $ | 1,472 | |
| | Cleared | | Cleared | 6 | | — | |
| | Foreign exchange contracts | Foreign exchange contracts | $ | 2,037 | | $ | 2,042 | | Foreign exchange contracts | $ | 1,344 | | $ | 1,472 | |
| | Total derivatives instruments designated as ASC 815 hedges | Total derivatives instruments designated as ASC 815 hedges | $ | 3,892 | | $ | 2,522 | | Total derivatives instruments designated as ASC 815 hedges | $ | 2,633 | | $ | 1,567 | |
| Derivatives instruments not designated as ASC 815 hedges | Derivatives instruments not designated as ASC 815 hedges | | Derivatives instruments not designated as ASC 815 hedges | |
| Over-the-counter | Over-the-counter | $ | 228,519 | | $ | 209,330 | | Over-the-counter | $ | 152,524 | | $ | 138,114 | |
| Cleared | Cleared | 11,041 | | 12,563 | | Cleared | 11,579 | | 11,821 | |
| Exchange traded | Exchange traded | 46 | | 38 | | Exchange traded | 96 | | 44 | |
| Interest rate contracts | Interest rate contracts | $ | 239,606 | | $ | 221,931 | | Interest rate contracts | $ | 164,199 | | $ | 149,979 | |
| Over-the-counter | Over-the-counter | $ | 153,791 | | $ | 152,784 | | Over-the-counter | $ | 133,357 | | $ | 133,548 | |
| Cleared | Cleared | 842 | | 1,239 | | Cleared | 848 | | 278 | |
| Exchange traded | — | | 1 | | |
| | Foreign exchange contracts | Foreign exchange contracts | $ | 154,633 | | $ | 154,024 | | Foreign exchange contracts | $ | 134,205 | | $ | 133,826 | |
| Over-the-counter | Over-the-counter | $ | 29,244 | | $ | 41,036 | | Over-the-counter | $ | 23,452 | | $ | 28,352 | |
| Cleared | Cleared | 1 | | 18 | | Cleared | 19 | | — | |
| Exchange traded | Exchange traded | 21,274 | | 22,515 | | Exchange traded | 21,781 | | 21,332 | |
| Equity contracts | Equity contracts | $ | 50,519 | | $ | 63,569 | | Equity contracts | $ | 45,252 | | $ | 49,684 | |
| Over-the-counter | Over-the-counter | $ | 13,659 | | $ | 17,076 | | Over-the-counter | $ | 29,279 | | $ | 29,833 | |
| | Exchange traded | Exchange traded | 879 | | 1,017 | | Exchange traded | 1,065 | | 1,546 | |
| Commodity and other contracts | Commodity and other contracts | $ | 14,538 | | $ | 18,093 | | Commodity and other contracts | $ | 30,344 | | $ | 31,379 | |
| Over-the-counter | Over-the-counter | $ | 7,826 | | $ | 7,951 | | Over-the-counter | $ | 6,896 | | $ | 6,959 | |
| Cleared | Cleared | 1,963 | | 2,178 | | Cleared | 3,322 | | 4,056 | |
| | Credit derivatives | Credit derivatives | $ | 9,789 | | $ | 10,129 | | Credit derivatives | $ | 10,218 | | $ | 11,015 | |
| Total derivatives instruments not designated as ASC 815 hedges | Total derivatives instruments not designated as ASC 815 hedges | $ | 469,085 | | $ | 467,746 | | Total derivatives instruments not designated as ASC 815 hedges | $ | 384,218 | | $ | 375,883 | |
| Total derivatives | Total derivatives | $ | 472,977 | | $ | 470,268 | | Total derivatives | $ | 386,851 | | $ | 377,450 | |
Cash collateral paid/received(3) | $ | 32,778 | | $ | 8,196 | | |
| Less: Netting agreements(4)(3) | Less: Netting agreements(4)(3) | (364,879) | | (364,879) | | Less: Netting agreements(4)(3) | $ | (292,628) | | $ | (292,628) | |
Less: Netting cash collateral received/paid(5)(4) | Less: Netting cash collateral received/paid(5)(4) | (63,915) | | (45,628) | | Less: Netting cash collateral received/paid(5)(4) | (24,447) | | (29,306) | |
Net receivables/payables included on the Consolidated Balance Sheet(6)(5) | Net receivables/payables included on the Consolidated Balance Sheet(6)(5) | $ | 76,961 | | $ | 67,957 | | Net receivables/payables included on the Consolidated Balance Sheet(6)(5) | $ | 69,776 | | $ | 55,516 | |
| Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | | Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet | |
| | Less: Cash collateral received/paid | Less: Cash collateral received/paid | $ | (1,567) | | $ | (473) | | Less: Cash collateral received/paid | $ | (907) | | $ | (538) | |
| Less: Non-cash collateral received/paid | Less: Non-cash collateral received/paid | (7,408) | | (13,087) | | Less: Non-cash collateral received/paid | (5,777) | | (13,607) | |
Total net receivables/payables(6)(5) | Total net receivables/payables(6)(5) | $ | 67,986 | | $ | 54,397 | | Total net receivables/payables(6)(5) | $ | 63,092 | | $ | 41,371 | |
(1)The derivativesderivative fair values are also presented in Note 20 to the Consolidated Financial Statements.20.
(2)Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(3)Reflects the net amount of the $78,406 million and $72,111 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $45,628 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $63,915 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $336$259 billion, $9$14 billion and $20 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(5)(4)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)(5)The net receivables/payables include approximately $6$10 billion of derivative asset and $8$11 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
For the three and nine months ended September 30, 20212022 and 2020,2021, amounts recognized in Principal transactions in the Consolidated Statement of Income include certain derivatives not designated in a qualifying hedging relationship. Citigroup presents this disclosure by business classification, showing derivative gains and losses related to its trading activities together with gains and losses related to non-derivative instruments within the same trading portfolios, as this represents how these portfolios are risk managed. See Note 6 to the Consolidated Financial Statements for further information.
The amounts recognized in Other revenue in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains (losses) on the economically hedged items to the extent that such amounts are also recorded in Other revenue.
| | | | Gains (losses) included in
Other revenue | | Gains (losses) included in
Other revenue |
| | Three Months Ended September 30, | Nine Months Ended September 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 | 2022 | 2021 | 2022 | 2021 |
| Interest rate contracts | Interest rate contracts | $ | 9 | | $ | (3) | | $ | (66) | | $ | 171 | | Interest rate contracts | $ | 26 | | $ | 9 | | $ | 170 | | $ | (66) | |
| Foreign exchange | Foreign exchange | (26) | | 19 | | (60) | | (18) | | Foreign exchange | (33) | | (26) | | (114) | | (60) | |
| Total | Total | $ | (17) | | $ | 16 | | $ | (126) | | $ | 153 | | Total | $ | (7) | | $ | (17) | | $ | 56 | | $ | (126) | |
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 considersChanges in the premium associated withfair value of the forward points (i.e., the spot-forward difference) of forward contracts (i.e., the differential between the spot and contractual forward rates) as the cost of hedging; this amount isare excluded from the assessment of hedge effectiveness and isare generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in the fair value of cross-currency basis associated with cross-currency swaps from the assessment of hedge effectiveness and records itthem 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 entire change in the fair value of the hedging instrument is recorded in earnings, includesCitigroup excludes changes in the fair value of the forward rates, Citigroup excludes the differential between the spot and the contractual forward rates underpoints (i.e., spot-forward difference) of the futures contract from the assessment of hedge effectiveness, and it isthey are generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in the fair value of forward ratespoints from the assessment of hedge effectiveness and records itthem in Other comprehensive income.
The following table summarizes the gains (losses) on the Company’s fair value hedges:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Gains (losses) on fair value hedges(1) |
| Three Months Ended September 30, | Nine Months Ended September 30, |
| 2021 | 2020 | 2021 | 2020 |
| In millions of dollars | Other revenue | Net interest revenue | Other revenue | Net interest revenue | Other
revenue | Net interest revenue | Other revenue | Net interest revenue |
| Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | | | | | | | | |
| Interest rate hedges | $ | — | | $ | (747) | | $ | — | | $ | (1,121) | | $ | — | | $ | (4,228) | | $ | — | | $ | 5,965 | |
| Foreign exchange hedges | (724) | | — | | 1,235 | | — | | (714) | | — | | (242) | | — | |
| Commodity hedges | (166) | | — | | (3) | | — | | (732) | | — | | (94) | | — | |
| 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 | | | | | | | | |
| Interest rate hedges | $ | — | | $ | 667 | | $ | — | | $ | 955 | | $ | — | | $ | 3,934 | | $ | — | | $ | (6,173) | |
| Foreign exchange hedges | 725 | | — | | (1,235) | | — | | 715 | | — | | 242 | | — | |
| Commodity hedges | 166 | | — | | 3 | | — | | 732 | | — | | 94 | | — | |
| 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 | | | | | | | | |
| Interest rate hedges | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | (3) | | $ | — | | $ | (23) | |
Foreign exchange hedges(2) | 79 | | — | | (24) | | — | | 96 | | — | | (65) | | — | |
| Commodity hedges | 42 | | — | | 91 | | — | | (33) | | — | | 81 | | — | |
| Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges | $ | 121 | | $ | — | | $ | 67 | | $ | — | | $ | 63 | | $ | (3) | | $ | 16 | | $ | (23) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Gains (losses) on fair value hedges(1) |
| Three Months Ended September 30, | Nine Months Ended September 30, |
| 2022 | 2021 | 2022 | 2021 |
| In millions of dollars | Other revenue | Net interest income | Other revenue | Net interest income | Other
revenue | Net interest income | Other revenue | Net interest income |
| Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | | | | | | | | |
| Interest rate hedges | $ | — | | $ | (1,855) | | $ | — | | $ | (747) | | $ | — | | $ | (8,238) | | $ | — | | $ | (4,228) | |
| Foreign exchange hedges | (964) | | — | | (724) | | — | | (2,623) | | — | | (714) | | — | |
| Commodity hedges | (977) | | — | | (166) | | — | | (362) | | — | | (732) | | — | |
| Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | $ | (1,941) | | $ | (1,855) | | $ | (890) | | $ | (747) | | $ | (2,985) | | $ | (8,238) | | $ | (1,446) | | $ | (4,228) | |
| Gain (loss) on the hedged item in designated and qualifying fair value hedges | | | | | | | | |
| Interest rate hedges | $ | — | | $ | 1,793 | | $ | — | | $ | 667 | | $ | — | | $ | 8,036 | | $ | — | | $ | 3,934 | |
| Foreign exchange hedges | 964 | | — | | 725 | | — | | 2,621 | | — | | 715 | | — | |
| Commodity hedges | 977 | | — | | 166 | | — | | 362 | | — | | 732 | | — | |
| Total gain (loss) on the hedged item in designated and qualifying fair value hedges | $ | 1,941 | | $ | 1,793 | | $ | 891 | | $ | 667 | | $ | 2,983 | | $ | 8,036 | | $ | 1,447 | | $ | 3,934 | |
Net gain (loss) on the hedging derivatives excluded from
assessment of the effectiveness of fair value hedges | | | | | | | | |
| Interest rate hedges | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | (11) | | $ | — | | $ | (3) | |
Foreign exchange hedges(2) | 79 | | — | | 79 | | — | | 183 | | — | | 96 | | — | |
| Commodity hedges | 7 | | — | | 42 | | — | | 30 | | — | | (33) | | — | |
| Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges | $ | 86 | | $ | — | | $ | 121 | | $ | — | | $ | 213 | | $ | (11) | | $ | 63 | | $ | (3) | |
(1)Gain (loss) amounts for interest rate risk hedges are included in Interest income/Interest expense. The accrued interest income on fair value hedges is recorded in Net interest revenueincome and is excluded from this table.
(2)Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings. Amounts related to cross-currency basis, which are recognized in AOCI, are not reflected in the table above. The amount of cross-currency basis included in AOCI was $40 million and $116 million for the three and nine months ended September 30, 2022 and $12 million and $(14) million for the three and nine months ended September 30, 2021, and $(51) million and $(2) million for the three and nine months ended September 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 valueamount 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 September 30, 20212022 and December 31, 2020,2021, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities that would reverse through earnings in future periods.
| | In millions of dollars | 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 basis adjustment increasing (decreasing) the carrying amount |
| Active | De-designated | Active | De-designated |
| As of September 30, 2021 | | |
| As of September 30, 2022 | | As of September 30, 2022 | |
Debt securities AFS(1)(3) | Debt securities AFS(1)(3) | $ | 72,366 | | $ | 103 | | $ | 165 | | Debt securities AFS(1)(3) | $ | 97,753 | | $ | (3,207) | | $ | (383) | |
| Long-term debt | Long-term debt | 155,659 | | 1,804 | | 4,061 | | Long-term debt | 139,620 | | (6,706) | | (1,879) | |
| As of December 31, 2020 | | |
| As of December 31, 2021 | | As of December 31, 2021 | |
Debt securities AFS(2)(3) | Debt securities AFS(2)(3) | $ | 81,082 | | $ | 28 | | $ | 342 | | Debt securities AFS(2)(3) | $ | 62,733 | | $ | 149 | | $ | 212 | |
| Long-term debt | Long-term debt | 169,026 | | 5,554 | | 4,989 | | Long-term debt | 149,305 | | 623 | | 3,936 | |
(1)These amounts include a cumulative basis adjustment of $76$(113) million for active hedges and $(118)$(316) million for de-designated hedges as of September 30, 2021,2022, related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $7 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $30 billion as of September 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$11 billion as of September 30, 2022) in a last-of-layer hedging relationship.
(2)These amounts include a cumulative basis adjustment of $24 million for active hedges and $(92) million for de-designated hedges as of December 31, 2021, related to certain prepayable financial assets designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $6 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $25 billion as of December 31, 2020)2021) in a last-of-layer hedging relationship.
(3)Carrying amount represents the amortized cost.
Cash Flow Hedges
Citigroup hedges the variability of forecasted cash flows due to changes in contractually specified interest rates associated with floating-rate assets/liabilities and other forecasted transactions. These cash flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis.
For cash flow hedges, the entire change in the fair value of the hedging derivative is recognized in AOCI and then reclassified to earnings in the same period that the forecasted hedged cash flows impact earnings. The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of September 30, 20212022 is approximately $1$(1.6) 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.17.
| | | | Three Months Ended September 30, | Nine Months Ended September 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 | 2022 | 2021 | 2022 | 2021 |
Amount of gain (loss) recognized in AOCI on derivatives | Amount of gain (loss) recognized in AOCI on derivatives | | | | | Amount of gain (loss) recognized in AOCI on derivatives | | | | |
| Interest rate contracts | Interest rate contracts | $ | 19 | | $ | (52) | | $ | (397) | | $ | 2,739 | | Interest rate contracts | $ | (1,196) | | $ | 19 | | $ | (3,637) | | $ | (397) | |
| Foreign exchange contracts | Foreign exchange contracts | (16) | | — | | (16) | | (16) | | Foreign exchange contracts | 29 | | (16) | | 45 | | (16) | |
Total gain (loss) recognized in AOCI | Total gain (loss) recognized in AOCI | $ | 3 | | $ | (52) | | $ | (413) | | $ | 2,723 | | Total gain (loss) recognized in AOCI | $ | (1,167) | | $ | 3 | | $ | (3,592) | | $ | (413) | |
|
| 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 | $ | — | | $ | 269 | | $ | — | | $ | 256 | | $ | — | | $ | 809 | | $ | — | | $ | 459 | | Interest rate contracts | $ | — | | $ | (141) | | $ | — | | $ | 269 | | $ | — | | $ | 344 | | $ | — | | $ | 809 | |
| Foreign exchange contracts | Foreign exchange contracts | (1) | | — | | (1) | | — | | (3) | | — | | (3) | | — | | Foreign exchange contracts | (1) | | — | | (1) | | — | | (3) | | — | | (3) | | — | |
Total gain (loss) reclassified from AOCI into earnings | Total gain (loss) reclassified from AOCI into earnings | $ | (1) | | $ | 269 | | $ | (1) | | $ | 256 | | $ | (3) | | $ | 809 | | $ | (3) | | $ | 459 | | Total gain (loss) reclassified from AOCI into earnings | $ | (1) | | $ | (141) | | $ | (1) | | $ | 269 | | $ | (3) | | $ | 344 | | $ | (3) | | $ | 809 | |
Net pretax change in cash flow hedges included within AOCI | Net pretax change in cash flow hedges included within AOCI | | $ | (265) | | | $ | (307) | | | $ | (1,219) | | | $ | 2,267 | | Net pretax change in cash flow hedges included within AOCI | | $ | (1,025) | | | $ | (265) | | | $ | (3,933) | | | $ | (1,219) | |
(1)All amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest revenue)income). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest revenueincome in the Consolidated Statement of Income.
Net Investment Hedges
Citi uses foreign currency forwards, cross-currency swaps, options and foreign currency-denominated debt instruments to manage the foreign exchange risk associated with Citi’s equity investments in several non-U.S.-dollar-functional-currency foreign subsidiaries. Citi records the change in the fair value of these hedging instruments and the translation adjustment for the investments in these foreign subsidiaries in Foreign currency translation adjustment within AOCI.
The pretax gain (loss) recorded in Foreign currency translation adjustment within AOCI, related to net investment hedges, was $812 million and $1.5 billion for the three and nine months ended September 30, 2022 and $700 million and $831 million for the three and nine months ended September 30, 2021, and $(450) million and $882 million for therespectively. The three and nine months ended September 30, 2020, respectively.2022 include a $1.0 million pretax gain and $46 million pretax loss related to net investment hedges, respectively, which were reclassified from AOCI into earnings (recorded in Other revenue).
Credit Derivatives
The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:
| | | Fair values | Notionals | | Fair values | Notionals |
| In millions of dollars at September 30, 2021 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold | |
| In millions of dollars at September 30, 2022 | | In millions of dollars at September 30, 2022 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold |
| By industry of counterparty | By industry of counterparty | | | | By industry of counterparty | | | |
| Banks | Banks | $ | 2,384 | | $ | 3,060 | | $ | 112,636 | | $ | 108,122 | | Banks | $ | 2,367 | | $ | 2,985 | | $ | 109,040 | | $ | 109,216 | |
| Broker-dealers | Broker-dealers | 1,984 | | 1,229 | | 50,752 | | 44,525 | | Broker-dealers | 2,135 | | 1,415 | | 46,379 | | 42,384 | |
| Non-financial | Non-financial | 125 | | 75 | | 6,056 | | 2,635 | | Non-financial | 64 | | 8 | | 2,147 | | 1,888 | |
Insurance and other financial
institutions | Insurance and other financial
institutions | 5,749 | | 6,285 | | 536,146 | | 479,215 | | Insurance and other financial institutions | 5,659 | | 4,934 | | 540,473 | | 508,530 | |
| Total by industry of counterparty | Total by industry of counterparty | $ | 10,242 | | $ | 10,649 | | $ | 705,590 | | $ | 634,497 | | Total by industry of counterparty | $ | 10,225 | | $ | 9,342 | | $ | 698,039 | | $ | 662,018 | |
| By instrument | By instrument | | | | By instrument | | | |
| Credit default swaps and options | Credit default swaps and options | $ | 9,609 | | $ | 9,927 | | $ | 689,107 | | $ | 626,484 | | Credit default swaps and options | $ | 8,366 | | $ | 8,547 | | $ | 682,184 | | $ | 654,560 | |
| Total return swaps and other | Total return swaps and other | 633 | | 722 | | 16,483 | | 8,013 | | Total return swaps and other | 1,859 | | 795 | | 15,855 | | 7,458 | |
| Total by instrument | Total by instrument | $ | 10,242 | | $ | 10,649 | | $ | 705,590 | | $ | 634,497 | | Total by instrument | $ | 10,225 | | $ | 9,342 | | $ | 698,039 | | $ | 662,018 | |
| By rating of reference entity | By rating of reference entity | | | | By rating of reference entity | | | |
| Investment grade | Investment grade | $ | 4,179 | | $ | 4,053 | | $ | 541,747 | | $ | 478,178 | | Investment grade | $ | 4,534 | | $ | 3,742 | | $ | 540,193 | | $ | 508,631 | |
| Non-investment grade | Non-investment grade | 6,063 | | 6,596 | | 163,843 | | 156,319 | | Non-investment grade | 5,691 | | 5,600 | | 157,846 | | 153,387 | |
| Total by rating of reference entity | Total by rating of reference entity | $ | 10,242 | | $ | 10,649 | | $ | 705,590 | | $ | 634,497 | | Total by rating of reference entity | $ | 10,225 | | $ | 9,342 | | $ | 698,039 | | $ | 662,018 | |
| By maturity | By maturity | | | | By maturity | | | |
| Within 1 year | Within 1 year | $ | 783 | | $ | 1,274 | | $ | 131,085 | | $ | 121,324 | | Within 1 year | $ | 2,276 | | $ | 1,918 | | $ | 153,088 | | $ | 159,624 | |
| From 1 to 5 years | From 1 to 5 years | 6,188 | | 6,192 | | 460,850 | | 419,029 | | From 1 to 5 years | 5,319 | | 4,878 | | 461,986 | | 422,941 | |
| After 5 years | After 5 years | 3,271 | | 3,183 | | 113,655 | | 94,144 | | After 5 years | 2,630 | | 2,546 | | 82,965 | | 79,453 | |
| Total by maturity | Total by maturity | $ | 10,242 | | $ | 10,649 | | $ | 705,590 | | $ | 634,497 | | Total by maturity | $ | 10,225 | | $ | 9,342 | | $ | 698,039 | | $ | 662,018 | |
(1)The fair value amount receivable is composed of $3,729$8,304 million under protection purchased and $6,513$1,921 million under protection sold.
(2)The fair value amount payable is composed of $7,244$2,170 million under protection purchased and $3,405$7,172 million under protection sold.
| | | | Fair values | Notionals | | Fair values | Notionals |
| In millions of dollars at December 31, 2020 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold | |
| In millions of dollars at December 31, 2021 | | In millions of dollars at December 31, 2021 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold |
| By industry of counterparty | By industry of counterparty | | | | By industry of counterparty | | | |
| Banks | Banks | $ | 2,902 | | $ | 3,187 | | $ | 117,685 | | $ | 120,739 | | Banks | $ | 2,375 | | $ | 3,031 | | $ | 108,415 | | $ | 103,756 | |
| Broker-dealers | Broker-dealers | 1,770 | | 1,215 | | 46,928 | | 44,692 | | Broker-dealers | 1,962 | | 1,139 | | 44,364 | | 40,068 | |
| Non-financial | Non-financial | 109 | | 90 | | 5,740 | | 2,217 | | Non-financial | 113 | | 306 | | 2,785 | | 2,728 | |
Insurance and other financial
institutions | Insurance and other financial
institutions | 5,008 | | 5,637 | | 442,417 | | 375,959 | | Insurance and other financial institutions | 5,768 | | 6,539 | | 490,432 | | 425,934 | |
| Total by industry of counterparty | Total by industry of counterparty | $ | 9,789 | | $ | 10,129 | | $ | 612,770 | | $ | 543,607 | | Total by industry of counterparty | $ | 10,218 | | $ | 11,015 | | $ | 645,996 | | $ | 572,486 | |
| By instrument | By instrument | | | | By instrument | | | |
| Credit default swaps and options | Credit default swaps and options | $ | 9,254 | | $ | 9,254 | | $ | 599,633 | | $ | 538,426 | | Credit default swaps and options | $ | 9,923 | | $ | 10,234 | | $ | 628,136 | | $ | 565,131 | |
| Total return swaps and other | Total return swaps and other | 535 | | 875 | | 13,137 | | 5,181 | | Total return swaps and other | 295 | | 781 | | 17,860 | | 7,355 | |
| Total by instrument | Total by instrument | $ | 9,789 | | $ | 10,129 | | $ | 612,770 | | $ | 543,607 | | Total by instrument | $ | 10,218 | | $ | 11,015 | | $ | 645,996 | | $ | 572,486 | |
| By rating of reference entity | By rating of reference entity | | | | By rating of reference entity | | | |
| Investment grade | Investment grade | $ | 4,136 | | $ | 4,037 | | $ | 478,643 | | $ | 418,147 | | Investment grade | $ | 4,149 | | $ | 4,258 | | $ | 511,652 | | $ | 448,944 | |
| Non-investment grade | Non-investment grade | 5,653 | | 6,092 | | 134,127 | | 125,460 | | Non-investment grade | 6,069 | | 6,757 | | 134,344 | | 123,542 | |
| Total by rating of reference entity | Total by rating of reference entity | $ | 9,789 | | $ | 10,129 | | $ | 612,770 | | $ | 543,607 | | Total by rating of reference entity | $ | 10,218 | | $ | 11,015 | | $ | 645,996 | | $ | 572,486 | |
| By maturity | By maturity | | | | By maturity | | | |
| Within 1 year | Within 1 year | $ | 914 | | $ | 1,355 | | $ | 134,080 | | $ | 125,464 | | Within 1 year | $ | 878 | | $ | 1,462 | | $ | 133,866 | | $ | 115,603 | |
| From 1 to 5 years | From 1 to 5 years | 6,022 | | 5,991 | | 421,682 | | 374,376 | | From 1 to 5 years | 6,674 | | 6,638 | | 454,617 | | 413,174 | |
| After 5 years | After 5 years | 2,853 | | 2,783 | | 57,008 | | 43,767 | | After 5 years | 2,666 | | 2,915 | | 57,513 | | 43,709 | |
| Total by maturity | Total by maturity | $ | 9,789 | | $ | 10,129 | | $ | 612,770 | | $ | 543,607 | | Total by maturity | $ | 10,218 | | $ | 11,015 | | $ | 645,996 | | $ | 572,486 | |
(1) The fair value amount receivable is composed of $3,514$3,705 million under protection purchased and $6,275$6,513 million under protection sold.
(2) The fair value amount payable is composed of $7,037$7,354 million under protection purchased and $3,092$3,661 million under protection sold.
Credit Risk-Related Contingent Features in Derivatives
Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates.
The fair value (excluding CVA) of all derivative instruments with credit risk-related contingent features that were in a net liability position at September 30, 20212022 and December 31, 20202021 was $20$23 billion and $25$19 billion, respectively. The Company posted $18$20 billion and $22$16 billion as collateral for this exposure in the normal course of business as of September 30, 20212022 and December 31, 2020,2021, respectively.
A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank were downgraded a single notch by all 3three major rating agencies as of September 30, 2021,2022, the Company could be required to post an additional $1.5$1.3 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 $0.1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1.6$1.4 billion.
Derivatives Accompanied by Financial Asset Transfers
For transfers of financial assets accounted for as a sale by the Company, and for which the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed with the same counterparty in contemplation of the initial sale (and still outstanding), both the asset amounts derecognized and the gross cash proceeds received as of the date of derecognition were $1.6$0.7 billion and $2.0$2.9 billion as of September 30, 20212022 and December 31, 2020,2021, respectively.
At September 30, 2021,2022, the fair value of these previously derecognized assets was $1.6$0.7 billion. The fair value of the total return swaps as of September 30, 20212022 was $53$22 million recorded as gross derivative assets and $18$30 million recorded as gross derivative liabilities. At December 31, 2020,2021, the fair value of these previously derecognized assets was $2.2$2.9 billion, and the fair value of the total return swaps was $135$13 million recorded as gross derivative assets and $7$58 million recorded as gross derivative liabilities.
The balances for the total return swaps are on a gross basis, before the application of counterparty and cash collateral netting, and are included primarily as equity derivatives in the tabular disclosures in this Note.
20. FAIR VALUE MEASUREMENT
For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
Market Valuation Adjustments
The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments at September 30, 20212022 and December 31, 2020:2021:
| | | | Credit and funding valuation adjustments
contra-liability (contra-asset) | | Credit and funding
valuation adjustments
contra-liability (contra-asset) |
| In millions of dollars | In millions of dollars | September 30,
2021 | December 31,
2020 | In millions of dollars | September 30,
2022 | December 31,
2021 |
| Counterparty CVA | Counterparty CVA | $ | (671) | | $ | (800) | | Counterparty CVA | $ | (1,020) | | $ | (705) | |
| Asset FVA | Asset FVA | (459) | | (525) | | Asset FVA | (718) | | (433) | |
| Citigroup (own credit) CVA | Citigroup (own credit) CVA | 375 | | 403 | | Citigroup (own credit) CVA | 775 | | 379 | |
| Liability FVA | Liability FVA | 80 | | 67 | | Liability FVA | 257 | | 110 | |
| Total CVA—derivative instruments | $ | (675) | | $ | (855) | | |
| Total CVA and FVA—derivative instruments | | Total CVA and FVA—derivative instruments | $ | (706) | | $ | (649) | |
The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:
| | | | Credit/funding/debt valuation
adjustments gain (loss) | | Credit/funding/debt valuation
adjustments gain (loss) |
| | Three Months Ended September 30, | Nine Months Ended September 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 | 2022 | 2021 | 2022 | 2021 |
| Counterparty CVA | Counterparty CVA | $ | 25 | | $ | 104 | | $ | 68 | | $ | (134) | | Counterparty CVA | $ | (10) | | $ | 25 | | $ | (211) | | $ | 68 | |
| Asset FVA | Asset FVA | (23) | | 105 | | 71 | | (316) | | Asset FVA | (96) | | (23) | | (247) | | 71 | |
| Own credit CVA | Own credit CVA | 34 | | (62) | | (44) | | 200 | | Own credit CVA | 29 | | 34 | | 327 | | (44) | |
| Liability FVA | Liability FVA | (63) | | (36) | | (52) | | 87 | | Liability FVA | 58 | | (63) | | 148 | | (52) | |
| Total CVA—derivative instruments | $ | (27) | | $ | 111 | | $ | 43 | | $ | (163) | | |
| Total CVA and FVA—derivative instruments | | Total CVA and FVA—derivative instruments | $ | (19) | | $ | (27) | | $ | 17 | | $ | 43 | |
DVA related to own FVO liabilities(1) | DVA related to own FVO liabilities(1) | $ | (107) | | $ | (452) | | $ | (256) | | $ | 801 | | DVA related to own FVO liabilities(1) | $ | 1,159 | | $ | (107) | | $ | 4,800 | | $ | (256) | |
| Total CVA and DVA | $ | (134) | | $ | (341) | | $ | (213) | | $ | 638 | | |
| Total CVA, DVA and FVA | | Total CVA, DVA and FVA | $ | 1,140 | | $ | (134) | | $ | 4,817 | | $ | (213) | |
(1) See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
Fair Value Hierarchy
ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:
•Level 1: Quoted prices for identical instruments in active markets.
•Level 2: Quoted prices for similar instruments in active markets, 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 spreadfair value hierarchy classification approach typically utilizes rules-based and the amount of adjustment necessary when comparing similar transactions are all factors in determining the relevance of observed prices in those markets.data-driven selection criteria to determine whether an instrument is classified as Level 1, Level 2 or Level 3:
•A Level 2 classification is assigned where there is observability of prices/market inputs to models, or where any unobservable inputs are not significant to the valuation. The determination of whether an input is considered observable is based on the availability of independent market data and its corroboration, for example through observed transactions in the market.
