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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 June 30, 2023March 31, 2024

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)
Delaware52-1568099
(State or other jurisdiction of incorporation or organization)(I.R.S. Employer Identification No.)
388 Greenwich Street,New YorkNY10013
(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, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer☒Accelerated filer☐Non-accelerated filer☐Smaller reporting company☐
Emerging growth company☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.  ☐    
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 June 30, 2023: 1,925,702,484March 31, 2024: 1,907,439,613

Available on the web at www.citigroup.com

























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CITIGROUP’S SECONDFIRST QUARTER 2023—2024—FORM 10-Q


OVERVIEW
12
Citigroup Reportable Operating Segments
3
MANAGEMENT’S DISCUSSION AND
ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS
34
Executive Summary
34
Summary of Selected Financial Data
8
Segment Revenues and Income (Loss)
10
SegmentSelect Balance Sheet Items by Segment
11
Institutional Clients GroupServices
12
Personal Markets
14
Banking and Wealth Management
16
Legacy FranchisesU.S. Personal Banking
18
Corporate/OtherWealth
2120
CAPITAL RESOURCESAll Other—Divestiture-Related Impacts
(Reconciling Items)
22
All Other—Managed Basis
23
CAPITAL RESOURCES
26
MANAGING GLOBAL RISK TABLE OF
CONTENTS
3539
MANAGING GLOBAL RISK
3640
SIGNIFICANT ACCOUNTING POLICIES AND
SIGNIFICANT ESTIMATES
7780
DISCLOSURE CONTROLS AND
PROCEDURES
8285
DISCLOSURE PURSUANT TO SECTION 219 OF
THE IRAN THREAT REDUCTION AND SYRIA
HUMAN RIGHTS ACT
8285
FORWARD-LOOKING STATEMENTS
8386
FINANCIAL STATEMENTS AND NOTES
TABLE OF CONTENTS
8789
CONSOLIDATED FINANCIAL STATEMENTS
8890
NOTES TO CONSOLIDATED FINANCIAL
STATEMENTS (UNAUDITED)
9598
UNREGISTERED SALES OF EQUITY SECURITIES,
REPURCHASES OF EQUITY SECURITIES AND
DIVIDENDS
210202
OTHER INFORMATION
210202
GLOSSARY OF TERMS AND ACRONYMS
212204







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, 20222023 (referred to herein as the 2022Citi’s 2023 Form 10-K) and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2023 (First Quarter of 2023 Form 10-Q).
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 certain 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.
Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s recent 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 free of charge through Citi’s website by clicking on “SEC Filings” under the “Investors” tab. The SEC’s website also contains these filings and other information regarding Citi at www.sec.gov.


Please see “Risk Factors” in Citi’s 20222023 Form 10-K for a discussion of material risks and uncertainties that could impact Citigroup’s businesses, results of operations and financial condition.



Non-GAAP Financial Measures
Citi prepares its financial statements in accordance with U.S. generally accepted accounting principles (GAAP) and also presents certain non-GAAP financial measures (non-GAAP measures) that exclude certain items or otherwise include components that differ from the most directly comparable measures calculated in accordance with U.S. GAAP. Non-GAAPCiti believes the presentation of these non-GAAP measures are provided as additional useful information to assess Citi’s financial condition and results of operations, including providing an additionalprovides a meaningful depiction of the underlying fundamentals of period-to-period operating results.results for investors, industry analysts and others, including increased transparency and clarity into Citi’s results, and improved visibility into management decisions and their impacts on operational performance; enables better comparison to peer companies; and allows Citi to provide a long-term strategic view of its businesses and results going forward. These non-GAAP measures are not intended as a substitute for GAAP financial measures and may not be defined or calculated the same way as non-GAAP measures with similar names used by other companies.
Citi’s non-GAAP financial measures in this Form 10-Q include:

•ResultsRevenues excluding divestiture-related impacts
•    Expenses excluding the Federal Deposit Insurance Corporation (FDIC) special assessment and divestiture-related impacts
•All Other (managed basis), which excludes divestiture-related impacts
•Tangible common equity (TCE), return on tangible common equity (RoTCE) and tangible book value per share (TBVPS)
•Banking and Corporate lendingLending revenues excluding gains (losses)gain (loss) on loan hedges
•Non-ICGMarkets Markets net interest income

For more information on the FDIC special assessment, see “Executive Summary” below.
Citi’s results excluding divestiture-related impacts represent as reported, or GAAP, financial results adjusted for items that are incurred and recognized, which are wholly and necessarily a consequence of actions taken to sell (including through a public offering), dispose of or wind down business activities associated with Citi’s previously announced 14 exit markets.markets within All Other—Legacy Franchises. Citi’s Chief Executive Officer, its chief operating decision maker, regularly reviews financial information for All Other on a managed basis that excludes these divestiture-related impacts. For additionalmore information on Citi’s results excluding divestiture-related impacts, see “Executive Summary” and “Legacy FranchisesAll Other—Divestiture-Related Impacts (Reconciling Items)” below.
For more information on TCE, RoTCE and TBVPS, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Return on Equity” below.
For more information on Banking and Corporate lendingLending revenues excluding gains (losses) on loan hedges, see “Executive Summary” and “Institutional Clients GroupBanking” below.
For more information on non-ICGMarkets Markets net interest income, see “Market Risk—Non-ICGMarkets Markets Net Interest Income” below.




12

Citigroup is managed pursuant to threefive operating segments: Institutional Clients GroupServices,Markets, Banking, U.S. Personal Banking Personal Banking and Wealth Management andWealth. Legacy Franchises. Activities not assigned to the operating segments are included in Corporate/Other.All Other. For additional information, see the results of operations for each of the operating segments within “Management’s Discussion and Analysis of Financial Condition and Results of Operations” below.

Citigroup Operating Segments
Institutional
Clients Group
(ICG)		Personal Banking
and Wealth Management
(PBWM)		Legacy
Franchises
•Services
–Treasury and trade solutions (TTS)
–Securities services
•Markets
–Equity markets
–Fixed income markets
•Banking
–Investment banking
–Corporate lending
•U.S. Personal Banking
–Cards
◦Branded cards
◦Retail services
–Retail banking

•Global Wealth Management
(Global Wealth)
–Private bank
–Wealth at Work
–Citigold




•Asia Consumer Banking
(Asia Consumer)
–Retail banking and Branded cards for the remaining 6 exit markets (China, Indonesia, Korea, Poland, Russia and Taiwan)

•Mexico Consumer Banking (Mexico Consumer) and Mexico Small Business and Middle-Market Banking (Mexico SBMM)
–Retail banking and Branded cards
–Traditional middle-market banking products and services

•Legacy Holdings Assets
–Certain North America consumer mortgage loans
–Other legacy assets


Corporate/Other

•Corporate Treasury managed activities
•Operations and technology
•Global staff functions and other corporate expenses
•Discontinued operations


For additional information on ICG, PBWM and Legacy Franchises, including their businesses and products and services, see eachNew financial reporting structure - FOR 10-Q 2024.jpg
operating segment’s discussion and analysis of its results of operations below.

The following are the four regionsNote: Mexico is included in which Citigroup operates. The regional results are fully reflected in the operating segments and Corporate/Other above.
Citigroup Regions(1)
North
America
Europe,
Middle East
and Africa
(EMEA)
Latin
America		Asia

(1)    North America includes the U.S., Canada and Puerto Rico, Latin America includes Mexico and Asia includes Japan.International.
23

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

EXECUTIVE SUMMARY

SecondFirst Quarter of 2023—2024—Results Continued to Benefit from DiversifiedDemonstrated Improved Business ModelPerformance and Strong Balance SheetProgress Toward Citi’s
Priorities
As described further throughout this Executive Summary, during the secondfirst quarter of 2023:2024:

•Citi’s revenues decreased 1%2% versus the prior-year period both on a reported basis and excludingbasis. Excluding divestiture-related impacts (see “Legacy Franchises” below). The decreaseof approximately $1 billion, primarily consisting of a gain from the sale of the India consumer business in the prior-year period, revenues was primarilyincreased 3%, driven by lower non-interest revenues, mainlygrowth across Banking, U.S. Personal Banking (USPB) and Services, partially offset by higher net interest income.declines in Markets and Wealth.
•Citi’s expenses increased 9%7% versus the prior-year period, both on a reported basisperiod. The increase included repositioning costs of $258 million, an incremental FDIC special assessment of $251 million and excludingnet restructuring charges of $225 million. Excluding divestiture-related impacts (see “Legacy Franchises” below)in both the current quarter and the prior-year period and the incremental FDIC special assessment, expenses increased 5%, largely driven by continued investments in riskinflation and controls, business-led and enterprise-led investments, volume growth and macroeconomic factors, including inflation, as well as severance costs. The expense increase wasvolume-related expenses, partially offset by productivity savings and an expense reduction from the exited markets and continued wind-downs (see “Expenses” below).
•Citi’s cost of credit was $1.8approximately $2.4 billion versus $1.3$2.0 billion in the prior-year period. The increase was primarily driven by higher net credit losses, reflecting the continued normalization incards net credit losses in Branded cardsCards and Retail services.Services in USPB, largely reflecting the continued maturation of cards loan vintages originated during the pandemic, as well as the impact of the higher inflationary and interest rate environment, partially offset by a lower build in the allowance for credit losses (ACL) in the current quarter (see “Cost of Credit” below).
•Citi returned $2.0$1.5 billion to common shareholders in the form of dividends ($1.0 billion) and share repurchases. As previously disclosed, in July 2023 Citi’s Board of Directors declared a quarterly common stock dividend of $0.53 per share for the third quarter of 2023, up from $0.51 in the previous quarter. Citi intends to maintain a quarterly common dividend of at least $0.53 per share, subject to financial and macroeconomic conditions, as well as Board of Directors approval.repurchases ($0.5 billion).
•Citi’s Common Equity Tier 1 (CET1) Capital ratio under the Basel III Standardized Approach increasedwas 13.5% as of March 31, 2024 (compared to 13.4% as of June 30, 2023, compared to 12.0% as of June 30, 2022March 31, 2023) (see “Capital Resources” below). This compares to Citi’s required regulatory CET1 Capital ratio of 12.3% as of March 31, 2024 and 12.0% as of January 1,March 31, 2023 under the Basel III Standardized Approach. As previously disclosed, on October 1, 2023, Citi’s required regulatory CET1 Capital ratio will increase to 12.3% from 12.0% under the Standardized Approach reflecting the increase in the Stress Capital Buffer (SCB) requirement to 4.3% from 4.0% (see “Capital Resources—Stress Capital Buffer” below).
•In May 2023, Citi announced that it intends to pursue an initial public offering (IPO) of its consumer, small business and middle-market banking operations in Mexico, following the planned separation from Citi’s Institutional Clients Group (ICG) and Private bank businesses in Mexico, both of which will remain part of Citi.
•Citi continued to make progress on its other consumer banking business divestitures in the second quarter of 2023, including working toward the closing of its Taiwan and Indonesia sale transactions in the second half of 2023, as well as progressing with the continued wind-downs of the Korea and China consumer banking businesses and the Russia consumer, local commercial and institutional businesses. In addition, Citi intends to restartbusinesses, as well as the exit process for theseparation involving Citi’s consumer banking and small business and middle-market banking operations in Poland laterMexico in 2023, subject to market conditions.preparation for a planned initial public offering in 2025.

Second
First Quarter of 20232024 Results Summary

Citigroup
Citigroup reported net income of $2.9$3.4 billion, or $1.33$1.58 per share, compared to net income of $4.5$4.6 billion, or $2.19 per share in the prior-year period. The decrease in netNet income was primarilydecreased 27% versus the prior-year period, driven by the higher expenses, and the higher cost of credit as well asand the lower revenues. Citigroup’s effective tax rate was approximately 27%25% in both the current and prior-year periods. Average diluted shares outstanding decreased 1%.
Citigroup revenues of $21.1 billion in the currentfirst quarter of 2024 decreased 2% versus 20%the prior-year period on a reported basis. Excluding the divestiture-related impacts in both quarters, primarily consisting of the gain from the sale of the India consumer business in the prior-year period, largelyrevenues of $21.1 billion increased 3%, driven by the geographic mix of earnings (see “Income Taxes” below)growth across Banking, USPB and Services, partially offset by declines in Markets and Wealth. Earnings per share (EPS) decreased 39% from(For additional information on the prior-year period, reflecting the lower net income and an approximate 1% increase in average diluted shares outstanding.
Results for the second quarter of 2023 included divestiture-related impacts, of $(73) million in earnings before taxes ($(92) million after-tax). Seesee “Legacy Franchises” and “Corporate/All Other—Divestiture-Related Impacts (Reconciling Items)” below for details about the divestiture-related impacts.
These divestiture-related impacts, collectively, had a $(0.04) negative impact on EPS in the current quarter. Excluding these divestiture-related impacts, EPS was $1.37.below.) (As used throughout this Form 10-Q, Citi’s results of operations and financial condition excluding the impact of divestiture-related impacts are non-GAAP financial measures.)
Results for the second quarter of 2022 included divestiture-related impacts of $48 million in earnings before taxes ($35 million after-tax). See “Legacy FranchisesBanking ” below for details about the divestiture-related impacts.
These divestiture-related impacts, collectively, had a $0.02 beneficial impact on EPS in the prior-year period. Excluding these divestiture-related impacts, EPS was $2.17.
Citigroup revenues of $19.4 billion in the second quarter of 2023 decreased 1% from the prior-year period, both on a reported basis and excluding divestiture-related impacts. The lower revenues reflected a declinerecovery of the global investment banking wallet, Services revenues were driven by higher revenues in revenues across Marketsboth Treasury and Investment banking inTrade Solutions (TTS) and Securities Services and ICGUSPB and Global Wealth Management (Global Wealth)revenues benefited from strong loan growth in Personal Banking and Wealth Management (PBWM), as well as a revenue reduction from the exited markets and continued wind-downs in Legacy Franchises. cards. The decline in Marketsrevenues was largelyprimarily due to lower Fixed Income markets revenues, while Wealth revenues offsetwere largely impacted by strength across Services in ICG, U.S. Personal Banking revenues in PBWM higher mortgage funding costs and higher revenues from the investment portfolio in Corporate/Other.lower deposit spreads.
3

Citigroup’s end-of-period loans were $661$675 billion, up 1%3% versus the prior-year period, driven bylargely reflecting the growth in PBWM, primarily driven by U.S. Personal Banking, largely offset by declinescards and mortgages in ICGUSPB and higher loans in Legacy FranchisesMarkets.
Citigroup’s end-of-period deposits were approximately $1.3 trillion, largely unchangeddown 2% versus the prior-year period, aslargely due to a decreasereduction in ICGServices, primarily driven by Securities services, was offset by an increase in institutional certificates of deposit in Corporate/Other. reflecting quantitative tightening. For additional information about Citi’s deposits by business, including drivers and deposit trends, see each respective business’s results of operations and “Liquidity Risk—Deposits” below.

Expenses
Citigroup’s operating expenses of $13.6$14.2 billion increased 9%7% from the prior-year period. As discussed above, results for the first quarter of 2024 included the following notable items recorded in operating expenses in Corporate/Other within All Other (managed basis):

•$251 million charge to operating expenses related to the FDIC’s notification to Citi that it had increased its estimated loss attributable to the protection of uninsured depositors at Silicon Valley Bank and Signature Bank (see Note 27)
•$225 million of net restructuring charges related to actions taken as part of Citi’s organizational simplification initiatives (see Note 9)
4

In the first quarter of 2024, expenses also included repositioning costs of $258 million and divestiture-related impacts of $110 million (compared to $73 million in the prior-year period). Excluding divestiture-related impacts in both periods and the incremental FDIC special assessment, expenses increased 5% versus the prior-year period, both on a reported basisdriven by inflation and excluding divestiture-related impacts. The highervolume-related expenses, largely reflected continued investments in risk and controls, business-led and enterprise-led investments, volume growth and macroeconomic factors, including inflation, as well as severance costs. The higher expenses were partially offset by productivity savingssavings. (As used throughout this Form 10-Q, Citi’s results of operations and expense reductions fromfinancial condition excluding divestiture-related impacts and the exited markets and wind-downs in Legacy Franchises.incremental FDIC special assessment are non-GAAP financial measures.)
As previously disclosed,announced, Citi expects a sequential increase in expenses forto incur additional repositioning costs during the third quarterremainder of 2023, primarily reflecting continued investments in Citi’s transformation and other risk and controls.2024.

Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims was a cost of $1.8$2.4 billion, compared to $1.3$2.0 billion in the prior-year period. ThisThe increase was primarily driven by higher net credit losses (see below),in Branded Cards and Retail Services, largely reflecting continued maturation of cards loan vintages originated during the pandemic, with delayed losses due to unprecedented levels of government stimulus, as well as macroeconomic pressures related to the higher inflationary and interest rate environment impacting both cards portfolios, partially offset by a lower net build of $320 million in the ACLallowance for loans and unfunded commitments and other provisions. The net ACL build and other provisions in the current quarter were primarily driven by growth in card balances in Branded cards and Retail services. This compared to a net ACL build and other provisions of $424 million in the prior-year period.credit losses (ACL). 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 $1.5$2.3 billion increased 77% from the prior year.prior-year period. Consumer net credit losses of $1.4$2.1 billion increased 73%67%, largely reflecting ongoing normalization, particularlythe rise in Branded cards and Retail services.net credit loss rates. Corporate net credit losses increased to $75$164 million from $23$22 million.
As previously announced, Citi also expects to incur higher year-over-yearfull-year net credit lossesloss rates for the third quarter of 2023, primarily driven by continued normalization, particularlyboth Branded Cards and Retail Services to be higher in 2024. The higher net credit loss expectations are already reflected in the cards business in PBWM.ACL on loans for outstanding balances at March 31, 2024.
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 CET1 Capital ratio wasincreased modestly to 13.5% as of March 31, 2024, compared to 13.4% as of June 30,March 31, 2023, compared to 12.0% as of June 30, 2022, based on the Basel III Standardized Approach for determining risk-weighted assets (RWA). The increase was primarily driven by
net income, theinterest rate impacts on Citigroup’s investment portfolio, impacts from the closingsales of thecertain Asia consumer banking business sales(Asia Consumer) businesses and business actions, including a reductiondecrease in RWA, partially offset by the payment of common dividends and share repurchases.repurchases and higher disallowed deferred tax assets.
As previously announced, duringIn the secondfirst quarter of 2023,2024, Citi resumedrepurchased $0.5 billion of common share repurchases,shares and repurchasedpaid $1.0 billion of common sharesdividends (see “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends” below). Citi will continue to assess common share repurchases on a quarter-by-quarterquarterly basis given uncertainty regarding regulatory capital requirements. For additional information on capital-related risks, trends and
uncertainties, see “Capital Resources—Regulatory Capital Standards and Developments” below.below and “Risk Factors—Strategic Risks,” “—Operational Risks” and “—Compliance Risks” in Citi’s 2023 Form 10-K.
Citigroup’s Supplementary Leverage ratio as of June 30, 2023March 31, 2024 was 6.0%5.8%, compared to 5.7%6.0% as of June 30, 2022.March 31, 2023. The increasedecrease was driven by highera decrease in Tier 1 Capital partially offset byand an increase in Total Leverage Exposure. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below.

Institutional Clients GroupServices
ICG Servicesnet income of $2.2$1.5 billion increased 15% from the prior-year period, largely driven by higher revenues, partially offset by higher expenses and cost of credit. Services expenses of $2.7 billion increased 11%, largely driven by continued investments in technology, other risk and controls and product innovation. Cost of credit was $64 million, compared to a net benefit of $14 million in the prior-year period.
Services revenues of $4.8 billion increased 8%, largely driven by continued momentum across TTS and Securities Services. Net interest income increased 6%, driven by higher deposit and trade loan spreads, and non-interest revenue increased 14%, largely driven by continued strength across underlying fee drivers.
TTS revenues of $3.5 billion increased 5%, driven by a 4% increase in net interest income, primarily driven by higher spreads, and a 9% increase in non-interest revenue, reflecting continued growth in underlying drivers, including cross-border volumes, U.S. dollar clearing volumes and commercial card spend.
Securities Services revenues of $1.3 billion increased 18%, driven by a 16% increase in net interest income on higher deposit spreads, and a 21% increase in non-interest revenue, primarily driven by higher assets under custody and administration (AUC/AUA) balances from higher market valuations, as well as new client onboarding, and elevated corporate activity in Issuer Services.
For additional information on the results of operations of Services in the first quarter of 2024, see “Services” below.

Markets
Markets net income of $1.4 billion decreased 45%, primarily25% from the prior-year period, driven by lower revenues, higher expenses and higher cost of credit. ICGMarkets operating expenses of $7.3$3.4 billion increased 13%7%, largely driven by the absence of a legal reserve release in the prior-year period. Cost of credit increased to $200 million from $83 million in the prior-year period, reflecting a higher net ACL build, primarily driven by continued investmentschanges in Treasurymacroeconomic variable assumptions related to loans in spread products, and trade solutions (TTS)higher net credit losses.
Markets revenues of $5.4 billion decreased 7%, continued risk and controls investments and severance costsdriven by a 10% decrease in Markets and Investment banking,Fixed Income markets, partially offset by productivity savings.
ICG revenues of $10.4 billion decreased 9% (including gain (loss) on loan hedges), primarilya 5% increase in Equity markets. The decrease in Fixed Income markets was largely driven by a decline in Marketsrates and Banking,currencies, largely reflecting lower volatility, decreased institutional client activity and a strong prior-year comparison, partially offset by growthstrength in Services. Results included a loss on loan hedges of $66 million in the second quarter of 2023, compared with a gain on loan hedges of $494 million in the prior-year period.
Services revenues of $4.7 billion increased 15%. TTS revenues of $3.5 billion increased 15%, driven by 18% growth in net interestspread products and other fixed income, and 8% growth in non-interest revenue. Strong performance in TTS was primarily driven by higher interest rates and non-interest revenue benefits from continued growth of underlying drivers, primarily an 11% increase in cross-border transaction value and a 15% increase in commercial card spend volume. Securities services revenues of $1.1 billion increased 15%, as net interest income increased 62%, largely driven by higher interest rates across currencies.
Markets revenues of $4.6 billion decreased 13%, driven by lower revenues in both Fixed income markets and Equity markets relative to strong performance in the prior-year period, as well as low volatility in the second quarter of 2023. Fixed income markets revenues of $3.5 billion decreased 13%, driven by declines in currencies and commodities, partially offset by modest growth in rates. Equity markets revenues of $1.1 billion decreased 10%up 26%, primarily reflecting a declinean increase in equity derivatives revenues.
Banking revenues of $1.2 billion decreased 44%, including the gain (loss) on loan hedges in the current quarter and the prior-year period. Excluding the gain (loss) on loan hedges, Banking revenues of $1.2 billion decreased 22%, driven by lower revenues in Investment banking and Corporate lending. Investment banking revenues of $612 million decreased 24%, reflecting a decline in the overallclient
45

activity. The increase in Equity markets was driven by growth in cash trading and higher equity derivatives revenues.
For additional information on the results of operations of Markets in the first quarter of 2024, see “Markets” below.

Banking
Banking net income was $536 million, compared to $55 million in the prior-year period, driven by higher revenues and lower expenses, with cost of credit largely unchanged. Banking expenses of $1.2 billion decreased 4%, primarily driven by benefits from repositioning actions and other actions to lower the expense base, partially offset by business-led investments.
Banking revenues of $1.7 billion increased 49%, driven by growth in Investment Banking and Corporate Lending, as well as lower losses on loan hedges. Excluding the losses on loan hedges, Banking revenues of $1.8 billion increased 35%. Investment Banking revenues increased 35%, driven by the Debt Capital Markets (DCM) and Equity Capital Markets (ECM) businesses, as improved market wallet, as continued macroeconomic and geopolitical uncertainty continuedsentiment led to adverselyan increase in issuance activity. This increase in revenues was partially offset by lower Advisory revenues, reflecting the impact client activity.of lower merger activity announced in the second half of 2023. Corporate lendingLending revenues decreased 56%increased 68%, including the impact of the gain (loss)losses on loan hedges. Excluding the impact of the gain (loss)losses on loan hedges, Corporate lendingLending revenues decreased 20% versus the prior-year period, primarilyincreased 34%, largely driven by the impacts of foreign currency translation and lower lending volumes.higher revenue share. (As used throughout this Form 10-Q, Citi’s results of operations and financial condition excluding the impact of the gain (loss)losses on loan hedges are non-GAAP financial measures.)
For additional information on the results of operations of ICG Bankingfor in the secondfirst quarter of 2023,2024, see “Institutional Clients GroupBanking” below.

U.S. Personal Banking and Wealth Management
PBWM USPBnet income of $494$347 million decreased 11%,14% from the prior-year period, driven by higher cost of credit, and higher expenses, partially offset by higher revenues. PBWM USPBoperating expenses of $4.2$2.5 billion were largely unchanged, as lower compensation costs were offset by higher repositioning costs and volume-related expenses. Cost of credit increased to $2.2 billion, compared to $1.6 billion in the prior-year period. Net credit losses increased 74%, reflecting the continued maturation of cards loan vintages originated during the pandemic, with delayed losses due to unprecedented levels of government stimulus, as well as macroeconomic pressures related to the higher inflationary and interest rate environment impacting both cards portfolios.
USPB revenues of $5.2 billion increased 5%10%, primarily driven by continued risk and controls investments.
PBWM revenues of $6.4 billion increased 6%, ashigher net interest income growth, driven by strongdue to loan growth across U.S. Personal Banking, was partially offset by a decline in cards and higher non-interest revenue driven bydue to lower investment product revenues in Global Wealth.
U.S. Personal Bankingpartner payments. Branded Cards revenues of $4.6$2.6 billion increased 11%, primarily driven by higher revenues in cards, partially offset by lower Retail banking revenues. Branded cards revenues of $2.4 billion increased 8%7%, primarily driven by the higher net interest income, as average loans increased 14%.reflecting the strong loan growth. Retail servicesServices revenues of $1.6$1.9 billion increased 27%18%, primarily driven by the lower partner payments due to higher net credit losses, as well as higher net interest income as well as lower partner payments.on higher loan balances. Retail bankingBanking revenues of $594$638 million decreased 9%increased 1%, primarily reflectingdriven by higher deposit spreads, loan growth and improved mortgage margins, largely offset by the impact of the transfer of certain relationships and the associated deposit balances to Global Wealth.
Global Wealth revenues of $1.8 billion decreased 5%, largely driven by continued investment product revenue headwinds and higher interest rates paid on deposits, partially offset by the benefits from the continued transfer of Retail banking relationships.
For additional information on the results of operations of PBWMWealth for the second quarter of 2023, see “Personal Banking and Wealth Management” below.

Legacy Franchises
Legacy Franchises recorded a net loss of $125 million, compared to a net loss of $17 million in the prior-year period, primarily driven by higher cost of credit, partially offset by lower expenses. Legacy Franchises expenses of $1.8 billion decreased 2%, primarily driven by the impact of exited markets and continued wind-downs.
Legacy Franchises revenues of $1.9 billion decreased 1%, driven by the reductions from exited markets and continued wind-downs, partially offset by the benefit of higher rates and lending volumes in Mexico Consumer/SBMM, as well as higher revenues in Legacy Holdings Assets..
For additional information on the results of operations of Legacy FranchisesUSPB forin the secondfirst quarter of 2023,2024, see “Legacy FranchisesU.S. Personal Banking” below.

Corporate/OtherWealth
Corporate/OtherWealth net income was $356$150 million, compared to $50$159 million in the prior-year period, as lower revenues and higher expenses were largely offset by lower cost of credit. Wealth expenses increased 3% to $1.7 billion, driven by higher net interest income from Deposits with bankstechnology investments focused on risk and the investment portfolio, a reserve release related to the repayment of the previously disclosed First Republic Bank deposit and the prior-year release of a CTA loss (net of hedges) from AOCI (for additional information, see Note 2). The increase in net income wascontrols, as well as platform enhancements, partially offset by lower income taxinitial benefits from repositioning and higher expenses. Corporate/Other operating expensesrestructuring actions. Cost of $302credit was a benefit of $170 million, increased from $160compared to a benefit of $58 million in the prior-year period, primarily driven by the impact of inflation and severance costs and the absence of certain settlements that occurred in the prior-year period, partiallyas net credit losses were more than offset by lower consulting expenses.a higher net ACL release, reflecting a change in ACL associated with the margin lending portfolio.
Corporate/OtherWealth revenues of $677 million increased from $255 million in the prior-year period, primarily$1.7 billion decreased 4%, largely driven by highera 13% decrease in net interest income from Deposits with bankshigher mortgage funding costs and thelower deposit spreads, partially offset by an 11% increase in non-interest revenue, largely reflecting higher investment portfolio, largely due to higher interest rates.fee revenues.
For additional information on the results of operations of Corporate/OtherWealth forin the secondfirst quarter of 2023,2024, see “Corporate/OtherWealth” below.

All Other (Managed Basis)
All Other (managed basis) net lossof $457 million, compared to net income of $198 million in the prior-year period, was primarily driven by higher expenses, lower revenues and lower income tax benefits, partially offset by lower cost of credit. All Other (managed basis) expenses of $2.7 billion increased 18%, driven by the incremental FDIC special assessment and the restructuring charges, partially offset by lower expenses from the closed exits and wind-downs. Cost of credit of $185 million decreased 59%, largely driven by the absence of a net ACL build in the prior-year period, partially offset by higher net credit losses in Mexico Consumer.
All Other (managed basis) revenues decreased 9% from the prior-year period, primarily driven by higher funding costs in Corporate/Other.
Legacy Franchises (managed basis) revenues of $1.8 billion were largely unchanged from the prior-year period, as higher revenues in Mexico Consumer/SBMM (managed basis), mainly due to higher volumes and Mexican peso appreciation, were offset by lower revenues in Asia Consumer (managed basis), reflecting the impacts of the closed exits and wind-downs.
For additional information on the results of operations of All Other (managed basis) in the first quarter of 2024, see “All Other—Divestiture-Related Impacts (Reconciling Items)” and “All Other (Managed Basis)” below.

Macroeconomic and Other Risks and Uncertainties
Various geopolitical, macroeconomic and regulatory challenges and uncertainties continue to adversely impactaffect economic conditions in the U.S. and globally, including, central banks continuing to increaseamong others, continued elevated interest rates continued elevated levels ofand inflation, and economic and geopolitical challenges related to both China, and the Russia–Ukraine war.war and escalating conflicts in the Middle East. These and other factors have adversely affected financial markets, negatively impacted global economic growth rates and raised fearsconsumer sentiment and have
6

resulted in a continued risk of recession in the U.S., Europe and othervarious regions and countries.countries globally. In addition, these and other factors could adversely affect Citi’s customers, clients, businesses, funding costs, expensescost of credit and overall results of operations and financial condition during the remainder of 2023.
In May 2023, the Federal Deposit Insurance Corporation (FDIC) issued a proposal that would implement a special assessment to recover its uninsured deposit losses from recent bank failures. The FDIC estimated that the preliminary cost of the failures is approximately $15.8 billion, an estimate that would be periodically adjusted. If finalized as proposed, the FDIC is proposing to collect the special assessment at an annual rate of approximately 12.5 basis points of uninsured deposits, over eight quarterly assessment periods beginning in 2024. Citi is likely to incur a significant increase in its operating expenses if the final rule for the FDIC special assessment is enacted as proposed, which is expected before the end of 2023. For additional information on the expected impact, see Note 26.
In July 2023, the U.S. banking agencies issued a notice of proposed rulemaking, known as the Basel III Endgame, related to regulatory capital requirements. The rule as proposed would have a material impact on Citi’s current capital position; however, its finalization and implementation will be a
5

multiyear process, including phase-in periods to meet the new capital requirements. Citi plans to comment on the proposal and adapt business activities to address associated impacts, if necessary, and will be in compliance with the final rule, once it is in effect and implemented. For additional information, see “Capital Resources—Regulatory Capital Standards and Developments” below.

For a further discussion of trends, uncertainties and risks that will or could impact Citi’s businesses, results of operations, capital and other financial condition during the remainder of 2023,2024, see “Second“First Quarter of 20232024 Results Summary” above and each respective business’s results of operations, “Managing Global Risk,” including “Managing Global Risk—Other Risks—Country Risk—Russia” and “—Argentina,” and “Forward-Looking Statements” below and “Risk Factors” in Citi’s 20222023 Form 10-K.

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7

RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA
Citigroup Inc. and Consolidated Subsidiaries

Second QuarterSix Months
First Quarter
First Quarter
First Quarter
In millions of dollars, except per share amounts
In millions of dollars, except per share amounts
In millions of dollars, except per share amountsIn millions of dollars, except per share amounts20232022% Change20232022% Change
Net interest incomeNet interest income$13,900 $11,964 16 %$27,248 $22,835 19 %
Net interest income
Net interest income
Non-interest revenue
Non-interest revenue
Non-interest revenueNon-interest revenue5,536 7,674 (28)13,635 15,989 (15)
Revenues, net of interest expenseRevenues, net of interest expense$19,436 $19,638 (1)%$40,883 $38,824 5 %
Revenues, net of interest expense
Revenues, net of interest expense
Operating expenses
Operating expenses
Operating expensesOperating expenses13,570 12,393 9 26,859 25,558 5 
Provisions for credit losses and for benefits and claimsProvisions for credit losses and for benefits and claims1,824 1,274 43 3,799 2,029 87 
Provisions for credit losses and for benefits and claims
Provisions for credit losses and for benefits and claims
Income from continuing operations before income taxes
Income from continuing operations before income taxes
Income from continuing operations before income taxesIncome from continuing operations before income taxes$4,042 $5,971 (32)%$10,225 $11,237 (9)%
Income taxesIncome taxes1,090 1,182 (8)2,621 2,123 23 
Income taxes
Income taxes
Income from continuing operations
Income from continuing operations
Income from continuing operationsIncome from continuing operations$2,952 $4,789 (38)%$7,604 $9,114 (17)%
Income (loss) from discontinued operations, net of taxesIncome (loss) from discontinued operations, net of taxes(1)(221)100 (2)(223)99 
Income (loss) from discontinued operations, net of taxes
Income (loss) from discontinued operations, net of taxes
Net income before attribution of noncontrolling interests
Net income before attribution of noncontrolling interests
Net income before attribution of noncontrolling interestsNet income before attribution of noncontrolling interests$2,951 $4,568 (35)%$7,602 $8,891 (14)%
Net income attributable to noncontrolling interestsNet income attributable to noncontrolling interests36 21 71 81 38 NM
Net income attributable to noncontrolling interests
Net income attributable to noncontrolling interests
Citigroup’s net income
Citigroup’s net income
Citigroup’s net incomeCitigroup’s net income$2,915 $4,547 (36)%$7,521 $8,853 (15)%
Earnings per shareEarnings per share 
Earnings per share
Earnings per share
Basic
Basic
BasicBasic 
Income from continuing operationsIncome from continuing operations$1.34 $2.32 (42)%$3.55 $4.34 (18)%
Income from continuing operations
Income from continuing operations
Net income
Net income
Net incomeNet income1.34 2.20 (39)3.54 4.23 (16)
DilutedDiluted
Diluted
Diluted
Income from continuing operations
Income from continuing operations
Income from continuing operationsIncome from continuing operations$1.33 $2.30 (42)%$3.52 $4.32 (19)%
Net incomeNet income1.33 2.19 (39)3.52 4.20 (16)
Net income
Net income
Dividends declared per common share
Dividends declared per common share
Dividends declared per common shareDividends declared per common share0.51 0.51 — 1.02 1.02 — 
Common dividendsCommon dividends$1,004 $1,010 (1)%$2,004 $2,024 (1)%
Preferred dividends(1)
288 238 21 565 517 9 
Common dividends
Common dividends
Preferred dividends
Preferred dividends
Preferred dividends
Common share repurchasesCommon share repurchases1,000 250 NM1,000 3,250 (69)
Common share repurchases
Common share repurchases

Table continues on the next page, including footnotes.

8

SUMMARY OF SELECTED FINANCIAL DATA
(Continued)
Citigroup Inc. and Consolidated Subsidiaries

In millions of dollars, except per share amounts,
ratios and direct staff		In millions of dollars, except per share amounts,
ratios and direct staff		Second QuarterSix Months
20232022% Change20232022% Change
At June 30:
In millions of dollars, except per share amounts,
ratios and direct staff
2024
2024
At March 31:
At March 31:
At March 31:
Total assets
Total assets
Total assetsTotal assets$2,423,675 $2,380,904 2 %
Total depositsTotal deposits1,319,867 1,321,848 — 
Total deposits
Total deposits
Long-term debt
Long-term debt
Long-term debtLong-term debt274,510 257,425 7 
Citigroup common stockholders’ equityCitigroup common stockholders’ equity188,474 180,019 5 
Citigroup common stockholders’ equity
Citigroup common stockholders’ equity
Total Citigroup stockholders’ equity
Total Citigroup stockholders’ equity
Total Citigroup stockholders’ equityTotal Citigroup stockholders’ equity208,719 199,014 5 
Average assetsAverage assets2,465,614 2,380,053 4 $2,463,929 $2,377,047 4 %
Average assets
Average assets
Direct staff (in thousands)
Direct staff (in thousands)
Direct staff (in thousands)
Direct staff (in thousands)
240 231 4 %
Performance metricsPerformance metrics
Performance metrics
Performance metrics
Return on average assetsReturn on average assets0.47 %0.77 %0.62 %0.75 %
Return on average common stockholders’ equity(2)
5.6 9.7 7.5 9.3 
Return on average total stockholders’ equity(2)
5.6 9.2 7.4 9.0 
Return on tangible common equity (RoTCE)(3)
6.4 11.2 8.7 10.8 
Return on average assets
Return on average assets
Return on average common stockholders’ equity(1)
Return on average common stockholders’ equity(1)
Return on average common stockholders’ equity(1)
Return on average total stockholders’ equity(1)
Return on average total stockholders’ equity(1)
Return on average total stockholders’ equity(1)
Return on tangible common equity (RoTCE)(2)
Return on tangible common equity (RoTCE)(2)
Return on tangible common equity (RoTCE)(2)
Efficiency ratio (total operating expenses/total revenues, net)
Efficiency ratio (total operating expenses/total revenues, net)
Efficiency ratio (total operating expenses/total revenues, net)Efficiency ratio (total operating expenses/total revenues, net)69.8 63.1 65.7 65.8 
Basel III ratiosBasel III ratios
CET1 Capital(4)(5)
13.37 %11.95 %
Tier 1 Capital(4)(5)
15.24 13.62 
Total Capital(4)(5)
16.04 15.20 
Supplementary Leverage ratio(5)
5.97 5.66 
Basel III ratios
Basel III ratios
CET1 Capital(3)
CET1 Capital(3)
CET1 Capital(3)
Tier 1 Capital(3)
Tier 1 Capital(3)
Tier 1 Capital(3)
Total Capital(3)
Total Capital(3)
Total Capital(3)
Supplementary Leverage ratio
Supplementary Leverage ratio
Supplementary Leverage ratio
Citigroup common stockholders’ equity to assets
Citigroup common stockholders’ equity to assets
Citigroup common stockholders’ equity to assetsCitigroup common stockholders’ equity to assets7.78 %7.56 %
Total Citigroup stockholders’ equity to assetsTotal Citigroup stockholders’ equity to assets8.61 8.36 
Dividend payout ratio(6)
38 23 29 %24 %
Total payout ratio(7)
76 29 43 63 
Total Citigroup stockholders’ equity to assets
Total Citigroup stockholders’ equity to assets
Dividend payout ratio(4)
Dividend payout ratio(4)
Dividend payout ratio(4)
Total payout ratio(5)
Total payout ratio(5)
Total payout ratio(5)
Book value per common shareBook value per common share$97.87 $92.95 5 %
Tangible book value per share (TBVPS)(3)
85.34 80.25 6 
Book value per common share
Book value per common share
Tangible book value per share (TBVPS)(2)
Tangible book value per share (TBVPS)(2)
Tangible book value per share (TBVPS)(2)

(1)    Certain series of preferred stock have semiannual payment dates. See Note 21 to the Consolidated Financial Statements in Citi’s 2022 Form 10-K.
(2)    The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
(3)(2)    RoTCE and TBVPS are non-GAAP financial measures. For information on RoTCE and TBVPS, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Return on Equity” below.
(4)(3)    Citi’s binding CET1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach, whereas Citi’s binding Total Capital ratio was derived under the Basel III Advanced Approaches framework for both periods presented.
(5)    Certain of the above prior-period amounts have been revised to conform with enhancements made in the current period.
(6)(4)    Dividends declared per common share as a percentage of net income per diluted share.
(7)(5)    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 910 and “Equity Security Repurchases” below for the component details.
NM Not meaningful


9

SEGMENT REVENUES AND INCOME (LOSS)

REVENUES

Second QuarterSix Months
In millions of dollars20232022% Change20232022% Change
Institutional Clients Group$10,441 $11,419 (9)%$21,674 $22,579 (4)%
Personal Banking and Wealth Management6,395 6,029 6 12,843 11,934 8 
Legacy Franchises1,923 1,935 (1)4,775 3,866 24 
Corporate/Other677 255 NM1,591 445 NM
Total Citigroup net revenues$19,436 $19,638 (1)%$40,883 $38,824 5 %
First Quarter
In millions of dollars20242023% Change
Services$4,766 $4,394 8 %
Markets5,378 5,790 (7)
Banking1,714 1,151 49 
USPB5,178 4,711 10 
Wealth1,695 1,766 (4)
All Other—managed basis(1)
2,385 2,617 (9)
All Other—divestiture-related impacts (Reconciling Items)(1)
(12)1,018 NM
Total Citigroup net revenues$21,104 $21,447 (2)%

NM Not meaningful

INCOME

Second QuarterSix Months
First Quarter
First Quarter
First Quarter
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars20232022% Change20232022% Change
Income (loss) from continuing operationsIncome (loss) from continuing operations
Institutional Clients Group$2,219 $3,978 (44)%$5,517 $6,636 (17)%
Personal Banking and Wealth Management494 553 (11)983 2,413 (59)
Legacy Franchises(122)(15)NM484 (400)NM
Corporate/Other361 273 32 620 465 33 
Income (loss) from continuing operations
Income (loss) from continuing operations
Services
Services
Services
Markets
Markets
Markets
Banking
Banking
Banking
USPB
USPB
USPB
Wealth
Wealth
Wealth
All Other—managed basis(1)
All Other—managed basis(1)
All Other—managed basis(1)
All Other—divestiture-related impacts (Reconciling Items)(1)
All Other—divestiture-related impacts (Reconciling Items)(1)
All Other—divestiture-related impacts (Reconciling Items)(1)
Income from continuing operations
Income from continuing operations
Income from continuing operationsIncome from continuing operations$2,952 $4,789 (38)%$7,604 $9,114 (17)%
Discontinued operationsDiscontinued operations$(1)$(221)100 %$(2)$(223)99 %
Discontinued operations
Discontinued operations
Less: Net income attributable to noncontrolling interests
Less: Net income attributable to noncontrolling interests
Less: Net income attributable to noncontrolling interestsLess: Net income attributable to noncontrolling interests36 21 71 81 38 NM
Citigroup’s net incomeCitigroup’s net income$2,915 $4,547 (36)%$7,521 $8,853 (15)%
Citigroup’s net income
Citigroup’s net income

(1)    All Other (managed basis) excludes divestiture-related impacts (Reconciling Items) related to (i) Citi’s divestitures of its Asia Consumer businesses and (ii) the planned IPO of Mexico consumer banking and small business and middle-market banking within Legacy Franchises. The Reconciling Items are fully reflected in the various line items in Citi’s Consolidated Statement of Income. See “All Other—Divestiture-Related Impacts (Reconciling Items)” below.
NM Not meaningful
10

SEGMENTSELECT BALANCE SHEET ITEMS BY SEGMENT(1)—JUNE 30, 2023MARCH 31, 2024

In millions of dollarsInstitutional
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    
Cash and deposits with banks, net of allowance$98,975 $5,764 $3,393 $188,776 $— $296,908 
Securities borrowed and purchased under agreements to resell, net of allowance336,768 30 305 — — 337,103 
Trading account assets409,408 1,307 705 11,769 — 423,189 
Investments, net of allowance141,868 13 1,618 363,646 — 507,145 
Loans, net of unearned income and allowance for credit losses on loans275,323 331,717 36,076 — — 643,116 
Other assets, net of allowance119,689 25,912 25,284 45,329 — 216,214 
Net intersegment liquid assets(4)
382,785 108,050 25,031 (515,866)— — 
Total assets$1,764,816 $472,793 $92,412 $93,654 $— $2,423,675 
Liabilities and equity   
Total deposits$818,244 $426,791 $52,981 $21,851 $— $1,319,867 
Securities loaned and sold under
agreements to repurchase		257,262 45 2,728 — — 260,035 
Trading account liabilities169,183 476 254 751 — 170,664 
Short-term borrowings29,765 1 — 10,664 — 40,430 
Long-term debt(3)
101,111 189 84 10,083 163,043 274,510 
Other liabilities98,710 11,417 23,679 14,941 — 148,747 
Net intersegment funding (lending)(3)
290,541 33,874 12,686 34,661 (371,762)— 
Total liabilities$1,764,816 $472,793 $92,412 $92,951 $(208,719)$2,214,253 
Total equity(5)
— — — 703 208,719 209,422 
Total liabilities and equity$1,764,816 $472,793 $92,412 $93,654 $— $2,423,675 
In millions of dollarsServicesMarketsBankingUSPBWealth
All Other
and
consolidating
eliminations(2)
Citigroup
parent company-
issued long-term
debt(3)
Total
Citigroup
consolidated
     
Cash and deposits with banks, net of allowance$13,766 $84,801 $373 $4,576 $1,765 $167,449 $— $272,730 
Securities borrowed and purchased under agreements to resell, net of allowance6,630 336,860 33 — 400 341 — 344,264 
Trading account assets82 418,513 833 259 946 10,835 — 431,468 
Investments, net of allowance724 143,739 1,423 — 3 369,294 — 515,183 
Loans, net of unearned income and allowance for credit losses on loans80,104 117,618 85,986 190,963 148,386 33,225 — 656,282 
     
Deposits$787,431 $23,598 $653 $99,613 $323,162 $72,706 $— $1,307,163 
Securities loaned and sold under agreements to repurchase907 295,746 1 — 196 2,537 — 299,387 
Trading account liabilities70 155,455 65 146 251 665 — 156,652 
Short-term borrowings51 27,898 2 — 1 3,958 — 31,910 
Long-term debt(3)
— 96,620 — — 456 21,695 166,724 285,495 

(1)The supplemental information presented in the table above reflects Citigroup’s consolidatedselect GAAP balance sheet items by reportable segment and component. The respective segment information depicts the assets and liabilities managed by each segment.This table does not include intersegment funding.
(2)Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilitiesitems are recorded within Corporate/Other.All Other.
(3)The total equity and the majority of long-term debt of Citigroup areis reflected on the Citigroup parent company balance sheet (see Notes 1718 and 27)28). Citigroup allocates stockholders’ equity and long-term debt to its businesses through intersegment allocations as shown above.businesses.
(4)Represents the attribution of Citigroup’s liquid assets (primarily consisting of cash, marketable equity securities and AFS debt securities) to the various businesses based on Liquidity Coverage ratio (LCR) assumptions.
(5)Corporate/Other equity represents noncontrolling interests.
11

INSTITUTIONAL CLIENTS GROUPSERVICES

Institutional Clients Group (ICG)Services includes Treasury and Trade Solutions (TTS) and Securities Services. TTS provides an integrated suite of tailored cash management, trade and working capital solutions to multinational corporations, financial institutions and public sector organizations. Securities Services provides cross-border support for clients, providing on-the-ground local market expertise, post-trade technologies, customized data solutions and a wide range of securities services solutions that can be tailored to meet clients’ needs.
Services includes Services, Marketsrevenue is generated primarily from fees and Banking (forspreads associated with these activities. Services earns fee income for assisting clients with transactional services and clearing. Revenue generated from these activities is recorded in Commissions and fees. Revenue is also generated from assets under custody and administration and is recognized when the associated service is satisfied, which normally occurs at the point in time the service is requested by the client and provided by Citi. Revenue generated from these activities is primarily recorded in Administration and other fiduciary fees. For additional information on these businesses,various types of revenues, see “Citigroup Operating Segments” above)Note 5. Services revenues also include revenues earned by Citi that are subject to a revenue sharing arrangement with Banking—Corporate Lending for Investment Banking, Markets and Services products sold to Corporate Lending clients.
At March 31, 2024, Services had $577 billion in assets and $787 billion in deposits. Securities Services managed $24.0 trillion in assets under custody and administration, of which Citi provided both custody and administrative services to certain clients related to $1.9 trillion of such assets.

First Quarter
In millions of dollars, except as otherwise noted20242023% Change
Net interest income (including dividends)$3,317 $3,126 6 %
Fee revenue
Commissions and fees797 741 8 
Fiduciary and administrative, and other685 604 13 
Total fee revenue$1,482 $1,345 10 %
Principal transactions248 226 10 
All other(1)
(281)(303)7 
Total non-interest revenue$1,449 $1,268 14 %
Total revenues, net of interest expense$4,766 $4,394 8 %
Total operating expenses$2,666 $2,409 11 %
Net credit losses on loans6 6 — 
Credit reserve build (release) for loans34 (72)NM
Provision for credit losses on unfunded lending commitments12 7 71 
Provisions for credit losses on other assets and HTM debt securities12 45 (73)
Provision (release) for credit losses$64 $(14)NM
Income from continuing operations before taxes$2,036 $1,999 2 %
Income taxes517 690 (25)
Income from continuing operations$1,519 $1,309 16 %
Noncontrolling interests25 13 92 
Net income$1,494 $1,296 15 %
Balance Sheet data (in billions of dollars)
EOP assets$577 $585 (1)%
Average assets580 598 (3)
Efficiency ratio56 %55 %
Revenue by component
Net interest income$2,723 $2,612 4 %
Non-interest revenue793 727 9 
Treasury and Trade Solutions (TTS)$3,516 $3,339 5 %
Net interest income$594 $514 16 %
Non-interest revenue656 541 21 
Securities Services$1,250 $1,055 18 %
Total Services
$4,766 $4,394 8 %
12

Revenue by geography
North America$1,243 $1,205 3 %
International3,523 3,189 10 
Total$4,766 $4,394 8 %
Key drivers(2)
Average loans by reporting unit (in billions of dollars)
TTS$81 $78 4 %
Securities Services1 1 — 
Total$82 $79 4 %
ACLL as a percentage of EOP loans(3)
0.54 %0.36 %
Average deposits by reporting unit and selected component (in billions of dollars)
TTS$684 $705 (3)%
Securities Services124 125 (1)
Total$808 $830 (3)%

(1)    Includes revenues earned by Citi that are subject to a revenue sharing arrangement with Banking—Corporate Lending for Investment Banking, Markets and Services products sold to Corporate Lending clients.
(2)    Management uses this information in reviewing the segment’s results and believes it is useful to investors concerning underlying segment performance and trends.
(3)    Excludes loans that are carried at fair value for all periods.
NM Not meaningful

1Q24 vs. 1Q23
Net income of $1.5 billion increased 15%, primarily driven by higher revenue, partially offset by higher expenses and cost of credit.
Revenues increased 8%, driven by higher revenues in both TTS and Securities Services, largely driven by both net interest income and non-interest revenue growth.
TTS revenues increased 5%, reflecting 4% growth in net interest income and 9% increase in non-interest revenue. The increase in net interest income was primarily driven by higher spreads, partially offset by lower deposits. The growth in non-interest revenue was largely driven by continued strength across underlying fee drivers, including higher cross-border flows (up 9%), U.S. dollar clearing volumes (up 3%) and commercial card spend (up 5%). Average deposits were down 3%, as the impact of quantitative tightening more than offset new client acquisitions and deepening with existing clients.
Securities Services revenues increased 18%, due to 16% growth in net interest income, driven by higher deposit spreads, and 21% growth in non-interest revenue. The increase in non-interest revenue was driven by fee growth, primarily due to higher AUC/AUA balances from higher market valuations, as well as new client onboarding along with continued elevated levels of corporate activity in Issuer Services.
Expenses ICGwere up 11%, primarily driven by investments in technology, other risk and controls and product innovation.
Provisions were $64 million, compared to $(14) million in the prior-year period, primarily driven by an ACL build for loans, compared to a release in the prior-year period.
The net ACL build was primarily due to changes in loan portfolio mix. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information on Services’ corporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information on trends in Services’ deposits and loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.
For additional information about trends, uncertainties and risks related to Services’ future results, see “Executive Summary” above and “Managing Global Risk—Other Risks—Country Risk—Argentina” and “—Russia” below, and “Risk Factors” in Citi’s 2023 Form 10-K.


13

MARKETS

Markets provides corporate, institutional and public sector clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading services across equities, foreign exchange, rates, spread products and commodities. The range of services includes market-making across asset classes, risk management solutions, financing, prime brokerage, derivative services, equityresearch, securities clearing and fixed income research, corporate lending, investment banking and advisory services, 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 2022 Form 10-K.settlement.
ICGAs a market maker, ’sMarkets facilitates transactions, including holding product inventory to meet client demand, and earns the differential between the price at which it buys and sells the products. These price differentials and the unrealized gains and losses on the inventory are recorded in Principal transactions. Other primarily includes realized gains and losses on available-for-sale (AFS) debt securities, gains and losses on equity securities not held in trading accounts and other non-recurring gains and losses. Interest income earned on assets held, less interest paid on long- and short-term debt, secured funding transactions and customer deposits, is recorded as Net interest income.
The amount and types of Markets revenues are impacted by a variety of interrelated factors, including market liquidity; changes in market variables such as interest rates, foreign exchange rates, equity prices, commodity prices and credit spreads, as well as their implied volatilities; investor confidence; and other macroeconomic conditions. Markets revenues include revenues earned by Citi that are subject to a revenue sharing arrangement with Banking—Corporate Lending for Investment Banking, Markets and Services products sold to Corporate Lending clients.
Assuming all other market conditions do not change, increases in client activity levels or bid/offer spreads generally result in increases in revenues. However, changes in market conditions can significantly impact client activity levels, bid/offer spreads and the fair value of product inventory. Management of the Markets businesses involves daily monitoring and evaluation of the above factors.
Markets international presence is supported by trading floors in approximately 80 countries and a proprietary network in 95 countries and jurisdictions. As previously disclosed, as of March 31, 2023, Citi ended nearly all of the institutional banking services it offered in Russia, with the remaining services only those necessary to fulfill its remaining legal and regulatory obligations. 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 June 30, 2023, ICG had $1.8 trillion in assets and $818 billion in deposits. Securities services managed $23.7 trillion in assets under custody and administration at June 30, 2023, of which Citi provided both custody and administrative services to certain clients related to $2.2 trillion of such assets. Managed assets under trust were $4.1 trillion at June 30, 2023. For additional information on these operations, see “Administration and Other Fiduciary Fees” in Note 5.

Second QuarterSix Months
In millions of dollars, except as otherwise noted20232022% Change20232022% Change
Commissions and fees$1,126 $1,125 — %$2,276 $2,255 1 %
Administration and other fiduciary fees709 732 (3)1,363 1,404 (3)
Investment banking fees(1)
686 990 (31)1,520 2,029 (25)
Principal transactions2,463 4,358 (43)6,172 8,800 (30)
Other(166)(306)46 (308)(213)(45)
Total non-interest revenue$4,818 $6,899 (30)%$11,023 $14,275 (23)%
Net interest income (including dividends)5,623 4,520 24 10,651 8,304 28 
Total revenues, net of interest expense$10,441 $11,419 (9)%$21,674 $22,579 (4)%
Total operating expenses$7,286 $6,434 13 %$14,259 $13,157 8 %
Net credit losses on loans$73 $18 NM$95 $48 98 %
Credit reserve build (release) for loans(150)(76)(97)%(225)520 NM
Provision (release) for credit losses on unfunded lending commitments(88)(169)48 (258)183 NM
Provisions (releases) for credit losses on HTM debt securities and other assets223 25 NM374 18 NM
Provisions (releases) for credit losses$58 $(202)NM$(14)$769 NM
Income from continuing operations before taxes$3,097 $5,187 (40)%$7,429 $8,653 (14)%
Income taxes878 1,209 (27)1,912 2,017 (5)
Income from continuing operations$2,219 $3,978 (44)%$5,517 $6,636 (17)%
Noncontrolling interests29 17 71 69 35 97 
Net income$2,190 $3,961 (45)%$5,448 $6,601 (17)%
Balance Sheet data (in billions of dollars)
EOP assets$1,765 $1,700 4 %
Average assets1,795 1,698 6 $1,785 $1,692 5 %
Efficiency ratio70 %56 %66 %58 %
Average loans by reporting unit (in billions of dollars)
Services$80 $85 (6)%$80 $82 (2)%
Banking185 199 (7)188 197 (5)
Markets13 13 — 13 14 (7)
Total$278 $297 (6)%$281 $293 (4)%
Average deposits by reporting unit (in billions of dollars)
TTS$688 $672 2 %$696 $671 4 %
Securities services125 137 (9)125 136 (8)
First Quarter
In millions of dollars, except as otherwise noted20242023% Change
Net interest income (including dividends)$1,713 $1,562 10 %
Fee revenue
Brokerage and fees336 385 (13)
Investment banking fees(1)
95 89 7 
Other(2)
62 40 55 
Total fee revenue$493 $514 (4)%
Principal transactions3,178 3,889 (18)
All other(3)
(6)(175)97 
Total non-interest revenue$3,665 $4,228 (13)%
Total revenues, net of interest expense(3)
$5,378 $5,790 (7)%
Total operating expenses$3,380 $3,162 7 %
Net credit losses (recoveries) on loans78 4 NM
Credit reserve build (release) for loans120 64 88 
Provision (release) for credit losses on unfunded lending commitments(1)(4)75 
Provisions for credit losses for other assets and HTM debt securities3 19 (84)
Provision (release) for credit losses$200 $83 NM
Income (loss) from continuing operations before taxes$1,798 $2,545 (29)%
Income taxes (benefits)388 676 (43)
Income (loss) from continuing operations$1,410 $1,869 (25)%
Noncontrolling interests15 21 (29)
Net income (loss)$1,395 $1,848 (25)%
Balance Sheet data (in billions of dollars)
EOP assets$1,037 $1,020 2 %
Average assets1,048 1,004 4 
Efficiency ratio63 %55 %
Revenue by component
Fixed Income markets$4,151 $4,623 (10)%
Equity markets1,227 1,167 5 
Total$5,378 $5,790 (7)%
1214

Services$813 $809 — %$821 $807 2 %
Markets and Banking24 21 14 24 21 14 
Total$837 $830 1 %$845 $828 2 %
Rates and currencies$2,799 $3,551 (21)%
Spread products/other fixed income1,352 1,072 26 
Total Fixed Income markets revenues$4,151 $4,623 (10)%
Revenue by geography
North America$2,087 $2,062 1 %
International3,291 3,728 (12)
Total$5,378 $5,790 (7)%
Key drivers(4) (in billions of dollars)
Average loans$120 $111 8 %
NCLs as a percentage of average loans0.26 %0.01 %
ACLL as a percentage of EOP loans(5)
0.85 %0.66 %
Average trading account assets$408 $350 17 
Average deposits24 23 4 

(1)    Investment banking fees are substantiallyprimarily composed of underwriting, advisory, loan syndication structuring and advisory revenues.
NM Not meaningfulother related financing activity.

(2)    Includes revenues earned by Citi that are subject to a revenue sharing arrangement with Banking—Corporate Lending for Investment Banking, Markets and Services products sold to Corporate Lending clients.
ICG Revenue Details

Second QuarterSix Months
In millions of dollars20232022% Change20232022% Change
Services
Net interest income$2,914 $2,354 24 %$5,753 $4,278 34 %
Non-interest revenue1,741 1,696 3 3,369 3,237 4 
Total Services revenues$4,655 $4,050 15 %$9,122 $7,515 21 %
Net interest income$2,425 $2,053 18 %$4,783 $3,729 28 %
Non-interest revenue1,085 1,003 8 2,138 1,934 11 
TTS revenues$3,510 $3,056 15 %$6,921 $5,663 22 %
Net interest income$489 $301 62 %$970 $549 77 %
Non-interest revenue656 693 (5)1,231 1,303 (6)
Securities services revenues$1,145 $994 15 %$2,201 $1,852 19 %
Markets
Net interest income$1,982 $1,355 46 %$3,452 $2,447 41 %
Non-interest revenue2,637 3,937 (33)6,768 8,654 (22)
Total Markets revenues(1)
$4,619 $5,292 (13)%$10,220 $11,101 (8)%
Fixed income markets$3,529 $4,078 (13)%$7,983 $8,367 (5)%
Equity markets1,090 1,214 (10)2,237 2,734 (18)
Total Markets revenues$4,619 $5,292 (13)%$10,220 $11,101 (8)%
Rates and currencies$2,844 $3,249 (12)%$6,484 $6,463 — %
Spread products / other fixed income685 829 (17)1,499 1,904 (21)
Total Fixed income markets revenues$3,529 $4,078 (13)%$7,983 $8,367 (5)%
Banking
Net interest income$727 $811 (10)%$1,446 $1,579 (8)%
Non-interest revenue440 1,266 (65)886 2,384 (63)
Total Banking revenues$1,167 $2,077 (44)%$2,332 $3,963 (41)%
Investment banking
Advisory$162 $357 (55)%$451 $704 (36)%
Equity underwriting162 177 (8)271 362 (25)
Debt underwriting288 271 6 664 767 (13)
Total Investment banking revenues$612 $805 (24)%$1,386 $1,833 (24)%
Corporate lending (excluding gains (losses) on loan hedges)(2)
$621 $778 (20)%$1,211 $1,467 (17)%
Total Banking revenues (excluding gains (losses) on loan hedges)(2)
$1,233 $1,583 (22)%$2,597 $3,300 (21)%
Gain (loss) on loan hedges(2)
(66)494 NM(265)663 NM
Total Banking revenues (including gains (losses) on loan hedges)(2)
$1,167 $2,077 (44)%$2,332 $3,963 (41)%
Total ICG revenues, net of interest expense
$10,441 $11,419 (9)%$21,674 $22,579 (4)%

(1)(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 income may be risk managed withby 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.
(4)    Management uses this information in reviewing the segment’s results and believes it is useful to investors concerning underlying segment performance and trends.
(5)    Excludes loans that are carried at fair value for all periods.
NM Not meaningful

1Q24 vs. 1Q23
Net income of $1.4 billion decreased 25%, primarily driven by lower revenues, higher expenses and higher cost of credit.
Revenues decreased 7%, primarily driven by lower Fixed Income markets revenues, partially offset by higher Equity markets revenues.
Fixed Income markets revenues decreased 10%, reflecting a decline in rates and currencies revenues, partially offset by higher revenues in spread products and other fixed income. Rates and currencies revenues decreased 21%, largely reflecting lower volatility, decreased institutional client activity and a strong prior-year performance. Spread products and other fixed income revenues increased 26%, driven by spread products, primarily due to increased client activity, particularly in asset-backed lending. The increase was partially offset by a decline in commodities revenues.
Equity markets revenues increased 5%, driven by growth in cash equity trading, due to higher volumes and increased trading activity, and higher equity derivatives revenues, due to increased corporate client activity. Equity markets also continued to experience an increase in prime balances.
Expenses increased 7%, primarily driven by the absence of a legal reserve release in the prior-year period.
Provisions were $200 million, compared to $83 million in the prior-year period, driven by a net ACL build of $122 million, compared to $79 million in the prior-year period, and net credit losses of $78 million, compared to $4 million in the prior-year period. The net ACL build was primarily driven by changes in macroeconomic variable assumptions related to loans in spread products. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information on Markets’corporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information on trends in Markets’ deposits and loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.
For additional information about trends, uncertainties and risks related to Markets’ future results, see “Executive Summary” above and “Managing Global Risk—Other Risks—Country Risk—Argentina” and “—Russia” below, and “Risk Factors” in Citi’s 2023 Form 10-K.

15

BANKING

Banking includes Investment Banking, which supports clients’ capital-raising needs to help strengthen and grow their businesses, including equity and debt capital markets-related strategic financing solutions, as well as advisory services related to mergers and acquisitions, divestitures, restructurings and corporate defense activities; and Corporate Lending, which includes corporate and commercial banking, serving as the conduit of Citi’s full product suite to clients.
Banking revenues include revenues earned by Citi that are subject to a revenue sharing arrangement for Investment Banking, Markets and Services products sold to Corporate Lending clients.
At March 31, 2024, Banking had $152 billion in assets including $87 billion in loans, and $0.7 billion in deposits.
First Quarter
In millions of dollars, except as otherwise noted20242023% Change
Net interest income (including dividends)$574 $500 15 %
Fee revenue
Investment banking fees(1)
977 740 32 
Other42 42 — 
Total fee revenue$1,019 $782 30 %
Principal transactions(227)(335)32 
All other(2)
348 204 71 
Total non-interest revenue$1,140 $651 75 %
Total revenues, net of interest expense1,714 1,151 49 
Total operating expenses$1,184 $1,236 (4)%
Net credit losses on loans66 12 NM
Credit reserve build (release) for loans(89)(50)(78)
Provision (release) for credit losses on unfunded lending commitments(96)(171)44 
Provisions (releases) for credit losses for other assets and HTM debt securities(10)86 NM
Provisions (releases) for credit losses$(129)$(123)(5)%
Income (loss) from continuing operations before taxes$659 $38 NM
Income taxes (benefits)120 (19)NM
Income (loss) from continuing operations$539 $57 NM
Noncontrolling interests3 2 50 %
Net income (loss)$536 $55 NM
Balance Sheet data (in billions of dollars)
EOP assets$152 $148 3 %
Average assets155 157 (1)
Efficiency ratio69 %107 %
Revenue by component
Total Investment Banking$903 $667 35 %
Corporate Lending (excluding gain (loss) on loan hedges)(2)(3)
915 683 34 
Total Banking revenues (excluding gain (loss) on loan hedges)(2)(3)
$1,818 $1,350 35 %
Gain (loss) on loan hedges(2)(3)
(104)(199)48 
Total Banking revenues (including gain (loss) on loan hedges)(2)(3)
$1,714 $1,151 49 %
Business metrics—investment banking fees
Advisory$230 $276 (17)%
Equity underwriting (Equity Capital Markets (ECM))171 109 57 
Debt underwriting (Debt Capital Markets (DCM))576 355 62 
Total$977 $740 32 %
16

Revenue by geography
North America$751 $370 NM
International963 781 23 %
Total$1,714 $1,151 49 %
Key drivers(4) (in billions of dollars)
Average loans$89 $95 (6)%
NCLs as a percentage of average loans0.30 %0.05 %
ACLL as a percentage of EOP loans(5)
1.47 %1.84 %
Average deposits$1 $1 — 

(1)    Investment banking fees are primarily composed of underwriting, advisory, loan syndication structuring and other related financing activity.
(2)    Includes revenues earned by Citi that are subject to a revenue sharing arrangement with Investment Banking, Markets and Services products sold to Corporate Lending clients.
(3)    Credit derivatives are used to economically hedge a portion of the corporate loan portfolio that includes both accrual loans and loans at fair value. Gain (loss) on loan hedges includeincludes the mark-to-market on the credit derivatives, andpartially offset by the mark-to-market on the loans in the portfolio that are at fair value. Hedges on accrual loans reflect the mark-to-market on credit derivatives used to economically hedge the corporate loan accrual portfolio. The fixed premium
13

costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection. Citigroup’s results of operations excluding the impact of gain (loss) on loan hedges are non-GAAP financial measures.
(4)    Management uses this information in reviewing the segment’s results and believes it is useful to investors concerning underlying segment performance and trends.
(5)    Excludes loans that are carried at fair value for all periods.
NM Not meaningful


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

2Q231Q24 vs. 2Q221Q23
Net income was $536 million, compared to net income of $2.2 billion decreased 45%$55 million in the prior-year period, driven by higher revenues and lower expenses.
Revenues increased 49% (including losses on loan hedges), primarily reflecting higher Investment Banking revenues, driven by recovery of the global investment banking wallet, higher revenues in Corporate Lending and lower losses on loan hedges ($104 million loss versus $199 million loss in the prior-year period). Excluding the impact of losses on loan hedges, Banking revenues increased 35%.
Investment Banking revenues increased 35%, driven by the DCM and ECM businesses, as improved market sentiment led to an increase in issuance activity. DCM underwriting fees increased 62%, driven by elevated debt issuance activity, particularly investment grade. ECM underwriting fees increased 57%, primarily driven by lower revenues, higher expensesan increase in convertibles issuance. The increase in DCM and higher cost of credit.
Revenues decreased 9% (including gain (loss) on loan hedges), driven by lower Banking and Markets revenues,ECM underwriting fees was partially offset by higher Services revenues. Banking revenues were down 44% (including the impact of the gain (loss) on loan hedges), reflecting lower revenues in both Investment banking and Corporate lending. Markets revenues were down 13%Advisory fees (down 17%), driven by lower revenues in both Fixed income markets and Equity markets, due to lower client activity, driven by decreased volatility and a strong prior-year comparison. Services revenues were up 15%, driven by higher revenues in both TTS and Securities services.
Citi expects that revenues in its Markets and Investment banking businesses will continue to reflect the overall market environment during the remainder of 2023.

Within Services:

•TTS revenues increased 15%, driven by 18% 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 primarily driven by higher interest rates as well as growth in deposits, partially offset by higher interest rates paid on deposits. Average deposits increased 2%, largely driven by growth in EMEA and Latin America. Average loans decreased 6%, reflecting business actions taken to reduce RWA. The increase in non-interest revenue was primarily driven by strong fee growth in the cash business, reflecting solid client engagement and continued growth of underlying drivers, reflecting higher cross-border flows (up 11%) and commercial card spend (up 15%).
•Securities services revenues increased 15%, as net interest income grew 63%, driven by higher interest rates across currencies and cost of funds management, partially offset by the impact of an 8% decline in average deposits. Non-interest revenues decreased 5%, primarily driven by custody fee spread compression, partially offset by higher assets under custody and administration and continued elevated levels of corporatelow merger activity in Issuer services.

Within Markets:

•Fixed income markets revenues decreased 13%, driven by North America, EMEA and Asia, largely due to decreased institutional and corporate client activity.
Rates and currencies decreased 12%, largely due to a declineannounced in the currencies business, driven by EMEA, primarily reflecting lower volatility and a strong prior-year comparison, partially offset by a modest increase in the rates business. Spread products and other fixed income revenues decreased 17%, due to a decline across
second half of 2023.
regions in commodities, driven by lower corporate and institutional client activity, as well as a decline in the financing and securitization business, as the business further reduced its subscription credit facilities portfolio.
•Equity markets revenues decreased 10%, driven by North America and Asia. The decline primarily reflected lower equity derivatives revenues, driven by a more challenging macroeconomic environment, lower volatility and a strong prior-year comparison. The decline in equity derivatives revenues was partially offset by an increase in equity cash, reflecting a modest increase in institutional client activity. Prime finance revenues were largely unchanged, while prime finance balances continued to grow in the quarter.

Within Banking:

•Investment banking revenues declined 24%, reflecting a decline in the overall market wallet, as ongoing macroeconomic and geopolitical uncertainty continued to adversely impact client activity. Advisory revenues decreased 55%, reflecting a decline in North America and Asia, partially offset by growth in EMEA. The decrease in advisory revenues was driven by the lower market wallet as well as lower wallet share. Equity underwriting revenues decreased 8%, reflecting a decline in North America, Asia and EMEA, driven by lower wallet share, partially offset by growth in the market wallet. Debt underwritingCorporate Lending revenues increased 6%, reflecting growth in North America and EMEA, driven by wallet share gains, largely in the investment-grade portfolio, partially offset by the decline in the market wallet.
•Corporate lending revenues decreased 56%68%, including the impact of gains (losses)losses on loan hedges. Excluding the impact of gains (losses)losses on loan hedges, Corporate Lending revenues increased 34%, largely driven by higher revenue share.
Expensesdecreased 20%4%, primarily driven by benefits from repositioning actions and other actions to lower the impacts of foreign currency translation and lower lending volumes.

Expenses increased 13%, primarily driven by continued investment in TTS, risk and controls investments and severance costs in Markets and Investment banking,expense base, partially offset by productivity savings.business-led investments.
Provisions reflected a costbenefit of $58$129 million, compared to a benefit of $202$123 million in the prior-year period, largely driven by an ACL build for other assets and higher net credit losses.period. Net credit losses were $73increased to $66 million, compared to $18 million in the prior-year period.
The ACL release was $15 million, compared to a release of $220$12 million in the prior-year period. The $15 millionnet ACL release was $195 million, compared to a net release of $135 million in the prior-year
period, primarily driven by a net ACL release for loans and unfunded lending commitments of $238 million, primarily due to an improved macroeconomic outlook, partially offset by a $223 million build for other assets, primarily related to an increasechanges in transfer risk associated with exposures outside the
14

U.S. driven by safety and soundness considerations under U.S. banking law.portfolio composition. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on ICGBanking’s corporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information on trends in ICGBanking’s deposits and loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.
For additional information about trends, uncertainties and risks related to ICGBanking’s future results, see “Executive Summary” above and “Managing Global Risk—Other Risks—Country Risk—Argentina” and “—Russia” and “Forward-Looking Statements” below, and “Risk Factors” in Citi’s 20222023 Form 10-K.

2Q23 YTD vs. 2Q22 YTD
Net income of $5.4 billion decreased 17%, primarily driven by lower revenues and higher expenses, partially offset by lower cost of credit.
Revenues decreased 4% (including gain (loss) on loan hedges), driven by lower Banking and Markets revenues, partially offset by higher Services revenues. Banking revenues were down 41% (including the impact of the gain (loss) on loan hedges), reflecting lower revenues in both Investment banking and Corporate lending. Markets revenues were down 8%, driven by lower revenues in both Equity markets and Fixed income markets, also reflecting lower client activity, driven by decreased volatility and a strong prior-year comparison. Services revenues were up 21%, driven by higher revenues in both TTS and Securities services.

Within Services:

•TTS revenues increased 22%, with growth in net interest income of 28% and non-interest revenue of 11%, driven by the same factors described above.
•Securities services revenues increased 19%, reflecting higher net interest income, driven by the same factors described above. Non-interest revenue declined 6%, as a decrease in revenues in the custody business was partially offset by an increase in Issuer services.

Within Markets:

•Fixed income marketsrevenues decreased 5%, primarily due to EMEA, reflecting a decline in spread products and other fixed income, driven by the same factors described above, as rates and currencies revenues were largely unchanged.
•Equity markets revenues decreased 18%, primarily due to a decline in equity derivatives, driven by the same factors as described above, as well as a modest decline in equity cash. Prime finance balances continued to grow year to date.

Within Banking:

•Investment banking revenues decreased 24%. Advisory revenues decreased 36% and equity underwriting revenues decreased 25%, driven by the same factors described above. Debt underwriting revenues decreased 13%, largely driven by the lower market wallet.
•Corporate lendingrevenues decreased 56%, including the impact of gains (losses) on loan hedges. Excluding the impact of gains (losses) on loan hedges, revenues decreased 17%, driven by the same factors described above.

Expenses increased 8%, primarily driven by continued investment in Citi’s transformation, investments in TTS, other risk and controls investments, volume-related expenses and other structural expenses, including severance costs, partially offset by productivity savings and foreign exchange translation.
Provisions reflected a benefit of $14 million, compared to a cost of $769 million in the prior-year period, largely driven by a net ACL release for loans and unfunded lending commitments, compared to an ACL build in the prior-year period. Net credit losses were $95 million, compared to $48 million in the prior-year period.
The ACL release was $109 million, compared to a build of $721 million in the prior-year period, driven by a net ACL release for loans and unfunded lending commitments of $483 million, due to an improved macroeconomic outlook and Russia loan reductions, partially offset by a $374 million build for other assets, primarily related to an increase in transfer risk associated with exposures outside the U.S. driven by safety and soundness considerations under U.S. banking law.
1517

U.S. PERSONAL BANKING AND WEALTH MANAGEMENT

Personal Banking and Wealth Management (PBWM) consists of U.S. Personal Banking and Global Wealth Management (Global Wealth). U.S. Personal Banking (USPB) includes Branded cardsCards and Retail services, which haveServices, with proprietary card portfolios (Cash,(Value, Rewards and Value)Cash) and co-branded cardscard portfolios (including Costco and American Airlines) within Branded cards,Cards, and co-brand and private label relationships within Retail servicesServices (including, among others, Best Buy, The Home Depot, Best Buy, SearsMacy’s and Macy’s)Sears). U.S. Personal BankingUSPB also includes Retail banking,Banking, which provides traditional banking services to retail and small business customers.
At March 31, 2024, USPB had 645 retail bank branches concentrated in the six key metropolitan areas of New York, Chicago, Los Angeles, San Francisco, Miami and Washington, D.C. USPB had $159 billion in outstanding credit card balances, $100 billion in deposits, $41 billion in mortgages and $5 billion in personal and small business loans. For additional information on USPB’s end-of-period consumer loan portfolios and metrics, see “Managing Global Risk—Credit Risk—Consumer Credit” below.

First Quarter
In millions of dollars, except as otherwise noted20242023% Change
Net interest income$5,226 $4,854 8 %
Fee revenue
Interchange fees2,352 2,277 3 
Card rewards and partner payments(2,580)(2,590)— 
Other105 104 1 
Total fee revenue$(123)$(209)41 %
All other75 66 14 
Total non-interest revenue$(48)$(143)66 %
Total revenues, net of interest expense5,178 4,711 10 
Total operating expenses$2,519 $2,529 — %
Net credit losses on loans1,864 1,074 74 
Credit reserve build (release) for loans337 576 (41)
Provision for credit losses on unfunded lending commitments— — — 
Provisions for benefits and claims (PBC), and other assets3 (1)NM
Provisions for credit losses and PBC$2,204 $1,649 34 %
Income from continuing operations before taxes$455 $533 (15)%
Income taxes108 131 (18)
Income from continuing operations$347 $402 (14)%
Noncontrolling interests— — — 
Net income$347 $402 (14)%
Balance Sheet data (in billions of dollars)
EOP assets$237 $228 4 %
Average assets233 231 1 
Efficiency ratio49 %54 %
Revenue by component
Branded Cards$2,640 $2,472 7 %
Retail Services1,900 1,610 18 
Retail Banking638 629 1 
Total$5,178 $4,711 10 %
Average loans and deposits (in billions of dollars)
Average loans$204 $184 11 %
ACLL as a percentage of EOP loans(1)
6.58 %6.62 %
Average deposits100 111 (10)

(1)    Excludes loans that are carried at fair value for all periods.
NM Not meaningful

18

1Q24 vs. 1Q23
Net income was $347 million, compared to $402 million in the prior-year period, reflecting higher cost of credit, partially offset by higher revenues.
Revenues increased 10%, due to higher net interest income (up 8%), largely driven by strong loan growth in cards, as well as higher non-interest revenue (up 66%). The increase in non-interest revenue was largely driven by lower partner payments in Retail Services, due to higher net credit losses.
Cards revenues increased 11%. Branded Cards revenues increased 7%, primarily driven by the higher net interest income, reflecting the strong loan growth. Branded Cards average loans increased 11%, reflecting the higher card spend volumes and lower card payment rates. Branded Cards card spend volumes increased 4%, driven by more affluent customers.
Retail Services revenues increased 18%, primarily driven by higher non-interest revenue due to the lower partner payments, driven by higher net credit losses (see “Provisions” below and Note 5), as well as higher net interest income on higher loan balances. Retail Services average loans increased 6%, largely reflecting lower card payment rates, and credit card spend volumes decreased 4%, primarily due to lower in-store foot traffic.
Retail Banking revenues increased 1%, primarily driven by the higher deposit spreads, loan growth and improved mortgage margins, largely offset by the impact of the transfer of certain relationships and the associated deposit balances to Wealth. Average mortgage loans increased 18%, primarily driven by lower refinancings due to high interest rates and mortgage originations exceeding prepayments. Average deposits decreased 10%, largely reflecting the transfer of certain relationships and the associated deposit balances to Wealth ($16 billion over the last 12 months).
Expenses were largely unchanged, as lower compensation costs were offset by higher repositioning costs and volume-related expenses.
Provisions were $2.2 billion, compared to $1.6 billion in the prior-year period, largely driven by higher net credit losses, partially offset by a lower ACL build for loans. Net credit losses increased 74%, primarily reflecting the continued maturation of cards loan vintages originated during the pandemic, with delayed losses due to unprecedented levels of government stimulus, as well as macroeconomic pressures related to the higher inflationary and interest rate environment impacting both cards portfolios. Branded Cards net credit losses were up 87% to $1 billion and Retail Services net credit losses were up 65% to $0.8 billion.
The net ACL build was $0.3 billion, compared to $0.6 billion in the prior-year period. The net ACL build in the current quarter primarily reflected the impact of macroeconomic pressures related to the higher inflationary and interest rate environment and the seasonal mix shift from transactors to revolvers, partially offset by lower end-of-period cards balances. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.

For additional information on USPB’s Branded Cards, Retail Services and Retail Banking loan portfolios, see “Managing Global Risk—Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to USPB’s future results, see “Executive Summary” above and “Risk Factors—Strategic Risks” in Citi’s 2023 Form 10-K.

19

WEALTH

Wealth includes Private bank,Bank, Wealth at Work and Citigold and provides financial services to clients froma range of client segments including affluent, to ultra-high-net-worthhigh net worth and ultra-high net worth clients 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. Private Bank provides financial services to ultra-high net worth clients through customized product offerings. Wealth at Work provides financial services to professional industries (including law firms, consulting groups, accounting and asset management) through tailored solutions. Citigold includes Citigold and Citigold Private Clients, which both provide financial services to affluent and high net worth clients through elevated product offerings and financial relationships.
At June 30, 2023, U.S. Personal BankingMarch 31, 2024, Wealth had 653 retail bank branches concentrated in the six key metropolitan areas of New York, Chicago, Los Angeles, San Francisco, Miami and Washington, D.C. U.S. Personal Banking had $153 billion in outstanding credit card balances, $112$323 billion in deposits $38and $149 billion in mortgages and $4 billion in personal and small business loans. Global Wealth had $315 billion in deposits, $87loans, including $90 billion in mortgage loans, $59$27 billion in margin loans, $27 billion in personal and small business loans and $5 billion in outstanding credit card balances. For additional information on Wealth’s end-of-period consumer loan portfolios and metrics, see “Managing Global Risk—Credit Risk—Consumer Credit” below.

Second QuarterSix Months
First Quarter
First Quarter
First Quarter
In millions of dollars, except as otherwise noted
In millions of dollars, except as otherwise noted
In millions of dollars, except as otherwise notedIn millions of dollars, except as otherwise noted20232022% Change20232022% Change
Net interest incomeNet interest income$5,963 $5,569 7 %$11,897 $10,954 9 %
Non-interest revenue432 460 (6)946 980 (3)
Net interest income
Net interest income
Fee revenue
Fee revenue
Fee revenue
Commissions and fees
Commissions and fees
Commissions and fees
Other
Other
Other
Total fee revenue
Total fee revenue
Total fee revenue
All other
All other
All other
Total non-interest revenue
Total non-interest revenue
Total non-interest revenue
Total revenues, net of interest expense
Total revenues, net of interest expense
Total revenues, net of interest expenseTotal revenues, net of interest expense$6,395 $6,029 6 %$12,843 $11,934 8 %
Total operating expensesTotal operating expenses$4,204 $3,985 5 %$8,458 $7,874 7 %
Total operating expenses
Total operating expenses
Net credit losses on loans
Net credit losses on loans
Net credit losses on loansNet credit losses on loans$1,241 $699 78 %$2,335 $1,390 68 %
Credit reserve build (release) for loansCredit reserve build (release) for loans333 638 (48)840 (424)NM
Credit reserve build (release) for loans
Credit reserve build (release) for loans
Provision (release) for credit losses on unfunded lending commitments
Provision (release) for credit losses on unfunded lending commitments
Provision (release) for credit losses on unfunded lending commitmentsProvision (release) for credit losses on unfunded lending commitments2 13 (85)(4)11 NM
Provisions for benefits and claims (PBC), and other assetsProvisions for benefits and claims (PBC), and other assets3 5 (40)(1)2 NM
Provisions for benefits and claims (PBC), and other assets
Provisions for benefits and claims (PBC), and other assets
Provisions (releases) for credit losses and PBC
Provisions (releases) for credit losses and PBC
Provisions (releases) for credit losses and PBCProvisions (releases) for credit losses and PBC$1,579 $1,355 17 %$3,170 $979 NM
Income from continuing operations before taxesIncome from continuing operations before taxes$612 $689 (11)%$1,215 $3,081 (61)%
Income from continuing operations before taxes
Income from continuing operations before taxes
Income taxes
Income taxes
Income taxesIncome taxes118 136 (13)232 668 (65)
Income from continuing operationsIncome from continuing operations$494 $553 (11)%$983 $2,413 (59)%
Income from continuing operations
Income from continuing operations
Noncontrolling interests
Noncontrolling interests
Noncontrolling interestsNoncontrolling interests— — — — — — 
Net incomeNet income$494 $553 (11)%$983 $2,413 (59)%
Net income
Net income
Balance Sheet data (in billions of dollars)
Balance Sheet data (in billions of dollars)
Balance Sheet data (in billions of dollars)
Balance Sheet data (in billions of dollars)
EOP assetsEOP assets$473 $479 (1)%
EOP assets
EOP assets
Average assetsAverage assets484 474 2 $490 $474 3 %
Average loans339 317 7 336 315 7 
Average deposits431 435 (1)433 441 (2)
Average assets
Average assets
Efficiency ratioEfficiency ratio66 %66 %66 %66 %
Net credit losses as a percentage of average loans1.47 0.88 1.40 0.89 
Revenue by reporting unit and component
Branded cards$2,352 $2,168 8 %$4,818 $4,258 13 %
Retail services1,646 1,300 27 3,259 2,599 25 
Retail banking594 656 (9)1,207 1,251 (4)
U.S. Personal Banking$4,592 $4,124 11 %$9,284 $8,108 15 %
Private bank$605 $745 (19)%$1,172 $1,524 (23)%
Efficiency ratio
Efficiency ratio
Revenue by component
Revenue by component
Revenue by component
Private Bank
Private Bank
Private Bank
Wealth at Work
Wealth at Work
Wealth at WorkWealth at Work224 170 32 417 353 18 
CitigoldCitigold974 990 (2)1,970 1,949 1 
Global Wealth$1,803 $1,905 (5)%$3,559 $3,826 (7)%
Citigold
Citigold
TotalTotal$6,395 $6,029 6 %$12,843 $11,934 8 %
Total
Total
Revenue by geography
Revenue by geography
Revenue by geography
North America
North America
North America
International
International
International
Total
Total
Total
Key drivers(1) (in billions of dollars)
Key drivers(1) (in billions of dollars)
Key drivers(1) (in billions of dollars)
EOP client balances
EOP client balances
EOP client balances
Client investment assets(2)
Client investment assets(2)
Client investment assets(2)
Deposits
Deposits
Deposits
Loans
Loans
Loans
Total
Total
Total
ACLL as a percentage of EOP loans
ACLL as a percentage of EOP loans
ACLL as a percentage of EOP loans

(1)    Management uses this information in reviewing the segment’s results and believes it is useful to investors concerning underlying segment performance and trends.
20

(2)    Includes assets under management, and trust and custody assets.
NM Not meaningful

16

2Q231Q24 vs. 2Q221Q23
Net income was $494of $150 million compared to $553$159 million in the prior-year period, driven by higher cost of creditas lower revenues and higher expenses partiallywere largely offset by higher revenues.lower cost of credit.
Revenues increased 6%decreased 4%, primarily due to higherlargely driven by lower net interest income driven by strong loan growth across U.S. Personal Banking.(down 13%), due to lower deposit spreads and higher mortgage funding costs. The increasedecrease in revenues was partially offset by loweran increase in non-interest revenue primarily reflecting lower(up 11%), largely driven by higher investment product revenues in Global Wealth.fee revenues.
U.S. Personal Banking revenuesClient balances increased 11%, reflecting higher revenues in cards, partially offset by lower revenues in Retail banking.
Cards revenues increased 15%. Branded cards revenues increased 8%6%, primarily driven by higher client investment assets (up 12%) across regions, reflecting the benefit of higher market valuations and net interest income, reflecting strength in underlying drivers. Branded cards new account acquisitions increased 6% and card spend volumes increased 4%. investment asset flows.
Average loans increased 14%, reflectingwere largely unchanged, as the higher card spend volumes and lower payment rates.
Retail services revenues increased 27%, primarily driven by higher net interest income on higher loan balances and lower partner payments. Retail services card spend volumes decreased 5%, primarily driven by lower discretionary retail spend. Average loans increased 9%, reflecting lower payment rates, partially offset by the lower card spend volumes.
Retail banking revenues decreased 9%, primarily driven by the impact of the transfer of certain relationships and the associated deposit balancesbusiness continued to Global Wealth. Average loans increased 17%, primarily driven by higher mortgage originations.optimize regulatory capital usage. Average deposits decreased 3%1%, largelyprimarily reflecting the transfer of certain relationshipslower deposits in Private Bank and Wealth at Work and the associated deposit balancescontinued transfers to Global Wealth.
Global Wealth revenues decreased 5%,higher-yielding investments on Citi’s platform. This decrease in deposits was largely reflecting investment product revenue headwinds and lower net interest income, partially offset by the benefits of the transfer of certain relationships and the associated deposit balances from Retail banking. Average deposits and average loans were largely unchanged. Client assetsUSPB ($16 billion over the last 12 months).
Private Bank revenues increased 5%1%, primarily driven by increases in market valuations. Client advisors decreased 1%, reflecting the re-pacing of strategic hiring. Private bankimproved deposit spreads and investment fee revenues, decreased 19%, drivenlargely offset by the investment product revenue headwinds and higher interest rates paid on deposits. mortgage funding costs.
Wealth at Work revenues increased 32%, driven by strong lending results, primarily in mortgages, and Citigold revenues decreased 2%6%, driven by the lower net interest incomedeposit spreads and the higher mortgage funding costs, partially offset by the higher investment fee revenues.
Citigold revenues decreased 6%, driven by the lower deposit spreads, partially offset by the higher investment product revenue.fee revenues and higher deposit volumes.
Expenses increased 5%3%, largelyprimarily driven by technology investments focused on risk and controls investments,and platform enhancements, partially offset by productivity savings.initial benefits from repositioning and restructuring actions.
Provisionswere $1.6 billion,a benefit of $170 million, compared to $1.4 billiona benefit of $58 million in the prior-year period, largely driven by a higher net credit losses, partially offsetACL release.
The highernet ACL release was primarily driven by a lower netchange in ACL build for loans. Net credit losses increased 78%, reflecting ongoing normalization in U.S. cards from near historically low levels,associated with Branded cards net credit losses up 87% to $614 million and Retail services net credit losses up 88% to $545 million. Both Branded cards and Retail services net credit losses are expected to normalize by the end of 2023.