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 September 30, 20212022 and December 31, 2020.2021. The Company may hedge
positions that have been classified in the Level 3 category with other financial instruments (hedging instruments) that may be classified as Level 3, but also with financial instruments classified as Level 1 or Level 2. The effects of these hedges are presented gross in the following tables:
Fair Value Levels
| | In millions of dollars at September 30, 2021 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance | |
| In millions of dollars at September 30, 2022 | | In millions of dollars at September 30, 2022 | 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 | $ | — | | $ | 328,482 | | $ | 257 | | $ | 328,739 | | $ | (116,539) | | $ | 212,200 | | Securities borrowed and purchased under agreements to resell | $ | — | | $ | 326,645 | | $ | 141 | | $ | 326,786 | | $ | (97,767) | | $ | 229,019 | |
| 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 | — | | 29,577 | | 432 | | 30,009 | | — | | 30,009 | | U.S. government-sponsored agency guaranteed | — | | 30,517 | | 672 | | 31,189 | | — | | 31,189 | |
| Residential | Residential | — | | 415 | | 61 | | 476 | | — | | 476 | | Residential | 1 | | 853 | | 142 | | 996 | | — | | 996 | |
| Commercial | Commercial | — | | 656 | | 120 | | 776 | | — | | 776 | | Commercial | — | | 817 | | 116 | | 933 | | — | | 933 | |
| Total trading mortgage-backed securities | Total trading mortgage-backed securities | $ | — | | $ | 30,648 | | $ | 613 | | $ | 31,261 | | $ | — | | $ | 31,261 | | Total trading mortgage-backed securities | $ | 1 | | $ | 32,187 | | $ | 930 | | $ | 33,118 | | $ | — | | $ | 33,118 | |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | $ | 42,689 | | $ | 4,621 | | $ | — | | $ | 47,310 | | $ | — | | $ | 47,310 | | U.S. Treasury and federal agency securities | $ | 77,742 | | $ | 2,740 | | $ | — | | $ | 80,482 | | $ | — | | $ | 80,482 | |
| State and municipal | State and municipal | — | | 1,570 | | 71 | | 1,641 | | — | | 1,641 | | State and municipal | — | | 2,068 | | 22 | | 2,090 | | — | | 2,090 | |
| Foreign government | Foreign government | 54,922 | | 27,517 | | 33 | | 82,472 | | — | | 82,472 | | Foreign government | 41,515 | | 27,530 | | 380 | | 69,425 | | — | | 69,425 | |
| Corporate | Corporate | 1,914 | | 20,833 | | 541 | | 23,288 | | — | | 23,288 | | Corporate | 1,530 | | 14,164 | | 460 | | 16,154 | | — | | 16,154 | |
| Equity securities | Equity securities | 49,713 | | 10,350 | | 205 | | 60,268 | | — | | 60,268 | | Equity securities | 33,153 | | 7,740 | | 187 | | 41,080 | | — | | 41,080 | |
| Asset-backed securities | Asset-backed securities | — | | 804 | | 664 | | 1,468 | | — | | 1,468 | | Asset-backed securities | — | | 1,557 | | 612 | | 2,169 | | — | | 2,169 | |
Other trading assets(2) | Other trading assets(2) | — | | 16,278 | | 915 | | 17,193 | | — | | 17,193 | | Other trading assets(2) | 1 | | 15,378 | | 679 | | 16,058 | | — | | 16,058 | |
| Total trading non-derivative assets | Total trading non-derivative assets | $ | 149,238 | | $ | 112,621 | | $ | 3,042 | | $ | 264,901 | | $ | — | | $ | 264,901 | | Total trading non-derivative assets | $ | 153,942 | | $ | 103,364 | | $ | 3,270 | | $ | 260,576 | | $ | — | | $ | 260,576 | |
| Trading derivatives | Trading derivatives | | | Trading derivatives | | |
| Interest rate contracts | Interest rate contracts | $ | 59 | | $ | 170,175 | | $ | 3,162 | | $ | 173,396 | | | | Interest rate contracts | $ | 730 | | $ | 186,092 | | $ | 3,761 | | $ | 190,583 | | | |
| Foreign exchange contracts | Foreign exchange contracts | — | | 131,744 | | 516 | | 132,260 | | | | Foreign exchange contracts | — | | 252,468 | | 858 | | 253,326 | | | |
| Equity contracts | Equity contracts | — | | 51,894 | | 1,787 | | 53,681 | | | | Equity contracts | 57 | | 58,446 | | 2,353 | | 60,856 | | | |
| Commodity contracts | Commodity contracts | — | | 45,933 | | 1,202 | | 47,135 | | | | Commodity contracts | — | | 47,989 | | 1,406 | | 49,395 | | | |
| Credit derivatives | Credit derivatives | — | | 9,432 | | 810 | | 10,242 | | | | Credit derivatives | — | | 8,802 | | 1,423 | | 10,225 | | | |
| Total trading derivatives—before netting and collateral | Total trading derivatives—before netting and collateral | $ | 59 | | $ | 409,178 | | $ | 7,477 | | $ | 416,714 | | | | Total trading derivatives—before netting and collateral | $ | 787 | | $ | 553,797 | | $ | 9,801 | | $ | 564,385 | | | |
Cash collateral paid(3) | | $ | 23,216 | | | | |
| Netting agreements | Netting agreements | | $ | (313,526) | | | Netting agreements | | $ | (431,992) | | |
| Netting of cash collateral received | Netting of cash collateral received | | (48,391) | | | Netting of cash collateral received | | (34,709) | | |
| Total trading derivatives—after netting and collateral | Total trading derivatives—after netting and collateral | $ | 59 | | $ | 409,178 | | $ | 7,477 | | $ | 439,930 | | $ | (361,917) | | $ | 78,013 | | Total trading derivatives—after netting and collateral | $ | 787 | | $ | 553,797 | | $ | 9,801 | | $ | 564,385 | | $ | (466,701) | | $ | 97,684 | |
| Investments | Investments | | | Investments | | |
| Mortgage-backed securities | Mortgage-backed securities | | | Mortgage-backed securities | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | $ | — | | $ | 36,617 | | $ | 52 | | $ | 36,669 | | $ | — | | $ | 36,669 | | U.S. government-sponsored agency guaranteed | $ | — | | $ | 11,305 | | $ | 26 | | $ | 11,331 | | $ | — | | $ | 11,331 | |
| Residential | Residential | — | | 351 | | 12 | | 363 | | — | | 363 | | Residential | — | | 437 | | 39 | | 476 | | — | | 476 | |
| Commercial | Commercial | — | | 34 | | — | | 34 | | — | | 34 | | Commercial | — | | 4 | | — | | 4 | | — | | 4 | |
| Total investment mortgage-backed securities | Total investment mortgage-backed securities | $ | — | | $ | 37,002 | | $ | 64 | | $ | 37,066 | | $ | — | | $ | 37,066 | | Total investment mortgage-backed securities | $ | — | | $ | 11,746 | | $ | 65 | | $ | 11,811 | | $ | — | | $ | 11,811 | |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | $ | 123,004 | | $ | 170 | | $ | — | | $ | 123,174 | | $ | — | | $ | 123,174 | | U.S. Treasury and federal agency securities | $ | 89,618 | | $ | 45 | | $ | — | | $ | 89,663 | | $ | — | | $ | 89,663 | |
| State and municipal | State and municipal | — | | 1,949 | | 735 | | 2,684 | | — | | 2,684 | | State and municipal | — | | 1,578 | | 575 | | 2,153 | | — | | 2,153 | |
| Foreign government | Foreign government | 65,314 | | 54,068 | | 812 | | 120,194 | | — | | 120,194 | | Foreign government | 51,713 | | 66,398 | | 860 | | 118,971 | | — | | 118,971 | |
| Corporate | Corporate | 3,577 | | 3,157 | | 192 | | 6,926 | | — | | 6,926 | | Corporate | 2,437 | | 2,739 | | 337 | | 5,513 | | — | | 5,513 | |
| Marketable equity securities | Marketable equity securities | 243 | | 136 | | — | | 379 | | — | | 379 | | Marketable equity securities | 233 | | 188 | | 10 | | 431 | | — | | 431 | |
| Asset-backed securities | Asset-backed securities | — | | 261 | | 3 | | 264 | | — | | 264 | | Asset-backed securities | — | | 274 | | 2 | | 276 | | — | | 276 | |
| Other debt securities | Other debt securities | — | | 5,265 | | — | | 5,265 | | — | | 5,265 | | Other debt securities | — | | 3,756 | | — | | 3,756 | | — | | 3,756 | |
Non-marketable equity securities(4) | — | | 47 | | 347 | | 394 | | — | | 394 | | |
Non-marketable equity securities(3) | | Non-marketable equity securities(3) | — | | 9 | | 384 | | 393 | | — | | 393 | |
| Total investments | Total investments | $ | 192,138 | | $ | 102,055 | | $ | 2,153 | | $ | 296,346 | | $ | — | | $ | 296,346 | | Total investments | $ | 144,001 | | $ | 86,733 | | $ | 2,233 | | $ | 232,967 | | $ | — | | $ | 232,967 | |
Table continues on the next page.
| | In millions of dollars at September 30, 2021 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance | |
| In millions of dollars at September 30, 2022 | | In millions of dollars at September 30, 2022 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Loans | Loans | $ | — | $ | 6,437 | $ | 722 | $ | 7,159 | | $ | — | | $ | 7,159 | | Loans | $ | — | $ | 3,244 | $ | 635 | $ | 3,879 | | $ | — | | $ | 3,879 | |
| Mortgage servicing rights | Mortgage servicing rights | — | 409 | 409 | | — | | 409 | | Mortgage servicing rights | — | 647 | 647 | | — | | 647 | |
| | Non-trading derivatives and other financial assets measured on a recurring basis | Non-trading derivatives and other financial assets measured on a recurring basis | $ | 4,347 | $ | 7,462 | $ | 86 | $ | 11,895 | | $ | — | | $ | 11,895 | | Non-trading derivatives and other financial assets measured on a recurring basis | $ | 3,318 | $ | 6,579 | $ | 50 | $ | 9,947 | | $ | — | | $ | 9,947 | |
| Total assets | Total assets | $ | 345,782 | $ | 966,235 | $ | 14,146 | $ | 1,349,379 | | $ | (478,456) | | $ | 870,923 | | Total assets | $ | 302,048 | $ | 1,080,362 | $ | 16,777 | $ | 1,399,187 | | $ | (564,468) | | $ | 834,719 | |
Total as a percentage of gross assets(5)(4) | Total as a percentage of gross assets(5)(4) | 26.1% | 72.9% | 1.1% | | | Total as a percentage of gross assets(5)(4) | 21.6% | 77.2% | 1.2% | | |
| Liabilities | Liabilities | | | Liabilities | | |
| Interest-bearing deposits | Interest-bearing deposits | $ | — | $ | 2,531 | $ | 182 | $ | 2,713 | | $ | — | | $ | 2,713 | | Interest-bearing deposits | $ | — | $ | 2,424 | $ | 16 | $ | 2,440 | | $ | — | | $ | 2,440 | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | — | 184,142 | 656 | 184,798 | | (109,536) | | 75,262 | | Securities loaned and sold under agreements to repurchase | — | 155,912 | 997 | 156,909 | | (83,802) | | 73,107 | |
| Trading account liabilities | Trading account liabilities | | | Trading account liabilities | | |
| Securities sold, not yet purchased | Securities sold, not yet purchased | 98,685 | 17,671 | 88 | 116,444 | | — | | 116,444 | | Securities sold, not yet purchased | 108,425 | 15,350 | 103 | 123,878 | | — | | 123,878 | |
| Other trading liabilities | Other trading liabilities | — | 7 | — | 7 | | — | | 7 | | Other trading liabilities | — | 2 | 4 | | — | | 4 | |
| Total trading liabilities | Total trading liabilities | $ | 98,685 | $ | 17,678 | $ | 88 | $ | 116,451 | | $ | — | | $ | 116,451 | | Total trading liabilities | $ | 108,425 | $ | 15,352 | $ | 105 | $ | 123,882 | | $ | — | | $ | 123,882 | |
| Trading derivatives | Trading derivatives | | | Trading derivatives | | |
| Interest rate contracts | Interest rate contracts | $ | 45 | $ | 155,183 | $ | 1,671 | $ | 156,899 | | | | Interest rate contracts | $ | 358 | $ | 179,520 | $ | 3,787 | $ | 183,665 | | | |
| Foreign exchange contracts | Foreign exchange contracts | 3 | 129,263 | 724 | 129,990 | | | | Foreign exchange contracts | — | 248,737 | 581 | 249,318 | | | |
| Equity contracts | Equity contracts | 26 | 58,787 | 3,760 | 62,573 | | | | Equity contracts | 84 | 61,530 | 2,292 | 63,906 | | | |
| Commodity contracts | Commodity contracts | — | 46,434 | 784 | 47,218 | | | | Commodity contracts | — | 41,377 | 1,153 | 42,530 | | | |
| Credit derivatives | Credit derivatives | — | 9,889 | 760 | 10,649 | | | | Credit derivatives | — | 7,806 | 1,536 | 9,342 | | | |
| Total trading derivatives—before netting and collateral | Total trading derivatives—before netting and collateral | $ | 74 | $ | 399,556 | $ | 7,699 | $ | 407,329 | | | | Total trading derivatives—before netting and collateral | $ | 442 | $ | 538,970 | $ | 9,349 | $ | 548,761 | | | |
Cash collateral received(6) | | $ | 18,492 | | | | |
| Netting agreements | Netting agreements | | $ | (313,526) | | | Netting agreements | | $ | (431,992) | | |
| Netting of cash collateral paid | Netting of cash collateral paid | | (49,460) | | | Netting of cash collateral paid | | (44,172) | | |
| Total trading derivatives—after netting and collateral | Total trading derivatives—after netting and collateral | $ | 74 | $ | 399,556 | $ | 7,699 | $ | 425,821 | | $ | (362,986) | | $ | 62,835 | | Total trading derivatives—after netting and collateral | $ | 442 | $ | 538,970 | $ | 9,349 | $ | 548,761 | | $ | (476,164) | | $ | 72,597 | |
| Short-term borrowings | Short-term borrowings | $ | — | $ | 8,811 | $ | 3 | $ | 8,814 | | $ | — | | $ | 8,814 | | Short-term borrowings | $ | — | $ | 6,534 | $ | 35 | $ | 6,569 | | $ | — | | $ | 6,569 | |
| Long-term debt | Long-term debt | — | 52,136 | 26,042 | 78,178 | | — | | 78,178 | | Long-term debt | — | 60,115 | 31,710 | 91,825 | | — | | 91,825 | |
| | 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 | $ | 3,245 | $ | 177 | $ | 1 | $ | 3,423 | | 0 | $ | 3,423 | | Total non-trading derivatives and other financial liabilities measured on a recurring basis | $ | 3,064 | $ | 136 | $ | 13 | $ | 3,213 | | $ | — | | $ | 3,213 | |
| Total liabilities | Total liabilities | $ | 102,004 | $ | 665,031 | $ | 34,671 | $ | 820,198 | | $ | (472,522) | | $ | 347,676 | | Total liabilities | $ | 111,931 | $ | 779,443 | $ | 42,225 | $ | 933,599 | | $ | (559,966) | | $ | 373,633 | |
Total as a percentage of gross liabilities(5) | 12.7 | % | 83.0 | % | 4.3 | % | | | |
Total as a percentage of gross liabilities(4) | | Total as a percentage of gross liabilities(4) | 12.0 | % | 83.5 | % | 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.21. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)Reflects the net amount of $72,676 million of gross cash collateral paid, of which $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)(4)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)Reflects the net amount of $66,883 million of gross cash collateral received, of which $48,391 million was used to offset trading derivative assets.
Fair Value Levels
| | In millions of dollars at December 31, 2020 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance | |
| In millions of dollars at December 31, 2021 | | In millions of dollars at December 31, 2021 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Assets | Assets | | | Assets | | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | $ | — | | $ | 335,073 | | $ | 320 | | $ | 335,393 | | $ | (150,189) | | $ | 185,204 | | Securities borrowed and purchased under agreements to resell | $ | — | | $ | 342,030 | | $ | 231 | | $ | 342,261 | | $ | (125,795) | | $ | 216,466 | |
| 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 | — | | 42,903 | | 27 | | 42,930 | | — | | 42,930 | | U.S. government-sponsored agency guaranteed | — | | 34,534 | | 496 | | 35,030 | | — | | 35,030 | |
| Residential | Residential | — | | 391 | | 340 | | 731 | | — | | 731 | | Residential | 1 | | 643 | | 104 | | 748 | | — | | 748 | |
| Commercial | Commercial | — | | 893 | | 136 | | 1,029 | | — | | 1,029 | | Commercial | — | | 778 | | 81 | | 859 | | — | | 859 | |
| Total trading mortgage-backed securities | Total trading mortgage-backed securities | $ | — | | $ | 44,187 | | $ | 503 | | $ | 44,690 | | $ | — | | $ | 44,690 | | Total trading mortgage-backed securities | $ | 1 | | $ | 35,955 | | $ | 681 | | $ | 36,637 | | $ | — | | $ | 36,637 | |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | $ | 64,529 | | $ | 2,269 | | $ | — | | $ | 66,798 | | $ | — | | $ | 66,798 | | U.S. Treasury and federal agency securities | $ | 44,900 | | $ | 3,230 | | $ | 4 | | $ | 48,134 | | $ | — | | $ | 48,134 | |
| State and municipal | State and municipal | — | | 1,224 | | 94 | | 1,318 | | — | | 1,318 | | State and municipal | — | | 1,995 | | 37 | | 2,032 | | — | | 2,032 | |
| Foreign government | Foreign government | 68,195 | | 15,143 | | 51 | | 83,389 | | — | | 83,389 | | Foreign government | 39,176 | | 31,485 | | 23 | | 70,684 | | — | | 70,684 | |
| Corporate | Corporate | 1,607 | | 18,840 | | 375 | | 20,822 | | — | | 20,822 | | Corporate | 1,544 | | 16,156 | | 412 | | 18,112 | | — | | 18,112 | |
| Equity securities | Equity securities | 54,117 | | 12,289 | | 73 | | 66,479 | | — | | 66,479 | | Equity securities | 53,833 | | 10,047 | | 174 | | 64,054 | | — | | 64,054 | |
| Asset-backed securities | Asset-backed securities | — | | 776 | | 1,606 | | 2,382 | | — | | 2,382 | | Asset-backed securities | — | | 981 | | 613 | | 1,594 | | — | | 1,594 | |
Other trading assets(2) | Other trading assets(2) | — | | 11,295 | | 945 | | 12,240 | | — | | 12,240 | | Other trading assets(2) | — | | 20,346 | | 576 | | 20,922 | | — | | 20,922 | |
| 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 | $ | 139,454 | | $ | 120,195 | | $ | 2,520 | | $ | 262,169 | | $ | — | | $ | 262,169 | |
| Trading derivatives | Trading derivatives | | | Trading derivatives | | |
| Interest rate contracts | Interest rate contracts | $ | 42 | | $ | 238,026 | | $ | 3,393 | | $ | 241,461 | | | | Interest rate contracts | $ | 90 | | $ | 161,500 | | $ | 3,898 | | $ | 165,488 | | | |
| Foreign exchange contracts | Foreign exchange contracts | 2 | | 155,994 | | 674 | | 156,670 | | | | Foreign exchange contracts | — | | 134,912 | | 637 | | 135,549 | | | |
| Equity contracts | Equity contracts | 66 | | 48,362 | | 2,091 | | 50,519 | | | | Equity contracts | 41 | | 43,904 | | 1,307 | | 45,252 | | | |
| Commodity contracts | Commodity contracts | — | | 13,546 | | 992 | | 14,538 | | | | Commodity contracts | — | | 28,547 | | 1,797 | | 30,344 | | | |
| Credit derivatives | Credit derivatives | — | | 8,634 | | 1,155 | | 9,789 | | | | Credit derivatives | — | | 9,299 | | 919 | | 10,218 | | | |
| 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 | $ | 131 | | $ | 378,162 | | $ | 8,558 | | $ | 386,851 | | | |
Cash collateral paid(3) | | $ | 32,778 | | | | |
| Netting agreements | Netting agreements | | $ | (364,879) | | | Netting agreements | | $ | (292,628) | | |
| Netting of cash collateral received | | (63,915) | | | |
Netting of cash collateral received(3) | | Netting of cash collateral received(3) | | (24,447) | | |
| 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 | $ | 131 | | $ | 378,162 | | $ | 8,558 | | $ | 386,851 | | $ | (317,075) | | $ | 69,776 | |
| Investments | Investments | | | Investments | | |
| Mortgage-backed securities | Mortgage-backed securities | | | Mortgage-backed securities | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | $ | — | | $ | 43,888 | | $ | 30 | | $ | 43,918 | | $ | — | | $ | 43,918 | | U.S. government-sponsored agency guaranteed | $ | — | | $ | 33,165 | | $ | 51 | | $ | 33,216 | | $ | — | | $ | 33,216 | |
| Residential | Residential | — | | 571 | | — | | 571 | | — | | 571 | | Residential | — | | 286 | | 94 | | 380 | | — | | 380 | |
| Commercial | Commercial | — | | 50 | | — | | 50 | | — | | 50 | | Commercial | — | | 25 | | — | | 25 | | — | | 25 | |
| Total investment mortgage-backed securities | Total investment mortgage-backed securities | $ | — | | $ | 44,509 | | $ | 30 | | $ | 44,539 | | $ | — | | $ | 44,539 | | Total investment mortgage-backed securities | $ | — | | $ | 33,476 | | $ | 145 | | $ | 33,621 | | $ | — | | $ | 33,621 | |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | $ | 146,032 | | $ | 172 | | $ | — | | $ | 146,204 | | $ | — | | $ | 146,204 | | U.S. Treasury and federal agency securities | $ | 122,271 | | $ | 168 | | $ | 1 | | $ | 122,440 | | $ | — | | $ | 122,440 | |
| State and municipal | State and municipal | — | | 2,885 | | 834 | | 3,719 | | — | | 3,719 | | State and municipal | — | | 1,849 | | 772 | | 2,621 | | — | | 2,621 | |
| Foreign government | Foreign government | 77,056 | | 47,644 | | 268 | | 124,968 | | — | | 124,968 | | Foreign government | 56,842 | | 61,112 | | 786 | | 118,740 | | — | | 118,740 | |
| Corporate | Corporate | 6,326 | | 4,114 | | 60 | | 10,500 | | — | | 10,500 | | Corporate | 2,861 | | 2,871 | | 188 | | 5,920 | | — | | 5,920 | |
| Marketable equity securities | Marketable equity securities | 287 | | 228 | | — | | 515 | | — | | 515 | | Marketable equity securities | 350 | | 177 | | 16 | | 543 | | — | | 543 | |
| Asset-backed securities | Asset-backed securities | — | | 277 | | 1 | | 278 | | — | | 278 | | Asset-backed securities | — | | 300 | | 3 | | 303 | | — | | 303 | |
| Other debt securities | Other debt securities | — | | 4,876 | | — | | 4,876 | | — | | 4,876 | | Other debt securities | — | | 4,877 | | — | | 4,877 | | — | | 4,877 | |
Non-marketable equity securities(4) | Non-marketable equity securities(4) | — | | 50 | | 349 | | 399 | | — | | 399 | | Non-marketable equity securities(4) | — | | 28 | | 316 | | 344 | | — | | 344 | |
| Total investments | Total investments | $ | 229,701 | | $ | 104,755 | | $ | 1,542 | | $ | 335,998 | | $ | — | | $ | 335,998 | | Total investments | $ | 182,324 | | $ | 104,858 | | $ | 2,227 | | $ | 289,409 | | $ | — | | $ | 289,409 | |
Table continues on the next page.
| | In millions of dollars at December 31, 2020 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(2) | Net
balance | |
| In millions of dollars at December 31, 2021 | | In millions of dollars at December 31, 2021 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Loans | Loans | $ | — | $ | 4,869 | $ | 1,985 | $ | 6,854 | | $ | — | | $ | 6,854 | | Loans | $ | — | $ | 5,371 | $ | 711 | $ | 6,082 | | $ | — | | $ | 6,082 | |
| Mortgage servicing rights | Mortgage servicing rights | — | 336 | 336 | | — | | 336 | | Mortgage servicing rights | — | 404 | 404 | | — | | 404 | |
| | Non-trading derivatives and other financial assets measured on a recurring basis | Non-trading derivatives and other financial assets measured on a recurring basis | $ | 6,230 | $ | 8,383 | $ | — | $ | 14,613 | | $ | — | | $ | 14,613 | | Non-trading derivatives and other financial assets measured on a recurring basis | $ | 4,075 | $ | 8,194 | $ | 73 | $ | 12,342 | | $ | — | | $ | 12,342 | |
| Total assets | Total assets | $ | 424,489 | $ | 1,023,665 | $ | 16,135 | $ | 1,497,067 | | $ | (578,983) | | $ | 918,084 | | Total assets | $ | 325,984 | $ | 958,810 | $ | 14,724 | $ | 1,299,518 | | $ | (442,870) | | $ | 856,648 | |
Total as a percentage of gross assets(5) | Total as a percentage of gross assets(5) | 29.0% | 69.9% | 1.1% | | | Total as a percentage of gross assets(5) | 25.1% | 73.8% | 1.1% | | |
| Liabilities | Liabilities | | | Liabilities | | |
| Interest-bearing deposits | Interest-bearing deposits | $ | — | $ | 1,752 | $ | 206 | $ | 1,958 | | $ | — | | $ | 1,958 | | Interest-bearing deposits | $ | — | $ | 1,483 | $ | 183 | $ | 1,666 | | $ | — | | $ | 1,666 | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | — | 156,644 | 631 | 157,275 | | (97,069) | | 60,206 | | Securities loaned and sold under agreements to repurchase | — | 174,318 | 643 | 174,961 | | (118,267) | | 56,694 | |
| Trading account liabilities | Trading account liabilities | | | Trading account liabilities | | |
| Securities sold, not yet purchased | Securities sold, not yet purchased | 85,353 | 14,477 | 214 | 100,044 | | — | | 100,044 | | Securities sold, not yet purchased | 82,675 | 23,268 | 65 | 106,008 | | — | | 106,008 | |
| Other trading liabilities | Other trading liabilities | — | 26 | 26 | | — | | 26 | | Other trading liabilities | — | 5 | — | 5 | | — | | 5 | |
| Total trading liabilities | Total trading liabilities | $ | 85,353 | $ | 14,477 | $ | 240 | $ | 100,070 | | $ | — | | $ | 100,070 | | Total trading liabilities | $ | 82,675 | $ | 23,273 | $ | 65 | $ | 106,013 | | $ | — | | $ | 106,013 | |
| Trading derivatives | Trading derivatives | | | Trading derivatives | | |
| Interest rate contracts | Interest rate contracts | $ | 25 | $ | 220,607 | $ | 1,779 | $ | 222,411 | | | | Interest rate contracts | $ | 56 | $ | 147,846 | $ | 2,172 | $ | 150,074 | | | |
| Foreign exchange contracts | Foreign exchange contracts | 3 | 155,441 | 622 | 156,066 | | | | Foreign exchange contracts | — | 134,572 | 726 | 135,298 | | | |
| Equity contracts | Equity contracts | 53 | 58,212 | 5,304 | 63,569 | | | | Equity contracts | 60 | 46,177 | 3,447 | 49,684 | | | |
| Commodity contracts | Commodity contracts | — | 17,393 | 700 | 18,093 | | | | Commodity contracts | — | 30,004 | 1,375 | 31,379 | | | |
| Credit derivatives | Credit derivatives | — | 9,022 | 1,107 | 10,129 | | | | Credit derivatives | — | 10,065 | 950 | 11,015 | | | |
| 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 | $ | 116 | $ | 368,664 | $ | 8,670 | $ | 377,450 | | | |
Cash collateral received(6) | | $ | 8,196 | | | | |
| Netting agreements | Netting agreements | | $ | (364,879) | | | Netting agreements | | $ | (292,628) | | |
| Netting of cash collateral paid | | (45,628) | | | |
Netting of cash collateral paid(3) | | Netting of cash collateral paid(3) | | (29,306) | | |
| 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 | $ | 116 | $ | 368,664 | $ | 8,670 | $ | 377,450 | | $ | (321,934) | | $ | 55,516 | |
| Short-term borrowings | Short-term borrowings | $ | — | $ | 4,464 | $ | 219 | $ | 4,683 | | $ | — | | $ | 4,683 | | Short-term borrowings | $ | — | $ | 7,253 | $ | 105 | $ | 7,358 | | $ | — | | $ | 7,358 | |
| Long-term debt | Long-term debt | — | 41,853 | 25,210 | 67,063 | | — | | 67,063 | | Long-term debt | — | 57,100 | 25,509 | 82,609 | | — | | 82,609 | |
| | Non-trading derivatives and other financial liabilities measured on a recurring basis | $ | 6,762 | $ | 72 | $ | 1 | $ | 6,835 | | $ | — | | $ | 6,835 | | |
| 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 | $ | 3,574 | $ | — | $ | 1 | $ | 3,575 | | $ | — | | $ | 3,575 | |
| Total liabilities | Total liabilities | $ | 92,196 | $ | 679,937 | $ | 36,019 | $ | 816,348 | | $ | (507,576) | | $ | 308,772 | | Total liabilities | $ | 86,365 | $ | 632,091 | $ | 35,176 | $ | 753,632 | | $ | (440,201) | | $ | 313,431 | |
Total as a percentage of gross liabilities(5) | Total as a percentage of gross liabilities(5) | 11.4 | % | 84.1 | % | 4.5 | % | | | Total as a percentage of gross liabilities(5) | 11.5 | % | 83.9 | % | 4.7 | % | | |
(1)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements.21. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)ReflectsRepresents the net amountnetting of $78,406 million of gross cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of which $45,628 million was used to offset tradingcash collateral received and paid is against OTC derivative liabilities.assets and liabilities, respectively.
(4)Amounts exclude $0.2$0.1 billion of investments measured at NAV in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(5)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 nine months ended September 30, 20212022 and 2020.2021. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.
The Company often hedges positions with offsetting positions that are classified in a different level. For example,
the gains and losses for assets and liabilities in the Level 3 category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 or Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The hedged items and related hedges are presented gross in the following tables:
Level 3 Fair Value Rollforward
| | | | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | Unrealized
gains (losses)
still held(3) | | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | Unrealized
gains (losses)
still held(3) |
| In millions of dollars | 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 | In millions of dollars | Jun. 30, 2022 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2022 |
| Assets | Assets | | | | Assets | | | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | $ | 211 | | $ | 1 | | $ | — | | $ | 45 | | $ | — | | $ | 43 | | $ | — | | $ | — | | $ | (43) | | $ | 257 | | $ | 3 | | Securities borrowed and purchased under agreements to resell | $ | 183 | | $ | (1) | | $ | — | | $ | — | | $ | — | | $ | 128 | | $ | — | | $ | — | | $ | (169) | | $ | 141 | | $ | 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 | 376 | | 20 | | — | | 60 | | (52) | | 154 | | — | | (126) | | — | | 432 | | 17 | | U.S. government-sponsored agency guaranteed | 708 | | (28) | | — | | 54 | | (153) | | 310 | | — | | (219) | | — | | 672 | | (33) | |
| Residential | Residential | 95 | | 2 | | — | | 5 | | (9) | | 19 | | — | | (51) | | — | | 61 | | 3 | | Residential | 153 | | (2) | | — | | 25 | | (22) | | 33 | | — | | (45) | | — | | 142 | | (2) | |
| Commercial | Commercial | 87 | | 1 | | — | | 17 | | (12) | | 36 | | — | | (9) | | — | | 120 | | 1 | | Commercial | 138 | | (4) | | — | | 20 | | (17) | | 5 | | — | | (26) | | — | | 116 | | 1 | |
| Total trading mortgage-backed securities | Total trading mortgage-backed securities | $ | 558 | | $ | 23 | | $ | — | | $ | 82 | | $ | (73) | | $ | 209 | | $ | — | | $ | (186) | | $ | — | | $ | 613 | | $ | 21 | | Total trading mortgage-backed securities | $ | 999 | | $ | (34) | | $ | — | | $ | 99 | | $ | (192) | | $ | 348 | | $ | — | | $ | (290) | | $ | — | | $ | 930 | | $ | (34) | |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | U.S. Treasury and federal agency securities | $ | 1 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | (1) | | $ | — | | $ | — | |
| State and municipal | State and municipal | 70 | | 3 | | — | | — | | — | | — | | — | | (2) | | — | | 71 | | 4 | | State and municipal | 80 | | 4 | | — | | 4 | | (6) | | 14 | | — | | (74) | | — | | 22 | | — | |
| Foreign government | Foreign government | 141 | | 26 | | — | | 7 | | (98) | | 6 | | — | | (49) | | — | | 33 | | 4 | | Foreign government | 364 | | (14) | | — | | 5 | | (4) | | 70 | | — | | (41) | | — | | 380 | | (9) | |
| Corporate | Corporate | 823 | | 3 | | — | | 123 | | (110) | | 246 | | — | | (544) | | — | | 541 | | 16 | | Corporate | 537 | | 21 | | — | | 193 | | (72) | | 91 | | — | | (310) | | — | | 460 | | (15) | |
| Marketable equity securities | Marketable equity securities | 147 | | 12 | | — | | 55 | | (9) | | 58 | | — | | (58) | | — | | 205 | | 14 | | Marketable equity securities | 133 | | 48 | | — | | 71 | | (12) | | 34 | | — | | (87) | | — | | 187 | | (26) | |
| Asset-backed securities | Asset-backed securities | 692 | | 101 | | — | | 128 | | (19) | | 186 | | — | | (424) | | — | | 664 | | (28) | | Asset-backed securities | 554 | | (7) | | — | | 68 | | (25) | | 196 | | — | | (174) | | — | | 612 | | (18) | |
| Other trading assets | Other trading assets | 555 | | 138 | | — | | 25 | | (67) | | 379 | | — | | (115) | | — | | 915 | | 36 | | Other trading assets | 816 | | 32 | | — | | 74 | | (280) | | 191 | | 11 | | (161) | | (4) | | 679 | | (19) | |
| Total trading non-derivative assets | Total trading non-derivative assets | $ | 2,986 | | $ | 306 | | $ | — | | $ | 420 | | $ | (376) | | $ | 1,084 | | $ | — | | $ | (1,378) | | $ | — | | $ | 3,042 | | $ | 67 | | Total trading non-derivative assets | $ | 3,484 | | $ | 50 | | $ | — | | $ | 514 | | $ | (591) | | $ | 944 | | $ | 11 | | $ | (1,137) | | $ | (5) | | $ | 3,270 | | $ | (121) | |
Trading derivatives, net(4) | Trading derivatives, net(4) | | | | Trading derivatives, net(4) | | | |
| Interest rate contracts | Interest rate contracts | $ | 1,764 | | $ | (160) | | $ | — | | $ | (79) | | $ | 56 | | $ | 10 | | $ | — | | $ | — | | $ | (100) | | $ | 1,491 | | $ | (189) | | Interest rate contracts | $ | 881 | | $ | (278) | | $ | — | | $ | (503) | | $ | (12) | | $ | (195) | | $ | 1 | | $ | 83 | | $ | (3) | | $ | (26) | | $ | (142) | |
| Foreign exchange contracts | Foreign exchange contracts | (184) | | 131 | | — | | (71) | | (22) | | 11 | | — | | (3) | | (70) | | (208) | | 121 | | Foreign exchange contracts | 156 | | (171) | | — | | 32 | | (3) | | (146) | | — | | 212 | | 197 | | 277 | | 121 | |
| Equity contracts | Equity contracts | (2,550) | | 538 | | — | | (370) | | 668 | | 134 | | — | | (98) | | (295) | | (1,973) | | 452 | | Equity contracts | (101) | | 162 | | — | | 60 | | 222 | | (347) | | — | | 28 | | 37 | | 61 | | (150) | |
| Commodity contracts | Commodity contracts | 142 | | 200 | | — | | (3) | | 106 | | 44 | | — | | (50) | | (21) | | 418 | | 218 | | Commodity contracts | 255 | | 110 | | — | | 140 | | (134) | | (60) | | — | | (2) | | (56) | | 253 | | 151 | |
| Credit derivatives | Credit derivatives | (41) | | (84) | | — | | 24 | | 116 | | — | | — | | — | | 35 | | 50 | | (87) | | Credit derivatives | (349) | | (110) | | — | | 53 | | 124 | | (36) | | — | | 1 | | 204 | | (113) | | (164) | |
Total trading derivatives, net(4) | Total trading derivatives, net(4) | $ | (869) | | $ | 625 | | $ | — | | $ | (499) | | $ | 924 | | $ | 199 | | $ | — | | $ | (151) | | $ | (451) | | $ | (222) | | $ | 515 | | Total trading derivatives, net(4) | $ | 842 | | $ | (287) | | $ | — | | $ | (218) | | $ | 197 | | $ | (784) | | $ | 1 | | $ | 322 | | $ | 379 | | $ | 452 | | $ | (184) | |
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 | Jun. 30, 2021 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2021 | In millions of dollars | Jun. 30, 2022 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2022 |
| Investments | Investments | | | | Investments | | | |
| Mortgage-backed securities | Mortgage-backed securities | | | | Mortgage-backed securities | | | |
| U.S. government-sponsored agency guaranteed | U.S. government-sponsored agency guaranteed | $ | 52 | | $ | — | | $ | — | | $ | 20 | | $ | (10) | | $ | — | | $ | — | | $ | (10) | | $ | — | | $ | 52 | | $ | — | | U.S. government-sponsored agency guaranteed | $ | 28 | | $ | — | | $ | (2) | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 26 | | $ | (2) | |
| Residential | Residential | — | | — | | — | | — | | — | | 12 | | — | | — | | — | | 12 | | — | | Residential | 40 | | — | | (4) | | — | | — | | 3 | | — | | — | | — | | 39 | | (5) | |
| | Commercial | | Commercial | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Total investment mortgage-backed securities | Total investment mortgage-backed securities | $ | 52 | | $ | — | | $ | — | | $ | 20 | | $ | (10) | | $ | 12 | | $ | — | | $ | (10) | | $ | — | | $ | 64 | | $ | — | | Total investment mortgage-backed securities | $ | 68 | | $ | — | | $ | (6) | | $ | — | | $ | — | | $ | 3 | | $ | — | | $ | — | | $ | — | | $ | 65 | | $ | (7) | |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | State and municipal | 748 | | — | | (6) | | — | | — | | 2 | | — | | (9) | | — | | 735 | | (6) | | State and municipal | 539 | | — | | (20) | | 81 | | — | | — | | — | | (25) | | — | | 575 | | (14) | |
| Foreign government | Foreign government | 957 | | — | | (25) | | 63 | | (232) | | 99 | | — | | (50) | | — | | 812 | | (6) | | Foreign government | 1,001 | | — | | (53) | | 6 | | (56) | | 224 | | — | | (262) | | — | | 860 | | (44) | |
| Corporate | Corporate | 104 | | — | | (2) | | 151 | | (41) | | 7 | | — | | (27) | | — | | 192 | | — | | Corporate | 334 | | — | | 4 | | 1 | | (3) | | 1 | | — | | — | | — | | 337 | | — | |
| Marketable equity securities | Marketable equity securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | Marketable equity securities | 10 | | — | | — | | — | | — | | — | | — | | — | | — | | 10 | | — | |
| Asset-backed securities | Asset-backed securities | 3 | | — | | — | | — | | — | | — | | — | | — | | — | | 3 | | — | | Asset-backed securities | 1 | | — | | 8 | | — | | — | | — | | — | | (7) | | — | | 2 | | — | |
| Other debt securities | Other debt securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | Other debt securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Non-marketable equity securities | Non-marketable equity securities | 382 | | — | | (36) | | 1 | | — | | — | | — | | — | | — | | 347 | | (53) | | Non-marketable equity securities | 310 | | — | | (3) | | — | | (10) | | 87 | | — | | — | | — | | 384 | | — | |
| Total investments | Total investments | $ | 2,246 | | $ | — | | $ | (69) | | $ | 235 | | $ | (283) | | $ | 120 | | $ | — | | $ | (96) | | $ | — | | $ | 2,153 | | $ | (65) | | Total investments | $ | 2,263 | | $ | — | | $ | (70) | | $ | 88 | | $ | (69) | | $ | 315 | | $ | — | | $ | (294) | | $ | — | | $ | 2,233 | | $ | (65) | |
| Loans | Loans | $ | 429 | | $ | — | | $ | (16) | | $ | — | | $ | (20) | | $ | — | | $ | 336 | | $ | — | | $ | (7) | | $ | 722 | | $ | 14 | | Loans | $ | 325 | | $ | — | | $ | 5 | | $ | 83 | | $ | (3) | | $ | — | | $ | 333 | | $ | — | | $ | (108) | | $ | 635 | | $ | (6) | |
| Mortgage servicing rights | Mortgage servicing rights | 419 | | — | | (3) | | — | | — | | — | | 8 | | — | | (15) | | 409 | | (3) | | Mortgage servicing rights | 600 | | — | | 37 | | | — | | | 25 | | | (15) | | 647 | | 38 | |
| Other financial assets measured on a recurring basis | Other financial assets measured on a recurring basis | 55 | | — | | 3 | | 10 | | (4) | | 33 | | — | | (11) | | — | | 86 | | — | | Other financial assets measured on a recurring basis | 63 | | — | | (19) | | 22 | | — | | 7 | | (1) | | (16) | | (6) | | 50 | | (12) | |
| Liabilities | Liabilities | | | | Liabilities | | | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 154 | | $ | — | | $ | (25) | | $ | — | | $ | — | | $ | — | | $ | 14 | | $ | — | | $ | (11) | | $ | 182 | | $ | 5 | | Interest-bearing deposits | $ | 18 | | $ | — | | $ | 3 | | $ | — | | $ | — | | $ | — | | $ | 2 | | $ | — | | $ | (1) | | $ | 16 | | $ | — | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 488 | | (29) | | — | | 183 | | — | | — | | — | | — | | (44) | | 656 | | 6 | | Securities loaned and sold under agreements to repurchase | 593 | | 36 | | — | | — | | — | | 437 | | 33 | | — | | (30) | | 997 | | — | |
| Trading account liabilities | Trading account liabilities | | | | Trading account liabilities | | | |
| Securities sold, not yet purchased | Securities sold, not yet purchased | 168 | | (22) | | — | | 7 | | (4) | | 21 | | — | | — | | (126) | | 88 | | 4 | | Securities sold, not yet purchased | 72 | | (10) | | — | | 13 | | (2) | | 46 | | — | | — | | (36) | | 103 | | (13) | |
| Other trading liabilities | Other trading liabilities | 1 | | 1 | | — | | — | | — | | — | | — | | — | | — | | — | | 4 | | Other trading liabilities | — | | (2) | | — | | — | | — | | — | | — | | — | | — | | 2 | | — | |
| Short-term borrowings | Short-term borrowings | 41 | | (1) | | — | | 2 | | (12) | | — | | 2 | | — | | (31) | | 3 | | 2 | | Short-term borrowings | 81 | | 12 | | — | | 1 | | (40) | | — | | 6 | | — | | (1) | | 35 | | (17) | |
| Long-term debt | Long-term debt | 25,068 | | 486 | | — | | 2,052 | | (1,086) | | — | | 1,526 | | — | | (1,032) | | 26,042 | | 434 | | Long-term debt | 29,778 | | 3,734 | | — | | 2,831 | | (811) | | — | | 3,838 | | — | | (192) | | 31,710 | | 3,336 | |
| Other financial liabilities measured on a recurring basis | Other financial liabilities measured on a recurring basis | 4 | | — | | — | | — | | — | | — | | — | | 0 | (3) | | 1 | | — | | Other financial liabilities measured on a recurring basis | — | | — | | (8) | | 5 | | — | | — | | — | | | — | | 13 | | — | |
|
(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 September 30, 2021.2022.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.
| | | | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | Unrealized
gains
(losses)
still held(3) | | | 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 | Sept. 30, 2021 | In millions of dollars | Dec. 31, 2021 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2022 |
| Assets | Assets | | | | Assets | | | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | $ | 320 | | $ | (10) | | $ | — | | $ | 45 | | $ | (49) | | $ | 319 | | $ | — | | $ | — | | $ | (368) | | $ | 257 | | $ | 25 | | Securities borrowed and purchased under agreements to resell | $ | 231 | | $ | (2) | | $ | — | | $ | — | | $ | — | | $ | 252 | | $ | — | | $ | — | | $ | (340) | | $ | 141 | | $ | 14 | |
| 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 | | 21 | | — | | 312 | | (60) | | 268 | | — | | (136) | | — | | 432 | | 31 | | U.S. government-sponsored agency guaranteed | 496 | | (41) | | — | | 181 | | (311) | | 794 | | — | | (447) | | — | | 672 | | (53) | |
| Residential | Residential | 340 | | 24 | | — | | 74 | | (77) | | 220 | | — | | (520) | | — | | 61 | | 17 | | Residential | 104 | | (2) | | — | | 86 | | (54) | | 118 | | — | | (110) | | — | | 142 | | (1) | |
| Commercial | Commercial | 136 | | 22 | | — | | 93 | | (53) | | 60 | | — | | (138) | | — | | 120 | | 2 | | Commercial | 81 | | (9) | | — | | 117 | | (51) | | 14 | | — | | (36) | | — | | 116 | | 7 | |
| Total trading mortgage-backed securities | Total trading mortgage-backed securities | $ | 503 | | $ | 67 | | $ | — | | $ | 479 | | $ | (190) | | $ | 548 | | $ | — | | $ | (794) | | $ | — | | $ | 613 | | $ | 50 | | Total trading mortgage-backed securities | $ | 681 | | $ | (52) | | $ | — | | $ | 384 | | $ | (416) | | $ | 926 | | $ | — | | $ | (593) | | $ | — | | $ | 930 | | $ | (47) | |
| U.S. Treasury and federal agency securities | U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | U.S. Treasury and federal agency securities | $ | 4 | | $ | (4) | | $ | — | | $ | 2 | | $ | (1) | | $ | — | | $ | — | | $ | — | | $ | (1) | | $ | — | | $ | — | |
| State and municipal | State and municipal | 94 | | 3 | | — | | — | | (29) | | 5 | | — | | (2) | | — | | 71 | | 4 | | State and municipal | 37 | | 9 | | — | | 75 | | (26) | | 15 | | — | | (88) | | — | | 22 | | (1) | |
| Foreign government | Foreign government | 51 | | 31 | | — | | 143 | | (126) | | 77 | | — | | (143) | | — | | 33 | | 4 | | Foreign government | 23 | | (40) | | — | | 304 | | (5) | | 157 | | — | | (59) | | — | | 380 | | (19) | |
| Corporate | Corporate | 375 | | 78 | | — | | 441 | | (278) | | 721 | | — | | (796) | | — | | 541 | | (6) | | Corporate | 412 | | 89 | | — | | 455 | | (350) | | 919 | | — | | (1,065) | | — | | 460 | | (109) | |
| Marketable equity securities | Marketable equity securities | 73 | | 59 | | — | | 139 | | (51) | | 93 | | — | | (108) | | — | | 205 | | 26 | | Marketable equity securities | 174 | | 34 | | — | | 134 | | (99) | | 142 | | — | | (198) | | — | | 187 | | (47) | |
| Asset-backed securities | Asset-backed securities | 1,606 | | 349 | | — | | 163 | | (217) | | 1,120 | | — | | (2,357) | | — | | 664 | | (58) | | Asset-backed securities | 613 | | (26) | | — | | 208 | | (192) | | 589 | | — | | (580) | | — | | 612 | | (151) | |
| Other trading assets | Other trading assets | 945 | | 156 | | — | | 86 | | (196) | | 727 | | 4 | | (803) | | (4) | | 915 | | 29 | | Other trading assets | 576 | | 158 | | — | | 407 | | (372) | | 557 | | 27 | | (662) | | (12) | | 679 | | (95) | |
| Total trading non-derivative assets | Total trading non-derivative assets | $ | 3,647 | | $ | 743 | | $ | — | | $ | 1,451 | | $ | (1,087) | | $ | 3,291 | | $ | 4 | | $ | (5,003) | | $ | (4) | | $ | 3,042 | | $ | 49 | | Total trading non-derivative assets | $ | 2,520 | | $ | 168 | | $ | — | | $ | 1,969 | | $ | (1,461) | | $ | 3,305 | | $ | 27 | | $ | (3,245) | | $ | (13) | | $ | 3,270 | | $ | (469) | |
Trading derivatives, net(4) | Trading derivatives, net(4) | | | | Trading derivatives, net(4) | | | |
| Interest rate contracts | Interest rate contracts | $ | 1,614 | | $ | (458) | | $ | — | | $ | 94 | | $ | 377 | | $ | 12 | | $ | (84) | | $ | — | | $ | (64) | | $ | 1,491 | | $ | (216) | | Interest rate contracts | $ | 1,726 | | $ | 322 | | $ | — | | $ | (430) | | $ | (815) | | $ | (186) | | $ | 7 | | $ | 77 | | $ | (727) | | $ | (26) | | $ | (332) | |
| Foreign exchange contracts | Foreign exchange contracts | 52 | | 52 | | — | | (63) | | (18) | | 145 | | — | | (300) | | (76) | | (208) | | 53 | | Foreign exchange contracts | (89) | | 993 | | — | | (443) | | (9) | | 29 | | 20 | | (399) | | 175 | | 277 | | 240 | |
| Equity contracts | Equity contracts | (3,213) | | 1,150 | | — | | (968) | | 1,566 | | 243 | | — | | (215) | | (536) | | (1,973) | | 237 | | Equity contracts | (2,140) | | 2,159 | | — | | (13) | | 429 | | 58 | | — | | (288) | | (144) | | 61 | | 1,021 | |
| Commodity contracts | Commodity contracts | 292 | | 750 | | — | | 7 | | (511) | | 138 | | — | | (205) | | (53) | | 418 | | 272 | | Commodity contracts | 422 | | 732 | | — | | 95 | | (543) | | 60 | | — | | (144) | | (369) | | 253 | | 412 | |
| Credit derivatives | Credit derivatives | 48 | | (205) | | — | | 39 | | 45 | | — | | — | | — | | 123 | | 50 | | (239) | | Credit derivatives | (31) | | (167) | | — | | (12) | | (27) | | (36) | | — | | — | | 160 | | (113) | | (260) | |
Total trading derivatives, net(4) | Total trading derivatives, net(4) | $ | (1,207) | | $ | 1,289 | | $ | — | | $ | (891) | | $ | 1,459 | | $ | 538 | | $ | (84) | | $ | (720) | | $ | (606) | | $ | (222) | | $ | 107 | | Total trading derivatives, net(4) | $ | (112) | | $ | 4,039 | | $ | — | | $ | (803) | | $ | (965) | | $ | (75) | | $ | 27 | | $ | (754) | | $ | (905) | | $ | 452 | | $ | 1,081 | |
| Investments | | | | |
| Mortgage-backed securities | | | | |
| U.S. government-sponsored agency guaranteed | $ | 30 | | $ | — | | $ | 2 | | $ | 42 | | $ | (10) | | $ | 3 | | $ | — | | $ | (15) | | $ | — | | $ | 52 | | $ | (53) | | |
| Residential | — | | — | | — | | — | | — | | 12 | | — | | — | | — | | 12 | | — | | |
| | Total investment mortgage-backed securities | $ | 30 | | $ | — | | $ | 2 | | $ | 42 | | $ | (10) | | $ | 15 | | $ | — | | $ | (15) | | $ | — | | $ | 64 | | $ | (53) | | |
| U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | |
| State and municipal | 834 | | — | | (16) | | 58 | | (108) | | 5 | | — | | (38) | | — | | 735 | | (12) | | |
| Foreign government | 268 | | — | | (24) | | 503 | | (521) | | 744 | | — | | (158) | | — | | 812 | | (4) | | |
| Corporate | 60 | | — | | (13) | | 183 | | (41) | | 37 | | — | | (34) | | — | | 192 | | 2 | | |
| | Asset-backed securities | 1 | | — | | (21) | | 36 | | — | | — | | — | | (13) | | — | | 3 | | (25) | | |
| | Non-marketable equity securities | 349 | | — | | 4 | | 2 | | — | | — | | — | | (8) | | — | | 347 | | (53) | | |
| 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 | Sept. 30, 2021 | In millions of dollars | Dec. 31, 2021 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2022 |
| Investments | | Investments | | | |
| Mortgage-backed securities | | Mortgage-backed securities | | | |
| U.S. government-sponsored agency guaranteed | | U.S. government-sponsored agency guaranteed | $ | 51 | | $ | — | | $ | (11) | | $ | 1 | | $ | (10) | | $ | 4 | | $ | — | | $ | (9) | | $ | — | | $ | 26 | | $ | (5) | |
| Residential | | Residential | 94 | | — | | (10) | | — | | (39) | | 3 | | — | | (9) | | — | | 39 | | (6) | |
| Commercial | | Commercial | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Total investment mortgage-backed securities | | Total investment mortgage-backed securities | $ | 145 | | $ | — | | $ | (21) | | $ | 1 | | $ | (49) | | $ | 7 | | $ | — | | $ | (18) | | $ | — | | $ | 65 | | $ | (11) | |
| U.S. Treasury and federal agency securities | | U.S. Treasury and federal agency securities | $ | 1 | | $ | — | | $ | (1) | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | | State and municipal | 772 | | — | | (98) | | 81 | | (142) | | 1 | | — | | (39) | | — | | 575 | | (73) | |
| Foreign government | | Foreign government | 786 | | — | | (92) | | 256 | | (169) | | 609 | | — | | (530) | | — | | 860 | | (36) | |
| Corporate | | Corporate | 188 | | — | | (3) | | 154 | | (3) | | 1 | | — | | — | | — | | 337 | | (2) | |
| Marketable equity securities | | Marketable equity securities | 16 | | — | | (6) | | — | | — | | — | | — | | — | | — | | 10 | | — | |
| Asset-backed securities | | Asset-backed securities | 3 | | — | | 19 | | — | | — | | — | | — | | (20) | | — | | 2 | | — | |
| Other debt securities | | Other debt securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Non-marketable equity securities | | Non-marketable equity securities | 316 | | — | | (15) | | 11 | | (10) | | 107 | | — | | (25) | | — | | 384 | | — | |
| Total investments | | Total investments | $ | 2,227 | | $ | — | | $ | (217) | | $ | 503 | | $ | (373) | | $ | 725 | | $ | — | | $ | (632) | | $ | — | | $ | 2,233 | | $ | (122) | |
| Loans | Loans | $ | 1,985 | | $ | — | | $ | 332 | | $ | 271 | | $ | (2,071) | | $ | — | | $ | 337 | | $ | — | | $ | (132) | | $ | 722 | | $ | 111 | | Loans | $ | 711 | | $ | — | | $ | (185) | | $ | 84 | | $ | (198) | | $ | — | | $ | 334 | | $ | — | | $ | (111) | | $ | 635 | | $ | (52) | |
| Mortgage servicing rights | Mortgage servicing rights | 336 | | — | | 49 | | — | | — | | — | | 76 | | — | | (52) | | 409 | | 50 | | Mortgage servicing rights | 404 | | — | | 195 | | — | | — | | — | | 94 | | — | | (46) | | 647 | | 194 | |
| Other financial assets measured on a recurring basis | Other financial assets measured on a recurring basis | — | | — | | 3 | | 65 | | (4) | | 33 | | — | | (11) | | — | | 86 | | — | | Other financial assets measured on a recurring basis | 73 | | — | | (13) | | 29 | | (16) | | 21 | | 39 | | (17) | | (66) | | 50 | | 8 | |
| Liabilities | Liabilities | | | | Liabilities | | | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 206 | | $ | — | | $ | (7) | | $ | — | | $ | (44) | | $ | — | | $ | 34 | | $ | — | | $ | (21) | | $ | 182 | | $ | (146) | | Interest-bearing deposits | $ | 183 | | $ | — | | $ | 6 | | $ | 7 | | $ | (122) | | $ | — | | $ | 20 | | $ | — | | $ | (66) | | $ | 16 | | $ | — | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 631 | | (22) | | — | | 183 | | (483) | | 488 | | — | | — | | (185) | | 656 | | 25 | | Securities loaned and sold under agreements to repurchase | 643 | | 86 | | — | | — | | (3) | | 453 | | 33 | | — | | (43) | | 997 | | — | |
| Trading account liabilities | Trading account liabilities | | | | Trading account liabilities | | | |
| Securities sold, not yet purchased | Securities sold, not yet purchased | 214 | | 39 | | — | | 69 | | (29) | | 41 | | — | | — | | (168) | | 88 | | 4 | | Securities sold, not yet purchased | 65 | | 11 | | — | | 48 | | (21) | | 129 | | — | | 1 | | (108) | | 103 | | (6) | |
| Other trading liabilities | Other trading liabilities | 26 | | 26 | | — | | — | | — | | — | | — | | — | | — | | — | | — | | Other trading liabilities | — | | (2) | | — | | — | | — | | — | | — | | — | | — | | 2 | | — | |
| Short-term borrowings | Short-term borrowings | 219 | | 31 | | — | | 44 | | (56) | | — | | 27 | | — | | (200) | | 3 | | 2 | | Short-term borrowings | 105 | | 101 | | — | | 41 | | (61) | | — | | 82 | | — | | (31) | | 35 | | (22) | |
| Long-term debt | Long-term debt | 25,210 | | 2,259 | | — | | 6,921 | | (7,054) | | — | | 9,071 | | — | | (5,847) | | 26,042 | | 1,305 | | Long-term debt | 25,509 | | 11,979 | | — | | 9,574 | | (4,318) | | — | | 13,537 | | — | | (613) | | 31,710 | | 9,530 | |
| Other financial liabilities measured on a recurring basis | Other financial liabilities measured on a recurring basis | 1 | | — | | (3) | | — | | (4) | | — | | 14 | | — | | (13) | | 1 | | — | | Other financial liabilities measured on a recurring basis | 1 | | — | | (7) | | 5 | | — | | — | | — | | — | | — | | 13 | | — | |
|
(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 September 30, 2022.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized
gains (losses)
still held(3) |
| In millions of dollars | Jun. 30, 2021 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2021 |
| Assets | | | | | | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | 211 | | $ | 1 | | $ | — | | $ | 45 | | $ | — | | $ | 43 | | $ | — | | $ | — | | $ | (43) | | $ | 257 | | $ | 3 | |
| Trading non-derivative assets | | | | | | | | | | | |
| Trading mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 376 | | 20 | | — | | 60 | | (52) | | 154 | | — | | (126) | | — | | 432 | | 17 | |
| Residential | 95 | | 2 | | — | | 5 | | (9) | | 19 | | — | | (51) | | — | | 61 | | 3 | |
| Commercial | 87 | | 1 | | — | | 17 | | (12) | | 36 | | — | | (9) | | — | | 120 | | 1 | |
| Total trading mortgage-backed securities | $ | 558 | | $ | 23 | | $ | — | | $ | 82 | | $ | (73) | | $ | 209 | | $ | — | | $ | (186) | | $ | — | | $ | 613 | | $ | 21 | |
| U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | 70 | | 3 | | — | | — | | — | | — | | — | | (2) | | — | | 71 | | 4 | |
| Foreign government | 141 | | 26 | | — | | 7 | | (98) | | 6 | | — | | (49) | | — | | 33 | | 4 | |
| Corporate | 823 | | 3 | | — | | 123 | | (110) | | 246 | | — | | (544) | | — | | 541 | | 16 | |
| Marketable equity securities | 147 | | 12 | | — | | 55 | | (9) | | 58 | | — | | (58) | | — | | 205 | | 14 | |
| Asset-backed securities | 692 | | 101 | | — | | 128 | | (19) | | 186 | | — | | (424) | | — | | 664 | | (28) | |
| Other trading assets | 555 | | 138 | | — | | 25 | | (67) | | 379 | | — | | (115) | | — | | 915 | | 36 | |
| Total trading non-derivative assets | $ | 2,986 | | $ | 306 | | $ | — | | $ | 420 | | $ | (376) | | $ | 1,084 | | $ | — | | $ | (1,378) | | $ | — | | $ | 3,042 | | $ | 67 | |
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | 1,764 | | $ | (160) | | $ | — | | $ | (79) | | $ | 56 | | $ | 10 | | $ | — | | $ | — | | $ | (100) | | $ | 1,491 | | $ | (189) | |
| Foreign exchange contracts | (184) | | 131 | | — | | (71) | | (22) | | 11 | | — | | (3) | | (70) | | (208) | | 121 | |
| Equity contracts | (2,550) | | 538 | | — | | (370) | | 668 | | 134 | | — | | (98) | | (295) | | (1,973) | | 452 | |
| Commodity contracts | 142 | | 200 | | — | | (3) | | 106 | | 44 | | — | | (50) | | (21) | | 418 | | 218 | |
| Credit derivatives | (41) | | (84) | | — | | 24 | | 116 | | — | | — | | — | | 35 | | 50 | | (87) | |
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) |
| 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 | | | | | | | | | | | |
| Mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 52 | | $ | — | | $ | — | | $ | 20 | | $ | (10) | | $ | — | | $ | — | | $ | (10) | | $ | — | | $ | 52 | | $ | — | |
| Residential | — | | — | | — | | — | | — | | 12 | | — | | — | | — | | 12 | | — | |
| Commercial | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Total investment mortgage-backed securities | $ | 52 | | $ | — | | $ | — | | $ | 20 | | $ | (10) | | $ | 12 | | $ | — | | $ | (10) | | $ | — | | $ | 64 | | $ | — | |
| U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | 748 | | — | | (6) | | — | | — | | 2 | | — | | (9) | | — | | 735 | | (6) | |
| Foreign government | 957 | | — | | (25) | | 63 | | (232) | | 99 | | — | | (50) | | — | | 812 | | (6) | |
| Corporate | 104 | | — | | (2) | | 151 | | (41) | | 7 | | — | | (27) | | — | | 192 | | — | |
| Marketable equity securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Asset-backed securities | 3 | | — | | — | | — | | — | | — | | — | | — | | — | | 3 | | — | |
| Other debt securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Non-marketable equity securities | 382 | | — | | (36) | | 1 | | — | | — | | — | | — | | — | | 347 | | (53) | |
| Total investments | $ | 2,246 | | $ | — | | $ | (69) | | $ | 235 | | $ | (283) | | $ | 120 | | $ | — | | $ | (96) | | $ | — | | $ | 2,153 | | $ | (65) | |
| Loans | $ | 429 | | $ | — | | $ | (16) | | $ | — | | $ | (20) | | $ | — | | $ | 336 | | $ | — | | $ | (7) | | $ | 722 | | $ | 14 | |
| Mortgage servicing rights | 419 | | — | | (3) | | — | | — | | — | | 8 | | — | | (15) | | 409 | | (3) | |
| Other financial assets measured on a recurring basis | 55 | | — | | 3 | | 10 | | (4) | | 33 | | — | | (11) | | — | | 86 | | — | |
| Liabilities | | | | | | | | | | | |
| Interest-bearing deposits | $ | 154 | | $ | — | | $ | (25) | | $ | — | | $ | — | | $ | — | | $ | 14 | | $ | — | | $ | (11) | | $ | 182 | | $ | 5 | |
| Securities loaned and sold under agreements to repurchase | 488 | | (29) | | — | | 183 | | — | | — | | — | | — | | (44) | | 656 | | 6 | |
| Trading account liabilities | | | | | | | | | | | |
| Securities sold, not yet purchased | 168 | | (22) | | — | | 7 | | (4) | | 21 | | — | | — | | (126) | | 88 | | 4 | |
| Other trading liabilities | 1 | | 1 | | — | | — | | — | | — | | — | | — | | — | | — | | 4 | |
| Short-term borrowings | 41 | | (1) | | — | | 2 | | (12) | | — | | 2 | | — | | (31) | | 3 | | 2 | |
| 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 | 4 | | — | | — | | — | | — | | — | | — | | — | | (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 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 September 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 | Jun. 30, 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2020 | 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 or purchased under agreements to resell | $ | 326 | | $ | 4 | | $ | — | | $ | — | | $ | — | | $ | 43 | | $ | — | | $ | — | | $ | (43) | | $ | 330 | | $ | 4 | | |
| Securities borrowed and purchased under agreements to resell | | 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 | 96 | | 9 | | — | | 5 | | — | | 182 | | — | | (26) | | — | | 266 | | 9 | | U.S. government-sponsored agency guaranteed | 27 | | 21 | | — | | 312 | | (60) | | 268 | | — | | (136) | | — | | 432 | | 31 | |
| Residential | Residential | 433 | | 64 | | — | | 10 | | (17) | | 67 | | — | | (288) | | — | | 269 | | (1) | | Residential | 340 | | 24 | | — | | 74 | | (77) | | 220 | | — | | (520) | | — | | 61 | | 17 | |
| Commercial | Commercial | 217 | | 1 | | — | | 13 | | — | | 24 | | — | | (74) | | — | | 181 | | — | | Commercial | 136 | | 22 | | — | | 93 | | (53) | | 60 | | — | | (138) | | — | | 120 | | 2 | |
| Total trading mortgage-backed securities | Total trading mortgage-backed securities | $ | 746 | | $ | 74 | | $ | — | | $ | 28 | | $ | (17) | | $ | 273 | | $ | — | | $ | (388) | | $ | — | | $ | 716 | | $ | 8 | | 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 | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | State and municipal | 117 | | — | | — | | — | | — | | — | | — | | (41) | | — | | 76 | | — | | State and municipal | 94 | | 3 | | — | | — | | (29) | | 5 | | — | | (2) | | — | | 71 | | 4 | |
| Foreign government | Foreign government | 26 | | 1 | | — | | 4 | | — | | 26 | | — | | (16) | | — | | 41 | | — | | Foreign government | 51 | | 31 | | — | | 143 | | (126) | | 77 | | — | | (143) | | — | | 33 | | 4 | |
| Corporate | Corporate | 399 | | (25) | | — | | 22 | | (57) | | 160 | | 2 | | (227) | | — | | 274 | | (16) | | Corporate | 375 | | 78 | | — | | 441 | | (278) | | 721 | | — | | (796) | | — | | 541 | | (6) | |
| Marketable equity securities | Marketable equity securities | 92 | | (31) | | — | | 2 | | — | | 15 | | — | | (13) | | — | | 65 | | (25) | | Marketable equity securities | 73 | | 59 | | — | | 139 | | (51) | | 93 | | — | | (108) | | — | | 205 | | 26 | |
| Asset-backed securities | Asset-backed securities | 1,785 | | 14 | | — | | 167 | | (1) | | 351 | | — | | (488) | | — | | 1,828 | | 4 | | Asset-backed securities | 1,606 | | 349 | | — | | 163 | | (217) | | 1,120 | | — | | (2,357) | | — | | 664 | | (58) | |
| Other trading assets | Other trading assets | 797 | | (24) | | — | | 140 | | (102) | | 66 | | 5 | | (84) | | (4) | | 794 | | (29) | | Other trading assets | 945 | | 156 | | — | | 86 | | (196) | | 727 | | 4 | | (803) | | (4) | | 915 | | 29 | |
| Total trading non-derivative assets | Total trading non-derivative assets | $ | 3,962 | | $ | 9 | | $ | — | | $ | 363 | | $ | (177) | | $ | 891 | | $ | 7 | | $ | (1,257) | | $ | (4) | | $ | 3,794 | | $ | (58) | | 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 | $ | 1,968 | | $ | 70 | | $ | — | | $ | (17) | | $ | (7) | | $ | 31 | | $ | 78 | | $ | (62) | | $ | (525) | | $ | 1,536 | | $ | 50 | | Interest rate contracts | $ | 1,614 | | $ | (458) | | $ | — | | $ | 94 | | $ | 377 | | $ | 12 | | $ | (84) | | $ | — | | $ | (64) | | $ | 1,491 | | $ | (216) | |
| Foreign exchange contracts | Foreign exchange contracts | (26) | | 122 | | — | | (23) | | 29 | | 3 | | — | | (6) | | (74) | | 25 | | 47 | | Foreign exchange contracts | 52 | | 52 | | — | | (63) | | (18) | | 145 | | — | | (300) | | (76) | | (208) | | 53 | |
| Equity contracts | Equity contracts | (2,235) | | (183) | | — | | (41) | | (69) | | 1 | | — | | (12) | | (120) | | (2,659) | | (160) | | Equity contracts | (3,213) | | 1,150 | | — | | (968) | | 1,566 | | 243 | | — | | (215) | | (536) | | (1,973) | | 237 | |
| Commodity contracts | Commodity contracts | (278) | | 172 | | — | | 48 | | (5) | | 29 | | — | | (15) | | 24 | | (25) | | 151 | | Commodity contracts | 292 | | 750 | | — | | 7 | | (511) | | 138 | | — | | (205) | | (53) | | 418 | | 272 | |
| Credit derivatives | Credit derivatives | 402 | | (271) | | — | | (33) | | 19 | | — | | — | | — | | 34 | | 151 | | (274) | | Credit derivatives | 48 | | (205) | | — | | 39 | | 45 | | — | | — | | — | | 123 | | 50 | | (239) | |
Total trading derivatives, net(4) | Total trading derivatives, net(4) | $ | (169) | | $ | (90) | | $ | — | | $ | (66) | | $ | (33) | | $ | 64 | | $ | 78 | | $ | (95) | | $ | (661) | | $ | (972) | | $ | (186) | | 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 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 30 | | $ | (27) | | U.S. government-sponsored agency guaranteed | $ | 30 | | $ | — | | $ | 2 | | $ | 42 | | $ | (10) | | $ | 3 | | $ | — | | $ | (15) | | $ | — | | $ | 52 | | $ | (53) | |
| Residential | Residential | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | 8 | | Residential | — | | — | | — | | — | | — | | 12 | | — | | — | | — | | 12 | | — | |
| Commercial | Commercial | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | Commercial | — | | — | | — | | — | | — | | | — | | — | | — | | — | | — | |
| Total investment mortgage-backed securities | Total investment mortgage-backed securities | $ | 30 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 30 | | $ | (19) | | 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 | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | State and municipal | 825 | | — | | (5) | | 2 | | — | | 19 | | — | | (16) | | — | | 825 | | 25 | | State and municipal | 834 | | — | | (16) | | 58 | | (108) | | 5 | | — | | (38) | | — | | 735 | | (12) | |
| Foreign government | Foreign government | 196 | | — | | 3 | | — | | — | | 66 | | — | | (76) | | — | | 189 | | — | | Foreign government | 268 | | — | | (24) | | 503 | | (521) | | 744 | | — | | (158) | | — | | 812 | | (4) | |
| Corporate | Corporate | 106 | | — | | — | | — | | — | | — | | — | | (50) | | — | | 56 | | — | | Corporate | 60 | | — | | (13) | | 183 | | (41) | | 37 | | — | | (34) | | — | | 192 | | 2 | |
| Marketable equity securities | Marketable equity securities | 1 | | — | | (1) | | — | | — | | — | | — | | — | | — | | — | | (1) | | Marketable equity securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Asset-backed securities | Asset-backed securities | 6 | | — | | (4) | | — | | — | | — | | — | | — | | — | | 2 | | — | | Asset-backed securities | 1 | | — | | (21) | | 36 | | — | | — | | — | | (13) | | — | | 3 | | (25) | |
| Other debt securities | Other debt securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | Other debt securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Non-marketable equity securities | Non-marketable equity securities | 332 | | — | | 17 | | — | | (2) | | — | | 3 | | — | | — | | 350 | | 16 | | Non-marketable equity securities | 349 | | — | | 4 | | 2 | | — | | — | | — | | (8) | | — | | 347 | | (53) | |
| Total investments | Total investments | $ | 1,496 | | $ | — | | $ | 10 | | $ | 2 | | $ | (2) | | $ | 85 | | $ | 3 | | $ | (142) | | $ | — | | $ | 1,452 | | $ | 21 | | 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 | Jun. 30, 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2020 | 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 | $ | 978 | | $ | — | | $ | 567 | | $ | 138 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | (2) | | $ | 1,681 | | $ | 573 | | Loans | $ | 1,985 | | $ | — | | $ | 332 | | $ | 271 | | $ | (2,071) | | $ | — | | $ | 337 | | $ | — | | $ | (132) | | $ | 722 | | $ | 111 | |
| Mortgage servicing rights | Mortgage servicing rights | 345 | | — | | (22) | | — | | — | | — | | 31 | | — | | (20) | | 334 | | (14) | | 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 | — | | — | | (3) | | 19 | | — | | — | | (13) | | (3) | | — | | — | | (11) | | Other financial assets measured on a recurring basis | — | | — | | 3 | | 65 | | (4) | | 33 | | — | | (11) | | — | | 86 | | — | |
| Liabilities | Liabilities | | | | Liabilities | | | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 237 | | $ | — | | $ | 26 | | $ | — | | $ | — | | $ | — | | $ | 4 | | $ | — | | $ | (2) | | $ | 213 | | $ | 23 | | Interest-bearing deposits | $ | 206 | | $ | — | | $ | (7) | | $ | — | | $ | (44) | | $ | — | | $ | 34 | | $ | — | | $ | (21) | | $ | 182 | | $ | (146) | |
| Securities loaned or sold under agreements to repurchase | 625 | | (34) | | — | | — | | — | | — | | — | | — | | — | | 659 | | (126) | | |
| Securities loaned and sold under agreements to repurchase | | 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 | 104 | | 3 | | — | | 54 | | (3) | | — | | — | | — | | (11) | | 141 | | — | | Securities sold, not yet purchased | 214 | | 39 | | — | | 69 | | (29) | | 41 | | — | | — | | (168) | | 88 | | 4 | |
| Other trading liabilities | Other trading liabilities | — | | (16) | | — | | 27 | | — | | — | | — | | — | | — | | 43 | | (15) | | Other trading liabilities | 26 | | 26 | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Short-term borrowings | Short-term borrowings | 128 | | 9 | | — | | 78 | | — | | — | | 11 | | — | | (7) | | 201 | | 13 | | Short-term borrowings | 219 | | 31 | | — | | 44 | | (56) | | — | | 27 | | — | | (200) | | 3 | | 2 | |
| Long-term debt | Long-term debt | 21,633 | | (267) | | — | | 1,396 | | (27) | | — | | 1,308 | | — | | (1,461) | | 23,116 | | (234) | | 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 | — | | — | | — | | — | | — | | — | | 2 | | — | | — | | 2 | | 3 | | 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 investmentsdebt securities are recorded in AOCI, unless related to creditother-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at September 30, 2020.2021.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.