The net ACL build was $0.3 billion, compared to $0.7 billion in the prior-year period, primarily reflecting growth in U.S. cards balances.margin lending portfolio. For additional information on Citi’sCiti's ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on U.S. Personal Banking’s Branded cards, Retail services and Retail bankingWealth’sloan portfolios, see “Credit“Managing Global Risk—Credit Risk—Consumer Credit” below.
For additional information about trends, uncertainties and risks related to PBWMWealth’s future results, see “Executive Summary” above and “Forward-Looking Statements” below, and “Risk Factors—Strategic Risks” in Citi’s 20222023 Form 10-K.

2Q23 YTD vs. 2Q22 YTD
21

ALL OTHER—Divestiture-Related Impacts (Reconciling Items)
Year-to-date,
PBWMAll Other experienced similar trendsincludes activities not assigned to those described above. Net income was $983 million, compared to $2.4 billionthe reportable operating segments (Services, Markets, Banking, USPB and Wealth), including Legacy Franchises and Corporate/Other. For additional information about Legacy Franchises and Corporate/Other, see “All Other (Managed Basis)” below.
All Other (managed basis) results exclude divestiture-related impacts (see the “Reconciling Items” column in the prior-year period, largely driven by higher costtable below) related to (i) Citi’s divestitures of creditits Asia consumer banking businesses and higher expenses, partially offset by higher revenues.(ii) the planned IPO of Mexico consumer banking and small business and middle-market banking, within Legacy Franchises. Legacy Franchises (managed basis) results also exclude these divestiture-related impacts. Certain of the results of operations of All Other (managed basis) and Legacy Franchises (managed basis) are non-GAAP financial measures (see “Overview—Non-GAAP Financial Measures” above).
RevenuesThe table below presents a reconciliation from All Other increased 8%(U.S. GAAP) to All Other (managed basis). All Other (U.S. GAAP), largely due to higher revenuesless Reconciling Items, equals All Other (managed basis). The Reconciling Items are fully reflected on each respective line item in U.S. Personal Banking. U.S. Personal Banking revenues increased 15%, reflecting higher revenues in cards, largely driven by the same factors described above. Global Wealth revenues decreased 7%, largely driven by the same factors described above.Citi’s Consolidated Statement of Income.
Expenses
First Quarter
20242023
In millions of dollars, except as otherwise notedAll Other
(U.S. GAAP)
Reconciling Items(1)
All Other
(managed basis)		All Other
(U.S. GAAP)
Reconciling Items(2)
All Other
(managed basis)
Net interest income$1,698 $— $1,698 $2,185 $— $2,185 
Non-interest revenue675 (12)687 1,450 1,018 432 
Total revenues, net of interest expense$2,373 $(12)$2,385 $3,635 $1,018 $2,617 
Total operating expenses$2,778 $110 $2,668 $2,327 $73 $2,254 
Net credit losses on loans260 11 249 186 (12)198 
Credit reserve build (release) for loans(93)— (93)(14)3 (17)
Provision for credit losses on unfunded lending commitments(5)— (5)(20)1 (21)
Provisions for benefits and claims (PBC), other assets and HTM debt securities34 — 34 286 — 286 
Provisions (benefits) for credit losses and PBC$196 $11 $185 $438 $(8)$446 
Income (loss) from continuing operations before taxes$(601)$(133)$(468)$870 $953 $(83)
Income taxes (benefits)(44)(39)(5)14 305 (291)
Income (loss) from continuing operations$(557)$(94)$(463)$856 $648 $208 
Income (loss) from discontinued operations, net of taxes(1)— (1)(1)— (1)
Noncontrolling interests(7)— (7)9 — 9 
Net income (loss)$(551)$(94)$(457)$846 $648 $198 
Asia Consumer revenues$242 $(12)$254 $1,521 $1,018 $503 
increased 7%
(1)    The first quarter of 2024 includes approximately $110 million in operating expenses (approximately $77 million after-tax), primarily driven by continued investmentsrelated to separation costs in Citi’s transformation, other risk and controls investmentsMexico and severance costs partially offset by productivity savings.
Provisions were $3.2 billion, compared to $1.0 billion in the prior-yearAsia exit markets.     
(2)    The first quarter of 2023 includes an approximate $1.059 billion gain on sale recorded in revenue (approximately $727 million after various taxes) related to Citi’s sale of the India consumer banking business. For additional information, see Citi’s Quarterly Report on Form 10-Q for the period due to a net ACL build for loans, as well as higher net credit losses, primarily driven by ongoing normalization in U.S. cards.
The net ACL build was $0.8 billion, primarily driven by U.S. cards loan growth, compared to a release of $0.4 billion in the prior-year period.
ended March 31, 2023.
1722

LEGACY FRANCHISESALL OTHER—Managed Basis

As of June 30, 2023,At March 31, 2024, Legacy FranchisesAll Other included (i)(managed basis) had $200 billion in assets, primarily related to Mexico Consumer/SBMM and Asia Consumer Banking (Asia Consumer)reported within Legacy Franchises (managed basis), representingas well as Corporate Treasury investment securities and the consumer banking operations of the remaining six Asia and EMEA exit countries, (ii)Company’s deferred tax assets (DTAs) reported within Corporate/Other.

Legacy Franchises (Managed Basis)
Legacy Franchises (managed basis) includes (i) Mexico Consumer Banking (Mexico Consumer) and Mexico Small Business and Middle-Market Banking (Mexico SBMM), collectively Mexico Consumer/SBMM, (ii) Asia Consumer Banking (Asia Consumer), representing the consumer banking operations of the remaining four exit countries (Korea, Poland, China and Russia), and (iii) Legacy Holdings Assets, (certain North Americaprimarily legacy consumer mortgage loans and other legacy assets). Asia Consumer provides traditional retail banking and branded card productsin North America that the Company continues to retail and small business customers. wind down.
Mexico Consumer/SBMM operates in Mexico through Citibanamex and provides traditional retail banking and branded card products to consumers and small business customers and traditional middle-market banking products and services to commercial customers through Citibanamex.
Legacy Franchises also included the following seven consumer banking businesses prior to their sale: Australia, until its closing on June 1, 2022; the Philippines, until its closing on August 1, 2022; Thailand and Malaysia, until their closings on November 1, 2022; Bahrain, until its closing on December 1, 2022; and India and Vietnam, until their closings on March 1, 2023.
In addition,customers. As previously disclosed, Citi has entered into agreements to sell its consumer banking businesses in Indonesia and Taiwan, and has continued to make progress on its wind-downs of consumer banking operations in Korea and China and consumer banking and local commercial banking operations in Russia (see below). See Note 2 for additional information on Legacy Franchises’ consumer banking business sales and wind-downs.
In May 2023, Citi announced it intends to pursue an IPO of its consumer, small business and middle-market banking operations in Mexico. Citi will retain its ICGServices, Markets, Banking and Private bankWealth businesses in Mexico. Citi currently expects that the separation of the businesses will be completed in the second half of 2024 and that the IPO will take place in 2025.
Legacy Franchises (managed basis) also included the following four Asia Consumer businesses prior to their sales: India and Vietnam, until their closings in March 2023; Taiwan, until its closing in August 2023; and Indonesia until its closing in November 2023.
Citi has continued to make progress on its wind-downs in China, Korea and Russia, including in October 2023, when Citi announced the signing of an agreement to sell its onshore consumer wealth business in China. In connection with Citi’s wind-downaddition, Citi has restarted the sales process of its consumer and local commercial banking businessesbusiness in Russia, Citi expects to incur approximately $140 million in total estimated charges (excluding the impact from any portfolio sales) related toPoland. See Note 2 for additional information on Legacy Franchises. Citi’s previously disclosed referral agreement with a Russian bank to settle a portfolio of ruble-denominated credit card loans, subject to customer consents, was signed in May 2023. The outstanding card loan balances with Citi ($131 million as of June 30, 2023) are to be settled upon referralFranchises’ consumer banking business sales and refinancing, and the portfolio has not been designated as held-for-sale (HFS).wind-downs. For additional information about Citi’s continued efforts to reduce its operations and exposures in Russia, see “Institutional Clients Group” above and “Managing Global Risk—Other Risks—Country Risk—Russia” below as well asand “Risk Factors” in Citi’s 20222023 Form 10-K.
At June 30, 2023,March 31, 2024, on a combined basis, Legacy Franchises (managed basis) had 1,4131,343 retail branches, $21$20 billion in retail banking loans and $53$50 billion in deposits. In addition, the businessesLegacy Franchises (managed basis) had $9 billion in outstanding card loan balances, andwhile Mexico SBMM had $8$6 billion in outstanding corporate loan balances. These loan and deposit amounts exclude approximately $8 billion of loans ($7 billion of retail banking loans and $1 billion of credit card loan balances) and approximately $11 billion of deposits, all of which were reclassified to HFS (e.g., as Other assets and Other liabilities on the Consolidated Balance Sheet) as a result of Citi’s entry into agreements to sell certain remaining consumer banking businesses. See Note 2 for additional information.

Second QuarterSix Months% Change
In millions of dollars, except as otherwise noted20232022% Change20232022
Net interest income$1,345 $1,474 (9)%$2,635 $2,982 (12)%
Non-interest revenue578 461 25 2,140 884 NM
Total revenues, net of interest expense$1,923 $1,935 (1)%$4,775 $3,866 24 %
Total operating expenses$1,778 $1,814 (2)%$3,530 $4,107 (14)%
Net credit losses on loans$190 $133 43 %$376 $284 32 %
Credit reserve build (release) for loans74 (28)NM77 (174)NM
Provision (release) for credit losses on unfunded lending commitments(10)(3)NM(28)121 NM
Provisions for benefits and claims (PBC), HTM debt securities and other assets46 19 NM220 50 NM
Provisions (releases) for credit losses and PBC$300 $121 NM$645 $281 NM
Income (loss) from continuing operations before taxes$(155)$— — %$600 $(522)NM
Income taxes(33)15 NM116 (122)NM
Income (loss) from continuing operations$(122)$(15)NM$484 $(400)NM
Noncontrolling interests3 2 50 %5 — — %
Net income (loss)$(125)$(17)NM$479 $(400)NM
Balance Sheet data (in billions of dollars)
  
EOP assets$92 $108 (15)%
Average assets92 115 (20)$95 $120 (21)%
EOP loans38 41 (7)
EOP deposits53 53 1 
18

Efficiency ratio92 %94 %74 %106 %
Revenue by reporting unit and component
Asia Consumer$454 $880 (48)%$1,963 $1,667 18 %
Mexico Consumer/SBMM1,449 1,184 22 2,771 2,323 19 
Legacy Holdings Assets20 (129)NM41 (124)NM
Total$1,923 $1,935 (1)%$4,775 $3,866 24 %
Corporate/Other

NM Not meaningful

2Q23 vs. 2Q22
Net loss was $125 million, compared to a net loss of $17 million in the prior-year period, driven by higher cost of credit, partially offset by lower expenses.
Results for the second quarter of 2023 included divestiture-related impacts of $(73) million in earnings before taxes ($(52) million after-tax), reflecting the following:

•$(6) million of aggregate divestiture-related revenue impacts
•$79 million of aggregate divestiture-related expenses, largely relating to separation costs in Mexico and severance costs in the Asia exit markets
•$(12) million benefit of divestiture-related credit costs
•$(21) million of related tax benefits

Results for the second quarter of 2022 included divestiture-related impacts of $48 million ($35 million after-tax), reflecting the following:

•$78 million of aggregate divestiture-related revenue impacts, including a $20 million reduction of the loss on sale for the Australia consumer business
•$(28) million benefit recorded in expenses related to the Korea Voluntary Early Retirement Program (VERP) pension settlement
•$58 million of divestiture-related credit costs
•$13 million of related taxes

Revenues decreased 1%, driven by lower revenues in Asia Consumer, partially offset by higher revenues in Mexico Consumer/SBMM and Legacy Holdings Assets.
Asia Consumer revenues of $454 million decreased from $880 million in the prior-year period, mainly driven by the reduction from exited markets and continued wind-downs.
Mexico Consumer/SBMM revenues increased 22%, as cards revenues increased 38%, SBMM revenues increased 25% and retail banking revenues increased 16%, primarily due to higher interest rates and higher lending volumes.
Legacy Holdings Assets revenues of $20 million increased from $(129) million in the prior-year period, largely driven by a release of a CTA loss (net of hedges) recorded in AOCI in the second quarter of 2022.
Expenses decreased 2%, mainly driven by the impact of the exited markets and continued wind-downs.
Provisions were $300 million, compared to $121 million in the prior-year period, primarily driven by higher net credit losses and a net ACL build. Net credit losses increased 43% to $190 million, driven by higher lending volumes in Mexico Consumer. The build for credit losses was $110 million,
compared to a release of $12 million in the prior-year period, primarily due to higher lending volumes in Mexico Consumer.
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 2022 Form 10-K.

2Q23 YTD vs. 2Q22 YTD
Net income was $479 million, compared to a net loss of $400 million in the prior-year period, driven by higher revenues and lower expenses, partially offset by higher cost of credit.
Results for year-to-date 2023 included divestiture-related impacts of approximately $880 million (approximately $596 million after-tax), reflecting the following:

•$1,012 million of net divestiture gains, primarily related to a gain on sale of the India consumer banking business, recorded in other revenue
•$152 million of aggregate divestiture-related expenses
•$(20) million benefit of divestiture-related credit costs
•$284 million of related taxes

Results for year-to-date 2022 included divestiture-related impacts of approximately $(629) million (approximately $(553) million after-tax), primarily reflecting the following:

•$(98) million pretax loss primarily reflecting an ACL release of $(104) million related to the Australia consumer banking business sale
•$129 million cost of credit reclassification to revenues, as once a divestiture is classified as held-for-sale, credit costs, including ACL builds/releases and net credit losses, are reclassified to revenues
•$535 million goodwill impairment, recorded in expenses, due to the re-segmentation and sequencing of divestitures
•$(76) million of related tax benefits

Revenues increased 24%, driven by higher revenues in Asia Consumer, Mexico Consumer/SBMM and Legacy Holdings Assets.
Asia Consumer revenues increased 18%, primarily driven by the India gain on sale, partially offset by the reduction from exited markets and wind-downs. Mexico Consumer/SBMM revenues increased 19%, mainly due to the benefit of FX translation as well as higher interest rates and higher lending volumes. Legacy Holdings Assets revenues of $41 million increased from $(124) million in the prior-year period, primarily driven by the release of the CTA loss (net of hedges) recorded in AOCI in the second quarter of 2022.
19

Expenses decreased 14%, mainly driven by the absence of the goodwill impairment in the prior-year period and the benefit of the closed exit markets and wind-downs.
Provisions were $645 million, compared to $281 million in the prior-year period, driven by higher lending volumes and net credit losses in Mexico Consumer, and a build for transfer risk associated with exposures outside the U.S., driven by safety and soundness considerations under U.S. banking law.
20

CORPORATE/OTHER

Activities not assigned to the operating segments (ICG, PBWM and Legacy Franchises) are included in Corporate/Other.Corporate/Other includedincludes certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance-related costs), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as results of Corporate Treasury investment activities and discontinued operations. At June 30, 2023, Corporate/Other had $94 billion in assets, including Corporate Treasury investment securities and the Company’s deferred tax assets (DTAs).

Second QuarterSix Months% Change
In millions of dollars20232022% Change20232022
Net interest income$969 $401 NM$2,065 $595 NM
Non-interest revenue(292)(146)(100)%(474)(150)NM
Total revenues, net of interest expense$677 $255 NM$1,591 $445 NM
Total operating expenses$302 $160 89 %$612 $420 46 %
Provisions for HTM debt securities and other assets$(113)$— — %$(2)$— — %
Income (loss) from continuing operations before taxes$488 $95 NM$981 $25 NM
Income taxes (benefits)127 (178)NM361 (440)NM
Income from continuing operations$361 $273 32 %$620 $465 33 %
Income (loss) from discontinued operations, net of taxes(1)(221)100 (2)(223)99 
Net income before attribution to noncontrolling interests$360 $52 NM$618 $242 NM
Noncontrolling interests4 2 NM7 3 NM
Net income$356 $50 NM$611 $239 NM
23

First Quarter
In millions of dollars, except as otherwise noted20242023% Change
Net interest income$1,698 $2,185 (22)%
Non-interest revenue687 432 59 
Total revenues, net of interest expense$2,385 $2,617 (9)%
Total operating expenses$2,668 $2,254 18 %
Net credit losses on loans249 198 26 
Credit reserve build (release) for loans(93)(17)NM
Provision (release) for credit losses on unfunded lending commitments(5)(21)76 
Provisions for benefits and claims (PBC), other assets and HTM debt securities34 286 (88)
Provisions for credit losses and PBC$185 $446 (59)%
Income (loss) from continuing operations before taxes$(468)$(83)NM
Income taxes (benefits)(5)(291)98 %
Income (loss) from continuing operations$(463)$208 NM
Income (loss) from discontinued operations, net of taxes(1)(1)— %
Noncontrolling interests(7)9 NM
Net income (loss)$(457)$198 NM
Balance Sheet data (in billions of dollars)
EOP assets$200 $216 (7)%
Average assets196 211 (7)
Revenue by reporting unit and component
Mexico Consumer/SBMM$1,571 $1,294 21 %
Asia Consumer254 503 (50)
Legacy Holdings Assets(11)8 NM
Corporate/Other571 812 (30)
Total$2,385 $2,617 (9)%
Mexico Consumer/SBMM—key indicators (in billions of dollars)
EOP loans$26.0 $22.0 18 %
EOP deposits41.0 36.7 12 
Average loans25.0 20.8 20 
NCLs as a percentage of average loans (Mexico Consumer only)4.67 %3.87 %
Loans 90+ days past due as a percentage of EOP loans (Mexico Consumer only)1.32 1.24 
Loans 30–89 days past due as a percentage of EOP loans (Mexico Consumer only)1.33 1.26 
Asia Consumer—key indicators(1) (in billions of dollars)
EOP loans$6.5 $10.0 (35)%
EOP deposits9.0 14.4 (38)
Average loans6.9 12.1 (43)
Legacy Holdings Assets—key indicators (in billions of dollars)
EOP loans$2.3 $2.8 (18)%

(1)    The key indicators for Asia Consumer reflect the reclassification of loans and deposits to Other assets and Other liabilities under HFS accounting on Citi’s Consolidated Balance Sheet.
NM Not meaningful

24

2Q23
1Q24 vs. 2Q221Q23
Net incomeloss was $356$457 million, compared to $50 million in the prior-year period. The increase in net income was primarily driven by higher revenues, benefits from cost of credit and the prior-year release of a CTA loss (net of hedges) from AOCI (for additional information, see Note 2). These increases were partially offset by higher expenses and lower income tax benefits. Results for the quarter also included a $40 million withholding tax related to an exit market, which is a divestiture-related impact.
Revenues were $677 million, compared to $255$198 million in the prior-year period, driven by higher expenses, lower revenues and lower income tax benefits, partially offset by lower cost of credit.
All Other (managed basis) revenues decreased 9%, driven by lower revenues in Corporate/Other.
Legacy Franchises (managed basis) revenues were largely unchanged, as higher revenues in Mexico Consumer/SBMM (managed basis) were offset by lower revenues in Asia Consumer (managed basis).
Mexico Consumer/SBMM (managed basis) revenues increased 21%, as cards revenues in Mexico Consumer increased 27%, SBMM revenues increased 28% and retail banking revenues increased 18%, mainly due to higher deposit and loan volumes and Mexican peso appreciation.
Asia Consumer (managed basis) revenues decreased 50%, primarily driven by higher net interest income from the closed exits and wind-downs.
Deposits with banksCorporate/Other revenues and the investment portfolio, largely duedecreased to higher interest rates.
Expenses were $302$571 million, compared to $160$812 million in the prior-year period, driven by higher cost of funds.
Expenses increased 18%, primarily reflectingdriven by the impact of inflation, higher severance costsincremental FDIC special assessment and the restructuring charges (see Note 9), partially offset by lower expenses from closed exits and wind-downs.
Provisions were $185 million, compared to $446 million in the prior-year period, largely driven by the absence of certain settlements that occurreda net ACL build in the prior-year period, partially offset by lower consulting expenses.
Provisions were a $113 million benefit,higher net credit losses. Net credit losses increased 26%, primarily driven by a reserve release related to the repayment of the First Republic Bank deposit.higher lending volumes in Mexico Consumer.
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/All Other’s (managed basis) future results, see “Executive Summary” above “Forward-Looking Statements”and “Managing Global Risk—Other Risks—Country Risk—Russia” below, and “Risk Factors—Strategic Risks”Factors” in Citi’s 20222023 Form 10-K.



2Q23 YTD vs. 2Q22 YTD
Year-to-date, Corporate/Other experienced similar trends to those described above. Net income was $611 million, compared to net income of $239 million in the prior-year period, largely driven by the same factors described above.
Revenues were $1.6 billion, compared to $445 million in the prior-year period, driven by the same factors described above.
Expenses were $612 million, compared to $420 million in the prior-year period, driven by the same factors described above.
Provisions were a $2 million benefit, as the reserve build for the First Republic Bank deposit in the first quarter of 2023 was released in the second quarter of 2023.
2125

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 20222023 Form 10-K.
During the secondfirst quarter of 2023,2024, Citi returned a total of $2.0$1.5 billion of capital to common shareholders in the form of $1.0 billion in dividends and $1.0$0.5 billion in share repurchases totaling approximately 21(approximately 8 million common shares.shares). For additional information, see “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends” below.
Citi paid common dividends of $0.51$0.53 per share for the secondfirst quarter of 2023,2024, and on July 20, 2023,April 3, 2024, declared common dividends of $0.53 per share for the thirdsecond quarter of 2023.2024. Citi intends to maintain a quarterly common dividend of at least $0.53 per share, subject to financial and macroeconomic conditions as well as its Board of Directors’ approval. In addition, as previously announced, Citi will continue to assess common share repurchases on a quarter-by-quarter basis given uncertainty regarding regulatory capital requirements. For additional information, see “Capital Resources—Regulatory“Regulatory Capital Standards and Developments” below.

Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 (CET1) Capital ratio under the Basel III Standardized Approach was 13.5% as of March 31, 2024, compared to 13.4% as of June 30, 2023, largely unchanged from MarchDecember 31, 2023, relative to a required regulatory CET1 Capital ratio of 12.0%12.3% as of such dates under the Standardized Approach. This compares to a CET1 Capital ratio of 13.0% as of December 31, 2022, relative to a required regulatory CET1 Capital ratio of 11.5% as of such date under the Standardized Approach.
Citi’s CET1 Capital ratio under the Basel III Advanced Approaches was 12.5%12.0% as of June 30, 2023,March 31, 2024, compared to 12.3%12.1% as of MarchDecember 31, 2023, relative to a required regulatory CET1 Capital ratio of 10.5% as of such dates under the Advanced Approaches framework. This compares to a CET1 Capital ratio of 12.2% as of December 31, 2022, relative to a required regulatory CET1 Capital ratio of 10.0% as of such date under the Advanced Approaches.
Citi’s CET1 Capital ratio under the Standardized Approach remained largely unchanged from March 31, 2023, as the return of capital to common shareholders and an increase in RWA were offset by net income. Citi’s CET1 Capital ratio increased under the Advanced ApproachesStandardized Approach from MarchDecember 31, 2023, driven primarily by net income and a decrease in RWA, partially offset by the return of capital to common shareholders.
Citi’s CET1 Capital ratio increased under both the Standardized Approach and Advanced Approaches from year-end 2022, driven primarily by year-to-date net income of $7.5 billion,RWA, partially offset by the return of capital to common shareholders and higher deferred tax assets. Citi’s CET1 Capital ratio decreased under the Advanced Approaches from December 31, 2023, driven primarily by the return of capital to common shareholders, an increase in RWA.Advanced Approaches RWA and higher deferred tax assets, partially offset by net income.
Stress Capital Buffer
In July 2023, the FRB confirmed Citi’s Stress Capital Buffer (SCB) requirementAs of 4.3%, as compared to the current requirement of 4.0%, for the four-quarter window starting from October 1, 2023, to September 30, 2024.
Accordingly, effective October 1, 2023, Citi will beCiti’s required to maintain a 12.3%regulatory CET1 Capital ratio increased to 12.3% from 12.0% under the Standardized Approach, incorporating the 4.3% SCBStress Capital Buffer (SCB) through September 30, 2024 and itsCiti’s current GSIB surcharge of 3.5%. Citi’s required regulatory CET1 Capital ratio under the Advanced Approaches (using the fixed 2.5% Capital Conservation Buffer) will remainwas unchanged at 10.5%. The SCB applies to Citigroup only; the regulatory capital framework applicable to Citibank, including the Capital Conservation Buffer, is unaffected by Citigroup’s SCB.
For additional information regarding regulatory capital buffers, including the SCB and GSIB surcharge, see “Capital Resources—Regulatory Capital Buffers” in Citi’s 20222023 Form 10-K.
2226

Citigroup’s Capital Resources
The following table presents Citi’s required risk-based capital ratios as of June 30, 2023, March 31, 20232024 and December 31, 2022:2023:

Advanced ApproachesStandardized Approach
June 30,
2023		March 31,
2023		December 31,
2022		June 30,
2023		March 31,
2023		December 31,
2022
CET1 Capital ratio(1)
10.5 %10.5 %10.0 %12.0 %12.0 %11.5 %
Tier 1 Capital ratio(1)
12.0 12.0 11.5 13.5 13.5 13.0 
Total Capital ratio(1)
14.0 14.0 13.5 15.5 15.5 15.0 
Advanced Approaches
Standardized Approach(1)
March 31,
2024		December 31,
2023		March 31,
2024		December 31,
2023
CET1 Capital ratio(2)
10.5 %10.5 %12.3 %12.3 %
Tier 1 Capital ratio(2)
12.0 12.0 13.8 13.8 
Total Capital ratio(2)
14.0 14.0 15.8 15.8 

(1)As of JanuaryOctober 1, 2023, Citi’s required regulatory CET1 Capital ratio increased from 12.0% to 12.3% under the Standardized Approach, incorporating the 4.3% SCB and its GSIB surcharge of 3.5%.
(2)Citi’s required risk-based capital ratios included the 4.0%4.3% SCB and 3.5% GSIB surcharge under the Standardized Approach, and the 2.5% Capital Conservation Buffer and 3.5% GSIB surcharge under the Advanced Approaches (all of which must be composed of CET1 Capital). These requirements are applicable through September 30, 2023. See “Stress Capital Buffer” above for more information.

The following tables present Citi’s capital components and ratios as of June 30, 2023, March 31, 20232024 and December 31, 2022:2023:

Advanced ApproachesStandardized Approach
Advanced ApproachesAdvanced ApproachesStandardized Approach
In millions of dollars, except ratiosIn millions of dollars, except ratiosJune 30,
2023		March 31,
2023		December 31,
2022		June 30,
2023		March 31,
2023		December 31,
2022		In millions of dollars, except ratiosMarch 31,
2024		December 31,
2023		March 31,
2024		December 31,
2023
CET1 Capital(1)
CET1 Capital(1)
$154,243 $153,753 $148,930 $154,243 $153,753 $148,930 
Tier 1 Capital(1)
Tier 1 Capital(1)
175,743 175,249 169,145 175,743 175,249 169,145 
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
198,036 194,998 188,839 206,852 203,586 197,543 
Total Risk-Weighted AssetsTotal Risk-Weighted Assets1,234,271 1,252,390 1,221,538 1,153,450 1,144,359 1,142,985 
Credit Risk(1)
Credit Risk(1)
$874,707 $883,746 $851,875 $1,090,440 $1,072,110 $1,069,992 
Market RiskMarket Risk62,261 71,341 71,889 63,010 72,249 72,993 
Operational RiskOperational Risk297,303 297,303 297,774 — — — 
CET1 Capital ratio(2)
CET1 Capital ratio(2)
12.50 %12.28 %12.19 %13.37 %13.44 %13.03 %
CET1 Capital ratio(2)
11.95 %12.11 %13.45 %13.37 %
Tier 1 Capital ratio(2)
Tier 1 Capital ratio(2)
14.24 13.99 13.85 15.24 15.31 14.80 
Total Capital ratio(2)
Total Capital ratio(2)
16.04 15.57 15.46 17.93 17.79 17.28 
In millions of dollars, except ratiosIn millions of dollars, except ratiosRequired
Capital Ratios		June 30, 2023March 31, 2023December 31, 2022In millions of dollars, except ratiosRequired
Capital Ratios		March 31, 2024December 31, 2023
Quarterly Adjusted Average Total Assets(1)(3)
Quarterly Adjusted Average Total Assets(1)(3)
$2,429,306 $2,426,430 $2,395,863 
Total Leverage Exposure(1)(4)
Total Leverage Exposure(1)(4)
2,943,546 2,939,744 2,906,773 
Leverage ratioLeverage ratio4.0 %7.23 %7.22 %7.06 %Leverage ratio4.0 %7.13 %7.20 %
Supplementary Leverage ratioSupplementary Leverage ratio5.0 5.97 5.96 5.82 

(1)Citi’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the current expected credit losses (CECL) standard. For additional information, seeSee “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 20222023 Form 10-K.
(2)Citi’s binding CET1 Capital and Tier 1 Capital ratios were derived under the Basel III Standardized Approach, whereas Citi’s binding Total Capital ratio was derived under the Basel III Advanced Approaches framework for all periods presented.
(3)Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(4)Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s capital ratios at June 30, 2023March 31, 2024 were in excess of the regulatory capital requirements under the U.S. Basel III rules. In addition, Citi was “well capitalized” under current federal bank regulatory agencies definitions as of June 30, 2023.March 31, 2024.
2327

Components of Citigroup Capital

In millions of dollarsIn millions of dollarsJune 30,
2023		December 31,
2022		In millions of dollarsMarch 31,
2024		December 31,
2023
CET1 CapitalCET1 Capital
Citigroup common stockholders’ equity(1)
Citigroup common stockholders’ equity(1)
$188,610 $182,325 
Citigroup common stockholders’ equity(1)
Citigroup common stockholders’ equity(1)
Add: Qualifying noncontrolling interestsAdd: Qualifying noncontrolling interests209 128 
Regulatory capital adjustments and deductions:Regulatory capital adjustments and deductions:
Add: CECL transition provision(2)
Add: CECL transition provision(2)
Add: CECL transition provision(2)
Add: CECL transition provision(2)
1,514 2,271 
Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of taxLess: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax(1,990)(2,522)
Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities attributable to own creditworthiness, net of taxLess: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax307 1,441 
Less: Intangible assets:Less: Intangible assets:
Goodwill, net of related DTLs(3)
Goodwill, net of related DTLs(3)
18,933 19,007 
Goodwill, net of related DTLs(3)
Goodwill, net of related DTLs(3)
Identifiable intangible assets other than MSRs, net of related DTLs
Identifiable intangible assets other than MSRs, net of related DTLs
3,531 3,411 
Less: Defined benefit pension plan net assets; other2,020 1,935 
Less: Defined benefit pension plan net assets and other
Less: DTAs arising from net operating loss, foreign tax credit and general business credit
carry-forwards(4)
Less: DTAs arising from net operating loss, foreign tax credit and general business credit
carry-forwards(4)
11,461 12,197 
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
and MSRs(4)(5)
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
and MSRs(4)(5)
1,828 325 
Total CET1 Capital (Standardized Approach and Advanced Approaches)Total CET1 Capital (Standardized Approach and Advanced Approaches)$154,243 $148,930 
Additional Tier 1 CapitalAdditional Tier 1 Capital
Qualifying noncumulative perpetual preferred stock(1)
Qualifying noncumulative perpetual preferred stock(1)
$20,109 $18,864 
Qualifying noncumulative perpetual preferred stock(1)
Qualifying noncumulative perpetual preferred stock(1)
Qualifying trust preferred securities(6)
Qualifying trust preferred securities(6)
1,410 1,406 
Qualifying noncontrolling interestsQualifying noncontrolling interests30 30 
Regulatory capital deductions:Regulatory capital deductions:
Less: Other
Less: Other
Less: OtherLess: Other49 85 
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$21,500 $20,215 
Total Tier 1 Capital (CET1 Capital + Additional Tier 1 Capital)
(Standardized Approach and Advanced Approaches)
Total Tier 1 Capital (CET1 Capital + Additional Tier 1 Capital)
(Standardized Approach and Advanced Approaches)
$175,743 $169,145 
Tier 2 CapitalTier 2 Capital
Qualifying subordinated debtQualifying subordinated debt$17,669 $15,530 
Qualifying subordinated debt
Qualifying subordinated debt
Qualifying noncontrolling interestsQualifying noncontrolling interests37 37 
Eligible allowance for credit losses(2)(7)
Eligible allowance for credit losses(2)(7)
13,715 13,426 
Regulatory capital deduction:Regulatory capital deduction:
Less: Other
Less: Other
Less: OtherLess: Other312 595 
Total Tier 2 Capital (Standardized Approach)Total Tier 2 Capital (Standardized Approach)$31,109 $28,398 
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$206,852 $197,543 
Adjustment for excess of eligible credit reserves over expected credit losses(2)(7)
Adjustment for excess of eligible credit reserves over expected credit losses(2)(7)
$(8,816)$(8,704)
Total Tier 2 Capital (Advanced Approaches)Total Tier 2 Capital (Advanced Approaches)$22,293 $19,694 
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$198,036 $188,839 

(1)Issuance costs of $136$74 million and $131$84 million related to outstanding noncumulative perpetual preferred stock at June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively, were excluded from common stockholders’ equity and netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)Citi’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the CECL standard. For additional information, seeSee “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 20222023 Form 10-K.
(3)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
(4)Of Citi’s $28.5$29.9 billion of net DTAs at June 30, 2023, $11.5March 31, 2024, $11.9 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards, as well as $1.8$3.6 billion of DTAs arising from temporary differences that exceeded 10%/15% limitations, were excluded from Citi’s CET1 Capital as of June 30, 2023.March 31, 2024. DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards are required to be entirely deducted from CET1 Capital under the U.S. Basel III rules. DTAs arising from temporary differences are required to be deducted from capital only if they exceed 10%/15% limitations under the U.S. Basel III rules.

Footnotes continue on the following page.page
2428

(5)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At June 30, 2023March 31, 2024 and December 31, 2022,2023, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation.
(6)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(7)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 were $4.9 billion and $4.7$3.9 billion at June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively.

2529

Citigroup Capital Rollforward

In millions of dollarsThree Months Ended
June 30, 2023		Six Months Ended June 30, 2023
CET1 Capital, beginning of period$153,753 $148,930 
Net income2,915 7,521 
Common and preferred dividends declared(1,292)(2,569)
Net increase in treasury stock(985)(280)
Net increase in common stock and additional paid-in capital210 126 
Net change in CTA net of hedges, net of tax23 865 
Net change in unrealized gains (losses) on debt securities AFS, net of tax126 962 
Net increase in defined benefit plans liability adjustment, net of tax(136)(240)
Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax111 189 
Net decrease in excluded component of fair value hedges11 23 
Net change in goodwill, net of related DTLs(89)74 
Net change in identifiable intangible assets other than MSRs, net of related DTLs76 (120)
Net increase in defined benefit pension plan net assets(66)(59)
Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards322 736 
Net increase in excess over 10%/15% limitations for other DTAs, certain common stock investments and MSRs(783)(1,503)
Net decrease in CECL transition provision— (757)
Other47 345 
Net increase in CET1 Capital$490 $5,313 
CET1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$154,243 $154,243 
Additional Tier 1 Capital, beginning of period$21,496 $20,215 
Net increase in qualifying perpetual preferred stock— 1,245 
Net increase in qualifying trust preferred securities2 4 
Other2 36 
Net increase in Additional Tier 1 Capital$4 $1,285 
Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$175,743 $175,743 
Tier 2 Capital, beginning of period (Standardized Approach)$28,337 $28,398 
Net increase in qualifying subordinated debt2,489 2,139 
Net increase in eligible allowance for credit losses239 289 
Other44 283 
Net increase in Tier 2 Capital (Standardized Approach)$2,772 $2,711 
Tier 2 Capital, end of period (Standardized Approach)$31,109 $31,109 
Total Capital, end of period (Standardized Approach)$206,852 $206,852 
Tier 2 Capital, beginning of period (Advanced Approaches)$19,749 $19,694 
Net increase in qualifying subordinated debt2,489 2,139 
Net increase in excess of eligible credit reserves over expected credit losses11 177 
Other44 283 
Net increase in Tier 2 Capital (Advanced Approaches)$2,544 $2,599 
Tier 2 Capital, end of period (Advanced Approaches)$22,293 $22,293 
Total Capital, end of period (Advanced Approaches)$198,036 $198,036 
In millions of dollarsThree Months Ended March 31, 2024
CET1 Capital, beginning of period$153,595
Net income3,371
Common and preferred dividends declared(1,309)
Treasury stock373
Common stock and additional paid-in capital(373)
CTA net of hedges, net of tax(1,053)
Unrealized gains (losses) on debt securities AFS, net of tax100
Defined benefit plans liability adjustment, net of tax77
Adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax(1)
59
Other Accumulated other comprehensive income (loss) (AOCI)
17
Goodwill, net of related DTLs131
Identifiable intangible assets other than MSRs, net of related DTLs91
Defined benefit pension plan net assets(41)
DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards139
Excess over 10%/15% limitations for other DTAs, certain common stock investments and MSRs(1,245)
CECL transition provision(757)
Other(33)
Net change in CET1 Capital$(453)
CET1 Capital, end of period (Standardized Approach and Advanced Approaches)$153,142
Additional Tier 1 Capital, beginning of period$18,909
Qualifying perpetual preferred stock10
Qualifying trust preferred securities3
Other1
Net change in Additional Tier 1 Capital$14
Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches)$172,065
Tier 2 Capital, beginning of period (Standardized Approach)$29,264
Qualifying subordinated debt1,865
Eligible allowance for credit losses(99)
Other(3)
Net change in Tier 2 Capital (Standardized Approach)$1,763
Tier 2 Capital, end of period (Standardized Approach)$31,027
Total Capital, end of period (Standardized Approach)$203,092
Tier 2 Capital, beginning of period (Advanced Approaches)$19,415
Qualifying subordinated debt1,865
Excess of eligible credit reserves over expected credit losses1,024
Other(3)
Net change in Tier 2 Capital (Advanced Approaches)$2,886
Tier 2 Capital, end of period (Advanced Approaches)$22,301
Total Capital, end of period (Advanced Approaches)$194,366




(1)    Includes the changes in Citigroup (own credit) credit valuation adjustments (CVA) attributable to own creditworthiness, net of tax.

2630

Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach)

In millions of dollarsThree Months Ended
June 30, 2023		Six Months Ended June 30, 2023
Total Risk-Weighted Assets, beginning of period$1,144,359 $1,142,985 
Changes in Credit Risk-Weighted Assets
General credit risk exposures(1)
4,990 (9,362)
Derivatives(2)
10,313 11,470 
Repo-style transactions(3)
1,119 12,044 
Securitization exposures(364)92 
Equity exposures(4)
589 2,377 
Other exposures(5)
1,683 3,827 
Net increase in Credit Risk-Weighted Assets$18,330 $20,448 
Changes in Market Risk-Weighted Assets
Risk levels$(6,795)$(8,876)
Model and methodology updates(2,444)(1,107)
Net decrease in Market Risk-Weighted Assets(6)
$(9,239)$(9,983)
Total Risk-Weighted Assets, end of period$1,153,450 $1,153,450 
In millions of dollarsThree Months Ended March 31, 2024
Total Risk-Weighted Assets, beginning of period$1,148,608
General credit risk exposures(1)
(14,595)
Derivatives(2)
(2,038)
Repo-style transactions(3)
5,719
Securitization exposures284
Equity exposures1,077
Other exposures(700)
Net decrease in Credit Risk-Weighted Assets$(10,253)
Net increase in Market Risk-Weighted Assets$191
Total Risk-Weighted Assets, end of period$1,138,546

(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increaseddecreased during the three months ended June 30, 2023,March 31, 2024, primarily due to an increasea decrease in lending exposures and card activities. General credit risk exposures
(2)Derivatives decreased during the sixthree months ended June 30, 2023, primarily driven by divestitures and non-strategic portfolio exits.
(2)Derivative exposures increased during the three and six months ended June 30, 2023,March 31, 2024, mainly driven by movements across multiple business areas, notablya decrease in rates and currencies.exposures.
(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 and six months ended June 30, 2023, mainly due toMarch 31, 2024, primarily driven by increased activities across multiple business areas.activities.
(4)Equity exposures increased during the three and six months ended June 30, 2023, primarily due to increases in investment market share prices.
(5)Other exposures increased during the three and six months ended June 30, 2023, mainly driven by increases in other assets.
(6)Market risk-weighted assets decreased during the three and six months ended June 30, 2023, primarily due to exposure changes, partially offset by changes in model inputs related to volatility and correlation between market risk factors.
2731

Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)

In millions of dollarsThree Months Ended
June 30, 2023		Six Months Ended June 30, 2023
Total Risk-Weighted Assets, beginning of period$1,252,390 $1,221,538 
Changes in Credit Risk-Weighted Assets
General credit risk exposures(1)
(4,478)13,130 
Derivatives(2)
(8,382)(3,366)
Repo-style transactions(3)
2,201 3,498 
Securitization exposures(1,561)532 
Equity exposures(4)
417 2,828 
Other exposures(5)
2,764 6,210 
Net increase in Credit Risk-Weighted Assets$(9,039)$22,832 
Changes in Market Risk-Weighted Assets
Risk levels$(6,636)$(8,521)
Model and methodology updates(2,444)(1,107)
Net decrease in Market Risk-Weighted Assets(6)
$(9,080)$(9,628)
Net decrease in Operational Risk-Weighted Assets$— $(471)
Total Risk-Weighted Assets, end of period$1,234,271 $1,234,271 
In millions of dollarsThree Months Ended March 31, 2024
Total Risk-Weighted Assets, beginning of period$1,268,723
General credit risk exposures(1)
(4,218)
Derivatives(2)
(4,713)
Repo-style transactions(3)
5,509
Securitization exposures1,089
Equity exposures1,122
Other exposures444
Net decrease in Credit Risk-Weighted Assets$(767)
Net increase in Market Risk-Weighted Assets$76
Net increase in Operational Risk-Weighted Assets(4)
$13,054
Total Risk-Weighted Assets, end of period$1,281,086

(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 months ended June 30, 2023, mainly driven by loans, partly offset by an increaseMarch 31, 2024, primarily due to a decrease in card activities. General credit risk exposures increased during the six months ended June 30, 2023, primarily driven by card activities.lending exposures.
(2)Derivative exposuresDerivatives decreased during the three and six months ended June 30, 2023,March 31, 2024, mainly driven by changesa decrease in CVA.exposures.
(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 and six months ended June 30, 2023, mainly due toMarch 31, 2024, primarily driven by increased activities across multiple business areas.activities.
(4)Equity exposuresOperational risk increased during the three and six months ended June 30, 2023,March 31, 2024, primarily due to increases in investment market share prices.model parameter updates.
(5)Other exposures increased during the three and six months ended June 30, 2023, mainly driven by increases in other assets.
(6)Market risk-weighted assets decreased during the three and six months ended June 30, 2023, primarily due to exposure changes, partially offset by changes in model inputs related to volatility and correlation between market risk factors.

2832

Supplementary Leverage Ratio
The following table presents Citi’s Supplementary Leverage ratio and related components as of June 30, 2023, March 31, 20232024 and December 31, 2022:2023:

In millions of dollars, except ratiosIn millions of dollars, except ratiosJune 30, 2023March 31, 2023December 31, 2022
In millions of dollars, except ratios
In millions of dollars, except ratios
Tier 1 Capital
Tier 1 Capital
Tier 1 CapitalTier 1 Capital$175,743 $175,249 $169,145 
Total Leverage ExposureTotal Leverage Exposure
Total Leverage Exposure
Total Leverage Exposure
On-balance sheet assets(1)(2)
On-balance sheet assets(1)(2)
On-balance sheet assets(1)(2)
On-balance sheet assets(1)(2)
$2,467,128 $2,463,758 $2,432,823 
Certain off-balance sheet exposures(3)
Certain off-balance sheet exposures(3)
Certain off-balance sheet exposures(3)
Certain off-balance sheet exposures(3)
Potential future exposure on derivative contracts
Potential future exposure on derivative contracts
Potential future exposure on derivative contractsPotential future exposure on derivative contracts144,823 143,328 133,071 
Effective notional of sold credit derivatives, net(4)
Effective notional of sold credit derivatives, net(4)
31,833 30,931 34,117 
Effective notional of sold credit derivatives, net(4)
Effective notional of sold credit derivatives, net(4)
Counterparty credit risk for repo-style transactions(5)
Counterparty credit risk for repo-style transactions(5)
Counterparty credit risk for repo-style transactions(5)
Counterparty credit risk for repo-style transactions(5)
19,399 18,255 17,169 
Other off-balance sheet exposuresOther off-balance sheet exposures318,185 320,800 326,553 
Other off-balance sheet exposures
Other off-balance sheet exposures
Total of certain off-balance sheet exposures
Total of certain off-balance sheet exposures
Total of certain off-balance sheet exposuresTotal of certain off-balance sheet exposures$514,240 $513,314 $510,910 
Less: Tier 1 Capital deductionsLess: Tier 1 Capital deductions37,822 37,328 36,960 
Less: Tier 1 Capital deductions
Less: Tier 1 Capital deductions
Total Leverage Exposure
Total Leverage Exposure
Total Leverage ExposureTotal Leverage Exposure$2,943,546 $2,939,744 $2,906,773 
Supplementary Leverage ratioSupplementary Leverage ratio5.97 %5.96 %5.82 %
Supplementary Leverage ratio
Supplementary Leverage ratio

(1)Represents the daily average of on-balance sheet assets for the quarter.
(2)Citi’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the CECL standard. For additional information, seeSee “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 20222023 Form 10-K.
(3)Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(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.
(5)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.


As presented in the table above, Citigroup’s Supplementary Leverage ratio was approximately 6.0%5.8% at June 30, 2023 and March 31, 2023, compared to approximately 5.8% at2024 and December 31, 2022. The ratio remained largely unchanged from the first quarter of 2023. The ratio increased slightly from the fourth quarter of 2022, primarily driven by an increase in Tier 1 Capital due to year-to-date net income of $7.5 billion, partially offset by an increase in Total Leverage Exposure, largely driven by higher average on-balance sheet assets.2023.
2933

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 present the capital components and ratios for Citibank, Citi’s primary subsidiary U.S. depository institution, as of June 30, 2023, March 31, 20232024 and December 31, 2022:2023:

Advanced ApproachesStandardized Approach
In millions of dollars, except ratios
Required Capital Ratios(1)
June 30,
2023		March 31,
2023		December 31,
2022		June 30,
2023		March 31,
2023		December 31,
2022
CET1 Capital(2)
$150,482 $151,724 $149,593 $150,482 $151,724 $149,593 
Tier 1 Capital(2)
152,612 153,853 151,720 152,612 153,853 151,720 
Total Capital (Tier 1 Capital + Tier 2 Capital)(2)(3)
165,840 167,065 165,131 173,517 174,608 172,647 
Total Risk-Weighted Assets1,041,217 1,038,394 1,003,747 986,744 968,749 982,914 
Credit Risk(2)
$758,445 $762,148 $728,082 $944,565 $932,787 $948,150 
Market Risk42,058 35,532 34,403 42,179 35,962 34,764 
Operational Risk240,714 240,714 241,262 — — — 
CET1 Capital ratio(4)(5)
7.0 %14.45 %14.61 %14.90 %15.25 %15.66 %15.22 %
Tier 1 Capital ratio(4)(5)
8.5 14.66 14.82 15.12 15.47 15.88 15.44 
Total Capital ratio(4)(5)
10.5 15.93 16.09 16.45 17.58 18.02 17.56 

In millions of dollars, except ratiosRequired
Capital Ratios		June 30, 2023March 31, 2023December 31, 2022
Quarterly Adjusted Average Total Assets(2)(6)
$1,716,982 $1,743,596 $1,738,744 
Total Leverage Exposure(2)(7)
2,162,693 2,191,870 2,189,541 
Leverage ratio(5)
5.0 %8.89 %8.82 %8.73 %
Supplementary Leverage ratio(5)
6.0 7.06 7.02 6.93 


Advanced ApproachesStandardized Approach
In millions of dollars, except ratios
Required Capital Ratios(1)
March 31,
2024		December 31,
2023		March 31,
2024		December 31,
2023
CET1 Capital(2)
$149,078 $147,109 $149,078 $147,109 
Tier 1 Capital(2)
151,208 149,238 151,208 149,238 
Total Capital (Tier 1 Capital + Tier 2 Capital)(2)(3)
163,065 160,706 170,433 168,571 
Total Risk-Weighted Assets1,062,119 1,057,194 971,207 983,960 
Credit Risk(2)
$768,968 $769,940 $927,542 $937,319 
Market Risk43,619 46,540 43,665 46,641 
Operational Risk249,532 240,714 — — 
CET1 Capital ratio(4)(5)
7.0 %14.04 %13.92 %15.35 %14.95 %
Tier 1 Capital ratio(4)(5)
8.5 14.24 14.12 15.57 15.17 
Total Capital ratio(4)(5)
10.5 15.35 15.20 17.55 17.13 
In millions of dollars, except ratiosRequired
Capital Ratios		March 31, 2024December 31, 2023
Quarterly Adjusted Average Total Assets(2)(6)
$1,680,951 $1,666,609 
Total Leverage Exposure(2)(7)
2,151,044 2,166,334 
Leverage ratio(5)
5.0 %9.00 %8.95 %
Supplementary Leverage ratio(5)
6.0 7.03 6.89 

(1)Citibank’s required risk-based capital ratios are inclusive of the 2.5% Capital Conservation Buffer (all of which must be composed of CET1 Capital).
(2)Citibank’s regulatory capital ratios and components reflect certain deferrals based on the modified regulatory capital transition provision related to the CECL standard. For additional information, seeSee “Capital Resources—Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology” in Citi’s 20222023 Form 10-K.
(3)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.
(4)Citibank’s binding CET1 Capital, Tier 1 Capital and Total Capital ratios were derived under the Basel III Advanced Approaches framework for all periods presented.
(5)Citibank must maintain required CET1 Capital, Tier 1 Capital, Total Capital and 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 required Supplementary Leverage ratio of 6.0% to be considered “well capitalized.”
(6)Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(7)Supplementary Leverage ratio denominator.


As indicatedpresented in the table above, Citibank’s capital ratios at June 30, 2023March 31, 2024 were in excess of the regulatory capital requirements under the U.S. Basel III rules. In addition, Citibank was “well capitalized” as of June 30, 2023.March 31, 2024.
As presented in the table above, Citibank’s Supplementary Leverage ratio was 7.1% at June 30, 2023 and 7.0% at March 31, 2023,2024, compared to 6.9% at December 31, 2022.2023. The quarter-over-quarter increase was primarily driven



by an increase in Tier 1 Capital due to net income in the secondfirst quarter of 2023, partially offset by dividends,2024 and a decrease in Total Leverage Exposure, primarily driven by higher average on-balance sheet assets. The year-to-date increase was primarily driven by an increase in Tier 1 Capital due to net income in 2023, partially offset by dividends, and a decreaseadverse net movements in Total Leverage Exposure, primarily driven by higher average on-balance sheet assets and off-balance sheet exposures.AOCI.
3034

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 CET1 Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of June 30, 2023.March 31, 2024. This information is provided for the purpose of analyzing the
impact that a change in Citigroup’s or Citibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, quarterly adjusted average total assets or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.














Common Equity
Tier 1 Capital ratio
Tier 1 Capital ratioTotal Capital ratio
CET1 Capital ratioCET1 Capital ratioTier 1 Capital ratioTotal Capital ratio
In basis pointsIn 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
CET1 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
CitigroupCitigroup
Advanced Approaches
Advanced Approaches
Advanced ApproachesAdvanced Approaches0.81.00.81.20.81.30.80.90.81.00.81.2
Standardized ApproachStandardized Approach0.91.20.91.30.91.6Standardized Approach0.91.20.91.30.91.6
CitibankCitibank
Advanced ApproachesAdvanced Approaches1.01.41.01.41.01.5
Advanced Approaches
Advanced Approaches0.91.30.91.30.91.4
Standardized ApproachStandardized Approach1.01.51.01.61.01.8Standardized Approach1.01.61.01.61.01.8
Leverage ratioSupplementary Leverage ratio
In basis points
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion change in Total Leverage Exposure
Citigroup0.40.30.30.2
Citibank0.60.50.50.3

3135

Citigroup Broker-Dealer Subsidiaries
At June 30, 2023,March 31, 2024, 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 $15$19 billion, which exceeded the minimum requirement by $11$14 billion.
Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total regulatory capital of $27 billion at June 30, 2023,March 31, 2024, which exceeded the PRA’s minimum regulatory capital requirements.
In addition, certain of Citi’s other broker-dealer subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other principal broker-dealer subsidiaries were in compliance with their regulatory capital requirements at June 30, 2023.March 31, 2024.

Total Loss-Absorbing Capacity (TLAC)
The table below details Citi’s eligible external TLAC and long-term debt (LTD) amounts and ratios, and each TLAC and LTD regulatory requirement, as well as the surplus amount in dollars in excess of each requirement:

June 30, 2023
March 31, 2024March 31, 2024
In billions of dollars, except ratiosIn billions of dollars, except ratiosExternal TLACLTDIn billions of dollars, except ratiosExternal TLACLTD
Total eligible amountTotal eligible amount$338 $154 
% of Advanced Approaches risk-
weighted assets		% of Advanced Approaches risk-
weighted assets		27.4 %12.5 %% of Advanced Approaches risk-
weighted assets		26.1 %11.8 %
Regulatory requirement(1)(2)
Regulatory requirement(1)(2)
22.5 9.5 
Surplus amountSurplus amount$60 $37 
% of Total Leverage Exposure% of Total Leverage Exposure11.5 %5.2 %% of Total Leverage Exposure11.3 %5.1 %
Regulatory requirementRegulatory requirement9.5 4.5 
Surplus amountSurplus amount$58 $22 

(1)    External TLAC includes method 1 GSIB surcharge of 2.0%.
(2)    LTD includes method 2 GSIB surcharge of 3.5%.

As of June 30, 2023,March 31, 2024, Citi exceeded each of the TLAC and LTD regulatory requirements, resulting in a $22$18 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)” in Citi’s 20222023 Form 10-K.
3236

Capital Resources (Full Adoption of CECL)(1)
The following tables present Citigroup’s and Citibank’s capital components and ratios under a hypothetical scenario where the full impact of CECL is reflected as of June 30, 2023:




March 31, 2024:

CitigroupCitibank
Required Capital Ratios, Advanced ApproachesRequired Capital Ratios, Standardized ApproachAdvanced ApproachesStandardized Approach
Required Capital Ratios(2)
Advanced ApproachesStandardized Approach
CitigroupCitigroupCitibank
Required Capital Ratios, Advanced ApproachesRequired Capital Ratios, Advanced ApproachesRequired Capital Ratios, Standardized ApproachAdvanced ApproachesStandardized Approach
Required Capital Ratios(2)
Advanced ApproachesStandardized Approach
CET1 Capital ratioCET1 Capital ratio10.5 %12.0 %12.35 %13.21 %7.0 %14.32 %15.11 %CET1 Capital ratio10.5 %12.3 %11.88 %13.37 %7.0 %13.97 %15.28 %
Tier 1 Capital ratioTier 1 Capital ratio12.0 13.5 14.09 15.08 8.5 14.53 15.33 
Total Capital ratioTotal Capital ratio14.0 15.5 15.90 17.78 10.5 15.80 17.45 
Required Capital RatiosCitigroupRequired Capital RatiosCitibank
Required Capital RatiosRequired Capital RatiosCitigroupRequired Capital RatiosCitibank
Leverage ratioLeverage ratio4.0 %7.15 %5.0 %8.81 %Leverage ratio4.0 %7.09 %5.0 %8.96 %
Supplementary Leverage ratioSupplementary Leverage ratio5.0 5.906.0 6.99Supplementary Leverage ratio5.0 5.805.806.0 7.007.00

(1)See footnote 2 on the “Components of Citigroup Capital” table above.
(2)Citibank’s required capital ratios were the same under the Standardized Approach and the Advanced Approaches framework.


Regulatory Capital Standards and Developments

Basel III Revisions
On July 27, 2023, the U.S. banking agencies issued a notice of proposed rulemaking, known as the Basel III Endgame (capital proposal), that would amend U.S. regulatory capital requirements.
The capital proposal would maintain the current capital rule’s dual-requirement structure for risk-weighted assets, but would eliminate the use of internal models to calculate credit risk and operational risk components of risk-weighted assets. The capital proposal would also replace the current market risk framework with a new standardized methodology and a new models-based methodology for calculating risk-weighted assets for market risk. Large banking organizations, such as Citi, would be required to calculate their risk-based capital ratios under both the new expanded risk-based approach and the Standardized Approach and use the lower of the two for each risk-based capital ratio for determining the binding constraints.
The expanded risk-based approach is designed to align with the international capital standards adopted by the Basel Committee on Banking Supervision (Basel Committee). The Basel Committee finalized the Basel III reforms in December 2017, which included revisions to the methodologies to determine credit, market and operational risk-weighted asset amounts.
If adopted as proposed, the capital proposal’s impact on risk-weighted asset amounts would also affect several other requirements including TLAC, external long-term debt and the short-term wholesale funding score included in the GSIB surcharge under method 2 (see “GSIB Surcharge” below for additional changes in that area)below). The proposal has a three-year transition period that would begin on July 1, 2025. Citi is currently reviewingIf finalized as proposed, the capital proposal would materially increase Citi’s required regulatory capital.
For information about risks related to changes in regulatory capital requirements, see “Risk Factors—Strategic Risks,” “—Operational Risks” and will participate“—Compliance Risks” in the 120-day comment period. For additional information, see “Executive Summary” above.

Citi’s 2023 Form 10-K.
GSIB Surcharge
Separately on July 27, 2023, the FRBFederal Reserve Board proposed changes to the GSIB surcharge rule that aim to make it more risk sensitive. Proposed changes include measuring certain systemic indicators on a daily versus quarterly average basis, changing certain of the risk indicators and shortening the time to come into compliance with each year’s surcharge. In addition, the proposal would narrow surcharge bands under method 2 from 50 bps to 10 bps to reduce cliff effects when moving between bands. This proposal

Long-Term Debt Requirements
On August 29, 2023, the Federal Reserve Board issued a notice of proposed rulemaking to amend the TLAC rule to change the haircuts (i.e., the percentage reductions) that are applied to eligible long-term debt. Under the proposed rule, only 50% of eligible long-term debt with a maturity of one year or more but less than two years would count toward the TLAC requirement, instead of the current 100%. These proposed revisions are estimated to decrease the TLAC percentage of Advanced Approaches RWA as well as the TLAC percentage of Total Leverage Exposure. The proposed rule in its current form has no proposed transition period for its implementation and is also subjectnot expected to a 120-day comment period and provides that it would be effective two full calendar quarters after its finalization.material to Citi.
3337

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)). Return on tangible common equity (RoTCE) represents annualized net income available to common shareholders as a percentage of average TCE. Tangible book value per share (TBVPS) represents average TCE divided by average common shares outstanding. Other companies may calculate these measures differently. TCE, RoTCE and TBVPS are non-GAAP financial measures. Citi believes TCE, TBVPS and RoTCE provide alternative measures of returns, capital strength and performance for investors, industry analysts and others.
















In millions of dollars or shares, except per share amountsIn millions of dollars or shares, except per share amountsJune 30,
2023		December 31,
2022		In millions of dollars or shares, except per share amountsMarch 31,
2024		December 31,
2023
Total Citigroup stockholders’ equityTotal Citigroup stockholders’ equity$208,719 $201,189 
Less: Preferred stockLess: Preferred stock20,245 18,995 
Common stockholders’ equityCommon stockholders’ equity$188,474 $182,194 
Less:Less:
GoodwillGoodwill19,998 19,691 
Goodwill
Goodwill
Identifiable intangible assets (other than MSRs)Identifiable intangible assets (other than MSRs)3,895 3,763 
Goodwill and identifiable intangible assets (other than MSRs) related to
assets held-for-sale (HFS)
246 589 
Tangible common equity (TCE)
Tangible common equity (TCE)
Tangible common equity (TCE)Tangible common equity (TCE)$164,335 $158,151 
Common shares outstanding (CSO)Common shares outstanding (CSO)1,925.7 1,937.0 
Book value per share (common stockholders’ equity/CSO)Book value per share (common stockholders’ equity/CSO)$97.87 $94.06 
Tangible book value per share (TCE/CSO)Tangible book value per share (TCE/CSO)85.34 81.65 

Three Months Ended June 30,Six Months Ended June 30,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars2023202220232022
Net income available to common shareholdersNet income available to common shareholders$2,627 $4,309 $6,956 $8,336 
Net income available to common shareholders
Net income available to common shareholders
Average common stockholders’ equityAverage common stockholders’ equity188,214 178,981 186,161 180,075 
Average common stockholders’ equity
Average common stockholders’ equity
Less:
Less:
Less:
Average goodwill
Average goodwill
Average goodwill
Average intangible assets (other than MSRs)
Average intangible assets (other than MSRs)
Average intangible assets (other than MSRs)
Average goodwill and identifiable intangible assets
(other than MSRs) related to assets HFS
Average goodwill and identifiable intangible assets
(other than MSRs) related to assets HFS
Average goodwill and identifiable intangible assets
(other than MSRs) related to assets HFS
Average TCE
Average TCE
Average TCEAverage TCE164,142 154,439 162,145 155,318 
Return on average common stockholders’ equityReturn on average common stockholders’ equity5.6 %9.7 %7.5 %9.3 %
Return on average common stockholders’ equity
Return on average common stockholders’ equity
RoTCERoTCE6.4 11.2 8.7 10.8 
RoTCE
RoTCE


3438

Managing Global Risk Table of Contents



MANAGING GLOBAL RISK
3640
CREDIT RISK(1)
3640
Loans
3640
Corporate Credit
3741
Consumer Credit
4246
Additional Consumer and Corporate Credit Details
4852
Loans Outstanding
4852
Details of Credit Loss Experience
4953
Allowance for Credit Losses on Loans (ACLL)5054
Non-Accrual Loans and Assets
5256
LIQUIDITY RISK
5458
High-Quality Liquid Assets (HQLA)
5458
Liquidity Coverage Ratio (LCR)
5458
Deposits5559
Long-Term Debt5660
Secured Funding Transactions and Short-Term Borrowings5862
Credit Ratings5963
MARKET RISK(1)
6064
Market Risk of Non-Trading Portfolios
6064
Market Risk of Trading Portfolios
70
OTHER RISKS
71
LIBOR Transition Risk
71
Country Risk
72
Russia
73
UkraineOTHER RISKS
74
Country Risk
75
Russia
76
Ukraine
78
Argentina
7679

(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.

3539

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 and Value Proposition and the key Leadership Principles that support it, as well as Citi’s risk appetite. For more information on managing global risk at Citi, see “Managing Global Risk” in Citi’s 20222023 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 20222023 Form 10-K.

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 dollars2Q231Q232Q22
Personal Banking and Wealth Management
U.S. Retail banking$40 $38 $34 
U.S. Cards149 146 133 
Global Wealth150 149 150 
Total$339 $333 $317 
Institutional Clients Group
Services$80 $79 $85 
Banking185 191 199 
Markets13 13 13 
Total$278 $283 $297 
Total Legacy Franchises(1)
$37 $38 $43 
Total Citigroup loans (AVG)$654 $654 $657 
Total Citigroup loans (EOP)$661 $652 $657 
(1)See footnote 2 to the table in “Credit Risk—Consumer Credit—Consumer Credit Portfolio” below.
In billions of dollars1Q244Q231Q23
Services$82 $83 $79 
Markets120 115 111 
Banking89 89 95 
USPB
Branded Cards$108 $107 $97 
Retail Services52 52 49 
Retail Banking44 43 38 
Total USPB
$204 $202 $184 
Wealth$150 $150 $150 
All Other$34 $36 $35 
Total Citigroup loans (AVG)$679 $675 $654 
Total Citigroup loans (EOP)$675 $689 $652 

Citi’s loan portfolio is well diversified across consumerEnd-of-period loans increased 3% year-over-year, largely reflecting growth in cards in USPB and corporateMarkets. End-of-period loans with an aggregate duration of 1.2 years, as a majority of loans are at variable rates.decreased 2% sequentially, primarily driven by seasonality in USPB.
On an average basis, loans were largely unchangedincreased 4% year-over-year and sequentially as1% sequentially. The year-over-year increase was largely due to growth in PBWMUSPB, Services wasand Markets, partially offset by a decline in ICG Bankingand .
Legacy Franchises. PBWM
As of the first quarter of 2024, average loans for:

•USPBincreased 7%11% year-over-year, driven by growth in Branded Cards, Retail Banking and Retail Services.
•Wealth were largely unchanged.
•Services increased 4% year-over-year, primarily driven by loan growthstrong demand for working capital loans in cards, mortgagesTTS in North America and installmentinternationally.
•Markets increased 8% year-over-year, reflecting increased client demand in asset-backed lending.
•ICG Bankingaverage loans decreased 6% year-over-year, reflecting actions taken to reduce RWA. Legacy Franchises average loans decreased 14%, primarily reflecting the impact of the continued wind-downs, particularly in Korea, partially offsetdriven by higher lending volumes in Mexico Consumer.
End-of-period loans increased 1% year-over-year, as growth in PBWM, reflecting an increase in U.S. Personal Banking, was largely offset by declines in ICG and Legacy Franchises. End-of-period loans increased 1% sequentially.regulatory capital optimization efforts.

3640

CORPORATE CREDIT

The following table details Citi’s corporate credit portfolio within ICGServices, Markets, Banking and the Mexico SBMM component of All Other—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:

June 30, 2023March 31, 2023December 31, 2022 March 31, 2024December 31, 2023March 31, 2023
In billions of dollarsIn billions of dollarsDue
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 dollarsDue
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)
$127 $118 $35 $280 $124 $124 $35 $283 $134 $122 $27 $283 
Unfunded lending commitments (off-balance sheet)(2)
Unfunded lending commitments (off-balance sheet)(2)
135 260 16 411 126 256 16 398 140 256 10 406 
Total exposureTotal exposure$262 $378 $51 $691 $250 $380 $51 $681 $274 $378 $37 $689 

(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 presents the percentage of this portfolio by region based on Citi’s internal management geography:

June 30,
2023		March 31, 2023December 31,
2022
North America56 %56 %56 %
EMEA25 25 25 
Asia12 12 12 
Latin America7 7 7 
Total100 %100 %100 %
March 31,
2024		December 31, 2023March 31,
2023
North America57 %56 %56 %
International43 44 44 
Total100 %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 regionsgeographies and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty, and internal risk ratings are derived by leveraging validated statistical models and scorecards 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 Total exposure
June 30,
2023		March 31,
2023		December 31,
2022		 March 31,
2024		December 31,
2023		March 31,
2023
AAA/AA/AAAA/AA/A49 %50 %50 %AAA/AA/A50 %50 %50 %
BBBBBB34 33 34 
BB/BBB/B15 15 14 
CCC or belowCCC or below2 2 2 
TotalTotal100 %100 %100 %Total100 %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.
Citi believes the corporate credit portfolio to be appropriately rated and classified as of June 30, 2023.March 31, 2024. Citi 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.observed.
3741

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, appetite per obligor is reduced consistent with the ratings, and downgrades may result in the purchase of additional credit derivatives or other risk/structural mitigants to hedge the incremental credit risk, or may result in Citi’sCiti 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 1314 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 Total exposure
June 30,
2023		March 31,
2023		December 31,
2022		 March 31,
2024		December 31,
2023		March 31,
2023
Transportation and industrialsTransportation and industrials21 %21 %20 %Transportation and industrials20 %21 %21 %
Technology, media and telecomTechnology, media and telecom12 12 12 
Banks and finance companies(1)
Consumer retailConsumer retail12 12 11 
Real estateReal estate10 10 10 
CommercialCommercial8 8 8 
ResidentialResidential2 2 2 
Banks and finance companies(1)
10 10 10 
Power, chemicals, metals and miningPower, chemicals, metals and mining9 9 9 
Energy and commoditiesEnergy and commodities7 7 7 
HealthHealth6 5 6 
InsuranceInsurance4 4 4 
Public sector
Asset managers and fundsAsset managers and funds3 4 5 
Public sector3 3 3 
Financial markets infrastructureFinancial markets infrastructure2 2 2 
Other industriesOther industries1 1 1 
Other industries
Other industries
TotalTotal100 %100 %100 %Total100 %100 %100 %

(1)    As of the periods in the table, Citi had less than 1% exposure to securities firms. See corporate credit portfolio by industry, below.
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The following table details Citi’s corporate credit portfolio by industry as of June 30, 2023:March 31, 2024:

Non-investment gradeSelected metrics
Non-investment grade
Non-investment grade
Non-investment gradeSelected metrics
In millions of dollarsIn millions of dollarsTotal credit exposure
Funded(1)
Unfunded(1)
Investment gradeNon-criticizedCriticized performing
Criticized non-performing(2)
30 days or more past due and accruingNet credit losses (recoveries)
Credit derivative hedges(3)
In millions of dollarsTotal credit exposure
Funded(1)
UnfundedInvestment gradeNon-criticizedCriticized performing
Criticized non-performing(2)
30 days or more past due and accruingNet credit losses (recoveries)
Credit derivative hedges(3)
Transportation and industrialsTransportation and industrials$143,468 $58,248 $85,220 $112,885 $23,826 $6,452 $305 $169 $28 $(7,471)
Autos(4)
Autos(4)
47,759 21,016 26,743 41,253 5,187 1,268 51 9 18 (2,444)
TransportationTransportation26,137 10,325 15,812 18,924 4,842 2,286 85 15 8 (1,234)
IndustrialsIndustrials69,572 26,907 42,665 52,708 13,797 2,898 169 145 2 (3,793)
Technology, media and telecomTechnology, media and telecom81,826 28,948 52,878 65,469 12,272 3,769 316 101 13 (6,323)
Banks and finance companies
Consumer retailConsumer retail81,114 34,327 46,787 64,081 13,672 3,102 259 142 13 (5,373)
Real estateReal estate69,162 48,142 21,020 61,329 4,018 3,640 175 57 5 (681)
CommercialCommercial54,395 35,155 19,240 46,639 4,012 3,569 175 57 5 (681)
ResidentialResidential14,767 12,987 1,780 14,690 6 71 — — — — 
Banks and finance companies71,627 43,277 28,350 60,984 9,138 1,360 145 12 31 (801)
Power, chemicals, metals and miningPower, chemicals, metals and mining60,783 19,869 40,914 47,267 11,649 1,706 161 149 8 (4,964)
PowerPower24,033 4,878 19,155 19,936 3,371 598 128 22 7 (2,239)
ChemicalsChemicals22,477 8,658 13,819 17,252 4,503 711 11 44 1 (2,084)
Metals and miningMetals and mining14,273 6,333 7,940 10,079 3,775 397 22 83 — (641)
Energy and commodities(5)
Energy and commodities(5)
44,895 12,799 32,096 37,771 5,970 1,040 114 43 (12)(3,337)
HealthHealth38,213 9,560 28,653 32,247 4,457 1,360 149 22 7 (2,935)
InsuranceInsurance29,640 4,101 25,539 28,732 884 24 — 9 — (4,775)
Asset managers and funds23,503 6,384 17,119 21,880 1,537 73 13 227 — (272)
Public sectorPublic sector24,042 10,849 13,193 20,839 2,732 462 9 23 4 (1,562)
Financial markets infrastructureFinancial markets infrastructure16,701 141 16,560 16,701 — — — 66 — (7)
Asset managers and funds
Securities firmsSecurities firms1,216 292 924 788 395 33 — 5 — (2)
Other industries5,139 2,914 2,225 3,157 1,717 252 13 40 — (10)
Other industries(6)
TotalTotal$691,329 $279,851 $411,478 $574,130 $92,267 $23,273 $1,659 $1,065 $97 $(38,513)

(1)    Excludes $0.6 billion and $0.1 billion of funded and unfunded exposure at June 30, 2023, respectively, primarily related to the delinquency-managed loans. Funded balances also excludeexcludes loans carried at fair value of $5.5$8.6 billion at June 30, 2023.March 31, 2024.
(2)    Includes non-accrual loan exposures and related 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 $38.5$38.4 billion of purchased credit protection, $35.9$35.5 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.6$2.9 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $20.9$22.3 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$16.1 billion ($8.77.9 billion in funded, with 100% rated investment grade) as of June 30, 2023.March 31, 2024.
(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 June 30, 2023,March 31, 2024, Citi’s total exposure to these energy-related entities was approximately $4.8$5.0 billion, of which approximately $2.4$2.5 billion consisted of direct outstanding funded loans.
(6)    Includes $0.8 billion and $0.1 billion of funded and unfunded exposure at March 31, 2024, respectively, primarily related to commercial credit card delinquency-managed loans.

Exposure to Commercial Real Estate
As of June 30, 2023,March 31, 2024, Citi’s total credit exposure to commercial real estate (CRE) was $64 billion (compared to $66 billion (unchanged from Marchat December 31, 2023), including $8 billion of exposure related to office buildings. This total CRE exposure consisted of (i) approximately $55$53 billion related to corporate clients, (unchanged from March 31, 2023), mainly included in the real estate category in the table above, and (ii) approximately $11 billion related to Private bankWealth clients (unchanged from March 31, 2023) within PBWM that is not in the table above as they are not considered corporate exposures.

In addition, as of June 30, 2023,March 31, 2024, approximately 87%78% of Citi’s total CRE exposure was rated investment grade and more than 76%77% was to borrowers in the U.S.
As of June 30, 2023,March 31, 2024, the ACLL attributed to the total funded CRE exposure (including the Private bank)Wealth) was approximately 1.24%1.76%, and there were $160$678 million of non-accrual CRE loans.
3943

The following table details Citi’s corporate credit portfolio by industry as of December 31, 2022:2023:

Non-investment gradeSelected metrics
Non-investment grade
Non-investment grade
Non-investment gradeSelected metrics
In millions of dollarsIn millions of dollarsTotal credit exposure
Funded(1)
Unfunded(1)
Investment gradeNon-criticizedCriticized performing
Criticized non-performing(2)
30 days or more past due and accruingNet credit losses (recoveries)
Credit derivative hedges(3)
In millions of dollarsTotal credit exposure
Funded(1)
UnfundedInvestment gradeNon-criticizedCriticized performing
Criticized non-performing(2)
30 days or more past due and accruingNet credit losses (recoveries)
Credit derivative hedges(3)
Transportation and industrialsTransportation and industrials$139,225 $57,271 $81,954 $109,197 $19,697 $9,850 $481 $403 $— $(8,459)
Autos(4)
Autos(4)
47,482 21,995 25,487 40,795 5,171 1,391 125 52 — (3,084)
TransportationTransportation24,843 10,374 14,469 18,078 3,156 3,444 165 57 (30)(1,270)
IndustrialsIndustrials66,900 24,902 41,998 50,324 11,370 5,015 191 294 30 (4,105)
Technology, media and telecomTechnology, media and telecom81,211 28,931 52,280 65,386 12,308 3,308 209 169 11 (6,050)
Banks and finance companies
Consumer retailConsumer retail78,255 32,687 45,568 60,215 14,830 2,910 300 195 28 (5,395)
Real estateReal estate70,676 48,539 22,137 63,023 4,722 2,881 50 138 2 (739)
CommercialCommercial54,139 34,112 20,027 46,670 4,716 2,703 50 96 2 (739)
ResidentialResidential16,537 14,427 2,110 16,353 6 178 — 42 — — 
Banks and finance companies65,623 42,276 23,347 57,368 5,718 2,387 150 266 65 (1,113)
Power, chemicals, metals and miningPower, chemicals, metals and mining59,404 18,326 41,078 47,395 10,466 1,437 106 226 34 (5,063)
PowerPower22,718 4,827 17,891 18,822 3,325 512 59 129 (3)(2,306)
ChemicalsChemicals23,147 7,765 15,382 19,033 3,534 564 16 55 30 (2,098)
Metals and miningMetals and mining13,539 5,734 7,805 9,540 3,607 361 31 42 7 (659)
Energy and commodities(5)
Energy and commodities(5)
46,309 13,069 33,240 38,918 6,076 1,200 115 180 11 (3,852)
HealthHealth41,836 8,771 33,065 36,954 3,737 978 167 84 7 (2,855)
InsuranceInsurance29,932 4,417 25,515 29,090 801 41 — 44 — (3,884)
Public sector
Asset managers and fundsAsset managers and funds35,983 13,162 22,821 34,431 1,492 60 — 95 — (759)
Public sector23,705 11,736 11,969 20,663 2,084 956 2 77 4 (1,633)
Financial markets infrastructureFinancial markets infrastructure8,742 60 8,682 8,672 70 — — — — (18)
Securities firmsSecurities firms1,462 569 893 625 678 157 2 2 — (2)
Other industries6,697 3,651 3,046 4,842 1,568 238 49 19 16 (8)
Other industries(6)
TotalTotal$689,060 $283,465 $405,595 $576,779 $84,247 $26,403 $1,631 $1,898 $178 $(39,830)

(1)    Excludes $0.6 billion and $0.1 billion of funded and unfunded exposure at December 31, 2022, respectively, primarily related to the delinquency-managed loans. Funded balances also excludeexcludes loans carried at fair value of $5.1$7.3 billion at December 31, 2022.2023.
(2)    Includes non-accrual loan exposures and related 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 $39.8$35.9 billion of purchased credit protection, $36.6$33.7 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $3.2$2.2 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $27.6$16.7 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(4)    Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.4$16.9 billion ($10.310.6 billion in funded, with more than 99%100% rated investment grade) as of December 31, 2022.2023.
(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, 2022,2023, Citi’s total exposure to these energy-related entities was approximately $4.7$4.9 billion, of which approximately $2.4$2.5 billion consisted of direct outstanding funded loans.
(6)    Includes $0.6 billion and $0.1 billion of funded and unfunded exposure at December 31, 2023, respectively, primarily related to commercial credit card delinquency-managed loans.

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Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives, both partial and full term, and other risk mitigants to economically 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 economic 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 June 30,March 31, 2024, December 31, 2023 and March 31, 2023, and Dec 31, 2022, ICGBanking had economic hedges on the corporate credit portfolio of $38.5$38.4 billion, $39.8$35.9 billion and $39.8 billion, respectively. Citi’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 ICGBanking corporate credit portfolio exposures with the following risk rating distribution:

Rating of Hedged Exposure

June 30,
2023		March 31,
2023		December 31,
2022
March 31,
2024		March 31,
2024		December 31,
2023		March 31,
2023
AAA/AA/AAAA/AA/A42 %42 %39 %AAA/AA/A45 %45 %42 %
BBBBBB43 44 45 
BB/BBB/B13 11 12 
CCC or belowCCC or below2 3 4 
TotalTotal100 %100 %100 %Total100 %100 %100 %

4145

CONSUMER CREDIT

Consumer Credit Portfolio
The following table presents Citi’s quarterly end-of-period consumer loans(1):

In billions of dollarsIn billions of dollars
2Q22(2)
3Q22(2)
4Q22(2)
1Q23(2)
2Q23(2)
In billions of dollars1Q232Q233Q234Q231Q24
Personal Banking and Wealth Management
U.S. Personal Banking
USPB
Branded Cards
Branded Cards
Branded Cards
Retail Services
Retail BankingRetail Banking39.241.543.144.445.6
Mortgages(2)
Personal, small business and other
Total
Wealth(3)(4)
Mortgages(2)
Mortgages(2)
Mortgages(2)
Margin lending(5)
Personal, small business and other(6)
CardsCards
Branded cards$91.6 $93.7 $100.2 $97.1 $103.0 
Retail services45.8 46.7 50.5 48.4 50.0 
Retail banking
Mortgages(5)
32.3 32.3 33.4 35.3 37.4 
Personal, small business and other3.1 3.5 3.7 3.9 4.1 
Global Wealth(3)(4)
Cards4.0 4.0 4.6 4.4 4.5 
Mortgages(5)
77.8 82.0 84.0 85.2 87.0 
Personal, small business and other(6)
67.0 65.1 60.6 60.3 59.0 
TotalTotal$321.6 $327.3 $337.0 $334.6 $345.0 
Legacy Franchises
All Other—Legacy Franchises
Mexico Consumer (excludes Mexico SBMM)
Mexico Consumer (excludes Mexico SBMM)
Mexico Consumer (excludes Mexico SBMM)
Asia Consumer(7)
Asia Consumer(7)
$17.3 $13.4 $13.3 $10.0 $9.1 
Mexico Consumer (excludes Mexico SBMM)13.5 13.7 14.8 16.3 17.8 
Legacy Holdings Assets(8)
Legacy Holdings Assets(8)
3.2 3.2 3.0 2.8 2.7 
TotalTotal$34.0 $30.3 $31.1 $29.1 $29.6 
Total consumer loansTotal consumer loans$355.6 $357.6 $368.1 $363.7 $374.6 

(1)End-of-period loans include interest and fees on credit cards.
(2)Asia Consumer loan balances, reported within Legacy Franchises, exclude any loans reclassified to held-for-sale (HFS) as of the date Citi enters into a sale agreement for the respective Asia Consumer banking business. These reclassified HFS loans are instead reported in Other assets on the Consolidated Balance Sheet until sale closing. The remaining Asia Consumer loan portfolios—China, Korea, Russia and Poland—are held-for-investment and included in end-of-period consumer loans for all periods presented. All HFS portfolios were reclassified prior to the end of 1Q22 except for a $1.8 billion portfolio, which was moved to HFS in 1Q23.
(3)Consists of $99.5 billion, $98.9 billion, $98.2 billion, $99.3 billion and $94.6 billion of loans in North America as of June 30, 2023, March 31, 2023, December 31, 2022, September 30, 2022 and June 30, 2022, respectively. For additional information on the credit quality of the Global Wealth portfolio, see Note 13.
(4)Consists of $51.0 billion, $51.0 billion, $51.0 billion, $51.8 billion and $54.2 billion of loans outside North America as of June 30, 2023, March 31, 2023, December 31, 2022, September 30, 2022 and June 30, 2022, respectively.
(5)See Note 1314 for details on loan-to-value ratios for the portfolios and FICO scores for the U.S. portfolio.
(6)(3)AtConsists of $100.0 billion, $101.6 billion, $101.1 billion, $99.5 billion and $98.9 billion of loans in North America as of March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023, respectively. For additional information on the credit quality of the Wealth portfolio, see Note 14.
(4)Consists of $49.0 billion, $49.9 billion, $49.5 billion, $51.0 billion and $51.0 billion of loans outside North America as of March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023, respectively.
(5)At March 31, 2024, includes approximately $48$22 billion of classifiably managed loans fully collateralized by eligible financial assets and securities that have experienced very low historical net credit losses (NCLs). Approximately 76% of the classifiably managed portion of these loans are investment grade.
(6)At March 31, 2024, includes approximately $22 billion of classifiably managed loans. Over 90%Approximately 87% 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 net credit losses (NCLs). As discussed below, approximately 97%85% 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 loansloan balances, reported within All Other—Legacy Franchises, include the four remaining Asia Consumer loan portfolios: Korea, Poland, China and leases in certain EMEA countries for all periods presented.Russia.
(8)Primarily consists of certain North America consumer mortgages.

For information on changes to Citi’s consumer loans, see “Credit Risk—Loans” above.



4246

Consumer Credit Trends

Personal Banking and Wealth Management (PBWM)

U.S. Personal Banking and Wealth Management
legendc31.jpg

PBWM.jpgUS Personal Banking.jpg

As indicated above, PBWMUSPB consists of U.S. Personal Banking and Global Wealth Management (Global Wealth). U.S. Personal Banking provides card products through Branded cardsCards and Retail services,Services, and also includes mortgages and home equity, small business and personal consumer loans through Citi’s Retail bankingBanking network. The Retail bankBanking is concentrated in six major U.S. metropolitan areas. Global WealthUSPB also provides investment services, cards, mortgages and personal, small business and other consumer loans through the Private bank, Wealth at Work and Citigold.correspondent channels.
As of June 30, 2023, 44%March 31, 2024, approximately 78% of PBWMUSPB consumerEOP loans consisted of U.S. cards loans.Branded Cards and Retail Services card loans, which generally drives the overall credit performance of USPB,as U.S. cards net credit losses represented approximately 93%96% of total PBWMUSPB losses.net credit losses for the first quarter of 2024. As of March 31, 2024, Branded Cards represented 68% of total U.S. cards EOP loans and Retail Services represented 32% of U.S. cards EOP loans.
As shownpresented in the chart above, the secondfirst quarter of 20232024 net credit loss rate in PBWM increased quarter-over-quarter and year-over-year, driven by a continued increase in net flow rates, primarily reflecting ongoing normalization from recent low levels in U.S. cards.
PBWM’s 90+ days past due delinquency rate was broadly stablein USPB increased quarter-over-quarter and increased year-over-year. The year-over-year, increase was largely driven by a continued increase in net flow rates, primarily reflecting the ongoing normalization in U.S. cards.continued maturation of cards loan vintages originated during the pandemic, with delayed losses due to unprecedented levels of government stimulus as well as the macroeconomic pressures related to the higher inflationary and interest rate environment impacting both cards portfolios.





Branded Cards
legendc32.jpg
BrandedCards.jpgBranded Cards.jpg


USPB
U.S. Personal Banking’s’s Branded cardsCards portfolio includes proprietary and co-branded cards.
As shownpresented in the chart above, the secondfirst quarter of 20232024 net credit loss rate in Branded cards increased quarter-over-quarter and year-over-year, driven by a continued increase in net flow rates, primarily reflecting ongoing normalization toward pre-pandemic levels from recent low levels (for example, the 4Q’19 and 1Q’20 net credit loss rates were 3.10% and 3.40%, respectively).
The 90+ days past due delinquency rate in Branded Cards increased quarter-over-quarter and year-over-year, also driven by a continued increase in net flow rates, primarily reflecting the ongoing normalization toward pre-pandemiccontinued maturation of cards loan vintages originated during the pandemic, with delayed losses due to unprecedented levels from recent low levels (for example,of government stimulus as well as the 4Q’19impact of macroeconomic pressures related to the higher inflationary and 1Q’20 90+ days past due delinquency rates were 0.95% and 1.01%, respectively).interest rate environment impacting both cards portfolios.

Retail Services
legendc25.jpg
RetailServices.jpgRetail Services.jpg

U.S. Personal Banking’sUSPB’s Retail servicesServices partners directly with more than 20 retailers and dealers to offer private label and co-branded cards. Retail services’Services’ target market focuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel. Retail servicesServices continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
As shownpresented in the chart above, the secondfirst quarter of 20232024 net credit loss rate in Retail services increased quarter-over-quarter and year-over-year, driven by a continued increase in net flow rates, primarily reflecting the ongoing normalization toward pre-pandemic levels from recent low levels (for example, the 4Q’19 and 1Q’20 net credit loss rates were 5.05% and 5.35%, respectively).
The 90+ days past due delinquency rate was broadly stablein Retail Services increased quarter-over-quarter and increased year-over-year. The year-over-year, increase was driven by a continued increase in net flow rates, primarily reflecting the ongoing normalization (for example,continued maturation of cards loan vintages originated during the 4Q’19pandemic, with delayed losses due to unprecedented levels of government stimulus as well as the impact of macroeconomic pressures related to the higher inflationary and 1Q’20 90+ days past due delinquency rates were 1.91% and 1.96%, respectively).interest rate environment impacting both cards portfolios.

47

For additional information on cost of credit, loan delinquency and other information for Citi’s cards portfolios, see each respective business’s results of operations above and Note 13.14.

43

Retail Banking
legendc32.jpg
USRetail.jpgRetail Banking.jpg

U.S. Personal Banking’sUSPB’s Retail bankingBanking portfolio consists primarily of consumer mortgages (including home equity) and 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 or equal to 80% on first and second mortgages. For additional information, see “Loan-to-Value (LTV) Ratios” in Note 13.14.
As shownpresented in the chart above, the net credit loss rate in Retail bankingBanking for the secondfirst quarter of 2023 decreased2024 increased quarter-over-quarter, due to a decrease in overdraft losses, and decreased year-over-year, primarily driven by the impact of industry-wide episodicconsumer overdraft losses in the prior-year period.loans, and was broadly stable year-over-year.
The 90+ days past due delinquency rate decreased quarter-over-quarter and year-over-year, primarily driven by lower delinquencies in U.S. mortgages, which reflected the lasting effects of government stimulus, unemployment benefits and consumer relief programs.mortgages.

Global Wealth
legendc32.jpg
GWM.jpgWealth.jpg

As discussedindicated above, the Global Wealth credit portfolio primarily consists of provides consumer mortgages, margin lending, cards and other lending products extended to customer segments that range from the affluent to ultra-high-net-worthultra-high net worth through the Private bank,Bank, Wealth at Work and Citigold. These customer segments represent a target market that is characterized by historically low default rates and delinquencies.delinquencies and includes loans that are delinquency managed or classifiably managed. The delinquency-managed portfolio consists primarily of mortgages, margin lending and cards.
As of June 30, 2023,March 31, 2024, approximately $48$44 billion, or 32%30%, of the portfolio wasportfolios were 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 97%81% 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 shownpresented in the chart above, the first quarter of 2024 net credit loss rate and 90+ days past due delinquency rate in Wealth was broadly stable quarter-over-quarter and year-over-year. The low net credit loss and 90+ days past due delinquency rates in Global Wealth for the second quarter of 2023 were broadly stable quarter-over-quarter and year-over-year. The low levels of net credit losses and the 90+ days past due delinquency rate continued to reflect the strong credit profiles of the portfolios.

portfolio.
Legacy Franchises

Asia(1) Consumer
legendc38.jpg
LegacyAsia.jpg
(1)Asia Consumer includes Legacy Franchises activities in certain EMEA countries for all periods presented.