Level 3 Fair Value Transfers
The following were the significant Level 3 transfers for the period December 31, 2021 to September 30, 2022:
•During the three and nine months ended September 30, 2022, transfers of Long-term debt were $2.8 billion and $9.6 billion, respectively, from Level 2 to Level 3. Of the $9.6 billion transfer in the nine months ended September 30, 2022, approximately $6.8 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $2.8 billion related to equity and credit derivative inputs (in addition to other volatility inputs, e.g., interest rate volatility inputs) becoming unobservable and/or significant to their overall valuation. In other instances, market changes have resulted in some inputs becoming more observable, and some unobservable inputs becoming less significant to the overall valuation of the instruments (e.g., when an option becomes deep-in or deep-out of the money). This has primarily resulted in $0.8 billion and $4.3 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three and nine months ended September 30, 2022, respectively.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized
gains (losses)
still held(3) |
| In millions of dollars | Dec. 31, 2019 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2020 |
| Assets | | | | | | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | 303 | | $ | 18 | | $ | — | | $ | — | | $ | — | | $ | 151 | | $ | — | | $ | — | | $ | (142) | | $ | 330 | | $ | 4 | |
| Trading non-derivative assets | | | | | | | | | | | |
| Trading mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 10 | | (65) | | — | | 21 | | (9) | | 390 | | — | | (81) | | — | | 266 | | 14 | |
| Residential | 123 | | 70 | | — | | 214 | | (60) | | 341 | | — | | (419) | | — | | 269 | | (6) | |
| Commercial | 61 | | 5 | | — | | 156 | | (17) | | 113 | | — | | (137) | | — | | 181 | | (13) | |
| Total trading mortgage-backed securities | $ | 194 | | $ | 10 | | $ | — | | $ | 391 | | $ | (86) | | $ | 844 | | $ | — | | $ | (637) | | $ | — | | $ | 716 | | $ | (5) | |
| U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | 64 | | 2 | | — | | 15 | | (3) | | 62 | | — | | (64) | | — | | 76 | | 1 | |
| Foreign government | 52 | | (27) | | — | | 6 | | (2) | | 130 | | — | | (118) | | — | | 41 | | — | |
| Corporate | 313 | | 265 | | — | | 108 | | (127) | | 579 | | 2 | | (860) | | (6) | | 274 | | 7 | |
| Marketable equity securities | 100 | | (22) | | — | | 40 | | (3) | | 221 | | — | | (271) | | — | | 65 | | (33) | |
| Asset-backed securities | 1,177 | | (88) | | — | | 663 | | (61) | | 1,091 | | — | | (954) | | — | | 1,828 | | (208) | |
| Other trading assets | 555 | | 196 | | — | | 321 | | (254) | | 297 | | 19 | | (321) | | (19) | | 794 | | (63) | |
| Total trading non-derivative assets | $ | 2,455 | | $ | 336 | | $ | — | | $ | 1,544 | | $ | (536) | | $ | 3,224 | | $ | 21 | | $ | (3,225) | | $ | (25) | | $ | 3,794 | | $ | (301) | |
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | 1 | | $ | 445 | | $ | — | | $ | 1,597 | | $ | (9) | | $ | 33 | | $ | 134 | | $ | (49) | | $ | (616) | | $ | 1,536 | | $ | 365 | |
| Foreign exchange contracts | (5) | | 70 | | — | | (56) | | 40 | | 52 | | — | | (19) | | (57) | | 25 | | 339 | |
| Equity contracts | (1,596) | | (747) | | — | | (432) | | 167 | | 25 | | — | | (18) | | (58) | | (2,659) | | (658) | |
| Commodity contracts | (59) | | (34) | | — | | 85 | | (75) | | 95 | | — | | (59) | | 22 | | (25) | | (34) | |
| Credit derivatives | (56) | | 308 | | — | | 138 | | (339) | | — | | — | | — | | 100 | | 151 | | 49 | |
Total trading derivatives, net(4) | $ | (1,715) | | $ | 42 | | $ | — | | $ | 1,332 | | $ | (216) | | $ | 205 | | $ | 134 | | $ | (145) | | $ | (609) | | $ | (972) | | $ | 61 | |
| Investments | | | | | | | | | | | |
| Mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 32 | | $ | — | | $ | (5) | | $ | 1 | | $ | 1 | | $ | 1 | | $ | — | | $ | — | | $ | — | | $ | 30 | | $ | (64) | |
| Residential | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | 8 | |
| Commercial | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Total investment mortgage-backed securities | $ | 32 | | $ | — | | $ | (5) | | $ | 1 | | $ | 1 | | $ | 1 | | $ | — | | $ | — | | $ | — | | $ | 30 | | $ | (56) | |
| U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | 623 | | — | | (12) | | 312 | | (131) | | 114 | | — | | (81) | | — | | 825 | | 50 | |
| Foreign government | 96 | | — | | 8 | | 27 | | (64) | | 274 | | — | | (152) | | — | | 189 | | — | |
| Corporate | 45 | | — | | 2 | | 49 | | (152) | | 162 | | — | | (50) | | — | | 56 | | — | |
| Marketable equity securities | — | | — | | (1) | | 1 | | — | | — | | — | | — | | — | | — | | (1) | |
| Asset-backed securities | 22 | | — | | (1) | | — | | — | | — | | — | | (19) | | — | | 2 | | 6 | |
| Other debt securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Non-marketable equity securities | 441 | | — | | (36) | | — | | (2) | | 2 | | 3 | | (3) | | (55) | | 350 | | 24 | |
| 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) |
| 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 | $ | 402 | | $ | — | | $ | 935 | | $ | 355 | | $ | (6) | | $ | — | | $ | — | | $ | — | | $ | (5) | | $ | 1,681 | | $ | 1,026 | |
| Mortgage servicing rights | 495 | | — | | (191) | | — | | — | | — | | 87 | | — | | (57) | | 334 | | (161) | |
| Other financial assets measured on a recurring basis | 1 | | — | | 11 | | 19 | | — | | — | | (19) | | (8) | | (4) | | — | | 9 | |
| Liabilities | | | | | | | | | | | |
| Interest-bearing deposits | $ | 215 | | $ | — | | $ | 15 | | $ | 278 | | $ | (151) | | $ | — | | $ | 34 | | $ | — | | $ | (148) | | $ | 213 | | $ | (122) | |
| Securities loaned and sold under agreements to repurchase | 757 | | (7) | | — | | — | | — | | — | | — | | — | | (105) | | 659 | | (159) | |
| Trading account liabilities | | | | | | | | | | | |
| Securities sold, not yet purchased | 48 | | (126) | | — | | 171 | | (21) | | — | | 9 | | — | | (192) | | 141 | | (40) | |
| Other trading liabilities | — | | (16) | | — | | 27 | | — | | — | | — | | — | | — | | 43 | | (15) | |
| Short-term borrowings | 13 | | 28 | | — | | 164 | | (6) | | — | | 72 | | — | | (14) | | 201 | | 15 | |
| 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 | — | | — | | — | | — | | — | | — | | 4 | | — | | (2) | | 2 | | — | |
| | | | | | | | | | | |
(1)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 September 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 September 30, 2021:
•During the nine months ended September 30, 2021, transfers of Loansof $2.0 billion from Level 3 to Level 2 were primarily driven by equity forward and volatilityinputs 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 three and nine months ended September 30, 2021, transfers of Long-term debt were $2.1 billion and $6.9 billion, respectively, from Level 2 to Level 3. Of the $6.9 billion transfer in the nine months ended September 30, 2021, approximately $5.9 billion related to interest option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $0.9 billion related to equity volatility inputs (in addition to the other volatility inputs, e.g, interest rate volatility inputs) becoming unobservable and/or significant relative to their overall valuation. In other instances, market changes have resulted in some 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 $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 nine months ended September 30, 2021, respectively.
•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 nine months ended September 30, 2021, transfers of Long-term debt were $2.1 billion and $6.9 billion, respectively, from Level 2 to Level 3. Of the $6.9 billion transfer in the nine months ended September 30, 2021, approximately $5.9 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $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 $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 nine months ended September 30, 2021, respectively.
The following were the significant Level 3 transfers for the period December 31, 2019 to September 30, 2020:
•During the nine months ended September 30, 2020, transfers of Interest rate contracts of $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 inflation and other interest rate derivatives.
•During the three and nine months ended September 30, 2020, $1.4 billion and $6.5 billion, respectively, of Long-term debt containing embedded derivatives was transferred from Level 2 to Level 3, as a result of interest rate option volatility, equity correlation and credit derivative inputs becoming unobservable and/or significant relative to the overall valuation of certain structured long-term debt products. In other instances, market changes resulted in unobservable volatility inputs becoming insignificant to the overall valuation of the instrument (e.g., when an option becomes deep-in or deep-out of the money). This has resulted in $4.2 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the nine months ended September 30, 2020.2021.
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 September 30, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | |
| As of September 30, 2022 | | As of September 30, 2022 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| Assets | Assets | | | Assets | | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | $ | 257 | | Model-based | Credit spread | 15 bps | Securities borrowed and purchased under agreements to resell | $ | 141 | | Model-based | Interest rate | 2.40 | % | 2.40 | % | 2.40 | % |
| | Interest rate | 0.27 | % | 0.64 | % | 0.46 | % | | Credit spread | 15 bps |
| Mortgage-backed securities | Mortgage-backed securities | $ | 376 | | Yield analysis | Yield | 2.10 | % | 17.85 | % | 5.62 | % | Mortgage-backed securities | $ | 645 | | Yield analysis | Yield | 4.43 | % | 18.27 | % | 8.42 | % |
| | 244 | | Price-based | Price | $ | 4.41 | | $ | 120.77 | | $ | 50.04 | | | 344 | | Price-based | Price | $ | 0.76 | | $ | 109.46 | | $ | 67.19 | |
| State and municipal, foreign government, corporate and other debt securities | State and municipal, foreign government, corporate and other debt securities | $ | 2,223 | | Price-based | Price | $ | 0.01 | $ | 1,024.98 | $ | 188.92 | State and municipal, foreign government, corporate and other debt securities | $ | 2,433 | | Price-based | Price | $ | 0.01 | $ | 927.52 | $ | 186.59 |
| | 904 | | Model-based | Equity volatility | — | % | 286.78 | % | 23.08 | % | | 891 | | Model-based | Equity forward | 77.40 | % | 254.90 | % | 103.70 | % |
| | | Equity volatility | — | % | 301.70 | % | 34.50 | % |
Marketable equity securities(5) | Marketable equity securities(5) | $ | 139 | | Price-based | Price | $ | — | $ | 73,000.00 | $ | 6,027.91 | Marketable equity securities(5) | $ | 156 | | Price-based | Price | $ | — | $ | 7,876.60 | $ | 74.30 |
| | 41 | | Model-based | Illiquidity discount | 20.00 | % | 21.00 | % | 20.31 | % | |
| | 25 | | Comparables analysis | WAL | 1.99 years | | 26 | | Model-based | WAL | 2.48 years |
| | Recovery (in millions) | $ | 5,733 | | $ | 5,733 | | $ | 5,733 | | | Recovery (in millions) | $ | 7,148 | | $ | 7,148 | | $ | 7,148 | |
| Revenue multiple | 6.40x | |
| | Asset-backed securities | Asset-backed securities | $ | 360 | | Price-based | Price | $ | 5.70 | $ | 3,450.00 | $ | 447.00 | Asset-backed securities | $ | 451 | | Price-based | Price | $ | 21.13 | $ | 145.00 | $ | 88.14 |
| 307 | | Yield analysis | Yield | 2.76 | % | 21.13 | % | 7.25 | % | |
| Non-marketable equities | Non-marketable equities | $ | 166 | | Comparables analysis | Illiquidity discount | 10.00 | % | 35.00 | % | 27.40 | % | Non-marketable equities | $ | 200 | | Price-based | Illiquidity discount | 10.00 | % | 29.40 | % | 24.47 | % |
| 114 | | Price-based | PE ratio | 11.20x | 29.60x | 16.62x | |
| 67 | Model-based | Adjustment factor | —x | 0.70x | 0.32x | |
| | Price | $ | 43.43 | $ | 1,684.00 | $ | 1,219.39 | | 145 | | Comparables analysis | PE ratio | 13.20x | 15.70x | 15.08x |
| | EBITDA multiples | 4.60x | 18.30x | 12.89x | | 40 | | Model-based | Cost of capital | 8.10 | % | 17.50 | % | 10.40 | % |
| | Revenue multiple | 13.00x | 25.10x | 18.54x | | Revenue multiple | 4.20x | 10.50x | 9.75x |
Derivatives—gross(6) | Derivatives—gross(6) | | Derivatives—gross(6) | |
| Interest rate contracts (gross) | Interest rate contracts (gross) | $ | 4,681 | | Model-based | IR Normal volatility | 0.05 | % | 0.78 | % | 0.57 | % | Interest rate contracts (gross) | $ | 7,129 | | Model-based | IR normal volatility | 0.33 | % | 1.78 | % | 1.04 | % |
| Inflation volatility | 0.26 | % | 2.71 | % | 1.22 | % | |
| Foreign exchange contracts (gross) | Foreign exchange contracts (gross) | $ | 1,219 | | Model-based | IR Normal volatility | 0.11 | % | 0.59 | % | 0.51 | % | Foreign exchange contracts (gross) | $ | 1,331 | | Model-based | IR basis | (5.23) | % | 16.38 | % | 0.34 | % |
| | FX volatility | 0.76 | % | 41.60 | % | 10.25 | % | | IR normal volatility | 0.33 | % | 1.78 | % | 0.32 | % |
| | Interest rate | 2.43 | % | 8.04 | % | 6.39 | % | |
| | | | Credit spread | 143 bps | 879 bps | 766 bps |
Equity contracts (gross)(7) | Equity contracts (gross)(7) | $ | 5,400 | | Model-based | Equity volatility | — | % | 286.78 | % | 35.61 | % | Equity contracts (gross)(7) | $ | 4,436 | | Model-based | Equity volatility | — | % | 301.69 | % | 41.90 | % |
| | | Equity forward | 77.43 | % | 254.93 | % | 103.67 | % |
| | | Equity-Equity correlation | (6.49) | % | 100.00 | % | 87.19 | % |
| | Equity forward | 57.78 | % | 127.80 | % | 89.35 | % | | Equity-FX correlation | (95.00) | % | 80.00 | % | (9.77) | % |
| | Equity-Equity correlation | (40.00) | % | 99.00 | % | 80.51 | % | |
| | Equity-FX correlation | (80.10) | % | 80.00 | % | (10.34) | % | |
| | | WAL | 2.48 years |
| | | Recovery (in millions) | $ | 7,148 | | $ | 7,148 | | $ | 7,148 | |
| Commodity and other contracts (gross) | Commodity and other contracts (gross) | $ | 1,985 | | Model-based | Commodity correlation | (50.82) | % | 91.95 | % | (0.71) | % | Commodity and other contracts (gross) | $ | 2,559 | | Model-based | Commodity correlation | (50.34) | % | 93.35 | % | 26.54 | % |
| | Commodity volatility | 11.00 | % | 130.00 | % | 25.04 | % | | Commodity volatility | 15.49 | % | 133.07 | % | 25.90 | % |
| | Forward price | 37.49 | % | 619.33 | % | 99.31 | % | | Forward price | 17.53 | % | 524.16 | % | 123.15 | % |
| Credit derivatives (gross) | Credit derivatives (gross) | $ | 1,111 | | Model-based | Credit spread | 5 bps | 625 bps | 66 bps | Credit derivatives (gross) | $ | 2,076 | | Model-based | Credit spread | 13 bps | 961 bps | 154 bps |
| | 458 | | Price-based | Recovery rate | 25.00 | % | 75.00 | % | 42.25 | % | | 394 | | Price-based | Recovery rate | 2.00 | % | 75.00 | % | 37.55 | % |
| | Upfront points | 4.54 | % | 99.97 | % | 59.38 | % | | Credit correlation | 10.00 | % | 90.00 | % | 43.22 | % |
| | Credit correlation | 25.00 | % | 80.00 | % | 52.25 | % | | Price | $ | — | $ | 95.02 | $ | 7.13 |
| | Price | $ | 40.00 | $ | 102.88 | $ | 79.01 | |
| 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) | $ | 25 | | Price-based | Price | $ | 0.73 | $ | 845.00 | $ | 214.89 |
| Loans and leases | | Loans and leases | $ | 337 | | Price-based | Price | $ | — | $ | 109.75 | $ | 81.61 |
| |
| | 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) | $ | 87 | | Price-based | Price | $ | 5.63 | $ | 252.23 | $ | 152.32 | |
| Loans and leases | $ | 656 | | Model-based | Equity volatility | 23.42 | % | 63.96 | % | 36.98 | % | |
| As of September 30, 2022 | | As of September 30, 2022 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| | | $ | 297 | | Model-based | Equity volatility | 58.44 | % | 103.57 | % | 72.59 | % |
| | | Forward price | 17.53 | % | 524.16 | % | 148.69 | % |
| | | Commodity volatility | 15.49 | % | 133.07 | % | 25.90 | % |
| | | Commodity correlation | (50.34) | % | 93.35 | % | 26.54 | % |
| Mortgage servicing rights | Mortgage servicing rights | $ | 333 | | Cash flow | Yield | 2.00 | % | 14.00 | % | 6.70 | % | Mortgage servicing rights | $ | 571 | | Cash flow | Yield | 0.80 | % | 13.20 | % | 5.97 | % |
| | 76 | | Model-based | WAL | 3.26 years | 6.68 years | 5.68 years | | 76 | | Model-based | WAL | 4.07 years | 10.23 years | 8.19 years |
| Liabilities | Liabilities | | Liabilities | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 149 | | Model-based | IR Normal volatility | 0.14 | % | 0.78 | % | 0.62 | % | Interest-bearing deposits | $ | 16 | | Model-based | IR normal volatility | 0.23 | % | 0.64 | % | 0.42 | % |
| | | Forward price | 100.00 | % | 100.00 | % | 100.00 | % |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | $ | 656 | | Model-based | Interest rate | 0.13 | % | 2.34 | % | 1.62 | % | Securities loaned and sold under agreements to repurchase | $ | 997 | | Model-based | Interest rate | 3.43 | % | 4.43 | % | 4.08 | % |
| 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 | $ | 81 | | Price-based | Price | $ | — | $ | 12,100.00 | $ | 1,378.00 | Securities sold, not yet purchased and other trading liabilities | $ | 86 | | Price-based | Price | $ | — | $ | 12,100 | $ | 1,085 |
| | Short-term borrowings and long-term debt | Short-term borrowings and long-term debt | $ | 25,792 | | Model-based | IR Normal volatility | 0.11 | % | 0.78 | % | 0.56 | % | Short-term borrowings and long-term debt | $ | 31,745 | | Model-based | IR normal volatility | 0.33 | % | 20.00 | % | 1.57 | % |
| | Equity volatility | — | % | 286.78 | % | 23.17 | % | | Equity volatility | — | % | 301.69 | % | 34.49 | % |
| Equity-IR correlation | (13.00) | % | 60.00 | % | 29.19 | % | |
| Equity-FX correlation | (80.10) | % | 80.00 | % | (10.34) | % | |
| FX volatility | — | % | 32.57 | % | 9.68 | % | |
| | 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, 2021 | | As of December 31, 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 | $ | 320 | | Model-based | Credit spread | 15 bps | Securities borrowed and purchased under agreements to resell | $ | 231 | | Model-based | Credit spread | 15 bps |
| | Interest rate | 0.30 | % | 0.35 | % | 0.32 | % | | Interest rate | 0.26 | % | 0.72 | % | 0.50 | % |
| Mortgage-backed securities | Mortgage-backed securities | $ | 344 | | Price-based | Price | $ | 30 | | $ | 111 | | $ | 80 | | Mortgage-backed securities | $ | 279 | | Price-based | Price | $ | 4 | | $ | 118 | | $ | 79 | |
| | 168 | | Yield analysis | Yield | 2.63 | % | 21.80 | % | 10.13 | % | | 526 | | Yield analysis | Yield | 1.43 | % | 23.79 | % | 7.25 | % |
| 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 | $ | — | | $ | 2,265 | | $ | 90 | | State and municipal, foreign government, corporate and other debt securities | $ | 2,264 | | Price-based | Price | $ | — | | $ | 995 | | $ | 193 | |
| | 852 | | Model-based | Credit spread | 35 bps | 375 bps | 226 bps | | 415 | | Model-based | Equity volatility | 0.08 | % | 290.64 | % | 53.94 | % |
Marketable equity securities(5) | Marketable equity securities(5) | $ | 36 | | Model-based | Price | $ | — | | $ | 31,000 | | $ | 5,132 | | Marketable equity securities(5) | $ | 128 | | Price-based | Price | $ | — | | $ | 73,000 | | $ | 6,477 | |
| | 36 | | Price-based | WAL | 1.48 years | | 43 | | Model-based | WAL | 1.73 years |
| | Recovery (in millions) | $ | 5,733 | | $ | 5,733 | | $ | 5,733 | | | Recovery (in millions) | $ | 7,148 | | $ | 7,148 | | $ | 7,148 | |
| Asset-backed securities | Asset-backed securities | $ | 863 | | Price-based | Price | $ | 2 | | $ | 157 | | $ | 59 | | Asset-backed securities | $ | 386 | | Price-based | Price | $ | 5 | | $ | 754 | | $ | 87 | |
| | 744 | | Yield analysis | Yield | 3.77 | % | 21.77 | % | 9.01 | % | | 208 | | Yield analysis | Yield | 2.43 | % | 19.35 | % | 8.18 | % |
| Non-marketable equities | Non-marketable equities | $ | 205 | | Comparables analysis | Illiquidity discount | 10.00 | % | 45.00 | % | 25.29 | % | Non-marketable equities | $ | 121 | | Price-based | Illiquidity discount | 10.00 | % | 36.00 | % | 26.43 | % |
| | PE ratio | 13.60x | 28.00x | 22.83x | | 112 | | Comparables analysis | PE ratio | 11.00x | 29.00x | 15.42x |
| | 142 | | Price-based | Price | $ | 136 | | $ | 2,041 | | $ | 1,647 | | | 83 | | Model-based | Price | $ | 3 | | $ | 2,601 | | $ | 2,029 | |
| | EBITDA multiples | 3.30x | 36.70x | 15.10x | | Adjustment factor | 0.33x | 0.44x | 0.34x |
| | Adjustment factor | 0.20x | 0.61x | 0.25x | | Revenue multiple | 19.80x | 30.00x | 20.48x |
| | Appraised value (in thousands) | $ | 287 | | $ | 39,745 | | $ | 21,754 | | | Cost of capital | 17.50 | % | 20.00 | % | 17.57 | % |
| 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) | $ | 6,054 | | Model-based | IR normal volatility | 0.24 | % | 0.94 | % | 0.70 | % |
| 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) | $ | 1,364 | | Model-based | IR normal volatility | 0.24 | % | 0.74 | % | 0.58 | % |
| | Contingent event | 100.00 | % | 100.00 | % | 100.00 | % | | FX volatility | 2.13 | % | 107.42 | % | 11.21 | % |
| | | Credit spread | 140 bps | 696 bps | 639 bps |
Equity contracts (gross)(7) | | Equity contracts (gross)(7) | $ | 4,690 | | Model-based | Equity volatility | 0.08 | % | 290.64 | % | 47.67 | % |
| | | Equity forward | 57.99 | % | 165.83 | % | 89.45 | % |
| | | Equity-FX correlation | (95.00) | % | 80.00 | % | (16.00) | % |
| | 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 | % | |
Equity contracts (gross)(7) | $ | 7,330 | | Model-based | Equity volatility | 5.00 | % | 91.43 | % | 42.74 | % | |
| | Forward price | 65.88 | % | 105.20 | % | 91.82 | % | | Equity-Equity correlation | (6.49) | % | 99.00 | % | 85.61 | % |
| Commodity and other contracts (gross) | Commodity and other contracts (gross) | $ | 1,636 | | Model-based | Commodity correlation | (44.92) | % | 95.91 | % | 70.60 | % | Commodity and other contracts (gross) | $ | 3,172 | | Model-based | Forward price | 8.00 | % | 599.44 | % | 123.22 | % |
| | Commodity volatility | 0.16 | % | 80.17 | % | 23.72 | % | | Commodity volatility | 10.87 | % | 188.30 | % | 26.85 | % |
| | Forward price | 15.40 | % | 262.00 | % | 98.53 | % | | Commodity correlation | (50.52) | % | 89.83 | % | (7.11) | % |
| Credit derivatives (gross) | Credit derivatives (gross) | $ | 1,854 | | Model-based | Credit spread | 3.50 bps | 352.35 bps | 99.89 bps | Credit derivatives (gross) | $ | 1,480 | | Model-based | Credit spread | 1.00 bps | 874.72 bps | 68.83 bps |
| | 408 | | Price-based | Recovery rate | 20.00 | % | 60.00 | % | 41.60 | % | | 427 | | Price-based | Recovery rate | 20.00 | % | 75.00 | % | 44.72 | % |
| | Credit correlation | 25.00 | % | 80.00 | % | 43.36 | % | | Upfront points | 2.74 | % | 99.96 | % | 59.37 | % |
| | Upfront points | — | % | 107.20 | % | 48.10 | % | | Price | $ | 40 | | $ | 103 | | $ | 80 | |
| | | Credit correlation | 30.00 | % | 80.00 | % | 54.57 | % |
| | | Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross) | | Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross) | $ | 69 | | Price-based | Price | $ | 94 | | $ | 2,598 | | $ | 591 | |
| Loans and leases | Loans and leases | $ | 1,804 | | Model-based | Equity volatility | 24.65 | % | 83.09 | % | 58.23 | % | Loans and leases | $ | 691 | | Model-based | Equity volatility | 22.48 | % | 85.44 | % | 50.56 | % |
| | | Forward price | 26.95 | % | 333.08 | % | 106.97 | % |
| | | Commodity volatility | 10.87 | % | 188.30 | % | 26.85 | % |
| | | Commodity correlation | (50.52) | % | 89.83 | % | (7.11) | % |
| Mortgage servicing rights | Mortgage servicing rights | $ | 258 | | Cash flow | Yield | 2.86 | % | 16.00 | % | 6.32 | % | Mortgage servicing rights | $ | 331 | | Cash flow | Yield | (1.20) | % | 12.10 | % | 4.51 | % |
| | 78 | | Model-based | WAL | 2.66 years | 5.40 years | 4.46 years | | 73 | | Model-based | WAL | 2.75 years | 5.86 years | 5.14 years |
| Liabilities | Liabilities | | Liabilities | |
| Interest-bearing deposits | Interest-bearing deposits | $ | 206 | | Model-based | IR Normal volatility | 0.11 | % | 0.73 | % | 0.54 | % | Interest-bearing deposits | $ | 183 | | Model-based | IR normal volatility | 0.34 | % | 0.88 | % | 0.68 | % |
| | | Equity volatility | 0.08 | % | 290.64 | % | 54.05 | % |
| | | Equity forward | 57.99 | % | 165.83 | % | 89.39 | % |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | $ | 631 | | Model-based | Interest rate | 0.08 | % | 1.86 | % | 0.71 | % | Securities loaned and sold under agreements to repurchase | $ | 643 | | Model-based | Interest rate | 0.12 | % | 1.95 | % | 1.47 | % |
| Trading account liabilities | Trading account liabilities | | Trading account liabilities | |
| Securities sold, not yet purchased | $ | 178 | | Model-based | IR lognormal volatility | 52.06 | % | 128.87 | % | 89.82 | % | |
| Securities sold, not yet purchased and other trading liabilities | | Securities sold, not yet purchased and other trading liabilities | $ | 63 | | Price-based | Price | $ | — | | $ | 12,875 | | $ | 1,707 | |
| Short-term borrowings and long-term debt | | Short-term borrowings and long-term debt | $ | 25,514 | | Model-based | IR normal volatility | 0.07 | % | 0.88 | % | 0.60 | % |
| | 62 | | Price-based | Price | $ | — | | $ | 866 | | $ | 80 | | | Equity volatility | 0.08 | % | 290.64 | % | 53.21 | % |
| | Interest rate | 10.03 | % | 20.07 | % | 13.70 | % | | Equity-IR correlation | (3.53) | % | 60.00 | % | 32.12 | % |
| | | Equity-FX correlation | (95.00) | % | 80.00 | % | (15.98) | % |
| | | FX volatility | 0.06 | % | 41.76 | % | 9.38 | % |
| Short-term borrowings and
long-term debt | $ | 24,827 | | Model-based | IR Normal volatility | 0.11 | % | 0.73 | % | 0.51 | % | |
| Forward price | 15.40 | % | 262.00 | % | 92.48 | % | |
(1)The tables above include the fair 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 |
| September 30, 2021 | | | | |
| September 30, 2022 | | September 30, 2022 | | | |
Loans HFS(1) | Loans HFS(1) | $ | 876 | | $ | 368 | | $ | 508 | | Loans HFS(1) | $ | 3,175 | | $ | 1,151 | | $ | 2,024 | |
| Other real estate owned | Other real estate owned | 5 | | — | | 5 | | Other real estate owned | 3 | | — | | 3 | |
Loans(2) | Loans(2) | 224 | | — | | 224 | | Loans(2) | 126 | | — | | 126 | |
| | Non-marketable equity securities measured using the measurement alternative | Non-marketable equity securities measured using the measurement alternative | 233 | | 44 | | 189 | | Non-marketable equity securities measured using the measurement alternative | 70 | | — | | 70 | |
| Total assets at fair value on a nonrecurring basis | Total assets at fair value on a nonrecurring basis | $ | 1,338 | | $ | 412 | | $ | 926 | | Total assets at fair value on a nonrecurring basis | $ | 3,374 | | $ | 1,151 | | $ | 2,223 | |
| | In millions of dollars | In millions of dollars | Fair value | Level 2 | Level 3 | In millions of dollars | Fair value | Level 2 | Level 3 |
| December 31, 2020 | | | | |
| December 31, 2021 | | December 31, 2021 | | | |
Loans HFS(1) | Loans HFS(1) | $ | 3,375 | | $ | 478 | | $ | 2,897 | | Loans HFS(1) | $ | 2,298 | | $ | 986 | | $ | 1,312 | |
| Other real estate owned | Other real estate owned | 17 | | 4 | | 13 | | Other real estate owned | 11 | | — | | 11 | |
Loans(2) | Loans(2) | 1,015 | | 679 | | 336 | | Loans(2) | 144 | | — | | 144 | |
| Non-marketable equity securities measured using the measurement alternative | Non-marketable equity securities measured using the measurement alternative | 315 | | 312 | | 3 | | Non-marketable equity securities measured using the measurement alternative | 655 | | 104 | | 551 | |
| Total assets at fair value on a nonrecurring basis | Total assets at fair value on a nonrecurring basis | $ | 4,722 | | $ | 1,473 | | $ | 3,249 | | Total assets at fair value on a nonrecurring basis | $ | 3,108 | | $ | 1,090 | | $ | 2,018 | |
(1)Net of fair value amounts on the unfunded portion of loans HFS recognized as Other liabilities on the Consolidated Balance Sheet.
(2)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.
Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements
The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements:
| | As of September 30, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) | |
| As of September 30, 2022 | | As of September 30, 2022 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) |
| Loans held-for-sale | Loans held-for-sale | $ | 508 | | Price-based | Price | $ | 90.00 | | $ | 100.00 | | $ | 98.37 | | Loans held-for-sale | $ | 2,024 | | Price-based | Price | $ | 80.40 | | $ | 100.00 | | $ | 91.24 | |
| Other real estate owned | Other real estate owned | $ | 5 | | Recovery analysis | Appraised value(4) | $ | 27,000 | | $ | 3,400,000 | | $ | 712,192 | | Other real estate owned | $ | 1 | | Price-based | Appraised value(4) | $ | 10,200 | | $ | 990,910 | | $ | 730,901 | |
| | | 1 | | Recovery analysis | |
Loans (5) | Loans (5) | $ | 192 | | Price-based | Appraised value(4) | $ | 91 | | $ | 3,900,000 | | $ | 253,297 | | Loans(5) | $ | 126 | | Recovery analysis | Appraised value(4) | $ | 12,000 | | $ | 17,525,636 | | $ | 2,578,191 | |
| Non-marketable equity securities measured using the measurement alternative | | Non-marketable equity securities measured using the measurement alternative | $ | 40 | | Price-based | Price | $ | 3.35 | | $ | 196.50 | | $ | 96.21 | |
| | 32 | | Recovery analysis | Price | 2.70 | | 70.00 | | 32.14 | | | 29 | | Comparable analysis | Revenue multiple | 9.26x | 73.10x | 31.10x |
| Non-marketable equity securities measured using the measurement alternative | $ | 189 | | Price-based | Price | $ | 8.48 | | $ | 1,951.67 | | $ | 580.68 | | |
| | | Discount to price percentage | 28.00 | % | 28.00 | % | 28.00 | % |
| | | | | | | | | | | | | | | | | | | | |
| 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 | |
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| | | | | | | | | | | | | | | | | | | | |
| As of December 31, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) |
| Loans HFS | $ | 1,312 | | Price-based | Price | $ | 89 | | $ | 100 | | $ | 99 | |
| Other real estate owned | $ | 4 | | Price-based | Appraised value(4) | $ | 14,000 | | $ | 2,392,464 | | $ | 1,660,120 | |
| 5 | | Recovery analysis | | | | |
Loans(5) | $ | 120 | | Recovery analysis | Appraised value(4) | $ | 10,000 | | $ | 3,900,000 | | $ | 247,018 | |
| 24 | | Price-based | Price | 3 | | 75 | | 35 | |
| | | Recovery rate | 84.00 | % | 100.00 | % | 84.00 | % |
| Non-marketable equity securities measured using the measurement alternative | $ | 551 | | Price-based | Price | $ | 6 | | $ | 1,339 | | $ | 52 | |
| | | | | | |
| | | | | | |
(1)The table above includes the fair 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 September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Loans HFS | $ | (13) | | $ | (26) | | $ | (22) | | $ | (133) | |
| Other real estate owned | — | | — | | — | | (1) | |
Loans(1) | (10) | | (31) | | 33 | | (131) | |
| Non-marketable equity securities measured using the measurement alternative | 72 | | 37 | | 363 | | 8 | |
| | | | |
| Total nonrecurring fair value gains (losses) | $ | 49 | | $ | (20) | | $ | 374 | | $ | (257) | |
| | | | | | | | | | | | | | |
| Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2022 | 2021 | 2022 | 2021 |
| Loans HFS | $ | (250) | | $ | (13) | | $ | (413) | | $ | (22) | |
| Other real estate owned | — | | — | | — | | — | |
Loans(1) | 10 | | (10) | | 17 | | 33 | |
| Non-marketable equity securities measured using the measurement alternative | (14) | | 72 | | 114 | | 363 | |
| | | | |
| Total nonrecurring fair value gains (losses) | $ | (254) | | $ | 49 | | $ | (282) | | $ | 374 | |
(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.
| | | | September 30, 2021 | Estimated fair value | | September 30, 2022 | Estimated fair value |
| | | Carrying
value | Estimated
fair value | | | Carrying
value | Estimated
fair value | |
| In billions of dollars | In billions of dollars | Level 1 | Level 2 | Level 3 | In billions of dollars | Level 1 | Level 2 | Level 3 |
| Assets | Assets | | | | | Assets | | | | |
| Investments, net of allowance | Investments, net of allowance | $ | 203.0 | | $ | 203.7 | | $ | 89.1 | | $ | 111.6 | | $ | 3.0 | | Investments, net of allowance | $ | 273.3 | | $ | 245.4 | | $ | 122.2 | | $ | 120.1 | | $ | 3.1 | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | 125.5 | | 125.5 | | — | | 121.8 | | 3.7 | | Securities borrowed and purchased under agreements to resell | 120.2 | | 120.3 | | — | | 120.3 | | — | |
Loans(1)(2) | Loans(1)(2) | 639.4 | | 654.2 | | — | | — | | 654.2 | | Loans(1)(2) | 625.5 | | 627.2 | | — | | — | | 627.2 | |
Other financial assets(2)(3) | Other financial assets(2)(3) | 421.0 | | 421.0 | | 302.5 | | 21.3 | | 97.2 | | Other financial assets(2)(3) | 410.9 | | 410.9 | | 281.0 | | 18.6 | | 111.3 | |
| Liabilities | Liabilities | | | | Liabilities | | | |
| Deposits | Deposits | $ | 1,344.8 | | $ | 1,345.5 | | $ | — | | $ | 1,178.0 | | $ | 167.5 | | Deposits | $ | 1,304.0 | | $ | 1,299.4 | | $ | — | | $ | 1,139.5 | | $ | 159.9 | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 133.9 | | 133.9 | | — | | 133.6 | | 0.3 | | Securities loaned and sold under agreements to repurchase | 130.3 | | 130.3 | | — | | 130.3 | | — | |
Long-term debt(4) | Long-term debt(4) | 180.1 | | 194.0 | | — | | 179.8 | | 14.2 | | Long-term debt(4) | 161.2 | | 154.0 | | — | | 117.2 | | 36.8 | |
Other financial liabilities(5) | Other financial liabilities(5) | 115.4 | | 115.4 | | — | | 18.0 | | 97.4 | | Other financial liabilities(5) | 157.3 | | 157.3 | | — | | 26.4 | | 130.9 | |
| | | | December 31, 2020 | Estimated fair value | | December 31, 2021 | Estimated fair value |
| | | Carrying
value | Estimated
fair value | | | Carrying
value | Estimated
fair value | |
| In billions of dollars | In billions of dollars | Level 1 | Level 2 | Level 3 | In billions of dollars | Level 1 | Level 2 | Level 3 |
| Assets | Assets | | | | Assets | | | |
| Investments, net of allowance | Investments, net of allowance | $ | 110.3 | | $ | 113.2 | | $ | 23.3 | | $ | 87.0 | | $ | 2.9 | | Investments, net of allowance | $ | 221.9 | | $ | 221.0 | | $ | 111.8 | | $ | 106.4 | | $ | 2.8 | |
| Securities borrowed and purchased under agreements to resell | Securities borrowed and purchased under agreements to resell | 109.5 | | 109.5 | | — | | 109.5 | | — | | Securities borrowed and purchased under agreements to resell | 110.8 | | 110.8 | | — | | 106.4 | | 4.4 | |
Loans(1)(2) | Loans(1)(2) | 643.3 | | 663.9 | | — | | 0.6 | | 663.3 | | Loans(1)(2) | 644.8 | | 659.6 | | — | | — | | 659.6 | |
Other financial assets(2)(3) | Other financial assets(2)(3) | 383.2 | | 383.2 | | 291.5 | | 18.1 | | 73.6 | | Other financial assets(2)(3) | 351.9 | | 351.9 | | 242.1 | | 19.9 | | 89.9 | |
| Liabilities | Liabilities | | | | Liabilities | | | |
| Deposits | Deposits | $ | 1,278.7 | | $ | 1,278.8 | | $ | — | | $ | 1,093.3 | | $ | 185.5 | | Deposits | $ | 1,315.6 | | $ | 1,316.2 | | $ | — | | $ | 1,153.9 | | $ | 162.3 | |
| Securities loaned and sold under agreements to repurchase | Securities loaned and sold under agreements to repurchase | 139.3 | | 139.3 | | — | | 139.3 | | — | | Securities loaned and sold under agreements to repurchase | 134.6 | | 134.6 | | — | | 134.5 | | 0.1 | |
Long-term debt(4) | Long-term debt(4) | 204.6 | | 221.2 | | — | | 197.8 | | 23.4 | | Long-term debt(4) | 171.8 | | 184.6 | | — | | 171.9 | | 12.7 | |
Other financial liabilities(5) | Other financial liabilities(5) | 102.4 | | 102.4 | | — | | 19.2 | | 83.2 | | Other financial liabilities(5) | 111.1 | | 111.1 | | — | | 17.0 | | 94.1 | |
(1)The carrying value of loans is net of the Allowance for credit losses on loans of $17.7$16.3 billion for September 30, 20212022 and $25.0$16.5 billion for December 31, 2020.2021. In addition, the carrying values exclude $0.5$0.4 billion and $0.7$0.5 billion of lease finance receivables at September 30, 20212022 and December 31, 2020,2021, respectively.
(2)Includes items measured at fair value on a nonrecurring basis.
(3)Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
(4)The carrying value includes long-term debt balances under qualifying fair value hedges.
(5)Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
The estimated fair values of the Company’s corporate unfunded lending commitments at September 30, 20212022 and December 31, 20202021 were off-balance sheet liabilities of $9.1$11.3 billion and $7.3$8.1 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of consumer unfunded lending commitments, which are generally cancellable by providing notice to the borrower.
21. FAIR VALUE ELECTIONS
The Company may elect to report most financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings, other than DVA (see below). The election is made upon the initial recognition of an eligible financial asset, financial liability or firm commitment or when certain specified reconsideration events occur. The fair value election may not otherwise be revoked once an election is made. The
changes in fair value are recorded in current earnings. Movements in DVA are reported as a component of AOCI. Additional discussion regarding the applicable areas in which fair value elections were made is presented in Note 20 to the Consolidated Financial Statements.20.
The Company has elected fair value accounting for its mortgage servicing rights (MSRs). See Note 18 to the Consolidated Financial Statements for 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) |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2021 | 2020 | 2021 | 2020 |
| Assets | | | | |
| Securities borrowed and purchased under agreements to resell | $ | (28) | | $ | (27) | | $ | (64) | | $ | 17 | |
| Trading account assets | (2) | | 183 | | 151 | | (278) | |
| Loans | | | | |
| Certain corporate loans | (292) | | 1,003 | | 376 | | 973 | |
| Certain consumer loans | — | | — | | — | | — | |
| Total loans | $ | (292) | | $ | 1,003 | | $ | 376 | | $ | 973 | |
| Other assets | | | | |
| MSRs | $ | (3) | | $ | (22) | | $ | 49 | | $ | (191) | |
Certain mortgage loans HFS(1) | 25 | | 74 | | 69 | | 208 | |
| Total other assets | $ | 22 | | $ | 52 | | $ | 118 | | $ | 17 | |
| Total assets | $ | (300) | | $ | 1,211 | | $ | 581 | | $ | 729 | |
| Liabilities | | | | |
| Interest-bearing deposits | $ | 54 | | $ | (53) | | $ | (39) | | $ | (105) | |
| Securities loaned and sold under agreements to repurchase | 19 | | 482 | | 37 | | 390 | |
| Trading account liabilities | 5 | | 16 | | 15 | | (1) | |
Short-term borrowings(2) | 140 | | (60) | | 332 | | 937 | |
Long-term debt(2) | 975 | | (1,098) | | 542 | | 865 | |
| Total liabilities | $ | 1,193 | | $ | (713) | | $ | 887 | | $ | 2,086 | |
| | | | | | | | | | | | | | |
| Changes in fair value—gains (losses) |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2022 | 2021 | 2022 | 2021 |
| Assets | | | | |
| Securities borrowed and purchased under agreements to resell | $ | (82) | | $ | (28) | | $ | (165) | | $ | (64) | |
| Trading account assets | (69) | | (2) | | (307) | | 151 | |
| Loans | | | | |
| Certain corporate loans | (372) | | (292) | | (2,227) | | 376 | |
| Consumer loans | — | | — | | (1) | | — | |
| Total loans | $ | (372) | | $ | (292) | | $ | (2,228) | | $ | 376 | |
| Other assets | | | | |
| MSRs | $ | 37 | | $ | (3) | | $ | 195 | | $ | 49 | |
Certain mortgage loans HFS(1) | (110) | | 25 | | (440) | | 69 | |
| Total other assets | $ | (73) | | $ | 22 | | $ | (245) | | $ | 118 | |
| Total assets | $ | (596) | | $ | (300) | | $ | (2,945) | | $ | 581 | |
| Liabilities | | | | |
| Interest-bearing deposits | $ | 133 | | $ | 54 | | $ | 10 | | $ | (39) | |
| Securities loaned and sold under agreements to repurchase | 63 | | 19 | | 159 | | 37 | |
| Trading account liabilities | 208 | | 5 | | (241) | | 15 | |
Short-term borrowings(2) | 61 | | 140 | | 1,257 | | 332 | |
Long-term debt(2) | 4,922 | | 975 | | 20,635 | | 542 | |
| Total liabilities | $ | 5,387 | | $ | 1,193 | | $ | 21,820 | | $ | 887 | |
(1)Includes gains (losses) associated with interest rate lock commitments for those loans that have been originated and elected under the fair value option.
(2)Includes DVA that is included in AOCI. See Notes 17 and 20 to the Consolidated Financial Statements.20.
Own Debt Valuation Adjustments (DVA)
Own debt valuation adjustments are recognized on Citi’s liabilities for which the fair value option has been elected using Citi’s credit spreads observed in the bond market. Changes in fair value of fair value option liabilities related to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI.
Among other variables, the fair value of liabilities for which the fair value option has been elected (other than non-recourse debt and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads.
The estimated changes in the fair value of these non-derivative liabilities due to such changes in the Company’s own credit spread (or instrument-specific credit risk) were a lossgain of $107$1,159 million and a loss of $452$107 million for the three months ended September 30, 2022 and 2021, respectively, and 2020,a gain of $4,800 million and a loss of $256 million and a gain of $801 million for the nine months ended September 30, 20212022 and 2020,2021, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.
The Fair Value Option for Financial Assets and Financial Liabilities
Selected Portfolios of Securities Purchased Under Agreements to Resell, Securities Borrowed, Securities Sold Under Agreements to Repurchase, Securities Loaned and Certain Uncollateralized Short-Term Borrowings
The Company elected the fair value option for certain portfolios of fixed income securities purchased under agreements to resell and fixed income securities sold under agreements to repurchase, securities borrowed, securities loaned and certain uncollateralized short-term borrowings held primarily by broker-dealer entities in the United States, the United Kingdom and Japan. In each case, the election was made because the related interest rate risk is managed on a portfolio basis, primarily with offsetting derivative instruments that are accounted for at fair value through earnings.
Changes in fair value for transactions in these portfolios are recorded in Principal transactions. The related interest revenue and interest expense are measured based on the contractual rates specified in the transactions and are reported as Interest revenue and Interest expense in the Consolidated Statement of Income.
Certain Loans and Other Credit Products
Citigroup has also elected the fair value option for certain other originated and purchased loans, including certain unfunded loan products, such as guarantees and letters of credit, executed by Citigroup’s lending and trading businesses. None of these credit products are highly leveraged financing commitments. Significant groups of transactions include loans and unfunded loan products that are expected to be either sold or securitized in the near term, or transactions where the economic risks are hedged with derivative instruments, such as purchased credit default swaps or total return swaps where the Company pays the total return on the underlying loans to a third party. Citigroup has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. Fair value was not elected for most lending transactions across the Company.
The following table provides information about certain credit products carried at fair value:
| | | | September 30, 2021 | December 31, 2020 | | September 30, 2022 | December 31, 2021 |
| 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 | $ | 8,382 | | $ | 7,159 | | $ | 8,063 | | $ | 6,854 | | Carrying amount reported on the Consolidated Balance Sheet | $ | 6,436 | | $ | 3,879 | | $ | 9,530 | | $ | 6,082 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | Aggregate unpaid principal balance in excess of (less than) fair value | (116) | | (161) | | (915) | | (14) | | Aggregate unpaid principal balance in excess of (less than) fair value | 434 | | (97) | | (100) | | 226 | |
| 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 | — | | 1 | | — | | 4 | | Balance of non-accrual loans or loans more than 90 days past due | — | | 148 | | — | | 1 | |
| 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 | — | | 1 | | — | | — | | Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due | — | | — | | — | | — | |
In addition to the amounts reported above, $744$777 million and $1,068$719 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of September 30, 20212022 and December 31, 2020,2021, respectively.
Changes in the fair value of funded and unfunded credit products are classified in Principal transactions in Citi’s Consolidated Statement of Income. Related interest revenue is measured based on the contractual interest rates and reported as Interest revenue on Trading account assets or loan interest depending on the balance sheet classifications of the credit products. The changes in fair value for the ninethree months ended September 30, 20212022 and 20202021 due to instrument-specific credit risk totaled to losses of $(69) million and $(10) million, respectively. Changes in fair value due to instrument-specific credit risk are estimated based on changes in borrower-specific credit spreads and $(23) million, respectively.recovery assumptions.
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$0.2 billion and $0.5$0.3 billion at September 30, 20212022 and December 31, 2020,2021, respectively. The amounts are expected to fluctuate based on trading activity in future periods.
As part of its commodity and foreign currency trading activities, Citi trades unallocated precious metals investments and executes forward purchase and forward sale derivative contracts with trading counterparties. When Citi sells an unallocated precious metals investment, Citi’s receivable from its depository bank is repaid and Citi derecognizes its investment in the unallocated precious metal. The forward purchase or sale contract with the trading counterparty indexed to unallocated precious metals is accounted for as a derivative, at fair value through earnings. As of September 30, 2021,2022, there were approximately $16.7$16.4 billion and $6.7$12.4 billion of notional amounts of such forward purchase and forward sale derivative contracts outstanding, respectively.
Certain Investments in Private Equity and
Real Estate Ventures
Citigroup invests in private equity and real estate ventures for the purpose of earning investment returns and for capital appreciation. The Company has elected the fair value option for certain of these ventures, because such investments are considered similar to many private equity or hedge fund activities in Citi’s investment companies, which are reported at fair value. The fair value option brings consistency in the accounting and evaluation of these investments. All investments (debt and equity) in such private equity and real estate entities are accounted for at fair value. These investments are classified as Investments on Citigroup’s Consolidated Balance Sheet.
Changes in the fair values of these investments are classified in Other revenue in the Company’s Consolidated Statement of Income.
Certain Mortgage Loans Held-for-Sale (HFS)
Citigroup has elected the fair value option for certain purchased and originated prime fixed-rate and conforming adjustable-rate first mortgage loans HFS. These loans are intended for sale or securitization and are hedged with derivative instruments. The Company has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications.
The following table provides information about certain mortgage loans HFS carried at fair value:
| | | | | | | | |
| In millions of dollars | September 30,
2021 | December 31, 2020 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 2,630 | | $ | 1,742 | |
| 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 | 1 | | — | |
| Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due | — | | — | |
| | | | | | | | |
| In millions of dollars | September 30,
2022 | December 31, 2021 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 1,481 | | $ | 3,035 | |
| Aggregate fair value in excess of (less than) unpaid principal balance | (53) | | 70 | |
| Balance of non-accrual loans or loans more than 90 days past due | 4 | | — | |
| 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 nine months ended September 30, 20212022 and 20202021 due to instrument-specific credit risk. Changes in fair value due to instrument-specific credit risk are estimated based on changes in the borrower default, prepayment and recovery forecasts in addition to instrument-specific credit spread. 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 | September 30, 2021 | December 31, 2020 | In billions of dollars | September 30, 2022 | December 31, 2021 |
| Interest rate linked | Interest rate linked | $ | 38.3 | | $ | 34.5 | | Interest rate linked | $ | 45.2 | | $ | 38.9 | |
| Foreign exchange linked | Foreign exchange linked | 0.2 | | 1.2 | | Foreign exchange linked | 0.1 | | — | |
| Equity linked | Equity linked | 32.8 | | 27.3 | | Equity linked | 37.0 | | 36.1 | |
| Commodity linked | Commodity linked | 4.0 | | 1.4 | | Commodity linked | 5.1 | | 3.9 | |
| Credit linked | Credit linked | 2.9 | | 2.6 | | Credit linked | 4.4 | | 3.7 | |
| Total | Total | $ | 78.2 | | $ | 67.0 | | Total | $ | 91.8 | | $ | 82.6 | |
The portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value are reported in Principal transactions. Changes in the fair value of these 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 | September 30, 2021 | December 31, 2020 | In millions of dollars | September 30, 2022 | December 31, 2021 |
| Carrying amount reported on the Consolidated Balance Sheet | Carrying amount reported on the Consolidated Balance Sheet | $ | 78,178 | | $ | 67,063 | | Carrying amount reported on the Consolidated Balance Sheet | $ | 91,825 | | $ | 82,609 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | Aggregate unpaid principal balance in excess of (less than) fair value | (3,019) | | (5,130) | | Aggregate unpaid principal balance in excess of (less than) fair value | (2,745) | | (2,459) | |
The following table provides information about short-term borrowings carried at fair value:
` | | In millions of dollars | In millions of dollars | September 30, 2021 | December 31, 2020 | In millions of dollars | September 30, 2022 | December 31, 2021 |
| Carrying amount reported on the Consolidated Balance Sheet | Carrying amount reported on the Consolidated Balance Sheet | $ | 8,814 | | $ | 4,683 | | Carrying amount reported on the Consolidated Balance Sheet | $ | 6,570 | | $ | 7,358 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | Aggregate unpaid principal balance in excess of (less than) fair value | — | | 68 | | Aggregate unpaid principal balance in excess of (less than) fair value | 1 | | (644) | |
22. GUARANTEES LEASES AND COMMITMENTS
Citi provides a variety of guarantees and indemnifications to its customers to enhance their credit standing and enable them to complete a wide varietyrange 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 on2021 Form 10-K.
The following tables present information about Citi’s guarantees at September 30, 20212022 and December 31, 2020:2021:
| | | | | | | | | | | | | | |
| Maximum potential amount of future payments | |
| 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 | $ | 27.6 | | $ | 64.9 | | $ | 92.5 | | $ | 937 | |
| Performance guarantees | 6.5 | | 6.1 | | 12.6 | | 46 | |
| Derivative instruments considered to be guarantees | 17.0 | | 54.9 | | 71.9 | | 360 | |
| Loans sold with recourse | — | | 1.7 | | 1.7 | | 15 | |
Securities lending indemnifications(1) | 131.7 | | — | | 131.7 | | — | |
Credit card merchant processing(2) | 114.6 | | — | | 114.6 | | 1 | |
| Credit card arrangements with partners | — | | 0.8 | | 0.8 | | 7 | |
| Custody indemnifications and other | — | | 24.5 | | 24.5 | | 37 | |
| Total | $ | 297.4 | | $ | 152.9 | | $ | 450.3 | | $ | 1,403 | |
| | | | | | | | | | | | | | |
| | Maximum potential amount of future payments | |
| In billions of dollars at December 31, 2020 | Expire within
1 year | Expire after
1 year | Total amount
outstanding | Carrying value (in millions of dollars) |
| Financial standby letters of credit | $ | 25.3 | | $ | 68.4 | | $ | 93.7 | | $ | 1,407 | |
| Performance guarantees | 7.3 | | 6.0 | | 13.3 | | 72 | |
| Derivative instruments considered to be guarantees | 20.0 | | 60.9 | | 80.9 | | 671 | |
| Loans sold with recourse | — | | 1.2 | | 1.2 | | 9 | |
Securities lending indemnifications(1) | 112.2 | | — | | 112.2 | | — | |
Credit card merchant processing(2) | 101.9 | | — | | 101.9 | | 3 | |
| Credit card arrangements with partners | 0.2 | | 0.8 | | 1.0 | | 7 | |
| Custody indemnifications and other | — | | 37.3 | | 37.3 | | 35 | |
| Total | $ | 266.9 | | $ | 174.6 | | $ | 441.5 | | $ | 2,204 | |
| | | | | | | | | | | | | | |
| Maximum potential amount of future payments | |
| In billions of dollars at September 30, 2022 | Expire within
1 year | Expire after
1 year | Total amount
outstanding | Carrying value (in millions of dollars) |
| Financial standby letters of credit | $ | 34.2 | | $ | 56.0 | | $ | 90.2 | | $ | 864 | |
| Performance guarantees | 6.2 | | 5.3 | | 11.5 | | 66 | |
| Derivative instruments considered to be guarantees | 21.6 | | 40.7 | | 62.3 | | 475 | |
| Loans sold with recourse | — | | 1.7 | | 1.7 | | 15 | |
Securities lending indemnifications(1) | 108.8 | | — | | 108.8 | | — | |
Credit card merchant processing(2) | 129.8 | | — | | 129.8 | | 1 | |
| Credit card arrangements with partners | — | | 0.6 | | 0.6 | | 7 | |
| Other | 0.4 | | 10.5 | | 10.9 | | 33 | |
| Total | $ | 301.0 | | $ | 114.8 | | $ | 415.8 | | $ | 1,461 | |
| | | | | | | | | | | | | | |
| | Maximum potential amount of future payments | |
| In billions of dollars at December 31, 2021 | Expire within
1 year | Expire after
1 year | Total amount
outstanding | Carrying value (in millions of dollars) |
| Financial standby letters of credit | $ | 34.3 | | $ | 58.4 | | $ | 92.7 | | $ | 791 | |
| Performance guarantees | 6.6 | | 6.4 | | 13.0 | | 47 | |
| Derivative instruments considered to be guarantees | 14.6 | | 48.9 | | 63.5 | | 514 | |
| Loans sold with recourse | — | | 1.7 | | 1.7 | | 15 | |
Securities lending indemnifications(1) | 121.9 | | — | | 121.9 | | — | |
Credit card merchant processing(2) | 119.4 | | — | | 119.4 | | 1 | |
| Credit card arrangements with partners | — | | 0.8 | | 0.8 | | 7 | |
| Other | 2.0 | | 12.0 | | 14.0 | | 34 | |
| Total | $ | 298.8 | | $ | 128.2 | | $ | 427.0 | | $ | 1,409 | |
(1)The carrying values of securities lending indemnifications were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)At September 30, 20212022 and December 31, 2020,2021, this maximum potential exposure was estimated to be $115approximately $130 billion and $102$119 billion, respectively. However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants.
Loans Sold with Recourse
Loans sold with recourse represent Citi’s obligations to reimburse the buyers for loan losses under certain circumstances. Recourse refers to the clause in a sales agreement under which a seller/lender will fully reimburse the buyer/investor for any losses resulting from the purchased loans. This may be accomplished by the sellers taking back any loans that become delinquent.
In addition to the amounts shown in the tables above, Citi has recorded a repurchase reserve for its potential repurchases or make-whole liability regarding residential mortgage representation and warranty claims related to its whole loan sales to U.S. government-sponsored agencies and, to a lesser extent, private investors. The repurchase reserve was approximately $32$15 million and $31$19 million at September 30, 20212022 and December 31, 2020,2021, respectively, and these amounts are included in Other liabilities on the Consolidated Balance Sheet.
Credit Card Arrangements with Partners
Citi, in one of its credit card partner arrangements, provides guarantees to the partner regarding the volume of certain customer originations during the term of the agreement. To the extent that such origination targets are not met, the guarantees serve to compensate the partner for certain payments that otherwise would have been generated in connection with such originations.
Other Guarantees and Indemnifications
Credit Card Protection Programs
Citi, through its credit card businesses, provides various cardholder protection programs on several of its card products, including programs that provide insurance coverage for rental cars, coverage for certain losses associated with purchased products, price protection for certain purchases and protection for lost luggage. These guarantees are not included in the table, since the total outstanding amount of the guarantees and Citi’s maximum exposure to loss cannot be quantified. The protection is limited to certain types of purchases and losses, and it is not possible to quantify the purchases that would qualify for these benefits at any given time. Citi assesses the probability and amount of its potential liability related to these programs based on the extent and nature of its historical loss experience. At September 30, 20212022 and December 31, 2020,2021, the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were immaterial.
Value-Transfer Networks (Including Exchanges and Clearing Houses) (VTNs)
Citi is a member of, or shareholder in, hundreds of value-transfer networks (VTNs) (payment, clearing and settlement systems as well as exchanges) around the world. As a condition of membership, many of these VTNs require that members stand ready to pay a pro rata share of the losses incurred by the organization due to another member’s default on its obligations. Citi’s potential obligations may be limited to its membership interests in the VTNs, contributions to the VTN’s funds, or, in certain narrow cases, to the full pro rata
share. The maximum exposure is difficult to estimate as this would require an assessment of claims that have not yet occurred; however, Citi believes the risk of loss is remote given historical experience with the VTNs. Accordingly, Citi’s participation in VTNs is not reported in the guarantees tables above, and there are no amounts reflected on the Consolidated Balance Sheet as of September 30, 20212022 or December 31, 20202021 for potential obligations that could arise from Citi’s involvement with VTN associations.
Long-Term Care (LTC) Insurance Indemnification
In 2000, Travelers Life & Annuity (Travelers), then a subsidiary of Citi entered into a reinsurance agreementhas an indemnification contingency to transfer the risks and rewards of its long-term care (LTC) business to GE Life (now GenworthBrighthouse 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 benefitCiti’s sale of an insurance subsidiary. A liability under this indemnification agreement is currently remote because 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 paymentLTC policyholder claims only when both the reinsurance provided by other parties ceases and trust assets set aside to meet these claims are not adequate. However, should events occur causing both the reinsurance protection and trust collateral to become insufficient to cover Brighthouse pursuant to its indemnification obligation, and the likelihood of such events occurring is currently not probable, there is no liability reflected on the Consolidated Balance Sheet as of September 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),Financial’s LTC policyholder claims, Citi will be required to either estimate and disclose a reasonably possible loss or range of loss to the extent that such an estimate couldcan be made. In addition, if both events become probable, Citi will be requiredmade, or to accrue for such liability in accordance with applicable accounting principles.
if the event becomes probable and estimable. Citi continues to closely monitor its potential exposure under this indemnification obligation, given GE’s 2018 LTC and other charges andobligation. For additional information, see Note 26 to the September 2019 AM Best credit ratings downgrade for the Genworth subsidiaries.Consolidated Financial Statements in Citi’s 2021 Form 10-K.
Futures and Over-the-Counter Derivatives Clearing
Citi provides clearing services on central clearing parties (CCP) for clients that need to clear exchange-traded and over-the-counter (OTC) derivativederivatives 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 derivativederivatives 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 $17.1$17.4 billion and $16.6$18.7 billion as of September 30, 20212022 and December 31, 2020,2021, respectively.
Variation margin due from clients to the respective CCP, or from the CCP to clients, reflects changes in the value of the client’s derivative contracts for each trading day. As a clearing member, Citi is exposed to the risk of non-performance by clients (e.g., failure of a client to post variation margin to the CCP for negative changes in the value of the client’s derivative contracts). In the event of non-performance by a client, Citi would move to close out the client’s positions. The CCP would typically utilize initial margin posted by the client and held by the CCP, with any remaining shortfalls required to be paid by Citi as clearing member. Citi generally holds incremental cash or securities margin posted by the client, which would typically be expected to be sufficient to mitigate Citi’s credit risk in the event the client fails to perform.
As required by ASC 860-30-25-5, securities collateral posted by clients is not recognized on Citi’s Consolidated Balance Sheet.
Carrying Value—Guarantees and Indemnifications
At September 30, 20212022 and December 31, 2020,2021, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to approximately $1.4$1.5 billion and $2.2$1.4 billion, respectively. The carrying value of financial and performance guarantees is included in Other liabilities. For loans sold with recourse, the carrying value of the liability is included in Other liabilities.
Collateral
Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $62.8$58.3 billion and $51.6$56.5 billion at September 30, 20212022 and December 31, 2020,2021, respectively. Securities and other marketable assets held as collateral amounted to $88.1$71.0 billion and $80.1$84.2 billion at September 30, 20212022 and December 31, 2020,2021, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. In addition, letters of credit in favor of Citi held as collateral amounted to $3.9$3.6 billion and $6.6$4.1 billion at September 30, 20212022 and December 31, 2020,2021, respectively. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined.