Asia Consumer provides credit cards, consumer mortgages and small business and personal loans. Asia Consumer also 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 Consumer (for the remaining consumer banking portfolios held-for-investment (China, Korea, Russia and Poland)) for the second quarter of 2023 increased quarter-over-quarter and year-over-year. The increases were primarily driven by lower average loans due to the ongoing wind-downs of the remaining businesses, particularly Korea, and the reclassification of a portfolio to HFS in the first quarter of 2023.
The 90+ days past due delinquency rate was unchanged quarter-over-quarter and increased year-over-year, mainly driven by lower loans due to the ongoing wind-downs of the remaining businesses and the reclassification of a portfolio to HFS in the first quarter of 2023. The overall performance of the remaining Asia Consumer portfolios continues to reflect the strong credit profiles of the customer segments.
44

Mexico Consumer
legendc30.jpg
LegacyMexico.jpgMexico Consumer.jpg

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 shownpresented in the chart above, the first quarter of 2024 net credit loss rate in Mexico Consumer for the second quarter of 2023 decreasedincreased quarter-over-quarter primarily due to higher recoveries in the second quarter of 2023, and increased year-over-year, primarily driven by the gradualongoing normalization of loss rates after peak losses experienced during the pandemic.from post-pandemic lows.
The 90+ days past due delinquency rate increasedwas broadly stable quarter-over-quarter and increased year-over-year, primarily driven by the gradualongoing normalization of delinquency rates after peak delinquencies during the pandemic.from post-pandemic lows.

For additional informationdetails on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see each respective business’s results of operations above and Note 13.14.


48

U.S. Cards FICO Distribution
The following tables present the current FICO score distributions for Citi’s Branded cardsCards and Retail servicesServices portfolios based on end-of-period receivables. FICO scores are updated monthly for substantially all of the portfolioas they become available. The following FICO bands were updated from previous disclosures (> 760, 680–760, and on a quarterly basis for the remaining portfolio.< 680).

Branded Cards

FICO distribution(1)
June 30, 2023March 31, 2023June 30, 2022
> 76047 %45 %49 %
680–76038 39 38 
< 68015 16 13 
Total100 %100 %100 %
FICO distribution(1)
March 31, 2024December 31, 2023March 31, 2023
 ≥ 74055 %57 %56 %
660–73934 33 34 
< 66011 10 10 
Total100 %100 %100 %

Retail Services

FICO distribution(1)
June 30, 2023March 31, 2023June 30, 2022
> 76027 %26 %28 %
680–76042 42 43 
< 68031 32 29 
Total100 %100 %100 %
FICO distribution(1)
March 31, 2024December 31, 2023March 31, 2023
≥ 74034 %35 %35 %
660–73942 42 43 
< 66024 23 22 
Total100 %100 %100 %

(1)    TheExcludes immaterial balances for Canada and for customers for which no FICO bands in the tablesscores are consistent with general industry peer presentations.available.

The FICO distribution of both card portfolios trended updeclined slightly from the prior quarter reflecting seasonal portfolio quality improvements, and declined from the prior year, primarily reflecting continued maturation of cards loan vintages originated during the ongoing normalization in net credit losspandemic, as well as macroeconomic pressures related to the higher inflationary and delinquency rates ininterest rate environment impacting both cards portfolios. The FICO distribution continued to reflect strong underlying credit quality and benefits fromof the continued impacts of government stimulus, unemployment benefits and customer relief programs.portfolios. See Note 1314 for additional information on FICO scores.

4549

Additional Consumer Credit Details

Consumer Loan Delinquencies Amounts and Ratios

EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
In millions of dollars,
except EOP loan amounts in billions		In millions of dollars,
except EOP loan amounts in billions		June 30,
2023		June 30,
2023		March 31,
2023		June 30,
2022		June 30,
2023		March 31,
2023		June 30,
2022		In millions of dollars,
except EOP loan amounts in billions		March 31,
2024		March 31,
2024		December 31,
2023		March 31,
2023		March 31,
2024		December 31,
2023		March 31,
2023
Personal Banking and Wealth Management(3)(4)(5)
USPB(3)(4)
TotalTotal$345.0 $2,041 $1,982 $1,383 $2,213 $1,987 $1,435 
Ratio0.69 %0.70 %0.52 %0.75 %0.70 %0.54 %
U.S. Personal Banking
Total
TotalTotal$194.5 $1,882 $1,772 $1,128 $1,974 $1,725 $1,201 
RatioRatio0.97 %0.96 %0.66 %1.02 %0.94 %0.70 %Ratio1.33 %1.26 %0.96 %1.19 %1.23 %0.94 %
Cards(4)
Cards(4)
TotalTotal153.0 1,723 1,608 949 1,741 1,545 1,009 
Ratio1.13 %1.11 %0.69 %1.14 %1.06 %0.73 %
Branded cards103.0 837 754 420 834 740 428 
Ratio0.81 %0.78 %0.46 %0.81 %0.76 %0.47 %
Retail services50.0 886 854 529 907 805 581 
Ratio1.77 %1.76 %1.16 %1.81 %1.66 %1.27 %
Retail banking(3)
41.5 159 164 179 233 180 192 
Ratio0.39 %0.42 %0.52 %0.57 %0.47 %0.55 %
Global Wealth
delinquency-managed loans(5)
$102.1 $159 $210 $255 $239 $262 $234 
Ratio0.16 %0.21 %0.27 %0.23 %0.26 %0.25 %
Global Wealth
classifiably managed loans(6)
$48.4 N/AN/AN/AN/A
Legacy Franchises
Total
TotalTotal$29.6 $413 $393 $393 $359 $338 $293 
RatioRatio1.40 %1.36 %1.16 %1.22 %1.17 %0.87 %Ratio1.61 %1.49 %1.11 %1.38 %1.39 %1.06 %
Asia Consumer(7)(8)
9.1 50 55 51 60 65 70 
Branded Cards
RatioRatio1.19 %1.07 %0.78 %1.01 %1.03 %0.76 %
Retail Services
RatioRatio2.53 %2.36 %1.76 %2.18 %2.15 %1.66 %
Retail Banking(3)
RatioRatio0.35 %0.40 %0.42 %0.53 %0.62 %0.47 %
Wealth delinquency-managed loans(5)
RatioRatio0.20 %0.18 %0.21 %0.31 %0.30 %0.26 %
Wealth classifiably managed loans(6)
Wealth classifiably managed loans(6)
$44.3 N/AN/AN/AN/A
All Other
Total
Total
Total
RatioRatio0.55 %0.55 %0.29 %0.66 %0.65 %0.40 %Ratio1.36 %1.43 %1.36 %1.31 %1.35 %1.17 %
Mexico ConsumerMexico Consumer17.8 243 202 174 228 205 159 
RatioRatio1.32 %1.35 %1.24 %1.33 %1.35 %1.26 %
Asia Consumer(7)(8)
RatioRatio1.37 %1.24 %1.29 %1.28 %1.26 %1.18 %Ratio0.43 %0.69 %0.55 %0.58 %0.80 %0.65 %
Legacy Holdings Assets (consumer)(9)
Legacy Holdings Assets (consumer)(9)
2.7 120 136 168 71 68 64 
RatioRatio4.80 %5.44 %5.60 %2.84 %2.72 %2.13 %Ratio4.67 %4.52 %5.44 %3.33 %3.17 %2.72 %
Total Citigroup consumerTotal Citigroup consumer$374.6 $2,454 $2,375 $1,776 $2,572 $2,325 $1,728 
RatioRatio0.75 %0.76 %0.59 %0.79 %0.74 %0.58 %Ratio0.98 %0.94 %0.76 %0.93 %0.95 %0.74 %

(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 for Retail bankingBanking 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 $73$64 million ($0.5 billion), $63 million ($0.5 billion) and $80 million ($0.6 billion) and $119 million ($0.7 billion) at June 30, 2023, March 31, 2024, December 31, 2023 and June 30, 2022,March 31, 2023, 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 $68$66 million, $73 million and $57 million and $72 million at June 30, 2023, March 31, 2024, December 31, 2023 and June 30, 2022,March 31, 2023, respectively. The EOP loans in the table include the guaranteed loans.
(4)The 90+ days past due balances for Branded cardsCards and Retail servicesServices are generally still accruing interest. Citi’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)Excludes EOP classifiably managed Private bankBank 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 June 30,March 31, 2024, December 31, 2023 and March 31, 2023, 81%, 85% and June 30, 2022, 97%, 93% and 94% 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 EMEAcountriesPoland and Russia for all periods presented.

46

(8)Citi has entered into agreements to sell certain Asia consumerConsumer 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 most recent reclassifications commenced as follows: Bahrain, India,Taiwan and Indonesia Malaysia,in 1Q22; Taiwan Thailand and Vietnam in 1Q22 (Bahrain, Malaysia and Thailand closed in 4Q22; India3Q23 and VietnamIndonesia closed in 1Q23).4Q23. In addition, a portfolio was reclassified to HFS in the first quarter of 2023 and subsequently sold in the second quarter of 2023. See Note 2 for additional information.2.
(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
50

(EOP loans) were $77$66 million ($0.2 billion), $67 million ($0.2 billion) and $81 million ($0.3 billion) and $84 million ($0.2 billion) at June 30, 2023, March 31, 2024, December 31, 2023 and June 30, 2022,March 31, 2023, 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$33 million, $36 million and $30 million and $27 million at June 30, 2023, March 31, 2024, December 31, 2023 and June 30, 2022,March 31, 2023, respectively. The EOP loans in the table include the guaranteed loans.
N/A Not applicable

Consumer Loan Net Credit Losses (NCLs) and Ratios

Average
loans(1)
Net credit losses(2)
In millions of dollars, except average loan amounts in billionsIn millions of dollars, except average loan amounts in billions2Q231Q232Q22
Personal Banking and Wealth Management(2)
In millions of dollars, except average loan amounts in billions
In millions of dollars, except average loan amounts in billions
USPB
USPB
USPB
Total
Total
TotalTotal$338.7 $1,241 $1,094 $699 
RatioRatio1.47 %1.33 %0.88 %
U.S. Personal Banking
Ratio
Ratio
Cards
Cards
Cards
Total
Total
TotalTotal$189.1 $1,218 $1,074 $679 
RatioRatio2.58 %2.37 %1.63 %
Cards
Ratio
Ratio
Branded Cards
Branded Cards
Branded Cards
Ratio
Ratio
Ratio
Retail Services
Retail Services
Retail Services
Ratio
Ratio
Ratio
Retail Banking
Retail Banking
Retail Banking
Ratio
Ratio
Ratio
Wealth
Wealth
Wealth
Ratio
Ratio
Ratio
All Other—Legacy Franchises (managed basis)(3)
All Other—Legacy Franchises (managed basis)(3)
All Other—Legacy Franchises (managed basis)(3)
Total
Total
TotalTotal148.8 1,159 1,012 619 
RatioRatio3.12 %2.82 %1.87 %
Branded cards99.8 614 521 329 
RatioRatio2.47 %2.18 %1.50 %
Retail services49.0 545 491 290 
Ratio4.46 %4.08 %2.60 %
Retail banking40.3 59 62 60 
Ratio0.59 %0.66 %0.70 %
Global Wealth$149.6 $23 $20 $20 
Ratio0.06 %0.05 %0.05 %
Legacy Franchises
Total$29.1 $188 $186 $128 
Ratio2.59 %2.47 %1.45 %
Asia Consumer(3)(4)
9.5 41 44 35 
RatioRatio1.73 %1.47 %0.77 %
Mexico ConsumerMexico Consumer16.8 153 148 105 
Mexico Consumer
Mexico Consumer
Ratio
Ratio
Ratio
Asia Consumer (managed basis)(3)(4)
Asia Consumer (managed basis)(3)(4)
Asia Consumer (managed basis)(3)(4)
Ratio
Ratio
RatioRatio3.65 %3.87 %3.12 %
Legacy Holdings Assets (consumer)Legacy Holdings Assets (consumer)2.8 (6)(6)(12)
Legacy Holdings Assets (consumer)
Legacy Holdings Assets (consumer)
RatioRatio(0.86)%(0.84)%(1.34)%
Ratio
Ratio
Reconciling Items(3)
Reconciling Items(3)
Reconciling Items(3)
Total Citigroup
Total Citigroup
Total CitigroupTotal Citigroup$367.8 $1,429 $1,280 $827 
RatioRatio1.56 %1.43 %0.94 %
Ratio
Ratio

(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)All Other (managed basis) excludes divestiture-related impacts (Reconciling Items) related to (i) Citi’s divestitures of its Asia Consumer businesses and (ii) the
planned IPO of Mexico consumer banking and small business and middle-market banking within Legacy Franchises. The Reconciling Items are fully reflected in the various line items in Citi’s Consolidated Statement of Income. See “All Other—Divestiture-Related Impacts (Reconciling Items)” above.
(4)Asia Consumer also includes NCLs and average loans in certain EMEA countries (RussiaPoland and Poland)Russia for all periods presented.
(4)Approximately $8 million, $11 million and $50 million in NCLs relating to certain Asia Consumer businesses classified as held-for-sale in Other assets and Other liabilities on the Consolidated Balance Sheet were recorded as a reduction in revenue (Other revenue) in 2Q23, 1Q23 and 2Q22, respectively. Accordingly, these NCLs are not included in this table. See Note 2 for additional information regarding businesses held-for-sale.


4751

ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding

2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.
1st Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.
In millions of dollarsIn millions of dollars202320232022In millions of dollars20242023
Consumer loansConsumer loans
In North America offices(1)
In North America offices(1)
In North America offices(1)
In North America offices(1)
Residential first mortgages(2)
Residential first mortgages(2)
Residential first mortgages(2)
Residential first mortgages(2)
$102,680 $98,790 $96,039 $93,381 $88,662 
Home equity loans(2)
Home equity loans(2)
4,000 4,244 4,580 4,794 5,074 
Credit cardsCredit cards152,951 145,543 150,643 140,404 137,412 
Personal, small business and otherPersonal, small business and other37,161 37,812 37,752 40,110 39,436 
TotalTotal$296,792 $286,389 $289,014 $278,689 $270,584 
In offices outside North America(1)
In offices outside North America(1)
Residential mortgages(2)
Residential mortgages(2)
$27,090 $26,913 $28,114 $27,281 $28,129 
Residential mortgages(2)
Residential mortgages(2)
Credit cardsCredit cards13,714 13,033 12,955 11,764 11,858 
Personal, small business and otherPersonal, small business and other36,995 37,361 37,984 39,849 45,034 
TotalTotal$77,799 $77,307 $79,053 $78,894 $85,021 
Consumer loans, net of unearned income, excluding portfolio layer cumulative basis adjustments(3)
Unallocated portfolio layer cumulative basis adjustments
Consumer loans, net of unearned income(3)
Consumer loans, net of unearned income(3)
$374,591 $363,696 $368,067 $357,583 $355,605 
Corporate loansCorporate loans
In North America offices(1)
In North America offices(1)
In North America offices(1)
In North America offices(1)
Commercial and industrial
Commercial and industrial
Commercial and industrialCommercial and industrial$59,790 $59,790 $56,176 $52,990 $55,823 
Financial institutionsFinancial institutions36,268 38,524 43,399 43,667 46,088 
Mortgage and real estate(2)
Mortgage and real estate(2)
17,495 18,562 17,829 17,762 17,359 
Installment and otherInstallment and other22,153 23,578 23,767 21,222 20,466 
Lease financingLease financing224 299 308 383 379 
TotalTotal$135,930 $140,753 $141,479 $136,024 $140,115 
In offices outside North America(1)
In offices outside North America(1)
Commercial and industrialCommercial and industrial$95,836 $92,803 $93,967 $100,570 $108,274 
Commercial and industrial
Commercial and industrial
Financial institutionsFinancial institutions21,701 22,272 21,931 23,604 24,654 
Mortgage and real estate(2)
Mortgage and real estate(2)
6,076 4,975 4,179 4,005 4,455 
Installment and otherInstallment and other23,395 24,800 23,347 19,653 19,862 
Lease financingLease financing49 49 46 48 53 
Governments and official institutionsGovernments and official institutions3,034 2,647 4,205 4,473 4,315 
TotalTotal$150,091 $147,546 $147,675 $152,353 $161,613 
Corporate loans, net of unearned income, excluding portfolio layer cumulative basis adjustments(4)
Unallocated portfolio layer cumulative basis adjustments
Corporate loans, net of unearned income(4)
Corporate loans, net of unearned income(4)
$286,021 $288,299 $289,154 $288,377 $301,728 
Total loans—net of unearned incomeTotal loans—net of unearned income$660,612 $651,995 $657,221 $645,960 $657,333 
Allowance for credit losses on loans (ACLL)Allowance for credit losses on loans (ACLL)(17,496)(17,169)(16,974)(16,309)(15,952)
Total loans—net of unearned income and ACLLTotal loans—net of unearned income and ACLL$643,116 $634,826 $640,247 $629,651 $641,381 
ACLL as a percentage of total loans—
net of unearned income(5)
ACLL as a percentage of total loans—
net of unearned income(5)
2.67 %2.65 %2.60 %2.54 %2.44 %
ACLL as a percentage of total loans—
net of unearned income(5)
2.75 %2.66 %2.68 %2.67 %2.65 %
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)
3.97 %3.96 %3.84 %3.74 %3.65 %
ACLL for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5)
4.07 %3.97 %3.95 %3.97 %3.96 %
ACLL for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5)
ACLL for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5)
0.94 %0.98 %1.01 %1.04 %1.00 %
ACLL for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5)
0.97 %0.93 %0.97 %0.94 %0.98 %

(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification of corporate loans between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
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(2)Loans secured primarily by real estate.
(3)Consumer loans are net of unearned income of $828 million, $802 million, $789 million, $769 million and $748 million $712 million, $671 million and $631 million at March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023, December 31, 2022, September 30, 2022 and June 30, 2022, respectively. Unearned income on consumer loans primarily represents unamortizedloan origination fees, net of certain direct origination costs, that are deferred and costs, premiums and discounts.recognized as Interest income over the lives of the related loans.
(4)Corporate loans include Mexico SBMM loans and are net of unearned income of $(795)($968) million, $(801)($917) million, $(797)($806) million, $(750)($795) million and $(759)($801) million at March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023, December 31, 2022, September 30, 2022 and June 30, 2022, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.loan origination fees, net of certain direct origination costs, that are deferred and recognized as Interest income over the lives of the related loans.
(5)Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.
48

Details of Credit Loss Experience
1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.
In millions of dollars20242023202320232023
Allowance for credit losses on loans (ACLL) at beginning of period$18,145 $17,629 $17,496 $17,169 $16,974 
Adjustment to opening balance:
Financial instruments—TDRs and vintage disclosures(1)
$— $— $— $— $(352)
Adjusted ACLL at beginning of period$18,145 $17,629 $17,496 $17,169 $16,622 
Provision for credit losses on loans (PCLL)
Consumer$2,201 $2,371 $1,656 $1,838 $1,800 
Corporate221 101 160 (77)(63)
Total$2,422 $2,472 $1,816 $1,761 $1,737 
Gross credit losses on loans
Consumer
In U.S. offices$2,190 $1,886 $1,611 $1,513 $1,329 
In offices outside the U.S.322 351 317 280 266 
Corporate
In U.S. offices83 106 16 26 16 
In offices outside the U.S.95 25 56 60 23 
Total$2,690 $2,368 $2,000 $1,879 $1,634 
Gross recoveries on loans
Consumer
In U.S. offices$328 $287 $274 $301 $262 
In offices outside the U.S.45 51 75 63 53 
Corporate
In U.S. offices9 12 9 7 10 
In offices outside the U.S.5 24 5 4 7 
Total$387 $374 $363 $375 $332 
Net credit losses on loans (NCLs)
In U.S. offices$1,936 $1,693 $1,344 $1,231 $1,073 
In offices outside the U.S.367 301 293 273 229 
Total$2,303 $1,994 $1,637 $1,504 $1,302 
Other—net(2)(3)(4)(5)(6)(7)
$32 $38 $(46)$70 $112 
Allowance for credit losses on loans (ACLL) at end of period$18,296 $18,145 $17,629 $17,496 $17,169 
ACLL as a percentage of EOP loans(8)
2.75 %2.66 %2.68 %2.67 %2.65 %
Allowance for credit losses on unfunded lending commitments (ACLUC)(9)
$1,629 $1,728 $1,806 $1,862 $1,959 
Total ACLL and ACLUC$19,925 $19,873 $19,435 $19,358 $19,128 
Net consumer credit losses on loans$2,139 $1,899 $1,579 $1,429 $1,280 
As a percentage of average consumer loans2.25 %1.98 %1.67 %1.56 %1.43 %
Net corporate credit losses on loans$164 $95 $58 $75 $22 
As a percentage of average corporate loans0.22 %0.13 %0.08 %0.11 %0.03 %
ACLL by type at end of period(10)
Consumer$15,524 $15,431 $14,912 $14,866 $14,389 
Corporate2,772 2,714 2,717 2,630 2,780 
Total$18,296 $18,145 $17,629 $17,496 $17,169 

2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.
In millions of dollars20232023202220222022
Allowance for credit losses on loans (ACLL) at beginning of period$17,169 $16,974 $16,309 $15,952 $15,393 
Adjustment to opening balance:
Financial instruments—TDRs and vintage disclosures(1)
$— $(352)$— $— $— 
Adjusted ACLL at beginning of period$17,169 $16,622 $16,309 $15,952 $15,393 
Provision for credit losses on loans (PCLL)
Consumer$1,838 $1,800 $1,779 $1,281 $1,440 
Corporate(77)(63)(6)47 (56)
Total$1,761 $1,737 $1,773 $1,328 $1,384 
Gross credit losses on loans
Consumer
In U.S. offices$1,513 $1,329 $1,117 $946 $934 
In offices outside the U.S.280 266 220 248 221 
Corporate
In U.S. offices26 16 51 8 21 
In offices outside the U.S.60 23 79 35 36 
Total$1,879 $1,634 $1,467 $1,237 $1,212 
Gross recoveries on loans
Consumer
In U.S. offices$301 $262 $235 $252 $265 
In offices outside the U.S.63 53 40 61 63 
Corporate
In U.S. offices7 10 1 34 2 
In offices outside the U.S.4 7 11 3 32 
Total$375 $332 $287 $350 $362 
Net credit losses on loans (NCLs)
In U.S. offices$1,231 $1,073 $932 $668 $688 
In offices outside the U.S.273 229 248 219 162 
Total$1,504 $1,302 $1,180 $887 $850 
Other—net(2)(3)(4)(5)(6)(7)
$70 $112 $72 $(84)$25 
Allowance for credit losses on loans (ACLL) at end of period$17,496 $17,169 $16,974 $16,309 $15,952 
ACLL as a percentage of EOP loans(8)
2.67 %2.65 %2.60 %2.54 %2.44 %
Allowance for credit losses on unfunded lending commitments (ACLUC)(9)
$1,862 $1,959 $2,151 $2,089 $2,193 
Total ACLL and ACLUC$19,358 $19,128 $19,125 $18,398 $18,145 
Net consumer credit losses on loans$1,429 $1,280 $1,062 $881 $827 
As a percentage of average consumer loans1.56 %1.43 %1.17 %0.98 %0.94 %
Net corporate credit losses on loans$75 $22 $118 $6 $23 
As a percentage of average corporate loans0.11 %0.03 %0.16 %0.01 %0.03 %
ACLL by type at end of period(10)
Consumer$14,866 $14,389 $14,119 $13,361 $12,983 
Corporate2,630 2,780 2,855 2,948 2,969 
Total$17,496 $17,169 $16,974 $16,309 $15,952 
(1)On January 1, 2023, Citi adopted Accounting Standards Update (ASU) 2022-02, Financial Instruments—Credit Losses (Topic 326): TDRs and Vintage Disclosures. The ASU eliminated the accounting and disclosure requirements for TDRs, including the requirement to measure the ACLL for TDRs using a
53

discounted cash flow (DCF) approach. On January 1, 2023, Citi recorded a $352 million decrease in the Allowance for loan losses, along with a $290 million after-tax increase to Retained earnings. See Note 1.
(2)Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.
(3)The first quarter of 2024 includes an increase of approximately $32 million related to FX translation.
(4)The fourth quarter of 2023 includes an increase of approximately $38 million related to FX translation.
(5)The third quarter of 2023 includes a decrease of approximately $46 million related to FX translation.
(6)The second quarter of 2023 includes an increase of approximately $70 million related to FX translation.
(4)(7)The first quarter of 2023 includes an increase of approximately $112 million related to FX translation.
49

(5)The fourth quarter of 2022 includes an increase of approximately $72 million related to FX translation.
(6)The third quarter of 2022 includes a decrease of approximately $84 million related to FX translation.
(7)The second quarter of 2022 includes an increase of approximately $25 million related to FX translation.
(8)March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023 December 31, 2022, September 30, 2022 and June 30, 2022 exclude $8.9 billion, $7.6 billion, $7.4 billion, $5.8 billion $5.1 billion, $5.4 billion, $3.9 billion and $4.5$5.1 billion, respectively, of loans that are carried at fair value.
(9)Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(10)See “Significant Accounting Policies and Significant Estimates” below. Attribution of the allowance is made for analytical purposes only and is available to absorb probable credit losses inherent in the overall portfolio.

Allowance for Credit Losses on Loans (ACLL)
The following tables detail information on Citi’s ACLL, loans and coverage ratios:

June 30, 2023 March 31, 2024
In billions of dollarsIn billions of dollarsACLLEOP loans, net of
unearned income
ACLL as a
percentage of EOP loans(1)
In billions of dollarsACLLEOP loans, net of
unearned income
ACLL as a
% of EOP loans(1)
ConsumerConsumer
North America cards(2)
North America cards(2)
North America cards(2)
North America cards(2)
$12.0 $153.0 7.9 %$13.0 $158.8 8.2 8.2 %
North America mortgages(3)
North America mortgages(3)
0.4 106.5 0.4 
North America other(3)
North America other(3)
0.6 37.2 1.5 
International cardsInternational cards0.9 13.7 6.7 
International other(3)
International other(3)
1.0 63.9 1.5 
Total(1)
Total(1)
$14.9 $374.3 4.0 %
Total(1)
$15.5 $381.4 4.1 4.1 %
Corporate
Corporate(4)
Commercial and industrial
Commercial and industrial
Commercial and industrialCommercial and industrial$1.7 $152.6 1.1 %$1.6 $148.0 1.1 1.1 %
Financial institutionsFinancial institutions0.3 57.6 0.5 
Mortgage and real estate0.5 23.5 2.1 
Mortgage and real estate(4)
Installment and otherInstallment and other0.1 46.8 0.2 
Total(1)
Total(1)
$2.6 $280.5 0.9 %
Total(1)
$2.8 $284.3 1.0 1.0 %
Loans at fair value(1)
Loans at fair value(1)
N/A$5.8 N/A
Loans at fair value(1)
N/A$8.9 N/AN/A
Total CitigroupTotal Citigroup$17.5 $660.6 2.7 %Total Citigroup$18.3 $674.6 2.8 2.8 %

December 31, 2022 December 31, 2023
In billions of dollarsIn billions of dollarsACLLEOP loans, net of
unearned income
ACLL as a
percentage of EOP loans(1)
In billions of dollarsACLLEOP loans, net of
unearned income
ACLL as a
% of EOP loans(1)
ConsumerConsumer
North America cards(2)
North America cards(2)
North America cards(2)
North America cards(2)
$11.4 $150.6 7.6 %$12.6 $164.7 7.7 7.7 %
North America mortgages(3)
North America mortgages(3)
0.5 100.4 0.5 
North America other(3)
North America other(3)
0.6 37.8 1.6 
International cardsInternational cards0.8 13.0 6.2 
International other(3)
International other(3)
0.8 66.0 1.2 
Total(1)
Total(1)
$14.1 $367.8 3.8 %
Total(1)
$15.4 $388.9 4.0 4.0 %
Corporate
Corporate(4)
Commercial and industrial
Commercial and industrial
Commercial and industrialCommercial and industrial$1.9 $147.8 1.3 %$1.7 $151.5 1.1 1.1 %
Financial institutionsFinancial institutions0.4 64.9 0.6 
Mortgage and real estate0.4 21.9 1.8 
Mortgage and real estate(4)
Installment and otherInstallment and other0.2 49.4 0.4 
Total(1)
Total(1)
$2.9 $284.0 1.0 %
Total(1)
$2.7 $292.9 0.9 0.9 %
Loans at fair value(1)
Loans at fair value(1)
N/A$5.4 N/A
Loans at fair value(1)
N/A$7.6 N/AN/A
Total CitigroupTotal Citigroup$17.0 $657.2 2.6 %Total Citigroup$18.1 $689.4 2.7 2.7 %

(1)Excludes loans carried at fair value, since they do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)Includes both Branded cardsCards and Retail services.Services. As of June 30, 2023,March 31, 2024, the $12.0$13.0 billion of ACLL represented approximately 3122 months of coincident net credit loss coverage (based on 2Q231Q24 NCLs). As of June 30, 2023,March 31, 2024, Branded cardsCards ACLL as a percentage of EOP loans was 6.3%6.4% and Retail servicesServices ACLL as a percentage of EOP loans was 11.2%11.9%. As of December 31, 2022,2023, the $11.4$12.6 billion of ACLL represented approximately 4325 months of coincident net credit loss
54

coverage (based on 4Q224Q23 NCLs). As of December 31, 2022,2023, Branded cardsCards ACLL as a percentage of EOP loans was 6.2%6.0% and Retail servicesServices ACLL as a percentage of EOP loans was 10.3%11.1%.
(3)Includes residential mortgages, retail loans and personal, small business and other loans, including those extended through the Private bankBank network.
(4)The above corporate loan classifications are broadly based on the loan’s collateral, purpose and type of borrower, which may be different from the following industry table. For example, commercial and industrial, financial institutions, and installment and other loan classifications include various forms of loans to borrowers across multiple industries, whereas mortgage and real estate includes loans secured primarily by real estate.
N/A Not applicable
50

The following table details Citi’s corporate credit ACLL by industry exposure:
June 30, 2023
In millions of dollars, except percentages
Funded exposure(1)
ACLLACLL as a % of funded exposure
Transportation and industrials$58,248 $566 1.0 %
Technology, media and telecom28,948 321 1.1 
Consumer retail34,327 299 0.9 
Real estate(2)
48,142 572 1.2 
Commercial35,155 507 1.4 
Residential12,987 65 0.5 
Banks and finance companies43,277 219 0.5 
Power, chemicals, metals and mining19,869 228 1.1 
Energy and commodities12,799 175 1.4 
Health9,560 75 0.8 
Insurance4,101 15 0.4 
Asset managers and funds6,384 33 0.5 
Public sector10,849 57 0.5 
Financial markets infrastructure141 1 0.7 
Securities firms292 14 4.8 
Other industries2,914 48 1.6 
Total classifiably managed loans(3)
$279,851 $2,623 0.9 %
Loans managed on a delinquency basis(4)
$641 $7 1.1 %
Total$280,492 $2,630 0.9 %

(1)    Funded exposure excludes loans carried at fair value of $5.5 billion that are not subject to ACLL under the CECL standard.
(2)    As of June 30, 2023, the portion of the ACLL attributed to the total funded CRE exposure (including the Private bank) was approximately 1.2%.
(3)    As of June 30, 2023, the ACLL shown above reflects coverage of 0.4% of funded investment-grade exposure and 2.7% of funded non-investment-grade exposure.
(4)    Primarily associated with delinquency-managed loans including commercial credit cards and other loans at June 30, 2023.

The following table details Citi’s corporate credit ACLL by industry exposure:

December 31, 2022
March 31, 2024March 31, 2024
In millions of dollars, except percentagesIn millions of dollars, except percentages
Funded exposure(1)
ACLLACLL as a % of funded exposureIn millions of dollars, except percentages
Funded exposure(1)
ACLLACLL as a % of funded exposure
Transportation and industrialsTransportation and industrials$57,271 $699 1.2 %Transportation and industrials$55,231 $420 0.8 0.8 %
Technology, media and telecom28,931 330 1.1 
Consumer retail32,687 358 1.1 
Real estate48,539 500 1.0 
Banks and finance companies
Real estate(2)
CommercialCommercial34,112 428 1.3 
ResidentialResidential14,427 72 0.5 
Consumer retail
Technology, media and telecom
Power, chemicals, metals and miningPower, chemicals, metals and mining18,326 288 1.6 
Banks and finance companies42,276 225 0.5 
Public sector
Energy and commoditiesEnergy and commodities13,069 188 1.4 
Health
Asset managers and fundsAsset managers and funds13,162 38 0.3 
Health8,771 81 0.9 
InsuranceInsurance4,417 11 0.2 
Public sector11,736 58 0.5 
Securities firms
Financial markets infrastructureFinancial markets infrastructure60 — — 
Securities firms569 11 1.9 
Other industries3,651 59 1.6 
Total classifiably managed loans(2)
$283,465 $2,846 1.0 %
Loans managed on a delinquency basis(3)
$566 $9 1.6 %
Total$284,031 $2,855 1.0 %
Other industries(3)
Total(4)
Total(4)
$284,269 $2,772 1.0 %

(1)    Funded exposure excludes loans carried at fair value of $5.1$8.6 billion that are not subject to ACLL under the CECL standard.
(2)    As of DecemberMarch 31, 2022,2024, the portion of the ACLL shownattributed to the total funded CRE exposure (including the Private Bank) was approximately 1.76%.
(3)    Includes $0.9 billion of funded exposure at March 31, 2024, primarily related to commercial credit card delinquency-managed loans.
(4)    As of March 31, 2024, the ACLL above reflects coverage of 0.4% of funded investment-grade exposure and 3.0%2.9% of funded non-investment-grade exposure.
(3)    Primarily associated with delinquency-managed
The following table details Citi’s corporate credit ACLL by industry exposure:

December 31, 2023
In millions of dollars, except percentages
Funded exposure(1)
ACLLACLL as a % of funded exposure
Transportation and industrials$59,917 $453 0.8 %
Banks and finance companies52,569 179 0.3 
Real estate(2)
51,660 663 1.3 
Commercial35,058 599 1.7 
Residential16,602 64 0.4 
Consumer retail33,548 282 0.8 
Technology, media and telecom29,832 376 1.3 
Power, chemicals, metals and mining19,004 270 1.4 
Public sector12,621 102 0.8 
Energy and commodities12,606 166 1.3 
Health9,135 72 0.8 
Asset managers and funds4,232 36 0.9 
Insurance2,390 14 0.6 
Securities firms734 23 3.1 
Financial markets infrastructure156 — — 
Other industries(3)
4,480 78 1.7 
Total(4)
$292,884 $2,714 0.9 %

(1)    Funded exposure excludes loans including commercial credit cards and other loanscarried at December 31, 2022.fair value of $7.3 billion that are not subject to ACLL under the CECL standard.
5155

(2)    As of December 31, 2023, the portion of the ACLL attributed to the total funded CRE exposure (including the Private Bank) was approximately 1.49%.
(3)    Includes $0.6 billion of funded exposure at December 31, 2023, primarily related to commercial credit card delinquency-managed loans.
(4)    As of December 31, 2023, the ACLL above reflects coverage of 0.3% of funded investment-grade exposure and 2.9% of funded non-investment-grade exposure.

Non-Accrual Loans and Assets
For additional information on Citi’s non-accrual loans and assets, see “Non-Accrual Loans and Assets” in Citi’s 20222023 Form 10-K.

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














Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,
Mar. 31,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,
In millions of dollarsIn millions of dollars202320232022In millions of dollars20242023
Corporate non-accrual loans by region(1)(2)(3)
Corporate non-accrual loans by region(1)(2)(3)
North America$358 $285 $138 $276 $304 
EMEA350 383 502 598 712 
Latin America428 462 429 555 563 
Asia125 83 53 56 76 
North America(4)
North America(4)
North America(4)
International
TotalTotal$1,261 $1,213 $1,122 $1,485 $1,655 
Corporate non-accrual loans(1)(2)(3)
Corporate non-accrual loans(1)(2)(3)
BankingBanking$931 $868 $767 $1,085 $1,015 
Banking
Banking
ServicesServices123 133 153 185 353 
Markets1 3 3 — 11 
Markets(4)
Mexico SBMMMexico SBMM206 209 199 215 276 
TotalTotal$1,261 $1,213 $1,122 $1,485 $1,655 
Consumer non-accrual loans(1)
Consumer non-accrual loans(1)
U.S. Personal Banking and Global Wealth$536 $608 $541 $585 $536 
Asia Consumer(4)
24 29 30 30 34 
USPB
USPB
USPB
Wealth
Mexico ConsumerMexico Consumer498 480 457 486 493 
Legacy Holdings Assets—Consumer263 278 289 300 317 
Asia Consumer(5)
Legacy Holdings Assets (consumer)
TotalTotal$1,321 $1,395 $1,317 $1,401 $1,380 
Total non-accrual loansTotal non-accrual loans$2,582 $2,608 $2,439 $2,886 $3,035 

(1)Corporate loans are placed on non-accrual status based uponon 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 51%, 61%, 50%, 68%62%, 51% and 52%61% of Citi’s corporate non-accrual loans were performingremain current on interest and principal payments at March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023 and March 31, 2023, December 31, 2022, September 30, 2022 and June 30, 2022, respectively.
(3)The JuneMarch 31, 2024 total corporate non-accrual loans represented 0.51% of total corporate loans.
(4)The increase at September 30, 2023 total corporate non-accrual loans represented 0.44% of total corporate loans.was primarily related to two commercial real estate loans.
(4)(5)    Asia Consumer includes balances in certain EMEAcountriesPoland and Russia for all periods presented.


Modified Loans
On January 1, 2023, Citi adopted ASU 2022-02, which eliminated the accounting and disclosure requirements for TDRs (see Note 1 for additional information). See Note 13 for information on loan modifications during the six months ended June 30, 2023.
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The changes in Citigroup’s non-accrual loans were as follows:

Three Months EndedThree Months Ended
June 30, 2023June 30, 2022
Three Months EndedThree Months EndedThree Months Ended
March 31, 2024March 31, 2024March 31, 2023
In millions of dollarsIn millions of dollarsCorporateConsumerTotalCorporateConsumerTotalIn millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of quarterNon-accrual loans at beginning of quarter$1,213 $1,395 $2,608 $1,866 $1,517 $3,383 
AdditionsAdditions289 339 628 721 344 1,065 
Sales and transfers to HFSSales and transfers to HFS— (8)(8)(5)(36)(41)
Returned to performingReturned to performing(14)(128)(142)(120)(77)(197)
Paydowns/settlementsPaydowns/settlements(151)(99)(250)(746)(199)(945)
Charge-offsCharge-offs(74)(196)(270)(56)(140)(196)
OtherOther(2)18 16 (5)(29)(34)
Ending balanceEnding balance$1,261 $1,321 $2,582 $1,655 $1,380 $3,035 
Six Months EndedSix Months Ended
June 30, 2023June 30, 2022
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of year$1,122 $1,317 $2,439 $1,553 $1,826 $3,379 
Additions689 781 1,470 1,541 643 2,184 
Sales and transfers to HFS(25)(14)(39)(6)(224)(230)
Returned to performing(89)(176)(265)(253)(256)(509)
Paydowns/settlements(320)(235)(555)(1,069)(295)(1,364)
Charge-offs(106)(388)(494)(105)(295)(400)
Other(10)36 26 (6)(19)(25)
Ending balance$1,261 $1,321 $2,582 $1,655 $1,380 $3,035 

The table below summarizes Citigroup’s other real estate owned (OREO) assets. OREO is recorded on the Consolidated Balance Sheet within Other assets. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:

Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,
Mar. 31,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,
In millions of dollarsIn millions of dollars202320232022In millions of dollars20242023
OREOOREO
North AmericaNorth America$17 $15 $10 $9 $7 
EMEA— — — — — 
Latin America13 5 4 5 5 
Asia1 1 1 2 1 
North America
North America
International
Total OREOTotal OREO$31 $21 $15 $16 $13 
Non-accrual assetsNon-accrual assets
Non-accrual assets
Non-accrual assets
Corporate non-accrual loans
Corporate non-accrual loans
Corporate non-accrual loansCorporate non-accrual loans$1,261 $1,213 $1,122 $1,485 $1,655 
Consumer non-accrual loansConsumer non-accrual loans1,321 1,395 1,317 1,401 1,380 
Non-accrual loans (NAL)Non-accrual loans (NAL)$2,582 $2,608 $2,439 $2,886 $3,035 
OREOOREO$31 $21 $15 $16 $13 
Non-accrual assets (NAA)Non-accrual assets (NAA)$2,613 $2,629 $2,454 $2,902 $3,048 
NAL as a percentage of total loansNAL as a percentage of total loans0.39 %0.40 %0.37 %0.45 %0.46 %NAL as a percentage of total loans0.41 %0.46 %0.49 %0.39 %0.40 %
NAA as a percentage of total assetsNAA as a percentage of total assets0.11 0.11 0.10 0.12 0.13 
ACLL as a percentage of NAL(1)
ACLL as a percentage of NAL(1)
678 658 696 565 526 
(1)The ACLL includes the allowance for Citi’s credit card portfolios and purchased credit-deteriorated loans, while the non-accrual loans exclude credit card balances (with the exception of certain international portfolios).


53
57

LIQUIDITY RISK

For additional information on funding and liquidity at Citi, including its objectives, management and measurement, see “Liquidity Risk” and “Risk Factors—Liquidity Risks” in Citi’s 20222023 Form 10-K.





High-Quality Liquid Assets (HQLA)

CitibankCiti non-bank and other entitiesTotal
CitibankCitibankCiti non-bank and other entitiesTotal
In billions of dollarsIn billions of dollarsJun. 30, 2023Mar. 31, 2023Jun. 30, 2022Jun. 30, 2023Mar. 31, 2023Jun. 30, 2022Jun. 30, 2023Mar. 31, 2023Jun. 30, 2022In billions of dollarsMar. 31, 2024Dec. 31, 2023Mar. 31, 2023Mar. 31, 2024Dec. 31, 2023Mar. 31, 2023Mar. 31, 2024Dec. 31, 2023Mar. 31, 2023
Available cashAvailable cash$254.3 $267.1 $188.1 $4.9 $3.9 $1.7 $259.2 $271.0 $189.8 
U.S. sovereignU.S. sovereign120.3 111.9 149.4 74.7 77.9 55.4 195.0 189.8 204.8 
U.S. agency/agency MBSU.S. agency/agency MBS45.1 42.5 54.4 3.8 3.9 4.6 48.9 46.4 59.0 
Foreign government debt(1)
Foreign government debt(1)
60.9 54.9 60.4 19.1 20.6 13.9 80.0 75.5 74.3 
Other investment gradeOther investment grade0.5 1.3 2.0 0.2 0.3 1.3 0.7 1.6 3.3 
Total HQLA (AVG)Total HQLA (AVG)$481.1 $477.7 $454.3 $102.7 $106.6 $76.9 $583.8 $584.3 $531.2 

Note: The amounts shown 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, Korea, Mexico, IndiaHong Kong and Singapore.India.

The table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the calculation of Citigroup’s consolidated Liquidity Coverage ratio (LCR), pursuant to the U.S. LCR rules. These amounts include the HQLA needed to meet the minimum requirements at these entities as well as any amounts in excess of these minimums that are available to be transferred to other entities within Citigroup. Citigroup’s total average HQLA decreased quarter-over-quarter as of the secondfirst quarter of 2023 remained largely unchanged sequentially.2024, primarily driven by a reduction in short-term borrowings.
As of June 30, 2023,March 31, 2024, Citigroup had approximately $993$965 billion of available liquidity resources to support client and business needs, including end-of-period HQLA ($591555 billion); additional unencumbered HQLA, including excess liquidity held at bank entities that is non-transferable to other entities within Citigroup ($212226 billion); and unused borrowing capacity from available assets not already accounted for within Citi’s HQLA to support additional advances from the Federal Home Loan Bank (FHLB) and the Federal Reserve Bank discount window ($190184 billion).


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 dollarsIn billions of dollarsJun. 30, 2023Mar. 31, 2023Jun. 30, 2022In billions of dollarsMar. 31, 2024Dec. 31, 2023Mar. 31, 2023
HQLAHQLA$583.8 $584.3 $531.2 
Net outflowsNet outflows491.9 488.2 460.2 
LCRLCR119 %120 %115 %LCR117 %116 %120 %
HQLA in excess of net outflowsHQLA in excess of net outflows$91.9 $96.1 $71.0 

Note: The amounts are presented on an average basis.

As of June 30, 2023,March 31, 2024, Citigroup’s average LCR decreased,increased from the quarter ended MarchDecember 31, 2023. The decreaseincrease was primarily driven by the decrease in net outflows, partially offset by the reduction in unsecured long-term debt.average HQLA.
In addition, considering Citi’s total available liquidity resources at quarter end of $993$965 billion, Citi maintained approximately $501$492 billion of excess liquidity resources above the stressed average net outflow of approximately $492$473 billion, shownpresented in the LCR table above.
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Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR)
As previously disclosed, the U.S. banking agencies adopted a rule to assess the availability of a bank’s stable funding against a required level.
In general, a bank’s available stable funding includes portions of equity, deposits and long-term debt, while its required stable funding will be based on the liquidity characteristics of its assets, derivatives and commitments. Standardized weightings are required to be applied to the various asset and liability classes. The rule became effective beginning July 1, 2021, while public disclosureratio of the ratioavailable stable funding to required stable funding is required to occur on a semiannual basis beginning as of June 30, 2023. Citibe greater than 100%.
For the quarter ended March 31, 2024, Citigroup’s consolidated NSFR was in compliancecompliant with the rule as of Junerule. Refer to Citi’s U.S. NSFR Disclosure report covering December 31, 2023 and September 30, 2023.2023 on Citi’s Investor Relations website for additional information.

Select Balance Sheet Items
This section provides details of select liquidity-related assets and liabilities reported on Citigroup’s Consolidated Balance Sheet on an average and end-of-period basis.

Cash and Investments
The table below details average and end-of-period Cash and due from banks, Deposits with banks (collectively cash) and Investment securities. Citi’s investment portfolio consists largely of highly liquid U.S. Treasury, U.S. agency and other sovereign bonds, with an aggregate duration of less than three years. At June 30, 2023,March 31, 2024, Citi’s EOP cash and Investment securities comprised approximately 33%32% of Citigroup’s total assets:

In billions of dollarsIn billions of dollars2Q231Q232Q22In billions of dollars1Q244Q231Q23
Cash and due from banksCash and due from banks$28 $28 $44 
Deposits with banksDeposits with banks310 326 227 
Investment securitiesInvestment securities508 516 520 
Total Citigroup cash and Investment securities (AVG)Total Citigroup cash and Investment securities (AVG)$846 $870 $791 
Total Citigroup cash and Investment securities (EOP)Total Citigroup cash and Investment securities (EOP)$804 $842 $798 


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 dollars2Q231Q232Q22
Personal Banking and Wealth Management
U.S. Personal Banking$113 $111 $116 
Global Wealth318 323 319 
Total$431 $434 $435 
Institutional Clients Group
TTS$688 $704 $672 
Securities services125 125 137 
Markets and Banking24 24 21 
Total$837 $853 $830 
Legacy Franchises(1)
$51 $50 $51 
Corporate/Other$19 $26 $7 
Total Citigroup deposits (AVG)$1,338 $1,363 $1,323 
Total Citigroup deposits (EOP)$1,320 $1,330 $1,322 
In billions of dollars1Q244Q231Q23
Services$808 $803 $830 
TTS684 681 705 
Securities Services124 122 125 
Markets24 23 23 
Banking1 1 1 
USPB100 105 111 
Wealth319 312 323 
All Other—Legacy Franchises
48 48 49 
All Other—Corporate/Other
26 28 26 
Total Citigroup deposits (AVG)$1,326 $1,320 $1,363 
Total Citigroup deposits (EOP)$1,307 $1,309 $1,330 
(1)
See footnote 2 to the table in “Credit Risk—Consumer Credit—Consumer Credit Portfolio” above.
Citi’s deposit base is spread across a diversified set of countries, industries, clients and currencies.
End-of-period deposits decreased 2% year-over-year, largely due to a reduction in Services reflecting quantitative tightening. End-of-period deposits were largely unchanged sequentially.
On an average basis, deposits declined 3% year-over-year and increased 1% sequentially. In the first quarter of 2024, average deposits for:

•Services decreased 3% year-over-year, as TTS and were down 2% sequentially. The year-over-year increaseSecurities Services decreased 3% and 1%, respectively. These declines primarily reflected an increase in Corporate/Other and ICG,the impact of quantitative tightening, partially offset by a decline in higher deposits from new client acquisitions and deepening of relationships with existing clients.
•PBWMUSPB. Corporate/Other average deposits increased $12 billion decreased 10% year-over-year, primarily driven by the issuancetransfer of institutional certificates of deposit.relationships and the associated deposits to ICG Wealthaverage deposits increased 1% year-over-year, driven by TTS. .
•PBWM Wealthaverage deposits decreased 1% year-over-year, largelyprimarily reflecting lower deposits in the reallocationPrivate Bank and Wealth at Work and the continued shift of deposits to higher-yielding investments.investments on Citi’s platform, largely offset by the transfer of relationships and the associated deposits from Legacy Franchises average deposits were largely unchanged year-over-year. The quarter-over-quarter decrease was largely driven by TTS, reflecting some non-operational outflows as expected in light of quantitative tightening, and Corporate/OtherUSPB. Despite this decline, TTS had strong growth in operating accounts as the business continued to attract new clients and deepen existing relationships.
End-of-period deposits were largely unchanged year-over-year, as an increase in institutional certificates of deposit in
Corporate/Other was offset by a decrease in ICG, driven by Securities services. End-of-period deposits decreased 1% sequentially, reflecting seasonal activity in TTS and Global Wealth.
The majority of Citi’s $1.3 trillion of end-of-period deposits are institutional (approximately $818 billion), and span approximately 90 countries. A large majority of these institutional deposits are within TTS, and of these, approximately 80% are from clients that use all three TTS integrated services: payments and collections, liquidity management and working capital solutions. In addition, nearly 80% of TTS deposits are from clients that have a greater than 15-year relationship with Citi. Over the past year, TTS deposits grew at a faster rate than total Citi deposits on both an average and end-of-period basis. Citi also has a strong consumer and wealth deposit base, with $427 billion of U.S. Retail banking and Global Wealth deposits as of end-of-period, which are diversified across the Private bank, Citigold, Retail banking and Wealth at Work. As of year-end 2022, approximately 75% of U.S. Citigold clients have been with Citi for more than 10 years and approximately 50% of Private bank ultra-high-net-worth clients have been with Citi for more than 10 years. U.S. Personal Banking deposits are spread across six core urban centers.


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Long-Term Debt

Weighted AverageWeighted-Average Maturity (WAM)
The following table presents Citigroup and its affiliates’
(including Citibank) WAM of unsecured long-term debt issued with a remaining life greater than one year:

WAM in yearsWAM in yearsJun. 30, 2023Mar. 31, 2023Jun. 30, 2022WAM in yearsMar. 31, 2024Dec. 31, 2023Mar. 31, 2023
Unsecured debtUnsecured debt7.7 7.5 8.0 
Non-bank benchmark debtNon-bank benchmark debt7.3 7.2 7.5 
Customer-related debt
TLAC-eligible debtTLAC-eligible debt8.9 8.8 9.1 

The WAM is calculated based on the contractual maturity of each security. For securities that are redeemable prior to maturity atwhere the option ofis not held by the holder,issuer, the WAM is calculated based on the earliest date an option becomes exercisable.

Long-Term Debt Outstanding
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.
The following table presents Citi’s end-of-period total long-term debt outstanding for each of the dates indicated:

In billions of dollarsIn billions of dollarsJun. 30, 2023Mar. 31, 2023Jun. 30, 2022In billions of dollarsMar. 31, 2024Dec. 31, 2023Mar. 31, 2023
Non-bank(1)
Non-bank(1)
Benchmark debt:Benchmark debt:
Benchmark debt:
Benchmark debt:
Senior debt
Senior debt
Senior debtSenior debt$111.1 $117.1 $120.3 
Subordinated debtSubordinated debt24.5 22.7 24.0 
Trust preferredTrust preferred1.6 1.6 1.6 
Customer-related debtCustomer-related debt110.3 109.7 84.9 
Local country and other(2)
Local country and other(2)
7.9 8.7 7.8 
Total non-bankTotal non-bank$255.4 $259.8 $238.6 
BankBank
FHLB borrowingsFHLB borrowings$7.5 $7.3 $2.3 
FHLB borrowings
FHLB borrowings
Securitizations(3)
Securitizations(3)
5.5 6.6 9.5 
Citibank benchmark senior debtCitibank benchmark senior debt2.6 2.6 2.6 
Local country and other(2)
Local country and other(2)
3.5 3.4 4.4 
Total bankTotal bank$19.1 $19.9 $18.8 
Total long-term debtTotal long-term debt$274.5 $279.7 $257.4 

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 June 30, 2023,March 31, 2024, non-bank included $92.4$89.4 billion of long-term debt issued by Citi’s broker-dealer and other subsidiaries that are consolidated into
Citigroup. Certain Citigroup consolidated hedging 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 Branded cardsCards receivables.

Citi’s total long-term debt outstanding increased 7%2% year-over-year, largely driven by the issuance of customer-relatedsubordinated debt atin the non-bank entities, as well as increased senior benchmark debt and increased FHLB borrowings at the bank. The increase was partially offset by the decline in senior benchmark debt at the non-bank entities, as well as lower securitizations at the bank. Sequentially, long-term debt outstanding decreased 2%, largely driven by a decline in senior benchmark debt at the non-bank entities. Sequentially, long-term debt outstanding was largely unchanged.
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 secondfirst quarter of 2023,2024, Citi redeemed or repurchased an aggregate of approximately $8.9$9.4 billion of its outstanding long-term debt.






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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:

2Q231Q232Q22 1Q244Q231Q23
In billions of dollarsIn billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesIn billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Non-bankNon-bank
Benchmark debt:Benchmark debt:
Benchmark debt:
Benchmark debt:
Senior debt
Senior debt
Senior debtSenior debt$5.3 $— $1.7 $— $3.5 $6.0 
Subordinated debtSubordinated debt1.3 3.2 — — — — 
Trust preferredTrust preferred— — — — — — 
Customer-related debtCustomer-related debt12.5 10.6 9.0 14.1 5.0 21.8 
Local country and otherLocal country and other0.9 0.6 0.4 1.5 0.3 0.4 
Total non-bankTotal non-bank$20.0 $14.4 $11.1 $15.6 $8.8 $28.2 
BankBank
FHLB borrowingsFHLB borrowings$2.3 $2.5 $— $— $1.0 $2.3 
FHLB borrowings
FHLB borrowings
SecuritizationsSecuritizations1.1 — 1.0 — — — 
Citibank benchmark senior debtCitibank benchmark senior debt— — — — 0.9 — 
Local country and otherLocal country and other0.1 — 0.3 0.1 0.6 0.1 
Total bankTotal bank$3.5 $2.5 $1.3 $0.1 $2.5 $2.4 
TotalTotal$23.5 $16.9 $12.4 $15.7 $11.3 $30.6 

The table below details Citi’s aggregate long-term debt maturities (including repurchases and redemptions) during the first quarter of 2023,2024, as well as its aggregate expected remaining long-term debt maturities by year as of June 30, 2023:March 31, 2024:

2Q23 YTDMaturities Maturities
In billions of dollarsIn billions of dollars202320242025202620272028ThereafterTotalIn billions of dollars1Q24Remaining
2024		20252026202720282029ThereafterTotal
Non-bankNon-bank
Benchmark debt:Benchmark debt:
Benchmark debt:
Benchmark debt:
Senior debt
Senior debt
Senior debtSenior debt$7.0 $3.2 $5.4 $11.9 $23.6 $6.9 $14.8 $45.3 $111.1 
Subordinated debtSubordinated debt1.3 — 0.9 4.8 2.3 3.6 2.0 10.9 24.5 
Trust preferredTrust preferred— — — — — — — 1.6 1.6 
Customer-related debtCustomer-related debt21.5 8.9 24.1 15.7 8.9 10.0 6.8 35.9 110.3 
Local country and otherLocal country and other1.3 0.9 1.1 1.8 0.7 — 0.9 2.5 7.9 
Total non-bankTotal non-bank$31.1 $13.0 $31.5 $34.2 $35.5 $20.5 $24.5 $96.2 $255.4 
BankBank
FHLB borrowingsFHLB borrowings$2.3 $2.0 $3.0 $2.5 $— $— $— $— $7.5 
FHLB borrowings
FHLB borrowings
SecuritizationsSecuritizations2.1 0.1 1.3 1.6 — 0.8 1.0 0.7 5.5 
Citibank benchmark senior debtCitibank benchmark senior debt— — 2.6 — — — — — 2.6 
Local country and otherLocal country and other0.4 0.5 1.0 0.2 0.3 — 0.3 1.2 3.5 
Total bankTotal bank$4.8 $2.6 $7.9 $4.3 $0.3 $0.8 $1.3 $1.9 $19.1 
Total long-term debtTotal long-term debt$35.9 $15.6 $39.4 $38.5 $35.8 $21.3 $25.8 $98.1 $274.5 

















5761

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, with a smaller portion executed through Citi’s bank entities to efficiently fund both (i) secured lending activity and (ii) a portion of the securities inventory held in the context of market making and customer activities. Secured funding transactions are predominantly collateralized by government debt securities. Generally, 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 changes in securities inventory. In order to maintain reliable funding under a wide range of market conditions, Citi manages risks related to its secured funding by establishing secured funding limits and conducting daily stress tests that account for risks related to capacity, tenor, haircut, collateral type, counterparty and client actions.
Secured funding of $260$299 billion as of June 30, 2023March 31, 2024 increased 31%16% year-over-year and 1%8% sequentially, largely driven by additional financing to support increases in trading-related assets within Citi’s broker-dealer subsidiaries. As of the quarter ended June 30, 2023,March 31, 2024, on an average basis, secured funding was $262$311 billion. The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity and is primarily secured by high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other “matched book” activity 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 assets. As indicated above, the remaining portion of secured funding is used to fund securities inventory held in the context of market making and customer activities.

Short-Term Borrowings
Citi’s short-term borrowings of $40$32 billion as of the second quarter of 2023 was largely unchanged bothMarch 31, 2024 decreased 21% year-over-year and 15% sequentially, both reflecting lower commercial paper issuances at the broker-dealer subsidiaries (see Note 1718 for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).

5862

Credit Ratings
The table below presents the ratings for Citigroup and Citibank as of June 30, 2023.March 31, 2024. While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were A+/F1 at Fitch Ratings, A2/P-1 at Moody’s Investors Service and A/A-1 at S&P Global Ratings as of June 30, 2023.March 31, 2024.





Ratings as of June 30, 2023March 31, 2024

Citigroup Inc.Citibank, N.A.
 Long-termShort-termOutlookLong-
term		Short-
term		Outlook
Fitch Ratings (Fitch)AF1StableA+F1Stable
Moody’s Investors Service (Moody’s)A3P-2StableAa3P-1Stable
S&P Global Ratings (S&P)BBB+A-2StableA+A-1Stable


Potential Impacts of Ratings Downgrades
Ratings downgrades by Fitch, Moody’s 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.
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 20222023 Form 10-K.

Citigroup Inc. and Citibank—Potential Derivative Triggers
As of June 30, 2023,March 31, 2024, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $0.4$0.2 billion compared to $0.3 billion as of March(unchanged from December 31, 2023.2023). Other funding sources, such as secured fundingfinancing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As of June 30, 2023,March 31, 2024, 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 $0.4 billion, compared to $0.3 billion as of March(unchanged from December 31, 2023.2023). 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 June 30, 2023,March 31, 2024, 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 $0.8$0.6 billion, compared to $0.6$0.5 billion as of MarchDecember 31, 2023 (see also Note 21).2023. As detailed under “High-Quality Liquid 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.



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. Citibank has provided liquidity commitments to consolidated asset-backed commercial paper conduits, primarily in the form of asset purchase agreements. As of June 30, 2023,March 31, 2024, Citibank had liquidity commitments of approximately $10.9$11.1 billion to consolidated asset-backed commercial paper conduits which was largely unchanged from March(compared to $11.0 billion at December 31, 20232023) (see Note 20 for additional information)21).
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 reevaluatere-evaluate their deposit relationships with Citibank. This reevaluationre-evaluation could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.
5963

MARKET RISK

Market risk arises from both Citi’s trading and non-trading portfolios. For additional information on market risk and market risk management at Citi, see “Market Risk—Overview” and “Risk Factors” in Citi’s 20222023 Form 10-K.

Market Risk of Non-Trading PortfoliosMARKET 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 Accumulated other 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 the second line of defense team reporting to the 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 the level and/or shape of interest rate curves;
•Client behavior in response to changes in interest rates (e.g., mortgage prepayments, deposit betas); and
•Changes in the maturity of instruments resulting from changes in the 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 modeling and other factors.
Since the third quarter of 2022, Citi has employed enhanced IRE 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.
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 impliedmarket-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 value at risk (VAR). It excludes impacts from any positions that are included in total trading and credit portfolio VAR.
In addition to IRE, Citi analyzes economic value sensitivity (EVS) as a longer-term interest rate risk metric. EVS is a net present value (NPV)–based measure of the lifetime cash flows of Citi’s Banking Book. It estimates the interest rate sensitivity of the Banking Book’s economic value from longer-term assets being potentially funded with shorter-term liabilities, or vice versa. Citi manages EVS within risk limits approved by Citigroup’s Board of Directors that are aligned with Citi’s interest rate risk appetite.







6064

Interest Rate Risk of Investment Portfolios—Impact on AOCI
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 CET1 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 CET1 Capital ratio) relative to Citi’s capital generation capacity.
Citi uses 100 basis point (bps) shocks in each scenario to reflect its net interest income sensitivity to unanticipated changes in market interest rates, as potential monetary policy decisions and changes in economic conditions may be reflected in current market impliedmarket-implied forward rates. The following table presents the 12-month estimated impact to Citi’s net interest income, AOCI and the CET1 Capital ratio, each assuming an unanticipated parallel instantaneous 100 bps increase in interest rates:


In millions of dollars, except as otherwise notedIn millions of dollars, except as otherwise notedJun. 30, 2023Mar. 31, 2023Jun. 30, 2022In millions of dollars, except as otherwise notedMar. 31, 2024Dec. 31, 2023Mar. 31, 2023
Parallel interest rate shock +100 bpsParallel interest rate shock +100 bps
Interest rate exposure(1)(2)
Interest rate exposure(1)(2)
Interest rate exposure(1)(2)
Interest rate exposure(1)(2)
U.S. dollar
U.S. dollar
U.S. dollarU.S. dollar$(55)$304 $605 
All other currenciesAll other currencies1,468 1,361 2,185 
TotalTotal$1,413 $1,665 $2,790 
As a percentage of average interest-earning assetsAs a percentage of average interest-earning assets0.06 %0.07 %0.11 %As a percentage of average interest-earning assets0.06 %0.05 %0.07 %
Estimated initial negative impact to AOCI (after-tax)(3)
$(1,416)$(1,557)$(2,522)
Estimated initial impact on CET1 Capital ratio (bps) from AOCI scenario
(12)(11)(10)
Estimated initial negative impact to AOCI (after-tax)(2)
Estimated initial impact on CET1 Capital ratio (bps) from AOCI scenario(3)

(1)Excludes trading book and fair value option banking book portfolios and replaces them with the associated transfer pricing.
(2)IRE as of June 30, 2022 does not reflect certain IRE methodology enhancements that were subsequently implemented in September 2022, most notably the Banking Book revisions to the treatment of certain business activities.
(3)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
(3)Excludes the effect of changes in interest rates on AOCI related to cash flow hedges, as those changes are excluded from CET1 Capital.

The “AllAll other currencies”currencies of $1,468$1,398 million as of June 30, 2023March 31, 2024 in the table above includes the impact from the following top sixfive non-U.S. dollar currencies, which represents nearlyapproximately 50% of the total non-U.S. dollar currency impact: approximately $0.2 billion each from the British pound sterling and Japanese yen, and approximately $0.1 billion each from Japanese yen,the Indian rupee, Singapore dollar Taiwan dollar, Indian rupee and Swiss franc.South Korean won. These impacts per currency are generally in the same direction (estimated positive impact in the +100 bps shock scenario) and not offsetting.
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 second quarter of 2023 decreasedMarch 31, 2024 was largely unchanged 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 deposit composition and levels, partially offset by hedging actions.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 approximate $1.4$1.2 billion 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 six months.

6165

Scenario Analysis
The following table presents the estimated impact to Citi’s net interest income, AOCI and CET1 Capital ratio (on a fully implemented basis) under six different scenarios of changes in interest rates for the U.S. dollar and all other currencies in which Citi has invested capital as of June 30, 2023.March 31, 2024. 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 interest rate scenarios are also impacted by convexity related to mortgage products.products and deposit pricing.











In millions of dollars, except as otherwise notedIn millions of dollars, except as otherwise notedScenario 1Scenario 2Scenario 3Scenario 4Scenario 5Scenario 6In millions of dollars, except as otherwise notedScenario 1Scenario 2Scenario 3Scenario 4Scenario 5Scenario 6
Overnight rate change (bps)Overnight rate change (bps)100 100 — — (100)(100)
10-year rate change (bps)10-year rate change (bps)100 — 100 (100)— (100)
Interest rate exposureInterest rate exposure
U.S. dollarU.S. dollar$(55)$(95)$38 $(67)$(10)$(93)
U.S. dollar
U.S. dollar
All other currencies(1)
All other currencies(1)
1,468 1,262 210 (190)(1,152)(1,348)
TotalTotal$1,413 $1,167 $248 $(257)$(1,162)$(1,441)
Estimated initial impact to AOCI (after-tax)(2)
Estimated initial impact to AOCI (after-tax)(2)
$(1,416)$(1,242)$(191)$90 $1,237 $1,353 
Estimated initial impact to CET1 Capital ratio (bps) from AOCI scenario
Estimated initial impact to CET1 Capital ratio (bps) from AOCI scenario
(12)(8)(4)3 8 12 

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. The interest rate exposure in the table above assumes no change in deposit size or mix from the baseline forecast included in the different interest scenarios presented. As a result, in higher interest rate scenarios, customer activity resulting in a shift from non-interest-bearing and low interest rate deposit products to higher-yielding deposits would reduce the expected benefit to net interest income. Conversely, in lower interest rate scenarios, customer activity resulting in a shift from higher-yielding deposits to non-interest-bearing and low interest rate deposit products would reduce the expected decrease to net interest income.
(1)Scenario 1 includes the impact from the following top sixfive non-U.S. dollar currencies, which represents nearlyapproximately 50% of the total non-U.S. dollar currency impact: approximately $0.2 billion each from the British pound sterling and Japanese yen, and approximately $0.1 millionbillion each from Japanese yen,the Indian rupee, Singapore dollar Taiwan dollar, Indian rupee and Swiss franc.South Korean won. These impacts per currency are generally in the same direction (estimated positive impact in the +100 bps shock scenario) and not offsetting.
(2)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.


As shownpresented in the table above, the estimated impact to Citi’s net interest income is 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 non-U.S. dollar 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 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.

6266

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of June 30, 2023,March 31, 2024, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.7 billion, or 0.96%1.0%, as a result of changes to Citi’s CTA 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 CET1 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 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 CET1 Capital ratio, are shownpresented in the table below. See Note 1819 for additional information on the changes in AOCI.


For the quarter ended
For the quarter endedFor the quarter ended
In millions of dollars, except as otherwise notedIn millions of dollars, except as otherwise notedJun. 30, 2023Mar. 31, 2023Jun. 30, 2022In millions of dollars, except as otherwise notedMar. 31, 2024Dec. 31, 2023Mar. 31, 2023
Change in FX spot rate(1)
Change in FX spot rate(1)
(0.2)%1.5 %(4.9)%
Change in FX spot rate(1)
(1.7)%3.2 %1.5 %
Change in TCE due to FX translation, net of hedgesChange in TCE due to FX translation, net of hedges$(98)$636 $(1,335)
As a percentage of TCEAs a percentage of TCE(0.1)%0.4 %(0.9)%As a percentage of TCE(0.6)%0.1 %— %
Estimated impact to CET1 Capital ratio (on a fully implemented basis)
due to changes in FX translation, net of hedges (bps)		Estimated impact to CET1 Capital ratio (on a fully implemented basis)
due to changes in FX translation, net of hedges (bps)		— 1 5 

(1)     FX spot rate change is a weighted average based on Citi’s quarterly average GAAP capital exposure to foreign countries.
6367

Interest Revenue/Income/Expense and Net Interest Margin (NIM)

2Q23Chart.jpg1Q24 Chart 2.jpg
2nd Qtr.1st Qtr.2nd Qtr.Change
1st Qtr.1st Qtr.4th Qtr.1st Qtr.Change
In millions of dollars, except as otherwise notedIn millions of dollars, except as otherwise noted2023 2023 20222Q23 vs. 2Q22In millions of dollars, except as otherwise noted2024 2023 20231Q24 vs. 1Q23
Interest revenue(1)
$32,660  $29,439  $15,674 108 %
Interest income(1)
Interest expense(2)
Interest expense(2)
Interest expense(2)
Interest expense(2)
18,747  16,047  3,666 411 
Net interest income, taxable equivalent basis(1)
Net interest income, taxable equivalent basis(1)
$13,913  $13,392  $12,008 16 %
Interest revenue—average rate(3)
5.82 %5.30 %2.92 %290 bps
Net interest income, taxable equivalent basis(1)
Net interest income, taxable equivalent basis(1)
Interest income—average rate(3)
Interest income—average rate(3)
Interest income—average rate(3)
6.48 %6.48 %5.30 %118 bps
Interest expense—average rateInterest expense—average rate4.15 3.59 0.85 330 bpsInterest expense—average rate5.01 4.97 4.97 3.59 3.59 142 142 bpsbps
Net interest margin(3)(4)
Net interest margin(3)(4)
2.48 2.41 2.24 24 bps
Net interest margin(3)(4)
2.42 2.46 2.46 2.41 2.41 1 1 bpsbps
Interest rate benchmarksInterest rate benchmarks Interest rate benchmarks  
Two-year U.S. Treasury note—average rateTwo-year U.S. Treasury note—average rate4.26 %4.34 %2.72 %154 bpsTwo-year U.S. Treasury note—average rate4.48 %4.81 %4.34 %14 bpsbps
10-year U.S. Treasury note—average rate10-year U.S. Treasury note—average rate3.60  3.65  2.93 67 bps10-year U.S. Treasury note—average rate4.16   4.45   3.65 51 51 bpsbps
10-year vs. two-year spread10-year vs. two-year spread(66)bps(69)bps21 bps 10-year vs. two-year spread(32)bpsbps(36)bpsbps(69)bpsbps 

(1)Interest revenueincome and Net interest income 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 $13$23 million, $44$21 million and $44 million for the three months ended June 30,March 31, 2024, December 31, 2023 and March 31, 2023, and June 30, 2022, 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 revenueincome and net interest margin reflects the taxable equivalent gross-up adjustment. See footnote 1 above.
(4)Citi’s NIM is calculated by dividing net interest income by average interest-earning assets.

6468

Non-ICG MarketsMarkets Net Interest Income

2nd Qtr.1st Qtr.2nd Qtr.Change
1st Qtr.1st Qtr.4th Qtr.1st Qtr.Change
In millions of dollarsIn millions of dollars2023202320222Q23 vs. 2Q22In millions of dollars202420231Q24 vs. 1Q23
Net interest income—taxable equivalent basis(1) per above
Net interest income—taxable equivalent basis(1) per above
$13,913 $13,392 $12,008 16 %
Net interest income—taxable equivalent basis(1) per above
$13,530 $13,845 $13,392 1 1 %
ICG Markets net interest income—taxable equivalent basis(1)
1,983 1,471 1,358 46 
Non-ICG Markets net interest income—taxable equivalent basis(1)
$11,930 $11,921 $10,650 12 %
Markets net interest income—taxable equivalent basis(1)
Non-Markets net interest income—taxable equivalent basis(1)
Non-Markets net interest income—taxable equivalent basis(1)
$11,794 $11,830 $11,786 — %

(1)Interest revenueincome and Net interest income include the taxable equivalent adjustments discussed in the table above.

Citi’s net interest income in the secondfirst quarter of 2023 increased 16% to $13.92024 was $13.5 billion, on both a reported and taxable equivalent basis, an increase of $0.1 billion versus the prior-year period. As presented in the table above, Citi’s net interest income on a taxable equivalent basis also increased 16% year-over-year, or $1.9 billion. The increase wasperiod, primarily driven by higher net interest income in non-ICGMarkets. Markets, which increased 12%, and ICG Markets, which increased 46%. The increase in net interest income in non-ICG Markets primarily reflected higher interest rates, growth in U.S. cards interest-earning balances and higher income from Citi’s investment portfolio, partially offset by the reduction from the exited markets and continued wind-downs in Legacy Franchises. The increase in ICGMarkets Markets net interest income was primarily driven by Fixed Income markets. Non-Markets net interest income was largely unchanged, as the impact from higher interest rates as well as a changeand the growth in U.S. cards interest-earning balances in USPB were offset by higher funding costs in the mix of trading positionsmortgage-backed securities portfolio in support of client activity.Corporate Treasury within All Other.
Citi’s net interest margin was 2.48%2.42% on a taxable equivalent basis in the secondfirst quarter of 2023, an increase2024, a decrease of 7four basis points from the prior quarter, primarilylargely driven by the benefits of dividend seasonality in ICG Markets and higher interest rates, partially offset by a mix shift to higher cost deposits.

Fixed Income markets.

6569

Additional Interest Rate Details

Average Balances and Interest Rates—Assets(1)(2)(3)

Taxable Equivalent Basis

Quarterly—AssetsAverage balanceInterest revenue% Average rate
2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.
In millions of dollars, except rates202320232022202320232022202320232022
Deposits with banks(4)
$310,047 $328,141 $227,377 $3,049 $3,031 $658 3.94 %3.75 %1.16 %
Securities borrowed and purchased under agreements to resell(5)
In U.S. offices$182,676 $186,573 $190,065 $3,227 $2,840 $458 7.09 %6.17 %0.97 %
In offices outside the U.S.(4)
183,028 181,476 159,455 3,027 2,334 347 6.63 5.22 0.87 
Total$365,704 $368,049 $349,520 $6,254 $5,174 $805 6.86 %5.70 %0.92 %
Trading account assets(6)(7)
In U.S. offices$180,214 $164,217 $139,087 $2,071 $1,773 $632 4.61 %4.38 %1.82 %
In offices outside the U.S.(4)
149,015 134,607 136,850 1,681 975 1,030 4.52 2.94 3.02 
Total$329,229 $298,824 $275,937 $3,752 $2,748 $1,662 4.57 %3.73 %2.42 %
Investments
In U.S. offices
Taxable$337,957 $344,776 $357,249 $2,238 $2,149 $1,132 2.66 %2.53 %1.27 %
Exempt from U.S. income tax11,577 11,608 11,898 108 116 108 3.74 4.05 3.64 
In offices outside the U.S.(4)
158,415 160,140 150,435 2,110 1,894 1,147 5.34 4.80 3.06 
Total$507,949 $516,524 $519,582 $4,456 $4,159 $2,387 3.52 %3.27 %1.84 %
Consumer loans(8)
In U.S. offices$289,122 $283,493 $264,240 $7,294 $7,051 $5,348 10.12 %10.09 %8.12 %
In offices outside the U.S.(4)
78,730 80,176 88,291 1,668 1,573 1,253 8.50 7.96 5.69 
Total$367,852 $363,669 $352,531 $8,962 $8,624 $6,601 9.77 %9.62 %7.51 %
Corporate loans(8)
In U.S. offices$135,716 $137,733 $142,180 $1,791 $1,736 $1,285 5.29 %5.11 %3.63 %
In offices outside the U.S.(4)
150,023 152,335 162,776 3,311 2,951 1,632 8.85 7.86 4.02 
Total$285,739 $290,068 $304,956 $5,102 $4,687 $2,917 7.16 %6.55 %3.84 %
Total loans(8)
In U.S. offices$424,838 $421,226 $406,420 $9,085 $8,787 $6,633 8.58 %8.46 %6.55 %
In offices outside the U.S.(4)
228,753 232,511 251,067 4,979 4,524 2,885 8.73 7.89 4.61 
Total$653,591 $653,737 $657,487 $14,064 $13,311 $9,518 8.63 %8.26 %5.81 %
Other interest-earning assets(9)
$85,083 $87,758 $121,629 $1,085 $1,016 $644 5.11 %4.70 %2.12 %
Total interest-earning assets$2,251,603 $2,253,033 $2,151,532 $32,660 $29,439 $15,674 5.82 %5.30 %2.92 %
Non-interest-earning assets(6)
$214,011 $209,211 $228,521 
Total assets$2,465,614 $2,462,244 $2,380,053 
66

Six Months—AssetsAverage balanceInterest revenue% Average rate
Six MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix Months
Quarterly—AssetsQuarterly—AssetsAverage balanceInterest income% Average rate
1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.
In millions of dollars, except ratesIn millions of dollars, except rates202320222023202220232022In millions of dollars, except rates202420232024202320242023
Deposits with banks(4)
Deposits with banks(4)
$319,094 $243,957 $6,080 $954 3.84 %0.79 %
Deposits with banks(4)
$251,928 $251,723 $328,141 $2,647 $2,513 $3,031 4.23 4.23 %3.96 %3.75 %
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
In U.S. officesIn U.S. offices$184,624 $184,030 $6,067 $567 6.63 %0.62 %$146,905 $150,420 $186,573 $3,424 $3,550 $2,840 9.37 9.37 %9.36 %6.17 %
In offices outside the U.S.(4)
In offices outside the U.S.(4)
182,252 162,548 5,361 632 5.93 0.78 
TotalTotal$366,876 $346,578 $11,428 $1,199 6.28 %0.70 %Total$358,699 $357,058 $368,049 $7,822 $8,096 $5,174 8.77 8.77 %9.00 %5.70 %
Trading account assets(6)(7)
Trading account assets(6)(7)
In U.S. officesIn U.S. offices$172,215 $137,972 $3,844 $1,224 4.50 %1.79 %
In U.S. offices
In U.S. offices$221,725 $210,311 $164,217 $2,660 $2,630 $1,773 4.83 %4.96 %4.38 %
In offices outside the U.S.(4)
In offices outside the U.S.(4)
141,811 135,227 2,656 1,586 3.78 2.37 
TotalTotal$314,026 $273,199 $6,500 $2,810 4.17 %2.07 %Total$369,681 $354,090 $298,824 $4,128 $4,067 $2,748 4.49 4.49 %4.56 %3.73 %
InvestmentsInvestments
In U.S. officesIn U.S. offices
In U.S. offices
In U.S. offices
Taxable
Taxable
TaxableTaxable$341,366 $355,577 $4,387 $2,153 2.59 %1.22 %$321,048 $327,647 $344,776 $2,144 $2,229 $2,149 2.69 2.69 %2.70 %2.53 %
Exempt from U.S. income taxExempt from U.S. income tax11,593 11,755 224 203 3.90 3.48 
In offices outside the U.S.(4)
In offices outside the U.S.(4)
159,278 151,869 4,004 2,098 5.07 2.79 
TotalTotal$512,237 $519,201 $8,615 $4,454 3.39 %1.73 %Total$516,121 $516,272 $516,524 $4,857 $4,993 $4,159 3.78 3.78 %3.84 %3.27 %
Consumer loans(8)
Consumer loans(8)
In U.S. officesIn U.S. offices$286,307 $260,748 $14,345 $10,393 10.10 %8.04 %
In U.S. offices
In U.S. offices$305,469 $304,109 $283,493 $8,038 $7,975 $7,051 10.58 %10.40 %10.09 %
In offices outside the U.S.(4)
In offices outside the U.S.(4)
79,453 91,632 3,241 2,470 8.23 5.44 
TotalTotal$365,760 $352,380 $17,586 $12,863 9.70 %7.36 %Total$381,800 $380,430 $363,669 $9,798 $9,669 $8,624 10.32 10.32 %10.08 %9.62 %
Corporate loans(8)
Corporate loans(8)
In U.S. officesIn U.S. offices$136,725 $139,528 $3,527 $2,397 5.20 %3.46 %
In U.S. offices
In U.S. offices$136,929 $136,867 $137,733 $2,200 $2,172 $1,736 6.46 %6.30 %5.11 %
In offices outside the U.S.(4)
In offices outside the U.S.(4)
151,179 161,123 6,262 2,997 8.35 3.75 
TotalTotal$287,904 $300,651 $9,789 $5,394 6.86 %3.62 %Total$296,955 $294,242 $290,068 $5,759 $5,832 $4,687 7.80 7.80 %7.86 %6.55 %
Total loans(8)
Total loans(8)
In U.S. offices
In U.S. offices
In U.S. officesIn U.S. offices$423,032 $400,276 $17,872 $12,790 8.52 %6.44 %$442,398 $440,976 $421,226 $10,238 $10,147 $8,787 9.31 9.31 %9.13 %8.46 %
In offices outside the U.S.(4)
In offices outside the U.S.(4)
230,632 252,755 9,503 5,467 8.31 4.36 
TotalTotal$653,664 $653,031 $27,375 $18,257 8.45 %5.64 %Total$678,755 $674,672 $653,737 $15,557 $15,501 $13,311 9.22 9.22 %9.12 %8.26 %
Other interest-earning assets(9)
Other interest-earning assets(9)
$86,421 $120,722 $2,101 $1,193 4.90 %1.99 %
Other interest-earning assets(9)
$75,001 $76,483 $87,758 $1,235 $1,230 $1,016 6.62 6.62 %6.38 %4.70 %
Total interest-earning assetsTotal interest-earning assets$2,252,318 $2,156,688 $62,099 $28,867 5.56 %2.70 %Total interest-earning assets$2,250,185 $2,230,298 $2,253,033 $36,246 $36,400 $29,439 6.48 6.48 %6.48 %5.30 %
Non-interest-earning assets(6)
Non-interest-earning assets(6)
$211,611 $220,359 
Total assets
Total assets
Total assetsTotal assets$2,463,929 $2,377,047 

(1)Interest revenueincome and Net interest income 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 $13$23 million, $44$21 million and $44 million for the three months ended June 30,March 31, 2024, December 31, 2023 and March 31, 2023, and June 30, 2022, respectively, and $57 million and $86 million for the six months ended June 30, 2023 and 2022, 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 revenueincome 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 ICGServices, Markets and Banking is reported as a reduction of Interest revenueincome. Interest revenueincome 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.

6770

Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Income(1)(2)(3)

Taxable Equivalent Basis

Quarterly—LiabilitiesAverage balanceInterest expense% Average rate
2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.
In millions of dollars, except rates202320232022202320232022202320232022
Deposits   
In U.S. offices(4)
$595,476 $603,997 $554,182 $4,983 $4,432 $545 3.36 %2.98 %0.39 %
In offices outside the U.S.(5)
536,735 543,179 513,820 3,744 3,276 875 2.80 2.45 0.68 
Total$1,132,211 $1,147,176 $1,068,002 $8,727 $7,708 $1,420 3.09 %2.72 %0.53 %
Securities loaned and sold under agreements to repurchase(6)
In U.S. offices$170,226 $131,235 $112,011 $3,084 $2,232 $391 7.27 %6.90 %1.40 %
In offices outside the U.S.(5)
91,921 92,473 96,388 1,869 1,334 264 8.16 5.85 1.10 
Total$262,147 $223,708 $208,399 $4,953 $3,566 $655 7.58 %6.46 %1.26 %
Trading account liabilities(7)(8)
In U.S. offices$50,429 $52,236 $52,714 $479 $412 $24 3.81 %3.20 %0.18 %
In offices outside the U.S.(5)
77,925 77,125 72,096 391 375 113 2.01 1.97 0.63 
Total$128,354 $129,361 $124,810 $870 $787 $137 2.72 %2.47 %0.44 %
Short-term borrowings and other interest-bearing liabilities(9)
In U.S. offices$86,990 $96,092 $94,028 $1,608 $1,482 $217 7.41 %6.25 %0.93 %
In offices outside the U.S.(5)
39,744 47,930 60,211 169 167 51 1.71 1.41 0.34 
Total$126,734 $144,022 $154,239 $1,777 $1,649 $268 5.62 %4.64 %0.70 %
Long-term debt(10)
In U.S. offices$159,803 $167,852 $164,832 $2,367 $2,285 $1,143 5.94 %5.52 %2.78 %
In offices outside the U.S.(5)
2,524 2,681 3,892 53 52 43 8.42 7.87 4.43 
Total$162,327 $170,533 $168,724 $2,420 $2,337 $1,186 5.98 %5.56 %2.82 %
Total interest-bearing liabilities$1,811,773 $1,814,800 $1,724,174 $18,747 $16,047 $3,666 4.15 %3.59 %0.85 %
Demand deposits in U.S. offices$113,639 $120,670 $143,426 
Other non-interest-bearing liabilities(7)
331,119 322,464 313,926 
Total liabilities$2,256,531 $2,257,934 $2,181,526 
Citigroup stockholders’ equity$208,459 $203,727 $197,976 
Noncontrolling interests624 583 551 
Total equity$209,083 $204,310 $198,527 
Total liabilities and stockholders’ equity$2,465,614 $2,462,244 $2,380,053 
Net interest income as a percentage of average interest-earning assets(11)
 
In U.S. offices$1,336,146 $1,340,929 $1,247,713 $6,961 $7,455 $7,070 2.09 %2.25 %2.27 %
In offices outside the U.S.(6)
915,457 912,104 903,819 6,952 5,937 4,938 3.05 2.64 2.19 
Total$2,251,603 $2,253,033 $2,151,532 $13,913 $13,392 $12,008 2.48 %2.41 %2.24 %
68

Six Months—LiabilitiesAverage balanceInterest expense% Average rate
Six MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix Months
Quarterly—LiabilitiesQuarterly—LiabilitiesAverage balanceInterest expense% Average rate
1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.
In millions of dollars, except ratesIn millions of dollars, except rates202320222023202220232022In millions of dollars, except rates202420232024202320242023
DepositsDepositsDeposits   
In U.S. offices(4)
In U.S. offices(4)
$599,736 $557,100 $9,415 $782 3.17 %0.28 %
In U.S. offices(4)
$590,112 $591,972 $603,997 $5,901 $5,797 $4,432 4.02 4.02 %3.89 %2.98 %
In offices outside the U.S.(5)
In offices outside the U.S.(5)
539,957 516,954 7,020 1,509 2.62 0.59 
TotalTotal$1,139,693 $1,074,054 $16,435 $2,291 2.91 %0.43 %Total$1,132,197 $1,124,798 $1,147,176 $10,411 $10,235 $7,708 3.70 3.70 %3.61 %2.72 %
Securities loaned and sold under agreements to repurchase(6)
Securities loaned and sold under agreements to repurchase(6)
In U.S. officesIn U.S. offices$150,731 $114,902 $5,316 $552 7.11 %0.97 %
In U.S. offices
In U.S. offices$214,904 $191,644 $131,235 $4,310 $4,056 $2,232 8.07 %8.40 %6.90 %
In offices outside the U.S.(5)
In offices outside the U.S.(5)
92,197 94,348 3,203 385 7.01 0.82 
TotalTotal$242,928 $209,250 $8,519 $937 7.07 %0.90 %Total$310,540 $288,144 $223,708 $6,966 $6,830 $3,566 9.02 9.02 %9.40 %6.46 %
Trading account liabilities(7)(8)
Trading account liabilities(7)(8)
In U.S. officesIn U.S. offices$51,333 $50,653 $891 $60 3.50 %0.24 %
In U.S. offices
In U.S. offices$43,045 $41,745 $52,236 $440 $462 $412 4.11 %4.39 %3.20 %
In offices outside the U.S.(5)
In offices outside the U.S.(5)
77,525 68,908 766 224 1.99 0.66 
TotalTotal$128,858 $119,561 $1,657 $284 2.59 %0.48 %Total$103,674 $106,399 $129,361 $831 $878 $787 3.22 3.22 %3.27 %2.47 %
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
In U.S. officesIn U.S. offices$91,541 $86,345 $3,090 $230 6.81 %0.54 %$78,408 $89,880 $96,092 $1,702 $1,834 $1,482 8.73 8.73 %8.10 %6.25 %
In offices outside the U.S.(5)
In offices outside the U.S.(5)
43,837 60,205 336 93 1.55 0.31 
TotalTotal$135,378 $146,550 $3,426 $323 5.10 %0.44 %Total$108,600 $116,054 $144,022 $1,956 $2,056 $1,649 7.24 7.24 %7.03 %4.64 %
Long-term debt(10)
Long-term debt(10)
In U.S. officesIn U.S. offices$163,827 $165,903 $4,652 $2,032 5.73 %2.47 %
In U.S. offices
In U.S. offices$166,128 $162,878 $167,852 $2,500 $2,503 $2,285 6.05 %6.10 %5.52 %
In offices outside the U.S.(5)
In offices outside the U.S.(5)
2,603 3,923 105 79 8.13 4.06 
TotalTotal$166,430 $169,826 $4,757 $2,111 5.76 %2.51 %Total$168,628 $165,349 $170,533 $2,552 $2,556 $2,337 6.09 6.09 %6.13 %5.56 %
Total interest-bearing liabilitiesTotal interest-bearing liabilities$1,813,287 $1,719,241 $34,794 $5,946 3.87 %0.70 %Total interest-bearing liabilities$1,823,639 $1,800,744 $1,814,800 $22,716 $22,555 $16,047 5.01 5.01 %4.97 %3.59 %
Demand deposits in U.S. offices$117,155 $136,388 
Non-interest-bearing deposits(11)
Other non-interest-bearing liabilities(7)
Other non-interest-bearing liabilities(7)
Other non-interest-bearing liabilities(7)
Other non-interest-bearing liabilities(7)
326,946 321,748 
Total liabilitiesTotal liabilities$2,257,388 $2,177,377 
Total liabilities
Total liabilities
Citigroup stockholders’ equity
Citigroup stockholders’ equity
Citigroup stockholders’ equityCitigroup stockholders’ equity$205,937 $199,070 
Noncontrolling interestsNoncontrolling interests604 600 
Noncontrolling interests
Noncontrolling interests
Total equity
Total equity
Total equityTotal equity$206,541 $199,670 
Total liabilities and stockholders’ equityTotal liabilities and stockholders’ equity$2,463,929 $2,377,047 
Net interest income as a percentage of average interest-earning assets(11)
Total liabilities and stockholders’ equity
Total liabilities and stockholders’ equity
Net interest income as a percentage of average interest-earning assets(12)
Net interest income as a percentage of average interest-earning assets(12)
Net interest income as a percentage of average interest-earning assets(12)
In U.S. offices
In U.S. offices
In U.S. officesIn U.S. offices$1,338,537 $1,247,385 $14,416 $13,928 2.17 %2.25 %$1,294,095 $1,293,480 $1,340,929 $6,032 $6,245 $7,455 1.87 1.87 %1.92 %2.25 %
In offices outside the U.S.(6)
In offices outside the U.S.(6)
913,781 909,303 12,889 8,993 2.84 1.99 
TotalTotal$2,252,318 $2,156,688 $27,305 $22,921 2.44 %2.14 %Total$2,250,185 $2,230,298 $2,253,033 $13,530 $13,845 $13,392 2.42 2.42 %2.46 %2.41 %

(1)Interest revenueincome and Net interest income 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.
(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 ICGServices, Markets and Banking is reported as a reduction of Interest revenueincome. Interest revenueincome and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(9)Includes Brokerage payables.
71

(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 non-interest-bearing deposits in both the U.S. and outside of the U.S.
(12)Includes allocations for capital and funding costs based on the location of the asset.