Performance Risk
Presented in the tables below are the maximum potential amounts of future payments that are classified based on internal and external credit ratings. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.
| | | | | | | | | | | | | | |
| | Maximum potential amount of future payments |
| In billions of dollars at September 30, 2021 | Investment
grade | Non-investment
grade | Not
rated | Total |
| Financial standby letters of credit | $ | 80.1 | | $ | 12.2 | | $ | 0.2 | | $ | 92.5 | |
| Performance guarantees | 10.0 | | 2.6 | | — | | 12.6 | |
| Derivative instruments deemed to be guarantees | — | | — | | 71.9 | | 71.9 | |
| Loans sold with recourse | — | | — | | 1.7 | | 1.7 | |
| Securities lending indemnifications | — | | — | | 131.7 | | 131.7 | |
| Credit card merchant processing | — | | — | | 114.6 | | 114.6 | |
| Credit card arrangements with partners | — | | — | | 0.8 | | 0.8 | |
| Custody indemnifications and other | 11.8 | | 12.7 | | — | | 24.5 | |
| 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 | Investment
grade | Non-investment
grade | Not
rated | Total | |
| In billions of dollars at September 30, 2022 | | In billions of dollars at September 30, 2022 | 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 | $ | 80.4 | | $ | 9.8 | | $ | — | | $ | 90.2 | |
| Performance guarantees | Performance guarantees | 9.8 | | 3.0 | | 0.5 | | 13.3 | | Performance guarantees | 9.4 | | 2.1 | | — | | 11.5 | |
| Derivative instruments deemed to be guarantees | Derivative instruments deemed to be guarantees | — | | — | | 80.9 | | 80.9 | | Derivative instruments deemed to be guarantees | — | | — | | 62.3 | | 62.3 | |
| Loans sold with recourse | Loans sold with recourse | — | | — | | 1.2 | | 1.2 | | Loans sold with recourse | — | | — | | 1.7 | | 1.7 | |
| Securities lending indemnifications | Securities lending indemnifications | — | | — | | 112.2 | | 112.2 | | Securities lending indemnifications | — | | — | | 108.8 | | 108.8 | |
| Credit card merchant processing | Credit card merchant processing | — | | — | | 101.9 | | 101.9 | | Credit card merchant processing | — | | — | | 129.8 | | 129.8 | |
| Credit card arrangements with partners | Credit card arrangements with partners | — | | — | | 1.0 | | 1.0 | | Credit card arrangements with partners | — | | — | | 0.6 | | 0.6 | |
| Custody indemnifications and other | 24.9 | | 12.4 | | — | | 37.3 | | |
| Other | | Other | 0.2 | | 10.7 | | — | | 10.9 | |
| Total | Total | $ | 113.2 | | $ | 30.0 | | $ | 298.3 | | $ | 441.5 | | Total | $ | 90.0 | | $ | 22.6 | | $ | 303.2 | | $ | 415.8 | |
| | | | | | | | | | | | | | |
| | Maximum potential amount of future payments |
| In billions of dollars at December 31, 2021 | Investment
grade | Non-investment
grade | Not
rated | Total |
| Financial standby letters of credit | $ | 81.4 | | $ | 11.3 | | $ | — | | $ | 92.7 | |
| Performance guarantees | 10.5 | | 2.5 | | — | | 13.0 | |
| Derivative instruments deemed to be guarantees | — | | — | | 63.5 | | 63.5 | |
| Loans sold with recourse | — | | — | | 1.7 | | 1.7 | |
| Securities lending indemnifications | — | | — | | 121.9 | | 121.9 | |
| Credit card merchant processing | — | | — | | 119.4 | | 119.4 | |
| Credit card arrangements with partners | — | | — | | 0.8 | | 0.8 | |
| Other | — | | 12.0 | | 2.0 | | 14.0 | |
| Total | $ | 91.9 | | $ | 25.8 | | $ | 309.3 | | $ | 427.0 | |
Leases
The Company’s operating leases, where Citi is a lessee, include real estate such as office space and branches and various types of equipment. These leases have a weighted-average remaining lease term of approximately six years as of September 30, 2021. The operating lease ROU asset and lease liability were $2.8 billion and $3.0 billion, respectively, as of September 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 | U.S. | Outside of
U.S. | September 30,
2021 | December 31,
2020 |
| Commercial and similar letters of credit | $ | 696 | | $ | 5,713 | | $ | 6,409 | | $ | 5,221 | |
| 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 | 7,225 | | 1,130 | | 8,355 | | 9,626 | |
| Commercial real estate, construction and land development | 14,267 | | 2,733 | | 17,000 | | 12,867 | |
| Credit card lines | 604,350 | | 100,607 | | 704,957 | | 710,399 | |
| Commercial and other consumer loan commitments | 214,515 | | 118,283 | | 332,798 | | 322,458 | |
| Other commitments and contingencies | 5,437 | | 212 | | 5,649 | | 5,715 | |
| Total | $ | 848,225 | | $ | 231,434 | | $ | 1,079,659 | | $ | 1,071,288 | |
| | | | | | | | | | | | | | |
| In millions of dollars | U.S. | Outside of U.S.(1) | September 30,
2022 | December 31,
2021 |
| Commercial and similar letters of credit | $ | 1,028 | | $ | 4,827 | | $ | 5,855 | | $ | 5,910 | |
| One- to four-family residential mortgages | 1,159 | | 1,636 | | 2,795 | | 4,351 | |
| Revolving open-end loans secured by one- to four-family residential properties | 6,156 | | 653 | | 6,809 | | 7,913 | |
| Commercial real estate, construction and land development | 13,785 | | 2,150 | | 15,935 | | 17,843 | |
| Credit card lines | 608,930 | | 85,756 | | 694,686 | | 700,559 | |
| Commercial and other consumer loan commitments | 182,268 | | 104,229 | | 286,497 | | 320,556 | |
| Other commitments and contingencies | 5,214 | | 148 | | 5,362 | | 5,649 | |
| Total | $ | 818,540 | | $ | 199,399 | | $ | 1,017,939 | | $ | 1,062,781 | |
(1)Consumer commitments related to the business HFS countries under sales agreements are reflected in their original categories until the respective sales are completed.
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 September 30, 20212022 and December 31, 2020,2021, Citigroup had approximately $135.8$135.4 billion and $71.8$126.6 billion of unsettled reverse repurchase and securities borrowing agreements, and approximately $57.4$53.3 billion and $62.5$41.1 billion of unsettled repurchase and securities lending agreements, respectively. ForSee Note 10 for a further discussion of securities purchased under agreements to resell and securities borrowed, and securities sold under agreements to repurchase and securities loaned, including the Company’s policy for offsetting repurchase and reverse repurchase agreements, see Note 10 to the Consolidated Financial Statements.agreements.
Restricted Cash
Citigroup defines restricted cash (as cash subject to withdrawal restrictions) to include cash deposited with central banks that must be maintained to meet minimum regulatory requirements, and cash set aside for the benefit of customers or for other purposes such as compensating balance arrangements or debt retirement. Restricted cash includes minimum reserve requirements with the Federal Reserve Bank and certain other central banks and cash segregated to satisfy rules regarding the protection of customer assets as required by Citigroup broker-dealers’ primary regulators, including the United States Securities and Exchange Commission (SEC), the Commodity Futures Trading Commission and the United Kingdom’s Prudential Regulation Authority.
Restricted cash is included on the Consolidated Balance Sheet within the following balance sheet lines:
| | In millions of dollars | In millions of dollars | September 30,
2021 | December 31,
2020 | In millions of dollars | September 30,
2022 | December 31,
2021 |
| Cash and due from banks | Cash and due from banks | $ | 2,733 | | $ | 3,774 | | Cash and due from banks | $ | 5,216 | | $ | 2,786 | |
| Deposits with banks, net of allowance | Deposits with banks, net of allowance | 13,900 | | 14,203 | | Deposits with banks, net of allowance | 10,950 | | 10,636 | |
| Total | Total | $ | 16,633 | | $ | 17,977 | | Total | $ | 16,166 | | $ | 13,422 | |
In response to the COVID-19 pandemic, the Federal Reserve Bank and certain other central banks eased regulations related to minimum required cash deposited with central banks.
23. 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 September 30, 2022.
For additional information regarding Citi’s leases, see Note 1 and Note 26 to the Consolidated Financial Statements in Citi’s 2021 Form 10-K.
The following table presents information on the Right of Use (ROU) asset and lease liabilities included in Other assets and Other liabilities, respectively.
| | | | | | | | |
| In millions of dollars | September 30,
2022 | December 31,
2021 |
| ROU asset | $ | 2,932 | | $ | 2,914 | |
| Lease liability | 3,118 | | 3,116 | |
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.
24. CONTINGENCIES
The following information supplements and amends, as applicable, the disclosuresdisclosure in Note 23 to the Consolidated Financial Statements in Citi’sof Citigroup’s Second Quarter of 20212022 Form 10-Q and First Quarter of 20212022 Form 10-Q and in Note 27 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K. For purposes of this Note, Citigroup, its affiliates and subsidiaries and current and former officers, directors, and employees, are sometimes collectively referred to as Citigroup and Related Parties.
In accordance with ASC 450, Citigroup establishes accruals for contingencies, including any litigation, regulatory, or tax matters disclosed herein, when Citigroup believes it is probable that a loss has been incurred and the amount of the loss can be reasonably estimated. Once established, accruals are adjusted from time to time, as appropriate, in light of additional information. The amount of loss ultimately incurred in relation to those matters may be substantially higher or lower than the amounts accrued for those matters. With respect to previously incurred loss contingencies for which recovery is expected, Citi applies loss recovery accounting when disputes and uncertainties affecting recognition are resolved.
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 September 30, 2021,2022, Citigroup estimates that the reasonably possible unaccrued loss for these matters ranges up to approximately $1.5$1.2 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 amounts accrued in relation to matters for 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 on2021 Form 10-K.
ANZ Underwriting MatterForeign Exchange Matters
InAntitrust and Other Litigation:On August 2021,22, 2022, in NYPL v. JPMORGAN CHASE & CO., ET AL., the Australian Commonwealth DirectorUnited States Court of Public Prosecution (CDPP) discontinued fourAppeals for the Second Circuit denied plaintiffs’ petition seeking appellate review of the six charges brought against Citigroup Global Markets Australia Pty Limited. The CDPP also discontinued all charges against one former Citi employee.decision denying class certification. Additional information concerning this action is publicly available in court filings under the docket number NSD 1316–NSD 1324/2020.numbers 15-CV-9300 (S.D.N.Y.) (Schofield, J.) and 22-698 (2d Cir.).
On October 4, 2022, in MICHAEL O’HIGGINS FX CLASS REPRESENTATIVE LIMITED v. BARCLAYS BANK PLC AND OTHERS and PHILLIP EVANS v. BARCLAYS BANK PLC AND OTHERS, the U.K.’s Competition Appeal Tribunal granted permission to both claimants to appeal its March 31, 2022 judgment on certification. Additional information concerning these actions is publicly available in court filings under the case numbers 1329/7/7/19 and 1336/7/7/19.
Interbank Offered Rates-Related Litigation and Other Matters
Antitrust and Other Litigation: On September 9, 2021,13, 2022, in MCCARTHY, ET AL. v. INTERCONTINENTAL EXCHANGE, INC., ET AL., the court held a hearing on plaintiffs’United States District Court for the Northern District of California granted defendants’ motions for preliminary and permanent injunctions. On September 30, 2021, defendants moved to dismiss for lack of antitrust standing, but granted plaintiffs leave to amend. On October 4, 2022, plaintiffs filed an amended complaint. Plaintiffs continue to allege that defendants conspired to fix ICE LIBOR, assert claims under the complaint.Sherman Act and the Clayton Act, and seek declaratory relief, injunctive relief, and treble damages. Additional information concerning this action is publicly available in court filings under the docket number 20 Civ. 583220-CV-5832 (N.D. Cal.) (Donato, J.).
Interchange Fee Litigation
On September 27, 2021, the court granted the injunctive relief class plaintiffs’ motion to certify a non-opt-out class. Additional information concerning these consolidated actions is publicly available in court filings under the docket number MDL 05-1720 (E.D.N.Y.) (Brodie, J.).
Madoff-Related Litigation
In December 2008, athe actions brought by the trustee appointed for the Securities Investor Protection Act (SIPA) trustee, Irving H. Picard, was appointed for the SIPA liquidation of Bernard L. Madoff Investment Securities LLC (BLMIS), inon September 27, 2022, the United States Bankruptcy Court for the Southern District of New York. Beginning in 2010, he commenced actions against multiple Citi entities, includingYork denied the motion to dismiss filed by Citibank, N.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 reversed 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
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.
(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,In the British Virgin Islandsactions brought by 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 beforeon August 24, 2022, the United States District Court for the Southern District of New York affirmed various decisions of the bankruptcy court, which dismissed claims against Citibank NA London, Citigroup Global Markets Ltd. (CGML), Citivic Nominees Ltd., Citibank (Switzerland) AG, Cititrust Bahamas Ltd., and there is oneCitibank Korea Inc., and sustained a single claim against Citibank NA London, CGML, Citivic Nominees Ltd., and Citibank (Switzerland) AG. Beginning on September 26, 2022, the liquidators filed notices of appeal, and on September 30, 2022, the defendants sought review of the district court’s decision with respect to the 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.claim. Additional information concerning these actions is publicly available in court filings under the docket numbers 10-13164, 10-3496, 10-3622, 10-3634, 10-4100, 10-3640, 10-4100, 11-2770, 12-1298, 12-1142 (Bankr. S.D.N.Y.) (Morris, J.); and 19-3911, 19-4267, 19-4396, 19-4484, 19-5106, 19-5109, 19-5135, 21-2997, 21-3243, 21-3526, 21-3529, 21-3530, 21-3998, 21-4307, 21-4498, 21-4496 (S.D.N.Y.) (Broderick, J.); and 22-2101, 22-2557, 22-2122, 22-2562, 22-2216, 22-2545, 22-2308, 22-2591, 22-2502, 22-2553, 22-2398, 22-258 (2d Cir.).
SovereignRecord-Keeping Matters
In September 2022, Citigroup Global Markets Inc. (CGMI) entered into a resolution with the U.S. Securities Mattersand Exchange Commission (SEC), and CGMI, Citibank, and Citigroup Energy Inc. (CEI) entered into a resolution with the U.S. Commodity Futures Trading Commission (CFTC), to resolve the SEC’s and CFTC’s respective investigations regarding compliance with record-keeping obligations in connection with business-related communications sent over unapproved electronic messaging channels. Under these resolutions, a $125 million civil monetary penalty was paid to the SEC, and a $75 million civil monetary penalty was paid to the CFTC.
Antitrust and Other
Revlon-Related Wire Transfer Litigation
: On July 19, 2021, in IN RE SSA BONDS ANTITRUST LITIGATION,September 8, 2022, the United States Court of Appeals for the Second Circuit affirmedruled in Citi’s favor and vacated the judgment of the district court’s dismissalcourt, which had been in favor of the case.defendants. On September 22, 2022, the defendants filed a petition for rehearing and rehearing en banc, which the Court of Appeals denied. Additional information concerning this action is publicly available in court filings under the docket numbers 16-CV-371120-CV-6539 (S.D.N.Y.) (Ramos,(Furman, J.) and 20-175921-487 (2d Cir.).
Tribune Company BankruptcyShareholder Derivative and Securities Litigations
On August 2, 2022, a shareholder derivative action captioned LIPSHUTZ et al. v. COSTELLO et al. was filed in the United States District Court for the Eastern District of New York, purportedly on behalf of Citigroup (as nominal defendant) against Citigroup’s current directors. The action raises substantially the same claims and allegations as IN RE CITIGROUP INC. SHAREHOLDER DERIVATIVE LITIGATION. The LIPSHUTZ action additionally asserts that plaintiffs made a litigation demand on the Citigroup Board of Directors and that the demand was wrongfully refused. On October 20, 2021,2022, defendants moved to transfer the new action to the United States District Court for the Southern District of New York. Additional information concerning these actions is publicly available in court filings under the docket numbers 22 Civ. 4547 (E.D.N.Y.) (Kovner, J.) and 1:20-CV-09438 (S.D.N.Y.) (Preska, J.).
Sovereign Securities Litigation
Antitrust and Other Litigation: On September 15, 2022, in IN RE MEXICAN GOVERNMENT BONDS ANTITRUST LITIGATION, plaintiffs filed a notice of appeal to the United States Court of Appeals for the Second Circuit issued its decision infrom 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 shareholderdistrict court’s order dismissing certain defendants, including the Citigroup affiliates. In the CGMI action, the Second Circuit affirmed the dismissalCitibanamex, for lack 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.personal jurisdiction. Additional information concerning this action is publicly available in court filings under the docket numbers 12 MC 229618-CV-2830 (S.D.N.Y.) (Cote,(Oetken, J.), 19-0449 (2d Cir.), and 19-304922-2039 (2d Cir.).
Variable Rate Demand Obligation Litigation
On August 6, 2021, the plaintiffs in the nationwide putative class action filed a consolidated amended complaint, captioned THE BOARD OF DIRECTORS OF THE SAN DIEGO ASSOCIATION OF GOVERNMENTS v. BANK OF AMERICA CORP., ET AL. On September 14, 2021, defendants moved to dismiss the consolidated amended complaint in part. Additional information concerning this action is publicly available in court filings under the docket number 19-CV-1608 (S.D.N.Y.) (Furman, J.).
Wind Farm Litigations
On September 11, 2021, the Stephens Ranch plaintiffs voluntarily dismissed their action with prejudice. Additional information concerning this 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).
Settlement Payments
Payments required in any settlement agreements described
above have been made or are covered by existing litigation or
other accruals.
24.25. CONDENSED CONSOLIDATING FINANCIAL STATEMENTS
Citigroup’s Registration Statement on Form S-3 on file with the SEC includes 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 nine months ended September 30, 20212022 and 2020,2021, Condensed Consolidating Balance Sheet as of September 30, 20212022 and December 31, 20202021 and Condensed Consolidating Statement of Cash Flows for the nine months ended September 30, 20212022 and 20202021 for Citigroup Inc., the parent holding company (Citigroup parent company), CGMHI, other Citigroup subsidiaries and eliminations and total consolidating adjustments. “Other Citigroup subsidiaries and eliminations” includes all other subsidiaries of Citigroup, intercompany eliminations and income (loss) from discontinued operations. “Consolidating adjustments” includes Citigroup parent company elimination of distributed and undistributed income of subsidiaries and investment in subsidiaries.
These Condensed Consolidating Financial Statements have been prepared and presented in accordance with SEC Regulation S-X Rule 3-10, “Financial Statements of Guarantors and Issuers of Guaranteed Securities Registered or Being Registered.”
These Condensed Consolidating Financial Statements are presented for purposes of additional analysis, but should be considered in relation to the Consolidated Financial Statements of Citigroup taken as a whole.
Condensed Consolidating Statements of Income and Comprehensive Income
| | | Three Months Ended September 30, 2021 | | Three Months Ended September 30, 2022 |
| In millions of dollars | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated |
| Revenues | Revenues | | | Revenues | |
| Dividends from subsidiaries | Dividends from subsidiaries | $ | 2,592 | | | $ | — | | | $ | — | | | $ | (2,592) | | | $ | — | | Dividends from subsidiaries | $ | 3,742 | | $ | — | | $ | — | | $ | (3,742) | | $ | — | |
| Interest revenue | Interest revenue | — | | | 844 | | | 11,806 | | | — | | | 12,650 | | Interest revenue | — | | 2,973 | | 16,946 | | — | | 19,919 | |
| Interest revenue—intercompany | Interest revenue—intercompany | 935 | | | 129 | | | (1,064) | | | — | | | — | | Interest revenue—intercompany | 1,190 | | 689 | | (1,879) | | — | | — | |
| Interest expense | Interest expense | 1,190 | | | 201 | | | 861 | | | — | | | 2,252 | | Interest expense | 1,324 | | 1,740 | | 4,292 | | — | | 7,356 | |
| Interest expense—intercompany | Interest expense—intercompany | 56 | | | 323 | | | (379) | | | — | | | — | | Interest expense—intercompany | 198 | | 1,316 | | (1,514) | | — | | — | |
| Net interest revenue | $ | (311) | | | $ | 449 | | | $ | 10,260 | | | $ | — | | | $ | 10,398 | | |
| Net interest income | | Net interest income | $ | (332) | | $ | 606 | | $ | 12,289 | | $ | — | | $ | 12,563 | |
| Commissions and fees | Commissions and fees | $ | — | | | $ | 1,893 | | | $ | 1,506 | | | $ | — | | | $ | 3,399 | | Commissions and fees | $ | — | | $ | 1,078 | | $ | 1,061 | | $ | — | | $ | 2,139 | |
| Commissions and fees—intercompany | Commissions and fees—intercompany | — | | | 85 | | | (85) | | | — | | | — | | Commissions and fees—intercompany | — | | (31) | | 31 | | — | | — | |
| Principal transactions | Principal transactions | 130 | | | (1,468) | | | 3,571 | | | — | | | 2,233 | | Principal transactions | 1,584 | | 1,319 | | (278) | | — | | 2,625 | |
| Principal transactions—intercompany | Principal transactions—intercompany | (305) | | | 2,220 | | | (1,915) | | | — | | | — | | Principal transactions—intercompany | (1,887) | | (809) | | 2,696 | | — | | — | |
| Other revenue | Other revenue | (138) | | | 159 | | | 1,103 | | | — | | | 1,124 | | Other revenue | 137 | | 122 | | 922 | | — | | 1,181 | |
| Other revenue—intercompany | Other revenue—intercompany | (44) | | | (13) | | | 57 | | | — | | | — | | Other revenue—intercompany | (122) | | (15) | | 137 | | — | | — | |
| Total non-interest revenues | Total non-interest revenues | $ | (357) | | | $ | 2,876 | | | $ | 4,237 | | | $ | — | | | $ | 6,756 | | Total non-interest revenues | $ | (288) | | $ | 1,664 | | $ | 4,569 | | $ | — | | $ | 5,945 | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 1,924 | | | $ | 3,325 | | | $ | 14,497 | | | $ | (2,592) | | | $ | 17,154 | | Total revenues, net of interest expense | $ | 3,122 | | $ | 2,270 | | $ | 16,858 | | $ | (3,742) | | $ | 18,508 | |
| Provisions for credit losses and for benefits and claims | Provisions for credit losses and for benefits and claims | $ | (2) | | | $ | 2 | | | $ | (192) | | | $ | — | | | $ | (192) | | Provisions for credit losses and for benefits and claims | $ | — | | $ | 6 | | $ | 1,359 | | $ | — | | $ | 1,365 | |
| Operating expenses | Operating expenses | | | Operating expenses | |
| Compensation and benefits | Compensation and benefits | $ | 3 | | | $ | 1,347 | | | $ | 4,708 | | | $ | — | | | $ | 6,058 | | Compensation and benefits | $ | 6 | | $ | 1,427 | | $ | 5,312 | | $ | — | | $ | 6,745 | |
| Compensation and benefits—intercompany | Compensation and benefits—intercompany | 21 | | | — | | | (21) | | | — | | | — | | Compensation and benefits—intercompany | 1 | | — | | (1) | | — | | — | |
| Other operating | Other operating | 35 | | | 728 | | | 4,663 | | | — | | | 5,426 | | Other operating | 28 | | 772 | | 5,204 | | — | | 6,004 | |
| Other operating—intercompany | Other operating—intercompany | 2 | | | 781 | | | (783) | | | — | | | — | | Other operating—intercompany | 4 | | 643 | | (647) | | — | | — | |
| Total operating expenses | Total operating expenses | $ | 61 | | | $ | 2,856 | | | $ | 8,567 | | | $ | — | | | $ | 11,484 | | Total operating expenses | $ | 39 | | $ | 2,842 | | $ | 9,868 | | $ | — | | $ | 12,749 | |
| Equity in undistributed income of subsidiaries | Equity in undistributed income of subsidiaries | $ | 2,530 | | | $ | — | | | $ | — | | | $ | (2,530) | | | $ | — | | Equity in undistributed income of subsidiaries | $ | 40 | | $ | — | | $ | — | | $ | (40) | | $ | — | |
| Income (loss) from continuing operations before income taxes | Income (loss) from continuing operations before income taxes | $ | 4,395 | | | $ | 467 | | | $ | 6,122 | | | $ | (5,122) | | | $ | 5,862 | | Income (loss) from continuing operations before income taxes | $ | 3,123 | | $ | (578) | | $ | 5,631 | | $ | (3,782) | | $ | 4,394 | |
| Provision (benefit) for income taxes | Provision (benefit) for income taxes | (249) | | | 183 | | | 1,259 | | | — | | | 1,193 | | Provision (benefit) for income taxes | (356) | | (5) | | 1,240 | | — | | 879 | |
| Income (loss) from continuing operations | Income (loss) from continuing operations | $ | 4,644 | | | $ | 284 | | | $ | 4,863 | | | $ | (5,122) | | | $ | 4,669 | | Income (loss) from continuing operations | $ | 3,479 | | $ | (573) | | $ | 4,391 | | $ | (3,782) | | $ | 3,515 | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | — | | | — | | | (1) | | | — | | | (1) | | Income (loss) from discontinued operations, net of taxes | — | | — | | (6) | | — | | (6) | |
| Net income before attribution of noncontrolling interests | Net income before attribution of noncontrolling interests | $ | 4,644 | | | $ | 284 | | | $ | 4,862 | | | $ | (5,122) | | | $ | 4,668 | | Net income before attribution of noncontrolling interests | $ | 3,479 | | $ | (573) | | $ | 4,385 | | $ | (3,782) | | $ | 3,509 | |
| Noncontrolling interests | Noncontrolling interests | — | | | — | | | 24 | | | — | | | 24 | | Noncontrolling interests | — | | — | | 30 | | — | | 30 | |
| Net income (loss) | Net income (loss) | $ | 4,644 | | | $ | 284 | | | $ | 4,838 | | | $ | (5,122) | | | $ | 4,644 | | Net income (loss) | $ | 3,479 | | $ | (573) | | $ | 4,355 | | $ | (3,782) | | $ | 3,479 | |
| Comprehensive income | Comprehensive income | | | Comprehensive income | |
| Add: Other comprehensive income (loss) | Add: Other comprehensive income (loss) | $ | (1,731) | | | $ | (195) | | | $ | 2,007 | | | $ | (1,812) | | | $ | (1,731) | | Add: Other comprehensive income (loss) | $ | (2,803) | | $ | (109) | | $ | 2,559 | | $ | (2,450) | | $ | (2,803) | |
| Total Citigroup comprehensive income (loss) | Total Citigroup comprehensive income (loss) | $ | 2,913 | | | $ | 89 | | | $ | 6,845 | | | $ | (6,934) | | | $ | 2,913 | | Total Citigroup comprehensive income (loss) | $ | 676 | | $ | (682) | | $ | 6,914 | | $ | (6,232) | | $ | 676 | |
| Add: Other comprehensive income attributable to noncontrolling interests | Add: Other comprehensive income attributable to noncontrolling interests | $ | — | | | $ | — | | | $ | (31) | | | $ | — | | | $ | (31) | | Add: Other comprehensive income attributable to noncontrolling interests | $ | — | | $ | — | | $ | (44) | | $ | — | | $ | (44) | |
| Add: Net income attributable to noncontrolling interests | Add: Net income attributable to noncontrolling interests | — | | | — | | | 24 | | | — | | | 24 | | Add: Net income attributable to noncontrolling interests | — | | — | | 30 | | — | | 30 | |
| Total comprehensive income (loss) | Total comprehensive income (loss) | $ | 2,913 | | | $ | 89 | | | $ | 6,838 | | | $ | (6,934) | | | $ | 2,906 | | Total comprehensive income (loss) | $ | 676 | | $ | (682) | | $ | 6,900 | | $ | (6,232) | | $ | 662 | |
| |
| Condensed Consolidating Statements of Income and Comprehensive Income | | | Nine Months Ended September 30, 2021 | | Nine Months Ended September 30, 2022 |
| In millions of dollars | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated |
| Revenues | Revenues | | | Revenues | | |
| Dividends from subsidiaries | Dividends from subsidiaries | $ | 6,392 | | | $ | — | | | $ | — | | | $ | (6,392) | | | $ | — | | Dividends from subsidiaries | $ | 5,792 | | $ | — | | $ | — | | $ | (5,792) | | $ | — | |
| Interest revenue | Interest revenue | — | | | 2,829 | | | 34,818 | | | — | | | 37,647 | | Interest revenue | — | | 5,328 | | 43,372 | | — | | 48,700 | |
| Interest revenue—intercompany | Interest revenue—intercompany | 2,847 | | | 410 | | | (3,257) | | | — | | | — | | Interest revenue—intercompany | 3,124 | | 1,121 | | (4,245) | | — | | — | |
| Interest expense | Interest expense | 3,611 | | | 645 | | | 2,628 | | | — | | | 6,884 | | Interest expense | 3,801 | | 2,636 | | 6,865 | | — | | 13,302 | |
| Interest expense—intercompany | Interest expense—intercompany | 234 | | | 982 | | | (1,216) | | | — | | | — | | Interest expense—intercompany | 438 | | 2,352 | | (2,790) | | — | | — | |
| Net interest revenue | $ | (998) | | | $ | 1,612 | | | $ | 30,149 | | | $ | — | | | $ | 30,763 | | |
| Net interest income | | Net interest income | $ | (1,115) | | $ | 1,461 | | $ | 35,052 | | $ | — | | $ | 35,398 | |
| Commissions and fees | Commissions and fees | $ | — | | | $ | 5,890 | | | $ | 4,553 | | | $ | — | | | $ | 10,443 | | Commissions and fees | $ | — | | $ | 3,667 | | $ | 3,492 | | $ | — | | $ | 7,159 | |
| Commissions and fees—intercompany | Commissions and fees—intercompany | (27) | | | 220 | | | (193) | | | — | | | — | | Commissions and fees—intercompany | (1) | | 95 | | (94) | | — | | — | |
| Principal transactions | Principal transactions | 1,007 | | | 5,109 | | | 2,334 | | | — | | | 8,450 | | Principal transactions | 5,478 | | 11,129 | | (4,867) | | — | | 11,740 | |
| Principal transactions—intercompany | Principal transactions—intercompany | (1,273) | | | (2,128) | | | 3,401 | | | — | | | — | | Principal transactions—intercompany | (5,846) | | (8,246) | | 14,092 | | — | | — | |
| Other revenue | Other revenue | (87) | | | 401 | | | 3,985 | | | — | | | 4,299 | | Other revenue | 524 | | 386 | | 2,125 | | — | | 3,035 | |
| Other revenue—intercompany | Other revenue—intercompany | (105) | | | (41) | | | 146 | | | — | | | — | | Other revenue—intercompany | (303) | | (50) | | 353 | | — | | — | |
| Total non-interest revenues | Total non-interest revenues | $ | (485) | | | $ | 9,451 | | | $ | 14,226 | | | $ | — | | | $ | 23,192 | | Total non-interest revenues | $ | (148) | | $ | 6,981 | | $ | 15,101 | | $ | — | | $ | 21,934 | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 4,909 | | | $ | 11,063 | | | $ | 44,375 | | | $ | (6,392) | | | $ | 53,955 | | Total revenues, net of interest expense | $ | 4,529 | | $ | 8,442 | | $ | 50,153 | | $ | (5,792) | | $ | 57,332 | |
| Provisions for credit losses and for benefits and claims | Provisions for credit losses and for benefits and claims | $ | — | | | $ | 9 | | | $ | (3,322) | | | $ | — | | | $ | (3,313) | | Provisions for credit losses and for benefits and claims | $ | — | | $ | 7 | | $ | 3,387 | | $ | — | | $ | 3,394 | |
| Operating expenses | Operating expenses | | | Operating expenses | | |
| Compensation and benefits | Compensation and benefits | $ | 31 | | | $ | 3,984 | | | $ | 14,026 | | | $ | — | | | $ | 18,041 | | Compensation and benefits | $ | 4 | | $ | 4,262 | | $ | 15,771 | | $ | — | | $ | 20,037 | |
| Compensation and benefits—intercompany | Compensation and benefits—intercompany | 69 | | | — | | | (69) | | | — | | | — | | Compensation and benefits—intercompany | 12 | | — | | (12) | | — | | — | |