6972

Market Risk of Trading PortfoliosMARKET 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 (18 months for commodities and three years for others) market volatility. As of June 30, 2023,March 31, 2024, Citi estimates that the conservative features of the VAR calibration contribute an approximate 48%30% add-on to what would be a VAR estimated under the assumption of stable and perfectly, normally distributed markets. As of MarchDecember 31, 2023, the add-on was 65%30%.
As presented in the table below, Citi’s average trading VAR for the secondfirst quarter of 2024 increased 10% from the fourth quarter of 2023, decreased 3% quarter-over-quarter, primarily fromdue to inventory changes in theICG MarketsMarkets businesses. businesses and updates to reflect changes in volatilities.

Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR

Second QuarterFirst QuarterSecond Quarter
First QuarterFirst QuarterFourth QuarterFirst Quarter
In millions of dollarsIn millions of dollarsJune 30, 20232023 AverageMarch 31, 20232023 AverageJune 30, 20222022 AverageIn millions of dollarsMarch 31, 20242024 AverageDecember 31, 20232023 AverageMarch 31, 20232023 Average
Interest rateInterest rate$109 $129 $172 $131 $122 $94 
Credit spreadCredit spread63 69 80 76 69 70 
Covariance adjustment(1)
Covariance adjustment(1)
(48)(49)(55)(52)(45)(45)
Fully diversified interest rate and credit spread(2)
Fully diversified interest rate and credit spread(2)
$124 $149 $197 $155 $146 $119 
Foreign exchangeForeign exchange20 18 15 19 35 36 
EquityEquity30 22 22 24 25 24 
CommodityCommodity29 37 43 36 38 45 
Covariance adjustment(1)
Covariance adjustment(1)
(91)(89)(94)(93)(96)(106)
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)
$112 $137 $183 $141 $148 $118 
Specific risk-only component(3)
Specific risk-only component(3)
$(15)$(9)$(4)$(6)$4 $(2)
Total trading VAR—general market risk factors only (excluding credit portfolios)Total trading VAR—general market risk factors only (excluding credit portfolios)$127 $146 $187 $147 $144 $120 
Incremental impact of the credit portfolio(4)
Incremental impact of the credit portfolio(4)
$33 $11 $8 $20 $7 $17 
Total trading and credit portfolio VARTotal trading and credit portfolio VAR$145 $148 $191 $161 $155 $135 

(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 toof 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, with the CVA relating to derivative counterparties, and all associated CVA hedges and market sensitivity FVA hedges. FVA and DVA are not included. The credit portfolio also includes hedges toof the loan portfolio, fair value option loans and hedges toof the leveraged finance pipeline within capital markets origination in ICG.origination.

The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:

Second QuarterFirst QuarterSecond Quarter First QuarterFourth QuarterFirst Quarter
202320232022
202420242023
In millions of dollarsIn millions of dollarsLowHighLowHighLowHighIn millions of dollarsLowHighLowHighLowHigh
Interest rateInterest rate$102 $186 $100 $172 $79 $123 
Credit spreadCredit spread57 83 67 88 65 78 
Fully diversified interest rate and credit spread
Fully diversified interest rate and credit spread
Fully diversified interest rate and credit spreadFully diversified interest rate and credit spread$116 $211 $123 $197 $105 $147 
Foreign exchangeForeign exchange12 24 12 23 32 40 
EquityEquity15 32 3 39 17 40 
CommodityCommodity25 47 30 45 33 65 
Total tradingTotal trading$107 $192 $112 $183 $102 $148 
Total trading
Total trading
Total trading and credit portfolioTotal trading and credit portfolio118 200 125 198 119 155 

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.
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The following table provides the VAR for ICGMarkets, excluding the CVA relating to derivative counterparties, hedges of CVA, fair value option loans and hedges toof the loan portfolio:

In millions of dollarsJune 30, 2023March 31, 2024
Total—all market risk factors, including
general and specific risk
Average—during quarter$134154 
High—during quarter184182 
Low—during quarter104123 

Regulatory VAR Back-testingBack-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 June 30, 2023,March 31, 2024, there was onewere two back-testing exceptionexceptions observed for Citi’s Regulatory VAR in the last 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 2022 Form 10-K.

LIBOR Transition Risk
The USD LIBOR bank panel ended on June 30, 2023. The overnight and 12-month USD LIBOR settings have now permanently ceased, and the Financial Conduct Authority is requiring ICE Benchmark Administration to continue publishing one-, three- and six-month USD LIBOR settings using a synthetic methodology, which is based on the relevant CME Term SOFR Reference Rate plus the respective ISDA fixed spread adjustment. These synthetic settings are permanently unrepresentative of the underlying markets they previously sought to measure and are expected to cease on September 30, 2024.
As of June 30, 2023 Citi has transitioned nearly all of its USD LIBOR-referencing contracts to SOFR plus a credit spread adjustment. Remediation was accomplished through a range of methods. With respect to derivatives, most bilateral contracts were remediated through adherence to the ISDA IBOR Fallbacks Protocols or bilateral amendments, and cleared contracts were remediated through conversions completed by central counterparty clearing houses. Most loan contracts were remediated through amendments that provided for either an immediate transition to SOFR or a transition on the first interest payment date immediately following June 30, 2023. With respect to securities, contracts governed by U.S. law transitioned to SOFR by operation of law pursuant to the Adjustable Interest Rate (LIBOR) Act or pursuant to Citi’s exercise of discretion as the determining person with the authority to select a replacement rate. Securities contracts not governed by U.S. law were primarily remediated through consent solicitations or Citi’s exercise of discretion as the determining person with the authority to select a replacement rate.
As of June 30, 2023, there were a de minimis number of unremediated USD LIBOR-referencing contracts. Most of these contracts relate to non-U.S.-law-governed securities and loans that will temporarily utilize synthetic LIBOR. Citi will continue to focus on remediating its remaining unremediated contracts.
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 First Quarter of 2023 Form 10-Q and 2022 Form 10-K. For information about Citi’s LIBOR transition risks, see “Risk Factors—Other Risks” in the 2022 Form 10-K.

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Country Risk

Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by country (excluding the U.S.) as of June 30, 2023.March 31, 2024. (Including the U.S., Citi’s top 25 exposures by country would represent approximately 98%99% of Citi’s exposure to all countries as of June 30, 2023.March 31, 2024.)
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 41%40% of corporate loans presented in the table below are to U.K. domiciled entities (42%(45% for unfunded commitments), with the balance of the loans predominately to European domiciled counterparties. Approximately 90% of the total U.K. funded loans and 90%87% of the total U.K. unfunded commitments were investment grade as of June 30, 2023.March 31, 2024.
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 dollarsIn billions of dollarsICG
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
2Q23
Total
as of
1Q23
Total
as of
2Q22
Total
as a %
of Citi
as of
2Q23
In billions of dollarsServices, Markets and Banking
loans
Wealth loans(1)
Legacy Franchises 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
1Q24
Total
as of
4Q23(7)
Total
as of
1Q23(7)
Total
as a %
of Citi
as of
1Q24
United KingdomUnited Kingdom$33.7 $5.1 $— $— $1.6 $41.5 $13.2 $(4.6)$2.9 $4.2 $97.6 $93.9 $95.3 5.6 %United Kingdom$37.9 $5.0 $— $1.1 $37.6 $13.4 $(5.0)$3.0 $4.4 $97.4 $104.8 $93.9 5.5 5.5 %
MexicoMexico9.3 0.1 25.9 — 0.3 8.6 3.3 (2.2)21.3 2.3 68.9 63.5 57.3 4.0 
IrelandIreland15.5 — — — 0.1 33.5 0.2 (0.2)— 0.8 49.9 48.5 50.4 2.9 
Hong KongHong Kong8.0 20.5 — — 0.3 5.7 2.1 (0.7)10.0 0.1 46.0 44.8 49.1 2.6 
SingaporeSingapore9.1 18.4 — — 0.5 5.8 1.2 (0.4)7.5 1.8 43.9 45.1 47.6 2.5 
BrazilBrazil12.8 — — — — 2.9 7.4 (1.1)8.0 1.0 31.0 32.6 28.5 1.8 
IndiaIndia7.4 — — — 0.8 3.7 1.8 (0.5)8.9 1.5 23.6 24.2 27.7 1.4 
South KoreaSouth Korea3.8 — 6.6 — 0.1 2.0 1.2 (0.6)8.7 0.6 22.4 22.3 25.5 1.3 
United Arab Emirates
GermanyGermany0.4 — — — 0.1 6.6 6.1 (4.6)6.3 3.9 18.8 10.3 21.9 1.1 
ChinaChina5.5 — 0.8 — 0.6 1.4 1.1 (1.2)8.9 1.1 18.2 18.7 18.8 1.0 
Poland
CanadaCanada1.7 1.5 — — 0.1 7.2 1.6 (1.5)3.2 2.6 16.4 15.1 16.1 0.9 
United Arab Emirates6.3 1.5 — — 0.3 5.0 0.2 (0.3)3.1 0.1 16.2 16.3 15.9 0.9 
AustraliaAustralia8.8 0.4 — — — 5.5 0.8 (1.4)0.3 1.3 15.7 16.5 15.2 0.9 
Poland3.0 — 1.5 — — 2.8 1.3 (0.2)5.5 0.2 14.1 15.3 13.3 0.8 
Taiwan3.8 — — 7.7 0.1 1.4 0.4 (0.1)0.3 0.4 14.0 14.1 14.9 0.8 
JapanJapan1.5 — — — — 3.7 5.3 (2.5)4.3 0.9 13.2 15.9 12.1 0.8 
JerseyJersey2.2 2.8 — — — 6.5 0.1 (0.1)— — 11.5 15.4 16.8 0.7 
Malaysia
Luxembourg
IndonesiaIndonesia2.2 — — 0.6 — 1.1 1.4 (0.1)1.0 0.2 6.4 6.3 5.5 0.4 
Italy0.5 — — — — 2.1 1.0 (1.8)— 3.4 5.2 4.3 2.7 0.3 
Taiwan
Czech Republic
Thailand
Thailand
Thailand
South Africa
PhilippinesPhilippines0.6 — — — 0.1 0.2 2.3 (0.1)2.0 0.1 5.2 4.9 5.3 0.3 
Luxembourg0.1 1.1 — — — — 0.5 (0.2)3.7 — 5.2 4.4 4.2 0.3 
Czech Republic0.8 — — — — 0.8 2.9 — 0.6 0.1 5.2 3.8 3.6 0.3 
Malaysia1.2 — — — 0.1 0.7 0.2 (0.1)2.7 0.1 4.9 4.9 8.1 0.3 
Spain0.4 — — — — 2.8 0.2 (1.3)— 2.5 4.6 3.3 3.0 0.3 
South Africa1.5 — — — — 0.7 — (0.2)2.3 0.2 4.5 4.6 3.4 0.3 
Philippines
Philippines
Chile
Total as a % of Citi’s total exposureTotal as a % of Citi’s total exposure32.5 %Total as a % of Citi’s total exposure31.5 %
Total as a % of Citi’s non-U.S. total exposureTotal as a % of Citi’s non-U.S. total exposure90.5 %Total as a % of Citi’s non-U.S. total exposure92.2 %

(1)PBWM    Wealth loans reflect funded loans, including those related to the Private bank,Bank, net of unearned income. As of June 30, 2023,March 31, 2024, Private bankBank loans in the table above totaled $20.2$19.3 billion, concentrated in Singapore ($5.35.0 billion), the U.K. ($5.15.0 billion) and Hong Kong ($4.54.4 billion).
(2)    Other funded includes other direct exposures such as accounts receivable and investments accounted for under the equity method.
(3)    Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.
(4)    Net mark-to-market (MTM) counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Also includes margin loans.
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(5)    Investment securities include debt securities AFS, recorded at fair market value, and debt securities HTM, recorded at amortized cost.
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(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)    June 30,December 31, 2023 and March 31, 2023 include $0.3 billion and June 30, 2022 include$10.3 billion, respectively, of All Other—Legacy Franchises loans reclassified to HFS as a result of Citi’s agreement to sell its consumer banking business in each applicable country. For additional information, seeSee “All Other—Legacy Franchises”Franchises” above and Note 2.


Russia

IntroductionOverview
In Russia, Citi’s remaining wind-down operations are conducted through both its ICG Services, Markets, Bankingand All Other—Legacy Franchises segments.Franchises. 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 part of previously disclosed as of March 31, 2023,plans, Citi ended nearly all of the institutional banking services it offered in Russia, with the remaining services only those necessary to fulfill its remaining legal and regulatory obligations. In addition, Legacy FranchisesCiti significantly reduced its All Other—Legacy Franchises consumer loan portfoliosportfolio in Russia by approximately 75%(reported as part of Asia Consumer), primarily driven bylargely due to loan portfolio sales and the signing ofits entry into a credit card referral agreement. agreement with a Russian bank.


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 continue to support its employees, during this period. For additional information, see “Citi’s Wind-Down of Its Russia Operations” below.
Citi continues to monitor the war in Ukraine, related sanctions and economic conditions and continues to mitigate its Russia exposures and risks as appropriate.
For additional information about Citi’s risks related to its Russia exposures, see “Forward-Looking Statements” below and “Risk Factors—Market-Related Risk,Risks,” “—Operational Risks” and “—Other Risks” in Citi’s 20222023 Form 10-K.

Impact of Russia’s Invasion of Ukraine on Citi’s Businesses

Russia-related Balance Sheet Exposures
Citi’s remaining 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. dollarsIn billions of U.S. dollarsJune 30, 2023March 31, 2023June 30, 2022Change 2Q23 vs. 1Q23In billions of U.S. dollarsMarch 31, 2024December 31, 2023March 31, 2023Change 1Q24 vs. 4Q23
LoansLoans$0.3 $0.4 $2.5 $(0.1)
Investment securities(1)
Investment securities(1)
0.6 1.0 1.5 (0.4)
Net MTM on derivatives/repos(2)
2.0 1.0 1.3 1.0 
Net MTM on derivatives/repos
Total hedges (on loans and CVA)Total hedges (on loans and CVA)(0.1)(0.1)(0.2)— 
Unfunded(3)
— 0.1 0.3 (0.1)
Unfunded(2)
Trading accounts assetsTrading accounts assets— — 0.1 — 
Country risk exposureCountry risk exposure$2.8 $2.4 $5.5 $0.4 
Cash on deposit and placements(4)
0.9 0.9 2.5 — 
Deposit Insurance Agency(5)
2.8 — — 2.8 
National Settlements Depository(5)
— 2.7 — (2.7)
Total third-party exposure(6)
$6.5 $6.0 $8.0 $0.5 
Cash on deposit and placements(3)
Deposit Insurance Agency(4)
National Settlements Depository(4)
Total third-party exposure(5)
Additional exposures to Russian counterparties that are not held by
the Russian subsidiary
Additional exposures to Russian counterparties that are not held by
the Russian subsidiary
0.1 0.1 0.4 — 
Total Russia exposure(7)
$6.6 $6.1 $8.4 $0.5 
Total Russia exposure(6)

(1)    Investment securities include debt securities AFS, recorded at fair market value, primarily local government debt securities.
(2)    Reverse repurchase agreements are shown gross of collateral and are included in net MTM on derivatives/repos in the table above, as netting of collateral for Russia-related reverse repurchase agreements was removed in the second quarter of 2022. 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.
(3)    Unfunded exposure consists of unfunded corporate lending commitments, letters of credit and other contingencies.
(4)(3)    Cash on deposit and placements are primarily with the Central Bank of Russia.Russia and foreign financial institutions.
(5)(4)    Represents dividends received by Citi in its role as custodian for investor clients in Russia, which Citi is required by local regulation to hold at the Deposit Insurance Agency (DIA). Citi is unable to remit these funds to clients due to restrictions imposed by the Russian government. In accordance with a Central Bank of Russia regulatory requirement, all balances in the National Settlements Depository were transferred to the DIA. Citi is unable to remit these funds to clients due to restrictions imposed byDIA in the Russian government.second quarter of 2023.
(6)(5)    The majority of AO Citibank’s third-party exposures was funded with the dividends under footnote 54 and domestic deposit liabilities from both corporate and personal banking clients.
(7)(6)    Citigroup’s CTA loss included in its 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 only upon either the substantial liquidation or a loss of control of AO Citibank. Citi has separately described these risks in “Deconsolidation Risk” below.
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During the secondfirst quarter of 2023,2024, Citi’s Russia-related exposures increased by $0.5$0.4 billion, as shownpresented in the table above. The increase in exposure was driven by $1.7inflows from dividends received from Russian corporations on behalf of Citi’s clients. Approximately 73% of Citi’s $7.0 billion of total Russia exposure are corporate dividends that Citi received as custodian for investorcannot remit to its clients in Russia and is unable to remit due to restrictions imposed by the Russian regulatory restrictions (trapped dividends), partially offset by deposit outflowsgovernment, of which $4.6 billion is held with the Deposit Insurance Agency as well as a $0.6 billion depreciation of the ruble against the U.S. dollar. A portion ($1 billion, net of ruble depreciation) of these dividends were placed in reverse repurchase agreements. Roughly 65% of Citi’s remaining Russia exposures are the trapped dividends discussed above.March 31, 2024.
Citi’s continued risk mitigation efforts have included ICG borrower paydowns and limiting extensions of new credit.
Citi’s net investment in Russia was approximately $1.1$0.2 billion as of June 30, 2023 (compared to $1.2 billion at March 31, 2024 (unchanged from December 31, 2023).
Citi hedges its ruble/USD spot FX exposure in AOCI through the purchase of FX derivatives. The ongoing mark-to-market of the hedging derivatives is also reported in AOCI. When the ruble depreciates against the USD, the USD equivalent value of Citigroup’s investment in AO Citibank also declines. This change in value is offset by the change in value of the hedging instrument (FX derivative). 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.

Earnings and Other Impacts on Citi’s Businesses
Citi’s ICGServices, PBWMMarkets, Banking, USPB and Legacy FranchisesAll Other segments and Corporate/Otherresults have been impacted by various macroeconomic factors and volatilities, including Russia’s invasion of Ukraine and its direct and indirect impact on the European and global economies. 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 June 30, 2023,March 31, 2024, Citigroup’s ACL included a $0.2$0.1 billion remaining credit reserve for Citi’s direct and indirect Russian counterparties (unchanged(largely unchanged from MarchDecember 31, 2023). This balance does not include the additional reserves for transfer risk for exposures in Russia.

Citi’s Wind-Down of Its Russia Operations
DuringIn August 2022, Citi disclosed its decision to wind down its Russia consumer, local commercial and institutional banking businesses, including actively pursuing portfolio sales. In connection with this wind-down, Citi currently expects to incurhas incurred approximately $180$65 million (compared to $210 million at March 31, 2023)to-date in total estimated charges, ($40 million in ICG and $140 million in Legacy Franchises, excluding the impactlargely from any portfolio sales), largely driven by restructuring, vendor termination fees and other related charges. Citi’s previously disclosed referral agreement with a Russian bankCiti expects to settle aincur an additional approximate $54 million in estimated charges (approximately $1 million in Banking and $53 million in All Other,excluding the impact from any portfolio sales). This estimate was revised down during the first quarter of ruble-denominated credit card loans, subject to customer consent, was signed in May 2023 and is in the execution phase. The outstanding amount with Citi is to be settled upon referral and refinancing. As a result, the credit card loans will remain held-for-investment and are not transferred to held-for-sale.2024 from $58 million at December 31, 2023. For additional information about Citi’s continued efforts to reduce its operations and exposure in Russia, see Note 2 and “Risk
Factors” and “Managing Global Risk—Other Risks—Country Risk—Russia” in Citi’s 20222023 Form 10-K.

Deconsolidation Risk
Citi’s remaining operations in Russia subject it to various risks, including, among others, foreign currency volatility, including appreciation or devaluation; restrictions arising from retaliatory Russian laws and regulations on the conduct of its business; sanctions or asset freezes; or other deconsolidation events (for additional information, see(see “Risk Factors—Other Risks” in Citi’s 20222023 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 June 30, 2023,March 31, 2024, Citi continued to consolidate AO Citibank because none of the deconsolidation factors were triggered.
In the event Citi deems there is a loss of control, for example, through expropriation of AO Citibank, Russia, Citi’s foreign entity in Russia, Citi would be required to (i) write off the net investment of approximately $1.1$0.2 billion (compared to $1.2 billion as of March(unchanged from December 31, 2023), (ii) recognize a CTA loss of approximately $1.6 billion (compared to $1.4 billion as of March(unchanged from December 31, 2023) through earnings and (iii) recognize a loss of $0.4$0.6 billion (unchanged from MarchDecember 31, 2023) 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 $1.6 billion through earnings and would evaluate its remaining net investment as circumstances evolve.

Citi as Paying Agent for Russian-relatedRussia-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 this role, 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. As a result of sanctions or other governmental requirements and prohibitions, Citi may be exposed to risks due to its responsibilities for receiving and processing payments on behalf of its clients.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
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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
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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 currentremaining 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”Risks” in Citi’s 20222023 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,international cluster, 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 ICGServices, Markets and Banking businesses, serving the local subsidiaries of multinationals, along with local financial institutions and the public sector. Citi employs approximately 230220 people in Ukraine and their safety continues to beis 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 June 30, 2023,March 31, 2024, Citi had $1.3$1.4 billion of direct exposures related to Ukraine compared(compared to $1.2$1.5 billion as of Marchat December 31, 2023. The increase in exposures reflected a $0.1 billion increase in deposits.2023).

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Argentina
Citi operates in Argentina through its ICGServices, Markets and Banking businesses. As of June 30, 2023,March 31, 2024, Citi’s net investment in its Argentine operations was approximately $1.9$1.6 billion (compared to $1.8$1.0 billion at MarchDecember 31, 2023). Under U.S. GAAP, Citi uses the U.S. dollar (USD) as the functional currency for its operations in countries such as Argentina that are deemed highly inflationary.inflationary in accordance with GAAP. Citi therefore records the impact of exchange rate fluctuations on its net Argentine peso (ARS)–denominated assets directly in earnings. Citi uses Argentina’s official market exchange rate to remeasure its net ARS-denominated assets into USD. As of March 31, 2024, the official ARS exchange rate was 858.00, which devalued by 6% against the USD during the first quarter of 2024.
The increase in Citi’s net investment in Argentina during the quarter was primarily due to earnings associated with increased client activity, Citi’s normal onshore operations and interest income earned on the net investment, of which a significant portion is invested at high local overnight rates in Argentina. All of these effects significantly exceeded translation losses (net of hedges) of $55 million recognized during the quarter.
The Central Bank of Argentina maintains certain capital and currency controls that generally restrict Citi’s ability to access USD in Argentina and remit earnings from its Argentine operations. To the extent that such controls remain in place, Citi’s net investment in Argentina will, as a result, continue to be exposed to additional foreign currency translation losses if it is denominated in ARS and is unable to be remitted or exchanged. Furthermore, the capital and currency controls have resulted in indirect foreign exchange mechanisms that some Argentine entities may use to obtain USD, generally at rates that are significantly higher than Argentina’s official exchange rate. Citibank Argentina is generally precluded from accessing these alternative mechanisms, and under U.S. GAAP, these exchange mechanisms cannot be used to re-measure Citi’s net monetary assets into USD. If Argentina’s official exchange rate further converges with the approximate rate implied by the indirect foreign exchange mechanisms, Citi could incur additional translation losses on its net investment in Argentina. Accordingly, Citi seeks to reduce its overall ARS exposure in Argentina while complying with local capital and currency exposure limitations. As

Of the $1.6 billion net investment in Argentina as of June 30, 2023,March 31, 2024, Citi’s net ARS exposure was approximately $1.6 billion, which decreased from$0.9 billion. The net ARS exposure was reduced as of the priorend of the quarter as a result of Citi purchasingholding approximately $300$100 million of USD-denominated loans as well as approximately $600 million of certain local government bonds during the second quarter that are indexed to the higher of the U.S. dollarUSD exchange rate or the local inflation index. Such bonds may reduce the impact toIf Citi of a potential currency devaluationhad not invested in the future, although it remains unclear how effective Citi’s strategiessuch instruments to reduce its ARS exposure, may be.
As previously disclosed,Citi would have recognized additional translation losses during the Central Bankfirst quarter of Argentina has continued to maintain certain2024. Given current economic conditions and the local capital, currency and currency controls that generally 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. Citibank Argentina therefore uses Argentina’s official market exchange rate to remeasure its net ARS assets into the U.S. dollar, which was 256.7 ARS to 1 U.S. dollar as of June 30, 2023. However, if Argentina’s official exchange rate converges with the approximate rate implied by the indirect foreign exchange mechanisms, Citi could incur a significant loss on its capital in Argentina. Current macroeconomic conditions in the country, along with sustained high inflation and low international reserves held by the Central Bank of Argentina, may result in an accelerated or steep depreciation of the official exchange rate in the near term.regulatory limitations, Citi cannot predict future fluctuations in Argentina’s official market exchange rateguarantee the availability or effectiveness of such mechanisms to what extent Citi may be able to access U.S. dollars at the official exchange ratereduce its ARS exposure in the future.
In addition to reducing the ARS exposure, Citi mayalso seeks to economically hedge the foreign currency risk in its net ARS-denominated assetsexposure to the extent possible and prudent using non-deliverable forward (NDF) derivative instruments that are primarily executed outside of Argentina. As of June 30, 2023,March 31, 2024, Citi was unable to hedge a substantial portion of the internationalremaining ARS exposure, given that the
offshore NDF market had very limited liquidity, resulting in Citi’s inability to economically hedge substantially all of its ARS exposure.remained illiquid. Accordingly, and to the extent that Citi does not execute additional NDF contracts for this unhedged exposure in the future, Citi would record devaluations on its net ARS-denominated assets in earnings, without any benefit from a change in the fair value of derivative positions used to economically hedge the exposure. Citi cannot predict the availability of hedging instruments in the future nor can it predict changes in foreign exchange rates and the resulting impact on earnings.
Citi continually evaluates its economic exposure to its Argentine counterparties and reserves for changes in credit risk and records mark-to-market adjustments for relevant market risks associated with its Argentine assets. Citi believes it has established an appropriate ACL on its Argentine loans, and appropriate fair value adjustments on Argentine assets and liabilities measured at fair value, for credit and sovereign risks under U.S. GAAP as of June 30, 2023. However, Citi may need to record additional reserves in the future, resulting in higher ICG cost of credit, should there be an increase in transfer risk associated with its Argentine exposures.March 31, 2024. For additional information on Citi’s emerging markets risks, including those related to its Argentine exposures, see “Risk Factors—Strategic Risks” in Citi’s 20222023 Form 10-K.
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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 Citi’s 20222023 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 Citi’s 20222023 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 on 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, any portion of the loss that 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 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). Assessing if the fair value impairment is temporary 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, 2223 and 2324 in this Form 10-Q and Note 1 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.

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Citi’s Allowance for Credit Losses (ACL)
The table below presents Citi’s allowance for credit losses on loans (ACLL) and total ACL as of the secondfirst quarter of 2023.2024. For information on the drivers of Citi’s ACL build in the secondfirst quarter of 2023,2024, see “2Q23 Changes in the ACL” below. For additional information on Citi’s accounting policy on accounting for credit losses under ASC Topic 326, Financial Instruments—Credit losses;Losses; Current Expected Credit Losses (CECL), see Note 1 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.











ACL
ACL
ACL
ACL
In millions of dollarsIn millions of dollarsBalance Dec. 31, 20221Q23
build
(release)
1Q23
FX/
Other(1)(4)
Balance Mar. 31, 20232Q23
build
(release)		2Q23
FX/
Other		Balance Jun. 30, 2023
ACLL/EOP loans Jun. 30, 2023(2)
In millions of dollarsBalance Dec. 31, 20231Q24
build
(release)		1Q24
FX/
Other		Balance Mar. 31, 2024
ACLL/EOP loans Mar. 31, 2024(1)
ICG$2,715 $(75)$3 $2,643 $(150)$(3)$2,490 
Legacy Franchises corporate (Mexico SBMM)
140 (10)7 137 (2)5 140 
Services
Markets
Markets
Markets
Banking
Banking
Banking
Legacy Franchises corporate (Mexico SBMM)(1)
Legacy Franchises corporate (Mexico SBMM)(1)
Legacy Franchises corporate (Mexico SBMM)(1)
Total corporate ACLLTotal corporate ACLL$2,855 $(85)$10 $2,780 $(152)$2 $2,630 0.94 %
U.S. Cards(2)
$11,393 $536 $(173)$11,756 $276 $(1)$12,031 7.86 %
Retail banking and Global Wealth1,330 (29)(60)1,241 57 1 1,299 
Total PBWM
$12,723 $507 $(233)$12,997 $333 $— $13,330 
Legacy Franchises consumer
1,396 13 (17)1,392 76 68 1,536 
Total corporate ACLL
Total corporate ACLL$2,714 $57 $1 $2,772 0.97 %
U.S. cards(2)
U.S. cards(2)
$12,626 $326 $(1)$12,951 8.16 %
Retail Banking
Total USPB
Total USPB
Total USPB
Wealth
Wealth
Wealth
All Other consumer—managed basis(1)
All Other consumer—managed basis(1)
All Other consumer—managed basis(1)
Reconciling Items(1)
Reconciling Items(1)
Reconciling Items(1)
Total consumer ACLL
Total consumer ACLL
Total consumer ACLLTotal consumer ACLL$14,119 $520 $(250)$14,389 $409 $68 $14,866 3.97 %$15,431 $62 $31 $15,524 4.07 4.07 %
Total ACLLTotal ACLL$16,974 $435 $(240)$17,169 $257 $70 $17,496 2.67 %Total ACLL$18,145 $119 $32 $18,296 2.75 2.75 %
Allowance for credit losses on unfunded lending commitments (ACLUC)Allowance for credit losses on unfunded lending commitments (ACLUC)$2,151 $(194)$2 $1,959 $(96)$(1)$1,862 
Total ACLL and ACLUC (EOP)
Total ACLL and ACLUC (EOP)
Total ACLL and ACLUC (EOP)
Other(3)
Other(3)
Other(3)
Other(3)
243 408 (19)632 145 (19)758 
Total ACLTotal ACL$19,368 $649 $(257)$19,760 $306 $50 $20,116 
Total ACL
Total ACL

(1)    Includes reclassifications to All Other assets (managed basis) excludes divestiture-related impacts (Reconciling Items) related to (i) Citi’s agreements to sell certaindivestitures of its Asia Consumer businesses and (ii) the planned IPO of Mexico consumer banking businesses.and small business and middle-market banking within Legacy Franchises. The Reconciling Items are fully reflected in the various line items in Citi’s Consolidated Statement of Income. These items in the table above represent the 2024 quarterly ACL builds (releases) only. See Notes 2 and 14.“All Other—Divestiture-Related Impacts (Reconciling Items)” above.
(2)    As of June 30, 2023,March 31, 2024, in U.S. Personal Banking,USPB, Branded cardsCards ACLL/EOP loans was 6.3%6.4% and Retail servicesServices ACLL/EOP loans was 11.2%11.9%.
(3)    Includes ACL on Other assetsand Held-to-maturity debt securities. The ACL on
(4)    Includes a decrease of $352 million from the adoption of ASU 2022-02Other assets includes ACL related to transfer risk associated with exposures outside the recognitionU.S. for safety and measurement of TDRssoundness considerations under the modified retrospective approach related to PBWM and Legacy Franchises consumer loans as of January 1, 2023. See Notes 1 and 14.U.S. banking law.

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’s 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 are reflected in Other assets. 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 ana R&S
timeframe. The R&S forecast period for consumer and corporate credit exposuresloans is eight quarters.
The ACL is composed of quantitative and qualitative management adjustment components. The quantitative component uses three forward-looking macroeconomic forecast scenarios—base, upside and downside. The
qualitative management adjustment component reflects risks and currentcertain economic conditions not fully captured in the quantitative component. Both the quantitative and qualitative 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) R&S forecasts of macroeconomic conditions.
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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, including housing prices, unemployment rate and real GDP, 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,
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risk ratings and loss recovery rates, as well as other credit trends.

Qualitative Component
The qualitative management adjustment component includes among other things, risks that are not fully captured in the quantitative component. These may include but are not limited to portfolio characteristics, idiosyncratic events, factors not within historical loss data or the economic forecast, uncertainty in the credit environment and other factors as required by banking supervisory guidance for the ACL. The primary examples of these are:are the following:

•Expected normalization of portfolio performanceTransfer risk associated with exposures outside the U.S. for certain safety and consumer behavior from recent low losses as a result of government stimulus and market liquidity during the COVID-19 pandemicsoundness considerations under U.S. banking law
•Potential impacts on vulnerable industries and regions due to emerging macroeconomic risks and uncertainties, including those related to potential global recession, inflation, interest rates, commodity prices and geopolitical tensions
•Transfer risk associated with exposures outsideNormalization of portfolio performance and consumer behavior from low losses as a result of government stimulus and market liquidity during the U.S. for certain safety and soundness considerations under U.S. banking lawCOVID-19 pandemic

As of the first quarter of 2024, Citi’s qualitative component of the ACL continued to declinedecreased quarter-over-quarter. The declinedecrease was primarily driven by releases(i) a release of COVID-19–related uncertainty reserves, as the portfolio continuesdelinquencies and losses continue to normalize toward pre-pandemic levelsincrease and as these risks are captured in the quantitative component of the ACL. These releases were partially offset byACL, and (ii) a buildrelease related to reserves for transfer risk associated with exposures outside the U.S. driven by safetyspecific risks and soundness considerations under U.S. banking law.uncertainties impacting vulnerable industries and regions.

Macroeconomic Variables
As further discussed below, Citi considers a multitude of global macroeconomic variables for the base, upside and downside probability-weighted macroeconomic scenario forecasts it uses to estimate the quantitative component of the ACL. 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 present 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 2Q221Q23 to 2Q23:1Q24:

Quarterly average
Quarterly average
U.S. unemploymentU.S. unemployment3Q231Q243Q24
8-quarter average(1)
Citi forecast at 2Q223.8 %3.9 %3.9 %3.7 %
Citi forecast at 3Q224.2 4.0 4.0 4.0 
Citi forecast at 4Q224.5 4.6 4.5 4.4 
U.S. unemployment
U.S. unemployment2Q244Q242Q25
8-quarter average(1)
Citi forecast at 1Q23Citi forecast at 1Q234.0 4.5 4.5 4.3 Citi forecast at 1Q234.6 %4.5 %4.4 %4.3 %
Citi forecast at 2Q23Citi forecast at 2Q233.8 4.3 4.5 4.3 
Citi forecast at 3Q23
Citi forecast at 4Q23
Citi forecast at 1Q24

(1)    Represents the average unemployment rate for the rolling, forward-looking eight quarters in the forecast horizon.

Year-over-year growth rate(1)
Full year
Year-over-year growth rate(1)
Year-over-year growth rate(1)
Full yearFull year
U.S. real GDPU.S. real GDP202320242025U.S. real GDP202420252026
Citi forecast at 2Q221.8 %2.0 %2.1 %
Citi forecast at 3Q220.6 1.9 2.7 
Citi forecast at 4Q220.3 1.5 2.2 
Citi forecast at 1Q23Citi forecast at 1Q231.0 1.0 2.0 Citi forecast at 1Q231.0 %1.0 %2.0 %
Citi forecast at 2Q23Citi forecast at 2Q231.3 0.7 2.0 
Citi forecast at 3Q23
Citi forecast at 4Q23
Citi forecast at 1Q24

(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 2Q23,1Q24, U.S. real GDP growth is expected to decline for the remainder of 2023,during 2024, while the unemployment rate is expected to increase modestly over the eight-quarter forecast horizon, broadly returning to pre-pandemic levels.

Scenario Weighting
Citi’s ACL is estimated using three probability-weighted macroeconomic scenarios—base, upside and downside. The macroeconomic scenario weights are estimated using a statistical model, which, among other factors, takes into consideration key macroeconomic drivers of the ACL, severity of the scenario and other macroeconomic uncertainties and risks. Citi evaluates scenario weights on a quarterly basis.
Citi’s downside scenario incorporates more adverse macroeconomic assumptions than the base scenario. For example, compared to the base scenario, Citi’s downside scenario reflects a more severe recession, including an elevated average U.S. unemployment rate of 6.8% over the eight-quarter R&S period, with a peak difference of 3.0%3.4% in the fourththird quarter of 2024.2025. The downside scenario also reflects a year-over-year U.S. real GDP contraction in 2024 of 1.9%0.8%, with a peak quarter-over-quarter difference to the base scenario of 1.0% in the fourth quarter of 2023.1.3%.
Citi’s ACL is sensitive to the various macroeconomic scenarios that drive the quantitative component of expected credit losses, due to changes in the length and severity of forecasted economic variables or events in the respective scenarios. To demonstrate this sensitivity, Citi applied 100% weight to the downside scenario as of June 30, 2023,March 31, 2024 to reflect the most severe economic deterioration forecast in the multiple macroeconomic scenarios. Citi’s downside scenario incorporates more adverse macroeconomic assumptions than the weighted scenario assumptions; therefore, applying a 100% downside scenario weight would result in a hypothetical increase in the ACL of approximately $4.5$5.4 billion related to
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lending exposures, except for loans individually evaluated for credit losses.losses and other financial assets carried at amortized cost.
This analysis does not incorporate any impacts or changes to the qualitative component of the ACL. These factors could decreasechange the outcome of the sensitivity analysis based on historical experience and current conditions at the time of the assessment. Given the uncertainty inherent in macroeconomic forecasting, Citi continues to believe that its ACL estimate based on a three probability-weighted macroeconomic scenario approach combined with the qualitative component remains appropriate as of June 30, 2023.March 31, 2024.
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2Q231Q24 Changes in the ACL
As further discussed below, Citi’s ending ACL balance for the secondfirst quarter of 20232024 was $20.1$21.8 billion, compared to $19.8 billion as of Marchlargely unchanged from December 31, 2023. The net build of $0.3less than $0.1 billion in the quarter was primarily driven by growth in card balances(i) a build of $0.3 billion in PBWMUSPB,reflecting the impact of macroeconomic pressures related to the higher inflationary and interest rate environment, as well as the seasonal mix shift from transactors to revolvers in U.S. cards, and (ii) a build of $0.1 billion in Markets, partiallydue to changes in macroeconomic variable assumptions related to loans in spread products. These builds were largely offset by (i) a $0.2 billion release in Wealth,driven by a change in ACL associated with the margin lending portfolio, and (ii) a release of $0.1 billion for changes in the corporate portfolios due to an improved macroeconomic outlook. Based on its latest macroeconomic forecast,portfolio composition in Banking. Citi believes its analysis of the ACL reflects the forward view of the economic environment as of June 30, 2023.March 31, 2024. See Note 1415 for additional information.

Consumer Allowance for Credit Losses on Loans
Citi’s consumer ACLL is largely driven by U.S. cards (Branded cardsCards and Retail services)Services) in U.S. Personal Banking.USPB. Citi’s total consumer ACLL build was $0.4$0.1 billion in the secondfirst quarter of 2023,2024, primarily reflecting the impact of macroeconomic pressures related to the higher inflationary and interest rate environment, as well as the seasonal mix shift from transactors to revolvers, largely offset by a release in Wealth driven by growtha change in U.S. cards balances, resultingACL associated with the margin lending portfolio. This resulted in a June 30, 2023March 31, 2024 ACLL balance of $14.9$15.5 billion, or 3.97%4.07% of total funded consumer loans.
For U.S. cards, the level of reserves relative to total funded loans decreasedincreased to 7.86%8.16% at June 30, 2023, dueMarch 31, 2024, primarily related to seasonal volume growth in lower-loss portfolios,and mix changes, as well as the impact of macroeconomic pressures related to the higher inflationary and interest rate environment, compared to 8.08%7.67% at MarchDecember 31, 2023. For the remaining consumer exposures, the level of reserves relative to total funded loans was 1.28%1.16% at June 30, 2023,March 31, 2024, compared to 1.21%1.25% at MarchDecember 31, 2023.

Corporate Allowance for Credit Losses on Loans
Citi had a corporate ACLL releasebuild of $0.2$0.1 billion in the secondfirst quarter of 2023. The release was primarily2024, largely driven by an improvedMarkets due to the changes in macroeconomic outlook. Thevariable assumptions related to loans in spread products, largely offset by changes in the portfolio composition in Banking.This resulted in a March 31, 2024 ACLL reserve balance decreased by $0.2 billion to $2.6of $2.8 billion, or 0.94%0.97% of total funded corporate loans.

ACLUC
Citi had an ACLUC release of $0.1 billion in the secondfirst quarter of 2023,2024, which reduced the ACLUC reserve balance, included in Other liabilities, to $1.9$1.6 billion. The releasedecrease was primarily driven by an improved macroeconomic outlook.a release for specific risks and uncertainties impacting vulnerable industries and regions.

ACL on Other Financial Assets
Citi’s endingCiti had an ACL balancebuild of less than $0.1 billion on other financial assets carried at amortized cost for the secondfirst quarter of 2023 was $0.82024. Including FX/Other, the ACL reserve balance decreased $0.1 billion compared to $0.6$1.8 billion as of March 31, 2023. The net build2024, compared to $1.9 billion as of $0.1 billion was primarily driven by a reserve build of $0.3 billion related to an increase in transfer risk associated with exposures outside the U.S. driven by safety and soundness considerations under U.S. banking law, partially offset by the reserve release related to the repayment of the First Republic Bank deposit.December 31, 2023. See Note 1415 for additional information.

Regulatory Capital Impact
Citi elected the modified CECL transition provision for regulatory capital purposes provided by the U.S. banking agencies’ final rule. Accordingly, the Day One regulatory capital effects resulting from the adoption of CECL, as well as the ongoing adjustments for 25% of the change in CECL-based allowances in each quarter between January 1, 2020 and December 31, 2021, started to be phased in on January 1, 2022 and will be fully reflected in Citi’s regulatory capital as of January 1, 2025.

See Notes 1 and 1415 for a further description of the ACL and related accounts.

Goodwill
Citi tests for goodwill for impairment annually as of October 1 (the annual test) and conducts interim assessments between the annual testtests 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. 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 sustained decrease in Citi’s stock price.
At October 1, 2022,The impairment tests performed in the fourth quarter of 2023 resulted in the fair values of Citi’s reporting units exceeding their carrying values for all reporting units. Additionally, the tests results showed that the fair value of two reporting units (Banking and Mexico Consumer/SBMM) ranged from 102% to 106% of their carrying values. The carrying values of the Banking and Mexico Consumer/SBMM reporting units includedunit as a percentage of its carrying value was 106%, with the carrying value including approximately $1.5 billion and $1$1.1 billion of goodwill, respectively.goodwill. For each of the remaining reporting units, fair value exceeded carrying value by at least 10%.
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 environments continue to evolve as Citi’s management implementsexecutes on its strategic refresh.transformation and strategy. If management’s future estimates of 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 1516 for a further discussion of goodwill.

83

Litigation Accruals
See the discussion in Note 2627 for information regarding Citi’s policies on establishing accruals for litigation and regulatory contingencies.

80

INCOME TAXES

Effective Tax Rate

Three Months Ended June 30,Six Months Ended June 30,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
In millions of dollars, except effective tax rate
In millions of dollars, except effective tax rate
In millions of dollars, except effective tax rateIn millions of dollars, except effective tax rate2023202220232022
Income from continuing operations before income tax expenseIncome from continuing operations before income tax expense$4,042$5,971$10,225 $11,237 
Income from continuing operations before income tax expense
Income from continuing operations before income tax expense
Provision for income taxes
Provision for income taxes
Provision for income taxesProvision for income taxes1,0901,1822,6212,123
Effective tax rateEffective tax rate27 %20 %26 %19 %
Effective tax rate
Effective tax rate

Citi’s effective tax rate was 27%25% in the secondfirst quarter of 2024 versus 25% in the first quarter of 2023, both including the impact of divestitures, versus 20% in the second quarter of 2022, largely driven by the geographic mix of earnings. For the six months ended June 30, 2023, Citi’s effective tax rate increased to 26%, including the impact of divestitures, compared to 19% in the prior-year period, largely driven by lower discrete benefits.divestitures.

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 910 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.

The table below summarizes Citi’s net DTAs balance:

Jurisdiction/Component
Jurisdiction/Component
Jurisdiction/ComponentJurisdiction/ComponentDTAs balanceDTAs balance
In billions of dollarsIn billions of dollarsJune 30,
2023		December 31, 2022In billions of dollarsMarch 31,
2024		December 31, 2023
Total U.S.Total U.S.$25.4 $24.8 
Total foreignTotal foreign3.1 2.9 
TotalTotal$28.5 $27.7 


At June 30, 2023,March 31, 2024, Citigroup had recorded net DTAs of approximately $28.5$29.9 billion, an increase of $0.9$0.3 billion from December 31, 2023 and an increase of $2.3 billion from March 31, 2023 and $0.8 billion from December 31, 2022.2023. The increase for the secondfirst quarter was from temporary differences and year to datethe year-over-year increase was primarily a result of Citi’s geographic mix of earnings. Of Citi’s $28.5$29.9 billion of net DTAs, $16.8$14.1 billion (compared to $12.8 billion at December 31, 2023) was not deducted in calculating Citi’s regulatory capital, and the remaining $15.8 billion was appropriately risk weighted under the Basel III rules. The remaining $11.7 billion (compared to $11.1 billion at March 31, 2023) was deducted in calculating Citi’s regulatory capital.

The $11.7$14.1 billion of DTADTAs deducted from regulatory capital was composed of $11.5$11.9 billion related to tax carry-forwards, and $1.8with $3.6 billion of temporary differences in excess of the 10%/15% regulatory limitations, reduced by $1.6$1.4 billion of deferred tax liabilities, primarily associated with goodwill and certain other intangible assets that were separately deducted from capital. The largest component of the increase in the DTA deducted from Citi’s regulatory capital during the quarter was related to temporary differences in excess of the 10%/15% limitations ($1.8 billion at June 30, 2023 compared to $1.1 billion at March 31, 2023), primarily attributable to higher temporary differences in DTAs subject to the limitation.

DTA Realizability
Citi believes that realization of the net DTAs of $28.5$29.9 billion at June 30, 2023March 31, 2024 is more-likely-than-not, based on management’s expectations of 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).

8184

DISCLOSURE CONTROLS AND PROCEDURES

Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of June 30, 2023.March 31, 2024. 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. To the extent that transactions or dealings for its clients are permitted by U.S. law, Citi may continue to engage in such activities.
Citi, in its First QuarterDuring the first quarter of 2023 Form 10-Q,2024, Citigroup identified and reported certain activitiesone transaction that was reportable pursuant to Section 219 for219. On January 12, 2024, Citibank, N.A. processed a transaction between the fourth quarterCentral Bank of 2022. During the second quarter of 2023, Citigroup identified eight transactions pursuantIran (the CBI) and an international organization. The CBI sent funds in yen, through Citibank, N.A., Tokyo Branch, which were then converted to Section 219:

•Between April 20, 2023U.S. dollars and April 24, 2023, Citibank (Hong Kong) Limited (CHKL) processed seven transactions involving the account of a Specially Designated National, who was designated on April 19, 2023, pursuanttransferred to the Weapons of Mass Destruction Proliferators Sanctions Regulations.international organization’s U.S. dollar (USD) account at Citibank, N.A., New York Branch. The total value of the seven transactionspayment was approximately USD 605,029.05, which includes19,616,884.32. The transaction represented a nominal fee that CHKL realized in relationpayment for the Government of Iran’s membership dues to a transaction thatthe international organization and was ultimately blocked; CHKL did not realize any additional fees. Once identified, the transactions were disclosedprocessed pursuant to general licenses issued by the U.S. Department of the Treasury’s Office of Foreign Assets Control (OFAC).
•On June 7, 2023, CHKLControl. Citibank realized approximately USD 5,905.00 for incoming and Citibank, N.A., New York Branch, processedoutgoing payments fees and a foreign exchange transaction from a Specially Designated National, who was designated on June 6, 2023, pursuant to the Weapons of Mass Destruction Proliferators Sanctions Regulations, to a non-sanctioned entity in China. The total value of the transaction was USD 4,736.18 and CHKL did not realize any fees for the processing of the transaction. Once identified, the transaction was disclosed to OFAC.

fee.
8285

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 Private Securities Litigation Reform Act of 1995. In addition, Citigroup 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, outlook, guidance 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 liquidity, 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 business’s discussion and analysis of its results of operations above and in Citi’s First Quarter of 2023 Form 10-Q, in Citi’s 2022 Form 10-K and in Citi’s other SEC filings; (ii) the factors listed and described under “Risk Factors” in Citi’s 20222023 Form 10-K; and (iii) the risks and uncertainties summarized below:

•the potential impact to Citi from continued macroeconomic, geopolitical and other challenges, uncertainties and volatility, including, among others, governmentalgovernment fiscal and monetary actions or expected actions, including further increases insuch as maintaining high interest rates, continued reductions in central bank balance sheets, or other changes inrestrictive interest rate or other monetary policies; a resurgence of inflation; potential recessions in the U.S., Europe and other regions andor countries; a potential U.S. federal government shutdown and the resulting impacts; elevated levels of inflation and their impacts; economic and geopolitical challenges related to China, including weak economic growth and tensions related to Taiwan; other geopolitical challenges, tensions and conflicts, including those related to Russia’s war in Ukraine; impactsUkraine and persistent and/or escalating conflicts in the Middle East; economic and other geopolitical challenges related to recent bank failuresChina, including weak economic growth, challenges in its real estate sector, banking and related marketcredit markets and tensions or conflicts between China and Taiwan and/or involving China and/or China and the U.S.; significant disruptions and volatility in financial markets, including macroeconomic conditions; foreign currency volatility and devaluations; distressdevaluations and volatilitycontinued strength in emerging markets, including sovereign debt pricing;the U.S. dollar; protracted or widespread trade tensions; and election outcomes;
•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: changes in regulatory capital rules, requirements or interpretations, such as revisions to the U.S. Basel III rules, including the recently issued notice of proposed rulemaking, known as the Basel III Endgame, related to regulatory capital
requirements;things, regulatory capital requirements, including annual recalibration of the Stress Capital Buffer, (preliminarily increased effective aswhich is based on the results of October 1, 2023);the CCAR process, recalibration of the GSIB surcharge;surcharge, and
supervisory expectations and assessments, including any negative findings regarding absolute capital levels or other aspects of Citi’s operations; changes in regulatory capital rules, requirements or interpretations, such as the Basel III Endgame (capital proposal), changes to the method for calculating the GSIB surcharge and changes to aspects of the total loss-absorbing capacity (TLAC) requirements; Citi’s results of operations and financial condition;condition, including the capital impactsimpact related to Citi’s remaining consumer banking divestitures, and achievement of the expected benefits from the divestitures; Citi’s effectiveness in planning, managing and calculating its level of regulatory capital and risk-weighted assets under both the Advanced Approaches and the Standardized Approach and Supplementary Leverage ratio and GSIB surcharge;ratio; Citi’s implementation and maintenance of an effective capital planning process and management framework; forecasts of macroeconomic conditions; and Citi’s DTA utilization;
•the ongoing regulatory and legislative uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, such as potential changes to various aspects of the U.S. regulatory capital framework and requirements applicable to Citi; potential fiscal, monetary, regulatory, tax, sanctions and other changes, including potential increased regulatory requirements and costs, such as the imposition of additional or special assessments by the FDIC, including the recently issued notice of proposed rulemaking to recover the uninsured deposit losses from recent bank failures; potential changes in regulatory requirements relating to various aspects of the regulatory capital framework; futureinterest rate risk management; rapidly evolving legislative and regulatory requirements and other government initiatives in the EU, the U.S. and globally relating to sustainabilityclimate change and climate change,other Environmental, Social and Governance (ESG) areas that vary and may conflict across jurisdictions, including any new disclosure requirements, such as those proposed and/or adopted by the SEC and the EU; increased legislative activity by U.S. states that restricts the flow of capital and investment by financial institutions to state governmental entities, including anti-ESG initiatives that are designed to push back against corporate ESG policies;requirements; 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 potential impact to credit card fee revenues in Branded cards and Retail services in PBWM from the Consumer Financial Protection Bureau’s proposed significant changes to the maximum amounts on credit card late fees;
•Citi’s ability to improve its risk and controls environment, modernize its data and technology infrastructure and further enhance safety and soundness, meet regulatory expectations, be sufficiently competitive, serve clients effectively, avoid operational errors and realize productivity improvements, as part of its transformation and other strategic initiatives, including as a result of factors that Citi cannot control, which could make the initiatives more costly and more challenging to implement, and limit their effectiveness;
•Citi’s ability to achieve its objectives, including expense savings and revenue growth, from its transformation, organizational simplification and other strategic refresh, including, among others, those related to its exits of remaining consumer banking businesses in Legacy Franchises, including, among others, the consumer, small business and middle-market operations in Mexico, and Citi’s wind-down of its activities in Russia, Korea and China,other initiatives, which involve significant complexities, execution complexity,challenges and uncertainties, may not be as productive effective or timelyeffective as Citi expects or at all, may impact the local businesses during the exit
83

process, and could result in higher than expected expenses, litigation and regulatory scrutiny, CTA and other losses charges or other negative financial or strategic impacts, which could be material;material, and depend, in part, on factors that Citi cannot control, including, among others, macroeconomic challenges and uncertainties, customer, client and competitor actions and ongoing regulatory requirements or changes;
•the potential impact to Citi from climate change due to both physical risks, including acute risks as well as the consequences of chronic changes in climate, and thetransition risks, including those arising from regulatory, market, technological, stakeholder and legal changes from a 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; higher regulatory, compliance, credit, reputational and other risks and costs, including those associated with the EU’s Corporate Sustainability Reporting Directive (CSRD) and data-related challenges, including as a resultthe SEC’s climate disclosures rules (currently stayed), whether due to lack of any new disclosure requirements;information 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;reliable data, interpretive uncertainties or otherwise;
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•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 in the relevant tax carry-forwardreversal periods;
•the potential impact to Citi if its interpretation or application of the complex income-based and non-income-based (such as withholding, stamp, service and other non-income taxes) tax laws to which it is subject in the U.S. and in non-U.S. jurisdictions differs from those of the relevant governmental taxing authorities, including as a result of litigation or examinations regarding non-income-based tax matters, and the resulting payment of additional taxes, penalties or interest;interest, the reduction of certain tax benefits or the requirement to make adjustments to amounts recorded;
•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, increasing competition among card issuers; the general economic environment; changes in consumer sentiment, spending patterns and credit card usage behaviors; a decline in sales and revenues, partner store closures or other operational difficulties of the retailer or merchant; early termination of a particular relationship; or other factors, including bankruptcies, liquidations, restructurings, consolidations or other similar events, whether due to the impact of a challenging economicmacroeconomic environment or otherwise;
•Citi’s ability in its resolution plan submissions to address any shortcomings or deficiencies or guidance provided by the Federal Reserve BoardFRB or FDIC;FDIC on its resolution plan submissions;
•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 its ability to effectively execute its transformation and strategic and other strategic initiatives, if Citi is unable to attract,hire and retain and motivate highly qualified employees, particularly given the highly competitive environment for talent and other factors, such as potential attrition driven by Citi’s organizational simplification initiatives, low unemployment, changes in worker’sworker expectations and regulation of employee compensation in the banking industry;
•Citi’s ability to compete effectively in the U.S. and globally with both financial and non-financial services firms, including as a result of certain competitors being subject to less stringent legal and regulatory requirements;
the introduction of mobile platforms and new or emerging technologies, and mobile platforms; possible disruptions fromsuch as artificial intelligence-driven solutions; growth in digital asset markets;potential mergers and acquisitions involving traditional financial services companies such as regional banks or credit card issuers; changes in the payments space; reliance on third parties for certain product and service offerings and any impact if anya third party is unable to provide adequate support for such product and service offerings; and the increased operational, compliance and other risks resulting from the need to develop new or change or adapt existing products and services to attract and retain customers or clients or to compete more effectively with competitors;effectively;
•the potential impact to Citi from a prior or future failure or disruption of its operational processes or systems, including as a result of, among other things, operational or execution failures, or deficiencies by third parties, including third parties that provide products or services to Citi, other market participants or those that otherwise have an ongoing partnership or business relationship with Citi; deficiencies in processes or controls; inadequate management of data governance practices, data controls and monitoring mechanisms that may adversely impact internal or external reporting and decision-making; cyber or information security incidents; human error, such as manual transaction processing errors, (e.g., erroneous payments to lenders or manual errors by Citi traders that cause system and market disruptions and losses for Citi or its clients), which can be exacerbated by staffing challenges and processing backlogs; fraud or malice on the part of employees or third parties; operational or execution failures or deficiencies by third parties; insufficient (or limited) straight-through processing between legacy or bespoke systems and any failure to design and effectively operate controls that mitigate operational risks associated with those legacy or bespoke systems, leading to potential risk of errors and operating losses; accidental system or technological failure; electrical or telecommunication outages; failure of or cyber incidents involving computer servers or infrastructure; other similar losses or damage to Citi’s property or assets; failures by third parties; potential disruptions and/or malfunctions within Citi’s businesses, as well as the operations of Citi’s clients, customers or other third parties; and the increased financial and other costs and reputational, legal and compliance risks resulting from any such failure or disruption of operational processes or systems, including legal and regulatory actions or proceedings, fines and other costs;
•the increasing risk to Citi’s and third parties’ computer systems, software and networks from ongoing, continually evolving, sophisticated cybersecurity incidents that could result in, among other things, theft, loss, non-availability, misuse or disclosure of personal, confidential or proprietary Citi, client, customer or customeremployee 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, deposit flight, additional costs (including repair, replacement, remediation and other costs), exposure to litigation and other financial losses;
•the potential impact of changes or errors in accounting assumptions, judgments or estimates, or the application of certain accounting principles, related to the preparation of Citi’s financial statements, including the estimate of Citi’s ACL, which depends on its CECL models and assumptions, forecasted macroeconomic conditions and characteristics of Citi’s loan portfolios and other applicable financial assets; reserves related to litigation, regulatory and tax matters exposures;matters; valuation of DTAs; the fair values of certain assets and liabilities; and the assessment of goodwill and other assets for impairment;
84

• and the financial impact from reclassification of any CTA component of AOCI, including related hedges and taxes, into Citi’s earnings due to a sale, IPO, substantial liquidation or other deconsolidation event, of any foreign operations,
87

such as those related to Citi’s remaining consumer banking divestitures or other legacy businesses, whether due to Citi’s strategic refresh or otherwise;businesses;
•the impact of changes to financial accounting and reporting standards or interpretations of 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 mitigationother processes, strategies or models, including, among others, those related to its comprehensive stress testing initiatives or ability to adequately manage, assess and aggregate data, are deficient or ineffective, orineffective; Citi’s Basel III regulatory capital models require refinement, modification or enhancement,enhancement; or any relatednegative regulatory evaluation or examination finding is issued or enforcement 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, whetherincluding due to a default ofby or deterioration involvinga significant downgrade in credit ratings of consumer, corporate or public sector borrowers or other counterparties in the U.S. or in various countries and jurisdictions globally, includingsuch as from indemnification obligations in connection with various transactions, such asincluding hedging or reinsurance arrangements related to those obligations, or Citi’s inability to liquidate or realize the fair value of its collateral, which risks can be heightened for vulnerable sectors, industries or sectorscountries impacted by the continued macroeconomic, geopolitical, market and other challenges and uncertainties and volatilities;
•the potential impact on Citi’s liquidity, and/orsources of funding and costs of funding if it does not effectively manage its liquidity or due to various other factors, including, among others, general disruptions in the financial markets; changes in fiscal and monetary policies and regulatory requirements; negative investor perceptions of Citi’s creditworthiness; deposit outflows or unfavorable changes in deposit mix, whether driven by migration to higher-yielding products or otherwise; governmental fiscal and monetary policies; regulatory changes; negative investor perceptions of Citi’s creditworthiness;mix; competition for funding, including a decrease in demand for corporate debt securities; unexpected increases in cash or collateral requirements, and the consequent inability to monetize available liquidity resources; changes in Citi’s credit spreads; higherhigh interest rates; and changes in currency exchange rates;
•the impact of a credit ratings downgrade of Citi or certain of its subsidiaries or issuing entities on Citi’s funding and liquidity as well as on the operations of certain of its businesses;
•the potential impact to Citi of significantly heightened regulatory expectations and scrutiny in the U.S. and globally and 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, climate and risk management practices and controls, customer and client protection, market practices, anti-money laundering, and increasingly complex sanctions and disclosure
regimes and various regulatory reporting requirements, including the impact on Citi’s compliance, regulatory and other risks and costs, such as increased regulatory oversight, material restrictions, including, among others, imposition of additional capital buffers and restrictions,
limitations on capital distributions, enforcement proceedings, penalties and fines;
•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 risk and controls, such as enterprise-wide risk management, compliance, data quality management and governance and internal controls, and policies and procedures; Citi’s ability to implement extensive targeted actionsaction plans and submit quarterly progress reports on a timely and sufficient basis detailing the results and status of improvements to comply with the consent orders, on a timely and sufficient basis, which will continue to require significant investments to meet regulatory expectations; and the heightened scrutiny and expectations generally from regulators, and the severity of the remedies that may be sought by regulators, such as significantlarge civil monetary penalties, supervisory or enforcement orders, business restrictions, limitations on dividends, changes to directors and/or officers and significant collateral consequences to Citi arising from such outcomes; and
•the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, limitations or unavailability of hedges on foreign investments; foreign currency volatility and devaluations; strength in the U.S. dollar; sustained elevated interest rates; sovereign debt volatility; election outcomes; regulatory changesrates and political events;quantitative tightening; elevated inflation and hyperinflation; foreign exchange controls, including the inability to access indirect foreign exchange mechanisms; macroeconomic, geopolitical and geopoliticaldomestic political challenges and uncertainties and volatility,volatility; cyberattacks; restrictions arising from retaliatory laws and regulations; sanctions or asset freezes; sovereign debt volatility; fluctuations in commodity prices; election outcomes; regulatory changes, including potential conflicts among regulations with respect to commodity prices as well as repricing of assets and resulting impacts;other jurisdictions where Citi does business; limitations on foreign investment; sociopolitical instability (including from hyperinflation);instability; civil unrest; crime, corruption and 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;assets; and the need to record additional reserves for expected losses for credit exposures based on the transfer risk associated with exposures outside the U.S. driven by safety and soundness considerations under U.S. banking law; and increased compliance and regulatory risks and costs.law.

Any forward-looking statements made by or on behalf of Citigroup speak only as to the date they are made, and Citi does not undertake to update forward-looking statements to reflect the impact of circumstances or events that arise after the date that the forward-looking statements were made.
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8688

FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS

CONSOLIDATED FINANCIAL STATEMENTS 
Consolidated Statement of Income (Unaudited)—
For the Three and Six Months Ended June 30,March 31, 2024 and 2023 and 2022
8890
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three and Six Months Ended June 30,March 31, 2024 and 2023 and 2022
8991
Consolidated Balance Sheet—June 30, 2023March 31, 2024 (Unaudited) and December 31, 20222023
9092
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three and Six Months Ended June 30,March 31, 2024 and 2023 and 2022
9294
Consolidated Statement of Cash Flows (Unaudited)—
For the SixThree Months Ended June 30,March 31, 2024 and 2023 and 2022
9396

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
Note 1—Basis of Presentation, Updated Accounting Policies
               and Accounting Changes
9598
Note 2—Discontinued Operations, Significant Disposals
               and Other Business Exits
97101
Note 3—Operating Segments
100104
Note 4—Interest RevenueIncome and Expense
102106
Note 5—Commissions and Fees; Administration and Other
               Fiduciary Fees
103107
Note 6—Principal Transactions
105108
Note 7—Incentive Plans
106109
Note 8—Retirement Benefits
106109
Note 9—Earnings per ShareRestructuring
110113
Note 10—Securities Borrowed, Loaned and
                 Subject to Repurchase Agreements
111
Note 11—Brokerage Receivables and Brokerage PayablesEarnings per Share
114
Note 12—Investments11—Securities Borrowed, Loaned and Subject to
                 Repurchase Agreements
115
Note 13—Loans12—Brokerage Receivables and Brokerage Payables
123118
Note 13—Investments
119

Note 14—Loans
127
Note 14—15—Allowance for Credit Losses
143146
Note 15—16—Goodwill and Intangible Assets
150
Note 16—17—Deposits
151
Note 17—18—Debt
152
Note 18—19—Changes in Accumulated Other Comprehensive
                 Income (Loss) (AOCI)
153
Note 19—20—Preferred Stock
158156
Note 20—21—Securitizations and Variable Interest Entities
160
Note 21—Derivatives
167157
Note 22—Fair Value MeasurementDerivatives
177165
Note 23—Fair Value ElectionsMeasurement
197175
Note 24—Fair Value Elections
191
Note 25—Guarantees and Commitments
201
Note 25—Leases
206195
Note 26—ContingenciesLeases
207198
Note 27—Contingencies
199
Note 28—Subsidiary Guarantees
209201


8789

CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED)Citigroup Inc. and Subsidiaries

Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars, except per share amountsIn millions of dollars, except per share amounts2023202220232022
In millions of dollars, except per share amounts
In millions of dollars, except per share amounts
RevenuesRevenues  
Interest revenue$32,647 $15,630 $62,042 $28,781 
Revenues
Revenues
Interest income
Interest income
Interest income
Interest expense
Interest expense
Interest expenseInterest expense18,747 3,666 34,794 5,946 
Net interest incomeNet interest income$13,900 $11,964 $27,248 $22,835 
Net interest income
Net interest income
Commissions and fees
Commissions and fees
Commissions and feesCommissions and fees$2,132 $2,452 $4,498 $5,020 
Principal transactionsPrincipal transactions2,528 4,525 6,467 9,115 
Principal transactions
Principal transactions
Administration and other fiduciary fees
Administration and other fiduciary fees
Administration and other fiduciary feesAdministration and other fiduciary fees989 1,023 1,885 1,989 
Realized gains on sales of investments, netRealized gains on sales of investments, net49 (58)121 22 
Realized gains on sales of investments, net
Realized gains on sales of investments, net
Impairment losses on investments:Impairment losses on investments:
Impairment losses on investments and other assets(71)(96)(157)(186)
Provision (releases) for credit losses on AFS debt securities(1)
1 2 — 2 
Impairment losses on investments:
Impairment losses on investments:
Impairment losses on investments
Impairment losses on investments
Impairment losses on investments
(Provision) releases for credit losses on AFS debt securities(1)
(Provision) releases for credit losses on AFS debt securities(1)
(Provision) releases for credit losses on AFS debt securities(1)
Net impairment losses recognized in earnings
Net impairment losses recognized in earnings
Net impairment losses recognized in earningsNet impairment losses recognized in earnings$(70)$(94)$(157)$(184)
Other revenueOther revenue$(92)$(174)$821 $27 
Other revenue
Other revenue
Total non-interest revenues
Total non-interest revenues
Total non-interest revenuesTotal non-interest revenues$5,536 $7,674 $13,635 $15,989 
Total revenues, net of interest expenseTotal revenues, net of interest expense$19,436 $19,638 $40,883 $38,824 
Total revenues, net of interest expense
Total revenues, net of interest expense
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 claimsProvisions for credit losses and for benefits and claims   
Provision for credit losses on loansProvision for credit losses on loans$1,761 $1,384 $3,498 $1,644 
Provision for credit losses on loans
Provision for credit losses on loans
Provision (release) for credit losses on HTM debt securities
Provision (release) for credit losses on HTM debt securities
Provision (release) for credit losses on HTM debt securitiesProvision (release) for credit losses on HTM debt securities(4)20 (21)18 
Provision for credit losses on other assetsProvision for credit losses on other assets149 7 574 3 
Provision for credit losses on other assets
Provision for credit losses on other assets
Policyholder benefits and claims
Policyholder benefits and claims
Policyholder benefits and claimsPolicyholder benefits and claims14 22 38 49 
Provision (release) for credit losses on unfunded lending commitmentsProvision (release) for credit losses on unfunded lending commitments(96)(159)(290)315 
Provision (release) for credit losses on unfunded lending commitments
Provision (release) for credit losses on unfunded lending commitments
Total provisions for credit losses and for benefits and claims(2)
Total provisions for credit losses and for benefits and claims(2)
Total provisions for credit losses and for benefits and claims(2)
Total provisions for credit losses and for benefits and claims(2)
$1,824 $1,274 $3,799 $2,029 
Operating expensesOperating expenses   
Operating expenses
Operating expenses
Compensation and benefits
Compensation and benefits
Compensation and benefitsCompensation and benefits$7,388 $6,472 $14,926 $13,292 
Premises and equipmentPremises and equipment595 619 1,193 1,162 
Premises and equipment
Premises and equipment
Technology/communication
Technology/communication
Technology/communicationTechnology/communication2,309 2,068 4,436 4,084 
Advertising and marketingAdvertising and marketing361 414 692 725 
Advertising and marketing
Advertising and marketing
Restructuring
Restructuring
Restructuring
Other operating
Other operating
Other operatingOther operating2,917 2,820 5,612 6,295 
Total operating expensesTotal operating expenses$13,570 $12,393 $26,859 $25,558 
Total operating expenses
Total operating expenses
Income from continuing operations before income taxes
Income from continuing operations before income taxes
Income from continuing operations before income taxesIncome from continuing operations before income taxes$4,042 $5,971 $10,225 $11,237 
Provision for income taxesProvision for income taxes1,090 1,182 2,621 2,123 
Provision for income taxes
Provision for income taxes
Income from continuing operations
Income from continuing operations
Income from continuing operationsIncome from continuing operations$2,952 $4,789 $7,604 $9,114 
Discontinued operationsDiscontinued operations   
Discontinued operations
Discontinued operations
Income (loss) from discontinued operations
Income (loss) from discontinued operations
Income (loss) from discontinued operationsIncome (loss) from discontinued operations$(1)$(262)$(2)$(264)
Benefit for income taxesBenefit for income taxes— (41)— (41)
Benefit for income taxes
Benefit for income taxes
Income (loss) from discontinued operations, net of taxes
Income (loss) from discontinued operations, net of taxes
Income (loss) from discontinued operations, net of taxesIncome (loss) from discontinued operations, net of taxes$(1)$(221)$(2)$(223)
Net income before attribution to noncontrolling interestsNet income before attribution to noncontrolling interests$2,951 $4,568 $7,602 $8,891 
Net income before attribution to noncontrolling interests
Net income before attribution to noncontrolling interests
Noncontrolling interests
Noncontrolling interests
Noncontrolling interestsNoncontrolling interests36 21 81 38 
Citigroup’s net incomeCitigroup’s net income$2,915 $4,547 $7,521 $8,853 
Citigroup’s net income
Citigroup’s net income
Basic earnings per share(3)
Basic earnings per share(3)
Basic earnings per share(3)
Basic earnings per share(3)
  
Income from continuing operationsIncome from continuing operations$1.34 $2.32 $3.55 $4.34 
Income from continuing operations
Income from continuing operations
Income from discontinued operations, net of taxes
Income from discontinued operations, net of taxes
Income from discontinued operations, net of taxesIncome from discontinued operations, net of taxes— (0.11)— (0.11)
Net incomeNet income$1.34 $2.20 $3.54 $4.23 
Weighted average common shares outstanding (in millions)
1,942.8 1,941.5 1,943.2 1,956.6 
Net income
Net income
Weighted-average common shares outstanding (in millions)
Weighted-average common shares outstanding (in millions)
Weighted-average common shares outstanding (in millions)
Diluted earnings per share(3)
Diluted earnings per share(3)
Diluted earnings per share(3)
Diluted earnings per share(3)
  
Income from continuing operationsIncome from continuing operations$1.33 $2.30 $3.52 $4.32 
Income from continuing operations
Income from continuing operations
Income (loss) from discontinued operations, net of taxesIncome (loss) from discontinued operations, net of taxes— (0.11)— (0.11)
Net income$1.33 $2.19 $3.52 $4.20 
Adjusted weighted average diluted common shares outstanding
(in millions)
1,968.6 1,958.1 1,966.3 1,973.2 
Income (loss) from discontinued operations, net of taxes
Income (loss) from discontinued operations, net of taxes
8890

Net income$1.58 $2.19 
Adjusted weighted-average diluted common shares outstanding
(in millions)
1,943.2 1,964.1 

(1)    In accordance with ASC 326, which requires the provision for credit losses on AFS debt securities to be included in revenue.
(2)    This total excludes the provision for credit losses on AFS debt 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 INCOMECitigroup Inc. and Subsidiaries
(UNAUDITED)
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2023202220232022
Citigroup’s net income$2,915 $4,547 $7,521 $8,853 
Add: Citigroup’s other comprehensive income(1)
Net change in unrealized gains and losses on debt securities,
net of taxes(2)
$126 $(1,501)$962 $(5,778)
Net change in debt valuation adjustment (DVA), net of taxes(3)
(619)1,967 (944)2,760 
Net change in cash flow hedges, net of taxes171 (666)532 (2,207)
Benefit plans liability adjustment, net of taxes(4)
(136)(89)(240)82 
Net change in CTA, net of taxes and hedges23 (1,630)864 (1,644)
Net change in excluded component of fair value hedges, net of taxes17 9 (3)57 
Net change in long-duration insurance contracts, net of taxes(6)— (1)— 
Citigroup’s total other comprehensive income (loss)$(424)$(1,910)$1,170 $(6,730)
Citigroup’s total comprehensive income$2,491 $2,637 $8,691 $2,123 
Add: Other comprehensive income (loss) attributable to
noncontrolling interests		14 (53)46 (82)
Add: Net income (loss) attributable to noncontrolling interests36 21 81 38 
Total comprehensive income$2,541 $2,605 $8,818 $2,079 
 Three Months Ended March 31,
In millions of dollars20242023
Citigroup’s net income$3,371 $4,606 
Add: Citigroup’s other comprehensive income, net change, net of taxes(1)
Unrealized gains and losses on debt securities(2)
$100 $836 
Debt valuation adjustment (DVA)(3)
(563)(325)
Cash flow hedges492 361 
Benefit plans liability adjustment(4)
77 (104)
CTA, net of hedges(1,054)841 
Excluded component of fair value hedges(2)(20)
Long-duration insurance contracts21 5 
Citigroup’s total other comprehensive income (loss)$(929)$1,594 
Citigroup’s total comprehensive income$2,442 $6,200 
Add: Other comprehensive income (loss) attributable to
noncontrolling interests		$(13)$32 
Add: Net income (loss) attributable to noncontrolling interests36 45 
Total comprehensive income$2,465 $6,277 

(1)See Note 18.19.
(2)See Note 12.13.
(3)See Note 22.23.
(4)See Note 8.

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

8991

CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
June 30,
2023December 31,
March 31,
2024
2024
2024December 31,
In millions of dollarsIn millions of dollars(Unaudited)2022In millions of dollars(Unaudited)2023
AssetsAssets Assets 
Cash and due from banks (including segregated cash and other deposits)Cash and due from banks (including segregated cash and other deposits)$25,763 $30,577 
Deposits with banks, net of allowanceDeposits with banks, net of allowance271,145 311,448 
Securities borrowed and purchased under agreements to resell (including $210,126 and $239,527 as of June 30, 2023 and December 31, 2022, respectively, at fair value), net of allowance337,103 365,401 
Securities borrowed and purchased under agreements to resell (including $193,546 and $206,059 as of March 31, 2024 and December 31, 2023, respectively, at fair value), net of allowance
Brokerage receivables, net of allowanceBrokerage receivables, net of allowance60,850 54,192 
Trading account assets (including $172,535 and $133,535 pledged to creditors as of June 30, 2023 and December 31, 2022, respectively)423,189 334,114 
Trading account assets (including $228,669 and $197,156 pledged to creditors as of March 31, 2024 and December 31, 2023, respectively)
Investments:Investments:
Available-for-sale debt securities (including $11,754 and $10,933 pledged to creditors as of June 30, 2023 and December 31, 2022, respectively)237,334 249,679 
Held-to-maturity debt securities, net of allowance (fair value of which is $238,021 and $243,648 as of June 30, 2023 and December 31, 2022, respectively) (includes $21 and $0 pledged to creditors as of June 30, 2023 and December 31, 2022, respectively)262,066 268,863 
Equity securities (including $729 and $895 as of June 30, 2023 and December 31, 2022, respectively, at fair value)7,745 8,040 
Available-for-sale debt securities (including $1,846 and $11,868 pledged to creditors as of March 31, 2024 and December 31, 2023, respectively)
Available-for-sale debt securities (including $1,846 and $11,868 pledged to creditors as of March 31, 2024 and December 31, 2023, respectively)
Available-for-sale debt securities (including $1,846 and $11,868 pledged to creditors as of March 31, 2024 and December 31, 2023, respectively)
Held-to-maturity debt securities, net of allowance (fair value of which is $231,374 and $235,001 as of March 31, 2024 and December 31, 2023, respectively) (includes $33 and $71 pledged to creditors as of March 31, 2024 and December 31, 2023, respectively)
Equity securities (including $802 and $766 as of March 31, 2024 and December 31, 2023, respectively, at fair value)
Total investmentsTotal investments$507,145 $526,582 
Loans:Loans:
Consumer (including $237 and $237 as of June 30, 2023 and December 31, 2022, respectively, at fair value)374,591 368,067 
Corporate (including $5,529 and $5,123 as of June 30, 2023 and December 31, 2022, respectively, at fair value)286,021 289,154 
Consumer (including $303 and $313 as of March 31, 2024 and December 31, 2023, respectively, at fair value)
Consumer (including $303 and $313 as of March 31, 2024 and December 31, 2023, respectively, at fair value)
Consumer (including $303 and $313 as of March 31, 2024 and December 31, 2023, respectively, at fair value)
Corporate (including $8,551 and $7,281 as of March 31, 2024 and December 31, 2023, respectively, at fair value)
Loans, net of unearned incomeLoans, net of unearned income$660,612 $657,221 
Allowance for credit losses on loans (ACLL)Allowance for credit losses on loans (ACLL)(17,496)(16,974)
Total loans, netTotal loans, net$643,116 $640,247 
GoodwillGoodwill19,998 19,691 
Intangible assets (including MSRs at fair value of $681 and $665 as of June 30, 2023 and December 31, 2022, respectively)4,576 4,428 
Intangible assets (including MSRs of $702 and $691 as of March 31, 2024 and December 31, 2023, respectively)
Premises and equipment, net of depreciation and amortizationPremises and equipment, net of depreciation and amortization27,818 26,253 
Other assets (including $13,637 and $10,658 as of June 30, 2023 and December 31, 2022, respectively, at fair value), net of allowance102,972 103,743 
Other assets (including $12,731 and $12,290 as of March 31, 2024 and December 31, 2023, respectively, at fair value), net of allowance
Total assetsTotal assets$2,423,675 $2,416,676 
Total assets
Total assets


Statement continues on the next page.
9092

CONSOLIDATED BALANCE SHEET                             Citigroup Inc. and Subsidiaries
(Continued)
June 30,
2023December 31,
March 31,
2024
2024
2024December 31,
In millions of dollars, except shares and per share amountsIn millions of dollars, except shares and per share amounts(Unaudited)2022In millions of dollars, except shares and per share amounts(Unaudited)2023
LiabilitiesLiabilities Liabilities 
Deposits (including $2,598 and $1,875 as of June 30, 2023 and December 31, 2022, respectively,
at fair value)
$1,319,867 $1,365,954 
Securities loaned and sold under agreements to repurchase (including $62,800 and $70,886 as of June 30, 2023 and December 31, 2022, respectively, at fair value)260,035 202,444 
Brokerage payables (including $5,989 and $4,439 as of June 30, 2023 and December 31, 2022,
respectively, at fair value)
69,433 69,218 
Deposits (including $2,905 and $2,440 as of March 31, 2024 and December 31, 2023, respectively,
at fair value)
Securities loaned and sold under agreements to repurchase (including $73,781 and $62,485 as of March 31, 2024 and December 31, 2023, respectively, at fair value)
Brokerage payables (including $3,997 and $4,321 as of March 31, 2024 and December 31, 2023,
respectively, at fair value)
Trading account liabilitiesTrading account liabilities170,664 170,647 
Short-term borrowings (including $5,622 and $6,222 as of June 30, 2023 and December 31, 2022, respectively, at fair value)40,430 47,096 
Long-term debt (including $115,937 and $105,995 as of June 30, 2023 and December 31, 2022, respectively, at fair value)274,510 271,606 
Short-term borrowings (including $8,131 and $6,545 as of March 31, 2024 and December 31, 2023, respectively, at fair value)
Long-term debt (including $115,317 and $116,338 as of March 31, 2024 and December 31, 2023, respectively, at fair value)
Other liabilities, plus allowancesOther liabilities, plus allowances79,314 87,873 
Total liabilitiesTotal liabilities$2,214,253 $2,214,838 
Total liabilities
Total liabilities
Stockholders’ equityStockholders’ equity Stockholders’ equity 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of June 30, 2023—809,800 and as of December 31, 2022—759,800, at aggregate liquidation value
$20,245 $18,995 
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of June 30, 2023—3,099,691,671 and as of December 31, 2022—3,099,669,424
31 31 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of March 31, 2024—704,000 and as of December 31, 2023—704,000, at aggregate liquidation value
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of March 31, 2024—3,099,718,305 and as of December 31, 2023—3,099,691,704
Additional paid-in capitalAdditional paid-in capital108,579 108,458 
Retained earningsRetained earnings199,976 194,734 
Treasury stock, at cost: June 30, 2023—1,173,989,187 shares and
December 31, 2022—1,162,682,999 shares
(74,247)(73,967)
Treasury stock, at cost: March 31, 2024—1,192,278,692 shares and December 31, 2023—
1,196,577,865 shares
Accumulated other comprehensive income (loss) (AOCI)
Accumulated other comprehensive income (loss) (AOCI)
(45,865)(47,062)
Total Citigroup stockholders’ equityTotal Citigroup stockholders’ equity$208,719 $201,189 
Noncontrolling interestsNoncontrolling interests703 649 
Total equityTotal equity$209,422 $201,838 
Total liabilities and equityTotal liabilities and equity$2,423,675 $2,416,676 

The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
9193

CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED)Citigroup Inc. and Subsidiaries
Three Months Ended June 30,Six Months Ended June 30,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars2023202220232022
Preferred stock at aggregate liquidation valuePreferred 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
Balance, beginning of periodBalance, beginning of period$20,245 $18,995 $18,995 $18,995 
Issuance of new preferred stockIssuance of new preferred stock— — 1,250 — 
Issuance of new preferred stock
Issuance of new preferred stock
Redemption of preferred stock
Redemption of preferred stock
Redemption of preferred stock
Balance, end of period
Balance, end of period
Balance, end of periodBalance, end of period$20,245 $18,995 $20,245 $18,995 
Common stock and additional paid-in capital (APIC)Common stock and additional paid-in capital (APIC)  
Common stock and additional paid-in capital (APIC)
Common stock and additional paid-in capital (APIC)
Balance, beginning of period
Balance, beginning of period
Balance, beginning of periodBalance, beginning of period$108,400 $108,081 $108,489 $108,034 
Employee benefit plansEmployee benefit plans210 160 126 206 
Other— — (5)1 
Employee benefit plans
Employee benefit plans
Preferred stock issuance costs (reclassifications to Retained earnings for redemptions)
Preferred stock issuance costs (reclassifications to Retained earnings for redemptions)
Preferred stock issuance costs (reclassifications to Retained earnings for redemptions)
Other (primarily preferred stock issuance costs related to new issuances)
Other (primarily preferred stock issuance costs related to new issuances)
Other (primarily preferred stock issuance costs related to new issuances)
Balance, end of period
Balance, end of period
Balance, end of periodBalance, end of period$108,610 $108,241 $108,610 $108,241 
Retained earningsRetained earnings
Retained earnings
Retained earnings
Balance, beginning of periodBalance, beginning of period$198,353 $187,962 $194,734 $184,948 
Balance, beginning of period
Balance, beginning of period
Adjustment to opening balance, net of taxes(1)
Adjustment to opening balance, net of taxes(1)
Adjustment to opening balance, net of taxes(1)
Adjustment to opening balance, net of taxes(1)
Financial instruments—TDRs and vintage disclosuresFinancial instruments—TDRs and vintage disclosures— — 290 — 
Financial instruments—TDRs and vintage disclosures
Financial instruments—TDRs and vintage disclosures
Adjusted balance, beginning of period
Adjusted balance, beginning of period
Adjusted balance, beginning of periodAdjusted balance, beginning of period$198,353 $187,962 $195,024 $184,948 
Citigroup’s net incomeCitigroup’s net income2,915 4,547 7,521 8,853 
Citigroup’s net income
Citigroup’s net income
Common dividends(2)
Common dividends(2)
Common dividends(2)
Common dividends(2)
(1,004)(1,010)(2,004)(2,024)
Preferred dividendsPreferred dividends(288)(238)(565)(517)
Preferred dividends
Preferred dividends
Other (primarily reclassifications from APIC for preferred issuance costs on redemptions)
Other (primarily reclassifications from APIC for preferred issuance costs on redemptions)
Other (primarily reclassifications from APIC for preferred issuance costs on redemptions)Other (primarily reclassifications from APIC for preferred issuance costs on redemptions)— — — 1 
Balance, end of periodBalance, end of period$199,976 $191,261 $199,976 $191,261 
Balance, end of period
Balance, end of period
Treasury stock, at cost
Treasury stock, at cost
Treasury stock, at costTreasury stock, at cost  
Balance, beginning of periodBalance, beginning of period$(73,262)$(73,744)$(73,967)$(71,240)
Balance, beginning of period
Balance, beginning of period
Employee benefit plans(3)
Employee benefit plans(3)
Employee benefit plans(3)
Employee benefit plans(3)
15 6 720 502 
Treasury stock acquired(4)
Treasury stock acquired(4)
(1,000)(250)(1,000)(3,250)
Treasury stock acquired(4)
Treasury stock acquired(4)
Balance, end of period
Balance, end of period
Balance, end of periodBalance, end of period$(74,247)$(73,988)$(74,247)$(73,988)
Citigroup’s accumulated other comprehensive income (loss)Citigroup’s accumulated other comprehensive income (loss)  
Citigroup’s accumulated other comprehensive income (loss)
Citigroup’s accumulated other comprehensive income (loss)
Balance, beginning of period
Balance, beginning of period
Balance, beginning of periodBalance, beginning of period$(45,441)$(43,585)$(47,062)$(38,765)
Adjustment to opening balance, net of taxes(1)
Adjustment to opening balance, net of taxes(1)
— — 27 — 
Adjustment to opening balance, net of taxes(1)
Adjustment to opening balance, net of taxes(1)
Adjusted balance, beginning of period
Adjusted balance, beginning of period
Adjusted balance, beginning of periodAdjusted balance, beginning of period$(45,441)$(43,585)$(47,035)$(38,765)
Citigroup’s total other comprehensive incomeCitigroup’s total other comprehensive income(424)(1,910)1,170 (6,730)
Citigroup’s total other comprehensive income
Citigroup’s total other comprehensive income
Balance, end of period
Balance, end of period
Balance, end of periodBalance, end of period$(45,865)$(45,495)$(45,865)$(45,495)
Total Citigroup common stockholders’ equityTotal Citigroup common stockholders’ equity$188,474 $180,019 $188,474 $180,019 
Total Citigroup common stockholders’ equity
Total Citigroup common stockholders’ equity
Total Citigroup stockholders’ equity
Total Citigroup stockholders’ equity
Total Citigroup stockholders’ equityTotal Citigroup stockholders’ equity$208,719 $199,014 $208,719 $199,014 
Noncontrolling interestsNoncontrolling interests  
Noncontrolling interests
Noncontrolling interests
Balance, beginning of period
Balance, beginning of period
Balance, beginning of periodBalance, beginning of period$724 $644 $649 $700 
Transactions between Citigroup and noncontrolling-interest shareholders1 (1)1 (34)
Transactions between Citigroup and the noncontrolling-interest shareholders
Transactions between Citigroup and the noncontrolling-interest shareholders
Transactions between Citigroup and the noncontrolling-interest shareholders
Net income attributable to noncontrolling-interest shareholders
Net income attributable to noncontrolling-interest shareholders
Net income attributable to noncontrolling-interest shareholdersNet income attributable to noncontrolling-interest shareholders36 21 81 38 
Distributions paid to noncontrolling-interest shareholdersDistributions paid to noncontrolling-interest shareholders(71)(1)(82)(11)
Distributions paid to noncontrolling-interest shareholders
Distributions paid to noncontrolling-interest shareholders
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
14 (53)46 (82)
OtherOther(1)2 8 1 
Other
Other
Net change in noncontrolling interests
Net change in noncontrolling interests
Net change in noncontrolling interestsNet change in noncontrolling interests$(21)$(32)$54 $(88)
Balance, end of periodBalance, end of period$703 $612 $703 $612 
Balance, end of period
Balance, end of period
Total equityTotal equity$209,422 $199,626 $209,422 $199,626 
Total equity
Total equity

(1)    See Note 1 for additional details.
(2)    Common dividends declared were $0.53 per share for 1Q24 and $0.51 per share for each of the first and second quarters of 2023 and 2022.1Q23.
(3)    Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy employees’ tax requirements.
(4)    Primarily consists of open market purchases under Citi’s Board of Directors-approvedDirectors–approved common stock repurchase program.

The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
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95

CONSOLIDATED STATEMENT OF CASH FLOWSCitigroup Inc. and Subsidiaries
(UNAUDITED)
Six Months Ended June 30, Three Months Ended March 31,
In millions of dollarsIn millions of dollars20232022In millions of dollars20242023
Cash flows from operating activities of continuing operationsCash flows from operating activities of continuing operations Cash flows from operating activities of continuing operations 
Net income before attribution of noncontrolling interestsNet income before attribution of noncontrolling interests$7,602 $8,891 
Net income attributable to noncontrolling interestsNet income attributable to noncontrolling interests81 38 
Citigroup’s net incomeCitigroup’s net income$7,521 $8,853 
Income (loss) from discontinued operations, net of taxesIncome (loss) from discontinued operations, net of taxes(2)(223)
Income from continuing operations—excluding noncontrolling interestsIncome from continuing operations—excluding noncontrolling interests$7,523 $9,076 
Income from continuing operations—excluding noncontrolling interests
Income from continuing operations—excluding noncontrolling interests
Adjustments to reconcile net income to net cash provided by (used in) operating activities
of continuing operations		Adjustments to reconcile net income to net cash provided by (used in) operating activities
of continuing operations		 Adjustments to reconcile net income to net cash provided by (used in) operating activities
of continuing operations		 
Net loss (gain) on sale of significant disposals(1)
Net loss (gain) on sale of significant disposals(1)
(1,059)— 
Depreciation and amortizationDepreciation and amortization2,247 2,089 
Deferred income taxes(2)
(852)(228)
Provisions for credit losses and for benefits and claims(2)
3,799 2,029 
Depreciation and amortization
Depreciation and amortization
Deferred income taxes
Deferred income taxes
Deferred income taxes
Provisions for credit losses and for benefits and claims
Realized gains from sales of investmentsRealized gains from sales of investments(121)(22)
Impairment losses on investments and other assetsImpairment losses on investments and other assets157 186 
Goodwill impairment— 535 
Change in trading account assets
Change in trading account assets
Change in trading account assetsChange in trading account assets(89,164)(8,974)
Change in trading account liabilitiesChange in trading account liabilities17 18,924 
Change in brokerage receivables net of brokerage payablesChange in brokerage receivables net of brokerage payables(6,443)8,898 
Change in loans held-for-sale (HFS)Change in loans held-for-sale (HFS)1,405 4,504 
Change in other assetsChange in other assets(4,884)(3,222)
Change in other liabilities(3,101)(2,117)
Other, net(2)(3)
5,932 (17,434)
Change in other liabilities(2)
Other, net
Total adjustmentsTotal adjustments$(92,067)$5,168 
Net cash provided by (used in) operating activities of continuing operationsNet cash provided by (used in) operating activities of continuing operations$(84,544)$14,244 
Cash flows from investing activities of continuing operationsCash flows from investing activities of continuing operations Cash flows from investing activities of continuing operations 
Change in securities borrowed and purchased under agreements to resellChange in securities borrowed and purchased under agreements to resell$28,298 $(34,046)
Change in loansChange in loans(8,750)(14,790)
Proceeds from divestitures(1)
— 1,940 
Proceeds from sales and securitizations of loans
Proceeds from sales and securitizations of loans
Proceeds from sales and securitizations of loansProceeds from sales and securitizations of loans2,154 1,562 
Net payment due to transfer of net liabilities associated with divestitures(1)
Net payment due to transfer of net liabilities associated with divestitures(1)
(29)— 
Available-for-sale (AFS) debt securitiesAvailable-for-sale (AFS) debt securities
Purchases of investments(2)(3)
(114,278)(123,569)
Purchases of investments
Purchases of investments
Purchases of investments
Proceeds from sales of investmentsProceeds from sales of investments29,897 79,952 
Proceeds from maturities of investments(2)(3)
105,204 60,777 
Proceeds from maturities of investments
Held-to-maturity (HTM) debt securitiesHeld-to-maturity (HTM) debt securities
Purchases of investments
Purchases of investments
Purchases of investmentsPurchases of investments(664)(34,317)
Proceeds from maturities of investmentsProceeds from maturities of investments4,369 5,821 
Capital expenditures on premises and equipment and capitalized softwareCapital expenditures on premises and equipment and capitalized software(3,125)(2,465)
Proceeds from sales of premises and equipment, subsidiaries and affiliates
and repossessed assets		11 31 
Other, net(2)(3)(4)
(370)(1,710)
Capital expenditures on premises and equipment and capitalized software
Capital expenditures on premises and equipment and capitalized software
Proceeds from sales of premises and equipment and repossessed assets
Other, net
Other, net
Other, net
Net cash provided by (used in) investing activities of continuing operationsNet cash provided by (used in) investing activities of continuing operations$42,717 $(60,814)
Cash flows from financing activities of continuing operationsCash flows from financing activities of continuing operations  Cash flows from financing activities of continuing operations  
Dividends paidDividends paid$(2,547)$(2,514)
Issuance of preferred stockIssuance of preferred stock1,245 — 
Redemption of preferred stockRedemption of preferred stock— — 
9396

CONSOLIDATED STATEMENT OF CASH FLOWSCONSOLIDATED STATEMENT OF CASH FLOWS
(UNAUDITED) (Continued)(UNAUDITED) (Continued)
Six Months Ended June 30,
(UNAUDITED) (Continued)
(UNAUDITED) (Continued)
(UNAUDITED) (Continued)
(UNAUDITED) (Continued)
(UNAUDITED) (Continued)
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
In millions of dollarsIn millions of dollars20232022In millions of dollars20242023
Treasury stock acquiredTreasury stock acquired$(1,000)$(3,200)
Stock tendered for payment of withholding taxesStock tendered for payment of withholding taxes(322)(334)
Change in securities loaned and sold under agreements to repurchaseChange in securities loaned and sold under agreements to repurchase57,591 7,187 
Issuance of long-term debtIssuance of long-term debt32,689 60,304 
Payments and redemptions of long-term debtPayments and redemptions of long-term debt(35,984)(28,439)
Change in depositsChange in deposits(46,087)25,360 
Change in short-term borrowingsChange in short-term borrowings(6,666)12,081 
Net cash provided by (used in) financing activities of continuing operationsNet cash provided by (used in) financing activities of continuing operations$(1,081)$70,445 
Effect of exchange rate changes on cash and due from banks$(2,209)$(1,878)
Effect of exchange rate changes on cash, due from banks and deposits with banks
Change in cash, due from banks and deposits with banks
Change in cash, due from banks and deposits with banks
Change in cash, due from banks and deposits with banksChange in cash, due from banks and deposits with banks(45,117)21,997 
Cash, due from banks and deposits with banks at beginning of periodCash, due from banks and deposits with banks at beginning of period342,025 262,033 
Cash, due from banks and deposits with banks at end of periodCash, due from banks and deposits with banks at end of period$296,908 $284,030 
Cash and due from banks (including segregated cash and other deposits)Cash and due from banks (including segregated cash and other deposits)$25,763 $24,902 
Deposits with banks, net of allowanceDeposits with banks, net of allowance271,145 259,128 
Cash, due from banks and deposits with banks at end of periodCash, due from banks and deposits with banks at end of period$296,908 $284,030 
Supplemental disclosure of cash flow information for continuing operationsSupplemental disclosure of cash flow information for continuing operations Supplemental disclosure of cash flow information for continuing operations 
Cash paid during the period for income taxesCash paid during the period for income taxes$3,031 $1,661 
Cash paid during the period for interestCash paid during the period for interest31,803 6,284 
Non-cash investing activities(1)(4)(5)
 
Non-cash investing activities(1)(3)(4)
Transfer of investment securities from HTM to AFSTransfer of investment securities from HTM to AFS$3,324 $— 
Transfer of investment securities from AFS to HTM— 21,522 
Decrease in net loans associated with divestitures reclassified to HFS— 17,758 
Decrease in goodwill associated with divestitures reclassified to HFS— 873 
Transfer of investment securities from HTM to AFS
Transfer of investment securities from HTM to AFS
Transfers to loans HFS (Other assets) from loans HFI
Transfers to loans HFS (Other assets) from loans HFI
Transfers to loans HFS (Other assets) from loans HFI
Transfers to loans HFS (Other assets) from loans HFI
4,730 1,874 
Transfers from loans HFS (Other assets) to loans HFI
Transfers from loans HFS (Other assets) to loans HFI
322 — 
Non-cash financing activities(1)
Decrease in deposits associated with divestitures reclassified to HFS$— $20,741 
Decrease in long-term debt associated with divestitures reclassified to HFS— — 

(1)    See Note 2 for further information on significant disposals.2.
(2)    2022 amounts have been revised to conformIncludes balances related to the current-period presentation.FDIC special assessment and restructuring charges. See Notes 9 and 27.
(3)    Consistent with the revisions disclosed in “Statement of Cash Flows” in Note 1 to the Consolidated Financial Statements in Citi’s 2022 Form 10-K, during the six months ended June 30, 2022, $16.1 billion of cash flows related to maturities of short-term negotiable certificates of deposit (NCDs) and $41 million of cash flows related to purchases of short-term NCDs were reclassified from purchases and maturities of AFS securities within investing activities to Other, net within operating activities.
(4)    In January 2023, Citi adopted ASU 2022-01. Upon adoption, Citi transferred $3.3 billion of mortgage-backed securities from HTM classification to AFS classification as allowed under the ASU. At the time of transfer, the securities were in an unrealized gain position of $0.1 billion, which was recorded in AOCI upon transfer. See Note 1.
(5)(4)    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 2526 for more information and balances as of June 30, 2023.March 31, 2024.

The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
9497

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 June 30, 2023March 31, 2024 and for the three-three months ended March 31, 2024 and six-month periods ended June 30, 2023 and 2022 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 within Citigroup’s Annual Report on Form 10-K for the year ended December 31, 2022 (20222023 (2023 Form 10-K) and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2023 (First Quarter of 2023 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.
Cash equivalents are defined as those amounts included in Cash and due from banks and predominately all of Deposits with banks. Cash flows from risk management activities are classified in the same category as the related assets and liabilities. Amounts included in Cash and due from banks and Deposits with banks approximate fair value.
UPDATED SIGNIFICANT ACCOUNTING POLICIESCHANGES

Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions
In June 2022, the FASB issued ASU No. 2022-03, Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions. The accounting policies below have been updated from those disclosedASU was issued to address diversity in Citi’s 2022 Annual Reportpractice whereby certain entities included the impact of contractual restrictions when valuing equity securities, and it clarifies that a contractual restriction on Form 10-K (2022 Form 10-K) asthe 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 resultlapse in the restrictions.
Citi adopted the ASU on January 1, 2024, which did not impact the financial statements of accounting standards adopted during the first quarter of 2023.
See Note 1 to the Consolidated Financial Statements in Citi’s 2022 Form 10-K for a summary of all of Citigroup’s significant accounting policies.Company.

AllowancesAccounting for Investments in Tax Credit Losses (ACL)Structures
BeginningIn March 2023, the FASB issued ASU No. 2023‐02, Investments—Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Tax Credit Structures Using the Proportional Amortization Method. The ASU expands the scope of tax equity investments eligible to apply the proportional amortization method of accounting. Under the proportional amortization method, the cost of an eligible investment is amortized in proportion to the income tax credits and other income tax benefits that are received by the investor, with the amortization of the investment and the income tax credits being presented net in the income statement as components of income tax expense (benefit). The ASU permits the Company to elect to use the proportional amortization method to account for an expanded range of eligible tax-incentivized investments if certain conditions are met. Citi adopted the ASU on January 1, 2023, Citi adopted Accounting Standards Update (ASU) No. 2022-02, Financial Instruments—Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures under the methodology described below. For information about Citi’s accounting for troubled debt restructurings (TDRs) prior to January 1, 2023, see Note 12024, which did not have a material impact to the Consolidated Financial Statements in Citi’s 2022 Form 10-K.financial statements of the Company.

ACCOUNTING CHANGES

TDRs 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 adopted the ASU on January 1, 2023. Citi adopted2023, including the guidance on the recognition and measurement of TDRs under the modified retrospective approach.
Adopting these amendments resulted in a decrease to the ACLL of $352 million and an increase in other assets related to held-for-sale businesses of $44 million, with a corresponding increase to retained earnings of $290 million and a decrease in deferred tax assets of $106 million on January 1, 2023. The ACL for corporate loans was unaffected because the measurement approach used for corporate loans is not in the scope of this ASU.
98

ASU 2022-02 eliminateseliminated the accounting and disclosure requirements for TDRs, including the requirement to measure the ACLL for TDRs using a discounted cash flow (DCF) approach. With the elimination of TDR accounting requirements, reasonably expected TDRs are no longer considered when determining the term over which to estimate expected credit losses. The ACLL for modified loans that are collateral dependent continues to be based on the fair value of the collateral.

Consumer Loans
Upon adoption of the ASU on January 1, 2023, Citi discontinued the use of a DCF approach for consumer loans formerly considered TDRs. Beginning January 1, 2023, Citi measures the ACLL for all consumer loans under approaches that do not incorporate discounting, primarily utilizing models that consider the borrowers’ probability of default, loss given default and exposure at default. In addition, upon adoption of the ASU, Citi collectively evaluates smaller-balance homogenoushomogeneous loans formerly considered TDRs for expected
95

credit losses, whereas previously those loans had been individually evaluated.
The ASU also requires disclosure of modifications of loans to borrowers experiencing financial difficulty if the modification involves principal forgiveness, an interest rate reduction, an other-than-insignificant payment delay, a term extension or a combination of those types of modifications. In addition, the ASU requires the disclosure of current-period gross write-offs by year of loan origination (vintage). The amendments related to disclosures are required to be applied prospectively beginning as of the date of adoption. See Note 13 for these new disclosures for periods beginning on and after January 1, 2023.

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 are impacted by the requirements of ASU 2018-12.
Citi adopted the targeted improvements in ASU 2018-12 on January 1, 2023, resulting in a $39 million decrease in Other liabilities and a $27 million increase in AOCI, after-tax.


Fair Value Hedging—Portfolio Layer Method
In March 2022, the FASB issued ASU No. 2022-01, Derivatives and Hedging (Topic 815): Fair Value Hedging—Portfolio Layer Method, intended to better align hedge accounting with an organization’s risk management strategies. Specifically, the guidance expands the current single-layer method to allow multiple hedge layers of a single closed portfolio of qualifying assets, which include both prepayable and non-prepayable assets. Upon the adoption of the guidance, entities may elect to reclassify securities held-to-maturity to the available-for-sale category provided that the reclassified securities are designated in a portfolio hedge. Coincident with the adoption of this ASU, on January 1, 2023, Citi transferred HTM mortgage-backed securities with an amortized cost and fair value of approximately $3.3 billion and $3.4 billion, respectively, into AFS as permitted under the guidance, and hedged them under the portfolio layer method.

FUTURE ACCOUNTING CHANGES

Accounting for Investments in Tax Credit Structuresand Disclosure of Crypto Assets
In MarchDecember 2023, the FASB issued ASU No. 2023‐02,2023-08, Investments—Equity MethodIntangibles—Goodwill and Joint Ventures (Topic 323)Other—Crypto Assets (Subtopic 350-60): Accounting for Investmentsand Disclosure of Crypto Assets, intended to improve the accounting for certain crypto assets by requiring an entity to measure those assets at fair value each reporting period, with changes in Tax Credit Structures Usingfair value recognized in net income. The amendments also improve the Proportional Amortization Method.information provided to investors about an entity’s crypto asset holdings by requiring disclosure about significant holdings, contractual sale restrictions and changes during the reporting period. The ASU expands the scope of tax equity investments eligible to apply the proportional amortization method of accounting. Under the proportional amortization method, the cost of an eligible investment is amortized in proportion to the income tax credits and other income tax benefits that are received by the investor, with the amortization of the investment and the income tax credits being presented net in the income statement as components of income tax expense (benefit). Prior to the issuance of this ASU, use of the proportional amortization method was limited to tax equity investments in Low‐Income Housing Tax Credit (LIHTC) structures, and all other tax equity investments were typically accounted for using the equity method of accounting, which resulted in investment income, gains and losses, and tax credits being presented gross on the income statement in their respective line items. The ASU will permit the Company to elect to use the proportional amortization method to account for all eligible tax equity investments, regardless of the tax credit program from which the income tax credits are received, if certain conditions are met. For public entities, the ASUguidance is effective for fiscal years beginning after December 15, 2023, although2024, and interim periods within those fiscal years with early adoption is permitted inpermitted. Citi does not hold any interim period. However, if an entity adoptscrypto assets within the amendments in an interim period, it shall adopt them asscope of the beginningguidance.

Income Taxes (Topic 740): Improvements to Income Tax Disclosures
In December 2023, the FASB issued ASU No. 2023-09, Income Taxes (Topic 740): Improvements to Income Tax Disclosures, intended to enhance the transparency and decision usefulness of income tax disclosures. This guidance requires that public business entities disclose on an annual basis a tabular rate reconciliation in eight specific categories disaggregated by nature and for foreign tax effects by jurisdiction that meet a 5% of pretax income multiplied by the applicable statutory tax rate or greater threshold annually. The eight categories include state and local income taxes, net of federal income tax effect; foreign tax effects; enactment of new tax laws or tax credits; effect of cross-border tax laws; valuation allowances; nontaxable items and nondeductible items; and changes in unrecognized tax benefits. Additional disclosures include qualitative description of the fiscal yearstate and local jurisdictions that includes that interim period. Adoptioncontribute to the majority (greater than 50%) of the ASU must be appliedeffect of the state and local income tax category and explanation of the nature and effect of changes in individual reconciling items. The guidance also requires entities annually to disclose income taxes paid (net of refunds received) disaggregated by federal, state and foreign taxes and
99

by jurisdiction identified based on either athe same 5% quantitative threshold.
The standard is effective for fiscal years beginning after December 15, 2024. The transition method is prospective with the retrospective or a modified retrospective basis.method permitted. Citi plans to adopt the ASU for the annual reporting period beginning on January 1, 2025, and is currently evaluating the impact on disclosures.

Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures
In November 2023, the FASB issued ASU No. 2023-07, Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures, intended to improve reportable segments disclosure requirements primarily through enhanced disclosures about significant segment expenses. The ASU includes a requirement to disclose significant segment expenses that are regularly provided to the chief operating decision maker (CODM) and included within each reported measure of segment profit or loss, the title and position of the CODM, an explanation of how the CODM uses the reported measure(s) of segment profit or loss in assessing segment performance and deciding how to allocate resources, and all segments’ profit or loss and assets disclosures currently required annually by Topic 280 along with those introduced by the ASU to be reported on an interim basis. The amendments also clarified that public entities are not precluded from reporting additional measures of a segment’s profit or loss that are regularly used by the CODM.
The ASU is required to be adopted on a retrospective basis and will be effective for Citi for its annual period ending December 31, 2024 and interim periods for the interim period beginning on January 1, 2025. Citi is currently evaluating the impact of the standard on tax equity investments. Citi does not expect a material impact to its resultsdisclosure of operations as a result of adopting the standard.reportable segments and related disclosures.

Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions
In June 2022, the FASB issued ASU No. 2022-03, 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 Citi 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 does not include such restrictions when valuing equity securities.
96100

2. DISCONTINUED OPERATIONS, SIGNIFICANT DISPOSALS AND OTHER BUSINESS EXITS

Summary of Discontinued Operations
The Company’s results from Discontinued operations consisted of residual activities related to the sales of the Egg Banking plc credit card business in 2011 and the German retail banking business in 2008. All Discontinued operations results are recorded within Corporate/All Other.
The following table summarizes financial informationCompany’s Income (loss) from discontinued operations, net of taxes was $(1) million and $(1) million for all Discontinued operations:

Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2023202220232022
Total revenues, net of interest expense$— $(262)$— $(262)
Income (loss) from discontinued operations$(1)$(262)$(2)$(264)
Benefit for income taxes— (41)— (41)
Income (loss) from discontinued operations, net of taxes$(1)$(221)$(2)$(223)

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,three months ended March 31, 2024 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.

2023, respectively.
Cash flows from Discontinued operations were not material for the periods presented.


97101

Significant Disposals
As of June 30, 2023,March 31, 2024, Citi had entered into sale agreements forclosed the sales of nine consumer banking businesses within All Other—Legacy Franchises.Franchises. Australia closed in the second quarter of 2022, the Philippines closed in the third quarter of 2022, Bahrain, Malaysia and Thailand closed in the fourth quarter of 2022, and India and Vietnam closed in the first quarter of 2023. Entry2023, Taiwan closed in the third quarter of sale agreements for the Taiwan2023 and Indonesia consumer banking businesses has resultedclosed in the reclassification to HFS on the Consolidated Balance Sheetfourth quarter of approximately $14 billion in assets within Other assets, including approximately $8 billion of loans (net of allowance of $68 million), and approximately $11 billion in liabilities within Other liabilities,including approximately $11 billion in deposits.2023. Of the nine sale agreements, the five below were identified as significant disposals asdisposals. The gains and losses included in the footnotes to the table below represent life-to-date amounts, which are periodically updated due to post-closing purchase price adjustments. As of June 30, 2023. The Taiwan sale has yetMarch 31, 2024, there were no remaining assets or liabilities included on Citi’s Consolidated Balance Sheet related to close and is subject to regulatory approvals and other closing conditions.the significant disposals:

June 30, 2023
In millions of dollarsAssetsLiabilities
Consumer banking business inSale agreement dateClosing dateCash and deposits with banks
Loans(1)
GoodwillOther assets, advances to/from subsidiariesOther assetsTotal assetsDepositsLong-term debtOther liabilitiesTotal liabilities
Australia(2)
8/9/20216/1/2022$— $— $— $— $— $— $— $— $— $— 
Philippines(3)
12/23/20218/1/2022— — — — — — — — — — 
Thailand(4)
1/14/202211/1/2022$— $— $— $— $— $— $— $— $— $— 
India(5)
3/30/20223/1/2023— — — — — — — — — — 
Taiwan(6)
1/28/2022second half 2023$96 $7,652 $196 $4,441 $185 $12,570 $9,657 $— $236 $9,893 
Income (loss) before taxes(7)
Three Months Ended
June 30,		Six Months Ended June 30,
In millions of dollars2023202220232022
Australia(2)
$— $28 $— $193 
Philippines(3)
— 14 — 65 
Thailand(4)
— 90 — 78 
India(5)
— 52 2 125 
Taiwan(6)
35 50 91 96 
Income (loss)
before taxes(6)
In millions of dollarsThree Months Ended
March 31,
Consumer banking business inSale agreement dateClosing date20242023
Australia(1)
8/9/20216/1/2022$— $— 
Philippines(2)
12/23/20218/1/2022— — 
Thailand(3)
1/14/202211/1/2022— — 
India(4)
3/30/20223/1/2023— 2 
Taiwan(5)
1/28/20228/12/2023— 57 

(1)    Loans, net of allowance as of June 30, 2023 includes $31 million for Taiwan.
(2)    On June 1, 2022, Citi completed the sale of its Australia consumer banking business, which was part of All Other—Legacy Franchises. The business had approximately $9.4 billion in assets, including $9.3 billion of loans (net of allowance of $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 $760$766 million ($640643 million after-tax), subject to closing adjustments, recorded in Other revenue. The loss on sale primarily reflected the impact of an approximate pretax $620 million CTA loss (net of hedges) ($470 million after-tax) already reflected in the AOCI component of equity. The sale closed on June 1, 2022, and the CTA-related balance was removed from AOCI, resulting in a neutral CTA impact to Citi’s CET1 Capital. The income before taxes shown in the above table for Australia reflects Citi’s ownership through June 1, 2022.
(3)(2)    On August 1, 2022, Citi completed the sale of its Philippines consumer banking business, which was part of All Other—Legacy Franchises. The 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 $618 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.
(4)(3)    On November 1, 2022, Citi completed the sale of its Thailand consumer banking business, which was part of All Other—Legacy Franchises. The business had approximately $2.7 billion in assets, including $2.4 billion of loans (net of allowance of $67 million) and excluding goodwill. The total amount of liabilities was $1.0 billion, including $0.8 billion in deposits. The sale resulted in a pretax gain on sale of approximately $209 million ($115 million after-tax), subject to closing adjustments, recorded in Other revenue. The income before taxes shown in the above table for Thailand reflects Citi’s ownership through November 1, 2022.
(5)(4)    On March 1, 2023, Citi completed the sale of its India consumer banking business, which was part of All Other—Legacy Franchises. The business had approximately $5.2 billion in assets, including $3.4 billion of loans (net of allowance of $32 million) and excluding goodwill. The total amount of liabilities was $5.2 billion, including $5.1 billion in deposits. The sale resulted in a pretax gain on sale of approximately $1.1$1.0 billion ($727717 million after-tax), subject to closing adjustments, recorded in Other revenue. The income before taxes shown in the above table for India reflects Citi’s ownership through March 1, 2023.
(6)    This(5)    On August 12, 2023, Citi completed the sale is expectedof its Taiwan consumer banking business, which was part of All Other—Legacy Franchises. The business had approximately $11.6 billion in assets, including $7.2 billion of loans (net of allowance of $92 million) and excluding goodwill. The total amount of liabilities was $9.2 billion, including $9.0 billion in deposits. The sale resulted in a pretax gain on sale of approximately $403 million ($284 million after-tax), subject to resultclosing adjustments, recorded in an after-tax gain upon closing.Other revenue. The income before taxes in the above table for Taiwan reflects Citi’s ownership through August 12, 2023.
(7)(6)    Income before taxes for the period in which the individually significant component was classified as HFS for all prior periods presented. For Australia, excludes the pretax loss on sale. For the Philippines, Thailand, India and India,Taiwan, excludes the pretax gain on sale.


98

Citi did not have any other significant disposals as of June 30, 2023. March 31, 2024.
As of August 4, 2023,May 3, 2024, Citi had not entered into sale agreements for the remaining All Other—Legacy Franchises businesses to be sold, specifically the Poland consumer banking business and the Mexico Consumer/SBMM businesses.
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 20222023 Form 10-K.

102

Other Business Exits

Wind-Down of Korea Consumer Banking Business
On October 25, 2021, Citi disclosed its decision to wind down and close its Korea consumer banking business, which is reported in the All Other—Legacy Franchises operating segment. In connection with the announcement, Citibank Korea Inc. (CKI) commenced a voluntary early termination program (Korea VERP). Due to the voluntary nature of this termination program, no liabilities for termination benefits are recorded until CKI makes formal offers to employees that are then irrevocably accepted by those employees. Related charges are recorded as Compensation and benefits.
The following table summarizes the reserve charges related to the Korea VERP and other initiatives reported in the Legacy FranchisesAll Other operating segment and Corporate/Other:segment:

In millions of dollarsEmployee termination costs
Total Citigroup (pretax)
Original charges in fourth quarter 2021$1,052 
Utilization(1)
Foreign exchange3 
Balance at December 31, 2021$1,054 
Additional charges in first quarter 2022$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$— 

Note: There were no additional charges after June 30, 2022.

The total cash charges for the wind-down were $1.1 billion through 2022, most of which were recognized in 2021. Citi does not expect to record any additional charges in connection with the Korea VERP.
See Note 8 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K 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 announced 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.
On October 14, 2022, Citi disclosed that it will be endingwould end nearly all of the institutional banking services it offersoffered in Russia by the end of the first quarter of 2023. Going forward, Citi’s only operations in Russia will beare those necessary to fulfill its remaining legal and regulatory obligations.
On December 12, 2022, Citi completed the sale of a portfolio of ruble-denominated personal installment loans, totaling approximately $240 million in outstanding loan balances, to Uralsib, a Russian commercial bank, resulting in a pretax net loss of approximately $12 million. The net loss on sale of the loan portfolio included a $32 million adjustment to record the loans at lower of cost or fair value recognized in
Portfolio Sales
Other revenue. In addition, the sale of the loans resulted in a release in the allowance for credit losses on loans of approximately $20 million recognized in the Provision for credit losses on loans.
•During the second quarter of 2023, Citi recorded an incremental gain of $5 million related to post-closing contingency payments for the previously disclosed personal installment loan sale in Other revenue. The previously disclosed sale of a portfolio of ruble-denominated personal installment loans resulted in a pretax net loss on sale of approximately $7 million.
Citi’s•During the third and fourth quarters of 2023 and the first quarter of 2024, as part of the previously disclosed cards referral agreement with a Russian bank, to settle a portfolioapproximately $52 million of ruble-denominated credit card loans, subject to customer consents, was signed in May 2023 and is in the execution phase. The outstanding amount with Citi is to bereceivables were settled upon referral and refinancing. As a result, the portfolio will remain held-for-investment and will not be transferred to held-for-sale.refinanced.
During the second quarter of 2023, Citi recorded a pretax release of approximately $1 million and a pretax charge of approximately $2 million (approximately $29 million and $12 million program-to-date) as
Wind-Down Charges
The following tables provide details on Citi’s Russia wind-down charges:

Three Months Ended
March 31, 2024
In millions of dollarsAll OtherServices, Markets and BankingTotal
Severance(1)
$1 $2 $3 
Vendor termination and other costs(2)
— — — 
Total$1 $2 $3 

Program-to-date
March 31, 2024
In millions of dollarsAll OtherServices, Markets and BankingTotal
Severance(1)
$36 $10 $46 
Vendor termination and other costs(2)
19 — 19 
Total$55 $10 $65 

Estimated additional charges
as of March 31, 2024
In millions of dollarsAll OtherServices, Markets and BankingTotal
Severance(1)
$20 $1 $21 
Vendor termination and other costs(2)
33 — 33 
Total$53 $1 $54 

(1)    Recorded in Compensation and benefits benefits.
composed of severance costs, reported(2)    Recorded inLegacy Franchises and Institutional Clients Group, respectively. Citi also recorded a pretax charge of approximately $4 million (approximately $17 million program-to-date) as Other operating expenses composed of vendor termination and other costs, reported in Legacy Franchises.
In connection with this wind-down, Citi expects to incur approximately $180 million in total estimated charges ($40 million in ICG and $140 million in Legacy Franchises, excluding the impact from any portfolio sales), of which approximately $58 million has been incurred program-to-date, largely driven by restructuring, vendor termination fees and other related charges.expenses.
99103

3. OPERATING SEGMENTS

The operating segments and reporting units reflect how the CEO, who is the chief operating decision maker (CODM), manages the Company, including allocating resources and measuring performance.
Citigroup’s activities are conducted through threeCiti is organized into five reportable operating segments: Institutional Clients Group (ICG)Services,Markets, Banking, U.S. Personal Banking and Wealth Management (PBWM) and(USPB) Legacy Franchisesand Wealth, with the remaining operations recorded in All Otherwith Corporate/Other including, which includes activities not assigned to a specific reportable operating segment, as well as discontinued operations. See operating segment details in Note 3 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K.
ICG consists of Services, Markets and Banking, providing corporate, institutional and public sector clients around the world with a full range of wholesale banking products and services.
PBWM consists of U.S. Personal Banking and Global Wealth Management (Global Wealth), providing traditional banking services and credit cards to retail and small business customers primarilyBeginning in the U.S., and financial services to 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 the four wealth management centers: Singapore, Hong Kong, the UAE and London.first quarter of 2024, Citi reallocated certain customer balances between
All Other—Legacy Franchises, consistsServices, Markets and Banking in preparation for the IPO of Asia Consumer andthe Mexico Consumer/SBMM businesses that Citi intendsoperations, and made other immaterial reclassifications. These reallocations and reclassifications did not materially change segment results and prior periods were conformed to exit, and its remaining Legacy Holdings Assets.reflect these changes. Citi's consolidated results remain unchanged for all periods presented.
Corporate/Other includes activities not assigned to the operating segments, including certain unallocated costs of global functions, other corporate expenses and corporate treasury results, offsets to certain line-item reclassifications and eliminations, and unallocated taxes, as well as discontinued operations.
Revenues and expenses directly associated with each respective business segment or component are included in determining respective operating results. Other revenues and expenses that are not directly attributable to a particular business segment or component are generally allocated from Corporate/All Other based on respective net revenues, non-interest expenses or other relevant measures.
As a result of revenuesRevenues and expenses from transactions with other operating segments or components beingare treated as transactions with external parties for purposes of segment disclosures, thewhile funding charges paid by operating segments and funding credits received by Corporate Treasury within All Other are included in net interest income. The Company includes intersegment eliminations within Corporate/All Other to reconcile the businessoperating segment results to Citi’s consolidated results.
The accounting policies of these reportable operating segments are the same as those disclosed in Note 1 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.









100

The following tables present certain information regarding the Company’s continuing operations by reportable operating segmentsegments and Corporate/All Other:on a managed basis that excludes divestiture-related impacts. Performance measurement is based on Income (loss) from continuing operations. These results are used by the CODM, both in evaluating the performance of, and in allocating resources to, each of the segments:

Three Months Ended June 30,
Three Months Ended March 31,Three Months Ended March 31,
In millions of dollars, except identifiable assets, average loans and average deposits in billionsIn millions of dollars, except identifiable assets, average loans and average deposits in billionsICGPBWMLegacy FranchisesCorporate/OtherTotal CitiIn millions of dollars, except identifiable assets, average loans
and average deposits in billions		ServicesMarketsBankingUSPB
202320222023202220232022202320222023202220242023202420232024202320242023
Net interest incomeNet interest income$5,623 $4,520 $5,963 $5,569 $1,345 $1,474 $969 $401 $13,900 $11,964 
Non-interest revenueNon-interest revenue4,818 6,899 432 460 578 461 (292)(146)5,536 7,674 
Total revenues, net of interest expenseTotal revenues, net of interest expense$10,441 $11,419 $6,395 $6,029 $1,923 $1,935 $677 $255 $19,436 $19,638 
Operating expense7,286 6,434 4,204 3,985 1,778 1,814 302 160 13,570 12,393 
Provisions (releases) for credit losses58 (202)1,579 1,355 300 121 (113)— 1,824 1,274 
Income (loss) from continuing operations before taxes$3,097 $5,187 $612 $689 $(155)$— $488 $95 $4,042 $5,971 
Provisions for credit losses and for benefits and claims
Provision (benefits) for income taxesProvision (benefits) for income taxes878 1,209 118 136 (33)15 127 (178)1,090 1,182 
Income (loss) from continuing operationsIncome (loss) from continuing operations$2,219 $3,978 $494 $553 $(122)$(15)$361 $273 $2,952 $4,789 
Identifiable assets (June 30, 2023 and December 31, 2022)$1,765 $1,730 $473 $494 $92 $97 $94 $96 $2,424 $2,417 
Identifiable assets (March 31, 2024 and December 31, 2023)
Average loansAverage loans278 297 339 317 37 43 — — 654 657 
Average depositsAverage deposits837 830 431 435 51 51 19 7 1,338 1,323 
Six Months Ended June 30,
In millions of dollars, except average loans and average deposits in billionsICGPBWMLegacy FranchisesCorporate/OtherTotal Citi
2023202220232022202320222023202220232022
Wealth
WealthWealth
All Other(1)
Reconciling Items(1)
Total Citi
20242023202420232024202320242023
Net interest incomeNet interest income$10,651 $8,304 $11,897 $10,954 $2,635 $2,982 $2,065 $595 $27,248 $22,835 
Non-interest revenueNon-interest revenue11,023 14,275 946 980 2,140 884 (474)(150)13,635 15,989 
Total revenues, net of interest expenseTotal revenues, net of interest expense$21,674 $22,579 $12,843 $11,934 $4,775 $3,866 $1,591 $445 $40,883 $38,824 
Operating expense14,259 13,157 8,458 7,874 3,530 4,107 612 420 26,859 25,558 
Provisions for credit losses(14)769 3,170 979 645 281 (2)— 3,799 2,029 
Income (loss) from continuing operations before taxes$7,429 $8,653 $1,215 $3,081 $600 $(522)$981 $25 $10,225 $11,237 
Provisions for credit losses and for benefits and claims
Provision (benefits) for income taxesProvision (benefits) for income taxes1,912 2,017 232 668 116 (122)361 (440)2,621 2,123 
Income (loss) from continuing operationsIncome (loss) from continuing operations$5,517 $6,636 $983 $2,413 $484 $(400)$620 $465 $7,604 $9,114 
Identifiable assets (March 31, 2024 and December 31, 2023)
Average loansAverage loans$281 $293 $336 $315 $37 $45 $— $— $654 $653 
Average depositsAverage deposits845 828 433 441 51 53 22 6 1,351 1,328 

(1)    Segment results are presented on a managed basis that excludes divestiture-related impacts related to (i) Citi’s divestitures of its Asia consumer banking businesses and (ii) the planned IPO of Mexico consumer banking and small business and middle-market banking within All Other—Legacy Franchises. Adjustments are included in Legacy Franchises within All Other and are reflected in the reconciliations above to arrive at Citi’s reported results in the Consolidated Statement of Income.
104

The following table presents a reconciliation of total Citigroup income from continuing operations as reported:

Three Months Ended March 31,
In millions of dollars
2024(1)
2023(2)
Total segments and All Other—income from continuing operations(3)
$3,502 $4,004 
Divestiture-related impact on:
Total revenues, net of interest expense(12)1,018 
Total operating expenses110 73 
Provision (release) for credit losses11 (8)
Provision (benefits) for income taxes(39)305 
Income from continuing operations$3,408 $4,652 

(1)    The three months ended March 31, 2024 includes approximately $110 million in operating expenses (approximately $77 million after-tax), primarily related to separation costs in Mexico and severance costs in the Asia exit markets. 
(2)    The three months ended March 31, 2023 includes an approximate $1.059 billion gain on sale recorded in revenue (approximately $727 million after various taxes) related to Citi’s sale of the India consumer banking business. For additional information, see Citi’s Quarterly Report on Form 10-Q for the period ended March 31, 2023.
(3)    Segment results are presented on a managed basis that excludes divestiture-related impacts related to (i) Citi’s divestitures of its Asia consumer banking businesses and (ii) the planned IPO of Mexico consumer banking and small business and middle-market banking within All Other—Legacy Franchises. Adjustments are included in Legacy Franchises within All Other and are reflected in the reconciliations above to arrive at Citi’s reported results in the Consolidated Statement of Income.

101105

4.  INTEREST REVENUEINCOME AND EXPENSE

Interest revenueincome and Interest expense consisted of the following:

Three Months Ended June 30,Six Months Ended June 30,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
In millions of dollarsIn millions of dollars2023202220232022
Interest revenue 
In millions of dollars
In millions of dollars
Interest income
Interest income
Interest income
Consumer loans
Consumer loans
Consumer loansConsumer loans$8,962 $6,601 $17,586 $12,863 
Corporate loansCorporate loans5,094 2,894 9,753 5,348 
Corporate loans
Corporate loans
Loan interest, including fees
Loan interest, including fees
Loan interest, including feesLoan interest, including fees$14,056 $9,495 $27,339 $18,211 
Deposits with banksDeposits with banks3,049 658 6,080 954 
Deposits with banks
Deposits with banks
Securities borrowed and purchased under agreements to resell
Securities borrowed and purchased under agreements to resell
Securities borrowed and purchased under agreements to resellSecurities borrowed and purchased under agreements to resell6,254 805 11,428 1,199 
Investments, including dividendsInvestments, including dividends4,451 2,370 8,595 4,420 
Investments, including dividends
Investments, including dividends
Trading account assets(1)
Trading account assets(1)
Trading account assets(1)
Trading account assets(1)
3,752 1,659 6,499 2,805 
Other interest-earning assets(2)
Other interest-earning assets(2)
1,085 643 2,101 1,192 
Total interest revenue$32,647 $15,630 $62,042 $28,781 
Other interest-earning assets(2)
Other interest-earning assets(2)
Total interest income
Total interest income
Total interest income
Interest expense
Interest expense
Interest expenseInterest expense
DepositsDeposits$8,727 $1,420 $16,435 $2,291 
Deposits
Deposits
Securities loaned and sold under agreements to repurchase
Securities loaned and sold under agreements to repurchase
Securities loaned and sold under agreements to repurchaseSecurities loaned and sold under agreements to repurchase4,953 655 8,519 937 
Trading account liabilities(1)
Trading account liabilities(1)
870 137 1,657 284 
Trading account liabilities(1)
Trading account liabilities(1)
Short-term borrowings and other interest-bearing liabilities(3)
Short-term borrowings and other interest-bearing liabilities(3)
Short-term borrowings and other interest-bearing liabilities(3)
Short-term borrowings and other interest-bearing liabilities(3)
1,777 268 3,426 323 
Long-term debtLong-term debt2,420 1,186 4,757 2,111 
Long-term debt
Long-term debt
Total interest expense
Total interest expense
Total interest expenseTotal interest expense$18,747 $3,666 $34,794 $5,946 
Net interest incomeNet interest income$13,900 $11,964 $27,248 $22,835 
Net interest income
Net interest income
Provision for credit losses on loans
Provision for credit losses on loans
Provision for credit losses on loansProvision for credit losses on loans1,761 1,384 3,498 1,644 
Net interest income after provision for credit losses on loansNet interest income after provision for credit losses on loans$12,139 $10,580 $23,750 $21,191 
Net interest income after provision for credit losses on loans
Net interest income after provision for credit losses on loans

(1)Interest expense on Trading account liabilities of ICGServices, Markets and Banking is reported as a reduction of Interest revenueincome. Interest revenueincome and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(2)Includes assets from businesses held-for-sale (see Note 2) and Brokerage receivables.
(3)Includes liabilities from businesses held-for-sale (see Note 2) and Brokerage payables.

102106

5.  COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES

Commissions and Fees
For additional information on Citi’s commissionsThe primary components of Commissions and fees revenue are investment banking fees, brokerage commissions, credit card and administrationbank card income, deposit-related fees and other fiduciary fees, seetransactional service fees. See Note 3 for segment results and Note 5 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.10-K for additional information on Citi’s commissions and fees.

The following tables presenttable presents Commissions and fees revenue:

Three Months Ended June 30, 2023Six Months Ended June 30, 2023
In millions of dollarsICGPBWMLegacy FranchisesTotalICGPBWMLegacy FranchisesTotal
Investment banking$598 $— $— $598 $1,324 $— $— $1,324 
Brokerage commissions360 182 34 576 774 359 78 1,211 
Credit and bank card income
Interchange fees361 2,555 164 3,080 694 4,902 334 5,930 
Card-related loan fees17 37 66 120 30 80 128 238 
Card rewards and partner payments(1)
(202)(2,904)(91)(3,197)(376)(5,567)(183)(6,126)
Deposit-related fees(2)
272 18 9 299 524 58 17 599 
Transactional service fees303 6 25 334 592 10 50 652 
Corporate finance(3)
86 — — 86 185 3 — 188 
Insurance distribution revenue— 61 27 88 — 119 61 180 
Insurance premiums— 1 25 26 — 2 46 48 
Loan servicing8 11 4 23 17 26 7 50 
Other1 51 48 99 7 107 89 204 
Total commissions and fees(4)
$1,804 $18 $311 $2,132 $3,771 $99 $627 $4,498 

Three Months Ended June 30, 2022Six Months Ended June 30, 2022
In millions of dollarsICGPBWMLegacy FranchisesTotalICGPBWMLegacy FranchisesTotal
Investment banking$845 $— $— $845 $1,753 $— $— $1,753 
Brokerage commissions393 213 53 659 853 454 121 1,428 
Credit and bank card income
Interchange fees321 2,435 227 2,983 561 4,534 448 5,543 
Card-related loan fees11 73 79 163 20 137 160 317 
Card rewards and partner payments(1)
(165)(2,871)(160)(3,196)(282)(5,370)(332)(5,984)
Deposit-related fees(2)
279 44 19 342 546 103 36 685 
Transactional service fees267 5 26 298 521 9 52 582 
Corporate finance(3)
136 — — 136 252 3 — 255 
Insurance distribution revenue— 56 33 89 — 108 69 177 
Insurance premiums— 1 22 23 — 2 46 48 
Loan servicing7 12 4 23 19 22 7 48 
Other3 49 35 87 2 97 69 168 
Total commissions and fees(4)
$2,097 $17 $338 $2,452 $4,245 $99 $676 $5,020 
Three Months Ended March 31,
In millions of dollars20242023
Investment banking(1)
$873 $726 
Brokerage commissions(2)
619 637 
Credit and bank card income(3)
Interchange fees2,911 2,849 
Card-related loan fees130 118 
Card rewards and partner payments(4)
(2,917)(2,928)
Deposit-related fees(5)
340 299 
Transactional service fees(6)
340 319 
Corporate finance(7)
199 102 
Insurance distribution revenue(8)
84 92 
Insurance premiums(9)
25 22 
Loan servicing14 28 
Other106 102 
Total(10)
$2,724 $2,366 

(1)    Investment banking fees are earned primarily by Banking and Markets. For the periods presented, the contract liability amount was negligible.
(2)    Brokerage commissions are earned primarily by Markets and Wealth. The Company recognized $108 million and $116 million of revenue related to variable consideration for the three months ended March 31, 2024 and 2023, respectively. These amounts primarily relate to performance obligations satisfied in prior periods.
(3)    Credit card and bank card income is earned primarily by USPB and Services.
(4)    As described above, 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 an increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, would generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales and new account acquisitions.
(2)(5)    Overdraft fees are accounted for under ASC 310. Citi eliminated overdraft fees, returned item fees and overdraft protection fees beginning in June 2022. Includes overdraft
(6)    Transactional service fees (prior to the elimination of overdraft fees in June 2022) of $0 and $28 million for the three months ended June 30, 2023 and 2022, respectively.are earned primarily by Services.
(3)(7)    Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
(8)    Insurance distribution revenue is earned primarily by Wealth and Legacy Franchises within All Other.
(4)(9)Insurance premiums are earned primarily by Legacy Franchises within All Other.
(10)    Commissions and fees include $(2,940)$(2,538) million and $(2,811)$(2,656) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended June 30,March 31, 2024 and 2023, and 2022, respectively, and $(5,599) million and $(5,240) million for the six months ended June 30, 2023 and 2022, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.


Administration and Other Fiduciary Fees
103Administration and other fiduciary fees revenue is primarily composed of custody fees and fiduciary fees. See Note 3 for segment results and Note 5 to the Consolidated Financial Statements in Citi’s 2023 Form 10-K for additional information on Citi’s administration and other fiduciary fees.

The following tables presenttable presents Administration and other fiduciary fees revenue:

Three Months Ended June 30, 2023Six Months Ended June 30, 2023
In millions of dollarsICGPBWMLegacy FranchisesTotalICGPBWMLegacy FranchisesTotal
Custody fees$485 $22 $3 $510 $902 $42 $11 $955 
Fiduciary fees69 185 90 344 144 338 172 654 
Guarantee fees126 7 1 135 258 15 3 276 
Total administration and other fiduciary fees(1)
$680 $214 $94 $989 $1,304 $395 $186 $1,885 

Three Months Ended June 30, 2022Six Months Ended June 30, 2022
In millions of dollarsICGPBWMLegacy FranchisesTotalICGPBWMLegacy FranchisesTotal
Custody fees$506 $22 $2 $530 $952 $45 $5 $1,002 
Fiduciary fees68 196 79 343 133 401 159 693 
Guarantee fees134 14 2 150 266 24 4 294 
Total administration and other fiduciary fees(1)
$708 $232 $83 $1,023 $1,351 $470 $168 $1,989 
Three Months Ended March 31,
In millions of dollars20242023
Custody fees(1)
$514 $444 
Fiduciary fees(2)
392 310 
Guarantee fees131 142 
Total administration and other fiduciary fees(3)
$1,037 $896 

(1)    Custody fees are earned primarily by Services.
(2)    Fiduciary fees are earned primarily by Wealth and Legacy Franchises within All Other.
(3)    Administration and other fiduciary fees include $135$131 million and $150$142 million for the three months ended June 30,March 31, 2024 and 2023, and 2022, respectively, and $276 million and $294 million for the six months ended June 30, 2023 and 2022, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These generally include guarantee fees.

104107

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 (as such, the trading desks can be periodically reorganized and thus the risk categories). Not included in the table below is the impact of net interest income related to trading activities, which is an integral part of the profitability of trading activities’ profitabilityactivities (see Note 4 for information about net interest income 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 ICGServices, Markets and Banking. These adjustments are discussed further in Note 22.23.
In certain transactions, Citi incurs fees and presents these fees paid to third parties in operating expenses.
The following table presents Principal transactions revenue:


Three Months Ended June 30,Six Months Ended June 30,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars2023202220232022
Interest rate risks(1)
Interest rate risks(1)
$594 $1,418 $1,974 $2,688 
Interest rate risks(1)
Interest rate risks(1)
Foreign exchange risks(2)
Foreign exchange risks(2)
Foreign exchange risks(2)
Foreign exchange risks(2)
1,334 1,672 2,827 3,419 
Equity risks(3)
Equity risks(3)
205 345 839 1,276 
Equity risks(3)
Equity risks(3)
Commodity and other risks(4)
Commodity and other risks(4)
Commodity and other risks(4)
Commodity and other risks(4)
469 612 967 1,063 
Credit products and risks(5)
Credit products and risks(5)
(74)478 (140)669 
Credit products and risks(5)
Credit products and risks(5)
TotalTotal$2,528 $4,525 $6,467 $9,115 
Total
Total

(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 corporate debt, secondary trading loans, mortgage securities, single name and index credit default swaps, and structured credit products.
105108

7. INCENTIVE PLANS

For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 20222023 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 20222023 Form 10-K.

Net Expense (Benefit) Expense
The following table summarizes the components of net expense (benefit) expense recognized in the Consolidated Statement of Income for the Company’s pension and postretirement benefit plans for Significant Plans and All Other 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 June 30,
Three Months Ended March 31,Three Months Ended March 31,
Pension plansPostretirement benefit plans Pension plansPostretirement benefit plans
U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollarsIn millions of dollars20232022202320222023202220232022In millions of dollars20242023202420232024202320242023
Service costService cost$— $— $30 $30 $— $— $— $— 
Service cost
Service cost
Interest cost on benefit obligationInterest cost on benefit obligation123 105 102 79 4 4 27 23 
Expected return on assetsExpected return on assets(160)(154)(82)(66)(4)(3)(20)(18)
Amortization of unrecognized:Amortization of unrecognized:     Amortization of unrecognized:     
Prior service (benefit)— — (1)(1)(3)(3)(2)(1)
Prior service cost (benefit)
Net actuarial loss (gain)Net actuarial loss (gain)41 44 15 14 (2)(2)(5)1 
Curtailment (gain)(1)
Curtailment (gain)(1)
— — — (23)— — — — 
Settlement loss (gain)(1)
— — 1 (10)— — — — 
Settlement loss(1)
Total net expense (benefit)Total net expense (benefit)$4 $(5)$65 $23 $(5)$(4)$— $5 
Total net expense (benefit)
Total net expense (benefit)

(1)    Curtailment and settlement relate to divestiture and wind-down activities.

Six Months Ended June 30,
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20232022202320222023202220232022
Service cost$— $— $58 $64 $— $— $1 $1 
Interest cost on benefit obligation250 191 200 152 9 7 52 46 
Expected return on assets(321)(308)(163)(132)(7)(6)(39)(38)
Amortization of unrecognized:     
Prior service cost (benefit)1 1 (3)(3)(5)(5)(4)(4)
Net actuarial loss (gain)79 100 34 27 (5)(3)(10)2 
Curtailment (gain)(1)
— — (8)(23)— — — — 
Settlement loss (gain)(1)
— — 4 (10)— — — — 
Total net expense (benefit)$9 $(16)$122 $75 $(8)$(7)$— $7 

(1)    Curtailment and settlement relate to divestiture and wind-down activities.
106109

Funded Status and Accumulated Other Comprehensive Income (AOCI)
The following table summarizes the funded status and amounts recognized on the Consolidated Balance Sheet for the Company’s Significant Plans:pension and postretirement benefit plans:

Three Months Ended March 31, 2024
Three Months Ended March 31, 2024
Three Months Ended March 31, 2024
Pension plansPostretirement benefit plans
In millions of dollarsIn millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
Change in projected benefit obligation
Change in projected benefit obligation
Change in projected benefit obligation   
Projected benefit obligation at beginning of year
Projected benefit obligation at beginning of year
Projected benefit obligation at beginning of year
Plans measured annually
Six Months Ended June 30, 2023
Pension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
Change in projected benefit obligation   
Projected benefit obligation at beginning of year$9,741 $6,375 $375 $1,013 
Plans measured annually(19)(1,774)— (193)
Projected benefit obligation at beginning of year—Significant PlansProjected benefit obligation at beginning of year—Significant Plans$9,722 $4,601 $375 $820 
First-quarter activity160 241 (1)70 
Projected benefit obligation at March 31, 2023—Significant Plans$9,882 $4,842 $374 $890 
Projected benefit obligation at beginning of year—Significant Plans
Projected benefit obligation at beginning of year—Significant Plans
Service costService cost— 12 — — 
Service cost
Service cost
Interest cost on benefit obligationInterest cost on benefit obligation122 84 4 23 
Actuarial (gain) loss(157)3 (20)23 
Actuarial (gain)
Benefits paid, net of participants’ contributionsBenefits paid, net of participants’ contributions(230)(83)(11)(19)
Foreign exchange impact and otherForeign exchange impact and other— 163 — 48 
Foreign exchange impact and other
Foreign exchange impact and other
Projected benefit obligation at period end—Significant Plans
Projected benefit obligation at period end—Significant Plans
Projected benefit obligation at period end—Significant PlansProjected benefit obligation at period end—Significant Plans$9,617 $5,021 $347 $965 
Change in plan assetsChange in plan assets   Change in plan assets   
Plan assets at fair value at beginning of yearPlan assets at fair value at beginning of year$10,145 $6,086 $253 $855 
Plan assets at fair value at beginning of year
Plan assets at fair value at beginning of year
Plans measured annuallyPlans measured annually— (1,226)— (7)
Plan assets at fair value at beginning of year—Significant PlansPlan assets at fair value at beginning of year—Significant Plans$10,145 $4,860 $253 $848 
First-quarter activity143 225 5 73 
Plan assets at fair value at March 31, 2023—Significant Plans$10,288 $5,085 $258 $921 
Actual return on plan assets
Actual return on plan assets
Actual return on plan assetsActual return on plan assets86 (75)2 (4)
Company contributions, net of reimbursementsCompany contributions, net of reimbursements13 9 7 — 
Benefits paid, net of participants’ contributions
Benefits paid, net of participants’ contributions
Benefits paid, net of participants’ contributionsBenefits paid, net of participants’ contributions(230)(83)(11)(19)
Foreign exchange impact and otherForeign exchange impact and other— 143 — 47 
Foreign exchange impact and other
Foreign exchange impact and other
Plan assets at fair value at period end—Significant PlansPlan assets at fair value at period end—Significant Plans$10,157 $5,079 $256 $945 
Plan assets at fair value at period end—Significant Plans
Plan assets at fair value at period end—Significant Plans
Qualified plans(1)
Qualified plans(1)
Qualified plans(1)
Qualified plans(1)
$1,063 $58 $(91)$(20)
Nonqualified plans(2)
Nonqualified plans(2)
(523)— — — 
Funded status of the plans at period end—Significant PlansFunded status of the plans at period end—Significant Plans$540 $58 $(91)$(20)
Net amount recognized at period endNet amount recognized at period end   Net amount recognized at period end   
Benefit assetBenefit asset$1,063 $737 $— $— 
Benefit liabilityBenefit liability(523)(679)(91)(20)
Net amount recognized on the balance sheet—Significant PlansNet amount recognized on the balance sheet—Significant Plans$540 $58 $(91)$(20)
Amounts recognized in AOCI at period end(3)
Amounts recognized in AOCI at period end(3)
   
Amounts recognized in AOCI at period end(3)
   
Prior service (expense) benefitPrior service (expense) benefit$— $(2)$78 $36 
Prior service (expense) benefit
Prior service (expense) benefit
Net actuarial (loss) gainNet actuarial (loss) gain(6,343)(1,561)127 (335)
Net amount recognized in equity (pretax)—Significant Plans$(6,343)$(1,563)$205 $(299)
Net amount recognized in AOCI (pretax)—Significant Plans
Accumulated benefit obligation at period end—Significant PlansAccumulated benefit obligation at period end—Significant Plans$9,617 $4,839 $347 $965 

(1)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, 20232024 and no minimum required funding is expected for 2023.2024.
(2)The nonqualified plans of the Company are unfunded.
(3)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.




107110

The following table presents the change in AOCI related to the Company’s pension, postretirement and post employment plans:

In millions of dollarsIn millions of dollarsThree Months Ended
June 30, 2023		Six Months Ended June 30, 2023Three Months Ended June 30, 2022Six Months Ended June 30, 2022
In millions of dollars
In millions of dollars
Beginning of period balance, net of tax(1)(2)
Beginning of period balance, net of tax(1)(2)
Beginning of period balance, net of tax(1)(2)
Beginning of period balance, net of tax(1)(2)
$(5,859)$(5,755)$(5,681)$(5,852)
Actuarial assumptions changes and plan experienceActuarial assumptions changes and plan experience154 (115)1,499 3,024 
Net asset (loss) due to difference between actual and expected returns(245)(62)(1,675)(3,137)
Net amortization45 88 52 116 
Curtailment/settlement loss (gain)(3)
1 (4)(32)(32)
Actuarial assumptions changes and plan experience
Actuarial assumptions changes and plan experience
Net asset (loss) gain due to difference between actual and expected returns
Net asset (loss) gain due to difference between actual and expected returns
Net asset (loss) gain due to difference between actual and expected returns
Net amortization
Net amortization
Net amortization
Prior service benefit
Prior service benefit
Prior service benefit
Curtailment/settlement gain
Curtailment/settlement gain
Curtailment/settlement gain
Foreign exchange impact and other
Foreign exchange impact and other
Foreign exchange impact and otherForeign exchange impact and other(111)(219)83 133 
Change in deferred taxes, netChange in deferred taxes, net20 72 (16)(22)
Change in deferred taxes, net
Change in deferred taxes, net
Change, net of tax
Change, net of tax
Change, net of taxChange, net of tax$(136)$(240)$(89)$82 
End of period balance, net of tax(1)(2)
End of period balance, net of tax(1)(2)
$(5,995)$(5,995)$(5,770)$(5,770)
End of period balance, net of tax(1)(2)
End of period balance, net of tax(1)(2)

(1)See Note 1819 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 divestiture activities.

Plan Assumptions
Certain assumptions used in determining pension and postretirement benefit obligations and net benefit expense for the Company’s Significant Plans are as follows:presented in the following tables:

During the periodThree Months Ended
Mar. 31, 2024Dec. 31, 2023Mar. 31, 2023
Discount rate
U.S. plans
Qualified pension5.10%6.05%5.50%
Nonqualified pension5.156.105.55
Postretirement benefit plan5.206.105.60
Non-U.S. plans  
Pension1.35–10.651.85–11.552.20–10.60
Weighted average7.578.357.55
Postretirement benefit plan10.7011.5510.60
Expected return on assets
U.S. plans
Qualified pension5.705.705.70
Postretirement benefit plan5.70/3.005.70/3.005.70/3.00
Non-U.S. plans
Pension4.30–9.604.50–9.904.50–9.90
Weighted average6.576.706.40
Postretirement benefit plan9.408.708.70

During the periodThree Months Ended
Jun. 30, 2023Mar. 31, 2023Jun. 30, 2022
Discount rate
U.S. plans
Qualified pension5.15%5.50%3.80%
Nonqualified pension5.205.553.85
Postretirement5.255.603.85
Non-U.S. plans  
Pension2.05–10.652.20–10.601.10–10.00
Weighted average7.647.555.55
Postretirement10.7010.6010.10
Expected return on assets
U.S. plans
Qualified pension5.705.705.00
Postretirement5.70/3.005.70/3.005.00/1.50
Non-U.S. plans
Pension4.10–9.904.50–9.901.90–8.00
Weighted average6.266.404.15
Postretirement8.708.708.00









At period ended(1)
Mar. 31, 2024Dec. 31, 2023Mar. 31, 2023
Discount rate
U.S. plans
Qualified pension5.30%5.10%5.15%
Nonqualified pension5.405.155.20
Postretirement benefit plan5.405.205.25
Non-U.S. plans   
Pension1.35–11.001.35–10.652.05–10.65
Weighted average7.927.577.64
Postretirement benefit plan11.0510.7010.70
Expected return on assets
U.S. plans
Qualified pension5.705.705.70
Postretirement benefit plan5.70/3.005.70/3.005.70/3.00
Non-U.S. plans
Pension4.20–9.604.30–9.604.10–9.90
Weighted average6.516.576.26
Postretirement benefit plan9.409.408.70

(1)    Discount rates and expected return on assets at the end of each quarter are utilized in the following quarter’s expense.



111

Sensitivities of Certain Key Assumptions
The following table summarizes the estimated effect on the Company’s Significant Plans quarterly net expense (benefit) of a one-percentage-point change in the discount rate:

Three Months Ended March 31, 2024
In millions of dollarsOne-percentage-point increaseOne-percentage-point decrease
Pension
U.S. plans$6 $(7)
Non-U.S. plans(2)4 


Contributions















At period endedJun. 30, 2023Mar. 31, 2023Jun. 30, 2022
Discount rate
U.S. plans
Qualified pension5.40%5.15%4.80%
Nonqualified pension5.455.204.80
Postretirement5.505.254.75
Non-U.S. plans   
Pension1.80–10.402.05–10.652.00–10.75
Weighted average7.727.646.68
Postretirement10.4010.7010.75
Expected return on assets
U.S. plans
Qualified pension5.705.705.00
Postretirement5.70/3.005.70/3.005.00/1.50
Non-U.S. plans
Pension4.50–9.904.10–9.902.00–8.00
Weighted average6.566.264.72
Postretirement8.708.708.00

Sensitivities of Certain Key Assumptions
The following table summarizes the estimated effect on the Company’s Significant Plans quarterly expense of a one-percentage-point change in the discount rate:

Three Months Ended June 30, 2023
In millions of dollarsOne-percentage-point increaseOne-percentage-point decrease
Pension
U.S. plans$6 $(7)
Non-U.S. plans(1)3 
Postretirement
Non-U.S. plans(1)1 
108

Contributions
For the U.S. pension plans, there were no required minimum cash contributions during the first sixthree months of 2023.2024.
The following table summarizes the Company’s actual contributions for the sixthree months ended June 30,March 31, 2024 and 2023, and 2022, as well as expected Company contributions for the remainder of 20232024 and the actual contributions made in 2022:2023:

Pension plans Postretirement plans Pension plans Postretirement benefit plans 
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollarsIn millions of dollars20232022202320222023202220232022
Company contributions (reimbursements)(2)(3) for the six months ended June 30
$28 $28 $60 $389 $20 $(1)$5 $5 
Company contributions made during the remainder of the year(3)
— 27 — 105 — 15 — 4 
In millions of dollars
In millions of dollars
Company contributions(2) for the three months ended March 31
Company contributions(2) for the three months ended March 31
Company contributions(2) for the three months ended March 31
Company net contributions (reimbursements) made during the remainder of the year
Company net contributions (reimbursements) made during the remainder of the year
Company net contributions (reimbursements) made during the remainder of the year
Company contributions expected to be made during the remainder of the year
Company contributions expected to be made during the remainder of the year
Company contributions expected to be made during the remainder of the yearCompany contributions expected to be made during the remainder of the year32 52 2 5 

(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 June 30,Six Months Ended June 30,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars2023202220232022
U.S. plansU.S. plans$137 $119 $275 $238 
U.S. plans
U.S. plans
Non-U.S. plansNon-U.S. plans114 99 228 205 
Non-U.S. plans
Non-U.S. plans


Post Employment Plans
The following table summarizes the net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:

Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2023202220232022
Service-related expense
Amortization of unrecognized:
Net actuarial loss$1 $1 $1 $1 
Total service-related expense$1 $1 $1 $1 
Non-service-related expense— 1 5 6 
Total net expense$1 $2 $6 $7 
Three Months Ended March 31,
In millions of dollars20242023
Non-service-related expense$5 $5 
Total net expense$5 $5 





109112

9. RESTRUCTURING

As previously disclosed, Citi is pursuing various initiatives to simplify the Company and further align its organizational structure with its business strategy. As part of its overall simplification initiatives, in the fourth quarter of 2023, Citi eliminated the previous Institutional Clients Group and Personal Banking and Wealth Management layers, exited certain institutional business lines, and consolidated its regional structure, creating one international group, while centralizing client capabilities and streamlining its global staff functions. Citi recorded approximately $781 million of restructuring charges in the fourth quarter of 2023 related to the initial implementation of its organizational simplification initiatives.
During the first quarter of 2024, Citi incurred additional net restructuring charges of approximately $225 million related to the continued implementation of its organizational simplification initiatives. Citi has recorded net restructuring charges of approximately $1.0 billion program-to-date.
Restructuring charges are recorded as a separate line item within Operating expenses in the Company’s Consolidated Statement of Income. These charges were included within All Other—Corporate/Other.
The following costs associated with these initiatives are included in restructuring charges:

•Personnel costs: severance costs associated with actual headcount reductions (as well as those that were probable and could be reasonably estimated)
•Other: costs associated with contract terminations and other direct costs associated with the restructuring, including asset write-downs (non-cash write-downs of capitalized software, which are included in Premises and equipment related to exited businesses)





The following table is a rollforward of the liability related to the restructuring charges:

In millions of dollarsPersonnel
costs		OtherTotal
Balance at December 31, 2022$— $— $— 
4Q23 restructuring charges687 94 781 
4Q23 payments and utilization— (69)(69)
Foreign exchange— — — 
Balance at December 31, 2023$687 $25 $712 
Restructuring charges$237 $54 $291 
Change in estimate(1)
(66)— (66)
Net restructuring charges$171 $54 $225 
Payments and utilization$(127)$(46)$(173)
Foreign exchange— — — 
Balance at March 31, 2024$731 $33 $764 

(1)    Revisions primarily relate to higher-than-anticipated redeployments of displaced employees to other positions within the Company, job function releveling and employee attrition.

113

10.  EARNINGS PER SHARE

The following table reconciles the income and share data used in the basic and diluted earnings per share (EPS) computations:

Three Months Ended June 30,Six Months Ended June 30,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
In millions of dollars, except per share amounts
In millions of dollars, except per share amounts
In millions of dollars, except per share amountsIn millions of dollars, except per share amounts2023202220232022
Earnings per common shareEarnings per common share
Earnings per common share
Earnings per common share
Income from continuing operations before attribution of noncontrolling interests
Income from continuing operations before attribution of noncontrolling interests
Income from continuing operations before attribution of noncontrolling interestsIncome from continuing operations before attribution of noncontrolling interests$2,952 $4,789 $7,604 $9,114 
Less: Noncontrolling interests from continuing operationsLess: Noncontrolling interests from continuing operations36 21 81 38 
Less: Noncontrolling interests from continuing operations
Less: Noncontrolling interests from continuing operations
Net income from continuing operations (for EPS purposes)
Net income from continuing operations (for EPS purposes)
Net income from continuing operations (for EPS purposes)Net income from continuing operations (for EPS purposes)$2,916 $4,768 $7,523 $9,076 
Income (loss) from discontinued operations, net of taxesIncome (loss) from discontinued operations, net of taxes(1)(221)(2)(223)
Income (loss) from discontinued operations, net of taxes
Income (loss) from discontinued operations, net of taxes
Citigroup’s net income
Citigroup’s net income
Citigroup’s net incomeCitigroup’s net income$2,915 $4,547 $7,521 $8,853 
Less: Preferred dividendsLess: Preferred dividends288 238 565 517 
Less: Preferred dividends
Less: Preferred dividends
Net income available to common shareholdersNet income available to common shareholders$2,627 $4,309 $6,956 $8,336 
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS33 35 68 60 
Net income available to common shareholders
Net income available to common shareholders
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, and other relevant items(1), applicable to basic EPS
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, and other relevant items(1), applicable to basic EPS
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, and other relevant items(1), applicable to basic EPS
Net income allocated to common shareholders for basic EPS
Net income allocated to common shareholders for basic EPS
Net income allocated to common shareholders for basic EPSNet income allocated to common shareholders for basic EPS$2,594 $4,274 $6,888 $8,276 
Weighted-average common shares outstanding applicable to basic EPS (in millions)
Weighted-average common shares outstanding applicable to basic EPS (in millions)
1,942.8 1,941.5 1,943.2 1,956.6 
Basic earnings per share(1)
Weighted-average common shares outstanding applicable to basic EPS (in millions)
Weighted-average common shares outstanding applicable to basic EPS (in millions)
Basic earnings per share(2)
Basic earnings per share(2)
Basic earnings per share(2)
Income from continuing operations
Income from continuing operations
Income from continuing operationsIncome from continuing operations$1.34 $2.32 $3.55 $4.34 
Discontinued operationsDiscontinued operations— (0.11)— (0.11)
Net income per share—basic$1.34 $2.20 $3.54 $4.23 
Discontinued operations
Discontinued operations
Net income per share—basic(4)
Net income per share—basic(4)
Net income per share—basic(4)
Diluted earnings per share
Diluted earnings per share
Diluted earnings per shareDiluted earnings per share
Net income allocated to common shareholders for basic EPSNet income allocated to common shareholders for basic EPS$2,594 $4,274 $6,888 $8,276 
Net income allocated to common shareholders for basic EPS
Net income allocated to common shareholders for basic EPS
Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable
Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable
Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitableAdd back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable15 11 26 19 
Net income allocated to common shareholders for diluted EPSNet income allocated to common shareholders for diluted EPS$2,609 $4,285 $6,914 $8,295 
Net income allocated to common shareholders for diluted EPS
Net income allocated to common shareholders for diluted EPS
Weighted-average common shares outstanding applicable to basic EPS (in millions)
Weighted-average common shares outstanding applicable to basic EPS (in millions)
1,942.8 1,941.5 1,943.2 1,956.6 
Effect of dilutive securities
Options(2)
— — — — 
Weighted-average common shares outstanding applicable to basic EPS (in millions)
Weighted-average common shares outstanding applicable to basic EPS (in millions)
Effect of dilutive securities(3)
Effect of dilutive securities(3)
Effect of dilutive securities(3)
Other employee plansOther employee plans25.8 16.6 23.1 16.6 
Adjusted weighted-average common shares outstanding applicable to diluted EPS
(in millions)(3)
1,968.6 1,958.1 1,966.3 1,973.2 
Diluted earnings per share(1)
    
Other employee plans
Other employee plans
Adjusted weighted-average common shares outstanding applicable to diluted EPS
(in millions)
Adjusted weighted-average common shares outstanding applicable to diluted EPS
(in millions)
Adjusted weighted-average common shares outstanding applicable to diluted EPS
(in millions)
Diluted earnings per share(2)
Diluted earnings per share(2)
Diluted earnings per share(2)
Income from continuing operations
Income from continuing operations
Income from continuing operationsIncome from continuing operations$1.33 $2.30 $3.52 $4.32 
Discontinued operationsDiscontinued operations— (0.11)— (0.11)
Discontinued operations
Discontinued operations
Net income per share—diluted(4)
Net income per share—diluted(4)
$1.33 $2.19 $3.52 $4.20 
Net income per share—diluted(4)
Net income per share—diluted(4)

(1)Other relevant items include issuance costs of $12 million related to the remaining redemption of preferred stock Series J. These issuance costs were reclassified from Additional paid-in capital to Retained earnings upon redemption of the preferred stock. See Note 20.
(2)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
(2)(3)    During the secondfirst quarters of 2024 and 2023, and 2022,there were no significantweighted-average options to purchase shares of common stock were outstanding.
(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.
(4)    Due to rounding, income from continuing operations and discontinued operations may not sum to net income per share—diluted.

110114

10.
11. 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 1112 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.
Securities borrowed and purchased under agreements to resell, at their respective carrying values, consisted of the following:

In millions of dollarsIn millions of dollarsJune 30,
2023		December 31, 2022In millions of dollarsMarch 31,
2024		December 31, 2023
Securities purchased under agreements to resellSecurities purchased under agreements to resell$266,952 $291,272 
Deposits paid for securities borrowedDeposits paid for securities borrowed70,177 74,165 
Total, net(1)
Total, net(1)
$337,129 $365,437 
Allowance for credit losses on securities purchased and borrowed(2)
Allowance for credit losses on securities purchased and borrowed(2)
(26)(36)
Total, net of allowanceTotal, net of allowance$337,103 $365,401 

Securities loaned and sold under agreements to repurchase, at their respective carrying values, consisted of the following:

In millions of dollarsIn millions of dollarsJune 30,
2023		December 31, 2022In millions of dollarsMarch 31,
2024		December 31, 2023
Securities sold under agreements to repurchaseSecurities sold under agreements to repurchase$247,294 $183,827 
Deposits received for securities loanedDeposits received for securities loaned12,741 18,617 
Total, net(1)
Total, net(1)
$260,035 $202,444 

(1)    The above tables do not include securities-for-securities lending transactions of $5.9$4.1 billion and $4.4$4.3 billion at June 30, 2023March 31, 2024 and December 31, 2022,2023, 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 for further information.15.

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 2223 and 23.24. 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 23.24. 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 June 30, 2023 As of March 31, 2024
In millions of dollarsIn millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet
Amounts not offset on the Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities purchased under agreements to resellSecurities purchased under agreements to resell$485,998 $219,046 $266,952 $242,215 $24,737 
Deposits paid for securities borrowedDeposits paid for securities borrowed86,876 16,699 70,177 12,418 57,759 
TotalTotal$572,874 $235,745 $337,129 $254,633 $82,496 
111115

In millions of dollarsIn millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net amounts(3)
Securities sold under agreements to repurchaseSecurities sold under agreements to repurchase$466,340 $219,046 $247,294 $151,953 $95,341 
Deposits received for securities loanedDeposits received for securities loaned29,440 16,699 12,741 1,893 10,848 
TotalTotal$495,780 $235,745 $260,035 $153,846 $106,189 
As of December 31, 2022
In millions of dollarsIn millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
In millions of dollars
In millions of dollars
Securities purchased under agreements to resell
Securities purchased under agreements to resell
Securities purchased under agreements to resellSecurities purchased under agreements to resell$403,663 $112,391 $291,272 $204,077 $87,195 
Deposits paid for securities borrowedDeposits paid for securities borrowed88,817 14,652 74,165 13,844 60,321 
Deposits paid for securities borrowed
Deposits paid for securities borrowed
TotalTotal$492,480 $127,043 $365,437 $217,921 $147,516 
Total
Total
In millions of dollarsIn millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchaseSecurities sold under agreements to repurchase$296,218 $112,391 $183,827 $71,635 $112,192 
Deposits received for securities loanedDeposits received for securities loaned33,269 14,652 18,617 2,542 16,075 
TotalTotal$329,487 $127,043 $202,444 $74,177 $128,267 

(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(2)Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.
(3)Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

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

As of June 30, 2023
As of March 31, 2024As of March 31, 2024
In millions of dollarsIn millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotalIn millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchaseSecurities sold under agreements to repurchase$277,705 $107,162 $25,550 $55,923 $466,340 
Deposits received for securities loanedDeposits received for securities loaned21,543 304 645 6,948 29,440 
TotalTotal$299,248 $107,466 $26,195 $62,871 $495,780 

As of December 31, 2022
As of December 31, 2023As of December 31, 2023
In millions of dollarsIn millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotalIn millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchaseSecurities sold under agreements to repurchase$138,710 $86,819 $25,119 $45,570 $296,218 
Deposits received for securities loanedDeposits received for securities loaned25,388 267 2,121 5,493 33,269 
TotalTotal$164,098 $87,086 $27,240 $51,063 $329,487 
112116

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

As of June 30, 2023
As of March 31, 2024As of March 31, 2024
In millions of dollarsIn millions of dollarsRepurchase agreementsSecurities lending agreementsTotalIn millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securitiesU.S. Treasury and federal agency securities$185,547 $544 $186,091 
State and municipal securitiesState and municipal securities1,465 — 1,465 
Foreign government securitiesForeign government securities176,437 593 177,030 
Corporate bondsCorporate bonds16,729 246 16,975 
Equity securitiesEquity securities21,548 27,561 49,109 
Mortgage-backed securitiesMortgage-backed securities54,842 314 55,156 
Asset-backed securitiesAsset-backed securities2,906 — 2,906 
OtherOther6,866 182 7,048 
TotalTotal$466,340 $29,440 $495,780 

As of December 31, 2022
As of December 31, 2023As of December 31, 2023
In millions of dollarsIn millions of dollarsRepurchase agreementsSecurities lending agreementsTotalIn millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securitiesU.S. Treasury and federal agency securities$99,979 $106 $100,085 
State and municipal securitiesState and municipal securities1,911 — 1,911 
Foreign government securitiesForeign government securities123,826 13 123,839 
Corporate bondsCorporate bonds14,308 45 14,353 
Equity securitiesEquity securities9,749 33,096 42,845 
Mortgage-backed securitiesMortgage-backed securities36,225 — 36,225 
Asset-backed securitiesAsset-backed securities1,755 — 1,755 
OtherOther8,465 9 8,474 
TotalTotal$296,218 $33,269 $329,487 


113117

11.
12. 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 1213 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:

In millions of dollarsIn millions of dollarsJune 30,
2023		December 31, 2022In millions of dollarsMarch 31,
2024		December 31, 2023
Receivables from customersReceivables from customers$16,305 $15,462 
Receivables from brokers, dealers and clearing organizationsReceivables from brokers, dealers and clearing organizations44,545 38,730 
Total brokerage receivables(1)
Total brokerage receivables(1)
$60,850 $54,192 
Payables to customersPayables to customers$50,450 $55,747 
Payables to brokers, dealers and clearing organizationsPayables to brokers, dealers and clearing organizations18,983 13,471 
Total brokerage payables(1)
Total brokerage payables(1)
$69,433 $69,218 

(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.
114118

12.13.  INVESTMENTS

For additional information regarding Citi’s investment portfolios, including evaluating investments for impairment, see Note 1314 to the Consolidated Financial Statements
in Citi’s 20222023 Form 10-K.





The following table presents Citi’s investments by category:

In millions of dollarsIn millions of dollarsJune 30,
2023		December 31, 2022In millions of dollarsMarch 31,
2024		December 31, 2023
Debt securities available-for-sale (AFS)
Debt securities available-for-sale (AFS)
Debt securities available-for-sale (AFS)
Debt securities available-for-sale (AFS)
Debt securities available-for-sale (AFS)
Debt securities available-for-sale (AFS)
Debt securities available-for-sale (AFS)
Debt securities available-for-sale (AFS)
Debt securities available-for-sale (AFS)Debt securities available-for-sale (AFS)$237,334 $249,679 
Debt securities held-to-maturity (HTM)(1)
Debt securities held-to-maturity (HTM)(1)
262,066 268,863 
Marketable equity securities carried at fair value(2)
Marketable equity securities carried at fair value(2)
296 429 
Non-marketable equity securities carried at fair value(2)(5)
Non-marketable equity securities carried at fair value(2)(5)
433 466 
Non-marketable equity securities measured using the measurement alternative(3)
Non-marketable equity securities measured using the measurement alternative(3)
1,618 1,676 
Non-marketable equity securities carried at cost(4)
Non-marketable equity securities carried at cost(4)
5,398 5,469 
Total investments(6)
Total investments(6)
$507,145 $526,582 

(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 $24$27 million and $27$25 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 June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively.
(6)    Not included in the balances above is approximately $2 billion of accrued interest receivable at June 30, 2023March 31, 2024 and December 31, 2022,2023, which is included in Other assets on the Consolidated Balance Sheet. The Company does not recognize an allowance for credit losses on accrued interest receivable for AFS and HTM debt securities, consistent with its non-accrual policy, which results in timely write-off of accrued interest. The Company did not reverse through interest income any accrued interest receivables for the quarters ended June 30, 2023March 31, 2024 and 2022.

2023.

The following table presents interest and dividend income on investments:

Three Months Ended June 30,Six Months Ended June 30,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars2023202220232022
Taxable interestTaxable interest$4,284 $2,274 $8,284 $4,287 
Taxable interest
Taxable interest
Interest exempt from U.S. federal income tax
Interest exempt from U.S. federal income tax
Interest exempt from U.S. federal income taxInterest exempt from U.S. federal income tax84 38 169 43 
Dividend incomeDividend income83 58 142 90 
Dividend income
Dividend income
Total interest and dividend income on investmentsTotal interest and dividend income on investments$4,451 $2,370 $8,595 $4,420 
Total interest and dividend income on investments
Total interest and dividend income on investments


The following table presents realized gains and losses on the sales of investments, which exclude impairment losses:

Three Months Ended June 30,Six Months Ended June 30,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars2023202220232022
Gross realized investment gainsGross realized investment gains$91 $27 $179 $180 
Gross realized investment gains
Gross realized investment gains
Gross realized investment lossesGross realized investment losses(42)(85)(58)(158)
Net realized gains (losses) on sales of investments$49 $(58)$121 $22 
Gross realized investment losses
Gross realized investment losses
Net realized gains on sales of investments
Net realized gains on sales of investments
Net realized gains on sales of investments

115119

Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:

June 30, 2023December 31, 2022 March 31, 2024December 31, 2023
In millions of dollarsIn millions of dollarsAmortized
cost		Gross
unrealized
gains		Gross
unrealized
losses		Allowance for credit lossesFair
value		Amortized
cost		Gross
unrealized
gains		Gross
unrealized
losses		Allowance for credit lossesFair
value		In millions of dollarsAmortized
cost		Gross
unrealized
gains		Gross
unrealized
losses		Allowance for credit lossesFair
value		Amortized
cost		Gross
unrealized
gains		Gross
unrealized
losses		Allowance for credit lossesFair
value
Debt securities AFSDebt securities AFS     Debt securities AFS     
Mortgage-backed securities(1)
Mortgage-backed securities(1)
     
Mortgage-backed securities(1)
     
U.S. government-sponsored agency guaranteed(2)(3)
U.S. government-sponsored agency guaranteed(2)(3)
$15,578 $82 $697 $— $14,963 $12,009 $8 $755 $— $11,262 
ResidentialResidential340 — 3 — 337 488 — 3 — 485 
Residential
Residential
CommercialCommercial2 — — — 2 2 — — — 2 
Total mortgage-backed securitiesTotal mortgage-backed securities$15,920 $82 $700 $— $15,302 $12,499 $8 $758 $— $11,749 
U.S. Treasury and federal agency securitiesU.S. Treasury and federal agency securities    U.S. Treasury and federal agency securities    
U.S. TreasuryU.S. Treasury$84,250 $23 $2,030 $— $82,243 $94,732 $50 $2,492 $— $92,290 
Agency obligations— — — — — — — — — — 
Total U.S. Treasury and federal agency securities
Total U.S. Treasury and federal agency securities
Total U.S. Treasury and federal agency securitiesTotal U.S. Treasury and federal agency securities$84,250 $23 $2,030 $— $82,243 $94,732 $50 $2,492 $— $92,290 
State and municipalState and municipal$2,305 $24 $127 $— $2,202 $2,363 $19 $159 $— $2,223 
Foreign governmentForeign government126,967 356 2,053 — 125,270 135,648 569 2,940 — 133,277 
CorporateCorporate5,596 13 277 5 5,327 5,146 19 246 3 4,916 
Asset-backed securities(1)
Asset-backed securities(1)
842 7 3 — 846 1,022 12 4 — 1,030 
Other debt securitiesOther debt securities6,145 2 3 — 6,144 4,198 1 5 — 4,194 
Total debt securities AFSTotal debt securities AFS$242,025 $507 $5,193 $5 $237,334 $255,608 $678 $6,604 $3 $249,679 

(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. See Note 2021 for mortgage- and asset-backed securitizations in which the Company has other involvement.
(2)In January 2023, Citi adopted ASU 2022-01. Upon adoption, Citi transferred $3.3 billion of mortgage-backed securities from HTM classification to AFS classification as allowed under the ASU. At the time of transfer, the securities were in an unrealized gain position of $0.1 billion, which was recorded in AOCI upon transfer. See Note 1 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.
(3)Amortized cost includes unallocated portfolio layer cumulative basis adjustments of $(0.2)$(0.1) billion as of June 30, 2023.March 31, 2024. Gross unrealized gains and gross unrealized losses(losses) on mortgage-backed securities excluding the effect of unallocated portfolio layer cumulative basis adjustments were $32$140 million and $848$(860) million, respectively, as of June 30, 2023.March 31, 2024.