| Other operating | Other operating | 60 | | | 2,050 | | | 13,598 | | | — | | | 15,708 | | Other operating | 40 | | 2,318 | | 15,912 | | — | | 18,270 | |
| Other operating—intercompany | Other operating—intercompany | 8 | | | 2,269 | | | (2,277) | | | — | | | — | | Other operating—intercompany | 11 | | 2,015 | | (2,026) | | — | | — | |
| Total operating expenses | Total operating expenses | $ | 168 | | | $ | 8,303 | | | $ | 25,278 | | | $ | — | | | $ | 33,749 | | Total operating expenses | $ | 67 | | $ | 8,595 | | $ | 29,645 | | $ | — | | $ | 38,307 | |
| Equity in undistributed income of subsidiaries | Equity in undistributed income of subsidiaries | $ | 13,270 | | | $ | — | | | $ | — | | | $ | (13,270) | | | $ | — | | Equity in undistributed income of subsidiaries | $ | 6,806 | | $ | — | | $ | — | | $ | (6,806) | | $ | — | |
| Income (loss) from continuing operations before income taxes | Income (loss) from continuing operations before income taxes | $ | 18,011 | | | $ | 2,751 | | | $ | 22,419 | | | $ | (19,662) | | | $ | 23,519 | | Income (loss) from continuing operations before income taxes | $ | 11,268 | | $ | (160) | | $ | 17,121 | | $ | (12,598) | | $ | 15,631 | |
| Provision (benefit) for income taxes | Provision (benefit) for income taxes | (768) | | | 516 | | | 4,932 | | | — | | | 4,680 | | Provision (benefit) for income taxes | (1,064) | | (120) | | 4,186 | | — | | 3,002 | |
| Income (loss) from continuing operations | Income (loss) from continuing operations | $ | 18,779 | | | $ | 2,235 | | | $ | 17,487 | | | $ | (19,662) | | | $ | 18,839 | | Income (loss) from continuing operations | $ | 12,332 | | $ | (40) | | $ | 12,935 | | $ | (12,598) | | $ | 12,629 | |
| Income (loss) from discontinued operations, net of taxes | Income (loss) from discontinued operations, net of taxes | — | | | — | | | 7 | | | — | | | 7 | | Income (loss) from discontinued operations, net of taxes | — | | — | | (229) | | — | | (229) | |
| Net income before attribution of noncontrolling interests | Net income before attribution of noncontrolling interests | $ | 18,779 | | | $ | 2,235 | | | $ | 17,494 | | | $ | (19,662) | | | $ | 18,846 | | Net income before attribution of noncontrolling interests | $ | 12,332 | | $ | (40) | | $ | 12,706 | | $ | (12,598) | | $ | 12,400 | |
| Noncontrolling interests | Noncontrolling interests | — | | | — | | | 67 | | | — | | | 67 | | Noncontrolling interests | — | | — | | 68 | | — | | 68 | |
| Net income (loss) | Net income (loss) | $ | 18,779 | | | $ | 2,235 | | | $ | 17,427 | | | $ | (19,662) | | | $ | 18,779 | | Net income (loss) | $ | 12,332 | | $ | (40) | | $ | 12,638 | | $ | (12,598) | | $ | 12,332 | |
| Comprehensive income | Comprehensive income | | | Comprehensive income | | |
| Add: Other comprehensive income (loss) | Add: Other comprehensive income (loss) | $ | (4,793) | | | $ | (238) | | | $ | 578 | | | $ | (340) | | | $ | (4,793) | | Add: Other comprehensive income (loss) | $ | (9,533) | | $ | 987 | | $ | (2,710) | | $ | 1,723 | | $ | (9,533) | |
| Total Citigroup comprehensive income (loss) | Total Citigroup comprehensive income (loss) | $ | 13,986 | | | $ | 1,997 | | | $ | 18,005 | | | $ | (20,002) | | | $ | 13,986 | | Total Citigroup comprehensive income (loss) | $ | 2,799 | | $ | 947 | | $ | 9,928 | | $ | (10,875) | | $ | 2,799 | |
| Add: Other comprehensive income attributable to noncontrolling interests | Add: Other comprehensive income attributable to noncontrolling interests | $ | — | | | $ | — | | | $ | (71) | | | $ | — | | | $ | (71) | | Add: Other comprehensive income attributable to noncontrolling interests | $ | — | | $ | — | | $ | (126) | | $ | — | | $ | (126) | |
| Add: Net income attributable to noncontrolling interests | Add: Net income attributable to noncontrolling interests | — | | | — | | | 67 | | | — | | | 67 | | Add: Net income attributable to noncontrolling interests | — | | — | | 68 | | — | | 68 | |
| Total comprehensive income (loss) | Total comprehensive income (loss) | $ | 13,986 | | | $ | 1,997 | | | $ | 18,001 | | | $ | (20,002) | | | $ | 13,982 | | Total comprehensive income (loss) | $ | 2,799 | | $ | 947 | | $ | 9,870 | | $ | (10,875) | | $ | 2,741 | |
| |
Condensed Consolidating Statements of Income and Comprehensive Income
| | | Three Months Ended September 30, 2020 | | 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 | $ | 2,250 | | | $ | — | | | $ | — | | | $ | (2,250) | | | $ | — | | Dividends from subsidiaries | $ | 2,592 | | $ | — | | $ | — | | $ | (2,592) | | $ | — | |
| Interest revenue | Interest revenue | — | | | 1,128 | | | 12,186 | | | — | | | 13,314 | | Interest revenue | — | | 844 | | 11,806 | | — | | 12,650 | |
| Interest revenue—intercompany | Interest revenue—intercompany | 991 | | | 153 | | | (1,144) | | | — | | | — | | Interest revenue—intercompany | 935 | | 129 | | (1,064) | | — | | — | |
| Interest expense | Interest expense | 1,267 | | | 274 | | | 1,280 | | | — | | | 2,821 | | Interest expense | 1,190 | | 201 | | 568 | | — | | 1,959 | |
| Interest expense—intercompany | Interest expense—intercompany | 61 | | | 416 | | | (477) | | | — | | | — | | Interest expense—intercompany | 56 | | 323 | | (379) | | — | | — | |
| Net interest revenue | $ | (337) | | | $ | 591 | | | $ | 10,239 | | | $ | — | | | $ | 10,493 | | |
| Net interest income | | Net interest income | $ | (311) | | $ | 449 | | $ | 10,553 | | $ | — | | $ | 10,691 | |
| Commissions and fees | Commissions and fees | $ | — | | | $ | 1,494 | | | $ | 1,259 | | | $ | — | | | $ | 2,753 | | Commissions and fees | $ | — | | $ | 1,893 | | $ | 1,506 | | $ | — | | $ | 3,399 | |
| Commissions and fees—intercompany | Commissions and fees—intercompany | — | | | 30 | | | (30) | | | — | | | — | | Commissions and fees—intercompany | — | | 85 | | (85) | | — | | — | |
| Principal transactions | Principal transactions | (169) | | | (3,779) | | | 6,456 | | | — | | | 2,508 | | Principal transactions | 130 | | (1,468) | | 3,571 | | — | | 2,233 | |
| Principal transactions—intercompany | Principal transactions—intercompany | 42 | | | 4,350 | | | (4,392) | | | — | | | — | | Principal transactions—intercompany | (305) | | 2,220 | | (1,915) | | — | | — | |
| Other revenue | Other revenue | (90) | | | 208 | | | 1,430 | | | — | | | 1,548 | | Other revenue | (138) | | 159 | | 1,103 | | — | | 1,124 | |
| Other revenue—intercompany | Other revenue—intercompany | 78 | | | 12 | | | (90) | | | — | | | — | | Other revenue—intercompany | (44) | | (13) | | 57 | | — | | — | |
| Total non-interest revenues | Total non-interest revenues | $ | (139) | | | $ | 2,315 | | | $ | 4,633 | | | $ | — | | | $ | 6,809 | | Total non-interest revenues | $ | (357) | | $ | 2,876 | | $ | 4,237 | | $ | — | | $ | 6,756 | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 1,774 | | | $ | 2,906 | | | $ | 14,872 | | | $ | (2,250) | | | $ | 17,302 | | Total revenues, net of interest expense | $ | 1,924 | | $ | 3,325 | | $ | 14,790 | | $ | (2,592) | | $ | 17,447 | |
| Provisions for credit losses and for benefits and claims | Provisions for credit losses and for benefits and claims | $ | — | | | $ | (1) | | | $ | 2,385 | | | $ | — | | | $ | 2,384 | | 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 | $ | (21) | | | $ | 1,165 | | | $ | 4,451 | | | $ | — | | | $ | 5,595 | | Compensation and benefits | $ | 3 | | $ | 1,347 | | $ | 4,708 | | $ | — | | $ | 6,058 | |
| Compensation and benefits—intercompany | Compensation and benefits—intercompany | 44 | | | — | | | (44) | | | — | | | — | | Compensation and benefits—intercompany | 21 | | — | | (21) | | — | | — | |
| Other operating | Other operating | 5 | | | 597 | | | 4,767 | | | — | | | 5,369 | | Other operating | 35 | | 728 | | 4,956 | | — | | 5,719 | |
| Other operating—intercompany | Other operating—intercompany | 4 | | | 772 | | | (776) | | | — | | | — | | Other operating—intercompany | 2 | | 781 | | (783) | | — | | — | |
| Total operating expenses | Total operating expenses | $ | 32 | | | $ | 2,534 | | | $ | 8,398 | | | $ | — | | | $ | 10,964 | | Total operating expenses | $ | 61 | | $ | 2,856 | | $ | 8,860 | | $ | — | | $ | 11,777 | |
| Equity in undistributed income of subsidiaries | Equity in undistributed income of subsidiaries | $ | 1,056 | | | $ | — | | | $ | — | | | $ | (1,056) | | | $ | — | | 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 | $ | 2,798 | | | $ | 373 | | | $ | 4,089 | | | $ | (3,306) | | | $ | 3,954 | | 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 | (348) | | | 165 | | | 960 | | | — | | | 777 | | Provision (benefit) for income taxes | (249) | | 183 | | 1,259 | | — | | 1,193 | |
| Income (loss) from continuing operations | Income (loss) from continuing operations | $ | 3,146 | | | $ | 208 | | | $ | 3,129 | | | $ | (3,306) | | | $ | 3,177 | | 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 | — | | | — | | | (7) | | | — | | | (7) | | Income (loss) from discontinued operations, net of taxes | — | | — | | (1) | | — | | (1) | |
| Net income (loss) before attribution of noncontrolling interests | Net income (loss) before attribution of noncontrolling interests | $ | 3,146 | | | $ | 208 | | | $ | 3,122 | | | $ | (3,306) | | | $ | 3,170 | | Net income (loss) before attribution of noncontrolling interests | $ | 4,644 | | $ | 284 | | $ | 4,862 | | $ | (5,122) | | $ | 4,668 | |
| Noncontrolling interests | Noncontrolling interests | — | | | — | | | 24 | | | — | | | 24 | | Noncontrolling interests | — | | — | | 24 | | — | | 24 | |
| Net income (loss) | Net income (loss) | $ | 3,146 | | | $ | 208 | | | $ | 3,098 | | | $ | (3,306) | | | $ | 3,146 | | 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) | $ | 280 | | | $ | (51) | | | $ | (2,178) | | | $ | 2,229 | | | $ | 280 | | Add: Other comprehensive income (loss) | $ | (1,731) | | $ | (195) | | $ | 2,007 | | $ | (1,812) | | $ | (1,731) | |
| Total Citigroup comprehensive income (loss) | Total Citigroup comprehensive income (loss) | $ | 3,426 | | | $ | 157 | | | $ | 920 | | | $ | (1,077) | | | $ | 3,426 | | 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 | $ | — | | | $ | — | | | $ | 19 | | | $ | — | | | $ | 19 | | Add: Other comprehensive income attributable to noncontrolling interests | $ | — | | $ | — | | $ | (31) | | $ | — | | $ | (31) | |
| Add: Net income attributable to noncontrolling interests | Add: Net income attributable to noncontrolling interests | — | | | — | | | 24 | | | — | | | 24 | | Add: Net income attributable to noncontrolling interests | — | | — | | 24 | | — | | 24 | |
| Total comprehensive income (loss) | Total comprehensive income (loss) | $ | 3,426 | | | $ | 157 | | | $ | 963 | | | $ | (1,077) | | | $ | 3,469 | | Total comprehensive income (loss) | $ | 2,913 | | $ | 89 | | $ | 6,838 | | $ | (6,934) | | $ | 2,906 | |
| |
| Condensed Consolidating Statements of Income and Comprehensive Income | | | Nine Months Ended September 30, 2020 | | 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 | $ | 2,355 | | | $ | — | | | $ | — | | | $ | (2,355) | | | $ | — | | Dividends from subsidiaries | $ | 6,392 | | $ | — | | $ | — | | $ | (6,392) | | $ | — | |
| Interest revenue | Interest revenue | — | | | 4,340 | | | 40,702 | | | — | | | 45,042 | | Interest revenue | — | | 2,829 | | 34,818 | | — | | 37,647 | |
| Interest revenue—intercompany | Interest revenue—intercompany | 3,202 | | | 776 | | | (3,978) | | | — | | | — | | Interest revenue—intercompany | 2,847 | | 410 | | (3,257) | | — | | — | |
| Interest expense | Interest expense | 3,675 | | | 1,795 | | | 6,507 | | | — | | | 11,977 | | Interest expense | 3,611 | | 645 | | 1,716 | | — | | 5,972 | |
| Interest expense—intercompany | Interest expense—intercompany | 451 | | | 1,819 | | | (2,270) | | | — | | | — | | Interest expense—intercompany | 234 | | 982 | | (1,216) | | — | | — | |
| Net interest revenue | $ | (924) | | | $ | 1,502 | | | $ | 32,487 | | | $ | — | | | $ | 33,065 | | |
| Net interest income | | Net interest income | $ | (998) | | $ | 1,612 | | $ | 31,061 | | $ | — | | $ | 31,675 | |
| Commissions and fees | Commissions and fees | $ | — | | | $ | 4,815 | | | $ | 3,892 | | | $ | — | | | $ | 8,707 | | Commissions and fees | $ | — | | $ | 5,890 | | $ | 4,553 | | $ | — | | $ | 10,443 | |
| Commissions and fees—intercompany | Commissions and fees—intercompany | (19) | | | 267 | | | (248) | | | — | | | — | | Commissions and fees—intercompany | (27) | | 220 | | (193) | | — | | — | |
| Principal transactions | Principal transactions | (1,099) | | | (518) | | | 13,543 | | | — | | | 11,926 | | Principal transactions | 1,007 | | 5,109 | | 2,334 | | — | | 8,450 | |
| Principal transactions—intercompany | Principal transactions—intercompany | 606 | | | 4,849 | | | (5,455) | | | — | | | — | | Principal transactions—intercompany | (1,273) | | (2,128) | | 3,401 | | — | | — | |
| Other revenue | Other revenue | (24) | | | 468 | | | 3,657 | | | — | | | 4,101 | | Other revenue | (87) | | 401 | | 3,985 | | — | | 4,299 | |
| Other revenue—intercompany | Other revenue—intercompany | 16 | | | 38 | | | (54) | | | — | | | — | | Other revenue—intercompany | (105) | | (41) | | 146 | | — | | — | |
| Total non-interest revenues | Total non-interest revenues | $ | (520) | | | $ | 9,919 | | | $ | 15,335 | | | $ | — | | | $ | 24,734 | | Total non-interest revenues | $ | (485) | | $ | 9,451 | | $ | 14,226 | | $ | — | | $ | 23,192 | |
| Total revenues, net of interest expense | Total revenues, net of interest expense | $ | 911 | | | $ | 11,421 | | | $ | 47,822 | | | $ | (2,355) | | | $ | 57,799 | | Total revenues, net of interest expense | $ | 4,909 | | $ | 11,063 | | $ | 45,287 | | $ | (6,392) | | $ | 54,867 | |
| Provisions for credit losses and for benefits and claims | Provisions for credit losses and for benefits and claims | $ | — | | | $ | (1) | | | $ | 17,542 | | | $ | — | | | $ | 17,541 | | 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 | $ | 112 | | | $ | 3,806 | | | $ | 12,955 | | | $ | — | | | $ | 16,873 | | Compensation and benefits | $ | 31 | | $ | 3,984 | | $ | 14,026 | | $ | — | | $ | 18,041 | |
| Compensation and benefits—intercompany | Compensation and benefits—intercompany | 119 | | | — | | | (119) | | | — | | | — | | Compensation and benefits—intercompany | 69 | | — | | (69) | | — | | — | |
| Other operating | Other operating | 37 | | | 1,789 | | | 13,368 | | | — | | | 15,194 | | Other operating | 60 | | 2,050 | | 14,510 | | — | | 16,620 | |
| Other operating—intercompany | Other operating—intercompany | 12 | | | 1,629 | | | (1,641) | | | — | | | — | | Other operating—intercompany | 8 | | 2,269 | | (2,277) | | — | | — | |
| Total operating expenses | Total operating expenses | $ | 280 | | | $ | 7,224 | | | $ | 24,563 | | | $ | — | | | $ | 32,067 | | Total operating expenses | $ | 168 | | $ | 8,303 | | $ | 26,190 | | $ | — | | $ | 34,661 | |
| Equity in undistributed income of subsidiaries | Equity in undistributed income of subsidiaries | $ | 5,285 | | | $ | — | | | $ | — | | | $ | (5,285) | | | $ | — | | 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 | $ | 5,916 | | | $ | 4,198 | | | $ | 5,717 | | | $ | (7,640) | | | $ | 8,191 | | 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 | (822) | | | 1,217 | | | 1,014 | | | — | | | 1,409 | | Provision (benefit) for income taxes | (768) | | 516 | | 4,932 | | — | | 4,680 | |
| Income (loss) from continuing operations | Income (loss) from continuing operations | $ | 6,738 | | | $ | 2,981 | | | $ | 4,703 | | | $ | (7,640) | | | $ | 6,782 | | 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 | — | | | — | | | (26) | | | — | | | (26) | | 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 | $ | 6,738 | | | $ | 2,981 | | | $ | 4,677 | | | $ | (7,640) | | | $ | 6,756 | | Net income (loss) before attribution of noncontrolling interests | $ | 18,779 | | $ | 2,235 | | $ | 17,494 | | $ | (19,662) | | $ | 18,846 | |
| Noncontrolling interests | Noncontrolling interests | — | | | — | | | 18 | | | — | | | 18 | | Noncontrolling interests | — | | — | | 67 | | — | | 67 | |
| Net income (loss) | Net income (loss) | $ | 6,738 | | | $ | 2,981 | | | $ | 4,659 | | | $ | (7,640) | | | $ | 6,738 | | 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) | $ | 3,253 | | | $ | 277 | | | $ | 10,058 | | | $ | (10,335) | | | $ | 3,253 | | Add: Other comprehensive income (loss) | $ | (4,793) | | $ | (238) | | $ | 578 | | $ | (340) | | $ | (4,793) | |
| Total Citigroup comprehensive income (loss) | Total Citigroup comprehensive income (loss) | $ | 9,991 | | | $ | 3,258 | | | $ | 14,717 | | | $ | (17,975) | | | $ | 9,991 | | 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 | $ | — | | | $ | — | | | $ | 7 | | | $ | — | | | $ | 7 | | Add: Other comprehensive income attributable to noncontrolling interests | $ | — | | $ | — | | $ | (71) | | $ | — | | $ | (71) | |
| Add: Net income attributable to noncontrolling interests | Add: Net income attributable to noncontrolling interests | — | | | — | | | 18 | | | — | | | 18 | | Add: Net income attributable to noncontrolling interests | — | | — | | 67 | | — | | 67 | |
| Total comprehensive income (loss) | Total comprehensive income (loss) | $ | 9,991 | | | $ | 3,258 | | | $ | 14,742 | | | $ | (17,975) | | | $ | 10,016 | | Total comprehensive income (loss) | $ | 13,986 | | $ | 1,997 | | $ | 18,001 | | $ | (20,002) | | $ | 13,982 | |
Condensed Consolidating Balance Sheet
| | | September 30, 2021 | | September 30, 2022 |
| In millions of dollars | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated |
| Assets | Assets | | | Assets | |
| Cash and due from banks | Cash and due from banks | $ | — | | | $ | 965 | | | $ | 27,941 | | | $ | — | | | $ | 28,906 | | Cash and due from banks | $ | — | | $ | 1,405 | | $ | 25,097 | | $ | — | | $ | 26,502 | |
| Cash and due from banks—intercompany | Cash and due from banks—intercompany | 8 | | | 6,033 | | | (6,041) | | | — | | | — | | Cash and due from banks—intercompany | 25 | | 5,903 | | (5,928) | | — | | — | |
| Deposits with banks, net of allowance | Deposits with banks, net of allowance | — | | | 5,763 | | | 289,139 | | | — | | | 294,902 | | Deposits with banks, net of allowance | — | | 8,582 | | 264,523 | | — | | 273,105 | |
| Deposits with banks—intercompany | Deposits with banks—intercompany | 4,000 | | | 9,200 | | | (13,200) | | | — | | | — | | Deposits with banks—intercompany | 3,000 | | 11,110 | | (14,110) | | — | | — | |
| Securities borrowed and purchased under resale agreements | Securities borrowed and purchased under resale agreements | — | | | 277,955 | | | 59,741 | | | — | | | 337,696 | | Securities borrowed and purchased under resale agreements | — | | 284,357 | | 64,857 | | — | | 349,214 | |
| Securities borrowed and purchased under resale agreements—intercompany | Securities borrowed and purchased under resale agreements—intercompany | — | | | 25,137 | | | (25,137) | | | — | | | — | | Securities borrowed and purchased under resale agreements—intercompany | — | | 20,830 | | (20,830) | | — | | — | |
| Trading account assets | Trading account assets | 249 | | | 204,591 | | | 138,074 | | | — | | | 342,914 | | Trading account assets | 150 | | 203,977 | | 154,133 | | — | | 358,260 | |
| Trading account assets—intercompany | Trading account assets—intercompany | 1,001 | | | 5,043 | | | (6,044) | | | — | | | — | | Trading account assets—intercompany | 155 | | 3,188 | | (3,343) | | — | | — | |
| Investments, net of allowance | Investments, net of allowance | 1 | | | 266 | | | 500,582 | | | — | | | 500,849 | | Investments, net of allowance | 1 | | 230 | | 507,785 | | — | | 508,016 | |
| Loans, net of unearned income | Loans, net of unearned income | — | | | 3,018 | | | 661,746 | | | — | | | 664,764 | | Loans, net of unearned income | — | | 1,633 | | 644,327 | | — | | 645,960 | |
| Loans, net of unearned income—intercompany | Loans, net of unearned income—intercompany | — | | | — | | | — | | | — | | | — | | Loans, net of unearned income—intercompany | — | | — | | — | | — | | — | |
| Allowance for credit losses on loans (ACLL) | Allowance for credit losses on loans (ACLL) | — | | | — | | | (17,715) | | | — | | | (17,715) | | Allowance for credit losses on loans (ACLL) | — | | — | | (16,309) | | — | | (16,309) | |
| Total loans, net | Total loans, net | $ | — | | | $ | 3,018 | | | $ | 644,031 | | | $ | — | | | $ | 647,049 | | Total loans, net | $ | — | | $ | 1,633 | | $ | 628,018 | | $ | — | | $ | 629,651 | |
| Advances to subsidiaries | Advances to subsidiaries | $ | 147,338 | | | $ | — | | | $ | (147,338) | | | $ | — | | | $ | — | | Advances to subsidiaries | $ | 138,514 | | $ | — | | $ | (138,514) | | $ | — | | $ | — | |
| Investments in subsidiaries | Investments in subsidiaries | 222,021 | | | — | | | — | | | (222,021) | | | — | | Investments in subsidiaries | 219,162 | | — | | — | | (219,162) | | — | |
Other assets, net of allowance(1) | Other assets, net of allowance(1) | 11,043 | | | 74,168 | | | 124,349 | | | — | | | 209,560 | | Other assets, net of allowance(1) | 10,066 | | 90,233 | | 136,017 | | — | | 236,316 | |
| Other assets—intercompany | Other assets—intercompany | 2,867 | | | 62,048 | | | (64,915) | | | — | | | — | | Other assets—intercompany | 3,647 | | 84,026 | | (87,673) | | — | | — | |
| Total assets | Total assets | $ | 388,528 | | | $ | 674,187 | | | $ | 1,521,182 | | | $ | (222,021) | | | $ | 2,361,876 | | Total assets | $ | 374,720 | | $ | 715,474 | | $ | 1,510,032 | | $ | (219,162) | | $ | 2,381,064 | |
| Liabilities and equity | Liabilities and equity | | | Liabilities and equity | |
| Deposits | Deposits | $ | — | | | $ | — | | | $ | 1,347,528 | | | $ | — | | | $ | 1,347,528 | | Deposits | $ | — | | $ | — | | $ | 1,306,486 | | $ | — | | $ | 1,306,486 | |
| Deposits—intercompany | Deposits—intercompany | — | | | — | | | — | | | — | | | — | | Deposits—intercompany | — | | — | | — | | — | | — | |
| Securities loaned and sold under repurchase agreements | Securities loaned and sold under repurchase agreements | — | | | 192,276 | | | 16,908 | | | — | | | 209,184 | | Securities loaned and sold under repurchase agreements | — | | 183,473 | | 19,956 | | — | | 203,429 | |
| Securities loaned and sold under repurchase agreements—intercompany | Securities loaned and sold under repurchase agreements—intercompany | — | | | 66,703 | | | (66,703) | | | — | | | — | | Securities loaned and sold under repurchase agreements—intercompany | — | | 65,458 | | (65,458) | | — | | — | |
| Trading account liabilities | Trading account liabilities | 32 | | | 131,565 | | | 47,689 | | | — | | | 179,286 | | Trading account liabilities | 44 | | 116,473 | | 79,962 | | — | | 196,479 | |
| Trading account liabilities—intercompany | Trading account liabilities—intercompany | 632 | | | 4,565 | | | (5,197) | | | — | | | — | | Trading account liabilities—intercompany | 660 | | 3,475 | | (4,135) | | — | | — | |
| Short-term borrowings | Short-term borrowings | — | | | 14,547 | | | 15,136 | | | — | | | 29,683 | | Short-term borrowings | — | | 20,483 | | 26,885 | | — | | 47,368 | |
| Short-term borrowings—intercompany | Short-term borrowings—intercompany | — | | | 16,400 | | | (16,400) | | | — | | | — | | Short-term borrowings—intercompany | — | | 25,335 | | (25,335) | | — | | — | |
| Long-term debt | Long-term debt | 170,104 | | | 57,826 | | | 30,344 | | | — | | | 258,274 | | Long-term debt | 159,251 | | 75,887 | | 17,930 | | — | | 253,068 | |
| Long-term debt—intercompany | Long-term debt—intercompany | — | | | 74,016 | | | (74,016) | | | — | | | — | | Long-term debt—intercompany | — | | 81,276 | | (81,276) | | — | | — | |
| Advances from subsidiaries | Advances from subsidiaries | 14,049 | | | — | | | (14,049) | | | — | | | — | | Advances from subsidiaries | 13,714 | | — | | (13,714) | | — | | — | |
| Other liabilities, including allowance | 2,780 | | | 66,345 | | | 67,186 | | | — | | | 136,311 | | |
| Other liabilities | | Other liabilities | 2,405 | | 92,435 | | 80,277 | | — | | 175,117 | |
| Other liabilities—intercompany | Other liabilities—intercompany | 56 | | | 12,466 | | | (12,522) | | | — | | | — | | Other liabilities—intercompany | 86 | | 12,092 | | (12,178) | | — | | — | |
| Stockholders’ equity | Stockholders’ equity | 200,875 | | | 37,478 | | | 185,278 | | | (222,021) | | | 201,610 | | Stockholders’ equity | 198,560 | | 39,087 | | 180,632 | | (219,162) | | 199,117 | |
| Total liabilities and equity | Total liabilities and equity | $ | 388,528 | | | $ | 674,187 | | | $ | 1,521,182 | | | $ | (222,021) | | | $ | 2,361,876 | | Total liabilities and equity | $ | 374,720 | | $ | 715,474 | | $ | 1,510,032 | | $ | (219,162) | | $ | 2,381,064 | |
(1)Other assets for Citigroup parent company at September 30, 2022 included $35.8 billion of placements to Citibank and its branches, of which $26.0 billion had a remaining term of less than 30 days.
Condensed Consolidating Balance Sheet
| | | | | | | | | | | | | | | | | |
| December 31, 2021 |
| In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated |
| Assets | | | | | |
| Cash and due from banks | $ | — | | $ | 834 | | $ | 26,681 | | $ | — | | $ | 27,515 | |
| Cash and due from banks—intercompany | 17 | | 6,890 | | (6,907) | | — | | — | |
| Deposits with banks, net of allowance | — | | 7,936 | | 226,582 | | — | | 234,518 | |
| Deposits with banks—intercompany | 3,500 | | 11,005 | | (14,505) | | — | | — | |
| Securities borrowed and purchased under resale agreements | — | | 269,608 | | 57,680 | | — | | 327,288 | |
| Securities borrowed and purchased under resale agreements—intercompany | — | | 23,362 | | (23,362) | | — | | — | |
| Trading account assets | 248 | | 189,841 | | 141,856 | | — | | 331,945 | |
| Trading account assets—intercompany | 1,215 | | 1,438 | | (2,653) | | — | | — | |
| Investments, net of allowance | 1 | | 224 | | 512,597 | | — | | 512,822 | |
| Loans, net of unearned income | — | | 2,293 | | 665,474 | | — | | 667,767 | |
| Loans, net of unearned income—intercompany | — | | — | | — | | — | | — | |
| Allowance for credit losses on loans (ACLL) | — | | — | | (16,455) | | — | | (16,455) | |
| Total loans, net | $ | — | | $ | 2,293 | | $ | 649,019 | | $ | — | | $ | 651,312 | |
| Advances to subsidiaries | $ | 142,144 | | $ | — | | $ | (142,144) | | $ | — | | $ | — | |
| Investments in subsidiaries | 223,303 | | — | | — | | (223,303) | | — | |
Other assets, net of allowance(1) | 10,589 | | 69,312 | | 126,112 | | — | | 206,013 | |
| Other assets—intercompany | 2,737 | | 60,567 | | (63,304) | | — | | — | |
| Total assets | $ | 383,754 | | $ | 643,310 | | $ | 1,487,652 | | $ | (223,303) | | $ | 2,291,413 | |
| Liabilities and equity | | | | | |
| Deposits | $ | — | | $ | — | | $ | 1,317,230 | | $ | — | | $ | 1,317,230 | |
| Deposits—intercompany | — | | — | | — | | — | | — | |
| Securities loaned and sold under repurchase agreements | — | | 171,818 | | 19,467 | | — | | 191,285 | |
| Securities loaned and sold under repurchase agreements—intercompany | — | | 62,197 | | (62,197) | | — | | — | |
| Trading account liabilities | 17 | | 122,383 | | 39,129 | | — | | 161,529 | |
| Trading account liabilities—intercompany | 777 | | 500 | | (1,277) | | — | | — | |
| Short-term borrowings | — | | 13,425 | | 14,548 | | — | | 27,973 | |
| Short-term borrowings—intercompany | — | | 17,230 | | (17,230) | | — | | — | |
| Long-term debt | 164,945 | | 61,416 | | 28,013 | | — | | 254,374 | |
| Long-term debt—intercompany | — | | 76,335 | | (76,335) | | — | | — | |
| Advances from subsidiaries | 13,469 | | — | | (13,469) | | — | | — | |
| Other liabilities | 2,574 | | 68,206 | | 65,570 | | — | | 136,350 | |
| Other liabilities—intercompany | — | | 11,774 | | (11,774) | | — | | — | |
| Stockholders’ equity | 201,972 | | 38,026 | | 185,977 | | (223,303) | | 202,672 | |
| Total liabilities and equity | $ | 383,754 | | $ | 643,310 | | $ | 1,487,652 | | $ | (223,303) | | $ | 2,291,413 | |
(1)Other assets for Citigroup parent company at December 31, 2021 included $35.0$30.5 billion of placements to Citibank and its branches, of which $19.5 billion had a remaining term of less than 30 days.
Condensed Consolidating Balance Sheet
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| December 31, 2020 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Assets | | | | | | | | | |
| Cash and due from banks | $ | — | | | $ | 628 | | | $ | 25,721 | | | $ | — | | | $ | 26,349 | |
| Cash and due from banks—intercompany | 16 | | | 6,081 | | | (6,097) | | | — | | | — | |
| Deposits with banks, net of allowance | — | | | 5,224 | | | 278,042 | | | — | | | 283,266 | |
| Deposits with banks—intercompany | 4,500 | | | 8,179 | | | (12,679) | | | — | | | — | |
| Securities borrowed and purchased under resale agreements | — | | | 238,718 | | | 55,994 | | | — | | | 294,712 | |
| Securities borrowed and purchased under resale agreements—intercompany | — | | | 24,309 | | | (24,309) | | | — | | | — | |
| Trading account assets | 307 | | | 222,278 | | | 152,494 | | | — | | | 375,079 | |
| Trading account assets—intercompany | 723 | | | 9,400 | | | (10,123) | | | — | | | — | |
| Investments, net of allowance | 1 | | | 374 | | | 446,984 | | | — | | | 447,359 | |
| Loans, net of unearned income | — | | | 2,524 | | | 673,359 | | | — | | | 675,883 | |
| Loans, net of unearned income—intercompany | — | | | — | | | — | | | — | | | — | |
| Allowance for credit losses on loans (ACLL) | — | | | — | | | (24,956) | | | — | | | (24,956) | |
| Total loans, net | $ | — | | | $ | 2,524 | | | $ | 648,403 | | | $ | — | | | $ | 650,927 | |
| Advances to subsidiaries | $ | 152,383 | | | $ | — | | | $ | (152,383) | | | $ | — | | | $ | — | |
| Investments in subsidiaries | 213,267 | | | — | | | — | | | (213,267) | | | — | |
Other assets, net of allowance(1) | 12,156 | | | 60,273 | | | 109,969 | | | — | | | 182,398 | |
| Other assets—intercompany | 2,781 | | | 51,489 | | | (54,270) | | | — | | | — | |
| Total assets | $ | 386,134 | | | $ | 629,477 | | | $ | 1,457,746 | | | $ | (213,267) | | | $ | 2,260,090 | |
| Liabilities and equity | | | | | | | | | |
| Deposits | $ | — | | | $ | — | | | $ | 1,280,671 | | | $ | — | | | $ | 1,280,671 | |
| Deposits—intercompany | — | | | — | | | — | | | — | | | — | |
| Securities loaned and sold under repurchase agreements | — | | | 184,786 | | | 14,739 | | | — | | | 199,525 | |
| Securities loaned and sold under repurchase agreements—intercompany | — | | | 76,590 | | | (76,590) | | | — | | | — | |
| Trading account liabilities | — | | | 113,100 | | | 54,927 | | | — | | | 168,027 | |
| Trading account liabilities—intercompany | 397 | | | 8,591 | | | (8,988) | | | — | | | — | |
| Short-term borrowings | — | | | 12,323 | | | 17,191 | | | — | | | 29,514 | |
| Short-term borrowings—intercompany | — | | | 12,757 | | | (12,757) | | | — | | | — | |
| Long-term debt | 170,563 | | | 47,732 | | | 53,391 | | | — | | | 271,686 | |
| Long-term debt—intercompany | — | | | 67,322 | | | (67,322) | | | — | | | — | |
| Advances from subsidiaries | 12,975 | | | — | | | (12,975) | | | — | | | — | |
| Other liabilities, including allowance | 2,692 | | | 55,217 | | | 52,558 | | | — | | | 110,467 | |
| Other liabilities—intercompany | 65 | | | 15,378 | | | (15,443) | | | — | | | — | |
| Stockholders’ equity | 199,442 | | | 35,681 | | | 178,344 | | | (213,267) | | | 200,200 | |
| Total liabilities and equity | $ | 386,134 | | | $ | 629,477 | | | $ | 1,457,746 | | | $ | (213,267) | | | $ | 2,260,090 | |
(1)Other assets for Citigroup parent company at December 31, 2020 included $29.5 billion of placements to Citibank and its branches, of which $24.3 billion had a remaining term of less than 30 days.