116120

The following table presents the fair value of AFS debt securities that have been in an unrealized loss position:

Less than 12 months12 months or longerTotal Less than 12 months12 months or longerTotal
In millions of dollarsIn millions of dollarsFair
value		Gross
unrealized
losses		Fair
value		Gross
unrealized
losses		Fair
value		Gross
unrealized
losses		In millions of dollarsFair
value		Gross
unrealized
losses		Fair
value		Gross
unrealized
losses		Fair
value		Gross
unrealized
losses
June 30, 2023     
March 31, 2024March 31, 2024     
Debt securities AFSDebt securities AFS     Debt securities AFS     
Mortgage-backed securitiesMortgage-backed securities     Mortgage-backed securities     
U.S. government-sponsored agency guaranteed(1)
$2,276 $73 $9,385 $624 $11,661 $697 
U.S. government-sponsored agency guaranteed
ResidentialResidential331 3 — — 331 3 
Commercial— — 2 — 2 — 
Residential
Residential
Total mortgage-backed securities
Total mortgage-backed securities
Total mortgage-backed securitiesTotal mortgage-backed securities$2,607 $76 $9,387 $624 $11,994 $700 
U.S. Treasury and federal agency securitiesU.S. Treasury and federal agency securities    U.S. Treasury and federal agency securities   
U.S. TreasuryU.S. Treasury$20,820 $743 $48,429 $1,287 $69,249 $2,030 
Total U.S. Treasury and federal agency securities
Total U.S. Treasury and federal agency securities
Total U.S. Treasury and federal agency securitiesTotal U.S. Treasury and federal agency securities$20,820 $743 $48,429 $1,287 $69,249 $2,030 
State and municipalState and municipal$414 $14 $847 $113 $1,261 $127 
Foreign governmentForeign government63,765 1,446 19,543 607 83,308 2,053 
CorporateCorporate2,893 220 1,583 57 4,476 277 
Asset-backed securitiesAsset-backed securities640 3 — — 640 3 
Other debt securitiesOther debt securities1,491 3 — — 1,491 3 
Total debt securities AFSTotal debt securities AFS$92,630 $2,505 $79,789 $2,688 $172,419 $5,193 
December 31, 2022     
December 31, 2023December 31, 2023     
Debt securities AFSDebt securities AFS     Debt securities AFS     
Mortgage-backed securitiesMortgage-backed securities     Mortgage-backed securities     
U.S. government-sponsored agency guaranteedU.S. government-sponsored agency guaranteed$7,908 $412 $3,290 $343 $11,198 $755 
ResidentialResidential158 3 1 — 159 3 
Commercial1 — 1 — 2 — 
Residential
Residential
Total mortgage-backed securities
Total mortgage-backed securities
Total mortgage-backed securitiesTotal mortgage-backed securities$8,067 $415 $3,292 $343 $11,359 $758 
U.S. Treasury and federal agency securitiesU.S. Treasury and federal agency securities    U.S. Treasury and federal agency securities    
U.S. TreasuryU.S. Treasury$40,701 $1,001 $34,692 $1,491 $75,393 $2,492 
Agency obligations— — — — — — 
Total U.S. Treasury and federal agency securities
Total U.S. Treasury and federal agency securities
Total U.S. Treasury and federal agency securitiesTotal U.S. Treasury and federal agency securities$40,701 $1,001 $34,692 $1,491 $75,393 $2,492 
State and municipalState and municipal$896 $31 $707 $128 $1,603 $159 
Foreign governmentForeign government82,900 2,332 14,220 608 97,120 2,940 
CorporateCorporate3,082 209 784 37 3,866 246 
Asset-backed securitiesAsset-backed securities708 4 — — 708 4 
Other debt securitiesOther debt securities2,213 5 — — 2,213 5 
Total debt securities AFSTotal debt securities AFS$138,567 $3,997 $53,695 $2,607 $192,262 $6,604 

(1)    Gross unrealized losses on mortgage-backed securities excluding the effect of unallocated portfolio layer cumulative basis adjustments were $82 million and $767 million for less than 12 months and 12 months or longer, respectively.
117121

The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:

June 30, 2023December 31, 2022
In millions of dollarsIn millions of dollarsAmortized
cost		Fair
value		Amortized
cost		Fair
value
In millions of dollars
In millions of dollars
Mortgage-backed securities(1)
Mortgage-backed securities(1)
Mortgage-backed securities(1)
Mortgage-backed securities(1)
 
Due within 1 yearDue within 1 year$4 $4 $42 $44 
Due within 1 year
Due within 1 year
After 1 but within 5 years
After 1 but within 5 years
After 1 but within 5 yearsAfter 1 but within 5 years403 393 523 513 
After 5 but within 10 yearsAfter 5 but within 10 years500 473 468 440 
After 5 but within 10 years
After 5 but within 10 years
After 10 years
After 10 years
After 10 yearsAfter 10 years15,214 14,432 11,466 10,752 
Total(2)
Total(2)
$16,121 $15,302 $12,499 $11,749 
Total(2)
Total(2)
U.S. Treasury and federal agency securities
U.S. Treasury and federal agency securities
U.S. Treasury and federal agency securitiesU.S. Treasury and federal agency securities   
Due within 1 yearDue within 1 year$25,343 $25,156 $25,935 $25,829 
Due within 1 year
Due within 1 year
After 1 but within 5 years
After 1 but within 5 years
After 1 but within 5 yearsAfter 1 but within 5 years58,339 56,565 68,455 66,166 
After 5 but within 10 yearsAfter 5 but within 10 years568 522 342 295 
After 5 but within 10 years
After 5 but within 10 years
After 10 years
After 10 years
After 10 yearsAfter 10 years— — — — 
TotalTotal$84,250 $82,243 $94,732 $92,290 
Total
Total
State and municipal
State and municipal
State and municipalState and municipal   
Due within 1 yearDue within 1 year$14 $12 $19 $18 
Due within 1 year
Due within 1 year
After 1 but within 5 years
After 1 but within 5 years
After 1 but within 5 yearsAfter 1 but within 5 years93 92 94 92 
After 5 but within 10 yearsAfter 5 but within 10 years279 275 305 302 
After 5 but within 10 years
After 5 but within 10 years
After 10 years
After 10 years
After 10 yearsAfter 10 years1,919 1,823 1,945 1,811 
TotalTotal$2,305 $2,202 $2,363 $2,223 
Total
Total
Foreign government
Foreign government
Foreign governmentForeign government   
Due within 1 yearDue within 1 year$55,587 $55,384 $64,795 $64,479 
Due within 1 year
Due within 1 year
After 1 but within 5 years
After 1 but within 5 years
After 1 but within 5 yearsAfter 1 but within 5 years66,904 65,612 67,935 66,150 
After 5 but within 10 yearsAfter 5 but within 10 years3,897 3,725 2,491 2,250 
After 5 but within 10 years
After 5 but within 10 years
After 10 years
After 10 years
After 10 yearsAfter 10 years579 549 427 398 
TotalTotal$126,967 $125,270 $135,648 $133,277 
Total
Total
All other(3)
All other(3)
All other(3)
All other(3)
   
Due within 1 yearDue within 1 year$5,763 $5,759 $4,452 $4,441 
Due within 1 year
Due within 1 year
After 1 but within 5 years
After 1 but within 5 years
After 1 but within 5 yearsAfter 1 but within 5 years6,174 5,962 5,162 4,988 
After 5 but within 10 yearsAfter 5 but within 10 years588 583 695 693 
After 5 but within 10 years
After 5 but within 10 years
After 10 years
After 10 years
After 10 yearsAfter 10 years58 13 57 18 
TotalTotal$12,583 $12,317 $10,366 $10,140 
Total
Total
Total debt securities AFS(2)
Total debt securities AFS(2)
$242,226 $237,334 $255,608 $249,679 
Total debt securities AFS(2)
Total debt securities AFS(2)

(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. See Note 2021 for moreadditional information about mortgage- and asset-backed securitizations in which the Company has other involvement.
(2)Amortized cost excludes unallocated portfolio layer cumulative basis adjustments of $(0.2)$(0.1) billion as of June 30, 2023.March 31, 2024.
(3)Includes corporate, asset-backed and other debt securities.
118122

Debt Securities Held-to-Maturity
The carrying value and fair value of debt securities HTM were as follows:

In millions of dollarsIn millions of dollars
Amortized
cost, net(1)
Gross
unrealized
gains		Gross
unrealized
losses		Fair
value
June 30, 2023  
In millions of dollars
In millions of dollars
Amortized
cost, net(1)
Gross
unrealized
gains		Gross
unrealized
losses		Fair
value
March 31, 2024March 31, 2024   
Debt securities HTMDebt securities HTM  Debt securities HTM   
Mortgage-backed securities(2)
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed(3)
U.S. government-sponsored agency guaranteed(3)
$83,541 $6 $9,708 $73,839 
U.S. government-sponsored agency guaranteed(3)
U.S. government-sponsored agency guaranteed(3)
Non-U.S. residential
Non-U.S. residential
Non-U.S. residentialNon-U.S. residential362 — — 362 
CommercialCommercial1,145 — 149 996 
Total mortgage-backed securitiesTotal mortgage-backed securities$85,048 $6 $9,857 $75,197 
U.S. Treasury securitiesU.S. Treasury securities$134,944 $— $13,091 $121,853 
State and municipalState and municipal9,181 35 628 8,588 
Foreign governmentForeign government2,360 — 93 2,267 
Asset-backed securities(2)
Asset-backed securities(2)
30,533 — 417 30,116 
Total debt securities HTM, netTotal debt securities HTM, net$262,066 $41 $24,086 $238,021 
December 31, 2022  
Total debt securities HTM, net
Total debt securities HTM, net
December 31, 2023December 31, 2023   
Debt securities HTMDebt securities HTM  Debt securities HTM   
Mortgage-backed securities(2)
Mortgage-backed securities(2)
  
Mortgage-backed securities(2)
   
U.S. government-sponsored agency guaranteedU.S. government-sponsored agency guaranteed$90,063 $58 $10,033 $80,088 
Non-U.S. residential
Non-U.S. residential
Non-U.S. residentialNon-U.S. residential445 — — 445 
CommercialCommercial1,114 5 1 1,118 
Total mortgage-backed securitiesTotal mortgage-backed securities$91,622 $63 $10,034 $81,651 
U.S. Treasury securitiesU.S. Treasury securities$134,961 $— $13,722 $121,239 
State and municipalState and municipal9,237 34 764 8,507 
Foreign governmentForeign government2,075 — 93 1,982 
Asset-backed securities(2)
Asset-backed securities(2)
30,968 4 703 30,269 
Total debt securities HTM, netTotal debt securities HTM, net$268,863 $101 $25,316 $243,648 

(1)Amortized cost is reported net of ACL of $99$106 million and $120$95 million at June 30, 2023March 31, 2024 and December 31, 2022,2023, 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. See Note 2021 for mortgage- and asset-backed securitizations in which the Company has other involvement.
(3)In January 2023, Citi adopted ASU 2022-01. Upon adoption, Citi transferred $3.3 billion (amortized cost) of mortgage-backed securities from HTM classification to AFS classification as allowed under the ASU. At the time of transfer, the securities were in an unrealized gain position of $0.1 billion, which was recorded in AOCI upon transfer. See Note 1 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.
119123

The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:

June 30, 2023December 31, 2022
In millions of dollarsIn millions of dollars
Amortized cost(1)
Fair value
Amortized cost(1)
Fair value
In millions of dollars
In millions of dollars
Mortgage-backed securities
Mortgage-backed securities
Mortgage-backed securitiesMortgage-backed securities  
Due within 1 yearDue within 1 year$15 $15 $27 $27 
Due within 1 year
Due within 1 year
After 1 but within 5 years
After 1 but within 5 years
After 1 but within 5 yearsAfter 1 but within 5 years690 655 520 505 
After 5 but within 10 yearsAfter 5 but within 10 years1,254 1,141 1,496 1,374 
After 5 but within 10 years
After 5 but within 10 years
After 10 years
After 10 years
After 10 yearsAfter 10 years83,089 73,386 89,579 79,745 
TotalTotal$85,048 $75,197 $91,622 $81,651 
Total
Total
U.S. Treasury securities
U.S. Treasury securities
U.S. Treasury securitiesU.S. Treasury securities
Due within 1 yearDue within 1 year$3,149 $3,077 $3,148 $3,017 
Due within 1 year
Due within 1 year
After 1 but within 5 years
After 1 but within 5 years
After 1 but within 5 yearsAfter 1 but within 5 years120,838 109,351 86,617 79,104 
After 5 but within 10 yearsAfter 5 but within 10 years10,957 9,425 45,196 39,118 
After 5 but within 10 years
After 5 but within 10 years
After 10 years
After 10 years
After 10 yearsAfter 10 years— — — — 
TotalTotal$134,944 $121,853 $134,961 $121,239 
Total
Total
State and municipal
State and municipal
State and municipalState and municipal  
Due within 1 yearDue within 1 year$36 $35 $22 $21 
Due within 1 year
Due within 1 year
After 1 but within 5 years
After 1 but within 5 years
After 1 but within 5 yearsAfter 1 but within 5 years104 102 102 100 
After 5 but within 10 yearsAfter 5 but within 10 years1,222 1,183 1,002 967 
After 5 but within 10 years
After 5 but within 10 years
After 10 years
After 10 years
After 10 yearsAfter 10 years7,819 7,268 8,111 7,419 
TotalTotal$9,181 $8,588 $9,237 $8,507 
Total
Total
Foreign government
Foreign government
Foreign governmentForeign government  
Due within 1 yearDue within 1 year$163 $161 $143 $139 
Due within 1 year
Due within 1 year
After 1 but within 5 years
After 1 but within 5 years
After 1 but within 5 yearsAfter 1 but within 5 years2,197 2,106 1,932 1,843 
After 5 but within 10 yearsAfter 5 but within 10 years— — — — 
After 5 but within 10 years
After 5 but within 10 years
After 10 years
After 10 years
After 10 yearsAfter 10 years— — — — 
TotalTotal$2,360 $2,267 $2,075 $1,982 
Total
Total
All other(2)
All other(2)
All other(2)
All other(2)
 
Due within 1 yearDue within 1 year$— $— $— $— 
Due within 1 year
Due within 1 year
After 1 but within 5 years
After 1 but within 5 years
After 1 but within 5 yearsAfter 1 but within 5 years— — — — 
After 5 but within 10 yearsAfter 5 but within 10 years12,232 12,141 11,751 11,583 
After 5 but within 10 years
After 5 but within 10 years
After 10 years
After 10 years
After 10 yearsAfter 10 years18,301 17,975 19,217 18,686 
TotalTotal$30,533 $30,116 $30,968 $30,269 
Total
Total
Total debt securities HTMTotal debt securities HTM$262,066 $238,021 $268,863 $243,648 
Total debt securities HTM
Total debt securities HTM

(1)Amortized cost is reported net of ACL of $99 million and $120$106 million at June 30, 2023 and DecemberMarch 31, 2022, respectively.2024.
(2)Includes corporate and asset-backed securities.

HTM Debt Securities Delinquency and Non-Accrual Details
Citi did not have any HTM debt securities that were delinquent or on non-accrual status at June 30, 2023March 31, 2024 orand December 31, 2022.2023.

There were no purchased credit-deteriorated HTM debt securities held by the Company as of June 30, 2023March 31, 2024 orand December 31, 2022.2023.

120124

Evaluating Investments for Impairment—AFS Debt Securities

Overview
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.
For more information on evaluating investments for impairment, see Note 1314 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.












Recognition and Measurement of Impairment
The following table presents total impairment on AFS investments recognized in earnings:

Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2023202220232022
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		43 90 94 180 
Total impairment losses recognized in earnings$43 $90 $94 $180 
Three Months Ended March 31,
In millions of dollars20242023
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$14 $51 


Allowance for Credit Losses on AFS Debt Securities
The allowance for credit losses on AFS debt securities held that the Company does not intend to sell nor will likely be required to sell was $5$9 million and $3$8 million as of June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively.



121125

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. For details on impairment indicators that are considered, see Note 1314 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.
When the qualitative assessment indicates that the equity security is impaired, its fair value is determined. If the fair value of the investment is less than its carrying value, the investment is written down to fair value through earnings.
Below is the carrying value of non-marketable equity securities measured using the measurement alternative at June 30, 2023March 31, 2024 and December 31, 20222023:

In millions of dollarsIn millions of dollarsJune 30, 2023December 31, 2022In millions of dollarsMarch 31, 2024December 31, 2023
Measurement alternative:Measurement alternative:
Carrying valueCarrying value$1,618 $1,676 
Carrying value
Carrying value

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

Three Months Ended June 30,Six Months Ended June 30,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars2023202220232022
Measurement alternative(1):
Measurement alternative(1):
Measurement alternative(1):
Measurement alternative(1):
Impairment losses
Impairment losses
Impairment lossesImpairment losses$28 $6 $63 $6 
Downward changes for observable pricesDownward changes for observable prices— — 20 — 
Downward changes for observable prices
Downward changes for observable prices
Upward changes for observable pricesUpward changes for observable prices3 48 33 134 
Upward changes for observable prices
Upward changes for observable prices

(1)     See Note 2223 for additional information on these nonrecurring fair value measurements.

Life-to-date amounts on securities still held
In millions of dollarsJune 30, 2023March 31, 2024
Measurement alternative:
Impairment losses$282351 
Downward changes for observable prices2634 
Upward changes for observable prices900999 

A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three months ended June 30,March 31, 2024 and 2023, and 2022, there was no impairment loss recognized in earnings for non-marketable equity securities carried at cost.

122126

13.14.  LOANS

Citigroup loans are reported in two categories: corporate and consumer. These categories are classified primarily according to the operating segment, reporting unit and component that manage the 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 corporate and consumer loans, including related accounting policies, see Note 1 above and Notes 1 and 1415 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.

Corporate Loans
Corporate loans represent loans and leases managed by ICGServices, Markets, Banking and the Mexico SBMM component of All Other—Legacy Franchises.Franchises. The following table presents information by corporate loan type:

In millions of dollarsIn millions of dollarsJune 30,
2023		December 31,
2022		In millions of dollarsMarch 31,
2024		December 31,
2023
In North America offices(1)
In North America offices(1)
 
In North America offices(1)
 
Commercial and industrialCommercial and industrial$59,790 $56,176 
Financial institutionsFinancial institutions36,268 43,399 
Mortgage and real estate(2)
Mortgage and real estate(2)
17,495 17,829 
Installment and otherInstallment and other22,153 23,767 
Lease financingLease financing224 308 
TotalTotal$135,930 $141,479 
In offices outside North America(1)
In offices outside North America(1)
  
In offices outside North America(1)
  
Commercial and industrialCommercial and industrial$95,836 $93,967 
Financial institutionsFinancial institutions21,701 21,931 
Mortgage and real estate(2)
Mortgage and real estate(2)
6,076 4,179 
Installment and otherInstallment and other23,395 23,347 
Lease financingLease financing49 46 
Governments and official institutionsGovernments and official institutions3,034 4,205 
TotalTotal$150,091 $147,675 
Corporate loans, net of unearned income, excluding portfolio layer cumulative basis adjustments(3)(4)(5)
Unallocated portfolio layer cumulative basis adjustments(6)
Corporate loans, net of unearned income(3)(4)(5)
Corporate loans, net of unearned income(3)(4)(5)
$286,021 $289,154 

(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 ($795)968) million and ($797)917) million at June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.loan origination fees, net of certain direct origination costs, that are deferred and recognized as Interest income over the lives of the related loans.
(4)Not included in the balances above is approximately $2 billion of accrued interest receivable at June 30, 2023March 31, 2024 and December 31, 2022,2023, which is included in Other assets on the Consolidated Balance Sheet.
(5)Accrued interest receivable considered to be uncollectible is reversed through interest income. Amounts reversed were not material for the three months ended June 30, 2023March 31, 2024 and 2022.2023.
(6)Represents fair value hedge basis adjustments related to portfolio layer method hedges of mortgage and real estate loans, which are not allocated to individual loans in the portfolio. See Note 22.

The Company sold and/or reclassified to held-for-sale $1.3$0.9 billion and $2.9$0.9 billion of corporate loans during the three and six months ended June 30,March 31, 2024 and 2023, respectively, and $1.1 billion and $1.5 billion of corporate loans during the three and six months ended June 30, 2022, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and six months ended June 30, 2023March 31, 2024 or 2022.2023.

123127

Corporate Loan Delinquencies and Non-Accrual Details at June 30, 2023March 31, 2024

In millions of dollarsIn millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
Commercial and industrialCommercial and industrial$500 $197 $697 $856 $151,038 $152,591 
Financial institutionsFinancial institutions10 11 21 93 57,480 57,594 
Mortgage and real estateMortgage and real estate6 24 30 291 23,180 23,501 
Lease financingLease financing— — — — 273 273 
OtherOther56 35 91 21 46,421 46,533 
Loans at fair valueLoans at fair value5,529 
Total$572 $267 $839 $1,261 $278,392 $286,021 
Total(5)
Total(5)
Total(5)

Corporate Loan Delinquencies and Non-Accrual Details at December 31, 20222023

In millions of dollarsIn millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
Commercial and industrialCommercial and industrial$763 $594 $1,357 $860 $145,586 $147,803 
Financial institutionsFinancial institutions233 102 335 152 64,420 64,907 
Mortgage and real estateMortgage and real estate30 12 42 33 21,874 21,949 
Lease financingLease financing— 1 1 10 343 354 
OtherOther145 18 163 67 48,788 49,018 
Loans at fair valueLoans at fair value5,123 
Total$1,171 $727 $1,898 $1,122 $281,011 $289,154 
Total(5)
Total(5)
Total(5)

(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 collectibility 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)The Total loans column includes loans at fair value, which are not included in the various delinquency columns and, therefore, the tables’ total rows will not cross-foot.
(5)Excludes $(3) million and $93 million of unallocated portfolio layer cumulative basis adjustments at March 31, 2024 and December 31, 2023, respectively.
N/A Not applicable

124
128

Corporate Loans Credit Quality Indicators

Recorded investment in loans(1)
Term loans by year of origination
Revolving line
of credit arrangements(2)
June 30, 2023
Recorded investment in loans(1)
Term loans by year of origination
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars20232022202120202019Prior
Revolving line
of credit arrangements(2)
June 30, 2023
Investment grade(3)
Investment grade(3)
Investment grade(3)
Investment grade(3)
Commercial and industrial(4)
Commercial and industrial(4)
Commercial and industrial(4)
Commercial and industrial(4)
$40,041 $8,089 $5,285 $2,809 $3,151 $8,415 $37,929 $105,719 
Financial institutions(4)
Financial institutions(4)
6,390 4,490 3,816 572 708 2,087 30,865 48,928 
Financial institutions(4)
Financial institutions(4)
Mortgage and real estate
Mortgage and real estate
Mortgage and real estateMortgage and real estate1,731 4,803 3,752 3,639 1,791 2,259 131 18,106 
Other(5)
Other(5)
2,174 6,621 1,335 958 734 4,797 26,251 42,870 
Other(5)
Other(5)
Total investment grade
Total investment grade
Total investment gradeTotal investment grade$50,336 $24,003 $14,188 $7,978 $6,384 $17,558 $95,176 $215,623 
Non-investment grade(3)
Non-investment grade(3)
 
Non-investment grade(3)
Non-investment grade(3)
Accrual
Accrual
AccrualAccrual 
Commercial and industrial(4)
Commercial and industrial(4)
$14,071 $6,408 $2,351 $1,666 $907 $3,657 $16,956 $46,016 
Commercial and industrial(4)
Commercial and industrial(4)
Financial institutions(4)
Financial institutions(4)
Financial institutions(4)
Financial institutions(4)
3,421 1,552 892 23 437 176 2,072 8,573 
Mortgage and real estateMortgage and real estate608 544 782 510 725 1,419 516 5,104 
Mortgage and real estate
Mortgage and real estate
Other(5)
Other(5)
Other(5)
Other(5)
559 756 478 372 497 108 1,145 3,915 
Non-accrualNon-accrual
Non-accrual
Non-accrual
Commercial and industrial(4)
Commercial and industrial(4)
Commercial and industrial(4)
Commercial and industrial(4)
5 81 59 9 52 159 491 856 
Financial institutionsFinancial institutions— 3 35 — 8 — 47 93 
Financial institutions
Financial institutions
Mortgage and real estate
Mortgage and real estate
Mortgage and real estateMortgage and real estate3 — 38 8 103 86 53 291 
Other(5)
Other(5)
1 4 1 — — 11 4 21 
Other(5)
Other(5)
Total non-investment grade
Total non-investment grade
Total non-investment gradeTotal non-investment grade$18,668 $9,348 $4,636 $2,588 $2,729 $5,616 $21,284 $64,869 
Loans at fair value(6)
Loans at fair value(6)
$5,529 
Corporate loans, net of unearned income$69,004 $33,351 $18,824 $10,566 $9,113 $23,174 $116,460 $286,021 
Loans at fair value(6)
Loans at fair value(6)
Corporate loans, net of unearned income(7)
Corporate loans, net of unearned income(7)
Corporate loans, net of unearned income(7)
125129

Recorded investment in loans(1)
Term loans by year of origination(7)
Revolving line
of credit arrangements(2)
December 31, 2022
Recorded investment in loans(1)
Term loans by year of origination
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars20222021202020192018Prior
Revolving line
of credit arrangements(2)
December 31, 2022
Investment grade(3)
Investment grade(3)
Investment grade(3)
Investment grade(3)
Commercial and industrial(4)
Commercial and industrial(4)
Commercial and industrial(4)
Commercial and industrial(4)
$40,639 $6,124 $3,620 $3,458 $2,617 $7,048 $38,358 $101,864 
Financial institutions(4)
Financial institutions(4)
11,850 3,877 835 922 333 1,327 37,462 56,606 
Financial institutions(4)
Financial institutions(4)
Mortgage and real estate
Mortgage and real estate
Mortgage and real estateMortgage and real estate4,436 3,236 4,010 2,619 1,127 1,706 152 17,286 
Other(5)
Other(5)
7,649 2,687 1,439 643 2,119 3,832 26,805 45,174 
Other(5)
Other(5)
Total investment grade
Total investment grade
Total investment gradeTotal investment grade$64,574 $15,924 $9,904 $7,642 $6,196 $13,913 $102,777 $220,930 
Non-investment grade(3)
Non-investment grade(3)
 
Non-investment grade(3)
Non-investment grade(3)
Accrual
Accrual
AccrualAccrual 
Commercial and industrial(4)
Commercial and industrial(4)
$17,278 $3,139 $1,973 $1,331 $965 $3,546 $16,848 $45,080 
Commercial and industrial(4)
Commercial and industrial(4)
Financial institutions(4)
Financial institutions(4)
Financial institutions(4)
Financial institutions(4)
4,708 630 197 254 47 240 2,073 8,149 
Mortgage and real estateMortgage and real estate582 835 429 729 783 801 472 4,631 
Mortgage and real estate
Mortgage and real estate
Other(5)
Other(5)
Other(5)
Other(5)
1,244 559 391 413 1 219 1,292 4,119 
Non-accrualNon-accrual
Commercial and industrial(4)
1 12 99 115 49 105 479 860 
Financial institutions41 34 — — — — 77 152 
Non-accrual
Non-accrual
Commercial and industrial
Commercial and industrial
Commercial and industrial
Financial institutions(4)
Financial institutions(4)
Financial institutions(4)
Mortgage and real estate
Mortgage and real estate
Mortgage and real estateMortgage and real estate10 4 — — — 19 — 33 
Other(5)
Other(5)
6 — 26 8 10 11 16 77 
Other(5)
Other(5)
Total non-investment grade
Total non-investment grade
Total non-investment gradeTotal non-investment grade$23,870 $5,213 $3,115 $2,850 $1,855 $4,941 $21,257 $63,101 
Loans at fair value(6)
Loans at fair value(6)
$5,123 
Loans at fair value(6)
Loans at fair value(6)
Corporate loans, net of unearned incomeCorporate loans, net of unearned income$88,444 $21,137 $13,019 $10,492 $8,051 $18,854 $124,034 $289,154 
Corporate loans, net of unearned income
Corporate loans, net of unearned income

(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.period.
(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.
(7)In the first quarterExcludes $(3) million and $93 million of 2023, Citi identified thatunallocated portfolio layer cumulative basis adjustments at March 31, 2024 and December 31, 2022 certain loans originated prior to 2022 were disclosed as originating in 2022. The table above has been revised to reflect the correct origination year. Citi evaluated the effect of the revision, both qualitatively and quantitatively, and concluded that the impact of the revision was not material. The impact of the revision increased (decreased) the year of origination amounts as follows: $(24.9) billion, $2.0 billion, $3.2 billion, $4.6 billion, $4.1 billion and $11.0 billion for 2022, 2021, 2020, 2019, 2018 and prior,2023, respectively.


126130

Corporate Gross Credit Losses
The table below details gross credit losses recognized during the sixthree months ended June 30,March 31, 2024, by year of loan origination:

 For the Three Months Ended March 31, 2024
In millions of dollars20242023202220212020PriorRevolving line of credit arrangementTotal
Commercial and industrial$— $— $— $— $— $— $76 $76 
Financial institutions— — — — — 1 7 8 
Mortgage and real estate1 37 9 — — 17 — 64 
Other(1)
— — — — — 15 15 30 
Total$1 $37 $9 $— $— $33 $98 $178 


The table below details gross credit losses recognized during the three months ended March 31, 2023, by year of loan origination:

For the Six Months Ended June 30, 2023 For the Three Months Ended March 31, 2023
In millions of dollarsIn millions of dollars20232022202120202019PriorRevolving line of credit arrangementTotalIn millions of dollars20232022202120202019PriorRevolving
line of credit arrangement		Total
Commercial and industrialCommercial and industrial$8 $— $— $1 $— $2 $48 $59 
Financial institutionsFinancial institutions— — — — — — 33 33 
Mortgage and real estateMortgage and real estate— — — 1 — 2 — 3 
Other(1)
Other(1)
— — — — — — 30 30 
TotalTotal$8 $— $— $2 $— $4 $111 $125 

(1)    Other includes installment and other, lease financing and loans to government and official institutions.


Non-Accrual Corporate Loans

June 30, 2023December 31, 2022 March 31, 2024December 31, 2023
In millions of dollarsIn millions of dollars
Recorded
investment(1)(2)
Related specific
allowance
Recorded
investment(1)(2)
Related specific
allowance		In millions of dollars
Recorded
investment(1)(2)
Related specific
allowance
Recorded
investment(1)(2)
Related specific
allowance
Non-accrual corporate loans with specific allowancesNon-accrual corporate loans with specific allowances   Non-accrual corporate loans with specific allowances   
Commercial and industrialCommercial and industrial$528 $221 $583 $268 
Financial institutionsFinancial institutions87 48 149 51 
Mortgage and real estateMortgage and real estate153 25 33 4 
OtherOther1 1 — — 
Other
Other
Total non-accrual corporate loans with specific allowancesTotal non-accrual corporate loans with specific allowances$769 $295 $765 $323 
Non-accrual corporate loans without specific allowancesNon-accrual corporate loans without specific allowances  Non-accrual corporate loans without specific allowances  
Commercial and industrialCommercial and industrial$328 N/A$277 N/ACommercial and industrial$235 N/AN/A$210 N/AN/A
Financial institutionsFinancial institutions6 N/A3 N/AFinancial institutions2 N/AN/A3 N/AN/A
Mortgage and real estateMortgage and real estate138 N/A— N/AMortgage and real estate434 N/AN/A171 N/AN/A
Lease financingLease financing— N/A10 N/ALease financing— N/AN/A— N/AN/A
OtherOther20 N/A67 N/AOther10 N/AN/A61 N/AN/A
Total non-accrual corporate loans without specific allowancesTotal non-accrual corporate loans without specific allowances$492 N/A$357 N/ATotal non-accrual corporate loans without specific allowances$681 N/AN/A$445 N/AN/A

(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Interest income recognized for the three and six months ended June 30,March 31, 2024, December 31, 2023 and March 31, 2023 was $13$18 million, $8 million and $24 million, respectively, and for the three and six months ended June 30, 2022 was $11 million and $23 million, respectively.
N/A Not applicable

127131

Corporate Loan Modifications to Borrowers Experiencing Financial Difficulty
Citi seeks to modify certain corporate loans to borrowers experiencing financial difficulty to reduce Citi’s exposure to loss, often providing the borrower with an opportunity to work through financial difficulties. Each modification is unique to the borrower’s individual circumstances. The following table detailstables detail corporate loan modifications granted during the three and six months ended June 30,March 31, 2024 and March 31, 2023 to borrowers experiencing financial difficulty by type of modification granted and the financial effect of those modifications. Citi defines a corporate loan modification to a borrower experiencing financial difficulty as a modification of a loan classified as substandard or worse at the time of modification.

For the Three and Six Months Ended June 30, 2023
In millions of dollars, except for weighted average term extension
Total modifications balance at June 30,
2023(1)(2)(3)
Term
extension
Combination:
Term extension and payment delay(5)
Weighted average term extension
(months)
Three Months Ended June 30, 2023
For the Three Months Ended March 31, 2024
For the Three Months Ended March 31, 2024
For the Three Months Ended March 31, 2024
In millions of dollars, except for weighted-average
term extension
In millions of dollars, except for weighted-average
term extension
In millions of dollars, except for weighted-average
term extension
Three Months Ended March 31, 2024
Three Months Ended March 31, 2024
Three Months Ended March 31, 2024
Commercial and industrial
Commercial and industrial
Commercial and industrialCommercial and industrial$66 $65 $1 22
Financial institutionsFinancial institutions— — — — 
Mortgage and real estate47 46 1 24
Other(4)
— — — — 
Total$113 $111 $2 
Six Months Ended June 30, 2023
Commercial and industrial$121 $95 $26 21
Financial institutions
Financial institutionsFinancial institutions— — — — 
Mortgage and real estateMortgage and real estate49 48 1 23
Other(4)
— — — — 
Mortgage and real estate
Mortgage and real estate
Other(5)
Other(5)
Other(5)
TotalTotal$170 $143 $27 
Total
Total

For the Three Months Ended March 31, 2023
In millions of dollars, except for weighted-average
term extension
Total modifications balance at March 31,
2023(1)(2)(3)
Term
extension
Combination:
Term extension and payment delay(4)
Weighted-average term extension
(months)
Three Months Ended March 31, 2023
Commercial and industrial$70 $40 $30 15
Financial institutions— — — — 
Mortgage and real estate6 6 — 4
Other(5)
— — — — 
Total$76 $46 $30 

(1)The above table reflects activity for loans outstanding as of the end of the reporting period. The balances are not significant as a percentage of the total carrying values of loans by class of receivable as of June 30, 2023.March 31, 2024 and March 31, 2023, respectively.
(2)Commitments to lend to borrowers experiencing financial difficulty that were granted modifications totaled $492$530 million and $368 million as of June 30, 2023.March 31, 2024 and March 31, 2023, respectively.
(3)The allowance for corporate loans, including modified loans, is based on the borrower’s overall financial performance. Charge-offs for amounts deemed uncollectible may be recorded at the time of the modification or may have already been recorded in prior periods such that no charge-off is required at the time of modification.
(4)Payment delays either for principal or interest payments had an immaterial financial impact.
(5)Other includes installment and other, lease financing and loans to government and official institutions.
(5)Payment delays either for principal or interest payments had an immaterial financial impact.

The following table presents the Company’s three and six months ended June 30, 2022 corporate troubled debt restructurings (TDRs), under previous GAAP, prior to the Company’s adoption of ASU No. 2022-02 on January 1, 2023:

For the Three and Six Months Ended June 30, 2022
In millions of dollarsCarrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Three Months Ended June 30, 2022
Commercial and industrial$3 $— $— $3 
Other(3)
23 — — 23 
Total$26 $— $— $26 
Six Months Ended June 30, 2022
Commercial and industrial$15 $— $— $15 
Other(3)
23 1 — 22 
Total$38 $1 $— $37 

(1)    TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed 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.
(2)    TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.
(3)    Other includes installment and other, lease financing and loans to government and official institutions.
128132

Performance of Modified Corporate Loans
The following table presentstables present the delinquencies of modified corporate loans to borrowers experiencing financial difficulty. It includes loans that were modified during the six12 months ended June 30,March 31, 2024 and December 31, 2023:

As of June 30, 2023(1)
As of March 31, 2024(1)
In millions of dollarsIn millions of dollarsTotalCurrent
30–89 days
past due
90+ days
past due		In millions of dollarsTotalCurrent
30–89 days
past due
90+ days
past due
Commercial and industrialCommercial and industrial$121 $121 $— $— 
Commercial and industrial
Commercial and industrial
Financial institutionsFinancial institutions— — — — 
Mortgage and real estateMortgage and real estate49 49 — — 
Other(2)
Other(2)
— — — — 
TotalTotal$170 $170 $— $— 

 
As of December 31, 2023(1)
In millions of dollarsTotalCurrent30–89 days
past due		90+ days
past due
Commercial and industrial$198 $198 $— $— 
Financial institutions— — — — 
Mortgage and real estate144 144 — — 
Other(2)
— — — — 
Total$342 $342 $— $— 

(1)Corporate loans are generally not modified as a result of their delinquency status; rather, they are modified because of events that have impacted the overall financial performance of the borrower. Corporate loans, if past due, are re-aged to current status upon modification.
(2)Other includes installment and other, lease financing and loans to government and official institutions.


Defaults of Modified Corporate Loans
No modified corporate loans to borrowers experiencing financial difficulty defaulted during the three and six months ended June 30,March 31, 2024 and 2023. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due. For a modified corporate loan that is not collateral dependent, expected default rates are considered in the loan’s individually assessed ACL.
The following table presents the Company’s three and six months ended June 30, 2022 corporate TDRs, under previous GAAP, prior to the Company’s adoption of ASU No. 2022-02 on January 1, 2023, that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due:

TDR loans that re-defaulted within one year of modification during the
In millions of dollarsTDR balances at June 30, 2022Three Months Ended
June 30, 2022		Six Months Ended
June 30, 2022
Commercial and industrial$148 $— $— 
Mortgage and real estate16 — — 
Other(1)
39 — — 
Total(2)
$203 $— $— 

(1)    Other includes installment and other, lease financing and loans to government and official institutions.
(2)    The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.

129133

Consumer Loans
Consumer loans represent loans and leases managed primarily by PBWMUSPB, Wealth and All Other—Legacy Franchises (except(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 bankingBanking and Global Wealth (primarily Private bank and Citigold).
•Credit cards in North America offices primarily represent unsecured credit card lending to customers of Branded cardsCards and Retail services.Services.
•Personal, small business and other loans in North America are primarily composed of classifiably managed loans to customers of Global Wealth (mostly within the Private bank)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 mortgage 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 represent unsecured credit card lending to customers of PBWM and Legacy Franchises, primarily in Asia and Mexico.
•Personal, small business and other loans in offices outside North America are primarily composed of secured and unsecured loans to customers of PBWM and Legacy Franchises. A significant portion of PBWM loans is classifiably managed and represents loans to high credit quality Private bank customers who have 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.
130134

The following tables provide Citi’s consumer loans by type:

Consumer Loans, Delinquencies and Non-Accrual Status at June 30, 2023March 31, 2024

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 loansNon-accrual loans for which there is no ACLLNon-accrual loans for which there is an ACLLTotal
non-accrual		90 days 
past due
and accruing
In North America offices(6)
        
Residential first mortgages(7)
$101,780 $371 $285 $244 $102,680 $101 $380 $481 $139 
Home equity loans(8)(9)
3,869 35 96 — 4,000 46 139 185 — 
Credit cards149,487 1,741 1,723 — 152,951 — — — 1,723 
Personal, small business and other(10)
37,038 89 29 5 37,161 4 34 38 7 
Total$292,174 $2,236 $2,133 $249 $296,792 $151 $553 $704 $1,869 
In offices outside North America(6)
      
Residential mortgages(7)
$26,950 $48 $92 $— $27,090 $— $328 $328 $18 
Credit cards13,344 180 190 — 13,714 — 172 172 60 
Personal, small business and other(10)
36,848 108 39 — 36,995 — 117 117 — 
Total$77,142 $336 $321 $— $77,799 $— $617 $617 $78 
Total Citigroup(11)(12)
$369,316 $2,572 $2,454 $249 $374,591 $151 $1,170 $1,321 $1,947 
In millions of dollars
Total
current(1)(2)
30–89 
days past
 due(3)
≥ 90 days
past
 due(3)
Past due
government
guaranteed(4)
Total loansNon-accrual loans for which there is no ACLLNon-accrual loans for which there is an ACLLTotal
non-accrual		90 days 
past due
and accruing
In North America offices(5)
        
Residential first mortgages(6)
$109,664 $414 $286 $228 $110,592 $116 $385 $501 $122 
Home equity loans(7)(8)
3,318 38 83 — 3,439 22 146 168 — 
Credit cards154,047 2,196 2,563 — 158,806 — — — 2,563 
Personal, small business and other(9)
33,783 128 54 1 33,966 5 52 57 4 
Total$300,812 $2,776 $2,986 $229 $306,803 $143 $583 $726 $2,689 
In offices outside North America(5)
      
Residential mortgages(6)
$25,802 $52 $72 $— $25,926 $— $246 $246 $— 
Credit cards13,532 195 215 — 13,942 — 205 205 71 
Personal, small business and other(9)
35,016 109 37 — 35,162 — 104 104 — 
Total$74,350 $356 $324 $— $75,030 $— $555 $555 $71 
Total excluding portfolio layer cumulative basis adjustments$375,162 $3,132 $3,310 $229 $381,833 $143 $1,138 $1,281 $2,760 
Unallocated portfolio layer
cumulative basis adjustments(10)
$(74)
Total Citigroup(11)(12)
$381,759 

Consumer Loans, Delinquencies and Non-Accrual Status at December 31, 20222023

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 ACLLNon-accrual loans for which there is an ACLLTotal
non-accrual		90 days 
past due
and accruing
In North America offices(6)
       
Residential first mortgages(7)
$95,023 $421 $316 $279 $96,039 $86 $434 $520 $163 
Home equity loans(8)(9)
4,407 38 135 — 4,580 51 151 202 — 
Credit cards147,717 1,511 1,415 — 150,643 — — — 1,415 
Personal, small business and other(10)
37,635 88 22 7 37,752 3 23 26 11 
Total$284,782 $2,058 $1,888 $286 $289,014 $140 $608 $748 $1,589 
In offices outside North America(6)
       
Residential mortgages(7)
$27,946 $62 $106 $— $28,114 $— $305 $305 $13 
Credit cards12,659 147 149 — 12,955 — 127 127 56 
Personal, small business and other(10)
37,869 105 10 — 37,984 — 137 137 — 
Total$78,474 $314 $265 $— $79,053 $— $569 $569 $69 
Total Citigroup(11)(12)
$363,256 $2,372 $2,153 $286 $368,067 $140 $1,177 $1,317 $1,658 
In millions of dollars
Total
current(1)(2)
30–89 
days past
due(3)
≥ 90 days
past
 due(3)
Past due
government
guaranteed(4)
Total
loans		Non-accrual loans for which there is no ACLLNon-accrual loans for which there is an ACLLTotal
non-accrual		90 days 
past due
and accruing
In North America offices(5)
       
Residential first mortgages(6)
$107,720 $462 $294 $235 $108,711 $105 $384 $489 $120 
Home equity loans(7)(8)
3,471 36 85 — 3,592 48 126 174 — 
Credit cards159,966 2,293 2,461 — 164,720 — — — 2,461 
Personal, small business and other(9)
35,970 104 57 4 36,135 6 59 65 5 
Total$307,127 $2,895 $2,897 $239 $313,158 $159 $569 $728 $2,586 
In offices outside North America(5)
       
Residential mortgages(6)
$26,309 $48 $69 $— $26,426 $— $243 $243 $— 
Credit cards13,797 209 227 — 14,233 — 211 211 88 
Personal, small business and other(9)
35,233 107 40 — 35,380 — 133 133 — 
Total$75,339 $364 $336 $— $76,039 $— $587 $587 $88 
Total Citigroup(11)(12)
$382,466 $3,259 $3,233 $239 $389,197 $159 $1,156 $1,315 $2,674 

(1)Loans less than 30 days past due are presented as current.
(2)Includes $237$303 million and $237$313 million at June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively, of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies. Excludes delinquencies on $30.6$27.1 billion and $17.9$17.1 billion of classifiably managed Private bankBank loans in North America and outside North America, respectively, at June 30, 2023.March 31, 2024. Excludes delinquencies on $31.5$29.2 billion and $17.8$17.0 billion of classifiably managed Private bankBank loans in North America and outside North America, respectively, at December 31, 2022.2023.
(4)Loans modified under Citi’s COVID-19 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 $0.1 billion and 90 days or more past due of $0.1 billion and $0.2$0.1 billion at June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively.
(6)(5)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)(6)Includes approximately $0.2 billion and $0.0 billion of residential first mortgage loans in process of foreclosure in North America and outside North America, respectively, and $20.4 billion of residential mortgages outside North America related to the Global Wealth business at June 30, 2023. 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 $19.8$19.5 billion of residential mortgages outside North America related to the Global Wealth business at DecemberMarch 31, 2022.
(8)2024. Includes approximately $0.1 billion and $0.1$0.0 billion of residential first mortgage loans in process of foreclosure in North America and outside North America, respectively, and $19.9 billion of residential mortgages outside North America related to Wealth at December 31, 2023.
(7)Includes approximately $0.0 billion and $0.0 billion at June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively, of home equity loans in process of foreclosure.
(9)(8)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.

131135

(10)(9)Includes loans related to the Global As of March 31, 2024, Wealth business: $33.1 billion in North America approximately $30.6includes $29.3 billion of loans, of which $27.1 billion are classifiably managed and as of June 30, 2023 approximately 99% werewith 89% rated investment grade;grade, and $26.0 billionWealth outside North America approximately $17.9includes $24.7 billion of loans, of which $17.1 billion are classifiably managed and as of June 30, 2023 approximately 93% werewith 67% rated investment grade. Includes loans related to the Global As of December 31, 2023, Wealth business: $34.0 billion in North America approximately $31.5includes $31.6 billion of loans, of which $29.2 billion are classifiably managed and as of December 31, 2022 approximately 98% werewith 92% rated investment grade;grade, and $26.6 billionWealth outside North America approximately $17.8includes $24.9 billion of loans, of which $17.0 billion are classifiably managed and as of December 31, 2022 approximately 94% werewith 74% rated investment grade. The classifiably managed portion of theseSuch loans is shownare presented as “current” becauseabove.
(10)Represents fair value hedge basis adjustments related to portfolio layer method hedges of mortgage and real estate loans, which are not allocated to individual loans in the delinquency status is not applicable, since these loans are primarily evaluated for credit risk based on their internal risk classification.portfolio. See Note 22.
(11)Consumer loans arewere net of unearned income of $769$828 million and $712$802 million at June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively. Unearned income on consumer loans primarily represents unamortizedloan origination fees, net of certain direct origination costs, that are deferred and costs, premiums and discounts.recognized as Interest income over the lives of the related loans.
(12)Not included in the balances above areis approximately $1 billion and $1 billion of accrued interest receivable at June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively, which areis included in Other assets on the Consolidated Balance Sheet, except for credit card loans (which include accrued interest and fees). When a loan becomes non-accrual or, if not subject to a non-accrual policy, is charged off per the Company’s charge-off policy, any accrued interest receivable is also reversed against the interest income.
During the three and six months ended June 30,March 31, 2024 and March 31, 2023, the Company reversed accrued interest of approximately $0.3 billion and $0.5 billion, respectively, primarily(primarily related to credit card loans. During the threecards) of approximately $0.4 billion and six months ended June 30, 2022, the Company reversed$0.2 billion, respectively. These reversals of accrued interest are reflected as a reduction to Interest income in the Consolidated Statement of approximately $0.2 billion and $0.3 billion, respectively, primarily related to credit card loans.Income.


Interest Income Recognized for Non-Accrual Consumer Loans

In millions of dollarsIn millions of dollarsThree Months Ended June 30, 2023Three Months Ended June 30, 2022Six Months Ended June 30, 2023Six Months Ended June 30, 2022
In millions of dollars
In millions of dollars
In North America offices(1)
In North America offices(1)
In North America offices(1)
In North America offices(1)
Residential first mortgagesResidential first mortgages$3 $3 $6 $6 
Residential first mortgages
Residential first mortgages
Home equity loans
Home equity loans
Home equity loansHome equity loans1 1 3 2 
Credit cardsCredit cards— — — — 
Credit cards
Credit cards
Personal, small business and other
Personal, small business and other
Personal, small business and otherPersonal, small business and other1 1 1 1 
TotalTotal$5 $5 $10 $9 
Total
Total
In offices outside North America(1)
In offices outside North America(1)
In offices outside North America(1)
In offices outside North America(1)
Residential mortgagesResidential mortgages$4 $— $5 $— 
Residential mortgages
Residential mortgages
Credit cards
Credit cards
Credit cardsCredit cards— — — — 
Personal, small business and otherPersonal, small business and other— — — — 
Personal, small business and other
Personal, small business and other
Total
Total
TotalTotal$4 $— $5 $— 
Total CitigroupTotal Citigroup$9 $5 $15 $9 
Total Citigroup
Total Citigroup

(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.

During the three and six months ended June 30, 2023, theThe Company sold and/or reclassified to held-for-sale $2(HFS) approximately $59 million and $1.8 billion of consumer loans, respectively. During the three and six months ended June 30, 2022, the Company sold and/or reclassified to held-for-sale $367 million and $374$1,828 million of consumer loans during the three months ended March 31, 2024 and 2023, respectively. The increasedecline was mainly due to the reclassification of a larger mortgage portfolio to HFS in the first quarter of 2023. The Company did not have significant purchases of consumer loans classified as held-for-investment for the three and six months ended June 30, 2023March 31, 2024 or 2022.2023. Loans held by a business for sale are not included in the above since they have been reclassified to Other assets. See Note 2 for additional information regarding Citigroup’s businesses held-for-sale.

132136

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. Loans that did not have FICO scores as of the prior period have been updated with FICO scores as they become available. With respect to Citi’s consumer loan
portfolio outside of the U.S. as of June 30, 2023March 31, 2024 and December 31, 20222023 ($79.376.5 billion and $80.5$77.5 billion,
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(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)
June 30, 2023
In millions of dollarsLess than
680		680
to 760		Greater
than 760
Classifiably managed(3)
FICO not available(4)
Total
loans
Residential first mortgages
2023$151 $2,704 $5,671 
2022717 6,659 13,618 
2021602 5,747 12,540 
2020393 4,360 10,860 
2019312 2,345 5,350 
Prior2,185 7,099 13,907 
Total residential first mortgages$4,360 $28,914 $61,946 $— $7,460 $102,680 
Home equity loans (pre-reset)$490 $1,212 $1,736 
Home equity loans (post-reset)71 76 45 
Home equity term loans92 137 108 
2023— — — 
2022— — — 
2021— 1 1 
20201 2 2 
20191 1 1 
Prior90 133 104 
Total home equity loans$653 $1,425 $1,889 $— $33 $4,000 
Credit cards$29,111 $59,069 $60,712 
Revolving loans converted to term loans(5)
913 357 54 
Total credit cards(6)
$30,024 $59,426 $60,766 $— $2,136 $152,352 
Personal, small business and other
2023$10 $45 $105 
2022268 515 712 
202180 129 151 
202011 14 20 
201913 14 16 
Prior126 181 135 
Total personal, small business and other(7)(8)
$508 $898 $1,139 $30,596 $3,101 $36,242 
Total$35,545 $90,663 $125,740 $30,596 $12,730 $295,274 

FICO score distribution—U.S. portfolio(1)
March 31, 2024
In millions of dollarsLess than
660		660
to 739		Greater
than or equal to 740
Classifiably managed(2)
FICO not available(3)
Total
loans
Residential first mortgages
2024$20 $402 $2,508 
2023208 2,980 13,956 
2022415 3,291 16,685 
2021341 2,939 15,032 
2020236 2,293 12,541 
Prior1,556 5,281 22,071 
Total residential first mortgages$2,776 $17,186 $82,793 $— $7,837 $110,592 
Home equity line of credit (pre-reset)$309 $862 $1,728 
Home equity line of credit (post-reset)67 71 72 
Home equity term loans55 103 129 
2024— — — 
2023— — — 
2022— — — 
2021— — 1 
2020— 1 2 
Prior55 102 126 
Total home equity loans$431 $1,036 $1,929 $— $43 $3,439 
Credit cards$22,007 $56,522 $75,979 
Revolving loans converted to term loans(4)
1,156 534 111 
Total credit cards(5)
$23,163 $57,056 $76,090 $— $1,929 $158,238 
Personal, small business and other
2024$5 $41 $158 
2023122 404 1,051 
2022190 305 481 
202147 71 104 
20205 7 11 
Prior100 164 158 
Total personal, small business and other(6)(7)
$469 $992 $1,963 $27,135 $2,536 $33,095 
Total(8)
$26,839 $76,270 $162,775 $27,135 $12,345 $305,364 


133137

FICO score distribution—U.S. portfolio(1)(2)
December 31, 2022
FICO score distribution—U.S. portfolio(1)
FICO score distribution—U.S. portfolio(1)
December 31, 2023
In millions of dollarsIn millions of dollarsLess than
680		680
to 760		Greater
than 760
Classifiably managed(3)
FICO not available(4)
Total
loans		In millions of dollarsLess than
660		660
to 739		Greater
than or equal to 740
Classifiably managed(2)
FICO not available(3)
Total
loans
Residential first mortgagesResidential first mortgages
2023
2023
2023
2022
2022
20222022$691 $7,530 $12,928 
202120216395,93312,672
2021
2021
2020
2020
202020204314,62110,936
201920193212,5055,445
20183021,0721,899
2019
2019
PriorPrior2,0206,55112,649
Prior
Prior
Total residential first mortgages
Total residential first mortgages
Total residential first mortgagesTotal residential first mortgages$4,404 $28,212 $56,529 $6,894��$96,039 
Home equity line of credit (pre-reset)Home equity line of credit (pre-reset)$552 $1,536 $1,876 
Home equity line of credit (post-reset)Home equity line of credit (post-reset)62 65 40 
Home equity line of credit (post-reset)
Home equity line of credit (post-reset)
Home equity term loansHome equity term loans106 151 117 
Home equity term loans
Home equity term loans
2023
2023
2023
2022
2022
20222022— — — 
20212021— 1 1 
2021
2021
2020
2020
202020201 2 2 
201920191 2 2 
20181 2 1 
2019
2019
Prior
Prior
PriorPrior103 144 111 
Total home equity loansTotal home equity loans$720 $1,752 $2,033 $75 $4,580 
Total home equity loans
Total home equity loans
Credit cardsCredit cards$27,901 $58,213 $60,896 
Revolving loans converted to term loans(5)
766 354 54 
Total credit cards(6)
$28,667 $58,567 $60,950 $1,914 $150,098 
Revolving loans converted to term loans(4)
Revolving loans converted to term loans(4)
Revolving loans converted to term loans(4)
Total credit cards(5)
Total credit cards(5)
Total credit cards(5)
Personal, small business and otherPersonal, small business and other
2023
2023
2023
2022
2022
20222022$247 $546 $800 
2021202196 170 210 
2021
2021
2020
2020
2020202015 20 30 
2019201921 23 28 
201810 10 9 
2019
2019
PriorPrior126 190 144 
Total personal, small business and other(7)(8)
$515 $959 $1,221 $31,478 $2,639 $36,812 
Prior
Prior
Total personal, small business and other(6)(7)
Total personal, small business and other(6)(7)
Total personal, small business and other(6)(7)
TotalTotal$34,306 $89,490 $120,733 $31,478 $11,522 $287,529 

(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 $30.6$27.1 billion and $31.5$29.2 billion of Private bankBank loans as of June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively, which are classifiably managed within Global Wealth and are primarily evaluated for credit risk based on their internal risk ratings. As of June 30, 2023March 31, 2024 and December 31, 2022,2023, approximately 99%89% and 98%92% of these loans, respectively, were rated investment grade.
(4)(3)    FICO scores not available related to loans guaranteed by government-sponsored enterprises for which FICO scores are generally not utilized.
(5)(4)    Not included in the tables above are $63$34 million and $75$51 million of revolving credit card loans outside of the U.S. that were converted to term loans as of June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively.
(6)(5)    Excludes $599$568 million and $545$610 million of balances related to Canada for June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively.
(7)(6)    Excludes $919$871 million and $940$877 million of balances related to Canada for June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively.
(8)(7)    Includes approximately $49$32 million and $67$37 million of personal revolving loans that were converted to term loans for June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively.
(8)    Excludes $(74) million of unallocated portfolio layer cumulative basis adjustments at March 31, 2024.

134138

Consumer Gross Credit Losses
The following table providestables provide details on gross credit losses recognized during the sixthree months ended June 30,March 31, 2024 and 2023, by year of loan origination:

In millions of dollarsIn millions of dollarsSix Months Ended June 30, 2023
In millions of dollars
In millions of dollars
Residential first mortgagesResidential first mortgages
Residential first mortgages
Residential first mortgages
2024
2024
2024
2023
2023
20232023$— 
202220221 
2022
2022
2021
2021
20212021— 
202020201 
20193 
2020
2020
Prior
Prior
PriorPrior20 
Total residential first mortgagesTotal residential first mortgages$25 
Total residential first mortgages
Total residential first mortgages
Home equity line of credit (pre-reset)
Home equity line of credit (pre-reset)
Home equity line of credit (pre-reset)Home equity line of credit (pre-reset)$2 
Home equity line of credit (post-reset)Home equity line of credit (post-reset)— 
Home equity line of credit (post-reset)
Home equity line of credit (post-reset)
Home equity term loans
Home equity term loans
Home equity term loansHome equity term loans1 
Total home equity loansTotal home equity loans$3 
Total home equity loans
Total home equity loans
Credit cards
Credit cards
Credit cardsCredit cards$2,925 
Revolving loans converted to term loansRevolving loans converted to term loans87 
Revolving loans converted to term loans
Revolving loans converted to term loans
Total credit cards
Total credit cards
Total credit cardsTotal credit cards$3,012 
Personal, small business and otherPersonal, small business and other
Personal, small business and other
Personal, small business and other
2024
2024
2024
2023
2023
20232023$69 
2022202289 
2022
2022
2021
2021
2021202156 
2020202023 
201927 
2020
2020
Prior
Prior
PriorPrior84 
Total personal, small business and otherTotal personal, small business and other$348 
Total personal, small business and other
Total personal, small business and other
Total CitigroupTotal Citigroup$3,388 
Total Citigroup
Total Citigroup


In millions of dollarsThree Months Ended
March 31, 2023
Residential first mortgages
2023$— 
2022— 
2021— 
20201 
20191 
Prior12 
Total residential first mortgages$14 
Home equity line of credit (pre-reset)$— 
Home equity line of credit (post-reset)— 
Home equity term loans1 
Total home equity loans$1 
Credit cards$1,366 
Revolving loans converted to term loans42 
Total credit cards$1,408 
Personal, small business and other
2023$38 
202237 
202129 
202013 
201913 
Prior42 
Total personal, small business and other$172 
Total Citigroup$1,595 
135139

Loan-to-Value (LTV) Ratios—U.S. Consumer Mortgages
LTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data.
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—U.S. portfolio
LTV distribution—U.S. portfolio
June 30, 2023
In millions of dollarsIn millions of dollarsLess than
 or equal
to 80%		> 80% but less
than or equal to 100%		Greater
than
100%
LTV not available(1)
Total
In millions of dollars
In millions of dollarsLess than
 or equal
to 80%		> 80% but less
than or equal to 100%		Greater
than
100%
LTV not available(1)
Total
Residential first mortgagesResidential first mortgages
2024
2024
2024
2023
2023
20232023$6,634 $1,975 $6 
2022202216,146 5,916 43 
2022
2022
2021
2021
2021202118,846 1,096 33 
2020202016,451 362 1 
20198,395 226 26 
2020
2020
PriorPrior25,029 318 78 
Prior
Prior
Total residential first mortgages
Total residential first mortgages
Total residential first mortgagesTotal residential first mortgages$91,501 $9,893 $187 $1,099 $102,680 
Home equity loans (pre-reset)Home equity loans (pre-reset)$3,167 $28 $9 
Home equity loans (post-reset)Home equity loans (post-reset)491 8 13 
Home equity loans (post-reset)
Home equity loans (post-reset)
Total home equity loansTotal home equity loans$3,658 $36 $22 $284 $4,000 
Total$95,159 $9,929 $209 $1,383 $106,680 
Total home equity loans
Total home equity loans
Total(2)

LTV distribution—U.S. portfolio
LTV distribution—U.S. portfolio
December 31, 2022
In millions of dollarsIn millions of dollarsLess than
 or equal
to 80%		> 80% but less
than or equal to 100%		Greater
than
100%
LTV not available(1)
Total
In millions of dollars
In millions of dollarsLess than
 or equal
to 80%		> 80% but less
than or equal to 100%		Greater
than
100%
LTV not available(1)
Total
Residential first mortgagesResidential first mortgages
2023
2023
2023
2022
2022
20222022$15,644 $6,497 $40 
2021202119,104 1,227 33 
2021
2021
2020
2020
2020202016,935 267 1 
201920198,789 140 23 
20183,598 74 9 
2019
2019
PriorPrior22,367 132 74 
Prior
Prior
Total residential first mortgages
Total residential first mortgages
Total residential first mortgagesTotal residential first mortgages$86,437 $8,337 $180 $1,085 $96,039 
Home equity loans (pre-reset)Home equity loans (pre-reset)$3,677 $36 $56 
Home equity loans (post-reset)Home equity loans (post-reset)627 12 27 
Home equity loans (post-reset)
Home equity loans (post-reset)
Total home equity loans
Total home equity loans
Total home equity loansTotal home equity loans$4,304 $48 $83 $145 $4,580 
TotalTotal$90,741 $8,385 $263 $1,230 $100,619 

(1)Residential first mortgages with no LTV information available includesinclude government-guaranteed loans that do not require LTV information for credit risk assessment and fair value loans.
(2)Excludes $(74) million of unallocated portfolio layer cumulative basis adjustments at March 31, 2024.

136140

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)
LTV distribution—outside of U.S. portfolio(1)
June 30, 2023
In millions of dollarsIn millions of dollarsLess than
 or equal
to 80%		> 80% but less
than or equal to 100%		Greater
than
100%		LTV not availableTotal
In millions of dollars
In millions of dollarsLess than
 or equal
to 80%		> 80% but less
than or equal to 100%		Greater
than
100%		LTV not availableTotal
Residential mortgagesResidential mortgages
2024
2024
2024
2023
2023
20232023$1,847 $620 $— 
202220223,356 1,102 33 
2022
2022
2021
2021
202120213,713 1,069 44 
202020202,845 385 — 
20192,775 63 1 
2020
2020
Prior
Prior
PriorPrior8,942 44 8 
TotalTotal$23,478 $3,283 $86 $243 $27,090 
Total
Total

LTV distribution—outside of U.S. portfolio(1)
LTV distribution—outside of U.S. portfolio(1)
December 31, 2022
In millions of dollarsIn millions of dollarsLess than
 or equal
to 80%		> 80% but less
than or equal to 100%		Greater
than
100%		LTV not availableTotal
In millions of dollars
In millions of dollarsLess than
 or equal
to 80%		> 80% but less
than or equal to 100%		Greater
than
100%		LTV not availableTotal
Residential mortgagesResidential mortgages
2023
2023
2023
2022
2022
20222022$3,106 $975 $294 
202120214,144 964 273 
2021
2021
2020
2020
202020203,293 502 25 
201920193,048 92 1 
20182,074 48 — 
2019
2019
Prior
Prior
PriorPrior9,201 36 7 
TotalTotal$24,866 $2,617 $600 $31 $28,114 
Total
Total

(1)Mortgage portfolios outside of the U.S. are primarily in Global Wealth.Wealth. As of June 30, 2023March 31, 2024 and December 31, 2022,2023, mortgage portfolios outside of the U.S. had an average LTV of approximately 52%56% and 51%55%, respectively.

137141

Consumer Loans and Ratios Outside of North America

Delinquency-managed loans and ratios
In millions of dollars at June 30, 2023
Total
loans outside of North America(1)
Classifiably managed loans(2)
Delinquency-managed loans30–89 
days past
 due ratio
≥ 90 days
past
 due ratio
2Q23 NCL ratio2Q22 NCL ratio
Delinquency-managed loans and ratios
Delinquency-managed loans and ratios
Delinquency-managed loans and ratios
In millions of dollars at March 31, 2024In millions of dollars at March 31, 2024
Total
loans outside of North America(1)
Classifiably managed loans(2)
Delinquency-managed loans30–89 
days past
 due ratio
≥ 90 days
past
 due ratio
1Q24 NCL ratio1Q23 NCL ratio
Residential mortgages(3)
Residential mortgages(3)
$27,090 $— $27,090 0.18 %0.34 %(0.01)%0.04 %
Residential mortgages(3)
$25,926 $— $25,926 0.20 0.20 %0.28 %0.07 %0.11 %
Credit cardsCredit cards13,714 — 13,714 1.31 1.39 3.98 3.08 
Personal, small business and other(4)
Personal, small business and other(4)
36,995 17,902 19,093 0.57 0.20 0.91 0.55 
TotalTotal$77,799 $17,902 $59,897 0.56 %0.54 %1.12 %0.72 %Total$75,030 $17,128 $57,902 0.61 0.61 %0.56 %1.47 %1.09 %
Delinquency-managed loans and ratios
In millions of dollars at December 31, 2022
Total
loans outside
of North America(1)
Classifiably managed loans(2)
Delinquency-managed loans30–89 
days past
 due ratio
≥ 90 days
past
 due ratio
Delinquency-managed loans and ratios
Delinquency-managed loans and ratios
Delinquency-managed loans and ratios
In millions of dollars at December 31, 2023
In millions of dollars at December 31, 2023
In millions of dollars at December 31, 2023
Residential mortgages(3)
Residential mortgages(3)
Residential mortgages(3)
Residential mortgages(3)
$28,114 $— $28,114 0.22 %0.38 %
Credit cardsCredit cards12,955 — 12,955 1.13 1.15 
Credit cards
Credit cards
Personal, small business and other(4)
Personal, small business and other(4)
Personal, small business and other(4)
Personal, small business and other(4)
37,984 17,762 20,222 0.52 0.05 
TotalTotal$79,053 $17,762 $61,291 0.51 %0.43 %
Total
Total

(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 June 30, 2023March 31, 2024 and December 31, 2022,2023, approximately 93%67% and 94%74% of these loans, respectively, were rated investment grade.
(3)    Includes $20.4$19.5 billion and $19.8$19.9 billion as of June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively, of residential mortgages related to the Global Wealth business..
(4)    Includes $26.0$24.7 billion and $26.6$24.9 billion as of June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively, of loans related to the Global Wealth business..


Consumer Loan Modifications to Borrowers Experiencing Financial Difficulty
Citi seeks to modify consumer loans to borrowers experiencing financial difficulty to minimize losses, avoid foreclosure or repossession of collateral and ultimately maximize payments received from the borrowers. Citi uses various metrics to identify consumer borrowers experiencing financial difficulty, with the primary indicator being delinquency at the time of modification. Citi’s significant consumer modification programs are described below.

Credit Cards
Citi seeks to assist credit card borrowers who are experiencing financial difficulty by offering long-term loan modification programs. These modifications generally involve reducing the interest rate on the credit card, placing the customer on a fixed payment plan not to exceed 60 months and canceling the customer’s available line of credit. Citi also grants modifications to credit card borrowers working with third-party renegotiation agencies that seek to restructure customers’ entire unsecured debt. In both circumstances, if the cardholder does not comply with the modified payment terms, the credit card loan continues to age and will ultimately be charged off in accordance with Citi’s standard charge-off policy. In certain situations, Citi may forgive a portion of an outstanding balance if the borrower pays a required amount.
Residential Mortgages
Citi utilizes a third-party subservicer for the servicing of its residential mortgage loans. Through this third-party subservicer, Citi seeks to assist residential mortgage borrowers who are experiencing financial difficulty primarily by offering interest rate reductions, principal and/or interest forbearance, term extensions or combinations thereof. Borrowers enrolled in forbearance programs typically have payments suspended until the end of the forbearance period. In the U.S., before permanently modifying the contractual payment terms of a mortgage loan, Citi enters into a trial modification with the borrower. Trial modifications generally represent a three-month period during which the borrower makes monthly payments under the anticipated modified payment terms. These loans continue to age and accrue interest in accordance with their original contractual terms. Upon successful completion of the trial period, and the borrower’s formal acceptance of the modified terms, Citi and the borrower enter into a permanent modification. Citi expects the majority of loans entering trial modifications to ultimately be enrolled in a permanent modification. During the three and six months ended June 30,March 31, 2024 and 2023, $15$11 million and $26$25 million respectively, of mortgage loans were enrolled in trial programs.programs, respectively. Mortgage loans of $1$2 million and $2$1 million had gone through Chapter 7 bankruptcy during the three and six months ended June 30,March 31, 2024 and 2023, respectively.


138142

Types of Consumer Loan Modifications and Their Financial Effect
The following tables provide details on permanent consumer loan modifications granted during the three and six months ended June 30,March 31, 2024 and 2023 to borrowers experiencing financial difficulty by type of modification granted and the financial effect of those modifications:

For the Three Months Ended June 30, 2023For the Three Months Ended March 31, 2024
In millions of dollars, except weighted averagesIn millions of dollars, except weighted averagesModifications as % of loans
Total modifications balance at June 30, 2023(1)(2)(3)
Interest rate reductionTerm extensionPayment delayCombination: interest rate reduction and term extension
 Combination: term extension and payment delay(4)
Weighted average interest rate reduction %Weighted average term extension (months)Weighted average delay in payments (months)In millions of dollars, except weighted averagesModifications as % of loans
Total modifications balance at March 31, 2024(1)(2)(3)
Interest rate reductionTerm extensionPayment delayCombination: interest rate reduction and term extension Combination: term extension and payment delayCombination: interest rate reduction, term extension and payment delayWeighted-average interest rate reduction %Weighted-average term extension (months)Weighted-average delay in payments (months)
In North America offices(5)
   
Residential first mortgages(6)
0.05 %$47 $1 $15 $29 $2 $— 1 %1916
In North America offices(4)
In North America offices(4)
   
Residential first mortgages(5)
Residential first mortgages(5)
0.03 %$31 $— $24 $6 $1 $— $— 1 %18910
Home equity loansHome equity loans0.23 9 — — 1 8 — 2 1196
Credit cardsCredit cards0.18 275 275 — — — — 22 — — 
Personal, small business and otherPersonal, small business and other0.01 4 — 1 — 3 — 6 13— Personal, small business and other0.02 8 8 1 1 — — 1 1 6 6 — — — — 7 7 18185
TotalTotal0.11 %$335 $276 $16 $30 $13 $— 
In offices outside North America(5)
In offices outside North America(4)
In offices outside North America(4)
In offices outside North America(4)
Residential mortgages
Residential mortgages
Residential mortgagesResidential mortgages1.03 %$278 $3 $— $— $— $275 — %10.06 %$15 $$— $— $14 $1 $— $— 2 2 %18312
Credit cardsCredit cards0.09 12 12 — — — — 18 — — 
Personal, small business and otherPersonal, small business and other0.02 7 1 2 — 4 — 9 20— 
TotalTotal0.38 %$297 $16 $2 $— $4 $275 

For the Six Months Ended June 30, 2023For the Three Months Ended March 31, 2023
In millions of dollars, except weighted averagesIn millions of dollars, except weighted averagesModifications as % of loans
Total modifications balance at June 30, 2023(1)(2)(3)
Interest rate reductionTerm extensionPayment delayCombination: interest rate reduction and term extension
 Combination: term extension and payment delay(4)
Weighted average interest rate reduction %Weighted average term extension (months)Weighted average delay in payments (months)In millions of dollars, except weighted averagesModifications as % of loans
Total modifications balance at March 31, 2023(1)(2)(3)
Interest rate reductionTerm extensionPayment delayCombination: interest rate reduction and term extension Combination: term extension and payment delayCombination: interest rate reduction, term extension and payment delayWeighted-average interest rate reduction %Weighted-average term extension (months)Weighted-average delay in payments (months)
In North America offices(5)
   
Residential first mortgages(6)
0.10 %$100 $1 $30 $64 $5 $— 1 %1876
In North America offices(4)
In North America offices(4)
   
Residential first mortgages(5)
Residential first mortgages(5)
0.05 %$52 $— $15 $34 $3 $— $— 2 %1836
Home equity loansHome equity loans0.48 19 — — 6 13 — 2 1206Home equity loans0.19 8 8 — — — — 3 3 5 5 — — — — 3 3 1201205
Credit cardsCredit cards0.33 499 499 — — — — 22 — — 
Personal, small business and otherPersonal, small business and other0.02 6 1 1 — 4 — 6 14— 
TotalTotal0.21 %$624 $501 $31 $70 $22 $— 
In offices outside North America(5)
In offices outside North America(4)
In offices outside North America(4)
In offices outside North America(4)
Residential mortgages
Residential mortgages
Residential mortgagesResidential mortgages1.09 %$296 $5 $— $— $1 $290 — %20.97 %$260 $$— $— $17 $— $242 $1 — — %1
Credit cardsCredit cards0.17 23 23 — — — — 18 — — 
Personal, small business and otherPersonal, small business and other0.04 16 3 4 — 9 — 8 21— Personal, small business and other0.02 7 7 1 1 2 2 — — 4 4 — — — — 6 6 20206
TotalTotal0.43 %$335 $31 $4 $— $10 $290 

(1)    The above tables reflect activity for loans outstanding as of the end of the reporting period. During the three and six months ended June 30,March 31, 2024 and 2023, Citi granted forgiveness of $16$25 million and $26$9 million, respectively, in credit card loans and $1$3 million and $1 million, respectively, in personal, small business and other loans that hadloans. As a result, there were no outstanding balance at June 30,balances as of March 31, 2024 and 2023.
(2)    Commitments to lend to borrowers experiencing financial difficulty that were granted modifications included in the tables above were immaterial at June 30,March 31, 2024 and 2023.
(3)    For major consumer portfolios, the ACLL is based on macroeconomic-sensitive models that rely on historical performance and macroeconomic scenarios to forecast expected credit losses. Modifications of consumer loans impact expected credit losses by affecting the likelihood of default.
(4)    Residential mortgages in offices outside North America were granted four months of payment deferrals during the six months ended December 31, 2022.
(5)    North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(6)(5)    Excludes residential first mortgages discharged in Chapter 7 bankruptcy in the three and six months ended June 30,March 31, 2024 and 2023.

139143

The following tables present the Company’s three and six months ended June 30, 2022 consumer TDRs, under previous GAAP, prior to the Company’s adoption of ASU No. 2022-02 on January 1, 2023:

Consumer Troubled Debt Restructurings(1)

 For the Three Months Ended June 30, 2022
In millions of dollars, except number of loans modifiedNumber 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 mortgages279 $56 $— $— $— — %
Home equity loans103 7 — — — — 
Credit cards36,820 157 — — — 18 
Personal, small business and other105 1 — — — 5 
Total(7)
37,307 $221 $— $— $— 
International
Residential mortgages110 $4 $— $— $— — %
Credit cards3,462 13 — — — 27 
Personal, small business and other595 7 — — — 8 
Total(7)
4,167 $24 $— $— $— 
 For the Six Months Ended June 30, 2022
In millions of dollars, except number of loans modifiedNumber 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 mortgages625 $137 $— $— $— — %
Home equity loans207 16 — — — — 
Credit cards77,560 330 — — — 17 
Personal, small business and other251 2 — — — 5 
Total(7)
78,643 $485 $— $— $— 
International
Residential first mortgages293 $10 $— $— $— — %
Credit cards8,462 35 — — 1 23 
Personal, small business and other1,267 16 — — — 8 
Total(7)
10,022 $61 $— $— $1 

(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 $0.4 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the three months ended June 30, 2022. These amounts include $0.4 million of residential first mortgages that were newly classified as TDRs in the three months ended June 30, 2022, based on previously received OCC guidance.
(4)Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(5)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(6)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(7)    The above tables reflect activity for restructured loans that were considered TDRs during the reporting period.
(8)    Post-modification balances in North America include $2 million of residential first mortgages to borrowers who have gone through Chapter 7 bankruptcy in the six months ended June 30, 2022. These amounts include $2 million of residential first mortgages that were newly classified as TDRs in the six months ended June 30, 2022, based on previously received OCC guidance.

140

Performance of Modified Consumer Loans
The following table presentstables present the delinquencies and gross credit losses of permanently modified consumer loans to borrowers experiencing financial difficulty. It includes loans that were modified during the six12 months ended June 30,March 31, 2024 and the year ended December 31, 2023:

As of June 30, 2023
As of March 31, 2024As of March 31, 2024
In millions of dollarsIn millions of dollarsTotalCurrent
30–89 days
past due
90+ days
past due		Gross
credit losses		In millions of dollarsTotalCurrent
30–89 days
past due
90+ days
past due		Gross
credit losses
In North America offices(1)
In North America offices(1)
Residential first mortgages
Residential first mortgages
Residential first mortgagesResidential first mortgages$100 $36 $20 $44 $— 
Home equity loansHome equity loans19 14 1 4 — 
Credit cardsCredit cards499 319 102 78 57 
Personal, small business and otherPersonal, small business and other6 6 — — — 
Total(2)(3)
Total(2)(3)
$624 $375 $123 $126 $57 
In offices outside North America(1)
In offices outside North America(1)
Residential mortgagesResidential mortgages$296 $295 $1 $— $— 
Residential mortgages
Residential mortgages
Credit cards
Credit cards
Credit cardsCredit cards23 20 2 1 — 
Personal, small business and otherPersonal, small business and other16 14 1 1 1 
Total(2)(3)
Total(2)(3)
$335 $329 $4 $2 $1 

As of December 31, 2023
In millions of dollarsTotalCurrent
30–89 days
past due
90+ days
past due		Gross
credit losses
In North America offices(1)
Residential first mortgages$164 $70 $22 $72 $— 
Home equity loans21 14 1 6 — 
Credit cards1,039 740 179 120 204 
Personal, small business and other14 12 1 1 1 
Total(2)(3)
$1,238 $836 $203 $199 $205 
In offices outside North America(1)
Residential mortgages$334 $331 $2 $1 $— 
Credit cards43 37 3 3 4 
Personal, small business and other27 24 3 — 1 
Total(2)(3)
$404 $392 $8 $4 $5 

(1)    North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(2)    Typically, upon modification a loan re-ages to current. However, FFIEC guidelines for re-aging certain loans require that at least three consecutive minimum monthly payments, or the equivalent amount, be received. In these cases, the loan will remain delinquent until the payment criteria for re-aging have been satisfied.
(3)    Loans modified under Citi’s COVID-19 consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification.


144

Defaults of Modified Consumer Loans
The following tables present default activity for permanently modified consumer loans to borrowers experiencing financial difficulty by type of modification granted, including loans that were modified and subsequently defaulted during the three and six months ended June 30,March 31, 2024 and 2023. Default is defined as 60 days past due:

For the Three Months Ended June 30, 2023For the Three Months Ended March 31, 2024
In millions of dollarsIn millions of dollars
Total(1)(2)
Interest rate reductionTerm
extension		Payment
delay		 Combination: interest rate reduction and term extensionCombination: term extension and payment delayCombination: interest rate reduction, term extension and payment delayIn millions of dollars
Total(1)(2)
Interest rate reductionTerm
extension		Payment
delay		 Combination: interest rate reduction and term extensionCombination: term extension and payment delayCombination: interest rate reduction, term extension and payment delay
In North America offices(3)
In North America offices(3)
 
Residential first mortgages
Residential first mortgages
Residential first mortgagesResidential first mortgages$1 $1 $— $— $— $— $— 
Home equity loansHome equity loans— — — — — — — 
Credit cards(4)
Credit cards(4)
50 50 — — — — — 
Personal, small business and otherPersonal, small business and other— — — — — — — 
TotalTotal$51 $51 $— $— $— $— $— 
In offices outside North America(3)
In offices outside North America(3)
Residential mortgages
Residential mortgages
Residential mortgagesResidential mortgages$— $— $— $— $— $— $— 
Credit cards(4)
Credit cards(4)
1 1 — — — — — 
Personal, small business and otherPersonal, small business and other— — — — — — — 
TotalTotal$1 $1 $— $— $— $— $— 

141

For the Six Months Ended June 30, 2023For the Three Months Ended March 31, 2023
In millions of dollarsIn millions of dollars
Total(1)(2)
Interest rate reductionTerm
extension		Payment
delay		 Combination: interest rate reduction and term extensionCombination: term extension and payment delayCombination: interest rate reduction, term extension and payment delayIn millions of dollars
Total(1)(2)
Interest rate reductionTerm
extension		Payment
delay		 Combination: interest rate reduction and term extensionCombination: term extension and payment delayCombination: interest rate reduction, term extension and payment delay
In North America offices(3)
In North America offices(3)
 
Residential first mortgages
Residential first mortgages
Residential first mortgagesResidential first mortgages$1 $1 $— $— $— $— $— 
Home equity loansHome equity loans— — — — — — — 
Credit cards(4)
Credit cards(4)
55 55 — — — — — 
Personal, small business and otherPersonal, small business and other— — — — — — — 
TotalTotal$56 $56 $— $— $— $— $— 
In offices outside North America(3)
In offices outside North America(3)
Residential mortgages
Residential mortgages
Residential mortgagesResidential mortgages$— $— $— $— $— $— $— 
Credit cards(4)
Credit cards(4)
1 1 — — — — — 
Personal, small business and otherPersonal, small business and other1 — — — 1 — — 
TotalTotal$2 $1 $— $— $1 $— $— 

(1)    The above table reflects activity for loans outstanding as of the end of the reporting period.
(2)    Modified residential first mortgages that default are typically liquidated through foreclosure or a similar type of liquidation.
(3)    North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(4)    Modified credit card loans that default continue to be charged off in accordance with Citi’s consumer charge-off policy.
The following table presents the Company’s three and six months ended June 30, 2022 consumer TDRs, under previous GAAP, prior to the Company’s adoption of ASU No. 2022-02 on January 1, 2023, that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due:
Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars20222022
North America
Residential first mortgages$13 $17 
Home equity loans2 2 
Credit cards59 116 
Personal, small business and other— — 
Total$74 $135 
International
Residential mortgages$3 $7 
Credit cards3 7 
Personal, small business and other1 2 
Total$7 $16 


142145

14.15. ALLOWANCE FOR CREDIT LOSSES

Three Months Ended June 30,Six Months Ended June 30,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars2023202220232022
Allowance for credit losses on loans (ACLL) at beginning of periodAllowance for credit losses on loans (ACLL) at beginning of period$17,169 $15,393 $16,974 $16,455 
Allowance for credit losses on loans (ACLL) at beginning of period
Allowance for credit losses on loans (ACLL) at beginning of period
Adjustments to opening balance(1)
Adjustments to opening balance(1)
Adjustments to opening balance(1)
Adjustments to opening balance(1)
Financial instruments—TDRs and vintage disclosures(1)
Financial instruments—TDRs and vintage disclosures(1)
Financial instruments—TDRs and vintage disclosures(1)
Financial instruments—TDRs and vintage disclosures(1)
$— $— $(352)$— 
Adjusted ACLL at beginning of periodAdjusted ACLL at beginning of period$17,169 $15,393 $16,622 $16,455 
Adjusted ACLL at beginning of period
Adjusted ACLL at beginning of period
Gross credit losses on loans
Gross credit losses on loans
Gross credit losses on loansGross credit losses on loans$(1,879)$(1,212)$(3,513)$(2,452)
Gross recoveries on loansGross recoveries on loans375 362 707 730 
Gross recoveries on loans
Gross recoveries on loans
Net credit losses on loans (NCLs)
Net credit losses on loans (NCLs)
Net credit losses on loans (NCLs)Net credit losses on loans (NCLs)$(1,504)$(850)$(2,806)$(1,722)
Replenishment of NCLsReplenishment of NCLs$1,504 $850 $2,806 $1,722 
Replenishment of NCLs
Replenishment of NCLs
Net reserve builds (releases) for loans
Net reserve builds (releases) for loans
Net reserve builds (releases) for loansNet reserve builds (releases) for loans290 520 687 (260)
Net specific reserve builds (releases) for loansNet specific reserve builds (releases) for loans(33)14 5 182 
Net specific reserve builds (releases) for loans
Net specific reserve builds (releases) for loans
Total provision for credit losses on loans (PCLL)
Total provision for credit losses on loans (PCLL)
Total provision for credit losses on loans (PCLL)Total provision for credit losses on loans (PCLL)$1,761 $1,384 $3,498 $1,644 
Other, net (see table below)Other, net (see table below)70 25 182 (425)
Other, net (see table below)
Other, net (see table below)
ACLL at end of periodACLL at end of period$17,496 $15,952 $17,496 $15,952 
ACLL at end of period
ACLL at end of period
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2)
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2)
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2)
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2)
$1,959 $2,343 $2,151 $1,871 
Provision (release) for credit losses on unfunded lending commitmentsProvision (release) for credit losses on unfunded lending commitments(96)(159)(290)315 
Provision (release) for credit losses on unfunded lending commitments
Provision (release) for credit losses on unfunded lending commitments
Other, net
Other, net
Other, netOther, net(1)9 1 7 
ACLUC at end of period(2)
ACLUC at end of period(2)
$1,862 $2,193 $1,862 $2,193 
Total allowance for credit losses on loans, leases and unfunded lending commitments(3)
$19,358 $18,145 $19,358 $18,145 
ACLUC at end of period(2)
ACLUC at end of period(2)
Total allowance for credit losses on loans, leases and unfunded lending commitments
Total allowance for credit losses on loans, leases and unfunded lending commitments
Total allowance for credit losses on loans, leases and unfunded lending commitments

Other, net detailsOther, net detailsThree Months Ended June 30,Six Months Ended June 30,
Other, net details
Other, net details
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars2023202220232022
Reclasses of consumer ACLL to HFS(4)
$— $— $— $(350)
FX translation and other
FX translation and other
FX translation and otherFX translation and other70 25 182 (75)
Other, netOther, net$70 $25 $182 $(425)
Other, net
Other, net

(1)See “Accounting Changes” in Note 1 in Citi’s First Quarter of 2023 Form 10-Q for a description of the impact of adopting ASU 2022-02 on the ACL.1.
(2)Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded inOther liabilities on the Consolidated Balance Sheet.
(3)    See below for ACL on
HTM debt securities and Other assets.
(4)    See Note 2.

143146

Allowance for Credit Losses on Loans and End-of-Period Loans

Three Months Ended
June 30, 2023June 30, 2022
Three Months EndedThree Months Ended
March 31, 2024March 31, 2024March 31, 2023
In millions of dollarsIn millions of dollarsCorporateConsumerTotalCorporateConsumerTotalIn millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
ACLL at beginning of periodACLL at beginning of period$2,780 $14,389 $17,169 $3,025 $12,368 $15,393 
Charge-offs(86)(1,793)(1,879)(57)(1,155)(1,212)
Recoveries11 364 375 34 328 362 
Replenishment of NCLs75 1,429 1,504 23 827 850 
Net reserve builds (releases)(119)409 290 (128)648 520 
Net specific reserve builds (releases)(33)— (33)49 (35)14 
Other2 68 70 23 2 25 
Ending balance$2,630 $14,866 $17,496 $2,969 $12,983 $15,952 
Six Months Ended
June 30, 2023June 30, 2022
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
ACLL at beginning of period$2,855 $14,119 $16,974 $2,415 $14,040 $16,455 
Adjustments to opening balance:
Adjustment to opening balance(1)
Financial instruments—TDRs and vintage disclosures(1)
Financial instruments—TDRs and vintage disclosures(1)
Financial instruments—TDRs and vintage disclosures(1)
Financial instruments—TDRs and vintage disclosures(1)
— (352)(352)— — — 
Adjusted ACLL at beginning of period
Adjusted ACLL at beginning of period
Adjusted ACLL at beginning of periodAdjusted ACLL at beginning of period$2,855 $13,767 $16,622 $2,415 $14,040 $16,455 
Charge-offsCharge-offs$(125)$(3,388)$(3,513)$(105)$(2,347)$(2,452)
RecoveriesRecoveries28 679 707 51 679 730 
Replenishment of NCLsReplenishment of NCLs97 2,709 2,806 54 1,668 1,722 
Net reserve builds (releases)Net reserve builds (releases)(209)896 687 249 (509)(260)
Net specific reserve builds (releases)Net specific reserve builds (releases)(28)33 5 273 (91)182 
OtherOther12 170 182 32 (457)(425)
Other
Other
Ending balanceEnding balance$2,630 $14,866 $17,496 $2,969 $12,983 $15,952 

June 30, 2023December 31, 2022
March 31, 2024March 31, 2024December 31, 2023
In millions of dollarsIn millions of dollarsCorporateConsumerTotalCorporateConsumerTotalIn millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
ACLLACLL  
Collectively evaluated(1)
Collectively evaluated(1)
Collectively evaluated(1)
Collectively evaluated(1)
$2,335 $14,827 $17,162 $2,532 $13,521 $16,053 
Individually evaluatedIndividually evaluated295 39 334 323 596 919 
Purchased credit deterioratedPurchased credit deteriorated— — — — 2 2 
Total ACLLTotal ACLL$2,630 $14,866 $17,496 $2,855 $14,119 $16,974 
Loans, net of unearned incomeLoans, net of unearned income
Collectively evaluated(1)
Collectively evaluated(1)
$279,231 $374,201 $653,432 $282,909 $364,795 $647,704 
Collectively evaluated(1)
Collectively evaluated(1)
Individually evaluatedIndividually evaluated1,261 39 1,300 1,122 2,921 4,043 
Purchased credit deterioratedPurchased credit deteriorated— 114 114 — 114 114 
Held at fair valueHeld at fair value5,529 237 5,766 5,123 237 5,360 
Total loans, net of unearned incomeTotal loans, net of unearned income$286,021 $374,591 $660,612 $289,154 $368,067 $657,221 

(1)    See Note 1 in Citi’s First Quarter of 2023 Form 10-Q for a description of the effect of adopting ASU 2022-02 on the ACL and for Citi’s updated accounting policy for collectively evaluating the ACL for consumer loans formerly considered TDRs.

144147

2Q231Q24 Changes in the ACL
The total allowance for credit losses on loans, leases and unfunded lending commitments as of June 30, 2023March 31, 2024 was $19,358$19,925 million, a slightan increase from $19,125$19,873 million at December 31, 2022.2023. The increase in the ACLL was primarily driven by growthmacroeconomic pressures related to the higher inflationary and interest rate environment impacting both card portfolios and changes in macroeconomic assumptions impacting loan spread products, as well as the seasonal mix shift from transactors to revolvers, partially offset by lower card balances in Branded cardsCards and Retail servicesServices and an increasea change in transfer riskACL associated with exposures outside the U.S. driven by safety and soundness considerations under U.S. banking law, partially offset by a decrease in the ACLL of $352 million from the adoption of ASU 2022-02 for the recognition and measurement of TDRs (see Note 1) and an improved macroeconomic outlook.margin lending portfolio.

Consumer ACLL
Citi’s total consumer allowance for credit losses on loans (ACLL) as of June 30, 2023March 31, 2024 was $14,866$15,524 million, an increase from $14,119$15,431 million at December 31, 2022.2023. The increase was primarily driven by growth in U.S. cards balances,macroeconomic pressures related to the higher inflationary and interest rate environment impacting both card portfolios, as well as the seasonal mix shift from transactors to revolvers, partially offset by a decrease to the ACLL of $352 million from the adoption of ASU 2022-02 for the recognition and measurement of TDRs.lower U.S. card volumes.

Corporate ACLL
Citi’s total corporate ACLL as of June 30, 2023March 31, 2024 was $2,630$2,772 million, a decreasean increase from $2,855$2,714 million at December 31, 2022.2023. The decreaseincrease was primarily driven by an improvedchanges in macroeconomic outlook.assumptions impacting loans in spread products, partially offset by changes in portfolio composition in Banking.

ACLUC
As of June 30, 2023,March 31, 2024, Citi’s total ACLUC, included in Other liabilities, was $1,862$1,629 million, a decrease from $2,151$1,728 million at December 31, 2022.2023. The decrease was primarily driven by an improved macroeconomic outlook.a release related to reserves for specific risks and uncertainties impacting vulnerable industries.


145
148

Allowance for Credit Losses on HTM Debt Securities
The allowance for credit losses on HTM debt securities, which the Company has the intent and ability to hold, was $106 million and $95 million as of March 31, 2024 and December 31, 2023, respectively.

Three Months Ended June 30, 2023
In millions of dollarsMortgage-backedState and municipalForeign governmentAsset-
backed		Total HTM
Allowance for credit losses on HTM debt securities
at beginning of quarter		$2 $98 $3 $1 $104 
Gross credit losses— — — — — 
Gross recoveries— — — — — 
Net credit losses (NCLs)$— $— $— $— $— 
Replenishment of NCLs$— $— $— $— $— 
Net reserve builds (releases)3 (6)(1)— (4)
Net specific reserve builds (releases)— — — — — 
Total provision for credit losses on HTM debt securities$3 $(6)$(1)$— $(4)
Other, net$— $— $— $(1)$(1)
Allowance for credit losses on HTM debt securities
at end of quarter		$5 $92 $2 $— $99 
Six Months Ended June 30, 2023
In millions of dollarsMortgage-backedState and municipalForeign governmentAsset-
backed		Total HTM
Allowance for credit losses on HTM debt securities
at beginning of year		$1 $113 $3 $3 $120 
Gross credit losses— — — — — 
Gross recoveries— — — — — 
Net credit losses (NCLs)$— $— $— $— $— 
Replenishment of NCLs$— $— $— $— $— 
Net reserve builds (releases)5 (21)(1)(4)(21)
Net specific reserve builds (releases)— — — — — 
Total provision for credit losses on HTM debt securities$5 $(21)$(1)$(4)$(21)
Other, net$(1)$— $— $1 $— 
Allowance for credit losses on HTM debt securities
at end of quarter		$5 $92 $2 $— $99 

146

Three Months Ended June 30, 2022
In millions of dollarsMortgage-backedState and municipalForeign governmentAsset-
backed		Total HTM
Allowance for credit losses on HTM debt securities
at beginning of quarter		$4 $79 $2 $— $85 
Gross credit losses— — — — — 
Gross recoveries— — — — — 
Net credit losses (NCLs)$— $— $— $— $— 
Replenishment of NCLs$— $— $— $— $— 
Net reserve builds (releases)(2)14 1 7 20 
Net specific reserve builds (releases)— — — — — 
Total provision for credit losses on HTM debt securities$(2)$14 $1 $7 $20 
Allowance for credit losses on HTM debt securities
at end of quarter		$2 $93 $3 $7 $105 
Six Months Ended June 30, 2022
In millions of dollarsMortgage-backedState and municipalForeign governmentAsset-
backed		Total HTM
Allowance for credit losses on HTM debt securities
at beginning of year		$6 $75 $4 $2 $87 
Gross credit losses— — — — — 
Gross recoveries— — — — — 
Net credit losses (NCLs)$— $— $— $— $— 
Replenishment of NCLs$— $— $— $— $— 
Net reserve builds(4)18 (1)5 18 
Net specific reserve builds (releases)— — — — — 
Total provision for credit losses on HTM debt securities$(4)$18 $(1)$5 $18 
Allowance for credit losses on HTM debt securities
at end of quarter		$2 $93 $3 $7 $105 

147

Allowance for Credit Losses on Other Assets

Three Months Ended June 30, 2023
Three Months Ended March 31, 2024
Three Months Ended March 31, 2024
Three Months Ended March 31, 2024
In millions of dollarsIn millions of dollarsDeposits with banksSecurities borrowed and purchased under agreements
to resell
All other assets(1)
TotalIn millions of dollarsDeposits with banksSecurities borrowed and purchased under agreements
to resell
All other assets(1)
Total
Allowance for credit losses on other assets
at beginning of quarter		Allowance for credit losses on other assets
at beginning of quarter		$135 $30 $363 $528 
Gross credit losses
Gross credit losses
Gross credit lossesGross credit losses— — (24)(24)
Gross recoveriesGross recoveries— — 5 5 
Net credit losses (NCLs)Net credit losses (NCLs)$— $— $(19)$(19)
Replenishment of NCLsReplenishment of NCLs$— $— $19 $19 
Net reserve builds (releases)Net reserve builds (releases)(114)— 244 130 
Total provision for credit lossesTotal provision for credit losses$(114)$— $263 $149 
Other, netOther, net$— $(4)$5 $1 
Allowance for credit losses on other assets
at end of quarter		Allowance for credit losses on other assets
at end of quarter		$21 $26 $612 $659 
Six Months Ended June 30, 2023
In millions of dollarsDeposits with banksSecurities borrowed and purchased under agreements
to resell
All other assets(1)
Total
Allowance for credit losses on other assets
at beginning of year		$51 $36 $36 $123 
Gross credit losses— — (35)(35)
Gross recoveries— — 5 5 
Net credit losses (NCLs)$— $— $(30)$(30)
Replenishment of NCLs$— $— $30 $30 
Net reserve builds (releases)(29)(3)576 544 
Total provision for credit losses$(29)$(3)$606 $574 
Other, net$(1)$(7)$— $(8)
Allowance for credit losses on other assets
at end of quarter		$21 $26 $612 $659 

(1)Primarily an increaseACL related to transfer risk associated with exposures outside of the U.S. driven by safety and soundness considerations under U.S. banking law.

148

Three Months Ended June 30, 2022
Three Months Ended March 31, 2023
Three Months Ended March 31, 2023
Three Months Ended March 31, 2023
In millions of dollarsIn millions of dollarsDeposits with banksSecurities borrowed and purchased under agreements
to resell		Brokerage receivables
All other assets(1)
TotalIn millions of dollarsDeposits with banksSecurities borrowed and purchased under agreements
to resell
All other assets(1)
Total
Allowance for credit losses on other assets
at beginning of quarter		Allowance for credit losses on other assets
at beginning of quarter		$15 $4 $— $24 $43 
Gross credit losses
Gross credit losses
Gross credit lossesGross credit losses— — — (8)(8)
Gross recoveriesGross recoveries— — — 2 2 
Net credit losses (NCLs)Net credit losses (NCLs)$— $— $— $(6)$(6)
Replenishment of NCLsReplenishment of NCLs$— $— $— $6 $6 
Net reserve builds (releases)Net reserve builds (releases)2 (8)— 7 1 
Total provision for credit lossesTotal provision for credit losses$2 $(8)$— $13 $7 
Other, netOther, net$— $31 $— $(1)$30 
Allowance for credit losses on other assets
at end of quarter		Allowance for credit losses on other assets
at end of quarter		$17 $27 $— $30 $74 
Six Months Ended June 30, 2022
In millions of dollarsDeposits with banksSecurities 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 $53 
Gross credit losses— — — (15)(15)
Gross recoveries— — — 2 2 
Net credit losses (NCLs)$— $— $— $(13)$(13)
Replenishment of NCLs$— $— $— $13 $13 
Net reserve builds (releases)(4)(10)— 4 (10)
Total provision for credit losses$(4)$(10)$— $17 $3 
Other, net$— $31 $— $— $31 
Allowance for credit losses on other assets
at end of quarter		$17 $27 $— $30 $74 

(1)    Primarily accounts receivable.

For ACL on AFS debt securities, see Note 12.13.
149

15.16.  GOODWILL AND INTANGIBLE ASSETS

Goodwill
The changes in Goodwill were as follows:

In millions of dollarsIn millions of dollarsInstitutional Clients GroupPersonal Banking and Wealth ManagementLegacy FranchisesTotal
In millions of dollars
In millions of dollarsServices
Markets(1)
Banking(1)
USPBWealthAll OtherTotal
Balance at December 31, 2023
Foreign currency translation
Balance at March 31, 2024
Balance at March 31, 2024
Balance at December 31, 2022$8,986 $9,741 $964 $19,691 
Foreign currency translation42 69 80 191 
Balance at March 31, 2023$9,028 $9,810 $1,044 $19,882 
Foreign currency translation13 48 55 116 
Balance at June 30, 2023$9,041 $9,858 $1,099 $19,998 
Balance at March 31, 2024

(1)    In 2023, goodwill of approximately $537 million was transferred from Banking to Markets related to business realignment. Prior-period amounts have been
revised to conform with the current presentation. See Note 3.

Citi tests for goodwill impairment annually as of October 1 (the annual test) and conducts interim assessments between the annual test 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. No such events or circumstances were identified as part of the qualitative assessment performed as of June 30, 2023.March 31, 2024. For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 1617 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.
While the inherent risk related toof uncertainty is embedded in the key assumptions used in the valuations of the reporting units,unit valuations, the economic and business environments continue to evolve as Citi’s management implementsexecutes on its strategic refresh.transformation and strategy. If management’s future estimates of key economic and market assumptions were to differ from its current assumptions, Citi could potentially experience material goodwill impairment charges in the future.


Intangible Assets
The components of intangible assets were as follows:

June 30, 2023December 31, 2022 March 31, 2024December 31, 2023
In millions of dollarsIn millions of dollarsGross
carrying
amount		Accumulated
amortization		Net
carrying
amount		Gross
carrying
amount		Accumulated
amortization		Net
carrying
amount		In millions of dollarsGross
carrying
amount		Accumulated
amortization		Net
carrying
amount		Gross
carrying
amount		Accumulated
amortization		Net
carrying
amount
Purchased credit card relationships(1)
Purchased credit card relationships(1)
$5,302 $4,290 $1,012 $5,513 $4,426 $1,087 
Credit card contract-related intangibles(2)
Credit card contract-related intangibles(2)
4,193 1,612 2,581 3,903 1,518 2,385 
Other customer relationshipsOther customer relationships355 271 84 373 283 90 
Present value of future profitsPresent value of future profits37 36 1 32 31 1 
Indefinite-lived intangible assetsIndefinite-lived intangible assets217 — 217 192 — 192 
Other— — — 65 57 8 
Intangible assets (excluding MSRs)
Intangible assets (excluding MSRs)
Intangible assets (excluding MSRs)Intangible assets (excluding MSRs)$10,104 $6,209 $3,895 $10,078 $6,315 $3,763 
Mortgage servicing rights (MSRs)(3)
Mortgage servicing rights (MSRs)(3)
681 — 681 665 — 665 
Total intangible assetsTotal intangible assets$10,785 $6,209 $4,576 $10,743 $6,315 $4,428 

The changes in intangible assets were as follows:

In millions of dollarsIn millions of dollarsNet carrying amount at December 31, 2022Acquisitions/renewals/
divestitures		AmortizationImpairmentsFX translation and otherNet carrying amount at June 30, 2023In millions of dollarsNet carrying amount at December 31, 2023Acquisitions/renewals/
divestitures		AmortizationImpairmentsFX translation and otherNet carrying amount at March 31, 2024
Purchased credit card relationships(1)
Purchased credit card relationships(1)
$1,087 $— $(75)$— $— $1,012 
Credit card contract-related intangibles(2)
Credit card contract-related intangibles(2)
2,385 290 (94)— — 2,581 
Other customer relationshipsOther customer relationships90 11 (12)— (5)84 
Present value of future profitsPresent value of future profits1 — — — — 1 
Indefinite-lived intangible assetsIndefinite-lived intangible assets192 — — — 25 217 
Other8 — (8)— — — 
Intangible assets (excluding MSRs)
Intangible assets (excluding MSRs)
Intangible assets (excluding MSRs)Intangible assets (excluding MSRs)$3,763 $301 $(189)$— $20 $3,895 
Mortgage servicing rights (MSRs)(3)
Mortgage servicing rights (MSRs)(3)
665 681 
Total intangible assetsTotal intangible assets$4,428 $4,576 

(1)Reflects intangibles for the value of purchased cardholder relationships, which are discrete from contract-related intangibles.
150

(2)Reflects contract-related intangibles associated with the extension or renewal of existing credit card program agreements with card partners. For the credit card program agreement extended during 2023, the remaining term is over 10 years.
(3)See Note 20 for additional information on Citi’s MSRs, including the rollforward for the three months ended June 30, 2023.21.




16.17. DEPOSITS

Deposits consisted of the following:

June 30,December 31,
March 31,March 31,December 31,
In millions of dollarsIn millions of dollars
2023(1)
2022In millions of dollars
2024(1)
2023
Non-interest-bearing deposits in U.S. officesNon-interest-bearing deposits in U.S. offices$109,844 $122,655 
Interest-bearing deposits in U.S. offices (including $998 and $903 as of June 30, 2023 and December 31, 2022, respectively, at fair value)590,700 607,470 
Interest-bearing deposits in U.S. offices (including $1,243 and $1,309 as of March 31, 2024 and December 31, 2023, respectively, at fair value)
Total deposits in U.S. offices(1)
Non-interest-bearing deposits in offices outside the U.S.Non-interest-bearing deposits in offices outside the U.S.91,899 95,182 
Interest-bearing deposits in offices outside the U.S. (including $1,600 and $972 as of June 30, 2023 and December 31, 2022, respectively, at fair value)527,424 540,647 
Interest-bearing deposits in offices outside the U.S. (including $1,662 and $1,131 as of March 31, 2024 and December 31, 2023, respectively, at fair value)
Total deposits in offices outside the U.S.(1)
Total depositsTotal deposits$1,319,867 $1,365,954 

(1)    For information on time deposits that met or exceeded the insured limit at December 31, 2022,2023, see Note 1718 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.

For additional information on Citi’s deposits, see Citi’s 20222023 Form 10-K.

151

17.18.  DEBT

For additional information regarding Citi’s short-term borrowings and long-term debt, see Note 1819 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.

Short-Term Borrowings

In millions of dollarsIn millions of dollarsJune 30,
2023		December 31,
2022		In millions of dollarsMarch 31,
2024		December 31,
2023
Commercial paperCommercial paper
Bank(1)
Bank(1)
Bank(1)
Bank(1)
$11,108 $11,185 
Broker-dealer and other(2)
Broker-dealer and other(2)
9,814 14,345 
Total commercial paperTotal commercial paper$20,922 $25,530 
Other borrowings(3)
Other borrowings(3)
19,508 21,566 
TotalTotal$40,430 $47,096 

(1)Represents Citibank entities as well as other bank entities.
(2)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.
(3)Includes borrowings from Federal Home Loan Banks and other market participants. At June 30, 2023March 31, 2024 and December 31, 2022,2023, collateralized short-term advances from Federal Home Loan Banks were $10.0$4.0 billion and $12.0$8.0 billion, respectively.

Long-Term Debt

In millions of dollarsIn millions of dollarsJune 30,
2023		December 31, 2022In millions of dollarsMarch 31,
2024		December 31, 2023
Citigroup Inc.(1)
Citigroup Inc.(1)
$163,043 $166,257 
Bank(2)
Bank(2)
19,101 21,113 
Broker-dealer and other(3)
Broker-dealer and other(3)
92,366 84,236 
TotalTotal$274,510 $271,606 

(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At June 30, 2023March 31, 2024 and December 31, 2022,2023, collateralized long-term advances from the Federal Home Loan Banks were $7.5$11.5 billion and $7.3$11.5 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 at June 30, 2023March 31, 2024 and December 31, 2022.2023.






The following table summarizes Citi’s outstanding trust preferred securities at June 30, 2023:March 31, 2024:

 Junior subordinated debentures owned by trust  Junior subordinated debentures owned by trust
TrustTrustIssuance
date		Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent		Notional amountMaturityRedeemable
by issuer
beginning		TrustIssuance
date		Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent		Notional amountMaturityRedeemable
by issuer
beginning
In millions of dollars, except securities and share amountsIn millions of dollars, except securities and share amounts
Citigroup Capital IIICitigroup Capital IIIDec. 1996194,053 $194 7.625 %6,003 $200 Dec. 1, 2036Not redeemable
Citigroup Capital III
Citigroup Capital IIIDec. 1996194,053 $194 7.625 %6,003 $200 Dec. 1, 2036Not redeemable
Citigroup Capital XIIICitigroup Capital XIIIOct. 201089,840,000 2,246 
3 mo. LIBOR(3) + 637 bps
1,000 2,246 Oct. 30, 2040Oct. 30, 2015Citigroup Capital XIIIOct. 201089,840,000 2,246 2,246 
3 mo. SOFR +663.161 bps(3)
3 mo. SOFR +663.161 bps(3)
1,000 2,246 2,246 Oct. 30, 2040Oct. 30, 2040Oct. 30, 2015
Total obligatedTotal obligated $2,440  $2,446  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 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.
(3)The coupon rate will transition to 3-month term SOFR +26.161spread incorporates the original contractual spread and a 26.161 bps +637 bps at the start of the next distribution period.tenor spread adjustment.
152

18.19.  CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)

Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows:

In millions of dollarsNet
unrealized
gains (losses)
on debt securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
CTA, net of hedges(4)
Excluded component of fair value hedges
Long-duration insurance contracts(5)
Accumulated
other
comprehensive income (loss)
Three Months Ended
June 30, 2023
Balance, March 31, 2023$(5,162)$517 $(2,161)$(5,859)$(32,796)$(12)$32 $(45,441)
Other comprehensive income before reclassifications133 (613)(206)(170)23 27 (6)(812)
Increase (decrease) due to amounts reclassified from AOCI
(7)(6)377 34 — (10)— 388 
Change, net of taxes
$126 $(619)$171 $(136)$23 $17 $(6)$(424)
Balance at June 30, 2023$(5,036)$(102)$(1,990)$(5,995)$(32,773)$5 $26 $(45,865)
Six Months Ended June 30, 2023
Balance, December 31, 2022$(5,998)$842 $(2,522)$(5,755)$(33,637)$8 $— $(47,062)
Adjustment to opening balance, net of taxes(6)
— — — — — — 27 27 
Adjusted balance, beginning of period$(5,998)$842 $(2,522)$(5,755)$(33,637)$8 $27 $(47,035)
Other comprehensive income before reclassifications988 (940)(200)(302)864 11 (1)420 
Increase (decrease) due to amounts reclassified from AOCI
(26)(4)732 62 — (14)— 750 
Change, net of taxes$962 $(944)$532 $(240)$864 $(3)$(1)$1,170 
Balance at June 30, 2023$(5,036)$(102)$(1,990)$(5,995)$(32,773)$5 $26 $(45,865)
In millions of dollarsNet
unrealized
gains (losses)
on debt securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
CTA, net of hedges(4)
Excluded component of fair value hedges
Long-duration insurance contracts(5)
Accumulated
other
comprehensive income (loss)
Three Months Ended
March 31, 2024
Balance, December 31, 2023$(3,744)$(709)$(1,406)$(6,050)$(32,885)$(40)$34 $(44,800)
Other comprehensive income before reclassifications176 (573)232 30 (1,054)8 21 (1,160)
Increase (decrease) due to amounts reclassified from AOCI
(76)10 260 47 — (10)— 231 
Change, net of taxes
$100 $(563)$492 $77 $(1,054)$(2)$21 $(929)
Balance at March 31, 2024$(3,644)$(1,272)$(914)$(5,973)$(33,939)$(42)$55 $(45,729)



153

In millions of dollarsIn millions of dollarsNet
unrealized
gains (losses)
on debt securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
CTA, net
of hedges(4)
Excluded component of fair value hedgesLong-duration insurance contractsAccumulated
other
comprehensive income (loss)		In millions of dollarsNet
unrealized
gains (losses)
on debt securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
CTA, net
of hedges(4)
Excluded component of fair value hedges
Long-duration insurance contracts(5)
Accumulated
other
comprehensive income (loss)
Three Months Ended June 30, 2022
Balance, March 31, 2022$(4,891)$(394)$(1,440)$(5,681)$(31,180)$1 $— $(43,585)
Three Months Ended
March 31, 2023
Balance, December 31, 2022
Balance, December 31, 2022
Balance, December 31, 2022
Adjustment to opening balance, net of taxes(6)
Adjusted balance, beginning of period
Other comprehensive income before reclassifications
Other comprehensive income before reclassifications
Other comprehensive income before reclassifications
Increase (decrease) due to amounts reclassified from AOCI
Change, net of taxes
Balance at March 31, 2023
Other comprehensive income before reclassifications(1,612)1,968 (515)(271)(1,975)4 — (2,401)
Increase (decrease) due to amounts reclassified from AOCI
111 (1)(151)182 345 5 — 491 
Change, net of taxes
$(1,501)$1,967 $(666)$(89)$(1,630)$9 $— $(1,910)
Balance at June 30, 2022$(6,392)$1,573 $(2,106)$(5,770)$(32,810)$10 $— $(45,495)
Six Months Ended June 30, 2022
Balance, December 31, 2021$(614)$(1,187)$101 $(5,852)$(31,166)$(47)$— $(38,765)
Other comprehensive income before reclassifications(5,895)2,761 (1,839)21 (1,989)50 — (6,891)
Increase (decrease) due to amounts reclassified from AOCI
117 (1)(368)61 345 7 — 161 
Change, net of taxes$(5,778)$2,760 $(2,207)$82 $(1,644)$57 $— $(6,730)
Balance at June 30, 2022$(6,392)$1,573 $(2,106)$(5,770)$(32,810)$10 $— $(45,495)

(1)Reflects the after-tax valuation of Citi’s fair value option liabilities. See “Market Valuation Adjustments” in Note 22.23.
(2)Primarily driven by Citi’s pay floating/receive fixed interest rate swap programs that hedge certain floating rates on 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 MexicanEgyptian pound, Chilean peso, Brazilian real, Russian rubleEuro and Japanese yen against the U.S. dollar and changes in related tax effects and hedges for the three months ended June 30, 2023.March 31, 2024. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Polish zloty, Chilean peso, Euro, Russian ruble, Japanese yen and South Korean won against the U.S. dollar and changes in related tax effects and hedges for the six months ended June 30, 2023. Primarily reflects the movements in (by order of impact) the South Korean won, Euro, Chilean peso, Mexican peso, Japanese yen and Brazilian realRussian ruble against the U.S. dollar and changes in related tax effects and hedges for the three months ended June 30, 2022. Primarily reflects the movements in (by order of impact) the South Korean won, Euro, Japanese yen, Indian rupee, British pound sterling and Chilean peso against the U.S. dollar and changes in related tax effects and hedges for the six months ended June 30, 2022.March 31, 2023. 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)Reflects the change in the liability for future policyholder benefits for certain long-duration life-contingent annuity contracts that are issued by a regulated Citi insurance subsidiary in Mexico and reported within Legacy Franchises.Franchises. The amount reflects the change in the liability after discounting using an upper-medium gradeupper-medium-grade fixed income instrument yield that reflects the duration characteristics of the liability. As of June 30, 2023, theThe balance of the liability for future policyholder benefits, which is recorded within Other Liabilities, for this insurance subsidiary was approximately $560 million.$546 million and $525 million at March 31, 2024 and March 31, 2023, respectively.
(6)See Note 1.
154153

The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:

In millions of dollarsIn millions of dollarsPretax
Tax effect(1)
After-taxIn millions of dollarsPretax
Tax effect(1)
After-tax
Three Months Ended June 30, 2023
Balance, March 31, 2023$(53,443)$8,002 $(45,441)
Three Months Ended March 31, 2024
Balance, December 31, 2023
Balance, December 31, 2023
Balance, December 31, 2023
Change in net unrealized gains (losses) on debt securities
Change in net unrealized gains (losses) on debt securities
Change in net unrealized gains (losses) on debt securitiesChange in net unrealized gains (losses) on debt securities210 (84)126 
Debt valuation adjustment (DVA)Debt valuation adjustment (DVA)(837)218 (619)
Cash flow hedgesCash flow hedges233 (62)171 
Benefit plansBenefit plans(156)20 (136)
Foreign currency translation adjustment (CTA)Foreign currency translation adjustment (CTA)15 8 23 
Excluded component of fair value hedgesExcluded component of fair value hedges22 (5)17 
Long-duration insurance contractsLong-duration insurance contracts(8)2 (6)
ChangeChange$(521)$97 $(424)
Balance at June 30, 2023$(53,964)$8,099 $(45,865)
Six Months Ended June 30, 2023
Balance, December 31, 2022$(55,253)$8,191 $(47,062)
Adjustment to opening balance(2)
39 (12)27 
Adjusted balance, beginning of period$(55,214)$8,179 $(47,035)
Change in net unrealized gains (losses) on debt securities1,323 (361)962 
DVA(1,270)326 (944)
Cash flow hedges712 (180)532 
Benefit plans(312)72 (240)
CTA803 61 864 
Excluded component of fair value hedges(4)1 (3)
Long-duration insurance contracts(2)1 (1)
Change$1,250 $(80)$1,170 
Balance at June 30, 2023$(53,964)$8,099 $(45,865)
Balance at March 31, 2024

155

In millions of dollarsIn millions of dollarsPretax
Tax effect(1)
After-taxIn millions of dollarsPretax
Tax effect(1)
After-tax
Three Months Ended June 30, 2022
Balance, March 31, 2022$(51,807)$8,222 $(43,585)
Three Months Ended March 31, 2023
Balance, December 31, 2022
Balance, December 31, 2022
Balance, December 31, 2022
Adjustment to opening balance(2)
Adjusted balance, beginning of period
Change in net unrealized gains (losses) on debt securitiesChange in net unrealized gains (losses) on debt securities(1,990)489 (1,501)
DVADVA2,592 (625)1,967 
Cash flow hedgesCash flow hedges(886)220 (666)
Benefit plansBenefit plans(73)(16)(89)
CTACTA(1,414)(216)(1,630)
Excluded component of fair value hedgesExcluded component of fair value hedges12 (3)9 
Long-duration insurance contractsLong-duration insurance contracts— — — 
ChangeChange$(1,759)$(151)$(1,910)
Balance, June 30, 2022$(53,566)$8,071 $(45,495)
Six Months Ended June 30, 2022
Balance, December 31, 2021$(45,383)$6,618 $(38,765)
Balance, March 31, 2023
Change in net unrealized gains (losses) on debt securities(7,614)1,836 (5,778)
DVA3,642 (882)2,760 
Cash flow hedges(2,908)701 (2,207)
Benefit plans104 (22)82 
CTA(1,483)(161)(1,644)
Excluded component of fair value hedges76 (19)57 
Long-duration insurance contracts— — — 
Change$(8,183)$1,453 $(6,730)
Balance, June 30, 2022$(53,566)$8,071 $(45,495)

(1)    Income tax effects of these items are released from AOCI contemporaneously with the related gross pretax amount.
(2)    See Note 1.
156154

The Company recognized pretax (gains) losses related to amounts in AOCI reclassified to the Consolidated Statement of Income as follows:

Increase (decrease) in AOCI due to
amounts reclassified to
Consolidated Statement of Income
Three Months Ended June 30,Six Months Ended June 30,
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
Increase (decrease) in AOCI due to amounts reclassified to
Consolidated Statement of Income
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars2023202220232022
Realized (gains) losses on sales of investmentsRealized (gains) losses on sales of investments$(49)$58 $(121)$(22)
Realized (gains) losses on sales of investments
Realized (gains) losses on sales of investments
Gross impairment losses
Gross impairment losses
Gross impairment lossesGross impairment losses43 90 94 180 
Subtotal, pretaxSubtotal, pretax$(6)$148 $(27)$158 
Subtotal, pretax
Subtotal, pretax
Tax effect
Tax effect
Tax effectTax effect(1)(37)1 (41)
Net realized (gains) losses on investments, after-tax(1)
Net realized (gains) losses on investments, after-tax(1)
$(7)$111 $(26)$117 
Net realized (gains) losses on investments, after-tax(1)
Net realized (gains) losses on investments, after-tax(1)
Realized DVA (gains) losses on fair value option liabilities, pretax
Realized DVA (gains) losses on fair value option liabilities, pretax
Realized DVA (gains) losses on fair value option liabilities, pretaxRealized DVA (gains) losses on fair value option liabilities, pretax$(7)$(1)$(4)$(1)
Tax effectTax effect1 — — — 
Tax effect
Tax effect
Net realized DVA, after-tax
Net realized DVA, after-tax
Net realized DVA, after-taxNet realized DVA, after-tax$(6)$(1)$(4)$(1)
Interest rate contractsInterest rate contracts$495 $(199)$964 $(485)
Interest rate contracts
Interest rate contracts
Foreign exchange contracts
Foreign exchange contracts
Foreign exchange contractsForeign exchange contracts1 1 2 2 
Subtotal, pretaxSubtotal, pretax$496 $(198)$966 $(483)
Subtotal, pretax
Subtotal, pretax
Tax effect
Tax effect
Tax effectTax effect(119)47 (234)115 
Amortization of cash flow hedges, after-tax(2)
Amortization of cash flow hedges, after-tax(2)
$377 $(151)$732 $(368)
Amortization of cash flow hedges, after-tax(2)
Amortization of cash flow hedges, after-tax(2)
Amortization of unrecognized:
Amortization of unrecognized:
Amortization of unrecognized:Amortization of unrecognized:
Prior service cost (benefit)Prior service cost (benefit)$(5)$(5)$(11)$(11)
Prior service cost (benefit)
Prior service cost (benefit)
Net actuarial loss
Net actuarial loss
Net actuarial lossNet actuarial loss51 58 100 128 
Curtailment/settlement impact(3)
Curtailment/settlement impact(3)
1 183 (4)(33)
Curtailment/settlement impact(3)
Curtailment/settlement impact(3)
Subtotal, pretax
Subtotal, pretax
Subtotal, pretaxSubtotal, pretax$47 $236 $85 $84 
Tax effectTax effect(13)(54)(23)(23)
Tax effect
Tax effect
Amortization of benefit plans, after-tax(3)
Amortization of benefit plans, after-tax(3)
Amortization of benefit plans, after-tax(3)
Amortization of benefit plans, after-tax(3)
$34 $182 $62 $61 
Excluded component of fair value hedges, pretaxExcluded component of fair value hedges, pretax$(13)$7 $(19)$10 
Excluded component of fair value hedges, pretax
Excluded component of fair value hedges, pretax
Tax effect
Tax effect
Tax effectTax effect3 (2)5 (3)
Excluded component of fair value hedges, after-taxExcluded component of fair value hedges, after-tax$(10)$5 $(14)$7 
Long-duration insurance contracts, pretax$— $— $— $— 
Excluded component of fair value hedges, after-tax
Excluded component of fair value hedges, after-tax
Long-duration contracts, pretax
Long-duration contracts, pretax
Long-duration contracts, pretax
Tax effectTax effect— — — — 
Long-duration insurance contracts, after-tax$— $— $— $— 
Tax effect
Tax effect
Long-duration contracts, after-tax
Long-duration contracts, after-tax
Long-duration contracts, after-tax
CTA, pretax
CTA, pretax
CTA, pretaxCTA, pretax$— $397 $— $397 
Tax effectTax effect— (52)— (52)
CTA, after-tax(4)
$— $345 $— $345 
Tax effect
Tax effect
CTA, after-tax
CTA, after-tax
CTA, after-tax
Total amounts reclassified out of AOCI, pretax
Total amounts reclassified out of AOCI, pretax
Total amounts reclassified out of AOCI, pretax
Total amounts reclassified out of AOCI, pretax
$517 $589 $1,001 $165 
Total tax effectTotal tax effect(129)(98)(251)(4)
Total tax effect
Total tax effect
Total amounts reclassified out of AOCI, after-tax
Total amounts reclassified out of AOCI, after-tax
$388 $491 $750 $161 
Total amounts reclassified out of AOCI, after-tax
Total amounts reclassified out of AOCI, after-tax

(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 for additional details.13.
(2)See Note 21 for additional details.22.
(3)See Note 8 for additional details.8.
(4)The pretax amount is reclassified to Discontinued operations and Other revenue in the Consolidated Statement of Income, and results from the substantial liquidation of a legacy U.K. consumer operation. See Note 2 for additional details.
157155

19.20.  PREFERRED STOCK

The following table summarizes the Company’s preferred stock outstanding:

   Redemption
price per depositary
share/preference share		 
Carrying value
 (in millions of dollars)
 Issuance dateRedeemable by issuer beginningDividend
rate		Number
of depositary
shares		June 30,
2023		December 31,
2022
Series A(1)
October 29, 2012January 30, 20233-month LIBOR+ 4.068%$1,000 1,500,000 $1,500 $1,500 
Series B(2)
December 13, 2012February 15, 20233-month LIBOR+ 4.230%1,000 750,000 750 750 
Series D(3)
April 30, 2013May 15, 20233-month LIBOR+ 3.466%1,000 1,250,000 1,250 1,250 
Series J(4)
September 19, 2013September 30, 20237.125 25 38,000,000 950 950 
Series K(5)
October 31, 2013November 15, 20236.875 25 59,800,000 1,495 1,495 
Series M(6)
April 30, 2014May 15, 20246.300 1,000 1,750,000 1,750 1,750 
Series P(7)
April 24, 2015May 15, 20255.950 1,000 2,000,000 2,000 2,000 
Series T(8)
April 25, 2016August 15, 20266.250 1,000 1,500,000 1,500 1,500 
Series U(9)
September 12, 2019September 12, 20245.000 1,000 1,500,000 1,500 1,500 
Series V(10)
January 23, 2020January 30, 20254.700 1,000 1,500,000 1,500 1,500 
Series W(11)
December 10, 2020December 10, 20254.000 1,000 1,500,000 1,500 1,500 
Series X(12)
February 18, 2021February 18, 20263.875 1,000 2,300,000 2,300 2,300 
Series Y(13)
October 27, 2021November 15, 20264.150 1,000 1,000,000 1,000 1,000 
Series Z(14)
March 7, 2023May 15, 20287.375 1,000 1,250,000 1,250 — 
  $20,245 $18,995 
 Dividend rate as of March 31, 2024 Redemption
price per depositary share/preference share		 
Carrying value
 (in millions of dollars)
 Issuance dateRedeemable by issuer beginningNumber
of depositary
shares		March 31,
2024		December 31,
2023
Series D(1)
April 30, 2013May 15, 2023
3-mo. SOFR+
 3.72761
$1,000 1,250,000 $1,250 $1,250 
Series J(2)
September 19, 2013September 30, 2023N/A25 22,000,000 — 550 
Series M(3)
April 30, 2014May 15, 20246.300 %1,000 1,750,000 1,750 1,750 
Series P(4)
April 24, 2015May 15, 20255.950 1,000 2,000,000 2,000 2,000 
Series T(5)
April 25, 2016August 15, 20266.250 1,000 1,500,000 1,500 1,500 
Series U(6)
September 12, 2019September 12, 20245.000 1,000 1,500,000 1,500 1,500 
Series V(7)
January 23, 2020January 30, 20254.700 1,000 1,500,000 1,500 1,500 
Series W(8)
December 10, 2020December 10, 20254.000 1,000 1,500,000 1,500 1,500 
Series X(9)
February 18, 2021February 18, 20263.875 1,000 2,300,000 2,300 2,300 
Series Y(10)
October 27, 2021November 15, 20264.150 1,000 1,000,000 1,000 1,000 
Series Z(11)
March 7, 2023May 15, 20287.375 1,000 1,250,000 1,250 1,250 
Series AA(12)
September 21, 2023November 15, 20287.625 1,000 1,500,000 1,500 1,500 
Series BB(13)
March 6, 2024May 15, 20297.200 1,000 550,000 550 — 
  $17,600 $17,600 

(1)Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Beginning in the second quarter of 2023, dividends are payable quarterly on January 30, April 30, July 30 and October 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors. The dividend rate will transition to 3-month term SOFR plus 0.26161% + 4.068% at the start of the next dividend period.
(2)Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Beginning in the second quarter of 2023, dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors. As previously announced, Citi will be redeeming Series B in its entirety on August 15, 2023.
(3)Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on May 15 and November 15 at a fixed rate until, but excluding, May 15, 2023, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors. Beginning in the third quarter of 2023, dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors. The dividend ratespread incorporates the original contractual spread and a 0.26161% tenor spread adjustment. As previously announced, Citi will transition to 3-month term SOFR plus 0.26161% + 3.466% at the start of the next dividend period.be redeeming Series D in its entirety on May 15, 2024.
(4)(2)Issued as depositary shares, each representing a 1/1,000th interestCiti redeemed the remaining Series J in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterlyits entirety on March 30, June 30, September 30 and December 30 at a fixed rate until, but excluding, September 30, 2023, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors. Beginning in the fourth quarter of 2023, dividends are payable quarterly on March 30, June 30, September 30 and December 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors. The dividend rate will transition to 3-month term SOFR plus 0.26161% + 4.040% at the start of the next dividend period.29, 2024.
(5)Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until, but excluding, November 15, 2023, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(6)(3)Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on May 15 and November 15 at a fixed rate until, but excluding, May 15, 2024, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(7)(4)Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on May 15 and November 15 at a fixed rate until, but excluding, May 15, 2025, and thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(8)(5)Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on February 15 and August 15 at a fixed rate until, but excluding, August 15, 2026, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(9)(6)Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on March 12 and September 12 at a fixed rate until, but excluding, September 12, 2024, thereafter payable quarterly on March 12, June 12, September 12 and December 12 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(10)(7)Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on January 30 and July 30 at a fixed rate until, but excluding, January 30, 2025, thereafter payable quarterly on January 30, April 30, July 30 and October 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
158

(11)(8)Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on March 10, June 10, September 10 and December 10 at a fixed rate until, but excluding, December 10, 2025, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(12)(9)Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 18, May 18, August 18 and November 18 at a fixed rate until, but excluding, February 18, 2026, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(13)(10)Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until, but excluding, November 15, 2026, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(14)(11)Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until, but excluding, May 15, 2028, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(12)Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until, but excluding, November 15, 2028, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(13)Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until, but excluding, May 15, 2029, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
N/A Not applicable, as the series has been redeemed.
159
156

20.21. SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

For additional information regarding Citi’s use of special purpose entities (SPEs) and variable interest entities (VIEs), see Note 23 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.
Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests or has continuing involvement through servicing a majority of the assets in a VIE is presented below:

As of June 30, 2023
Maximum exposure to loss in significant unconsolidated VIEs(1)
Funded exposures(2)
Unfunded exposures
As of March 31, 2024As of March 31, 2024
Maximum exposure to loss in significant unconsolidated VIEs(1)
Maximum exposure to loss in significant unconsolidated VIEs(1)
Funded exposures(2)
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollarsTotal
involvement
with SPE
assets		Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments		Equity
investments		Funding
commitments		Guarantees
and
derivatives		TotalTotal
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 securitizationsCredit card securitizations$31,666 $31,666 $— $— $— $— $— $— 
Mortgage securitizations(4)
Mortgage securitizations(4)
U.S. agency-sponsored
U.S. agency-sponsored
U.S. agency-sponsoredU.S. agency-sponsored125,515 — 125,515 2,093 — — 138 2,231 
Non-agency-sponsoredNon-agency-sponsored66,721 — 66,721 3,191 — — — 3,191 
Citi-administered asset-backed commercial paper conduitsCiti-administered asset-backed commercial paper conduits18,600 18,600 — — — — — — 
Collateralized loan obligations (CLOs)Collateralized loan obligations (CLOs)5,916 — 5,916 2,525 — — — 2,525 
Asset-based financing(5)
Asset-based financing(5)
180,279 10,931 169,348 39,875 955 11,636 — 52,466 
Municipal securities tender option bond trusts (TOBs)Municipal securities tender option bond trusts (TOBs)1,527 596 931 16 — 681 — 697 
Municipal investmentsMunicipal investments21,653 3 21,650 2,463 3,031 2,941 — 8,435 
Client intermediationClient intermediation487 97 390 75 — — — 75 
Investment fundsInvestment funds490 103 387 4 7 78 1 90 
TotalTotal$452,854 $61,996 $390,858 $50,242 $3,993 $15,336 $139 $69,710 
Total
Total
As of December 31, 2022
Maximum exposure to loss in significant unconsolidated VIEs(1)
Funded exposures(2)
Unfunded exposures
As of December 31, 2023As of December 31, 2023
Maximum exposure to loss in significant unconsolidated VIEs(1)
Maximum exposure to loss in significant unconsolidated VIEs(1)
Funded exposures(2)
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollarsTotal
involvement
with SPE
assets		Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments		Equity
investments		Funding
commitments		Guarantees
and
derivatives		TotalTotal
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 securitizationsCredit card securitizations$32,021 $32,021 $— $— $— $— $— $— 
Mortgage securitizations(4)
Mortgage securitizations(4)
U.S. agency-sponsored
U.S. agency-sponsored
U.S. agency-sponsoredU.S. agency-sponsored117,358 — 117,358 2,052 — — 48 2,100 
Non-agency-sponsoredNon-agency-sponsored67,704 — 67,704 3,294 — — — 3,294 
Citi-administered asset-backed commercial paper conduitsCiti-administered asset-backed commercial paper conduits19,621 19,621 — — — — — — 
Collateralized loan obligations (CLOs)Collateralized loan obligations (CLOs)7,600 — 7,600 2,601 — — — 2,601 
Asset-based financing(5)
Asset-based financing(5)
242,348 9,672 232,676 40,121 1,022 10,726 — 51,869 
Municipal securities tender option bond trusts (TOBs)Municipal securities tender option bond trusts (TOBs)2,155 672 1,483 2 — 1,108 — 1,110 
Municipal investmentsMunicipal investments22,167 3 22,164 2,731 3,143 3,420 — 9,294 
Client intermediationClient intermediation482 121 361 58 — — 13 71 
Investment fundsInvestment funds534 91 443 2 5 68 — 75 
Other— — — — — — — — 
TotalTotal$511,990 $62,201 $449,789 $50,861 $4,170 $15,322 $61 $70,414 
Total
Total

(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)    Included on Citigroup’s June 30, 2023March 31, 2024 and December 31, 20222023 Consolidated Balance Sheet.
(3)    A significant unconsolidated VIE is an entity in which the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss.
(4)    Citigroup mortgage securitizations also include agency and non-agency (private label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion.
(5)     Included within this line are loans to third-party-sponsored private equity funds, which represent $11$6 billion and $69$6 billion in unconsolidated VIE assets and $534$281 million and $498$282 million in maximum exposure to loss as of June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively.
160157

The previous tables do not include:

•certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;
•certain third-party-sponsored private equity funds to which the Company provides secured credit facilities. The Company has no decision-making power and does not consolidate these funds, some of which may meet the definition of a VIE. The Company’s maximum exposure to loss is generally limited to a loan or lending-related commitment. As of June 30, 2023March 31, 2024 and December 31, 2022,2023, the Company’s maximum exposure to loss related to these transactions was $16.8$8.1 billion and $33.6$8.5 billion, respectively (for more information on these positions, see(see Note 1314 and Note 2728 to the Consolidated Financial Statements in Citi’s 20222023 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 (see Notes 1213 and 2122 for more information on these positions);
•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 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.
161158

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 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.

June 30,
2023December 31,
March 31,
2024
2024
2024December 31,
In millions of dollarsIn millions of dollars(Unaudited)2022In millions of dollars(Unaudited)2023
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEsAssets of consolidated VIEs to be used to settle obligations of consolidated VIEs Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
Cash and due from banksCash and due from banks$69 $61 
Trading account assetsTrading account assets10,417 9,153 
InvestmentsInvestments496 594 
Loans, net of unearned incomeLoans, net of unearned income Loans, net of unearned income 
ConsumerConsumer34,786 35,026 
CorporateCorporate18,731 19,782 
Loans, net of unearned incomeLoans, net of unearned income$53,517 $54,808 
Allowance for credit losses on loans (ACLL)Allowance for credit losses on loans (ACLL)(2,623)(2,520)
Total loans, netTotal loans, net$50,894 $52,288 
Other assetsOther assets120 105 
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEsTotal assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$61,996 $62,201 

June 30,
2023December 31,
March 31,
2024
2024
2024December 31,
In millions of dollarsIn millions of dollars(Unaudited)2022In millions of dollars(Unaudited)2023
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup		Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup		 Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup		 
Short-term borrowingsShort-term borrowings$9,652 $9,807 
Long-term debtLong-term debt7,930 10,324 
Other liabilitiesOther liabilities853 622 
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup		Total liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup		$18,435 $20,753 


162159

Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments
The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above:

June 30, 2023December 31, 2022
March 31, 2024March 31, 2024December 31, 2023
In millions of dollarsIn millions of dollarsLiquidity
facilities		Loan/equity
commitments		Liquidity
facilities		Loan/equity
commitments		In millions of dollarsLiquidity
facilities		Loan/equity
commitments		Liquidity
facilities		Loan/equity
commitments
Non-agency-sponsored mortgage securitizationsNon-agency-sponsored mortgage securitizations$— $— $— $— 
Asset-based financingAsset-based financing— 11,636 — 10,726 
Municipal securities tender option bond trusts (TOBs)Municipal securities tender option bond trusts (TOBs)681 — 1,108 — 
Municipal investmentsMunicipal investments— 2,941 — 3,420 
Investment fundsInvestment funds— 78 — 68 
OtherOther— — — — 
Total funding commitmentsTotal funding commitments$681 $14,655 $1,108 $14,214 


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 dollarsIn billions of dollarsJune 30, 2023December 31, 2022In billions of dollarsMarch 31, 2024December 31, 2023
CashCash$— $— 
Trading account assetsTrading account assets1.6 1.6 
InvestmentsInvestments8.5 8.6 
Total loans, net of allowanceTotal loans, net of allowance43.5 44.2 
OtherOther0.6 0.6 
Total assetsTotal assets$54.2 $55.0 

Credit Card Securitizations
The Company’s primary credit card securitization activity is through two trusts—Citibank Credit Card Master Trust and Citibank Omni Trust. These trusts are consolidated entities given Citi’s continuing involvement. For additional information, see Note 2223 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K. There were no material cash flows arising from either proceeds from new securitizations or paydowns of maturing notes during the sixthree months ended June 30, 2023March 31, 2024 and 2022.2023.
163160

Mortgage Securitizations
The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:

Three Months Ended June 30,
20232022
Three Months Ended March 31,Three Months Ended March 31,
202420242023
In billions of dollarsIn billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitizedPrincipal securitized$1.6 $1.0 $1.9 $8.6 
Proceeds from new securitizationsProceeds from new securitizations1.6 0.9 1.8 8.4 
Contractual servicing fees receivedContractual servicing fees received— — — — 
Cash flows received on retained interests and other net cash flowsCash flows received on retained interests and other net cash flows— 0.1 — — 
Purchases of previously transferred financial assetsPurchases of previously transferred financial assets— — — — 
Six Months Ended June 30,
20232022
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized$2.3 $2.3 $4.0 $10.2 
Proceeds from new securitizations2.4 2.0 3.9 10.0 
Contractual servicing fees received0.1 — — — 
Cash flows received on retained interests and other net cash flows— 0.1 — — 
Purchases of previously transferred financial assets— — — — 
Note: Excludes broker-dealer re-securitization transactions.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $0.2 million and $0.3less than $1 million for the three and six months ended June 30, 2023, respectively.March 31, 2024. Gains recognized on the securitization of non-agency-sponsored mortgages were $11.3 million and $13.7$36.5 million for the three and six months ended June 30, 2023, respectively.March 31, 2024.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $0.3 million and $0.6less than $1 million for the three and six months ended June 30, 2022, respectively.March 31, 2023. Gains recognized on the securitization of non-agency-sponsored mortgages were $35 million and $73.7$2.4 million for the three and six months ended June 30, 2022, respectively.March 31, 2023.


June 30, 2023December 31, 2022
Non-agency-sponsored mortgages(1)
Non-agency-sponsored mortgages(1)
March 31, 2024March 31, 2024December 31, 2023
Non-agency-sponsored mortgages(1)
Non-agency-sponsored mortgages(1)
Non-agency-sponsored mortgages(1)
In millions of dollarsIn millions of dollarsU.S. agency-
sponsored mortgages
Senior
interests(2)
Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests		In millions of dollarsU.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)
$684 $1,043 $959 $659 $1,119 $943 

(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 $1.7$0.6 million related to personal loan securitizations at June 30, 2023.March 31, 2024.
(3)    Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 2223 for more information about fair value measurements.


164161

The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities:

Liquidation losses
Securitized assets90 days past dueThree Months Ended June 30,Six Months Ended June 30,
Liquidation (gains) losses
Liquidation (gains) losses
Liquidation (gains) losses
Securitized assets
In billions of dollars, except liquidation losses in millions
In billions of dollars, except liquidation losses in millions
In billions of dollars, except liquidation losses in millionsIn billions of dollars, except liquidation losses in millionsJun. 30, 2023Dec. 31, 2022Jun. 30, 2023Dec. 31, 20222023202220232022
Securitized assetsSecuritized assets
Securitized assets
Securitized assets
Residential mortgages(1)
Residential mortgages(1)
Residential mortgages(1)
Residential mortgages(1)
$30 $30.8 $0.5 $0.5 $— $(0.3)$2.3 $1.2 
Commercial and otherCommercial and other28.7 28.8 — — — — — — 
Commercial and other
Commercial and other
TotalTotal$58.7 $59.6 $0.5 $0.5 $— $(0.3)$2.3 $1.2 
Total
Total

(1)    Securitized assets include $0.1 billion of personal loan securitizations as of June 30, 2023.March 31, 2024.


Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $681$702 million and $600$658 million at June 30,March 31, 2024 and 2023, and 2022, respectively. The MSRs correspond to principal loan balances of $51$52 billion and $49$50 billion as of June 30,March 31, 2024 and 2023, and 2022, respectively. The following table summarizes the changes in capitalized MSRs:





Three Months Ended June 30,Six Months Ended June 30,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars2023202220232022
Balance, beginning of periodBalance, beginning of period$658 $520 $665 $404 
Balance, beginning of period
Balance, beginning of period
Originations
Originations
OriginationsOriginations19 35 31 69 
Changes in fair value of MSRs due to changes in inputs and assumptionsChanges in fair value of MSRs due to changes in inputs and assumptions22 59 19 158 
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
Other changes(1)
Other changes(1)
(18)(14)(34)(31)
Sales of MSRs— — — — 
Balance, as of June 30$681 $600 $681 $600 
Other changes(1)
Other changes(1)
Balance, as of March 31
Balance, as of March 31
Balance, as of March 31

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

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

The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:

Three Months Ended June 30,Six Months Ended June 30,
Three Months Ended March 31,
Three Months Ended March 31,
Three Months Ended March 31,
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars2023202220232022
Servicing feesServicing fees$32 $30 $65 $59 
Servicing fees
Servicing fees
Late fees
Late fees
Late feesLate fees1 1 2 2
Total MSR feesTotal MSR fees$33 $31 $67 $61 
Total MSR fees
Total MSR fees

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.


162

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 June 30, 2023March 31, 2024 and 2022.2023. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of June 30, 2023March 31, 2024 and December 31, 2022,2023, 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 six months ended June 30, 2023,March 31, 2024, Citi transferred agency securities with a fair value of approximately $3.3$4.4 billion and $8.6 billion, respectively, to re-securitization entities, compared to approximately $5.6 billion and $14.9$5.3 billion for the three and six months ended June 30, 2022, respectively.March 31, 2023.
As of June 30, 2023,March 31, 2024, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $1.4$1.8 billion (including $402 millionrelated to re-securitization transactions executed in 2023), compared to $1.4 billion as of December 31, 2022 (including
165

$801$732 million related to re-securitization transactions executed in 2022)2024), compared to $1.7 billion as of December 31, 2023 (including $930 million related to re-securitization transactions executed in 2023), 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 June 30, 2023March 31, 2024 and December 31, 20222023 were approximately $86.8$69 billion and $79.4$84.1 billion, respectively.
As of June 30, 2023March 31, 2024 and December 31, 2022,2023, the Company did not consolidate any private label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits
At June 30, 2023March 31, 2024 and December 31, 2022,2023, the commercial paper conduits administered by Citi had approximately $18.6$19.1 billion and $19.6$21.1 billion of purchased assets outstanding, respectively, and had incremental fundingunfunded commitments with clients of approximately $16.1$17.8 billion and $13.9$16.7 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At June 30, 2023March 31, 2024 and
December 31, 2022,2023, the weighted averageweighted-average remaining livesmaturities of the commercial paper issued by the conduits were approximately 6671 and 6468 days, respectively.
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 areCredit enhancement is sized with the objective of approximating aan investment-grade credit rating, of A or above, based on Citi’s internal risk ratings. In addition to the transaction-specific credit enhancements,enhancement, the conduits other than the government-guaranteed loan conduit, have obtained letters of credit from the Company whichthat equal at least 8% to 10% of the conduit’s assets with a minimum of $200 million to $350 million. The letters of credit provided by the Company to the conduits
total approximately $1.9 billion and $1.9$2.1 billion as of June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively. The net result across multisellermulti-seller conduits administered by the Company is that, in the event that defaulted assets exceed the transaction-specific credit enhancementsenhancement described above, any losses in each conduit are allocated first to the Company and then to the commercial paper investors.
At June 30, 2023March 31, 2024 and December 31, 2022,2023, the Company owned $7.7$8.0 billion and $8.6$10.1 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.

Municipal Securities Tender Option Bond (TOB) Trusts
At June 30, 2023March 31, 2024 and December 31, 2022,2023, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At June 30, 2023 and December 31, 2022, liquidity agreements provided with respect to customer TOB trusts totaled $0.7 billion and $1.1 billion, respectively, of which $0.5 billion and $0.7 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 $1.4$1.2 billion and $1.4$1.2 billion as of June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.



163

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 presented below. For Citi to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.

June 30, 2023December 31, 2022
March 31, 2024March 31, 2024December 31, 2023
In millions of dollarsIn 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
TypeType
Commercial and other real estate
Commercial and other real estate
Commercial and other real estateCommercial and other real estate$43,836 $9,100 $43,236 $8,806 
Corporate loansCorporate loans21,396 14,535 23,120 15,077 
Other (including investment funds, airlines and shipping)Other (including investment funds, airlines and shipping)104,116 28,831 166,320 27,986 
TotalTotal$169,348 $52,466 $232,676 $51,869 

166164

21.22.  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 2324 to the Consolidated Financial Statements in Citi’s 20222023 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 presented below 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 815Trading derivative instrumentsHedging instruments under ASC 815Trading derivative instruments
In millions of dollarsIn millions of dollarsJune 30,
2023		December 31,
2022		June 30,
2023		December 31,
2022
Interest rate contractsInterest rate contracts   
Interest rate contracts
Interest rate contracts
Swaps
Swaps
SwapsSwaps$256,131 $255,280 $26,965,401 $23,780,711 
Futures and forwardsFutures and forwards— — 3,494,099 2,966,025 
Futures and forwards
Futures and forwards
Written options
Written options
Written optionsWritten options— — 2,598,919 1,937,025 
Purchased optionsPurchased options— — 2,425,954 1,881,291 
Purchased options
Purchased options
Total interest rate contracts
Total interest rate contracts
Total interest rate contractsTotal interest rate contracts$256,131 $255,280 $35,484,373 $30,565,052 
Foreign exchange contractsForeign exchange contracts 
Foreign exchange contracts
Foreign exchange contracts
Swaps
Swaps
SwapsSwaps$42,117 $48,678 $7,613,604 $6,746,070 
Futures, forwards and spotFutures, forwards and spot47,752 43,666 3,869,688 3,350,341 
Futures, forwards and spot
Futures, forwards and spot
Written options
Written options
Written optionsWritten options— — 838,598 789,077 
Purchased optionsPurchased options— — 829,662 783,591 
Purchased options
Purchased options
Total foreign exchange contracts
Total foreign exchange contracts
Total foreign exchange contractsTotal foreign exchange contracts$89,869 $92,344 $13,151,552 $11,669,079 
Equity contractsEquity contracts  
Equity contracts
Equity contracts
Swaps
Swaps
SwapsSwaps$— $— $273,483 $266,115 
Futures and forwardsFutures and forwards— — 87,637 76,935 
Futures and forwards
Futures and forwards
Written options
Written options
Written optionsWritten options— — 558,215 482,266 
Purchased optionsPurchased options— — 444,663 387,766 
Purchased options
Purchased options
Total equity contracts
Total equity contracts
Total equity contractsTotal equity contracts$— $— $1,363,998 $1,213,082 
Commodity and other contractsCommodity and other contracts  
Commodity and other contracts
Commodity and other contracts
Swaps
Swaps
SwapsSwaps$— $— $82,002 $90,884 
Futures and forwardsFutures and forwards1,586 1,571 177,615 165,314 
Futures and forwards
Futures and forwards
Written options
Written options
Written optionsWritten options— — 50,931 45,862 
Purchased optionsPurchased options— — 51,882 48,197 
Purchased options
Purchased options
Total commodity and other contracts
Total commodity and other contracts
Total commodity and other contractsTotal commodity and other contracts$1,586 $1,571 $362,430 $350,257 
Credit derivatives(1)
Credit derivatives(1)
 
Credit derivatives(1)
Credit derivatives(1)
Protection sold
Protection sold
Protection soldProtection sold$— $— $725,634 $593,136 
Protection purchasedProtection purchased— — 789,558 641,639 
Protection purchased
Protection purchased
Total credit derivatives
Total credit derivatives
Total credit derivativesTotal credit derivatives$— $— $1,515,192 $1,234,775 
Total derivative notionalsTotal derivative notionals$347,586 $349,195 $51,877,545 $45,032,245 
Total derivative notionals
Total derivative notionals

(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.
167165

The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of June 30, 2023March 31, 2024 and December 31, 2022.2023. 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. The tables also present amounts that are not permitted to be offset in the Company’s balance sheet presentation, 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.


168166

Derivative Mark-to-Market (MTM) Receivables/Payables

Derivatives classified in
Trading account assets/liabilities(1)(2)
In millions of dollars at June 30, 2023AssetsLiabilities
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives classified in
Trading account assets/liabilities(1)(2)
In millions of dollars at March 31, 2024In millions of dollars at March 31, 2024AssetsLiabilities
Derivatives instruments designated as ASC 815 hedgesDerivatives instruments designated as ASC 815 hedges
Over-the-counter
Over-the-counter
Over-the-counterOver-the-counter$414 $18 
ClearedCleared126 18 
Interest rate contractsInterest rate contracts$540 $36 
Interest rate contracts
Interest rate contracts
Over-the-counterOver-the-counter$1,620 $1,306 
ClearedCleared1 — 
Foreign exchange contracts
Foreign exchange contracts
Foreign exchange contractsForeign exchange contracts$1,621 $1,306 
Total derivatives instruments designated as ASC 815 hedgesTotal derivatives instruments designated as ASC 815 hedges$2,161 $1,342 
Total derivatives instruments designated as ASC 815 hedges
Total derivatives instruments designated as ASC 815 hedges
Derivatives instruments not designated as ASC 815 hedgesDerivatives instruments not designated as ASC 815 hedges
Over-the-counter
Over-the-counter
Over-the-counterOver-the-counter$120,857 $114,712 
ClearedCleared47,014 49,212 
Exchange tradedExchange traded283 251 
Interest rate contractsInterest rate contracts$168,154 $164,175 
Over-the-counterOver-the-counter$157,724 $150,913 
ClearedCleared511 601 
Exchange tradedExchange traded— 5 
Foreign exchange contractsForeign exchange contracts$158,235 $151,519 
Over-the-counterOver-the-counter$22,029 $27,163 
ClearedCleared36 6 
Exchange tradedExchange traded25,020 24,412 
Equity contractsEquity contracts$47,085 $51,581 
Over-the-counterOver-the-counter$15,640 $16,678 
Exchange tradedExchange traded886 992 
Exchange traded
Exchange traded
Commodity and other contractsCommodity and other contracts$16,526 $17,670 
Over-the-counterOver-the-counter$6,566 $6,607 
ClearedCleared4,273 4,121 
Credit derivativesCredit derivatives$10,839 $10,728 
Credit derivatives
Credit derivatives
Total derivatives instruments not designated as ASC 815 hedgesTotal derivatives instruments not designated as ASC 815 hedges$400,839 $395,673 
Total derivativesTotal derivatives$403,000 $397,015 
Less: Netting agreements(3)
Less: Netting agreements(3)
Less: Netting agreements(3)
Less: Netting agreements(3)
$(312,754)$(312,754)
Less: Netting cash collateral received/paid(4)
Less: Netting cash collateral received/paid(4)
(18,645)(28,221)
Net receivables/payables included on the Consolidated Balance Sheet(5)
Net receivables/payables included on the Consolidated Balance Sheet(5)
$71,601 $56,040 
Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet		Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paidLess: Cash collateral received/paid$(723)$(2,793)
Less: Cash collateral received/paid
Less: Cash collateral received/paid
Less: Non-cash collateral received/paidLess: Non-cash collateral received/paid(3,841)(10,406)
Total net receivables/payables(5)
Total net receivables/payables(5)
$67,037 $42,841 

(1)The derivativederivatives fair values are also presented in Note 22.23.
(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)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $241$208 billion, $48$43 billion and $24$35 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(4)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements.agreements with appropriate legal opinion supporting enforceability of netting. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(5)The net receivables/payables include approximately $14$4 billion of derivative asset and $9$10 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
169167

Derivatives classified in
Trading account assets/liabilities(1)(2)
In millions of dollars at December 31, 2022AssetsLiabilities
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives classified in
Trading account assets/liabilities(1)(2)
In millions of dollars at December 31, 2023In millions of dollars at December 31, 2023AssetsLiabilities
Derivatives instruments designated as ASC 815 hedgesDerivatives instruments designated as ASC 815 hedges
Over-the-counter
Over-the-counter
Over-the-counterOver-the-counter$468 $1 
ClearedCleared129 101 
Interest rate contractsInterest rate contracts$597 $102 
Interest rate contracts
Interest rate contracts
Over-the-counterOver-the-counter$2,288 $1,766 
ClearedCleared3 3 
Foreign exchange contracts
Foreign exchange contracts
Foreign exchange contractsForeign exchange contracts$2,291 $1,769 
Total derivatives instruments designated as ASC 815 hedgesTotal derivatives instruments designated as ASC 815 hedges$2,888 $1,871 
Total derivatives instruments designated as ASC 815 hedges
Total derivatives instruments designated as ASC 815 hedges
Derivatives instruments not designated as ASC 815 hedgesDerivatives instruments not designated as ASC 815 hedges
Over-the-counter
Over-the-counter
Over-the-counterOver-the-counter$126,844 $119,854 
ClearedCleared50,515 52,566 
Exchange tradedExchange traded248 98 
Interest rate contractsInterest rate contracts$177,607 $172,518 
Over-the-counterOver-the-counter$184,869 $183,578 
ClearedCleared502 643 
Exchange tradedExchange traded1 5 
Foreign exchange contractsForeign exchange contracts$185,372 $184,226 
Over-the-counterOver-the-counter$19,674 $21,871 
ClearedCleared1 4 
Exchange tradedExchange traded22,732 21,908 
Equity contractsEquity contracts$42,407 $43,783 
Over-the-counterOver-the-counter$27,285 $24,912 
Exchange tradedExchange traded1,039 1,406 
Exchange traded
Exchange traded
Commodity and other contractsCommodity and other contracts$28,324 $26,318 
Over-the-counterOver-the-counter$6,836 $5,807 
ClearedCleared1,553 1,970 
Credit derivativesCredit derivatives$8,389 $7,777 
Credit derivatives
Credit derivatives
Total derivatives instruments not designated as ASC 815 hedgesTotal derivatives instruments not designated as ASC 815 hedges$442,099 $434,622 
Total derivativesTotal derivatives$444,987 $436,493 
Less: Netting agreements(3)
Less: Netting agreements(3)
Less: Netting agreements(3)
Less: Netting agreements(3)
$(346,545)$(346,545)
Less: Netting cash collateral received/paid(4)
Less: Netting cash collateral received/paid(4)
(23,136)(30,032)
Net receivables/payables included on the Consolidated Balance Sheet(5)
Net receivables/payables included on the Consolidated Balance Sheet(5)
$75,306 $59,916 
Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet		Additional amounts subject to an enforceable master netting agreement,
but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paidLess: Cash collateral received/paid$(1,455)$(2,272)
Less: Cash collateral received/paid
Less: Cash collateral received/paid
Less: Non-cash collateral received/paidLess: Non-cash collateral received/paid(5,923)(13,475)
Total net receivables/payables(5)
Total net receivables/payables(5)
$67,928 $44,169 

(1)The derivativederivatives fair values are also presented in Note 22.23.
(2)Over-the-counter (OTC)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)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $276$242 billion, $49$44 billion and $22 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(4)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements.agreements with appropriate legal opinion supporting enforceability of netting. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(5)The net receivables/payables include approximately $14$4 billion of derivative asset and $11$10 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

170168

For the three and six months ended June 30,March 31, 2024 and 2023, and 2022, 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 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 presented 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.items:

Gains (losses) included in
Other revenue
Three Months Ended June 30,Six Months Ended June 30,
Gains (losses) included in
Other revenue
Three Months Ended March 31,
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars2023202220232022
Interest rate contractsInterest rate contracts$(22)$72 $(34)$144 
Interest rate contracts
Interest rate contracts
Foreign exchange
Foreign exchange
Foreign exchangeForeign exchange(6)(4)(64)(81)
TotalTotal$(28)$68 $(98)$63 
Total
Total

Fair Value Hedges
For additional information regarding Citi’s fair value hedges, see Note 2324 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.

171169

The following table summarizes the gains (losses) on the Company’s fair value hedges:

Gains (losses) on fair value hedges(1)
Three Months Ended June 30,Six Months Ended June 30,
2023202220232022
Gains (losses) on fair value hedges(1)
Three Months Ended March 31,
2024
2024
2024
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollarsOther revenueNet interest incomeOther revenueNet interest incomeOther
revenue		Net interest incomeOther revenueNet interest income
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedgesGain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges  
Gain (loss) on the hedging derivatives included in assessment
of the effectiveness of fair value hedges
Gain (loss) on the hedging derivatives included in assessment
of the effectiveness of fair value hedges
Interest rate hedges
Interest rate hedges
Interest rate hedgesInterest rate hedges$— $(491)$— $(1,717)$— $(492)$— $(6,383)
Foreign exchange hedgesForeign exchange hedges738 — (1,234)— 1,286 — (1,659)— 
Commodity hedges(4)
183 — (257)— (325)— 615 — 
Foreign exchange hedges
Foreign exchange hedges
Commodity hedges(2)
Commodity hedges(2)
Commodity hedges(2)
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedgesTotal gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges$921 $(491)$(1,491)$(1,717)$961 $(492)$(1,044)$(6,383)
Gain (loss) on the hedged item in designated and qualifying fair value hedgesGain (loss) on the hedged item in designated and qualifying fair value hedges
Gain (loss) on the hedged item in designated and qualifying
fair value hedges
Gain (loss) on the hedged item in designated and qualifying
fair value hedges
Interest rate hedges
Interest rate hedges
Interest rate hedgesInterest rate hedges$— $488 $— $1,646 $— $481 $— $6,243 
Foreign exchange hedgesForeign exchange hedges(738)— 1,233 — (1,286)— 1,657 — 
Commodity hedges(4)
(183)— 257 — 325 — (615)— 
Foreign exchange hedges
Foreign exchange hedges
Commodity hedges(2)
Commodity hedges(2)
Commodity hedges(2)
Total gain (loss) on the hedged item in designated and qualifying fair value hedges
Total gain (loss) on the hedged item in designated and qualifying fair value hedges
Total gain (loss) on the hedged item in designated and qualifying fair value hedgesTotal gain (loss) on the hedged item in designated and qualifying fair value hedges$(921)$488 $1,490 $1,646 $(961)$481 $1,042 $6,243 
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedgesNet gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges    
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Interest rate hedgesInterest rate hedges$— $— $— $(5)$— $— $— $(11)
Foreign exchange hedges(2)
2 — 73 — 24 — 104 — 
Commodity hedges(3)(4)
52 — (26)— 101 — 23 — 
Interest rate hedges
Interest rate hedges
Foreign exchange hedges(3)
Foreign exchange hedges(3)
Foreign exchange hedges(3)
Commodity hedges(2)(4)
Commodity hedges(2)(4)
Commodity hedges(2)(4)
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedgesTotal net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges$54 $— $47 $(5)$125 $— $127 $(11)
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges

(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 income and is excluded from this table. Amounts included both hedges of AFS securities and long-term debt on a net basis, which largely offset in the current period.
(2)The gain (loss) amounts for commodity hedges are included in Principal transactions.
(3)Amounts related to the forward points (i.e., the spot-forward difference) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings under the mark-to-market approach. 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 $22$(4) million and $(4)$(26) million for the three and six months ended June 30,March 31, 2024 and 2023, and $12 million and $76 million for the three and six months ended June 30, 2022, respectively.
(3)(4)Amounts related to the forward points (i.e., the spot-forward difference) that are excluded from the assessment of hedge effectiveness reflected directly in earnings under the mark-to-market approach or recorded in AOCI under the amortization approach. The quarter ended June 30, 2023March 31, 2024 includes gain (loss) of approximately $41$93 million and $11$5 million under the mark-to-market approach and amortization approach, respectively. The quarter ended June 30, 2022March 31, 2023 includes gain (loss) of approximately $(28)$45 million and $2$4 million under the mark-to-market approach and amortization approach, respectively.
(4)The gain (loss) amounts for commodity hedges are included in Principal transactions for periods beginning 2023.

172170

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 basis adjustment becomes part of the carrying amount 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 June 30, 2023March 31, 2024 and December 31, 2022,2023, along with the cumulative basis adjustments included in the carrying value of those hedged assets and liabilities that would reverse through earnings in future periods.

In millions of dollars
Balance sheet line item in which hedged item is recorded
Carrying amount of hedged asset/ liability(1)
Cumulative basis adjustment increasing (decreasing) the carrying amount
ActiveDe-designated
As of June 30, 2023
Debt securities AFS(2)(4)
$87,804 $(2,936)$(360)
Long-term debt130,665 (3,522)(4,816)
As of December 31, 2022
Debt securities AFS(3)(4)
$98,837 $(2,976)$(333)
Long-term debt144,549 (5,040)(3,399)









In millions of dollars
Balance sheet line item in which hedged item is recorded
Carrying amount of hedged asset/ liability(1)
Cumulative basis adjustment increasing (decreasing) the carrying amount
ActiveDe-designated
As of March 31, 2024
Debt securities AFS(2)(6)
$103,809 $(1,135)$(293)
Consumer loans(3)
33,872 (74)— 
Corporate loans(4)
5,702 (3)(22)
Long-term debt142,275 (1,697)(5,228)
As of December 31, 2023
Debt securities AFS(5)(6)
$111,886 $(925)$(282)
Corporate loans(7)
4,968 93 (3)
Long-term debt141,449 (908)(5,160)

(1)Excludes physical commodities inventories with a carrying value of approximately $5 billion and $8 billion as of June 30,March 31, 2024 and December 31, 2023, respectively, which includes cumulative basis adjustments of approximately $540 million$(0.4) billion and $1.2 billion, respectively, for active hedges.
(2)These amounts include a cumulative basis adjustment of $(201)$(113) million for active hedges and $(283)$(27) million for de-designated hedges as of June 30, 2023,March 31, 2024, related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the portfolio layer approach. The Company designated approximately $7$21 billion as the hedged amount (from a closed portfolio of financial assets with a carrying value of $13$31 billion as of June 30, 2023)March 31, 2024) in a portfolio layerhedging relationship.
(3)All hedged consumer loans are designated in a fair value hedge using the portfolio layer approach. The Company designated approximately $10.0 billion as the hedged amount (from a closed portfolio of financial assets with a carrying value of $34 billion as of March 31, 2024).
(4)All hedged corporate loans are designated in a fair value hedge using the portfolio layer approach. The Company designated approximately $3.7 billion as the hedged amount (from a closed portfolio of financial assets with a carrying value of $5.7 billion as of March 31, 2024).
(5)These amounts include a cumulative basis adjustment of $(91)$248 million for active hedges and $(309)$(51) million for de-designated hedges as of December 31, 2022,2023, 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 $3$14 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $11$28 billion as of December 31, 2022)2023) in a last-of-layer hedging relationship.
(4)(6)Carrying amount represents the amortized cost.
(7)All hedged corporate loans are designated in a fair value hedge using the portfolio layer approach. The Company designated approximately $3.6 billion as the hedged amount (from a closed portfolio of financial assets with a carrying value of $5.0 billion as of December 31, 2023).

173171

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 June 30, 2023 is approximately $(1.3) billion. The maximum length of time over which forecasted cash flows are hedged is 13 years.
The pretax change in AOCI from cash flow hedges is presented below. The after-tax impact of cash flow hedges on below:
AOCI is shown in Note 18.










Three Months Ended June 30,Six Months Ended June 30,
In millions of dollarsIn millions of dollars2023202220232022
In millions of dollars
In millions of dollars
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
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contractsInterest rate contracts$(280)$(681)$(259)$(2,441)
Interest rate contracts
Interest rate contracts
Interest rate contracts
Interest rate contracts
Interest rate contracts
Foreign exchange contracts
Foreign exchange contracts
Foreign exchange contractsForeign exchange contracts17 (7)5 16 
Total gain (loss) recognized in AOCI
Total gain (loss) recognized in AOCI
$(263)$(688)$(254)$(2,425)
Total gain (loss) recognized in AOCI
Total gain (loss) recognized in AOCI




Other
revenue		Net
interest
income		Other
revenue
Net
interest
income		Other
revenue		Net interest
income		Other
revenue		Net
interest
income
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)
Amount of gain (loss) reclassified from AOCI to earnings(1)
Interest rate contracts
Interest rate contracts
Interest rate contractsInterest rate contracts$— $(495)$— $199 $— $(964)$— $485 
Foreign exchange contractsForeign exchange contracts(1)— (1)— (2)— (2)— 
Foreign exchange contracts
Foreign exchange contracts
Total gain (loss) reclassified from AOCI into earnings
Total gain (loss) reclassified from AOCI into earnings
Total gain (loss) reclassified from AOCI into earnings
Total gain (loss) reclassified from AOCI into earnings
$(1)$(495)$(1)$199 $(2)$(964)$(2)$485 
Net pretax change in cash flow hedges included within AOCI
Net pretax change in cash flow hedges included within AOCI
$233 $(886)$712 $(2,908)
Net pretax change in cash flow hedges included within AOCI
Net pretax change in cash flow hedges included within AOCI

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

The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of March 31, 2024 is approximately $(0.6) billion. The maximum length of time over which forecasted cash flows are hedged is 14 years.
The after-tax impact of cash flow hedges on AOCI is presented in Note 19.
174172

Net Investment Hedges
Citigroup uses foreign currency forwards, cross-currency swaps, options and foreign currency-denominated debt instruments to manage the foreign exchange risk associated with Citigroup’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 (CTA) within AOCI.
The pretax gain (loss) recorded in CTA within AOCI, related to net investment hedges, was $(272)$192 million and $(948)$(676) million for the three and six months ended June 30,March 31, 2024 and 2023, and $836 million and $641 million for the three and six months ended June 30, 2022, respectively. June 30, 2022 includes a $47 million pretax loss related to net investment hedges that was 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 valuesNotionals
In millions of dollars at June 30, 2023
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
Fair valuesFair valuesNotionals
In millions of dollars at March 31, 2024In millions of dollars at March 31, 2024
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By instrumentBy instrument
Credit default swaps and options
Credit default swaps and options
Credit default swaps and optionsCredit default swaps and options$10,015 $10,352 $768,300 $721,289 
Total return swaps and otherTotal return swaps and other824 376 21,258 4,345 
Total by instrumentTotal by instrument$10,839 $10,728 $789,558 $725,634 
By rating of reference entityBy rating of reference entity
Investment gradeInvestment grade$5,491 $4,977 $619,717 $574,059 
Investment grade
Investment grade
Non-investment gradeNon-investment grade5,348 5,751 169,841 151,575 
Total by rating of reference entityTotal by rating of reference entity$10,839 $10,728 $789,558 $725,634 
By maturityBy maturity
Within 1 yearWithin 1 year$1,242 $1,642 $164,261 $146,723 
Within 1 year
Within 1 year
From 1 to 5 yearsFrom 1 to 5 years7,503 7,102 570,605 538,159 
After 5 yearsAfter 5 years2,094 1,984 54,692 40,752 
Total by maturityTotal by maturity$10,839 $10,728 $789,558 $725,634 

(1)The fair value amount receivable is composed of $4,249$2,735 million under protection purchased and $6,590$6,057 million under protection sold.
(2)The fair value amount payable is composed of $7,011$6,684 million under protection purchased and $3,717$1,888 million under protection sold.

Fair valuesNotionals Fair valuesNotionals
In millions of dollars at December 31, 2022
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
In millions of dollars at December 31, 2023In millions of dollars at December 31, 2023
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By instrumentBy instrument
Credit default swaps and options
Credit default swaps and options
Credit default swaps and optionsCredit default swaps and options$6,867 $7,360 $623,981 $586,504 
Total return swaps and otherTotal return swaps and other1,522 417 17,658 6,632 
Total by instrumentTotal by instrument$8,389 $7,777 $641,639 $593,136 
By rating of reference entityBy rating of reference entity
Investment gradeInvestment grade$3,796 $2,970 $499,339 $462,873 
Investment grade
Investment grade
Non-investment gradeNon-investment grade4,593 4,807 142,300 130,263 
Total by rating of reference entityTotal by rating of reference entity$8,389 $7,777 $641,639 $593,136 
By maturityBy maturity
Within 1 yearWithin 1 year$1,753 $1,801 $147,031 $148,721 
Within 1 year
Within 1 year
From 1 to 5 yearsFrom 1 to 5 years4,577 4,134 443,113 407,293 
After 5 yearsAfter 5 years2,059 1,842 51,495 37,122 
Total by maturityTotal by maturity$8,389 $7,777 $641,639 $593,136 

(1)    The fair value amount receivable is composed of $5,094$2,770 million under protection purchased and $3,295$5,569 million under protection sold.
(2)    The fair value amount payable is composed of $3,573$6,097 million under protection purchased and $4,204$1,985 million under protection sold.
175173

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 June 30, 2023March 31, 2024 and December 31, 20222023 was $16$13 billion and $18$15 billion, respectively. The Company posted $14$11 billion and $15$12 billion as collateral for this exposure in the normal course of business as of June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively.
A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank were downgraded a single notch by all three major rating agencies as of June 30, 2023,March 31, 2024, the Company could be required to post an additional $0.8$0.5 billion as either collateral or settlement of the derivative transactions. In addition, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $16$34 million upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $0.8$0.6 billion.

Derivatives Accompanied by Financial Asset Transfers
For transfers of financial assets accounted for as a sale by the Company, and for which the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed with the same counterparty in contemplation of the initial sale (and still outstanding), the asset amounts derecognized and the gross cash proceeds received as of the date of derecognition were $2.7$5.1 billion and $1.4$4.3 billion as of June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively.
At June 30, 2023,March 31, 2024, the fair value of these previously derecognized assets was $2.7$4.9 billion. The fair value of the total return swaps as of June 30, 2023March 31, 2024 was $39$104 million recorded as gross derivative assets and $24$40 million recorded as gross derivative liabilities. At December 31, 2022,2023, the fair value of these previously derecognized assets was $1.4$4.3 billion, and the fair value of the total return swaps was $27$121 million recorded as gross derivative assets and $32$29 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.


176174

22.23.  FAIR VALUE MEASUREMENT

For additional information regarding fair value measurement at Citi, see Note 2526 to the Consolidated Financial Statements in Citi’s 20222023 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 fair value hierarchy classification approach typically utilizes rules-based and data-driven selection criteria to determine whether an instrument is classified as Level 1, Level 2 or Level 3:

•The determination of whether an instrument is quoted in an active market and therefore considered a Level 1 instrument is based uponon the frequency of observed transactions and the quality of independent market data available on the measurement date.
•A Level 2 classification is assigned where there is observability of prices/market inputs to models, or where any unobservable inputs are not significant to the valuation. The determination of whether an input is considered observable is based on the availability of independent market data and its corroboration, for example through observed transactions in the market.
•Otherwise, an instrument is classified as Level 3.

Market Valuation Adjustments
The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments at June 30, 2023March 31, 2024 and December 31, 2022:2023:

Credit and funding
valuation adjustments
contra-liability (contra-asset)		 Credit and funding
valuation adjustments
contra-liability (contra-asset)
In millions of dollarsIn millions of dollarsJune 30,
2023		December 31,
2022		In millions of dollarsMarch 31,
2024		December 31,
2023
Counterparty CVACounterparty CVA$(651)$(816)
Asset FVAAsset FVA(502)(622)
Citigroup (own credit) CVACitigroup (own credit) CVA456 607 
Liability FVALiability FVA219 263 
Total CVA and FVA—derivative instrumentsTotal CVA and FVA—derivative instruments$(478)$(568)
The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:

Credit/funding/debt valuation
adjustments gain (loss)
Three Months Ended June 30,Six Months Ended June 30,
Credit/funding/debt valuation
adjustments gain (loss)
Three Months Ended March 31,
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollars2023202220232022
Counterparty CVACounterparty CVA$4 $(94)$(30)$(201)
Counterparty CVA
Counterparty CVA
Asset FVA
Asset FVA
Asset FVAAsset FVA100 (46)94 (151)
Own credit CVAOwn credit CVA(114)182 (149)298 
Own credit CVA
Own credit CVA
Liability FVA
Liability FVA
Liability FVALiability FVA(17)68 (44)90 
Total CVA and FVA—derivative instrumentsTotal CVA and FVA—derivative instruments$(27)$110 $(129)$36 
Total CVA and FVA—derivative instruments
Total CVA and FVA—derivative instruments
DVA related to own FVO liabilities(1)
DVA related to own FVO liabilities(1)
DVA related to own FVO liabilities(1)
DVA related to own FVO liabilities(1)
$(837)$2,592 $(1,270)$3,642 
Total CVA, DVA and FVATotal CVA, DVA and FVA$(864)$2,702 $(1,399)$3,678 
Total CVA, DVA and FVA
Total CVA, DVA and FVA

(1)    See Note 2021 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.

177175

Items Measured at Fair Value on a Recurring Basis
The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at June 30, 2023March 31, 2024 and December 31, 2022.2023. 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 June 30, 2023Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
In millions of dollars at March 31, 2024In millions of dollars at March 31, 2024Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
AssetsAssets  Assets    
Securities borrowed and purchased under agreements to resellSecurities borrowed and purchased under agreements to resell$— $428,174 $140 $428,314 $(218,188)$210,126 
Trading non-derivative assetsTrading non-derivative assets
Trading mortgage-backed securitiesTrading mortgage-backed securities
Trading mortgage-backed securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed
U.S. government-sponsored agency guaranteed
U.S. government-sponsored agency guaranteedU.S. government-sponsored agency guaranteed— 55,299 659 55,958 — 55,958 
ResidentialResidential1 2,936 145 3,082 — 3,082 
CommercialCommercial— 784 182 966 — 966 
Total trading mortgage-backed securitiesTotal trading mortgage-backed securities$1 $59,019 $986 $60,006 $— $60,006 
U.S. Treasury and federal agency securitiesU.S. Treasury and federal agency securities$88,273 $2,321 $— $90,594 $— $90,594 
State and municipalState and municipal— 2,092 3 2,095 — 2,095 
Foreign governmentForeign government56,090 36,045 81 92,216 — 92,216 
CorporateCorporate1,695 16,623 581 18,899 — 18,899 
Equity securitiesEquity securities55,898 11,400 285 67,583 — 67,583 
Asset-backed securitiesAsset-backed securities— 1,560 539 2,099 — 2,099 
Other trading assets(2)
Other trading assets(2)
5 16,613 1,478 18,096 — 18,096 
Total trading non-derivative assetsTotal trading non-derivative assets$201,962 $145,673 $3,953 $351,588 $— $351,588 
Trading derivativesTrading derivatives
Interest rate contractsInterest rate contracts$21 $166,402 $2,271 $168,694 
Interest rate contracts
Interest rate contracts
Foreign exchange contracts
Foreign exchange contracts
Foreign exchange contractsForeign exchange contracts— 158,360 1,496 159,856 
Equity contractsEquity contracts31 45,762 1,292 47,085 
Equity contracts
Equity contracts
Commodity contracts
Commodity contracts
Commodity contractsCommodity contracts— 15,418 1,108 16,526 
Credit derivativesCredit derivatives— 9,984 855 10,839 
Credit derivatives
Credit derivatives
Total trading derivatives—before netting and collateral
Total trading derivatives—before netting and collateral
Total trading derivatives—before netting and collateralTotal trading derivatives—before netting and collateral$52 $395,926 $7,022 $403,000 
Netting agreementsNetting agreements$(312,754)
Netting agreements
Netting agreements
Netting of cash collateral receivedNetting of cash collateral received(18,645)
Netting of cash collateral received
Netting of cash collateral received
Total trading derivatives—after netting and collateral
Total trading derivatives—after netting and collateral
Total trading derivatives—after netting and collateralTotal trading derivatives—after netting and collateral$52 $395,926 $7,022 $403,000 $(331,399)$71,601 
InvestmentsInvestments
Mortgage-backed securitiesMortgage-backed securities
Mortgage-backed securities
Mortgage-backed securities
U.S. government-sponsored agency guaranteed
U.S. government-sponsored agency guaranteed
U.S. government-sponsored agency guaranteedU.S. government-sponsored agency guaranteed$— $14,931 $32 $14,963 $— $14,963 
ResidentialResidential— 312 25 337 — 337 
CommercialCommercial— 2 — 2 — 2 
Total investment mortgage-backed securitiesTotal investment mortgage-backed securities$— $15,245 $57 $15,302 $— $15,302 
U.S. Treasury and federal agency securitiesU.S. Treasury and federal agency securities$81,878 $344 $21 $82,243 $— $82,243 
State and municipalState and municipal— 1,695 507 2,202 — 2,202 
Foreign governmentForeign government50,928 73,928 414 125,270 — 125,270 
CorporateCorporate2,590 2,447 290 5,327 — 5,327 
Marketable equity securitiesMarketable equity securities164 119 13 296 — 296 
Asset-backed securitiesAsset-backed securities— 845 1 846 — 846 
Other debt securitiesOther debt securities— 6,087 57 6,144 — 6,144 
Non-marketable equity securities(3)
— 5 404 409 — 409 
Non-marketable equity securities
Total investmentsTotal investments$135,560 $100,715 $1,764 $238,039 $— $238,039 

Table continues on the next page.
178176

In millions of dollars at June 30, 2023Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
In millions of dollars at March 31, 2024In millions of dollars at March 31, 2024Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
LoansLoans$—$5,525$241$5,766 $— $5,766 
Mortgage servicing rightsMortgage servicing rights—681681 — 681 
Non-trading derivatives and other financial assets measured on a recurring basisNon-trading derivatives and other financial assets measured on a recurring basis$5,793$7,771$73$13,637 $— $13,637 
Non-trading derivatives and other financial assets measured on a recurring basis
Non-trading derivatives and other financial assets measured on a recurring basis
Total assetsTotal assets$343,367$1,083,784$13,874$1,441,025 $(549,587)$891,438 
Total as a percentage of gross assets(4)
23.8%75.2%1.0%
Total as a percentage of gross assets(3)
LiabilitiesLiabilities
Liabilities
Liabilities
Interest-bearing deposits
Interest-bearing deposits
Interest-bearing depositsInterest-bearing deposits$—$2,572$26$2,598 $— $2,598 
Securities loaned and sold under agreements to repurchaseSecurities loaned and sold under agreements to repurchase—213,804627214,431 (151,631)62,800 
Trading account liabilitiesTrading account liabilities
Securities sold, not yet purchased
Securities sold, not yet purchased
Securities sold, not yet purchasedSecurities sold, not yet purchased98,35916,19562114,616 — 114,616 
Other trading liabilitiesOther trading liabilities—48 — 8 
Total trading account liabilitiesTotal trading account liabilities$98,359$16,199$66$114,624 $— $114,624 
Trading derivativesTrading derivatives
Interest rate contractsInterest rate contracts$19$159,959$4,233$164,211 
Interest rate contracts
Interest rate contracts
Foreign exchange contracts
Foreign exchange contracts
Foreign exchange contractsForeign exchange contracts—152,029796152,825 
Equity contractsEquity contracts2748,6992,85551,581 
Equity contracts
Equity contracts
Commodity contracts
Commodity contracts
Commodity contractsCommodity contracts—16,89277817,670 
Credit derivativesCredit derivatives—9,7181,01010,728 
Credit derivatives
Credit derivatives
Total trading derivatives—before netting and collateral
Total trading derivatives—before netting and collateral
Total trading derivatives—before netting and collateralTotal trading derivatives—before netting and collateral$46$387,297$9,672$397,015 
Netting agreementsNetting agreements$(312,754)
Netting agreements
Netting agreements
Netting of cash collateral paidNetting of cash collateral paid(28,221)
Netting of cash collateral paid
Netting of cash collateral paid
Total trading derivatives—after netting and collateral
Total trading derivatives—after netting and collateral
Total trading derivatives—after netting and collateralTotal trading derivatives—after netting and collateral$46$387,297$9,672$397,015 $(340,975)$56,040 
Short-term borrowingsShort-term borrowings$—$5,326$296$5,622 $— $5,622 
Long-term debtLong-term debt—78,73337,204115,937 — 115,937 
Total non-trading derivatives and other financial liabilities measured on a recurring basisTotal non-trading derivatives and other financial liabilities measured on a recurring basis$5,793$173$23$5,989 $— $5,989 
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
Total liabilitiesTotal liabilities$104,198$704,104$47,914$856,216 $(492,606)$363,610 
Total as a percentage of gross liabilities(4)
12.2 %82.2 %5.6 %
Total as a percentage of gross liabilities(3)

(1)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 23. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)Amounts exclude $24$27 million 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).
(4)(3)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.

177

Fair Value Levels

In millions of dollars at December 31, 2023Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets
Securities borrowed and purchased under agreements to resell$— $453,715 $139 $453,854 $(247,795)$206,059 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed— 79,795 581 80,376 — 80,376 
Residential1 597 116 714 — 714 
Commercial— 464 202 666 — 666 
Total trading mortgage-backed securities$1 $80,856 $899 $81,756 $— $81,756 
U.S. Treasury and federal agency securities$112,851 $2,398 $7 $115,256 $— $115,256 
State and municipal— 594 3 597 — 597 
Foreign government44,203 28,238 54 72,495 — 72,495 
Corporate1,858 16,716 500 19,074 — 19,074 
Equity securities32,966 12,135 292 45,393 — 45,393 
Asset-backed securities— 1,223 531 1,754 — 1,754 
Other trading assets(2)
97 16,784 833 17,714 — 17,714 
Total trading non-derivative assets$191,976 $158,944 $3,119 $354,039 $— $354,039 
Trading derivatives
Interest rate contracts$49 $156,307 $2,138 $158,494 
Foreign exchange contracts— 158,672 1,022 159,694 
Equity contracts8 41,870 1,400 43,278 
Commodity contracts2 16,456 1,111 17,569 
Credit derivatives— 7,564 775 8,339 
Total trading derivatives—before netting and collateral$59 $380,869 $6,446 $387,374 
Netting agreements$(308,431)
Netting of cash collateral received(21,226)
Total trading derivatives—after netting and collateral$59 $380,869 $6,446 $387,374 $(329,657)$57,717 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$— $29,640 $75 $29,715 $— $29,715 
Residential— 307 116 423 — 423 
Commercial— 1 — 1 — 1 
Total investment mortgage-backed securities$— $29,948 $191 $30,139 $— $30,139 
U.S. Treasury and federal agency securities$80,062 $299 $— $80,361 $— $80,361 
State and municipal— 1,589 542 2,131 — 2,131 
Foreign government60,133 70,871 194 131,198 — 131,198 
Corporate2,680 2,370 362 5,412 — 5,412 
Marketable equity securities159 72 27 258 — 258 
Asset-backed securities— 938 — 938 — 938 
Other debt securities— 6,757 — 6,757 — 6,757 
Non-marketable equity securities(3)
— — 483 483 — 483 
Total investments$143,034 $112,844 $1,799 $257,677 $— $257,677 

Table continues on the next page.
178

In millions of dollars at December 31, 2023Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$—$7,167$427$7,594 $— $7,594 
Mortgage servicing rights——691691 — 691 
Non-trading derivatives and other financial assets measured on a recurring basis$4,677$8,321$30$13,028 $— $13,028 
Total assets$339,746$1,121,860$12,651$1,474,257 $(577,452)$896,805 
Total as a percentage of gross assets(3)
23.0%76.1%0.9%
Liabilities
Interest-bearing deposits$—$2,411$29$2,440 $— $2,440 
Securities loaned and sold under agreements to repurchase—228,048390228,438 (165,953)62,485 
Trading account liabilities
Securities sold, not yet purchased91,16313,46035104,658 — 104,658 
Other trading liabilities—8—8 — 8 
Total trading account liabilities$91,163$13,468$35$104,666 $— $104,666 
Trading derivatives
Interest rate contracts$49$149,914$3,223$153,186 
Foreign exchange contracts—156,474727157,201 
Equity contracts1844,8943,03447,946 
Commodity contracts—17,96483218,796 
Credit derivatives—7,2348488,082 
Total trading derivatives—before netting and collateral$67$376,480$8,664$385,211 
Netting agreements$(308,431)
Netting of cash collateral paid(26,101)
Total trading derivatives—after netting and collateral$67$376,480$8,664$385,211 $(334,532)$50,679 
Short-term borrowings$—$6,064$481$6,545 $— $6,545 
Long-term debt—77,95838,380116,338 — 116,338 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$4,298$130$6$4,434 $— $4,434 
Total liabilities$95,528$704,559$47,985$848,072 $(500,485)$347,587 
Total as a percentage of gross liabilities(3)
11.3 %83.0 %5.7 %

(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)Amounts exclude $25 million 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).
(3)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.