Condensed Consolidating Statement of Cash Flows
| | | Nine Months Ended September 30, 2021 | | Nine Months Ended September 30, 2022 |
| In millions of dollars | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | In millions of dollars | Citigroup parent company | CGMHI | Other Citigroup subsidiaries and eliminations | Consolidating adjustments | Citigroup consolidated |
| Net cash provided by operating activities of continuing operations | $ | 3,604 | | | $ | 30,413 | | | $ | 25,168 | | | $ | — | | | $ | 59,185 | | |
| Net cash provided by (used in) operating activities of continuing operations | | Net cash provided by (used in) operating activities of continuing operations | $ | (3,688) | | $ | (29,719) | | $ | 29,237 | | $ | — | | $ | (4,170) | |
| 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 | $ | — | | $ | (11,947) | | $ | (9,979) | | $ | — | | $ | (21,926) | |
| Change in loans | | Change in loans | — | | — | | (5,788) | | — | | (5,788) | |
| Proceeds from sales and securitizations of loans | | Proceeds from sales and securitizations of loans | — | | — | | 3,077 | | — | | 3,077 | |
| Proceeds from divestitures | | Proceeds from divestitures | — | | — | | 3,242 | | | 3,242 | |
| Available-for-sale debt securities: | | Available-for-sale debt securities: | | |
| Purchases of investments | Purchases of investments | $ | — | | | $ | — | | | $ | (277,874) | | | $ | — | | | $ | (277,874) | | Purchases of investments | — | | — | | (177,306) | | — | | (177,306) | |
| Proceeds from sales of investments | Proceeds from sales of investments | — | | | — | | | 96,203 | | | — | | | 96,203 | | Proceeds from sales of investments | — | | — | | 86,454 | | — | | 86,454 | |
| Proceeds from maturities of investments | Proceeds from maturities of investments | — | | | — | | | 107,361 | | | — | | | 107,361 | | Proceeds from maturities of investments | — | | — | | 118,951 | | — | | 118,951 | |
| | Change in loans | — | | | — | | | 6,613 | | | — | | | 6,613 | | |
| Proceeds from sales and securitizations of loans | — | | | — | | | 1,134 | | | — | | | 1,134 | | |
| Held-to-maturity debt securities: | | Held-to-maturity debt securities: | | |
| Purchases of investments | | Purchases of investments | — | | — | | (39,288) | | — | | (39,288) | |
| Proceeds from maturities of investments | | Proceeds from maturities of investments | — | | — | | 9,913 | | — | | 9,913 | |
| | Change in securities borrowed and purchased under agreements to resell | — | | | (40,065) | | | (2,919) | | | — | | | (42,984) | | |
| | Changes in investments and advances—intercompany | Changes in investments and advances—intercompany | 3,374 | | | (9,743) | | | 6,369 | | | — | | | — | | Changes in investments and advances—intercompany | (1,070) | | (23,189) | | 24,259 | | — | | — | |
| Other investing activities | Other investing activities | — | | | (42) | | | (2,480) | | | — | | | (2,522) | | Other investing activities | — | | (45) | | (4,106) | | — | | (4,151) | |
| Net cash provided by (used in) investing activities of continuing operations | Net cash provided by (used in) investing activities of continuing operations | $ | 3,374 | | | $ | (49,850) | | | $ | (65,593) | | | $ | — | | | $ | (112,069) | | Net cash provided by (used in) investing activities of continuing operations | $ | (1,070) | | $ | (35,181) | | $ | 9,429 | | $ | — | | $ | (26,822) | |
| 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 | $ | (3,959) | | | $ | (195) | | | $ | 195 | | | $ | — | | | $ | (3,959) | | Dividends paid | $ | (3,777) | | $ | (271) | | $ | 271 | | $ | — | | $ | (3,777) | |
| Issuance of preferred stock | 2,300 | | | — | | | — | | | — | | | 2,300 | | |
| Redemption of preferred stock | (3,785) | | | — | | | — | | | — | | | (3,785) | | |
| | Treasury stock acquired | Treasury stock acquired | (7,448) | | | — | | | — | | | — | | | (7,448) | | Treasury stock acquired | (3,250) | | — | | — | | — | | (3,250) | |
| Proceeds (repayments) from issuance of long-term debt, net | 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, net | 11,386 | | 30,094 | | (3,032) | | — | | 38,448 | |
| Proceeds (repayments) from issuance of long-term debt—intercompany, net | Proceeds (repayments) from issuance of long-term debt—intercompany, net | — | | | 9,084 | | | (9,084) | | | — | | | — | | Proceeds (repayments) from issuance of long-term debt—intercompany, net | — | | 12,847 | | (12,847) | | — | | — | |
| Change in deposits | Change in deposits | — | | | — | | | 73,769 | | | — | | | 73,769 | | Change in deposits | — | | | 8,947 | | — | | 8,947 | |
| Change in securities loaned and sold under agreements to repurchase | Change in securities loaned and sold under agreements to repurchase | — | | | (2,397) | | | 12,056 | | | — | | | 9,659 | | Change in securities loaned and sold under agreements to repurchase | — | | 14,916 | | (2,772) | | — | | 12,144 | |
| Change in short-term borrowings | Change in short-term borrowings | — | | | 2,224 | | | (2,055) | | | — | | | 169 | | Change in short-term borrowings | — | | 7,058 | | 12,337 | | — | | 19,395 | |
| Net change in short-term borrowings and other advances—intercompany | Net change in short-term borrowings and other advances—intercompany | 1,074 | | | 1,253 | | | (2,327) | | | — | | | — | | Net change in short-term borrowings and other advances—intercompany | 246 | | 207 | | (453) | | — | | — | |
| Capital contributions from (to) parent | Capital contributions from (to) parent | — | | — | | (19) | | | 19 | | | — | | | — | | Capital contributions from (to) parent | — | | 380 | | (380) | | — | | — | |
| Other financing activities | Other financing activities | (328) | | | — | | | — | | | — | | | (328) | | Other financing activities | (339) | | 4 | | (4) | | — | | (339) | |
| Net cash provided by (used in) financing activities of continuing operations | $ | (7,486) | | | $ | 21,286 | | | $ | 54,066 | | | $ | — | | | $ | 67,866 | | |
| Net cash provided by financing activities of continuing operations | | Net cash provided by financing activities of continuing operations | $ | 4,266 | | $ | 65,235 | | $ | 2,067 | | $ | — | | $ | 71,568 | |
| Effect of exchange rate changes on cash and due from banks | Effect of exchange rate changes on cash and due from banks | $ | — | | | $ | — | | | $ | (789) | | | $ | — | | | $ | (789) | | Effect of exchange rate changes on cash and due from banks | $ | — | | $ | — | | $ | (3,002) | | $ | — | | $ | (3,002) | |
| | Change in cash and due from banks and deposits with banks | Change in cash and due from banks and deposits with banks | $ | (508) | | | $ | 1,849 | | | $ | 12,852 | | | $ | — | | | $ | 14,193 | | Change in cash and due from banks and deposits with banks | $ | (492) | | $ | 335 | | $ | 37,731 | | $ | — | | $ | 37,574 | |
| Cash and due from banks and deposits with banks at beginning of period | 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 beginning of period | 3,517 | | 26,665 | | 231,851 | | — | | 262,033 | |
| Cash and due from banks and deposits with banks at end of period | 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 and deposits with banks at end of period | $ | 3,025 | | $ | 27,000 | | $ | 269,582 | | $ | — | | $ | 299,607 | |
| Cash and due from banks | Cash and due from banks | $ | 8 | | | $ | 6,998 | | | $ | 21,900 | | | $ | — | | | $ | 28,906 | | Cash and due from banks | $ | 25 | | $ | 7,308 | | $ | 19,169 | | $ | — | | $ | 26,502 | |
| Deposits with banks, net of allowance | Deposits with banks, net of allowance | 4,000 | | | 14,963 | | | 275,939 | | | — | | | 294,902 | | Deposits with banks, net of allowance | 3,000 | | 19,692 | | 250,413 | | — | | 273,105 | |
| Cash and due from banks and deposits with banks at end of period | 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 and deposits with banks at end of period | $ | 3,025 | | $ | 27,000 | | $ | 269,582 | | $ | — | | $ | 299,607 | |
| 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 (received) during the period for income taxes | Cash paid (received) during the period for income taxes | $ | (1,757) | | | $ | 809 | | | $ | 4,011 | | | $ | — | | | $ | 3,063 | | Cash paid (received) during the period for income taxes | $ | (1,030) | | $ | 228 | | $ | 3,486 | | $ | — | | $ | 2,684 | |
| Cash paid during the period for interest | Cash paid during the period for interest | 2,307 | | | 1,687 | | | 2,900 | | | — | | | 6,894 | | Cash paid during the period for interest | 1,308 | | 4,785 | | 6,464 | | — | | 12,557 | |
| Non-cash investing activities | Non-cash investing activities | | | Non-cash investing activities | | |
| | Decrease in net loans associated with significant disposals reclassified to HFS | $ | — | | | $ | — | | | $ | 8,291 | | | $ | — | | | $ | 8,291 | | |
| Transfer of investment securities from AFS to HTM | | Transfer of investment securities from AFS to HTM | $ | — | | $ | — | | $ | 21,688 | | $ | — | | $ | 21,688 | |
| Decrease in net loans associated with divestitures reclassified to HFS | | Decrease in net loans associated with divestitures reclassified to HFS | — | | — | | 16,956 | | — | | 16,956 | |
| | Decrease in goodwill associated with divestitures reclassified to HFS | | Decrease in goodwill associated with divestitures reclassified to HFS | — | | — | | 876 | | — | | 876 | |
| | Transfers to loans HFS from loans | — | | | — | | | 5,329 | | | — | | | 5,329 | | |
Transfers to loans HFS (Other assets) from loans | | Transfers to loans HFS (Other assets) from loans | — | | — | | 4,037 | | — | | 4,037 | |
| | Non-cash financing activities | Non-cash financing activities | | | 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 | | |
| Decrease in deposits associated with divestitures reclassified to HFS | | Decrease in deposits associated with divestitures reclassified to HFS | $ | — | | $ | — | | $ | 19,691 | | $ | — | | $ | 19,691 | |
| |
Condensed Consolidating Statement of Cash Flows
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 | |
| | | | | | | | | |
| | | | | | | | | |
| 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) | |
| | | | | | | | | |
| | | | | | | | | |
| 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 | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| Transfers to loans HFS from loans | $ | — | | | $ | — | | | $ | 2,122 | | | $ | — | | | $ | 2,122 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| 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 (used in) operating activities of continuing operations | $ | 3,604 | | $ | 30,413 | | $ | 25,168 | | $ | — | | $ | 59,185 | |
| Cash flows from investing activities of continuing operations | | | | | |
| Change in securities borrowed and purchased under agreements to resell | $ | — | | $ | (40,065) | | $ | (2,919) | | $ | — | | $ | (42,984) | |
| Change in loans | — | | — | | 6,613 | | — | | 6,613 | |
| Proceeds from sales and securitizations of loans | — | | — | | 1,134 | | — | | 1,134 | |
| Available-for-sale debt securities: | | | | | |
| Purchases of investments | — | | — | | (164,613) | | — | | (164,613) | |
| Proceeds from sales of investments | — | | — | | 96,022 | | — | | 96,022 | |
| Proceeds from maturities of investments | — | | — | | 90,415 | | — | | 90,415 | |
| Held-to-maturity debt securities: | | | | | |
| Purchases of investments | — | | — | | (112,883) | | — | | (112,883) | |
| Proceeds from maturities of investments | — | | — | | 16,946 | | — | | 16,946 | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| | | | | |
| Changes in investments and advances—intercompany | 3,374 | | (9,743) | | 6,369 | | — | | — | |
| Other investing activities | — | | (42) | | (2,677) | | — | | (2,719) | |
| 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) | |
| | | | | |
| | | | | |
| 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 | | 1,989 | | — | | 5,983 | |
| Non-cash investing activities | | | | | |
| | | | | |
| Decrease in net loans associated with divestitures reclassified to HFS | $ | — | | $ | — | | $ | 8,291 | | $ | — | | $ | 8,291 | |
| | | | | |
| | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | |
| Transfers to loans HFS from loans | — | | — | | 5,329 | | — | | 5,329 | |
| | | | | |
| | | | | |
| Non-cash financing activities | | | | | |
| Decrease in deposits associated with divestitures reclassified to HFS | $ | — | | $ | — | | $ | 6,912 | | $ | — | | $ | 6,912 | |
| | | | | |
| Decrease in long-term debt associated with divestitures reclassified to HFS | — | | — | | 521 | | — | | 521 | |
UNREGISTERED SALES OF EQUITY SECURITIES, REPURCHASES OF EQUITY SECURITIES AND DIVIDENDS
Unregistered Sales of Equity Securities
None.
Equity Security Repurchases
All large banks, including Citi, are subject to limitations on capital distributions in the event of a breach of any regulatory capital buffers, including the Stress Capital Buffer, with the degree of such restrictions based on 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 on2021 Form 10-K.
Citi repurchased itsFor information on Citi’s pause of common shares for an aggregate of $3.0 billion duringshare repurchases, see “Executive Summary” above.
During the third 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 | Total shares purchased | Average
price paid
per share | |
| July 2021 | | | |
| Open market repurchases | 6.9 | | $ | 68.04 | | |
Employee transactions(1) | — | | — | | |
| August 2021 | | | |
| Open market repurchases | 21.5 | | 71.26 | | |
Employee transactions(1) | — | | — | | |
| September 2021 | | | |
| Open market repurchases | 14.3 | | 70.08 | | |
Employee transactions(1) | — | | — | | |
| Total for 3Q21 | 42.7 | | $ | 70.34 | | |
(1) During the third quarter,2022, pursuant to Citigroup’s Board of Directors’ authorization, Citi withheld 8,552an insignificant number of shares (at an average price of $72.74) of common stock, added to treasury stock, related to activity on employee stock programs to satisfy the employee tax requirements.
Dividends
Citi paid common dividends of $0.51 per share during the first, second and third quarterquarters of 2021,2022, and on October 20, 2022, declared common dividends of $0.51 per share for the fourth quarter of 2021 on October 21, 2021.2022. As previously announced, Citi intends to maintain its planned capital actions, which include acurrent 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 is 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 on2021 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.
On October 20, 2022, Citi declared preferred dividends of approximately $238 million for the fourth quarter of 2022.
For information on the ability of Citigroup’s subsidiary depository institutions to pay dividends, see Note 18 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on2021 Form 10-K.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on the 8th4th day of November, 2021.2022.
CITIGROUP INC.
(Registrant)
By /s/ Mark A. L. Mason
Mark A. L. Mason
Chief Financial Officer
(Principal Financial Officer)
By /s/ Johnbull E. Okpara
Johnbull E. Okpara
Controller and Chief Accounting Officer
(Principal Accounting Officer)
GLOSSARY OF TERMS AND ACRONYMS
The following is a list of terms and acronyms that are used in this Quarterly Report on Form 10-Q and other Citigroup SEC filings and presentations.
* Denotes a Citi metric
2021 Annual Report on Form 10-K: Annual report on Form 10-K for year ended December 31, 2021, filed with the SEC.
2021 Form 10-K: Current Report on Form 8-K dated May 10, 2022 (see “Overview” above) together with the 2021 Annual Report on Form 10-K.
90+ days past due delinquency rate*: Represents consumer loans that are past due by 90 or more days, divided by that period’s total EOP loans.
ABS: Asset-backed securities
ACL: Allowance for credit losses
ACLL: Allowance for credit losses on loans
ACLUC: Allowance for credit losses on unfunded lending commitments
AFS: Available-for-sale
ALCO: Asset Liability Committee
Amortized cost: Amount at which a financing receivable or investment is originated or acquired, adjusted for accretion or amortization of premium, discount, and net deferred fees or costs, collection of cash, charge-offs, foreign exchange, and fair value hedge accounting adjustments. For AFS securities, amortized cost is also reduced by any impairment losses recognized in earnings. Amortized cost is not reduced by the allowance for credit losses, except where explicitly presented net.
AOCI: Accumulated other comprehensive income (loss)
ARM: Adjustable rate mortgage(s)
ASC: Accounting Standards Codification under GAAP issued by the FASB.
Asia Consumer: Asia Consumer Banking
ASU: Accounting Standards Update under GAAP issued by the FASB.
AUC: Assets under custody
AUM: Assets under management. Represent assets managed on behalf of Citi’s clients.
Available liquidity resources*: Resources available at the balance sheet date to support Citi’s client and business needs, including HQLA assets; additional unencumbered securities, including excess liquidity held at bank entities that is non-transferable to other entities within Citigroup; and available assets not already accounted for within Citi’s HQLA to support Federal Home Loan Bank (FHLB) and Federal Reserve Bank discount window borrowing capacity.
Basel III: Liquidity and capital rules adopted by the FRB based on an internationally agreed set of measures developed by the Basel Committee on Banking Supervision.
Beneficial interests issued by consolidated VIEs: Represents the interest of third-party holders of debt, equity securities or other obligations, issued by VIEs that Citi consolidates.
Benefit obligation: Refers to the projected benefit obligation for pension plans and the accumulated postretirement benefit obligation for OPEB plans.
BHC: Bank holding company
Book value per share*: EOP common equity divided by EOP common shares outstanding.
Bps: Basis points. One basis point equals 1/100th of one percent.
Branded cards: Citi’s branded cards business with a portfolio of proprietary cards (Double Cash, Custom Cash, ThankYou and Value cards) and co-branded cards (including, among others, American Airlines and Costco).
Build: A net increase in ACL through the provision for credit losses.
Cards: Citi’s credit cards’ businesses or activities.
CCAR: Comprehensive Capital Analysis and Review
CCO: Chief Compliance Officer
CDS: Credit default swaps
CECL: Current expected credit losses
CEO: Chief Executive Officer
CET1 Capital: Common Equity Tier 1 Capital. See “Capital Resources—Components of Citigroup Capital” above for the components of CET1.
CET1 Capital ratio*: Common Equity Tier 1 Capital ratio. A primary regulatory capital ratio representing end-of-period CET1 Capital divided by total risk-weighted assets.
CFO: Chief Financial Officer
CFTC: Commodity Futures Trading Commission
CGMHI: Citigroup Global Markets Holdings Inc.
Citi: Citigroup Inc.
Citibank or CBNA: Citibank, N.A. (National Association)
Classifiably managed: Loans primarily evaluated for credit risk based on internal risk rating classification.
Client assets: Represent assets under management as well as custody, brokerage, administration and deposit accounts.
CLO: Collateralized loan obligations
Collateral dependent: A loan is considered collateral dependent when repayment of the loan is expected to be provided substantially through the operation or sale of the collateral when the borrower is experiencing financial
difficulty, including when foreclosure is deemed probable based on borrower delinquency.
Commercial cards: Provides a wide range of payment services to corporate and public sector clients worldwide through commercial card products. Services include procurement, corporate travel and entertainment, expense management services, and business-to-business payment solutions.
Consent orders: In October 2020, Citigroup and Citibank entered into consent orders with the Federal Reserve and OCC that require Citigroup and Citibank to make improvements in various aspects of enterprise-wide risk management, compliance, data quality management and governance and internal controls.
CRE: Commercial real estate
Credit card spend volume*: Dollar amount of card customers’ purchases, net of returns. Also known as purchase sales.
Credit cycle: A period of time over which credit quality improves, deteriorates and then improves again (or vice versa). The duration of a credit cycle can vary from a couple of years to several years.
Credit derivatives: Financial instruments whose value is derived from the credit risk associated with the debt of a third-party issuer (the reference entity), which allow one party (the protection purchaser) to transfer that risk to another party (the protection seller).
Critical Audit Matters: Audit matters communicated by KPMG to Citi’s Audit Committee of the Board of Directors, relating to accounts or disclosures that are material to the consolidated financial statements and involved especially challenging, subjective or complex judgments. See “Report of Independent Registered Public Accounting Firm” in Citi’s Annual Reports on Form 10-K.
Criticized: Criticized loans, lending-related commitments and derivative receivables that are classified as special mention, substandard and doubtful categories for regulatory purposes.
CRO: Chief Risk Officer
CTA: Currency translation adjustment, or cumulative translation adjustment. A separate component of equity within AOCI reported net of tax. For Citi, represents the impact of translating non-USD balance sheet items into USD each period. The CTA amount in EOP AOCI is a cumulative balance, net of tax.
CVA: Credit valuation adjustment
Delinquency managed: Loans primarily evaluated for credit risk based on delinquencies, FICO scores and the value of underlying collateral.
Dividend payout ratio*: Represents dividends declared per common share as a percentage of net income per diluted share.
Dodd-Frank Act: Wall Street Reform and Consumer Protection Act
DPD: Days past due
DSA: Deferred stock awards
DTA: Deferred tax asset
DVA: Debit valuation adjustment
EC: European Commission
Efficiency ratio*: A ratio signifying how much of a dollar in expenses (as a percentage) it takes to generate one dollar in revenue. Represents total operating expenses divided by total revenues, net.
EMEA: Europe, Middle East and Africa
EOP: End-of-period
EPS*: Earnings per share
ERISA: Employee Retirement Income Security Act of 1974
ETR: Effective tax rate
EU: European Union
Fannie Mae: Federal National Mortgage Association
FASB: Financial Accounting Standards Board
FDIC: Federal Deposit Insurance Corporation
Federal Reserve: The Board of the Governors of the Federal Reserve System
FFIEC: Federal Financial Institutions Examination Council
FHA: Federal Housing Administration
FHLB: Federal Home Loan Bank
FICO: Fair Issac Corporation
FICO score: A measure of consumer credit risk provided by credit bureaus, typically produced from statistical models by Fair Isaac Corporation utilizing data collected by the credit bureaus.
FINRA: Financial Industry Regulatory Authority
Firm: Citigroup Inc.
FRBNY: Federal Reserve Bank of New York
Freddie Mac: Federal Home Loan Mortgage Corporation
Free standing derivatives: A derivative contract entered into either separate and apart from any of the Company’s other financial instruments or equity transactions, or in conjunction with some other transaction and legally detachable and separately exercisable.
FTCs: Foreign tax credit carry-forwards
FTE: Full-time employee
FVA: Funding valuation adjustment
FX: Foreign exchange
FX translation: The impact of converting non-U.S.-dollar currencies into U.S. dollars.
G7: Group of Seven nations. Countries in the G7 are Canada, France, Germany, Italy, Japan, the U.K. and the U.S.
GAAP or U.S. GAAP: Generally accepted accounting principles in the United States of America.
Ginnie Mae: Government National Mortgage Association
Global Wealth: Global Wealth Management
GSIB: Global systemically important banks
HELOC: Home equity line of credit
HFI loans: Loans that are held-for-investment (i.e., excludes loans held-for-sale).
HFS: Held-for-sale
HQLA: High-quality liquid assets. Consist of cash and certain high-quality liquid securities as defined in the LCR rule.
HTM: Held-to-maturity
Hyperinflation: Extreme economic inflation with prices rising at a very high rate in a very short time. Under U.S. GAAP, entities operating in a hyperinflationary economy need to change their functional currency to the U.S. dollar. Once an entity switches its functional currency to the U.S. dollar, the CTA balance is frozen.
IBOR: Interbank Offered Rate
ICG: Institutional Clients Group
ICRM: Independent Compliance Risk Management
IPO: Initial public offering
ISDA: International Swaps and Derivatives Association
KM: Key financial and non-financial metric used by management when evaluating consolidated and/or individual business results.
KPMG LLP: Citi’s Independent Registered Public Accounting Firm.
LATAM: Latin America, which for Citi, includes Mexico.
LCR: Liquidity coverage ratio. Represents HQLA divided by net outflows in the period.
LDA: Loss Distribution Approach
LGD: Loss given default
LIBOR: London Interbank Offered Rate
LLC: Limited Liability Company
LTD: Long-term debt
LTV: Loan-to-value. For residential real estate loans, the relationship, expressed as a percentage, between the principal amount of a loan and the appraised value of the collateral (i.e., residential real estate) securing the loan.
Master netting agreement: A single agreement with a counterparty that permits multiple transactions governed by that agreement to be terminated or accelerated and settled through a single payment in a single currency in the event of a default (e.g., bankruptcy, failure to make a required payment or securities transfer or deliver collateral or margin when due).
MBS: Mortgage-backed securities
MCA: Manager’s control assessment
MD&A: Management’s discussion and analysis
Measurement alternative: Measures equity securities without readily determinable fair values at cost less impairment (if any), plus or minus observable price changes from an identical or similar investment of the same issuer.
Mexico Consumer: Mexico Consumer Banking
Mexico Consumer/SBMM: Mexico Consumer Banking and Small Business and Middle-Market Banking
Mexico SBMM: Mexico Small Business and Middle-Market Banking
Moody’s: Moody’s Investor Services
MSRs: Mortgage servicing rights
MTM: Mark-to-market
N/A: Data is not applicable or available for the period presented.
NAA: Non-accrual assets. Consists of non-accrual loans and OREO.
NAL: Non-accrual loans. Loans for which interest income is not recognized on an accrual basis. Loans (other than credit card loans and certain consumer loans insured by U.S. government-sponsored agencies) are placed on non-accrual status when full payment of principal and interest is not expected, regardless of delinquency status, or when principal and interest have been in default for a period of 90 days or more unless the loan is both well secured and in the process of collection. Collateral-dependent loans are typically maintained on non-accrual status.
NAV: Net asset value
NCL(s): Net credit losses. Represents gross credit losses, less gross credit recoveries.
NCL ratio*: Represents net credit losses (recoveries) (annualized), divided by average loans for the reporting period.
Net interchange income: Includes the following components:
• Interchange revenue: Fees earned from merchants based on Citi’s credit and debit card customers’ sales transactions.
• Reward costs: The cost to Citi for points earned by cardholders enrolled in credit card rewards programs generally tied to sales transactions.
• Partner payments: Payments to co-brand credit card partners based on the cost of loyalty program rewards earned by cardholders on credit card transactions.
NII: Net interest income. Represents total interest revenue less total interest expenses.
NIM*: Net interest margin expressed as a yield percentage, calculated as annualized net interest income divided by average interest-earning assets for the period.
NIR: Non-interest revenues
NM: Not meaningful
Noncontrolling interests: The portion of an investment that has been consolidated by Citi that is not 100% owned by Citi.
Non-GAAP financial measure: Management uses these financial measures because it believes they provide information to enable investors to understand the underlying operational performance and trends of Citi and its businesses.
NSFR: Net stable funding ratio
O/S: Outstanding
OCC: Office of the Comptroller of the Currency
OCI: Other comprehensive income (loss)
OREO: Other real estate owned
OTTI: Other-than-temporary impairment
Over-the-counter cleared (OTC-cleared) derivatives: Derivative contracts that are negotiated and executed bilaterally, but subsequently settled via a central clearing house, such that each derivative counterparty is only exposed to the default of that clearing house.
Over-the-counter (OTC) derivatives: Derivative contracts that are negotiated, executed and settled bilaterally between two derivative counterparties, where one or both counterparties is a derivatives dealer.
Parent company: Citigroup Inc.
Participating securities: Represents unvested share-based compensation awards containing nonforfeitable rights to dividends or dividend equivalents (collectively, “dividends”), which are included in the earnings per share calculation using the two-class method. Citi grants RSUs to certain employees under its share-based compensation programs, which entitle the recipients to receive non-forfeitable dividends during the vesting period on a basis equivalent to the dividends paid to holders of common stock. These unvested awards meet the definition of participating securities. Under the two-class method for calculating EPS, all earnings (distributed and undistributed) are allocated to each class of common stock and participating securities, based on their respective rights to receive dividends.
PBWM: Personal Banking and Wealth Management
PCD: Purchased credit-deteriorated assets are financial assets that as of the date of acquisition have experienced a more-than-insignificant deterioration in credit quality since origination, as determined by the Company.
PCI: Purchased credit-impaired loans represented certain loans that were acquired and deemed to be credit impaired on the acquisition date. The now superseded FASB guidance that allowed purchasers to aggregate credit-impaired loans acquired in the same fiscal quarter into one or more pools, provided that the loans had common risk characteristics (e.g., product type, LTV ratios).
PD: Probability of default
Principal transactions revenue: Primarily trading-related revenues predominantly generated by the ICG businesses. See Note 6.
Provisions: Provisions for credit losses and for benefits and claims.
PSUs: Performance share units
Real GDP: Real gross domestic product is the inflation-adjusted value of the goods and services produced by labor and property located in a country.
Regulatory VAR: Daily aggregated VAR calculated in accordance with regulatory rules.
REITs: Real estate investment trusts
Release: A net decrease in ACL through the provision for credit losses.
Reported basis: Financial statements prepared under U.S. GAAP.
Results of operations that exclude certain impacts from gains or losses on sale, or one-time charges*: Represents GAAP items, excluding the impact of gains or losses on sales, or one-time charges (e.g., the loss on sale related to the sale of Citi’s consumer banking business in Australia).
Results of operations that exclude the impact of FX translation*: Represents GAAP items, excluding the impact of FX translation, whereby the prior periods’ foreign currency balances are translated into U.S. dollars at the current period’s conversion rates (also known as constant dollar).
Retail services: Citi’s U.S. retail services cards business with a portfolio of co-brand and private label relationships (including, among others, The Home Depot, Sears, Best Buy and Macy’s).
ROA*: Return on assets. Represents net income (annualized), divided by average assets for the period.
ROCE*: Return on Common Equity. Represents net income less preferred dividends (both annualized), divided by average common equity for the period.
ROE: Return on equity. Represents net income less preferred dividends (both annualized), divided by average Citigroup equity for the period.
RoTCE*: Return on tangible common equity. Represents net income less preferred dividends (both annualized), divided by average tangible common equity for the period.
RSU(s): Restricted stock units
RWA: Risk-weighted assets. Basel III establishes two comprehensive approaches for calculating RWA (the Standardized Approach and the Advanced Approaches), which include capital requirements for credit risk, market risk, and in the case of Basel III Advanced, also operational risk. Key differences in the calculation of credit risk RWA between the Standardized and Advanced approaches are that for Basel III Advanced, credit risk RWA is based on risk-sensitive approaches that largely rely on the use of internal credit models and parameters, whereas for Basel III Standardized, credit risk RWA is generally based on supervisory risk-weightings, which vary primarily by counterparty type and asset class. Market risk RWA is calculated on a generally consistent basis between Basel III Standardized Approach and Basel III Advanced Approaches.
S&P: Standard and Poor’s Global Ratings
SCB: Stress Capital Buffer
SCF: Subscription credit facility. SCFs are revolving credit facilities provided to private equity funds that are secured against the fund’s investors’ capital commitments.
SEC: The U.S. Securities and Exchange Commission
Securities financing agreements: Include resale, repurchase, securities borrowed and securities loaned agreements.
SLR: Supplementary Leverage ratio. Represents Tier 1 Capital divided by total leverage exposure.
SOFR: Secured Overnight Financing Rate
SPEs: Special purpose entities
Structured notes: Financial instruments whose cash flows are linked to the movement in one or more indexes, interest rates, foreign exchange rates, commodities prices, prepayment rates or other market variables. The notes typically contain embedded (but not separable or detachable) derivatives. Contractual cash flows for principal, interest or both can vary in amount and timing throughout the life of the note based on non-traditional indexes or non-traditional uses of traditional interest rates or indexes.
Tangible book value per share (TBVPS)*: Represents tangible common equity divided by EOP common shares outstanding.
Tangible common equity (TCE): Represents common stockholders’ equity less goodwill and identifiable intangible assets, other than MSRs.
Taxable-equivalent basis: Represents the total revenue, net of interest expense for the business, adjusted for revenue from investments that receive tax credits and the impact of tax-exempt securities. This metric presents results on a level comparable to taxable investments and securities.
TDR: Troubled debt restructuring. TDR is deemed to occur when the Company modifies the original terms of a loan agreement by granting a concession to a borrower that is experiencing financial difficulty. Loans with short-term and other insignificant modifications that are not considered concessions are not TDRs.
TLAC: Total loss-absorbing capacity
Total payout ratio*: Represents total common dividends declared plus common share repurchases as a percentage of net income available to common shareholders.
Transformation: Citi has embarked on a multiyear transformation, with the target outcome to change Citi’s business and operating models such that they simultaneously strengthen risk and controls and improve Citi’s value to customers, clients and shareholders.
Unaudited: Financial statements and information that have not been subjected to auditing procedures sufficient to permit an independent certified public accountant to express an opinion.
U.S. government agencies: U.S. government agencies include, but are not limited to, agencies such as Ginnie Mae and FHA, and do not include Fannie Mae and Freddie Mac, which are U.S. government-sponsored enterprises (U.S. GSEs). In general, obligations of U.S. government agencies are fully and explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government in the event of a default.
U.S. Treasury: U.S. Department of the Treasury
VAR: Value at risk. A measure of the dollar amount of potential loss from adverse market moves in an ordinary market environment.
VIEs: Variable interest entities
Wallet: Proportion of fee revenue based on estimates of investment banking fees generated across the industry (i.e., the revenue wallet) from investment banking transactions in M&A, equity and debt underwriting, and loan syndications.
EXHIBIT INDEX
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| Number | | Description of Exhibit |
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| 101.01+ | | Financial statements from the Quarterly Report on Form 10-Q of Citigroup for the quarterquarterly period ended September 30, 2021,2022, filed on November 8, 2021,4, 2022, formatted in Inline XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Shareholders’Stockholders’ Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to the Consolidated Financial Statements. |
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| 104 | | See the cover page of this Quarterly Report on Form 10-Q, formatted in Inline XBRL. |
The total amount of securities authorized pursuant to any instrument defining rights of holders of long-term debt of the Company does not exceed 10% of the total assets of the Company and its consolidated subsidiaries. The Company will furnish copies of any such instrument to the SEC upon request.
* Denotes a management contract or compensatory plan or arrangement.
+ Filed herewith.