179

Fair Value Levels

In millions of dollars at December 31, 2022Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets
Securities borrowed and purchased under agreements to resell$— $350,145 $149 $350,294 $(110,767)$239,527 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed— 34,878 600 35,478 — 35,478 
Residential1 1,821 166 1,988 — 1,988 
Commercial— 798 145 943 — 943 
Total trading mortgage-backed securities$1 $37,497 $911 $38,409 $— $38,409 
U.S. Treasury and federal agency securities$63,067 $4,513 $1 $67,581 $— $67,581 
State and municipal— 2,256 7 2,263 — 2,263 
Foreign government38,383 25,850 119 64,352 — 64,352 
Corporate1,593 11,955 394 13,942 — 13,942 
Equity securities43,990 10,179 192 54,361 — 54,361 
Asset-backed securities— 1,597 668 2,265 — 2,265 
Other trading assets(2)
24 14,963 648 15,635 — 15,635 
Total trading non-derivative assets$147,058 $108,810 $2,940 $258,808 $— $258,808 
Trading derivatives
Interest rate contracts$297 $174,156 $3,751 $178,204 
Foreign exchange contracts— 186,897 766 187,663 
Equity contracts20 40,683 1,704 42,407 
Commodity contracts— 26,823 1,501 28,324 
Credit derivatives— 7,484 905 8,389 
Total trading derivatives—before netting and collateral$317 $436,043 $8,627 $444,987 
Netting agreements$(346,545)
Netting of cash collateral received(3)
(23,136)
Total trading derivatives—after netting and collateral$317 $436,043 $8,627 $444,987 $(369,681)$75,306 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$— $11,232 $30 $11,262 $— $11,262 
Residential— 444 41 485 — 485 
Commercial— 2 — 2 — 2 
Total investment mortgage-backed securities$— $11,678 $71 $11,749 $— $11,749 
U.S. Treasury and federal agency securities$91,851 $439 $— $92,290 $— $92,290 
State and municipal— 1,637 586 2,223 — 2,223 
Foreign government58,419 74,250 608 133,277 — 133,277 
Corporate2,230 2,343 343 4,916 — 4,916 
Marketable equity securities254 165 10 429 — 429 
Asset-backed securities— 1,029 1 1,030 — 1,030 
Other debt securities— 4,194 — 4,194 — 4,194 
Non-marketable equity securities(4)
— 9 430 439 — 439 
Total investments$152,754 $95,744 $2,049 $250,547 $— $250,547 

Table continues on the next page.
180

In millions of dollars at December 31, 2022Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$—$3,999$1,361$5,360 $— $5,360 
Mortgage servicing rights——665665 — 665 
Non-trading derivatives and other financial assets measured on a recurring basis$4,310$6,291$57$10,658 $— $10,658 
Total assets$304,439$1,001,032$15,848$1,321,319 $(480,448)$840,871 
Total as a percentage of gross assets(5)
23.0%75.8%1.2%
Liabilities
Interest-bearing deposits$—$1,860$15$1,875 $— $1,875 
Securities loaned and sold under agreements to repurchase—155,8221,031156,853 (85,967)70,886 
Trading account liabilities
Securities sold, not yet purchased97,55913,11150110,720 — 110,720 
Other trading liabilities—8311 — 11 
Total trading account liabilities$97,559$13,119$53$110,731 $— $110,731 
Trading derivatives
Interest rate contracts$175$169,049$3,396$172,620 
Foreign exchange contracts—185,279716185,995 
Equity contracts7040,9052,80843,783 
Commodity contracts225,0931,22326,318 
Credit derivatives—6,7151,0627,777 
Total trading derivatives—before netting and collateral$247$427,041$9,205$436,493 
Netting agreements$(346,545)
Netting of cash collateral paid(3)
(30,032)
Total trading derivatives—after netting and collateral$247$427,041$9,205$436,493 $(376,577)$59,916 
Short-term borrowings$—$6,184$38$6,222 $— $6,222 
Long-term debt—69,87836,117105,995 — 105,995 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$4,197$240$2$4,439 $— $4,439 
Total liabilities$102,003$674,144$46,461$822,608 $(462,544)$360,064 
Total as a percentage of gross liabilities(5)
12.4 %82.0 %5.6 %

(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 23. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)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.
(4)Amounts exclude $27 million 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.

181

Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the three and six months ended June 30, 2023March 31, 2024 and 2022.2023. 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 dollarsIn millions of dollarsMar. 31, 2023Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2023In millions of dollarsDec. 31, 2023Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2024
AssetsAssets
Securities borrowed and purchased under agreements to resellSecurities borrowed and purchased under agreements to resell$153 $(10)$— $— $(2)$— $— $— $(1)$140 $(8)
Securities borrowed and purchased under agreements to resell
Securities borrowed and purchased under agreements to resell
Trading non-derivative assetsTrading non-derivative assets
Trading mortgage-backed securitiesTrading mortgage-backed securities
Trading mortgage-backed securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed
U.S. government-sponsored agency guaranteed
U.S. government-sponsored agency guaranteedU.S. government-sponsored agency guaranteed658 (32)— 93 (124)147 — (83)— 659 (24)
ResidentialResidential162 (2)— 35 (43)39 — (46)— 145 (3)
CommercialCommercial163 (10)— 48 (18)31 — (32)— 182 (7)
Total trading mortgage-backed securitiesTotal trading mortgage-backed securities$983 $(44)$— $176 $(185)$217 $— $(161)$— $986 $(34)
U.S. Treasury and federal agency securitiesU.S. Treasury and federal agency securities$1 $(1)$— $— $— $— $— $— $— $— $— 
State and municipalState and municipal23 (1)— — — — — (19)— 3 — 
Foreign governmentForeign government53 (1)— 8 (2)49 — (26)— 81 (1)
CorporateCorporate296 46 — 196 (51)256 — (162)— 581 88 
Marketable equity securitiesMarketable equity securities225 6 — 14 (2)66 — (24)— 285 5 
Asset-backed securitiesAsset-backed securities567 (1)— 74 (18)197 — (280)— 539 (5)
Other trading assetsOther trading assets1,094 373 — 16 (74)178 — (109)— 1,478 378 
Total trading non-derivative assetsTotal trading non-derivative assets$3,242 $377 $— $484 $(332)$963 $— $(781)$— $3,953 $431 
Trading derivatives, net(4)
Trading derivatives, net(4)
Interest rate contractsInterest rate contracts$260 $(1,550)$— $(167)$(669)$(17)$— $13 $168 $(1,962)$(1,486)
Interest rate contracts
Interest rate contracts
Foreign exchange contractsForeign exchange contracts76 503 — 121 50 27 — (42)(35)700 438 
Equity contractsEquity contracts(1,582)(486)— (16)572 (7)— (21)(23)(1,563)(494)
Commodity contractsCommodity contracts230 188 — 74 (83)9 — (9)(79)330 18 
Credit derivativesCredit derivatives(21)(154)— (20)36 — — — 4 (155)(215)
Total trading derivatives, net(4)
Total trading derivatives, net(4)
$(1,037)$(1,499)$— $(8)$(94)$12 $— $(59)$35 $(2,650)$(1,739)

Table continues on the next page.
182180

 
Net realized/unrealized
gains (losses) incl. in(1)
Transfers 
Unrealized
gains (losses)
still held(3)
In millions of dollarsIn millions of dollarsMar. 31, 2023Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2023
In millions of dollars
In millions of dollars
Investments
Investments
InvestmentsInvestments
Mortgage-backed securitiesMortgage-backed securities
Mortgage-backed securities
Mortgage-backed securities
U.S. government-sponsored agency guaranteed
U.S. government-sponsored agency guaranteed
U.S. government-sponsored agency guaranteedU.S. government-sponsored agency guaranteed$28 $— $1 $— $— $4 $— $(1)$— $32 $(1)
ResidentialResidential25 — — — — — — — — 25 — 
Residential
Residential
Commercial
Commercial
CommercialCommercial— — — — — — — — — — — 
Total investment mortgage-backed securitiesTotal investment mortgage-backed securities$53 $— $1 $— $— $4 $— $(1)$— $57 $(1)
Total investment mortgage-backed securities
Total investment mortgage-backed securities
U.S. Treasury and federal agency securities
U.S. Treasury and federal agency securities
U.S. Treasury and federal agency securitiesU.S. Treasury and federal agency securities$51 $— $— $— $— $— $— $(30)$— $21 $— 
State and municipalState and municipal521 — (8)— (2)— — (4)— 507 (8)
State and municipal
State and municipal
Foreign government
Foreign government
Foreign governmentForeign government551 — 7 15 (17)363 — (505)— 414 7 
CorporateCorporate291 — (4)— — 23 — (20)— 290 (4)
Corporate
Corporate
Marketable equity securities
Marketable equity securities
Marketable equity securitiesMarketable equity securities12 — 1 — — — — — — 13 (7)
Asset-backed securitiesAsset-backed securities1 — — — — — — — — 1 — 
Asset-backed securities
Asset-backed securities
Other debt securities
Other debt securities
Other debt securitiesOther debt securities4 — 1 — (5)57 — — — 57 — 
Non-marketable equity securitiesNon-marketable equity securities409 — (14)— — 10 — (1)— 404 5 
Non-marketable equity securities
Non-marketable equity securities
Total investments
Total investments
Total investmentsTotal investments$1,893 $— $(16)$15 $(24)$457 $— $(561)$— $1,764 $(8)
LoansLoans$640 $— $(281)$2 $(119)$— $— $— $(1)$241 $(146)
Loans
Loans
Mortgage servicing rights
Mortgage servicing rights
Mortgage servicing rightsMortgage servicing rights658 — 21 — — — 19 — (17)681 22 
Other financial assets measured at fair value on a recurring basisOther financial assets measured at fair value on a recurring basis52 — 1 — (1)21 — — — 73 — 
Other financial assets measured at fair value on a recurring basis
Other financial assets measured at fair value on a recurring basis
Liabilities
Liabilities
LiabilitiesLiabilities
Interest-bearing depositsInterest-bearing deposits$16 $(7)$— $— $— $— $13 $— $(10)$26 $(7)
Interest-bearing deposits
Interest-bearing deposits
Securities loaned and sold under agreements to repurchase
Securities loaned and sold under agreements to repurchase
Securities loaned and sold under agreements to repurchaseSecurities loaned and sold under agreements to repurchase809 1 — — (24)511 — — (668)627 1 
Trading account liabilitiesTrading account liabilities
Trading account liabilities
Trading account liabilities
Securities sold, not yet purchased
Securities sold, not yet purchased
Securities sold, not yet purchasedSecurities sold, not yet purchased72 2 — 5 (15)33 — — (31)62 4 
Other trading liabilitiesOther trading liabilities1 — — 3 — — — — — 4 (1)
Other trading liabilities
Other trading liabilities
Short-term borrowings
Short-term borrowings
Short-term borrowingsShort-term borrowings281 13 — 19 (11)— 21 — (1)296 (4)
Long-term debtLong-term debt36,581 893 — 2,130 (1,263)— 808 — (159)37,204 591 
Long-term debt
Long-term debt
Other financial liabilities measured on a recurring basisOther financial liabilities measured on a recurring basis20 — (1)— (1)— 3 — — 23 (1)
Other financial liabilities measured on a recurring basis
Other financial liabilities measured on a recurring basis
(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 June 30, 2023.March 31, 2024.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.

183181

 
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 dollarsIn millions of dollarsDec. 31, 2022Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2023In millions of dollarsDec. 31, 2022Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2023
AssetsAssets
Securities borrowed and purchased under agreements to resellSecurities borrowed and purchased under agreements to resell$149 $3 $— $— $(2)$137 $— $— $(147)$140 $5 
Securities borrowed and purchased under agreements to resell
Securities borrowed and purchased under agreements to resell
Trading non-derivative assetsTrading non-derivative assets
Trading mortgage-backed securitiesTrading mortgage-backed securities
Trading mortgage-backed securities
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed
U.S. government-sponsored agency guaranteed
U.S. government-sponsored agency guaranteedU.S. government-sponsored agency guaranteed600 (10)— 185 (266)370 — (220)— 659 (35)
ResidentialResidential166 (1)— 61 (62)100 — (119)— 145 (13)
CommercialCommercial145 (15)— 104 (31)50 — (71)— 182 (13)
Total trading mortgage-backed securitiesTotal trading mortgage-backed securities$911 $(26)$— $350 $(359)$520 $— $(410)$— $986 $(61)
U.S. Treasury and federal agency securitiesU.S. Treasury and federal agency securities$1 $(1)$— $— $— $— $— $— $— $— $— 
State and municipalState and municipal7 (3)— 19 — — — (20)— 3 — 
Foreign governmentForeign government119 6 — 8 (27)61 — (86)— 81 5 
CorporateCorporate394 76 — 210 (178)352 — (273)— 581 153 
Marketable equity securitiesMarketable equity securities192 9 — 26 (8)97 — (31)— 285 10 
Asset-backed securitiesAsset-backed securities668 14 — 79 (81)318 — (459)— 539 — 
Other trading assetsOther trading assets648 401 — 261 (76)468 — (224)— 1,478 411 
Total trading non-derivative assetsTotal trading non-derivative assets$2,940 $476 $— $953 $(729)$1,816 $— $(1,503)$— $3,953 $518 
Trading derivatives, net(4)
Trading derivatives, net(4)
Interest rate contractsInterest rate contracts$355 $(1,689)$— $(202)$(659)$(13)$— $13 $233 $(1,962)$(1,713)
Interest rate contracts
Interest rate contracts
Foreign exchange contractsForeign exchange contracts50 546 — 104 48 102 — (81)(69)700 497 
Equity contractsEquity contracts(1,104)(878)— (67)806 (253)— (44)(23)(1,563)(624)
Commodity contractsCommodity contracts278 (137)— 174 240 (58)— (12)(155)330 (148)
Credit derivativesCredit derivatives(157)(146)— (3)136 2 — — 13 (155)(203)
Total trading derivatives, net(4)
Total trading derivatives, net(4)
$(578)$(2,304)$— $6 $571 $(220)$— $(124)$(1)$(2,650)$(2,191)

Table continues on the next page.
184182

 
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 dollarsIn millions of dollarsDec. 31, 2022Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2023In millions of dollarsDec. 31, 2022Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2023
InvestmentsInvestments
Mortgage-backed securitiesMortgage-backed securities
Mortgage-backed securities
Mortgage-backed securities
U.S. government-sponsored agency guaranteed
U.S. government-sponsored agency guaranteed
U.S. government-sponsored agency guaranteedU.S. government-sponsored agency guaranteed$30 $— $(1)$— $— $4 $— $(1)$— $32 $(4)
ResidentialResidential41 — — — — — — (16)— 25 — 
Commercial— — — — — — — — — — — 
Total investment mortgage-backed securities
Total investment mortgage-backed securities
Total investment mortgage-backed securitiesTotal investment mortgage-backed securities$71 $— $(1)$— $— $4 $— $(17)$— $57 $(4)
U.S. Treasury and federal agency securitiesU.S. Treasury and federal agency securities$— $— $— $— $— $51 $— $(30)$— $21 $— 
State and municipalState and municipal586 — 9 1 (77)1 — (13)— 507 5 
Foreign governmentForeign government608 — 5 25 (18)523 — (729)— 414 8 
CorporateCorporate343 — (1)— (61)81 — (72)— 290 (4)
Marketable equity securitiesMarketable equity securities10 — 3 — — — — — — 13 — 
Asset-backed securitiesAsset-backed securities1 — — — — — — — — 1 — 
Other debt securities
Other debt securities
Other debt securitiesOther debt securities— — — — (5)62 — — — 57 — 
Non-marketable equity securitiesNon-marketable equity securities430 — (18)2 — 16 — (26)— 404 5 
Total investmentsTotal investments$2,049 $— $(3)$28 $(161)$738 $— $(887)$— $1,764 $10 
LoansLoans$1,361 $— $(264)$2 $(309)$— $106 $— $(655)$241 $(133)
Mortgage servicing rightsMortgage servicing rights665 — 18 — — — 31 — (33)681 20 
Other financial assets measured at fair value on a recurring basisOther financial assets measured at fair value on a recurring basis57 — (2)— (2)22 — (2)— 73 — 
LiabilitiesLiabilities
Interest-bearing depositsInterest-bearing deposits$15 $(7)$(2)$— $(1)$— $13 $— $(10)$26 $(7)
Interest-bearing deposits
Interest-bearing deposits
Securities loaned and sold under agreements to repurchaseSecurities loaned and sold under agreements to repurchase1,031 (6)— — (24)1,335 — — (1,721)627 — 
Trading account liabilitiesTrading account liabilities
Securities sold, not yet purchased
Securities sold, not yet purchased
Securities sold, not yet purchasedSecurities sold, not yet purchased50 (13)— 11 (31)64 — — (45)62 6 
Other trading liabilitiesOther trading liabilities3 2 — 3 — — — — — 4 — 
Short-term borrowingsShort-term borrowings38 40 — 19 (16)— 297 — (2)296 (9)
Long-term debtLong-term debt36,117 (227)— 3,228 (6,106)— 4,344 — (606)37,204 964 
Other financial liabilities measured on a recurring basisOther financial liabilities measured on a recurring basis2 — 1 — (1)— 23 — — 23 (1)

(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30,March 31, 2023.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.

185

  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers    
Unrealized
gains (losses)
still held(3)
In millions of dollarsMar. 31, 2022Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2022
Assets
Securities borrowed and purchased under agreements to resell$202 $(12)$— $— $— $36 $— $— $(43)$183 $(10)
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed498 (15)— 80 (89)318 — (84)— 708 (19)
Residential118 — — 28 (11)47 — (29)— 153 (4)
Commercial52 (3)— 96 (8)4 — (3)— 138 (3)
Total trading mortgage-backed securities$668 $(18)$— $204 $(108)$369 $— $(116)$— $999 $(26)
U.S. Treasury and federal agency securities$2 $— $— $— $(1)$— $— $— $— $1 $— 
State and municipal6 4 — 71 — — — (1)— 80 (3)
Foreign government94 (27)— 249 (1)57 — (8)— 364 (12)
Corporate1,013 59 — 120 (244)181 — (592)— 537 38 
Marketable equity securities199 (9)— 14 (61)58 — (68)— 133 (23)
Asset-backed securities466 (24)— 82 (100)262 — (132)— 554 (26)
Other trading assets492 79 — 305 (30)117 6 (149)(4)816 54 
Total trading non-derivative assets$2,940 $64 $— $1,045 $(545)$1,044 $6 $(1,066)$(4)$3,484 $2 
Trading derivatives, net(4)
Interest rate contracts$779 $434 $— $141 $(272)$7 $6 $(6)$(208)$881 $473 
Foreign exchange contracts(131)769 — 34 (50)73 20 (547)(12)156 126 
Equity contracts(1,564)1,189 — (60)232 220 — (91)(27)(101)1,182 
Commodity contracts217 208 — (74)84 67 — (98)(149)255 246 
Credit derivatives(4)6 — (97)(164)— — — (90)(349)(26)
Total trading derivatives, net(4)
$(703)$2,606 $— $(56)$(170)$367 $26 $(742)$(486)$842 $2,001 

Table continues on the next page.
186

  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers     
Unrealized
gains (losses)
still held(3)
In millions of dollarsMar. 31, 2022Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2022
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$46 $— $(2)$— $(10)$— $— $(6)$— $28 $(2)
Residential44 — (4)— — — — — — 40 (4)
Total investment mortgage-backed securities$90 $— $(6)$— $(10)$— $— $(6)$— $68 $(6)
U.S. Treasury and federal agency securities$1 $— $(1)$— $— $— $— $— $— $— $— 
State and municipal705 — (34)— (131)1 — (2)— 539 (14)
Foreign government1,029 — (15)— (54)202 — (161)— 1,001 (16)
Corporate237 — (3)100 — — — — — 334 (1)
Marketable equity securities16 — (6)— — — — — — 10 (7)
Asset-backed securities2 — (1)— — — — — — 1 — 
Non-marketable equity securities298 — 2 — — 20 — (10)— 310 (1)
Total investments$2,378 $— $(64)$100 $(195)$223 $— $(179)$— $2,263 $(45)
Loans$622 $— $(105)$1 $(193)$— $1 $— $(1)$325 $(7)
Mortgage servicing rights520 — 59 — — — 35 — (14)600 59 
Other financial assets measured at fair value on a recurring basis68 — 4 7 (12)13 15 — (32)63 7 
Liabilities
Interest-bearing deposits$191 $— $7 $— $(122)$— $17 $— $(61)$18 $— 
Securities loaned and sold under agreements to repurchase612 24 — — (3)16 — — (8)593 10 
Trading account liabilities
Securities sold, not yet purchased38 (8)— 10 (4)30 — 1 (11)72 (12)
Short-term borrowings36 1 — 12 (12)— 69 — (23)81 2 
Long-term debt27,432 4,719 — 3,335 (2,634)— 6,527 — (163)29,778 4,232 

(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 June 30, 2022.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.

187

  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers    
Unrealized
gains (losses)
still held(3)
In millions of dollarsDec. 31, 2021Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2022
Assets
Securities borrowed and purchased under agreements to resell$231 $(1)$— $— $— $124 $— $— $(171)$183 $(7)
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed496 (13)— 127 (158)484 — (228)— 708 (21)
Residential104 — — 61 (32)85 — (65)— 153 (5)
Commercial81 (5)— 97 (34)9 — (10)— 138 (2)
Total trading mortgage-backed securities$681 $(18)$— $285 $(224)$578 $— $(303)$— $999 $(28)
U.S. Treasury and federal agency securities$4 $(4)$— $2 $(1)$— $— $— $— $1 $— 
State and municipal37 5 — 71 (20)1 — (14)— 80 (5)
Foreign government23 (26)— 299 (1)87 — (18)— 364 (18)
Corporate412 68 — 262 (278)828 — (755)— 537 18 
Marketable equity securities174 (14)— 63 (87)108 — (111)— 133 (40)
Asset-backed securities613 (19)— 140 (167)393 — (406)— 554 (45)
Other trading assets576 126 — 333 (92)366 16 (501)(8)816 75 
Total trading non-derivative assets$2,520 $118 $— $1,455 $(870)$2,361 $16 $(2,108)$(8)$3,484 $(43)
Trading derivatives, net(4)
Interest rate contracts$1,726 $600 $— $73 $(803)$9 $6 $(6)$(724)$881 $650 
Foreign exchange contracts(89)1,164 — (475)(6)175 20 (611)(22)156 235 
Equity contracts(2,140)1,997 — (73)207 405 — (316)(181)(101)1,634 
Commodity contracts422 622 — (45)(409)120 — (142)(313)255 410 
Credit derivatives(31)(57)— (65)(151)— — (1)(44)(349)(95)
Total trading derivatives, net(4)
$(112)$4,326 $— $(585)$(1,162)$709 $26 $(1,076)$(1,284)$842 $2,834 

Table continues on the next page.
188

  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers     
Unrealized
gains (losses)
still held(3)
In millions of dollarsDec. 31, 2021Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2022
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$51 $— $(9)$1 $(10)$4 $— $(9)$— $28 $(4)
Residential94 — (6)— (39)— — (9)— 40 (5)
Total investment mortgage-backed securities$145 $— $(15)$1 $(49)$4 $— $(18)$— $68 $(9)
U.S. Treasury and federal agency securities$1 $— $(1)$— $— $— $— $— $— $— $— 
State and municipal772 — (78)— (142)1 — (14)— 539 (47)
Foreign government786 — (39)250 (113)385 — (268)— 1,001 (19)
Corporate188 — (7)153 — — — — — 334 (2)
Marketable equity securities16 — (6)— — — — — — 10 (7)
Asset-backed securities3 — 11 — — — — (13)— 1 — 
Non-marketable equity securities316 — (12)11 — 20 — (25)— 310 (1)
Total investments$2,227 $— $(147)$415 $(304)$410 $— $(338)$— $2,263 $(85)
Loans$711 $— $(190)$1 $(195)$— $1 $— $(3)$325 $166 
Mortgage servicing rights404 — 158 — — — 69 — (31)600 157 
Other financial assets measured at fair value on a recurring basis73 — 7 7 (16)14 40 (1)(61)63 48 
Liabilities
Interest-bearing deposits$183 $— $3 $7 $(122)$— $18 $— $(65)$18 $— 
Securities loaned and sold under agreements to repurchase643 50 — — (3)16 — — (13)593 28 
Trading account liabilities
Securities sold, not yet purchased65 21 — 35 (19)83 — 1 (72)72 (2)
Short-term borrowings105 89 — 40 (21)— 76 — (30)81 1 
Long-term debt25,509 8,245 — 6,743 (3,507)— 9,699 — (421)29,778 (4,197)
Other financial liabilities measured on a recurring basis1 — 1 — — — — — — — — 
(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue in the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale debt securities and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2022.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.

189183

Level 3 Fair Value Transfers
The following were the significant Level 3 transfers for the period December 31, 20222023 to June 30, 2023:March 31, 2024:

•During the three and six months ended June 30, 2023, transfersTransfers of Long-term debt were $2.1 billion and $3.2$1.4 billion from Level 2 to Level 3, respectively.3. Of the $3.2$1.4 billion transfer, approximately $2.9$0.9 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $0.3$0.4 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 $1.3 billion and $6.1$0.8 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three and six months ended June 30, 2023, respectively.March 31, 2024.

The following were the significant Level 3 transfers for the period December 31, 20212022 to June 30, 2022:March 31, 2023:

•During the three and six months ended June 30, 2022, transfersTransfers of Long-term debt were $3.3$1.1 billion and $6.7 billion, respectively, from Level 2 to Level 3. Of the $6.7$1.1 billion transfer, in the six months ended June 30, 2022, approximately $4.5$1.0 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to their overall valuation, and $2.2$0.1 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 $2.6 billion and $3.5$4.8 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three and six months ended June 30, 2022, respectively.March 31, 2023.
190184

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

As of June 30, 2023
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of March 31, 2024As of March 31, 2024
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
AssetsAssets 
Securities borrowed and purchased under agreements to resellSecurities borrowed and purchased under agreements to resell$140 Model-basedInterest rate1.23 %1.23 %1.23 %
Credit spread15 bps
Securities borrowed and purchased under agreements to resell
Securities borrowed and purchased under agreements to resell$132 Model-basedCredit spread15 bps
Interest rateInterest rate4.34 %4.34 %4.34 %
Mortgage-backed securitiesMortgage-backed securities$726 Yield analysisYield4.46 %19.42 %9.45 %
310 Price-basedPrice$1.11 $102.74 $53.57 
245 245 Yield analysisYield5.34 %23.45 %8.99 %
State and municipal, foreign government, corporate and other debt securitiesState and municipal, foreign government, corporate and other debt securities$2,349 Price-basedPrice$0.01$114.74$83.15State and municipal, foreign government, corporate and other debt securities$1,500 Price-basedPrice-basedPrice$—$101.08$91.08
678
678
678 Model-basedCredit spread35 bps550 bps242 bps
Marketable equity securities(5)
Marketable equity securities(5)
$193 Price-basedPrice$—$13,600.22$536.39
40
40
40
WALWAL2 years
Recovery (in millions)
Asset-backed securitiesAsset-backed securities$287 Price-basedPrice$3.50$139.18$64.87
84 84 Yield analysisYield5.77 %10.79 %8.07 %
Non-marketable equitiesNon-marketable equities$308 Comparables analysisIlliquidity discount4.30 %18.20 %10.14 %
Revenue multipleRevenue multiple4.20x19.08x12.51x
PE ratioPE ratio9.70x
EBITDA multiplesEBITDA multiples19.20x
109
57 57 Cash flowDiscount rate9.25 %9.25 %9.25 %
Derivatives—gross(6)
Interest rate contracts (gross)
Interest rate contracts (gross)
Interest rate contracts (gross)$5,390 Model-basedIR normal volatility0.32 %20.00 %1.83 %
Interest rateInterest rate2.99 %5.32 %3.51 %
Foreign exchange contracts (gross)Foreign exchange contracts (gross)$1,763 Model-basedIR normal volatility0.39 %1.27 %0.78 %
IR basisIR basis(39.03)%96.15 %4.14 %
FX volatilityFX volatility0.03 %111.73 %11.78 %
Equity contracts (gross)(7)
Equity contracts (gross)(7)
$4,056 Model-basedEquity volatility— %220.66 %30.31 %
Equity forwardEquity forward62.33 %206.42 %106.57 %
Equity-Equity correlationEquity-Equity correlation(36.22)%99.25 %70.73 %
WALWAL1.99 years
973 Model-basedCredit spread35 bps508 bps275 bps
Forward price17.46 %218.96 %102.59 %
Recovery (in millions)
Commodity volatility8.79 %166.93 %27.52 %
Recovery (in millions)
Commodity correlation(21.00)%95.73 %43.10 %
Marketable equity securities(5)
$241 Price-basedPrice$—$10,165.30$171.81
34 Model-basedWAL3 years
Recovery (in millions)
$7,148 $7,148 $7,148 
Asset-backed securities$463 Price-basedPrice$5.45$140.00$70.87
77 Yield analysisYield6.12 %11.91 %8.58 %
Non-marketable equities$298 Comparables analysisIlliquidity discount10.00 %12.00 %10.08 %
57 Cash flowPE ratio13.80x15.40x14.23x
Discount to price8.50 %33.00 %17.28 %
Revenue multiple3.70x13.77x10.94x
Derivatives—gross(6)
Interest rate contracts (gross)$6,435 Model-basedIR normal volatility0.28 %15.00 %1.20 %
Interest rate2.57 %5.24 %3.13 %
Foreign exchange contracts (gross)$1,916 Model-basedIR normal volatility0.28 %44.99 %1.71 %
Equity contracts (gross)(7)
$4,062 Model-basedEquity volatility— %279.49 %33.30 %
Equity forward72.62 %265.04 %105.44 %
Equity-FX correlation(90.00)%70.00 %(11.24)%
WAL3 years
Recovery (in millions)
$7,148 $7,148 $7,148 
Equity-IR correlation(22.00)%60.00 %30.04 %
Recovery (in millions)
FX volatilityFX volatility0.03 %111.73 %9.01 %
Commodity and other contracts (gross)Commodity and other contracts (gross)$1,772 Model-basedCommodity correlation(21.00)%95.73 %43.10 %Commodity and other contracts (gross)$1,890 Model-basedModel-basedForward price29.19 %569.30 %193.11 %
Commodity volatility8.79 %166.93 %27.52 %
Commodity volatilityCommodity volatility9.40 %122.96 %31.21 %
Forward price17.46 %463.41 %104.70 %
Credit derivatives (gross)Credit derivatives (gross)$1,307 Model-basedCredit spread7 bps520 bps95 bps
Credit derivatives (gross)
Credit derivatives (gross)$1,081 Model-basedCredit spread7 bps2000 bps204 bps
Recovery rateRecovery rate25.00 %40.00 %39.24 %
Upfront pointsUpfront points2.47 %115.16 %50.39 %
Credit correlationCredit correlation$25.00$75.00$52.70
510 Price-basedRecovery rate6.00 %75.00 %37.52 %
Credit correlation30.00 %90.00 %50.34 %
Price$3.66$99.49$36.20
Upfront points(0.64)%99.00 %54.49 %
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)$95 Price-basedPrice$0.01$106.50$87.76
403
403
403 Price-basedPrice$40.00$99.00$84.45
191185

As of June 30, 2023
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of March 31, 2024As of March 31, 2024
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)$31 Price-basedPrice$0.11$104.19$88.92
Loans and leasesLoans and leases$234 Price-basedPrice$69.49$106.96$72.06Loans and leases$752 Model-basedModel-basedEquity forward62.33 %206.42 %106.92 %
Equity volatility
Forward price17.46 %383.18 %109.86 %
Commodity volatility8.79 %166.93 %27.52 %
Equity volatility
Commodity correlation(21.00)%95.73 %43.10 %
Equity volatility— %220.66 %19.04 %
Equity-FX correlationEquity-FX correlation(95.00)%70.00 %(15.44)%
FX volatilityFX volatility0.03 %111.73 %9.03 %
307 307 Price-basedPrice$74.86$106.43$101.81
Mortgage servicing rightsMortgage servicing rights$597 Cash flowYield— %12.00 %5.12 %Mortgage servicing rights$605 Cash flowCash flowYield(0.50)%12.00 %5.87 %
85 Model-basedWAL3.84 years9.17 years7.71 years
64 64 Model-basedWAL3.71 years8.64 years7.49 years
LiabilitiesLiabilities
Interest-bearing depositsInterest-bearing deposits$26 Model-basedForward price100.00 %100.00 %100.00 %
Interest-bearing deposits
Interest-bearing deposits$72 Model-basedEquity volatility5.65 %17.15 %7.53 %
Forward price
Forward price
Forward price100 %100 %100 %
Securities loaned and sold under agreements to repurchaseSecurities loaned and sold under agreements to repurchase$627 Model-basedInterest rate3.96 %5.53 %4.24 %
Securities loaned and sold under agreements to repurchase
Securities loaned and sold under agreements to repurchase$326 Model-basedInterest rate4.24 %5.30 %4.33 %
Trading account liabilitiesTrading account liabilities
Securities sold, not yet purchased and other trading liabilities
Securities sold, not yet purchased and other trading liabilities
Securities sold, not yet purchased and other trading liabilitiesSecurities sold, not yet purchased and other trading liabilities$60 Price-basedPrice$—$10,616$72$104 Price-basedPrice-basedPrice$—$8,962.00$83.27
Short-term borrowings and long-term debtShort-term borrowings and long-term debt$37,378 Model-basedIR normal volatility0.28 %13.00 %1.07 %
Short-term borrowings and
long-term debt
Short-term borrowings and
long-term debt		$40,974 Model-basedIR normal volatility0.32 %20.00 %1.12 %

As of December 31, 2022
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of December 31, 2023As of December 31, 2023
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
AssetsAssets Assets 
Securities borrowed and purchased under agreements to resellSecurities borrowed and purchased under agreements to resell$146 Model-basedCredit spread15 bpsSecurities borrowed and purchased under agreements to resell$139 Model-basedModel-basedCredit spread15 bps
Interest rate2.61 %2.61 %2.61 %
Interest rateInterest rate4.00 %4.00 %4.00 %
Mortgage-backed securitiesMortgage-backed securities$228 Price-basedPrice$1.04 $99.71 $51.51 
732 Yield analysisYield4.41 %20.30 %9.74 %
401 401 Yield analysisYield4.63 %19.08 %8.93 %
State and municipal, foreign government, corporate and other debt securitiesState and municipal, foreign government, corporate and other debt securities$2,360 Price-basedPrice$0.01 $994.68 $245.85 
778 778 Model-basedCredit spread35 bps550 bps304 bps
Marketable equity securities(5)
Marketable equity securities(5)
$147 Price-basedPrice$— $9,087.76 $114.29 
31 Model-basedWAL2.24 years
Recovery (in millions)
$7,148 $7,148 $7,148 
38 38 Model-basedWAL2.24 years
Recovery (in millions)
Asset-backed securitiesAsset-backed securities$304 Price-basedPrice$10.50 $145.00 $74.97 
308 Yield analysisYield5.76 %18.58 %9.34 %
57 57 Yield analysisYield5.93 %18.86 %8.57 %
Non-marketable equitiesNon-marketable equities$287 Comparables analysisIlliquidity discount8.60 %17.00 %10.16 %Non-marketable equities$366 Comparables analysisComparables analysisIlliquidity discount8.00 %10.00 %8.82 %
101 Price-basedPE ratio14.00x15.70x15.16x
Cost of capital8.10 %17.50 %10.44 %
Revenue multiple3.60x13.90x12.40x
PE ratioPE ratio9.30x16.50x11.37x
Revenue multipleRevenue multiple2.80x13.40x12.28x
EBITDA multiplesEBITDA multiples15.80x
56 56 Cash flowDiscount to price8.50 %8.50 %8.50 %
50
Derivatives—gross(6)
Derivatives—gross(6)
Interest rate contracts (gross)Interest rate contracts (gross)$7,108 Model-basedIR normal volatility0.33 %1.82 %0.96 %
Interest rate contracts (gross)
Interest rate contracts (gross)$5,237 Model-basedIR normal volatility(0.07)%15.00 %1.44 %
Interest rateInterest rate2.70 %5.40 %3.20 %
Foreign exchange contracts (gross)Foreign exchange contracts (gross)$1,437 Model-basedIR normal volatility0.33 %1.47 %0.67 %Foreign exchange contracts (gross)$1,652 Model-basedModel-basedIR normal volatility(0.07)%12.05 %1.50 %
IR basis(4.23)%9.68 %(0.03)%
Equity volatility0.05 %300.72 %33.91 %
Credit spread116 bps626 bps594 bps
IR basisIR basis(1.45)%147.79 %7.11 %
Equity contracts (gross)(7)
Equity contracts (gross)(7)
$4,430 Model-basedEquity volatility0.05 %300.72 %41.47 %
Equity contracts (gross)(7)
$4,239 Model-basedModel-basedEquity volatility0.10 %334.35 %38.35 %
Equity forward68.34 %271.61 %103.50 %
Equity-FX correlation(95.00)%50.00 %(16.33)%
Equity-Equity correlation(3.98)%98.68 %85.63 %
WAL2.24 years
Recovery (in millions)
$7,148 $7,148 $7,148 
Equity-IR correlation(18.83)%60.00 %32.37 %
192186

As of December 31, 2023As of December 31, 2023
Fair value(1)
(in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Equity forwardEquity forward54.14 %273.54 %101.44 %
Equity-FX correlationEquity-FX correlation(79.00)%70.00 %(7.66)%
Equity-Equity correlationEquity-Equity correlation(6.49)%97.44 %80.42 %
WALWAL2.24 years
Recovery (in millions)
Commodity and other contracts (gross)Commodity and other contracts (gross)$2,724 Model-basedForward price14.27 %385.50 %106.08 %Commodity and other contracts (gross)$1,943 Model-basedModel-basedForward price31.70 %425.51 %134.65 %
Commodity volatility10.43 %151.50 %33.55 %
Commodity correlation(32.00)%91.94 %36.70 %
Commodity volatilityCommodity volatility14.72 %149.99 %37.03 %
Commodity correlationCommodity correlation(45.33)%93.02 %45.03 %
Credit derivatives (gross)Credit derivatives (gross)$1,520 Model-basedCredit spread2.50 bps955.10 bps101.27 bpsCredit derivatives (gross)$1,135 Model-basedModel-basedCredit spread11.43 bps1,519 bps140.34 bps
439 Price-basedRecovery rate25.00 %75.00 %42.27 %
Credit correlation25.00 %80.00 %42.38 %
Price$31.71 $99.00 $78.75 
Credit spread volatility35.58 %64.79 %40.47 %
Credit spread volatilityCredit spread volatility23.94 %115.66 %42.76 %
Recovery rateRecovery rate15.00 %75.00 %36.56 %
378 378 Price-basedUpfront points1.25 %117.31 %58.10 %
Price
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)$57 Price-basedPrice$80.16 $105.32 $92.65 
Loans and leases$1,059 Model-basedEquity volatility0.05 %300.72 %42.62 %
304 Price-basedForward price14.27 %324.85 %105.07 %
Price$0.01 $100.53 $84.77 
Equity forward68.34 %271.61 %103.49 %
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)
Loans and leases
111 111 Model-basedForward price33.48 %348.43 %115.47 %
Commodity volatilityCommodity volatility26.51 %66.80 %31.79 %
Commodity correlationCommodity correlation(45.33)%93.02 %(7.28)%
Equity volatilityEquity volatility41.61 %45.40 %43.17 %
Mortgage servicing rightsMortgage servicing rights$580 Cash flowYield(0.40)%13.20 %5.36 %Mortgage servicing rights$595 Cash flowCash flowWAL1.00 years8.76 years1.29 years
84 Model-basedWAL3.92 years9.33 years7.71 years
66 66 Model-basedYield— %12.00 %8.06 %
LiabilitiesLiabilities
Interest-bearing deposits
Interest-bearing deposits
Interest-bearing depositsInterest-bearing deposits$15 Model-basedForward price100.00 %101.30 %100.07 %$29 Model-basedModel-basedForward price100.00 %100.00 %100.00 %
Securities loaned and sold under agreements to repurchaseSecurities loaned and sold under agreements to repurchase$970 Model-basedInterest rate4.01 %4.97 %4.07 %Securities loaned and sold under agreements to repurchase$390 Model-basedModel-basedInterest rate3.92 %5.27 %3.96 %
Trading account liabilitiesTrading account liabilities
Securities sold, not yet purchased and other trading liabilitiesSecurities sold, not yet purchased and other trading liabilities$47 Price-basedPrice$— $9,087.76 $41.22 
6Model-basedFX volatility2.00 %40.00 %12.85 %
Securities sold, not yet purchased and other trading liabilities
Securities sold, not yet purchased and other trading liabilities
77Yield analysisYield7.46 %7.46 %7.46 %
55Model-basedFX volatility3.56 %28.13 %13.17 %
Short-term borrowings and long-term debtShort-term borrowings and long-term debt$36,155 Model-basedIR normal volatility0.33 %1.82 %0.89 %Short-term borrowings and
long-term debt		$38,794 Model-basedModel-basedIR normal volatility0.32 %20.00 %1.25 %

(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.

193187

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 dollarsIn millions of dollarsFair valueLevel 2Level 3In millions of dollarsFair valueLevel 2Level 3
June 30, 2023   
March 31, 2024March 31, 2024   
Loans HFS(1)
Loans HFS(1)
$2,325 $761 $1,564 
Other real estate ownedOther real estate owned3 — 3 
Loans(2)
Loans(2)
170 — 170 
Non-marketable equity securities measured using the measurement alternativeNon-marketable equity securities measured using the measurement alternative48 — 48 
Non-marketable equity securities measured using the measurement alternative
Non-marketable equity securities measured using the measurement alternative
Total assets at fair value on a nonrecurring basisTotal assets at fair value on a nonrecurring basis$2,546 $761 $1,785 

In millions of dollarsIn millions of dollarsFair valueLevel 2Level 3In millions of dollarsFair valueLevel 2Level 3
December 31, 2022   
December 31, 2023December 31, 2023   
Loans HFS(1)
Loans HFS(1)
$2,336 $457 $1,879 
Other real estate ownedOther real estate owned1 — 1 
Loans(2)
Loans(2)
69 — 69 
Non-marketable equity securities measured using the measurement alternativeNon-marketable equity securities measured using the measurement alternative597 — 597 
Total assets at fair value on a nonrecurring basisTotal assets at fair value on a nonrecurring basis$3,003 $457 $2,546 

(1)Net of mark-to-market 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.

194188

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

As of June 30, 2023
Fair value(1)
(in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
As of March 31, 2024As of March 31, 2024
Fair value(1)
(in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans HFSLoans HFS$1,558 Price-basedPrice$75.00 $100.00 $89.85 
Other real estate owned$2 Price-based
Appraised value(4)
$24,300 $666,000 $404,791 
Loans(5)
Loans(5)
Loans(5)
Loans(5)
$86 Recovery analysis
Appraised value(4)
$12,000 $77,400,786 $42,187,539 
83 Price-based
Non-marketable equity securities measured using the measurement alternativeNon-marketable equity securities measured using the measurement alternative$35 Price-basedPrice$0.10 $3.30 $2.25 
13 Comparable analysisRevenue multiple1.20x10.20x9.19x
Non-marketable equity securities measured using the measurement alternative
Non-marketable equity securities measured using the measurement alternative
11 11 Comparable analysisRevenue multiple—x46.30x18.66x
Other real estate owned

As of December 31, 2022
Fair value(1)
(in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
As of December 31, 2023As of December 31, 2023
Fair value(1)
(in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans HFSLoans HFS$1,830 Price-basedPrice$0.88 $100.23 $65.91 
Loans(5)
Non-marketable equity securities measured using the measurement alternative
109 109 Comparable analysisRevenue multiple2.30x35.70x11.69x
Other real estate ownedOther real estate owned$1 Price-based
Appraised value(4)
$30,000 $441,750 $310,552 
Loans(5)
$45 Recovery analysis
Appraised value(4)
$12,000 $14,022,820 $3,714,342 
Other real estate owned
Other real estate owned
24 Appraised value
Non-marketable equity securities measured using the measurement alternative$234 Comparable analysisRevenue multiple4.95x73.10x19.68x
363 Price-basedPrice$0.46 $2,416.43 $557.86 

(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)Weighted averages are calculated based on the fair values of the instruments.
(4)Appraised values are disclosed in whole dollars.
(5)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.


Nonrecurring Fair Value Changes
The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:

Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2023202220232022
Loans HFS$(15)$(86)$(26)$(223)
Other real estate owned— — — — 
Loans(1)
(16)4 (18)9 
Non-marketable equity securities measured using the measurement alternative(27)43 (54)128 
Total nonrecurring fair value gains (losses)$(58)$(39)$(98)$(86)

Three Months Ended
March 31,
In millions of dollars20242023
Loans HFS$(82)$(56)
Other real estate owned— — 
Loans(1)
(34)(2)
Non-marketable equity securities measured using the measurement alternative32 (25)
Total nonrecurring fair value gains (losses)$(84)$(83)

(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.

195189

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








June 30, 2023Estimated fair value March 31, 2024Estimated fair value
Carrying
value		Estimated
fair value
In billions of dollarsIn billions of dollarsLevel 1Level 2Level 3
In billions of dollars
In billions of dollarsLevel 1Level 2Level 3
AssetsAssets Assets 
Investments, net of allowance$267.5 $243.6 $124.1 $117.2 $2.3 
HTM debt securities, net of allowance(1)
Securities borrowed and purchased under agreements to resellSecurities borrowed and purchased under agreements to resell127.0 127.0 — 127.0 — 
Loans(1)(2)
637.1 646.9 — — 646.9 
Other financial assets(2)(3)
389.0 389.0 279.2 17.7 92.1 
Loans(2)(3)
Other financial assets(3)(4)
LiabilitiesLiabilities
DepositsDeposits$1,317.3 $1,316.3 $— $1,124.6 $191.7 
Deposits
Deposits
Securities loaned and sold under agreements to repurchaseSecurities loaned and sold under agreements to repurchase197.2 197.2 — 197.2 — 
Long-term debt(4)
158.6 160.7 — 148.9 11.8 
Other financial liabilities(5)
136.7 136.7 — 31.6 105.1 
Long-term debt(5)
Other financial liabilities(6)
December 31, 2022Estimated fair value December 31, 2023Estimated fair value
Carrying
value		Estimated
fair value
In billions of dollarsIn billions of dollarsLevel 1Level 2Level 3
In billions of dollars
In billions of dollarsLevel 1Level 2Level 3
AssetsAssets   Assets   
Investments, net of allowance$274.3 $249.2 $123.2 $123.1 $2.9 
HTM debt securities, net of allowance(1)
Securities borrowed and purchased under agreements to resellSecurities borrowed and purchased under agreements to resell125.9 125.9 — 125.9 — 
Loans(1)(2)
634.5 634.9 — — 634.9 
Other financial assets(2)(3)
427.1 427.1 320.0 22.0 85.1 
Loans(2)(3)
Other financial assets(3)(4)
LiabilitiesLiabilities   Liabilities   
DepositsDeposits$1,364.1 $1,345.4 $— $1,159.4 $186.0 
Securities loaned and sold under agreements to repurchaseSecurities loaned and sold under agreements to repurchase131.6 131.6 — 131.6 — 
Long-term debt(4)
165.6 160.5 — 151.1 9.4 
Other financial liabilities(5)
142.4 142.4 — 26.5 115.9 
Long-term debt(5)
Other financial liabilities(6)

(1)Includes $5.3 billion and $5.5 billion of non-marketable equity securities carried at cost at March 31, 2024 and December 31, 2023, respectively.
(2)The carrying value of loans is net of the allowance for credit losses on loans of $17.5$18.3 billion for June 30, 2023March 31, 2024 and $17.0$18.1 billion for December 31, 2022.2023. In addition, the carrying values exclude $0.3 billion and $0.4$0.3 billion of lease finance receivables at June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively.
(2)(3)Includes items measured at fair value on a nonrecurring basis.
(3)(4)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)(5)The carrying value includes long-term debt balances under qualifying fair value hedges.
(5)(6)Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

The estimated fair values of the Company’s corporate unfunded lending commitments at June 30, 2023March 31, 2024 and December 31, 20222023 were off-balance sheet liabilities of $8.1$12.9 billion and $13.7$14.2 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 cancelable by providing notice to the borrower.

196190

23.24.  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.
The Company has elected fair value accounting for its mortgage servicing rights (MSRs). See Note 2021 for additional details on Citi’s MSRs.
Additional discussion regarding other applicable areas in which fair value elections were made is presented in Note 22.



23.



The following table presents the changes in fair value of those items for which the fair value option has been elected:

Changes in fair value—gains (losses)
Changes in fair value—gains (losses)
Changes in fair value—gains (losses)
Changes in fair value—gains (losses)
Three Months Ended June 30,Six Months Ended June 30,
In millions of dollarsIn millions of dollars2023202220232022
In millions of dollars
In millions of dollars
Assets
Assets
AssetsAssets 
Securities borrowed and purchased under agreements to resellSecurities borrowed and purchased under agreements to resell$(95)$(21)$(10)$(83)
Securities borrowed and purchased under agreements to resell
Securities borrowed and purchased under agreements to resell
Trading account assets
Trading account assets
Trading account assetsTrading account assets18 (177)79 (238)
LoansLoans
Loans
Loans
Certain corporate loans
Certain corporate loans
Certain corporate loansCertain corporate loans635 (1,523)326 (1,855)
Certain consumer loansCertain consumer loans(4)— 1 (1)
Certain consumer loans
Certain consumer loans
Total loans
Total loans
Total loansTotal loans$631 $(1,523)$327 $(1,856)
Other assetsOther assets 
Other assets
Other assets
MSRs
MSRs
MSRsMSRs$22 $60 $19 $158 
Certain mortgage loans HFS(1)
Certain mortgage loans HFS(1)
(18)(144)(10)(330)
Certain mortgage loans HFS(1)
Certain mortgage loans HFS(1)
Total other assets
Total other assets
Total other assetsTotal other assets$4 $(84)$9 $(172)
Total assetsTotal assets$558 $(1,805)$405 $(2,349)
Total assets
Total assets
Liabilities
Liabilities
LiabilitiesLiabilities 
Interest-bearing depositsInterest-bearing deposits$82 $(168)$(52)$(123)
Interest-bearing deposits
Interest-bearing deposits
Securities loaned and sold under agreements to repurchase
Securities loaned and sold under agreements to repurchase
Securities loaned and sold under agreements to repurchaseSecurities loaned and sold under agreements to repurchase49 19 (19)96 
Trading account liabilitiesTrading account liabilities77 191 152 (449)
Trading account liabilities
Trading account liabilities
Short-term borrowings(2)
Short-term borrowings(2)
Short-term borrowings(2)
Short-term borrowings(2)
230 1,064 88 1,196 
Long-term debt(2)
Long-term debt(2)
(2,147)9,642 (6,496)15,713 
Long-term debt(2)
Long-term debt(2)
Total liabilitiesTotal liabilities$(1,709)$10,748 $(6,327)$16,433 
Total liabilities
Total liabilities

(1)Includes gains (losses) associated with interest rate lock commitments for originated loans for which the Company has elected the fair value option.
(2)Includes DVA that is included in AOCI. See Notes 1819 and 22.23.
197191

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. See Note 1819 for additional information.
Among other variables, the fair value of liabilities for which the fair value option has been elected (other than non-recourse debt and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads.
The estimated changes in the fair value of these non-derivative liabilities due to such changes in the Company’s own credit spread (or instrument-specific credit risk) were a loss of $(837)$(750) million and gain of $2,592$(433) million for the three months ended June 30,March 31, 2024 and 2023, and 2022, respectively, and a loss of $(1,270) million and gain of $3,642 million for the six months ended June 30, 2023 and 2022, 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 revenueincome and interest expense are measured based on the contractual rates specified in the transactions and are reported as Interest revenueincome and Interest expense in the Consolidated Statement of Income.

Certain Loans and Other Credit Products
Citigroup has also elected the fair value option for certain other originated and purchased loans, including certain unfunded loan products, such as guarantees and letters of credit, executed by Citigroup’s lending and trading businesses. None of these credit products are highly leveraged financing commitments. Significant groups of transactions include loans and unfunded loan products that are expected to be either sold or securitized in the near term, or transactions where the economic risks are hedged with derivative instruments, such as purchased credit default swaps or total return swaps where the Company pays the total return on the underlying loans to a third party. Citigroup has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. Fair value was not elected for most lending transactions across the Company.


The following table provides information about certain credit products carried at fair value:

June 30, 2023December 31, 2022 March 31, 2024December 31, 2023
In millions of dollarsIn millions of dollarsTrading assetsLoansTrading assetsLoansIn millions of dollarsTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance SheetCarrying amount reported on the Consolidated Balance Sheet$4,482 $5,766 $6,011 $5,360 
Aggregate unpaid principal balance in excess of (less than) fair valueAggregate unpaid principal balance in excess of (less than) fair value161 156 167 51 
Balance of non-accrual loans or loans more than 90 days past dueBalance of non-accrual loans or loans more than 90 days past due— 2 — 2 
Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past dueAggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due— 1 — — 
198

In addition to the amounts reported above, $651$375 million and $729$391 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively.

192

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 revenueincome is measured based on the contractual interest rates and reported as Interest revenueincome on Trading account assets or loan interest depending on the balance sheet classifications of the credit products. The changes in fair value for the three months ended June 30,March 31, 2024 and 2023 and 2022 due to instrument-specific credit risk totaled to a loss of $25$(16) million and $(47)a gain of $9 million, respectively. Changes in fair value due to instrument-specific credit risk are estimated based on changes in borrower-specific credit spreads and recovery assumptions.

Certain Investments in Unallocated Precious Metals
Citigroup invests in unallocated precious metals accounts (e.g., gold, silver, platinum and palladium) as part of its commodity trading activities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the 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 $0.6 billion and $0.3 billion at June 30, 2023 and December 31, 2022, respectively.
As part of its commodity 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.

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 economically 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 dollarsIn millions of dollarsJune 30,
2023		December 31, 2022In millions of dollarsMarch 31,
2024		December 31, 2023
Carrying amount reported on the Consolidated Balance SheetCarrying amount reported on the Consolidated Balance Sheet$1,069 $793 
Aggregate fair value in excess of (less than) unpaid principal balanceAggregate fair value in excess of (less than) unpaid principal balance(7)(10)
Balance of non-accrual loans or loans more than 90 days past dueBalance of non-accrual loans or loans more than 90 days past due3 1 
Aggregate unpaid principal balance in excess of fair value for non-accrual loans
or loans more than 90 days past due		Aggregate unpaid principal balance in excess of fair value for non-accrual loans
or loans more than 90 days past due		— — 
199

The changes in the fair values of these mortgage loans are reported in Other revenue in the Company’s Consolidated Statement of Income. There was no net change in fair value during the sixthree months ended June 30,March 31, 2024 and 2023 and 2022 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 revenueincome in the Consolidated Statement of Income.



193

Certain Debt Liabilities
The Company has elected the fair value option for certain debt liabilities, because these exposures are considered to be trading-related positions and, therefore, are managed on a fair value basis. These positions are classified as Long-term debt or Short-term borrowings on the Company’s Consolidated Balance Sheet.





The following table provides information about the carrying value of notes carried at fair value, disaggregated by type of risk:

In billions of dollarsIn billions of dollarsJune 30, 2023December 31, 2022In billions of dollarsMarch 31, 2024December 31, 2023
Interest rate linkedInterest rate linked$57.3 $53.4 
Foreign exchange linked0.1 0.1 
Equity linked
Equity linked
Equity linkedEquity linked48.9 42.5 
Commodity linkedCommodity linked4.8 5.0 
Credit linkedCredit linked4.8 5.0 
TotalTotal$115.9 $106.0 

The portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value are reported in Principal transactions. Changes in the fair value of these liabilities include accrued interest, which is also included in the change in fair value reported in Principal transactions.



The following table provides information about long-term debt carried at fair value:

In millions of dollarsIn millions of dollarsJune 30, 2023December 31, 2022In millions of dollarsMarch 31, 2024December 31, 2023
Carrying amount reported on the Consolidated Balance SheetCarrying amount reported on the Consolidated Balance Sheet$115,937 $105,995 
Aggregate unpaid principal balance in excess of (less than) fair valueAggregate unpaid principal balance in excess of (less than) fair value(1,922)(2,944)


The following table provides information about short-term borrowings carried at fair value:

In millions of dollarsIn millions of dollarsJune 30, 2023December 31, 2022In millions of dollarsMarch 31, 2024December 31, 2023
Carrying amount reported on the Consolidated Balance SheetCarrying amount reported on the Consolidated Balance Sheet$5,622 $6,222 
Aggregate unpaid principal balance in excess of (less than) fair valueAggregate unpaid principal balance in excess of (less than) fair value(14)(9)
200194

24.25.  GUARANTEES AND COMMITMENTS

Citi provides a variety ofThe following tables present information about Citi’s guarantees at March 31, 2024 and indemnifications to its customers to enhance their credit standing and enable them to complete a wide range 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.December 31, 2023.
For additional information regardingon Citi’s guarantees and indemnifications included in the tables below, as well as its other guarantees and indemnifications excluded from these tables, see Note 2728 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.
The following tables present information about Citi’s guarantees at June 30, 2023 and December 31, 2022:



Maximum potential amount of future payments 
In billions of dollars at June 30, 2023Expire within
1 year		Expire after
1 year		Total amount
outstanding
Carrying value
(in millions of dollars)
Financial standby letters of credit$21.5 $63.1 $84.6 $780 
Performance guarantees4.7 5.9 10.6 48 
Derivative instruments considered to be guarantees14.8 31.4 46.2 338 
Loans sold with recourse0.6 1.2 1.8 13 
Securities lending indemnifications(1)
108.6 — 108.6 — 
Credit card merchant processing(2)
128.3 — 128.3 1 
Credit card arrangements with partners0.1 0.4 0.5 6 
Other1.2 8.4 9.6 41 
Total$279.8 $110.4 $390.2 $1,227 

 Maximum potential amount of future payments 
In billions of dollars at December 31, 2022Expire within
1 year		Expire after
1 year		Total amount
outstanding
Carrying value
(in millions of dollars)
Financial standby letters of credit$31.3 $58.3 $89.6 $905 
Performance guarantees6.1 5.6 11.7 65 
Derivative instruments considered to be guarantees18.5 30.0 48.5 353 
Loans sold with recourse— 1.7 1.7 13 
Securities lending indemnifications(1)
95.9 — 95.9 — 
Credit card merchant processing(2)
129.6 — 129.6 1 
Credit card arrangements with partners— 0.6 0.6 7 
Other0.1 8.4 8.5 32 
Total$281.5 $104.6 $386.1 $1,376 



Maximum potential amount of future payments 
In billions of dollars at March 31, 2024Expire within
1 year		Expire after
1 year		Total amount
outstanding
Carrying value
(in millions of dollars)
Financial standby letters of credit$17.6 $63.9 $81.5 $571 
Performance guarantees4.5 5.6 10.1 44 
Derivative instruments considered to be guarantees22.4 16.2 38.6 234 
Loans sold with recourse0.6 1.2 1.8 16 
Securities lending indemnifications(1)
110.5 — 110.5 — 
Card merchant processing(2)
121.1 — 121.1 — 
Credit card arrangements with partners0.2 0.2 0.4 4 
Other(3)
50.4 7.7 58.1 48 
Total$327.3 $94.8 $422.1 $917 

 Maximum potential amount of future payments 
In billions of dollars at December 31, 2023Expire within
1 year		Expire after
1 year		Total amount
outstanding
Carrying value
(in millions of dollars)
Financial standby letters of credit$17.8 $63.5 $81.3 $674 
Performance guarantees4.8 5.8 10.6 49 
Derivative instruments considered to be guarantees24.2 16.3 40.5 362 
Loans sold with recourse0.6 1.2 1.8 16 
Securities lending indemnifications(1)
104.1 — 104.1 — 
Card merchant processing(2)
138.0 — 138.0 — 
Credit card arrangements with partners0.2 0.2 0.4 5 
Other(3)
27.7 7.7 35.4 50 
Total$317.4 $94.7 $412.1 $1,156 

(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 June 30, 2023March 31, 2024 and December 31, 2022,2023, this maximum potential exposure was estimated to be approximately $128$121 billion and $130$138 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.
(3)Includes guarantees to the Fixed Income Clearing Corporation under the sponsored member repo program.

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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 presented 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. Thethe repurchase reserve was approximately $10$11 million and $10$11 million at June 30, 2023March 31, 2024 and December 31, 2022,2023, 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 June 30, 2023 and December 31, 2022, 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 June 30, 2023 or December 31, 2022 for potential obligations that could arise from Citi’s involvement with VTN associations.

Long-Term Care (LTC) Insurance Indemnification
Citi has an indemnification contingency to Brighthouse Financial in connection with Citi’s sale of an insurance subsidiary. A liability under this indemnification agreement is currently remote because Brighthouse Financial would become responsible for LTC 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 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 can be made, or to accrue for such liability if the event becomes probable and estimable. Citi continues to closely monitor its potential exposure under this indemnification obligation. For additional information, see Note 27 to the Consolidated Financial Statements in Citi’s 2022 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) derivatives 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 21 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 derivatives 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
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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 $18.3$17.1 billion and $18.0$17.8 billion as of June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively.
Variation margin due from clients to the respective CCP, or from the CCP to clients, reflects changes in the value of the client’s derivative contracts for each trading day. As a clearing member, Citi is exposed to the risk of non-performance by clients (e.g., failure of a client to post variation margin to the CCP for negative changes in the value of the client’s derivative contracts). In the event of non-performance by a client, Citi would move to close out the client’s positions. The CCP would typically utilize initial margin posted by the client and held by the CCP, with any remaining shortfalls required to be paid by Citi as clearing member. Citi generally holds incremental cash or securities margin posted by the client, which would typically be expected to be sufficient to mitigate Citi’s credit risk in the event the client fails to perform.
As required by ASC 860-30-25-5, securities collateral posted by clients is not recognized on Citi’s Consolidated Balance Sheet.

Carrying Value—Guarantees and Indemnifications
At June 30, 2023March 31, 2024 and December 31, 2022,2023, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to approximately $1.2$0.9 billion and $1.4$1.2 billion, respectively. The carrying value of financial and performance guarantees is included in Other liabilities. For loans sold with recourse, the carrying value of the liability is included in Other liabilities.

Collateral
Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $51.5$55.1 billion and $51.8$52.5 billion at June 30, 2023March 31, 2024 and December 31, 2022,2023, respectively. Securities and other marketable assets held as collateral amounted to $73.4$74.3 billion and $63.7$67.7 billion at June 30, 2023March 31, 2024 and December 31, 2022,2023, 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 $3.0 billion and $3.7$3.1 billion at June 30, 2023March 31, 2024 and December 31, 2022,2023, 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.

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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 March 31, 2024Investment
grade		Non-investment
grade		Not
rated		Total
Financial standby letters of credit$69.4 $12.1 $— $81.5 
Loans sold with recourse— — 1.8 1.8 
Other— 7.7 — 7.7 
Total$69.4 $19.8 $1.8 $91.0 

 Maximum potential amount of future payments
In billions of dollars at June 30, 2023Investment
grade		Non-investment
grade		Not
rated		Total
Financial standby letters of credit$73.0 $10.1 $1.5 $84.6 
Loans sold with recourse— — 1.8 1.8 
Other1.1 8.5 — 9.6 
Total$74.1 $18.6 $3.3 $96.0 
Maximum potential amount of future payments Maximum potential amount of future payments
In billions of dollars at December 31, 2022Investment
grade		Non-investment
grade		Not
rated		Total
In billions of dollars at December 31, 2023In billions of dollars at December 31, 2023Investment
grade		Non-investment
grade		Not
rated		Total
Financial standby letters of creditFinancial standby letters of credit$77.9 $10.4 $1.3 $89.6 
Loans sold with recourseLoans sold with recourse— — 1.7 1.7 
OtherOther— 8.5 — 8.5 
TotalTotal$77.9 $18.9 $3.0 $99.8 

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Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments:

In millions of dollarsU.S.
Outside of 
U.S.(1)
June 30,
2023		December 31, 2022
Commercial and similar letters of credit$457 $4,412 $4,869 $5,316 
One- to four-family residential mortgages1,728 849 2,577 2,394 
Revolving open-end loans secured by one- to four-family residential properties5,656 668 6,324 6,380 
Commercial real estate, construction and land development13,399 1,596 14,995 15,170 
Credit card lines612,136 76,513 688,649 683,232 
Commercial and other consumer loan commitments199,231 108,309 307,540 297,399 
Other commitments and contingencies5,333 272 5,605 5,673 
Total$837,940 $192,619 $1,030,559 $1,015,564 

(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.
The table below summarizes Citigroup’s credit commitments:

Other Commitments and Contingencies
In millions of dollarsU.S.
Outside of 
U.S.(1)
March 31,
2024		December 31, 2023
Commercial and similar letters of credit$691 $4,038 $4,729 $5,345 
One- to four-family residential mortgages859 726 1,585 1,245 
Revolving open-end loans secured by one- to four-family residential properties5,415 23 5,438 5,495 
Commercial real estate, construction and land development13,524 1,392 14,916 15,266 
Credit card lines618,246 65,104 683,350 677,005 
Commercial and other consumer loan commitments212,591 104,467 317,058 312,300 
Other commitments and contingencies(2)
4,918 223 5,141 5,146 
Total$856,244 $175,973 $1,032,217 $1,021,802 

(1)Consumer commitments related to the business HFS countries under sales agreements are reflected in their original categories until the respective sales are completed.
(2)Other commitments and contingencies include all other transactions relatedcommitments to commitmentspurchase certain debt and contingencies not reported on the lines above.equity securities.

Unsettled Reverse Repurchase
Other Commitments
As a Federal Reserve member bank, Citi is required to subscribe to half of a certain amount of shares issued by its Federal Reserve District Bank. As of March 31, 2024 and Securities Borrowing Agreements and Unsettled Repurchase and Securities Lending AgreementsDecember 31, 2023, Citi holds shares with a carrying value of $4.5 billion, with the remaining half subject to call by the Federal Reserve District Bank Board.
In addition, in the normal course of business, Citigroup enters into reverse repurchase and securities borrowing agreements, as well as repurchase and securities lending agreements, which settle at a future date. At June 30, 2023March 31, 2024 and December 31, 2022, Citigroup2023, Citi had approximately $150.4$178.1 billion and $111.6$120.9 billion of unsettled reverse repurchase and securities borrowing agreements, and approximately $117.5$165.3 billion and $37.3$96.4 billion of unsettled repurchase and securities lending agreements, respectively. See Note 1011 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.

These amounts are not included in the table above.


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 may include minimum reserve requirements at certain central banks and cash segregated to satisfy rules regarding the protection of customer assets as required by Citigroup broker-dealers’ primary regulators, including the 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 dollarsIn millions of dollarsJune 30,
2023		December 31, 2022In millions of dollarsMarch 31,
2024		December 31, 2023
Cash and due from banksCash and due from banks$3,860 $4,820 
Deposits with banks, net of allowanceDeposits with banks, net of allowance12,262 12,156 
TotalTotal$16,122 $16,976 

In addition to the restricted cash amounts presented above, at June 30, 2023March 31, 2024 and December 31, 2022,2023, approximately $2.8$4.6 billion and $1.8$3.9 billion, respectively, was held at the Deposit Insurance Agency and Russia National Settlements Depository(DIA) and was subject to restrictions imposed by the Russian government. These restricted amounts are reported within Other assets on the Consolidated Balance Sheet.

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25.26.  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 may contain renewal and extension options and early termination features; however, these options do not impact the lease term unless the Company is reasonably certain that it will exercise options. These leases have a weighted-average remaining lease term of approximately six years as of June 30, 2023.March 31, 2024.
For additional information regarding Citi’s leases, see Notes 1 and 2829 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.
The following table presents information on the right-of-use (ROU) asset and lease liabilities included in Premises and equipment and Other liabilities, respectively:

In millions of dollarsIn millions of dollarsJune 30,
2023		December 31,
2022		In millions of dollarsMarch 31,
2024		December 31,
2023
ROU assetROU asset$2,827 $2,892 
Lease liabilityLease liability3,016 3,076 

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.

At March 31, 2024, the Company had a future lease commitment scheduled to commence in April 2025 with fixed lease payments (undiscounted) totaling approximately $255 million over a 15-year lease term.

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26.27.  CONTINGENCIES

The following information supplements and amends, as applicable, the disclosure in Note 2530 to the Consolidated Financial Statements in Citi’s First Quarter 2023 Form 10-Q and in Note 29 to the Consolidated Financial Statements in Citi’s 2022 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 June 30, 2023,March 31, 2024, Citigroup estimates that the reasonably possible unaccrued loss for these matters ranges up to approximately $1.3$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 2930 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.

Equities Trading Incident Matters
Government and regulatory agencies in the U.K. and Europe are conducting investigations or making inquiries regarding an equity desk trading error that occurred on May 2, 2022. Citigroup is cooperating with these investigations and inquiries.

FDIC Special Assessment
On May 11,November 29, 2023, the FDIC issuedpublished a notice of proposed rulemaking that would implementfinal rule implementing a special assessment—primarily upon large banks—assessment to recover the uninsured deposit losses from the failures of Silicon Valley Bank and Signature Bank.Bank, estimated to be approximately $16.3 billion. In the first quarter of 2024, Citi received notification from the FDIC that the estimate increased to $20.4 billion, which may be further adjusted by subsequent recoveries. The FDIC estimated that of the cost of the failures of Silicon Valley Bank and Signature Bank, approximately $15.8 billion was attributableplans to the protection of uninsured depositors, an estimate that will be periodically adjusted. The FDIC has proposed collectingprovide institutions subject to the special assessment atwith an annual rateupdated estimate of approximately 12.5 basis pointseach institution’s quarterly and total special assessment expense with its first-quarter 2024 special assessment invoice. In the first quarter of uninsured deposits over eight quarterly assessment periods beginning2024, Citi increased its total accrued estimated liability to $2.0 billion within Other liabilities and reported the corresponding incremental expense of $251 million in 2024. There is sufficient uncertainty aroundOther operating expenses in the final FDIC regulation that would impact both the timing and amount. If the final ruleConsolidated Statement of Income (and within Corporate/Other in All Other) for the FDIC special assessment is enacted as proposed, which is expected before the end of 2023, Citi estimates that the impact would be significant, potentially a pretax charge of up to $1.5 billion. This amount is not included in the reasonably possible loss estimate above.assessment.

Foreign Exchange MattersLitigation
Antitrust and Other Litigation:On May 23, 2023,February 8, 2024, in ALLIANZ GLOBAL INVESTORS GMBH AND OTHERSMICHAEL O’HIGGINS FX CLASS REPRESENTATIVE LIMITED v. BARCLAYS BANK PLC AND OTHERS, Michael O’Higgins FX Class Representative Limited withdrew its application requesting permission to commence collective proceedings against the High Court of Justice in London formally discontinued the case in light of a March 29, 2023 settlement agreement.defendants. Additional information concerning this action is publicly available in court filings under the case number CL-2018-0008401329/7/7/19 in the HighU.K. Competition Appeal Tribunal and CA-2022-002002 in the Court of Appeal.

Interchange Fee Litigation
On February 22, 2024, the district court issued decisions on several summary judgment motions, including denials of both plaintiffs’ and defendants’ motions. On March 26, 2024, Visa, MasterCard and the injunctive relief class plaintiffs filed a motion seeking preliminary approval of the parties’ agreement to settle, and the court scheduled a preliminary approval hearing for June 13, 2024. On April 2, 2024, the district court entered rulings on the last outstanding motions for summary judgment, granting some and denying others. Additional
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information concerning these consolidated actions is publicly available in court filings under the casedocket number 1430/5/7/22 (T) in the Competition Appeal Tribunal.MDL 05-1720 (E.D.N.Y.) (Brodie, J.).

Madoff-Related Litigation
On May 18, 2023,March 14, 2024, in ALLIANZ GLOBAL INVESTORS, ET AL.PICARD v. BANK OF AMERICA CORP.CITIBANK, N.A., ET AL., the United States District Court for the Southern District of New York approveddenied the Citi defendants leave to file an interlocutory appeal of the bankruptcy court’s decision denying their motion to dismiss the amended complaint. Additional information concerning this action is publicly available in court filings under the docket numbers 10-5345 (Bankr. S.D.N.Y.) (Beckerman, J.) and 22-9597 (S.D.N.Y.) (Gardephe, J.).

Variable Rate Demand Obligation Litigation
On February 5, 2024, the United States Court of Appeals for the Second Circuit granted defendants’ Rule 23(f) petition to appeal the district court’s order granting class certification. Additional information concerning this action is publicly available in court filings under the docket numbers 19-CV-1608 (S.D.N.Y.) (Furman, J.), 23-7328 (2d Cir.), and 24-297 (2d Cir.).
In ILLINOIS EX REL. EDELWEISS FUND, LLC v. JP MORGAN CHASE & CO., ET AL., the parties entered into a stipulation dismissing all remaining claims in the case with prejudice.settlement agreement effective February 1, 2024. Additional information concerning this action is publicly available in court filings under the docket number 18-CV-10364 (S.D.N.Y.2017 L 000289 (Ill. Cir. Ct.) (Schofield,(Donnelly, J.).
On July 25, 2023, the English Court of Appeal issued its judgment in MICHAEL O’HIGGINS FX CLASS REPRESENTATIVE LIMITED v. BARCLAYS BANK PLC AND OTHERS and PHILLIP EVANS v. BARCLAYS BANK PLC AND OTHERS on the claimants’ appeal from the Competition Appeal Tribunal’s March 31, 2022 judgment on certification and directed that the case proceed upon an opt-out basis with Phillip Evans having carriage of the claims.
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Additional information concerning these actions is publicly available in court filings under the case numbers 1329/7/7/19 and 1336/7/7/19 in the Competition Appeal Tribunal and CA-2022-002002 and CA-2022-002003 in the Court of Appeal.
On April 13, 2023, in NYPL v. JPMORGAN CHASE & CO., ET AL., plaintiffs filed an appeal from the dismissal of the case by the district court to the United States Court of Appeals for the Second Circuit. Additional information concerning this action is publicly available in court filings under the docket numbers 15-CV-2290 (N.D. Cal.) (Chhabria, J.), 15-CV-9300 (S.D.N.Y.) (Schofield, J.), 22-698 (2d Cir.), and 23-619 (2d Cir.).

Madoff-Related Litigation
On May 5, 2023, in FAIRFIELD SENTRY LTD., ET AL. v. ZURICH CAPITAL MARKETS COMPANY, ET AL, the British Virgin Islands liquidators of Fairfield Sentry Limited voluntarily dismissed the pending claims against Citi (Switzerland) AG and Citivic Nominees Ltd. without prejudice. The claims previously dismissed against Citi (Switzerland) AG and Citivic Nominees Ltd. remain subject to the pending consolidated direct appeal in the United States Court of Appeals for the Second Circuit and are unaffected by the liquidators’ voluntary dismissal. Additional information is publicly available in court filings under the docket number 10-3634 (Bankr. S.D.N.Y.) (Mastando, J.).
On July 5, 2023, in FAIRFIELD SENTRY LTD., ET AL. v. CITIGROUP GLOBAL MARKETS LTD., ET AL.; FAIRFIELD SENTRY LTD., ET AL. v. ZURICH CAPITAL MARKETS COMPANY, ET AL.; and FAIRFIELD SENTRY LTD., ET AL. v. CITIBANK NA LONDON, ET AL. the United States Court of Appeals for the Second Circuit granted CGML, Citibank (Switzerland) AG, Citivic Nominees Ltd., and Citibank, NA London leave to appeal the district court’s decision permitting a single claim to proceed against them and consolidated the interlocutory appeals with the liquidators’ pending consolidated direct appeal. Additional information is publicly available in court filings under the docket numbers 22-2101 (consolidated lead appeal), 23-549, 23-572, 23-573, 23-975, 23-982, and 23-987 (2d Cir.).

Sovereign Securities Matters
Regulatory Actions: On May 24, 2023, the UK Competition & Markets Authority (CMA) announced that it has provisionally found that Citigroup, CGML and four other banks unlawfully shared information related to the buying and selling of British pound sterling-denominated government bonds issued by the United Kingdom. The CMA further announced that Citigroup and CGML applied for leniency and had entered into a settlement agreement with the CMA.
Antitrust and Other Litigation:On June 16, 2023, purchasers of British pound sterling-denominated government bonds issued by the United Kingdom filed a proposed class action against CGMI, CGML and others, captioned OKLAHOMA FIREFIGHTERS PENSION AND RETIREMENT SYSTEM v. DEUTSCHE BANK AKTIENGESELLSCHAFT (F/K/A DEUTSCHE BANK AG), ET AL., in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants engaged in a conspiracy to inflate prices of United Kingdom government bonds in secondary markets. Plaintiffs assert a claim under the Sherman Act and seek treble damages and attorneys’ fees. Additional information relating to this action is publicly available in court filings under the docket number 1:23-cv-05095 (JGK).

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


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27.28.  SUBSIDIARY GUARANTEES

Citigroup Inc. has fully and unconditionally guaranteed the payments due on debt securities issued by Citigroup Global Markets Holdings Inc. (CGMHI), a wholly owned subsidiary, under the Senior Debt Indenture dated as of March 8, 2016, between CGMHI, Citigroup Inc. and The Bank of New York Mellon, as trustee. In addition, Citigroup Capital III and Citigroup Capital XIII (collectively, the Capital Trusts), each of which is a wholly owned finance subsidiary of Citigroup Inc., have issued trust preferred securities. Citigroup Inc. has guaranteed the payments due on the trust preferred securities
to the extent that the Capital Trusts have insufficient available
funds to make payments on the trust preferred securities. The guarantee, together with Citigroup Inc.’s other obligations with respect to the trust preferred securities, effectively provides a full and unconditional guarantee of amounts due on the trust preferred securities (see Note 17 for additional information)18). No other subsidiary of Citigroup Inc. guarantees the debt securities issued by CGMHI or the trust preferred securities issued by the Capital Trusts.
Summarized financial information for Citigroup Inc. and CGMHI is presented in the tables below:



SUMMARIZED INCOME STATEMENT

Six Months Ended
June 30, 2023
Three Months Ended
Three Months Ended
Three Months Ended
March 31, 2024
In millions of dollars
In millions of dollars
In millions of dollarsIn millions of dollarsCitigroup parent companyCGMHI
Total revenues, net of interest expenseTotal revenues, net of interest expense$6,584 $5,960 
Total revenues, net of interest expense
Total revenues, net of interest expense
Total operating expenses
Total operating expenses
Total operating expensesTotal operating expenses99 5,911 
Provision for credit lossesProvision for credit losses— 23 
Provision for credit losses
Provision for credit losses
Equity in undistributed income of subsidiaries
Equity in undistributed income of subsidiaries
Equity in undistributed income of subsidiariesEquity in undistributed income of subsidiaries581 — 
Income (loss) from continuing operations before income taxesIncome (loss) from continuing operations before income taxes$7,066 $26 
Income (loss) from continuing operations before income taxes
Income (loss) from continuing operations before income taxes
Provision (benefit) for income taxes
Provision (benefit) for income taxes
Provision (benefit) for income taxesProvision (benefit) for income taxes(455)54 
Net incomeNet income$7,521 $(28)
Net income
Net income


SUMMARIZED BALANCE SHEET

June 30, 2023December 31, 2022
March 31, 2024March 31, 2024December 31, 2023
In millions of dollarsIn millions of dollarsCitigroup parent companyCGMHICitigroup parent companyCGMHIIn millions of dollarsCitigroup parent companyCGMHICitigroup parent companyCGMHI
Cash and deposits with banksCash and deposits with banks$3,016 $21,506 $3,015 $27,122 
Securities borrowed and purchased under resale agreementsSecurities borrowed and purchased under resale agreements— 276,820 — 306,273 
Trading account assetsTrading account assets262 271,512 306 209,957 
Advances to subsidiariesAdvances to subsidiaries152,188 — 146,843 — 
Investments in subsidiary bank holding companyInvestments in subsidiary bank holding company175,277 — 172,721 — 
Investments in non-bank subsidiariesInvestments in non-bank subsidiaries48,010 — 48,295 — 
Other assetsOther assets15,896 171,046 13,788 163,819 
Total assetsTotal assets$394,649 $740,884 $384,968 $707,171 
Securities loaned and sold under agreements to repurchaseSecurities loaned and sold under agreements to repurchase$— $292,491 $— $245,916 
Trading account liabilitiesTrading account liabilities578 114,874 604 115,929 
Short-term borrowingsShort-term borrowings— 26,731 — 43,850 
Long-term debtLong-term debt163,043 186,966 166,257 172,068 
Advances from subsidiariesAdvances from subsidiaries19,579 — 14,562 — 
Other liabilitiesOther liabilities2,730 81,446 2,356 90,570 
Stockholders’ equityStockholders’ equity208,719 38,376 201,189 38,838 
Total liabilities and equityTotal liabilities and equity$394,649 $740,884 $384,968 $707,171 

209201

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,” “—Operational Risks” and “—Compliance Risks” in Citi’s 20222023 Form 10-K.






The following table summarizes Citi’s common share repurchases for the secondfirst quarter of 2023:2024:

In millions, except per share amountsTotal shares purchasedAverage
price paid
per share
April 2023
In thousands, except per share amounts
In thousands, except per share amounts
In thousands, except per share amounts
January 2024
January 2024
January 2024
Open market repurchases(1)
Open market repurchases(1)
Open market repurchases(1)
Open market repurchases(1)
— $— 
Employee transactions(2)
Employee transactions(2)
— — 
May 2023
Employee transactions(2)
Employee transactions(2)
February 2024
February 2024
February 2024
Open market repurchases(1)
Open market repurchases(1)
Open market repurchases(1)
Open market repurchases(1)
1.1 44.05 
Employee transactions(2)
Employee transactions(2)
— — 
June 2023
Employee transactions(2)
Employee transactions(2)
March 2024
March 2024
March 2024
Open market repurchases(1)
Open market repurchases(1)
Open market repurchases(1)
Open market repurchases(1)
20.1 47.24 
Employee transactions(2)
Employee transactions(2)
— — 
Total for 2Q2321.2 $47.07 
Employee transactions(2)
Employee transactions(2)
Total for 1Q24
Total for 1Q24
Total for 1Q24

(1)    Repurchases not made pursuant to any publicly announced plan or program.
(2)    During the secondfirst quarter, pursuant to Citigroup’s Board of Directors’ authorization, Citi withheld an insignificant number of shares of common stock, added to treasury stock, related to activity on employee stock programs to satisfy the employee tax requirements.

As previously announced, Citi will continue to assess common share repurchases on a quarter-by-quarter basis given uncertainty regarding regulatory capital requirements.




Dividends
Citi paid common dividends of $0.51$0.53 per share for the secondfirst quarter of 2023,2024, and on July 20, 2023,April 3, 2024, declared common dividends of $0.53 per share for the thirdsecond quarter of 2023.2024. Citi intends to maintain a quarterly common dividend of at least $0.53 per share, subject to financial and macroeconomic conditions as well asand its 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,” “—Operational Risks” and “—Compliance Risks” in Citi’s 20222023 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 July 20, 2023,April 3, 2024, Citi declared preferred dividends of approximately $333$242 million for the thirdsecond quarter of 2023.2024.
For information on the ability of Citigroup’s subsidiary depository institutions to pay dividends, see Note 1920 to the Consolidated Financial Statements in Citi’s 20222023 Form 10-K.

OTHER INFORMATION

Insider Trading Arrangements
During the secondfirst quarter of 2023,2024, no director or executive officer of Citi adopted or terminated any Rule 10b5-1 or non-Rule 10b5-1 trading arrangement (each, as defined in Item 408 of Regulation S-K).

210202

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 4th3rd day of August, 2023.May, 2024.



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)


211203

GLOSSARY OF TERMS AND ACRONYMS

The following is a list of terms and acronyms that are used in this Quarterly Report on Form 10-Qreport and certain other Citigroup SEC filings and presentations.

* Denotes a Citi metric

20222023 Form 10-K: Annual Report on Form 10-K for the year ended December 31, 2022,2023, filed with the SEC.
90+ days past due delinquency rate*: Represents consumer loans that are past due by 90 or more days, divided by that period’s total EOP loans.
ABS: Asset-backed securities
ACL: Allowance for credit losses, which is composed of the allowance for credit losses on loans (ACLL), allowance for credit losses on unfunded lending commitments (ACLUC), allowance for credit losses on HTM securities and allowance for credit losses on other assets.
ACLL: Allowance for credit losses on loans
ACLUC: Allowance for credit losses on unfunded lending commitments
Advanced Approaches: The Advanced Approaches capital framework, established through Basel III rules by the FRB, requires certain banking organizations to use an internal ratings-based approach and other methodologies to calculate risk-based capital requirements for credit risk and advanced measurement approaches to calculate risk-based capital requirements for operational risk.
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.
AUA: Assets under administration
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
Board: Citigroup’s Board of Directors
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:Cards: Citi’s branded cards business with a portfolio of proprietary cards (Double Cash, Custom Cash, ThankYou(Value, Rewards and Value cards)Cash) and co-branded cards (including among others,Costco and American Airlines and Costco)Airlines).
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 within MD&A 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.
CGMI: Citigroup Global Markets Inc.
CGML: Citigroup Global Markets Limited
Citi: Citigroup Inc.
Citibank or CBNA: Citibank, N.A. (National Association)
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Classifiably managed: Loans primarily evaluated for credit risk based on internal risk rating classification.
Client investment assets: Represent assets under management, as well astrust and custody brokerage, administration and deposit accounts.assets.
CLO:CODM: Collateralized loan obligationsChief operating decision maker
204
Coincident NCL coverage ratio: A credit metric, representing the ACLL at period end divided by (the most recent quarter’s NCLs divided by 3). This ratio is expressed in months of coverage.
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’ gross purchases. 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: Cumulative translation adjustment (also known as currency 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
DCM: Debt Capital Markets
Delinquency managed: Loans primarily evaluated for credit risk based on delinquencies, FICO scores and the value of underlying collateral.
Divestiture-related impacts: Citi’s results excluding divestiture-related impacts represent as reported, or GAAP, financial results adjusted for items that are incurred and recognized, which are wholly and necessarily a consequence of actions taken to sell (including through a public offering), dispose of or wind down business activities associated with Citi’s announced 14 exit markets.
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: Debt valuation adjustment
EC:ECM: European CommissionEquity Capital Markets
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
ESG: Environmental, Social and Governance
ETR: Effective tax rate
EU: European Union
Fannie Mae: Federal National Mortgage Association
FASB: Financial Accounting Standards Board
FCA: Financial Conduct Authority
FDIC: Federal Deposit Insurance Corporation
Federal Reserve:Reserve Board: 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
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Firm: Citigroup Inc.
FRB: Federal Reserve Board
FRBNY: Federal Reserve Bank of New York
Freddie Mac: Federal Home Loan Mortgage Corporation
FTCs: Foreign tax credit carry-forwards
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 creditSystemically Important Bank
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
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to change their functional currency to the U.S. dollar. Once the change is made, the CTA balance is frozen.
Interchange revenue: Fees earned from merchants based on Citi’s credit and debit card customers’ sales transactions.
IBOR:International: Interbank Offered Rate
ICG: Institutional Clients Group
ICRM: Independent Compliance Risk ManagementThe region representing all countries other than the U.S. and Canada.
IPO: Initial public offering
ISDA:KPMG: 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:LLP, Citi’s Independent Registered Public Accounting Firm.
LATAM: Latin America, which for Citi, includes Mexico.
LCR: Liquidity coverageCoverage ratio. Represents HQLA divided by net outflows in the period.
LDA: Loss Distribution Approach
LF: Legacy Franchises
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 appraisedestimated value of the collateral (i.e., residential real estate) securing the loan.
Managed basis: Results reflected on a managed basis exclude divestiture-related impacts.
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 discussionDiscussion and analysisAnalysis, a section within an SEC Form 10-Q or 10-K.
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 Investors Service
MSRs: Mortgage servicing rights
N/A: Data is not applicable or available for the period presented.
NAA: Non-accrual assets. Consists of non-accrual loans and OREO.
NAL: Non-accrual loans. Loans for which interest income is not recognized on an accrual basis. Loans (other than credit card loans and certain consumer loans insured by U.S. government-sponsored agencies) are placed on non-accrual status when full payment of principal and interest is not
expected, regardless of delinquency status, or when principal and interest have been in default for a period of 90 days or more unless the loan is both well secured and in the process of collection. Collateral-dependent loans are typically maintained on non-accrual status.
NAV: Net asset value
NCL(s): Net credit losses. Represents gross credit losses, less gross credit recoveries.
NCL ratio*: Represents net credit losses (recoveries) (annualized), divided by average loans for the reporting period.
Net capital rule: Rule 15c3-1 under the Securities Exchange Act of 1934.
Net interchange income: Includes the following components:
•    Interchange revenue: Fees earned from merchants based on Citi’s credit and debit card customers’ sales transactions.
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•    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:Partner payments: Represents unvested share-based compensation awards containing nonforfeitable rightsPayments made 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,credit card partners primarily based on their respective rights to receive dividends.
PBWM: Personal Bankingprogram sales, profitability and Wealth Managementcustomer acquisitions.
PD: Probability of default
Principal transactions revenue: Primarily trading-related revenues predominantly generated by the ICGServices, Markets and Banking businesses. See Note 6.
Provision for credit losses: Composed of the provision for credit losses on loans, provision for credit losses on HTM investments, provision for credit losses on other assets and provision for credit losses on unfunded lending commitments.
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Provisions: Provisions for credit losses and for benefits and claims.
PSUs: Performance share units
Purchased credit-deteriorated: 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.
R&S forecast period: Reasonable and supportable period over which Citi forecasts future macroeconomic conditions for CECL purposes.
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.
Reconciling Items: Divestiture-related impacts excluded from the results of All Other, as well as All Other—Legacy Franchises on a managed basis. The Reconciling Items are fully reflected in Citi’s Consolidated Statement of Income for each respective line item.
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). GAAP measures excluding the impact of FX translation are non-GAAP financial measures.
Retail services:Services: Citi’s U.S. retail services cards business with a portfolio of co-brand and private label relationships (including, among others, Best Buy, The Home Depot, Best Buy, SearsMacy’s and Macy’s)Sears).
RMI: A non-partisan, non-profit organization that works to transform global energy systems across the real economy. Citi joined the RMI Center for Climate-Aligned Finance in 2021.
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.
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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 operational risk for Advanced Approaches. Key differences in the calculation of credit risk RWA between the Standardized and Advanced Approaches are that for Advanced, credit risk RWA is based on risk-sensitive approaches that largely rely on the use of internal credit models and parameters, whereas for Standardized, credit risk RWA is generally based on supervisory risk-weightings,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.Total Leverage Exposure.
SOFR: Secured Overnight Financing Rate
SPEs: Special purpose entities
Standardized Approach: Established through Basel III, the Standardized Approach aligns regulatory capital requirements more closely with the key elements of banking risk by introducing a wider differentiation of risk weights and a wider recognition of credit risk mitigation techniques, while avoiding excessive complexity. Accordingly, the Standardized Approach produces capital ratios more in line with the actual economic risks that banks are facing.
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. GAAP measures on taxable equivalent basis, including the metrics derived from these measures, are non-GAAP financial measures.
TDR: Troubled debt restructuring. Prior to January 1, 2023, a TDR was deemed to occur when the Company modified the original terms of a loan agreement by granting a concession to a borrower that was experiencing financial difficulty. Loans with short-term and other insignificant modifications that are not considered concessions were not TDRs. The accounting guidance for TDRs was eliminated with the adoption of ASU 2022-02. See Note 1 for more information.1.
TLAC: Total loss-absorbing capacity
Total ACL: Allowance for credit losses, which comprises the allowance for credit losses on loans (ACLL), allowance for credit losses on unfunded lending commitments (ACLUC), allowance for credit losses on HTM securities and allowance for credit losses on other assets.
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.
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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.
216208

EXHIBIT INDEX

Exhibit
NumberDescription of Exhibit
 
 
 
   
101.01+ 
Financial statements from the Quarterly Report on Form 10-Q of Citigroup for the quarterly period ended June 30, 2023,March 31, 2024, filed on August 4, 2023,May 3, 2024, formatted in Inline XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Stockholders’ Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to the Consolidated Financial Statements.
104See 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.


+ Filed herewith.
* Denotes a management contract or compensatory plan or arrangement.
** Amended to change references from Chairman to Chair and Chairmen to Chairs.


217209

NOTES
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